N-CSR

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number                  811-07989                         

                               Metropolitan West Funds                            

(Exact name of registrant as specified in charter)

865 South Figueroa Street, Suite 1800

                                           Los Angeles, CA 90017                                      

(Address of principal executive offices) (Zip code)

David B. Lippman

Metropolitan West Funds

865 South Figueroa Street, Suite 1800

                                       Los Angeles, CA 90017                                      

(Name and address of agent for service)

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

Date of fiscal year end:  March 31

Date of reporting period:  March 31, 2022

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

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

Item 1. Reports to Stockholders.

(a) The Report to Shareholders is attached herewith.

	MARCH 31
	2022
	ANNUAL REPORT
METWEST FUNDS
AlphaTrak 500 Fund Corporate Bond Fund ESG Securitized 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

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.

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

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Metropolitan West Funds
Table of Contents	March 31, 2022

Letter to Shareholders	1
Fund Performance	15
Disclosure of Fund Expenses (Unaudited)	23
Summary of Portfolio Holdings	26
Schedule of Portfolio Investments	29
AlphaTrak 500 Fund	29
Corporate Bond Fund	40
ESG Securitized Fund	51
Flexible Income Fund	54
Floating Rate Income Fund	77
High Yield Bond Fund	92
Intermediate Bond Fund	101
Investment Grade Credit Fund	117
Low Duration Bond Fund	128
Opportunistic High income Credit Fund	146
Strategic Income Fund	152
Total Return Bond Fund	165
Ultra Short Bond Fund	214
Unconstrained Bond Fund	225
Statements of Assets and Liabilities	257
Statements of Operations	263
Statements of Changes in Net Assets	269
Financial Highlights	277
Notes to Financial Statements	310
Report of Independent Registered Public Accounting Firm	368
Tax Information Notice (Unaudited)	370
Liquidity Risk Management Program (Unaudited)	372
Privacy Policy	373
Management Information	378

METROPOLITAN WEST FUNDS

Dear Fellow Shareholder,

Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the period ended March 31, 2022. As interest rates reset higher in the past year, particularly so far in 2022, asset growth in the complex stalled on weaker market pricing, ending the reporting year at $86 billion. In addition, as is typical in these periods, an investor rethink on fixed income tends to spur reallocations away from interest rate risk and the asset class, further muting our recent growth profile. These challenges notwithstanding, the higher rates do imply an improved return outlook going forward and the attendant volatility brings opportunity for our teams to apply their hallmark discipline to find value for client assets across the Fund complex.

The March 31, 2022 Annual Report covers the following Metropolitan West Funds:

Metropolitan West AlphaTrak 500 Fund	M-Class (MWATX)
Metropolitan West Corporate Bond Fund	M-Class (MWCSX), I-Class (MWCBX)
Metropolitan West ESG Securitized Fund	M-Class (MWERX), I-Class (MWESX)
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)

Economic Review and Market Environment

A little more than two years removed from the onset of COVID-19, the arrival of which led to unprecedented commercial lockdowns and massive economic stimulus, a certain reckoning has begun to play out. While the first quarter of 2021 provided a temporary preview (which was reversed by the summer) of the consequences of the sustained monetary and fiscal largesse invoked to forestall a deep recession or worse, the start of 2022 (and indeed a few months prior) has delivered a seemingly more “permanent” higher interest rate regime. This is largely because of, one, demonstrated inflation, and two, expectations for considerable Fed tightening in the months ahead. Indicative of the inflation (and the geopolitical upset owing to Russia’s invasion of Ukraine), commodity prices climbed 25% in the first quarter of 2022 as ongoing supply issues and easy money conditions were exacerbated by the war. The contrast with the pandemic depths could not be starker: the spot price of U.S. oil, having plunged to below zero in April 2020, traded briefly above $130 in early March. Against this backdrop, headline consumer price index (CPI) for February showed a 7.9% year-over-year inflation rate, and expectations are for still-elevated prints in the coming months, with the Fed revising its 2022 core personal consumption expenditure (PCE) inflation forecast sharply up to 4.1% from 2.7% prior. The Fed also made it clear it will use the primary tool at hand – higher rates – to curb inflation, initiating this hiking cycle with a 25 basis point (bps) increase to the Funds rate in March 2022. The market is currently pricing in eleven expected 25 bps hikes between now and mid-2023, and given front-loaded expectations for the hikes, the Treasury yield curve re-pricing was considerable for shorter maturities. The 2-Year Treasury yield surged to 2.34%, nearly 220 bps over year-ago levels while the 10-Year, up 60 bps, also closed the period at 2.34%. In contrast, longer yields fluctuated, but ended the period nearly unchanged with the 30-Year up a modest 4 bps to 2.45%. As such, multiple parts of the curve inverted, signaling that markets are skeptical of future growth even if the Fed is successful at moderating inflation with its efforts.

Notwithstanding a decidedly volatile start to 2022, equity returns were broadly positive over the course of the annual period, with the S&P 500 Index gaining 15.6%. Against a backdrop of sharply higher Treasury yields, fixed income markets delivered largely negative total returns, with the Bloomberg U.S. Aggregate Bond Index down 4.2% during the trailing twelve-month period, approximately 66 bps behind duration-matched Treasuries. Agency mortgage-backed securities (MBS), in particular, were challenged in this environment of rate volatility, with further headwinds coming from concerns over the Fed pullback, with the sector delivering a 4.9% decline that was over 150 bps behind comparable Treasuries. Corporate credit also fell over 4%, and trailed duration-matched Treasuries by nearly 90 bps. Electric utilities, communications, and healthcare were the worst

1 / Annual Report March 2022

performing credit sectors, while energy and airlines benefitted from a stark uptick in commodity prices and a rebound in travel. High yield credit fared slightly better than investment grade, with a negative total return of just 0.7%, and was one of the few sectors to deliver positive excess returns, besting Treasuries by nearly 290 bps on a duration-adjusted basis. The lower-quality cohort of CCC-rated issues starkly outperformed, with a positive return of 0.8% while BB-rated issues were down 1.5% and B-rated issues were roughly flat. Among the other securitized sectors, commercial MBS (CMBS) was down approximately 4.5% but flat on a duration-adjusted basis, largely due to the outperformance of non-agency collateral. Finally, asset-backed securities (ABS) were down 3.1% and trailed duration-matched Treasuries by roughly 16 bps, weighed down by autos.

The Economy and Market Ahead

Looking forward, risk factors have become more apparent in both number and magnitude - cost inflation, rising interest rates, policy missteps, geopolitical uncertainty, capital markets volatility, and supply chain disruptions are just a few. And these are only the “known” unknowns. The dangerous confluence of factors has meaningfully increased the odds of recession in the next 12-18 months. Further, we are likely to see stagflationary conditions (slowing growth and high inflation) for at least some period of time, though probably not as long or as painful as the episode experienced in the late 70s or early 80s. Thus, we believe the next 12-24 months could be a challenging period for markets and for fixed income investors especially, while at the same time, recognize that those challenges bring potential significant opportunity. Our value investment philosophy forces our gaze towards these areas of price volatility, as these emerging opportunity sets represent fertile ground for new idea generation. As we saw in the first quarter of 2022, sharp spread level corrections can quickly increase the compensation for the downside risks.

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

Fund Performance Commentary

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

Metropolitan West AlphaTrak 500 Fund

(MWATX)

For the one-year period ending March 31, 2022, the MetWest AlphaTrak 500 Fund (“Fund”) gained 13.35% (net of fees), trailing the S&P 500 Index (“Index”) by approximately 230 bps. As a reminder, 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 seeks to generate excess return. The Fund’s use of futures contracts, which are derivatives, was effective in generating Index returns for the Fund, less the implied financing rate of those futures. The Fund’s duration position, which was reduced earlier in the year and gradually extended in the second half of the year, has remained at a relatively low level overall, weighing on performance in the rising rate environment, particularly as the front end of the curve led the move (the 2-Year yield was up over 200 bps while the 10-Year was up roughly 60 bps). The allocation to corporate credit produced an additional drag as the sector grappled with supply chain issues and volatility throughout the year, trailing Treasuries by 88 bps on a duration-adjusted basis. Despite the challenges faced in the space, positive absolute contribution came from airlines and autos, diversified manufacturing credits, oil field services, independent energy, and office and retail real estate investment trusts (REITs). Additionally, the modest allocation to high yield corporates was a tailwind as the sector outperformed investment grade credit and duration-matched Treasuries. Within securitized, floating rate ABS holdings like collateralized loan obligations (CLOs) and government-guaranteed FFELP student loans contributed to performance, as did the Fund’s position in non-agency MBS as the sector posted over 2% total return for the period, supported by rising home prices, strong consumer demand, and declining loan-to-value ratios. CMBS positioning favors non-agency backed collateral, which added on the margin as the sector outperformed Treasuries by 14 bps on a duration-adjusted basis. Agency MBS holdings, challenged throughout the year by interest rate volatility and the Fed shifting away from accommodative policy, focused on lower coupon issues which detracted from performance, though the preference for TBAs (To be announced) offset some of the drag as they provided a higher running yield than specified pools.

Duration positioning was extended throughout the period as rates moved higher, though remained modest at 0.88 years. With long-term rates at current levels seemingly close to fair value, the team will be slow to add meaningful duration given the potential for a large, but likely temporary, move in rates materially higher, though potential tactical adjustments will be made in a disciplined manner. Among corporate credit, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in exposure. In particular, hefty new issue concessions created opportunities to add defensive, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain small positions, but were upsized marginally during

Annual Report March 2022 / 2

the period given attractive entry points. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools as the stock effect of the Fed’s purchases as well as sponsorship from money center banks remains supportive. Among non-agency MBS, legacy issues are preferred given the ongoing fundamental improvement in borrower profiles, with the added benefit of having largely floating rate coupons, and the strategy will continue sourcing exposure at favorable valuations, but may also look to add exposure in select newer-vintage non-agency MBS if opportunities arise. In CMBS, the emphasis is on non-agency CMBS holdings, including commercial real estate (CRE) CLOs and super senior single asset, single borrower (SASB) deals, but the strategy will continue to monitor the sector for opportunities down the capital structure. A similar strategy applies to CLOs, with current exposure focused in AAA-rated issues and an eye toward possible additions of well-collateralized AA-rated issues offering good yields alongside solid liquidity, while other ABS exposure includes government-guaranteed FFELP student loans and a very small position in automobiles.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)		4.15%		13.35%	18.22%	15.37%	15.42%	8.19%
S&P 500 Index		5.92%		15.65%	18.91%	15.98%	14.63%	7.98%

Metropolitan West Corporate Bond Fund

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

For the one-year period ending March 31, 2022, the MetWest Corporate Bond Fund – I Class (“Fund”) fell 4.44% (net of fees), trailing the Bloomberg U.S. Corporate Index (“Index”) by 24 bps. The Fund’s duration position was trimmed early in the period to nearly a half-year short versus the benchmark, but was extended in a disciplined fashion alongside the rise in rates over the subsequent months to end the period approximately 0.1 year short. This underweight position rewarded returns as rates rose; however, the overweight to the front-end of the yield curve during the second half of the period resulted in a drag on performance as the yield curve flattened. From a sector allocation perspective, the broad underweight to corporate credit was a benefit overall as yield premiums increased over the period. Issue selection among financials was further additive given the overweight to finance companies and REITs as these were among the top performing corporate credit sectors for the period. Additionally, the underweight to banking rewarded relative performance as bank spreads widened. Meanwhile, issue selection among industrial credit was a drag, particularly the underweight to top performing energy credits, and the overweight to communications and non-cyclicals which trailed Treasuries by 155 and 135 bps, respectively. Finally, the small allocation to securitized products had little impact on relative performance – residential MBS allocations were modestly negative as agency MBS experienced significant volatility due to rising rates and tighter monetary policy during the second half of the period, while ABS and senior CMBS added modestly.

Duration positioning was extended in the last quarter of the period as rates moved higher, though the strategy remained somewhat underweight the Index. With long-term rates at current levels seemingly close to fair value, the team will be cautious in adding duration given the potential for a large, but likely temporary, move in rates materially higher, though all adjustments will be made in a disciplined manner. On the credit side, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in some exposure to bring the overall sector allocation to roughly neutral versus the benchmark. In particular, hefty new issue concessions created opportunities to add defensive, high quality bonds at levels that we view as compensatory for the risk underwritten. Additions were focused in banking, with smaller adds in brokers, technology, and transportations. Though the position was upsized, banking remains one of the largest underweights in the Fund. This is somewhat offset by an overweight to finance companies, REITs and certain insurance credits with attractive long-term fundamentals. Overall Fund positioning remains focused 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. Emerging market debt remains a small position, as potentially raising rates and risks of slowing global growth make relative value unattractive in most cases. Within the off-Index allocation to securitized products, the focus remains on high-quality, more defensive CMBS and ABS holdings generally at the top of the capital structure (though there is some potential to move down the capital structure as opportunities arise).

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)		-7.72%		-4.67%		3.83%		—		—		5.12%
Bloomberg U.S. Corporate Index		-7.48%		-4.20%		3.02%		—		—		4.00%
MWCBX (Inception: June 29, 2018)		-7.61%		-4.44%		4.09%		—		—		5.38%
Bloomberg U.S. Corporate Index		-7.48%		-4.20%		3.02%		—		—		4.00%

3 / Annual Report March 2022

Metropolitan West ESG Securitized Fund

M-Class (MWERX), I-Class (MWESX)

For the period since inception on September 30, 2021, through March 31, 2022, the MetWest ESG Securitized Fund – I Class (“Fund”) fell 5.87% (net of fees) amid rising rates, trailing the Bloomberg U.S. Mortgage-Backed Securities (MBS) Index (“Index”) by 54 bps. Duration positioning was extended alongside the rise in rates, but remained shorter than the benchmark overall, which significantly benefitted relative returns for the period. However, the extension was focused in the front-end of the curve (primarily the 2-Year), which resulted in a small headwind to performance versus the benchmark as shorter yields led the march higher. The Fund’s underweight to agency MBS also added to relative performance as the sector experienced significant volatility due to rising rates and tighter monetary policy during the second half of the period. Meanwhile, the CMBS position was a significant drag as holdings were focused on highly-rated non-agency backed bonds, which were weighed down by underperformance late in the period as this cohort of the market was weighed down by investors fulfilling liquidity needs.

This environment will broadly continue to inform duration and curve positioning in the Fund, along with relative value considerations across securitized sectors. That said, the ESG emphasis of the Fund requires a priority on securitized assets that have positive ESG attributes. This drives an emphasis on a targeted subset of the agency MBS universe where social characteristics, such as affordability, are prioritized along with relative value considerations. Additionally, there is a large allocation to unlabeled green opportunities in the non-agency CMBS sector, specifically single asset, single borrower (SASB) senior A – AAA rated issues, though tactical opportunities down the capital structure are also attractive. Various ABS holdings, particularly solar ABS and data centers present compelling unlabeled green opportunities. In the ESG-labeled securities market, while agency MBS and CMBS (multifamily) offer opportunities for green, social, and sustainable bonds, relative value is constrained, with most opportunities in subordinate and interest-only investments. We expect the ESG-labeled market to increase over time, as issuers structure bonds to meet the rising demand for these assets. Along with expanded ESG labeled issuance, we anticipate more securitized sectors will evolve into social and/or environmental lending and issuance criteria. In the meantime, the Fund will continue to emphasize unlabeled opportunities in securitized credit and agency MBS with socially responsible characteristics, while looking for labeled opportunities that meet our return and ESG objectives. Finally, duration positioning was slightly extended throughout the period as rates moved higher, though the strategy remains underweight the Index.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception1
MWERX (Inception: October 1, 2021)		-5.60%		—		—		—		—		-5.60%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		-5.33%		—		—		—		—		-5.33%
MWESX (Inception: October 1, 2021)		-5.87%		—		—		—		—		-5.87%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		-5.33%		—		—		—		—		-5.33%
1 Non-annualized. Cumulative return for the Fund during the period of October 1, 2021 through March 31, 2022.

Metropolitan West Flexible Income Fund M-Class

(MWFSX), I-Class (MWFEX)

For the one-year period ending March 31, 2022, the MetWest Flexible Income Fund – I Class (“Fund”) fell 2.05% (net of fees), but outperformed the Bloomberg U.S. Aggregate Bond Index (“Index”) by 210 bps. Duration positioning was extended alongside the rise in rates, but remained shorter than the benchmark overall, which significantly benefitted relative returns for the period. However, the extension was focused in the front-end of the curve (primarily the 5-year space) increasing the relative overweight in that space, which resulted in a headwind to performance versus the benchmark as shorter yields led the march higher. From a sector perspective, the relative underweight to corporate credit was additive to returns as risk premiums increased, with a further contribution from the overweight to high yield corporate debt which outpaced Treasuries by nearly 290 bps year-over-year. While this underweight to investment grade credit, informed by historically tight spreads, minimal dispersion and fundamental vulnerabilities was maintained going into the year, the move wider in yield spreads provided opportunities to add exposure. Among securitized, the underweight to agency MBS rewarded relative returns as the sector experienced significant volatility due to rising rates and tighter monetary policy during the second half of the period. The out-of-Index allocation to legacy non-agency MBS (up over 2.3% for the year, notwithstanding some price volatility in early 2022) further boosted returns as the sector benefitted from a solid housing backdrop and rising prices throughout the year. Finally, smaller additional gains came from issue selection among CMBS and ABS.

Annual Report March 2022 / 4

Duration positioning was slightly extended throughout the period as rates moved higher, though the strategy remains underweight the Index. With long-term rates at current levels seemingly close to fair value, the team will be slow to add meaningful duration given the potential for a large, but likely temporary, move in rates materially higher, though tactical adjustments may be made in a disciplined manner. On the credit side, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in exposure at attractive levels. In particular, hefty new issue concessions created opportunities to add defensive, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, brokers, insurance, capital goods, and consumer non-cyclicals, the last already an area of interest given its relatively defensive nature. Meanwhile, high yield and emerging market debt remain small positions, but were upsized marginally during the period given attractive entry points. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools as the stock effect of the Fed’s purchases as well as sponsorship from money center banks both remain supportive. Among non-agency MBS, legacy issues are preferred given the ongoing fundamental improvement in borrower profiles, with the added benefit of having largely floating rate coupons, and the strategy will continue sourcing exposure at favorable valuations, but may also look to add exposure in select newer-vintage non-agency MBS if opportunities arise. In CMBS, the emphasis is on non-agency holdings, including conduits and single asset, single borrower (SASB) deals, but the strategy will continue to monitor the sector for opportunities down the capital structure. A similar strategy applies to CLOs, with additions of well-collateralized AA-rated issues offering good yields alongside solid liquidity, while other ABS exposure includes automobile, government-guaranteed FFELP student loans and other esoteric collateral types.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFSX (Inception: November 30, 2018)		-4.62%		-2.30%		5.96%		—		—		8.49%
Bloomberg U.S. Aggregate Bond Index		-5.92%		-4.15%		1.69%		—		—		2.97%
MWFEX (Inception: November 30, 2018)		-4.50%		-2.05%		6.14%		—		—		8.64%
Bloomberg U.S. Aggregate Bond Index		-5.92%		-4.15%		1.69%		—		—		2.97%

Metropolitan West Floating Rate Income Fund

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

Macro volatility stemming from tighter monetary policy and the Russia/Ukraine crisis was overshadowed by skyrocketing inflation and the rise in rates that resulted in a bid for loans owing to their floating-rate structure. Consequently, performance by the MetWest Floating Rate Income Fund – I Class (“Fund”) was positive for the one-year period ending March 31, 2022, though its gain of 1.61% (net of fees) represents a 164-basis point deficit versus the S&P/LSTA Leveraged Loan Index (“Index”). The effects of COVID-induced financial stimulus and accommodative monetary policy prompted industries with more market exposure to generally outperform. In this environment, the Fund’s underweight to sectors such as technology, cyclicals, and transportation was a small negative. Weighing further on returns was issue selection in these sectors that held a bias for higher quality vis-à-vis those held in the Index, given the outperformance of lower-rated issues during this timeframe. Adding to the underperformance were selections among communications and financials like brokerage and insurance, as those designated in the Fund performed behind those held within the Index. However, delivering a boost to returns were the Fund’s selection in non-cyclical loans, which outpaced those in the Index. Finally, from a quality perspective as alluded to above, lower-rated loans exceeded their better-rated counterparts in terms of returns, with the Fund’s emphasis on premium quality, therefore, a driver of underperformance.

After months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations during the first quarter of 2022 to layer back in exposure at attractive levels. In particular, hefty new issue concessions created opportunities to add defensive, high-quality names at levels that we view as compensatory for the risk underwritten. Additions included banking, insurance, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. As such, allocations continue to emphasize high-conviction names and defensive industries such as communications, non-cyclicals (especially healthcare), senior secured gaming, and select packaging, while cautious of those with more market risk like cyclicals, energy, basic industry, transportation, and technology. Financials remain an underweight overall; within financials, however, the exposure to banking is an overweight. With strong balance sheets, banking remains compelling, particularly given expectations for a steeper curve. In utilities, the small allocation consists of an overweight to utility servicers and an underweight to electric. Finally, on a quality basis, current valuation in lower-rated loans is lofty with overly optimistic assumptions, informing an emphasis on higher quality, though the strategy remains opportunistic and will look to take advantage of bouts of volatility and increase the exposure to lower-rated cohorts should attractive entry points present themselves.

5 / Annual Report March 2022

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFRX (Inception: June 28, 2013)		-0.27%		1.50%		3.16%		3.16%		—		3.39%
S&P/LSTA Leveraged Loan Index		0.64%		3.25%		4.22%		4.00%		—		3.98%
MWFLX (Inception: June 28, 2013)		-0.28%		1.61%		3.34%		3.35%		—		3.59%
S&P/LSTA Leveraged Loan Index		0.64%		3.25%		4.22%		4.00%		—		3.98%
MWFPX (Inception: January 29, 2021)		-0.22%		1.76%		—		—		—		1.78%
S&P/LSTA Leveraged Loan Index		0.64%		3.25%		—		—		—		3.31%

Metropolitan West High Yield Bond Fund

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

The MetWest High Yield Bond Fund – I Class (“Fund”) fell 1.15% (net of fees) for the one-year period ended March 31, 2022, trailing the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap (“Index”) by 49 bps. The biggest drag on performance came from the Fund’s industrial positioning, notably an underweight to top performing energy sub-sectors such as independent E&P (Exploration and Production) and oil field services, which generated over 12% and 19% of positive excess returns, respectively. A further drag came from an overweight to communications and consumer non-cyclicals, both of which were the worst performers within the broader high yield universe (weighed down by wireless and pharmaceuticals in particular). An overall underweight to lower-quality credits was an additional headwind, as CCC-rated issues handily outpaced the higher-rated cohorts with a 0.8% positive total return. However, strong issue selection was able to offset some of these drags, with the Fund’s holdings in the energy, transportation, and electric utility sectors outpacing those held in the Index. Finally, as rates moved sharply higher over the course of the year, the duration position was extended though remained relatively short versus the benchmark, rewarding performance.

Volatility in early 2022 has presented opportunities to add in exposure, as the high yield market became broadly actionable at wider spread levels, though spread levels have subsequently tightened in. Looking forward, upcoming earnings releases will be critical for dissecting how companies respond to rising input costs and the impact on profitability. We expect there to be further divergence in issuer performance, which should create additional opportunities to add to corporate bond exposures in the months and quarters ahead. Meanwhile, the team continues to be very deliberate in its additions, with an overall emphasis on what are viewed as more resilient, defensive areas of the market such as non-cyclical, recession-resistant sectors (i.e., communications and consumer non-cyclicals) while energy, retail and technology credits represent relative underweights. Given expectations for episodic market volatility, prospective performance gains are likely to be less attributable to market beta and more the result of credit-specific alpha, informing the continued focus on security selection and fundamental credit underwriting to minimize principal loss. Finally, the Fund’s positioning closed March approximately 0.2 years shorter than the benchmark, and with long-term rates at current levels seemingly close to fair value, the team will be cautious in adding duration given the potential for a large, but likely temporary, move in rates materially higher, though all adjustments will be made in a disciplined manner.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)		-4.48%		-1.30%	5.23%	4.85%	4.80%	7.63%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		-4.16%		-0.66%	4.55%	4.67%	5.74%	8.17%
MWHIX (Inception: March 31, 2003)		-4.37%		-1.15%	5.50%	5.09%	5.05%	7.13%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		-4.16%		-0.66%	4.55%	4.67%	5.74%	7.63%

Metropolitan West Intermediate Bond Fund

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

For the one-year period ending March 31, 2022, the MetWest Intermediate Bond Fund – I Class (“Fund”) fell 4.33%, trailing the Bloomberg Intermediate U.S. Government/Credit Index (“Index”) by 23 bps. The Fund’s duration position was extended in a disciplined fashion alongside this rise in rates but remained shorter than the Index overall, which benefitted relative returns. However, the extension during the year was focused primarily in the front-end of the curve, which resulted in a small headwind to performance versus the Index as shorter yields led the march higher. An underweight to corporate credit benefitted returns during

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the period as yield premiums rose throughout the year, while the preference for defensive subsectors including communications and non-cyclicals further helped relative returns as they were among the top performers within corporate credit. Additional contributions came from favorable issue selection within industrials, namely diversified manufacturing, airline and automobile credits, while modest off-Index exposure to high yield corporates provided a tailwind as the sector outperformed Treasuries by nearly 290 bps on a duration-adjusted basis. The Fund’s allocation to securitized products, however, weighed on returns as the broad sector grappled with interest rate volatility. Agency MBS holdings emphasized lower coupon issues which performed poorly during the period, though some of the drag was offset by the preference for TBAs (To be announced) as they offered a higher running yield compared to specified pools. Similarly, the ABS sector experienced a rise in yield premiums in sympathy with the broader markets, though government-guaranteed FFELP student loan and floating rate collateralized loan obligations (CLOs) held in the Fund performed well versus Index ABS holdings. Lastly, non-agency MBS holdings backed by both prime and subprime collateral benefitted returns as the broad sector returned 2.3% amidst a strong housing backdrop with increased demand, rising home prices and declining loan-to-value ratios.

Duration positioning was extended throughout the period as rates moved higher, though the strategy remained somewhat underweight the Index. With long-term rates at current levels seemingly close to fair value, the team will be cautious in adding duration given the potential for a large, but likely temporary, move in rates materially higher, though all adjustments will be made in a disciplined manner. On the credit side, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in exposure to bring the overall sector allocation to neutral versus the benchmark. In particular, hefty new issue concessions created opportunities to add defensive, longer tenor, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, insurance, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain a small position. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools as the stock effect of the Fed’s purchases as well as sponsorship from money center banks remains supportive. Among non-agency MBS, legacy issues are preferred given the ongoing fundamental improvement in borrower profiles, with the added benefit of having largely floating rate coupons, and the strategy will continue sourcing exposure at favorable valuations, but may also look to add exposure in select newer-vintage non-agency MBS if opportunities arise. In CMBS, the emphasis is on non-agency CMBS holdings, including super senior single asset, single borrower (SASB) deals, but the strategy will continue to monitor the sector for opportunities down the capital structure. A similar strategy applies to CLOs, with additions of well-collateralized AA-rated issues offering good yields alongside solid liquidity, while other ABS exposure includes government-guaranteed FFELP student loans.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)		-5.36%		-4.63%		-1.65%		1.85%		2.15%		3.75%
Bloomberg Intermediate U.S. Government/Credit Index		-5.05%		-4.10%		1.50%		1.81%		1.84%		3.03%
MWIIX (Inception: June 28, 2002)		-5.17%		-4.33%		1.91%		2.08%		2.38%		4.55%
Bloomberg Intermediate U.S. Government/Credit Index		-5.05%		-4.10%		1.50%		1.81%		1.84%		3.41%

Metropolitan West Investment Grade Credit Fund

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

For the one-year period ending March 31, 2022, the MetWest Investment Grade Credit Fund – I Class (“Fund”) lost 5.22% (net of fees), trailing the Bloomberg U.S. Intermediate Credit Index (“Index”) by 117 bps. The Fund’s duration position was trimmed early in the period to nearly a half-year short versus the benchmark, but was extended in a disciplined fashion alongside the rise in rates over the subsequent months to end the period approximately 0.1 year short. This underweight position rewarded returns as rates rose; however, the overweight to the front-end of the yield curve during the second half of the period resulted in a drag on performance as the yield curve flattened. From a sector allocation perspective, the increased allocation to corporate credit, bringing the position to a relative overweight versus the benchmark, resulted in a drag on performance as yield premiums increased over the period. Offsetting some of this drag was an overweight among financials, particularly the overweight to REITs as this was one of the top performing corporate credit sectors for the period, while the underweight to banking was also additive as bank spreads widened. Issue selection among industrials, however, was a drag, particularly the underweight to top performing energy credits, and the overweight to communications and non-cyclicals, which trailed Treasuries by 155 and 135 bps, respectively. Meanwhile, the small allocation to securitized products (not held in the benchmark) had a negative impact on relative performance – residential MBS allocations weighed on returns as agency MBS experienced significant volatility due to rising rates and tighter monetary policy during the second half of the period, while ABS and senior CMBS detracted modestly. Among non-corporate credit, the small off-Index position in municipal debt also weighed on performance as the sector lagged Treasuries and the broader corporate market on a duration-adjusted basis.

7 / Annual Report March 2022

Duration positioning was extended in the last quarter of the period as rates moved higher, though the strategy remained somewhat underweight the Index. With long-term rates at current levels seemingly close to fair value, the team will be cautious in adding duration given the potential for a large, but likely temporary, move in rates materially higher, though all adjustments will be made in a disciplined manner. On the credit side, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in some exposure to bring the overall sector allocation to roughly neutral versus the benchmark. In particular, hefty new issue concessions created opportunities to add defensive, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions were focused in REITs and electric utilities, with smaller adds in transportation. Meanwhile, banking remains one of the largest underweights in the Fund. This is somewhat offset by an overweight to REITs and certain insurance credits with attractive long-term fundamentals. Overall Fund positioning remains focused 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. Emerging market debt remains a small position (underweight versus the benchmark), as potentially raising rates and risks of slowing global growth make relative value unattractive in most cases. Within the off-Index allocation to securitized products, the focus remains on high-quality, more defensive CMBS and ABS holdings generally at the top of the capital structure (though there is some potential to move down the capital structure as opportunities arise).

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since  Inception  (Annualized)
MWISX (Inception: June 29, 2018)		-6.87%		-5.42%		2.29%		—		—		4.19%
Bloomberg U.S. Intermediate Credit Index		-5.59%		-4.05%		2.09%		—		—		3.02%
MWIGX (Inception: June 29, 2018)		-6.77%		-5.22%		2.50%		—		—		4.41%
Bloomberg U.S. Intermediate Credit Index		-5.59%		-4.05%		2.09%		—		—		3.02%

Metropolitan West Low Duration Bond Fund

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

The MetWest Low Duration Bond Fund – I Class (“Fund”) fell 2.34% (net of fees) for the one-year period ending March 31, 2022, outpacing the ICE BofA 1-3 Year U.S. Treasury Index (“Index”) by 50 bps. On the heels of COVID-induced financial stimulus and accommodative monetary policy, inflation concerns were prevalent throughout 2021 and have increased considerably in the first quarter of 2022, with Russia’s invasion of Ukraine creating further volatility and price pressures. As such, markets re-priced considerably with rates rising across the maturity spectrum led by front-end of the curve, with the 2-Year up over 200 basis points (bps) and the 10-Year up nearly 60 bps since March of last year. The Fund’s duration position, which was reduced earlier in the year and gradually extended in the second half of the year, has remained short the Index for a majority of the period, benefiting performance in the rising rate environment. An additional boost to performance came from the underweight to the front-end of the curve. The allocation to corporate credit, meanwhile produced a muted return with positive absolute contribution coming from midstream, autos, and diversified manufacturing. Additionally, the modest allocation to high yield corporates was a tailwind as the sector outperformed investment grade credit and duration-matched Treasuries. Within securitized, floating rate ABS holdings like collateralized loan obligations (CLOs) and government-guaranteed FFELP student loans contributed to performance, as did the Fund’s position in non-agency MBS as the sector posted over 2% total return for the period, supported by rising home prices, strong consumer demand, and declining loan-to-value ratios in the underlying collateral. Challenged by rate volatility and Fed tapering, agency MBS weighed on returns, though this drag was offset somewhat by the Fund’s preference for TBAs (To be announced) given their higher running yield versus pools.

Duration positioning was extended as rates moved higher, with the strategy now modestly overweight the Index. With long-term rates at current levels seemingly close to fair value, the team will be slow to add meaningful duration given the potential for a large, but likely temporary, move in rates materially higher, though tactical adjustments may be made in a disciplined manner. On the credit side, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations during the first quarter of 2022 to layer back in exposure at attractive levels. In particular, hefty new issue concessions created opportunities to add defensive, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, insurance, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain small positions, but were upsized marginally during the end of the period given attractive entry points. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools as the stock effect of the Fed’s purchases as well as sponsorship from money center banks both remain supportive. Among non-agency MBS, legacy issues are preferred given the ongoing fundamental improvement in borrower profiles, with the added benefit of having largely floating rate coupons, and the strategy will continue sourcing exposure at favorable valuations, but may also look to add exposure in select newer-vintage non-agency MBS if opportunities arise. In CMBS, the emphasis is on non-agency CMBS holdings, including conduits and super

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senior single asset, single borrower (SASB) deals, but the strategy will continue to monitor the sector for opportunities down the capital structure. A similar strategy applies to CLOs, with additions of well-collateralized AA-rated issues offering good yields alongside solid liquidity, while other ABS exposure includes government-guaranteed FFELP student loans.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since  Inception  (Annualized)
MWLDX (Inception: March 31, 1997)		-3.14%		-2.65%		1.03%		1.29%		1.62%		3.30%
ICE BofA 1-3 Year U.S. Treasury Index		-2.86%		-2.84%		0.88%		1.08%		0.86%		2.91%
MWLIX (Inception: March 31, 2000)		-3.04%		-2.34%		1.27%		1.53%		1.84%		3.00%
ICE BofA 1-3 Year U.S. Treasury Index		-2.86%		-2.84%		0.88%		1.08%		0.86%		2.52%
MWLNX (Inception: September 22, 2009)		-3.16%		-2.74%		0.96%		1.19%		1.49%		2.65%
ICE BofA 1-3 Year U.S. Treasury Index		-2.86%		-2.84%		0.88%		1.08%		0.86%		1.00%

Metropolitan West Opportunistic High Income Credit Fund

M-Class (MWORX), I-Class (MWOPX)

Since its inception of August 2, 2021, the MetWest Opportunistic High Income Credit Fund – I Class (“Fund”) has fallen 2.04% (net fees), though this was approximately 127 bps ahead of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap (“Index”). The negative total return profile was largely a function of the sharp uptick in rates, with 2-Year and 5-Year Treasury yields up over 216 and 180 bps during the period, respectively, weighing on fixed income overall. The duration position remained short the Index for a majority of the period, though was extended as rates rose, to ultimately end the period modestly long relative to the benchmark. Regarding the sector allocations, while the Fund has a broad selection set including equities, bank loans, corporate and securitized credit, positioning remains largely concentrated in the corporate credit space. Within that exposure, an underweight to energy and consumer cyclicals detracted from returns, with an additional drag coming from issue selection among consumer cyclicals and communications. However, the Fund’s holdings in capital goods, energy, and transportation outpaced those held in the Index, offsetting the aforementioned drag. Meanwhile, an allocation to legacy non-agency residential mortgage-backed securities was beneficial, as the sector was supported by rising home prices, strong consumer demand, and declining loan-to-value ratios in the underlying collateral, followed by addition contributions from commercial mortgage-backed securities, particularly those backed by non-agency collateral.

Strategically, the Fund will continue to position for good value opportunities with a higher yield profile and the search for idiosyncratic securities and themes will guide the approach. Within corporate credit, the team was able to take advantage of pricing dislocations during the first quarter of 2022 to layer in exposure. In particular, hefty new issue concessions created opportunities to add defensive, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain small positions, but were upsized marginally given attractive entry points. Presently, just under 10% of the holdings are allocated to residential and commercial MBS, with approximately 15% and 8% of Fund NAV (net asset value) allocated to equities and bank loans, respectively. Going forward, expectations are that these exposures can vary substantially as value perspectives shift in the market and present yield opportunities at attractive risk-adjusted yields.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since   Inception1
MWORX (Inception: August 2, 2021)		-4.59%		—		—		—		—		-2.09%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		-4.16%		—		—		—		—		-3.31%
MWOPX (Inception: August 2, 2021)		-4.16%		—		—		—		—		-2.04%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		-4.16%		—		—		—		—		-3.31%
1 Non-annualized. Cumulative return for the Fund during the period of August 2, 2021 through March 31, 2022.

Metropolitan West Strategic Income Fund

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

The MetWest Strategic Income Fund – I Class (“Fund”) fell 2.76% (net of fees), 466 bps behind the ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps (“Index”). The largest headwind to returns came from the duration positioning, which was extended from 1.4 years to 2.4 years alongside the rise in rates (the 2-Year Treasury yield was up over 220 bps, while the 10-Year

9 / Annual Report March 2022

bellwether yield moved 60 bps higher). A further drag came from the allocation to securitized products, namely CMBS, while ABS also weighed on returns. Among residential MBS holdings, non-agency MBS issues held in the Fund experienced some price weakness later in the period despite a solid housing backdrop, while agency MBS was a drag from a sector perspective given headwinds of rate volatility and concerns over Fed pullback. Within the corporate credit exposure, investment grade credit detracted from returns, as the overall sector trailed duration-matched Treasuries by nearly 90 bps. In particular, an emphasis on consumer non-cyclicals and communications was a drag. These headwinds were somewhat offset by positive contributions coming from the smaller position in high yield credit, as the asset class was one of the few to deliver positive excess returns over Treasuries during the period.

Duration positioning ended the period at a modest 2.4 years and with long-term rates at current levels now seemingly close to fair value, the team will be slow to add meaningful duration given the potential for a large, but likely temporary, move in rates materially higher, though potential tactical adjustments will be made in a disciplined manner. On the credit side of things, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in a considerable amount of exposure. In particular, hefty new issue concessions created opportunities to add defensive, longer-tenor, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, insurance, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain small positions, but were upsized marginally later in the period given attractive entry points. Within securitized, the strategy continues to prefer legacy non-agency MBS, which remains attractive from a collateral perspective while having the added benefit of having largely floating rate coupons if rates continue to rise. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset, single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since  Inception  (Annualized)
MWSTX (Inception: June 30, 2003)		-4.42%		-2.99%		2.11%		2.42%		3.16%		3.80%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		0.88%		1.90%		2.76%		3.10%		2.62%		3.26%
MWSIX (Inception: March 31, 2004)		-4.30%		-2.76%		2.29%		2.64%		3.41%		3.34%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		0.88%		1.90%		2.76%		3.10%		2.62%		3.27%

Metropolitan West Total Return Bond Fund

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

For the year ending March 31, 2022, the MetWest Total Return Bond Fund – I Class (“Fund”) fell 4.58% (net of fees), trailing the Bloomberg U.S. Aggregate Bond Index (“Index”) by 43 bps. The Fund’s duration position was trimmed early in the period to nearly approximately a half-year short versus the benchmark, but was extended in a disciplined fashion alongside the rise in rates over the subsequent months to end the period approximately 0.1 year short. This underweight position rewarded returns as rates rose; however, the increase in duration was primarily focused in the shorter end of the curve, which underperformed as the curve flattened, resulting in a drag on performance. An underweight to lagging corporate credit was additive to returns throughout the period, though issue selection within the sector was a modest drag as names held in the Fund slightly lagged those held in the benchmark. Among securitized, the overall impact was largely flat - an overweight to ABS and CMBS resulted in a small drag, with issue selection having little additional impact, while the contributions from residential MBS issue selection were offset by an overweight to the sector as it widened. More specifically, the relative overweight to agency MBS weighed on relative returns as the sector experienced significant volatility due to rising rates and tighter monetary policy during the second half of the period. While some of this was mitigated by a focus within agency MBS on TBAs (which benefit from a higher running yield than pools), the emphasis on lower coupon issues was still a drag. Meanwhile, returns benefitted from the allocation to legacy non-agency MBS (up over 2.3% for the year, notwithstanding some price volatility in early 2022) which benefitted from a solid housing backdrop and rising prices throughout the year.

Duration positioning remained somewhat underweight the Index, and with long-term rates at current levels seemingly close to fair value, the team will be cautious in adding duration given the potential for a large, but likely temporary, move in rates materially higher, though all adjustments will be made in a disciplined manner. On the credit side, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in exposure to bring the overall sector allocation to roughly neutral versus the benchmark. In particular, hefty new issue concessions created opportunities to add defensive, longer-tenor, high-quality bonds at levels that we view as compensatory for the risk

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underwritten. Additions included banking, insurance, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain a small position, but were upsized marginally during the period given attractive entry points. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools as the stock effect of the Fed’s purchases as well as sponsorship from money center banks remains supportive. Among non-agency MBS, legacy issues are preferred given the ongoing fundamental improvement in borrower profiles, with the added benefit of having largely floating rate coupons, and the strategy will continue sourcing exposure at favorable valuations, but may also look to add exposure in select newer-vintage non-agency MBS if opportunities arise. In CMBS, the emphasis is on non-agency CMBS holdings, including CRE CLOs and super senior single asset, single borrower (SASB) deals, but the strategy will continue to monitor the sector for opportunities down the capital structure. A similar strategy applies to CLOs, with additions of well-collateralized AA-rated issues offering good yields alongside solid liquidity, while other ABS exposure includes government-guaranteed FFELP student loans.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since  Inception  (Annualized)
MWTRX (Inception: March 31, 1997)		-6.47%		-4.69%		2.05%		2.31%		2.88%	5.56%
Bloomberg U.S. Aggregate Bond Index		-5.92%		-4.15%		1.69%		2.14%		2.24%	4.71%
MWTIX (Inception: March 31, 2000)		-6.38%		-4.58%		2.24%		2.51%		3.10%	5.37%
Bloomberg U.S. Aggregate Bond Index		-5.92%		-4.15%		1.69%		2.14%		2.24%	4.44%
MWTTX (Inception: March 6, 2020)		-6.43%		-4.65%		—		—		—	-1.99%
Bloomberg U.S. Aggregate Bond Index		-5.92%		-4.15%		—		—		—	-1.97%
MWTNX (Inception: December 18, 2009)		-6.53%		-4.89%		1.90%		2.17%		2.74%	3.69%
Bloomberg U.S. Aggregate Bond Index		-5.92%		-4.15%		1.69%		2.14%		2.24%	2.92%
MWTSX (Inception: August 1, 2011)		-6.33%		-4.50%		2.34%		2.60%		3.17%	3.33%
Bloomberg U.S. Aggregate Bond Index		-5.92%		-4.15%		1.69%		2.14%		2.24%	2.44%

Metropolitan West Ultra Short Bond Fund

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

The MetWest Ultra Short Bond Fund – I Class (“Fund”) fell 1.21% (net of fees) for the one-year period ending March 31, 2022, lagging the ICE BofA 1-Year U.S. Treasury Index (“Index”) by 27 bps. On the heels of COVID-induced financial stimulus and accommodative monetary policy, inflation concerns were prevalent throughout 2021 and have increased considerably in the first quarter of 2022, with Russia’s invasion of Ukraine creating further volatility and price pressures. As such, markets re-priced considerably with rates rising across the maturity spectrum led by front-end of the curve, with the 2-Year up over 200 basis points (bps) and the 10-Year up nearly 60 bps since March of last year. The Fund’s duration position, which was reduced earlier in the year and gradually extended in the second half of the year, has remained short the Index for a majority of the period, benefiting performance in the rising rate environment. However, an overweight to the front-end detracted. The allocation to corporate credit, meanwhile, produced a drag as the sector grappled with supply chain issues and volatility throughout the year, trailing Treasuries by 8 bps on a duration-adjusted basis. Despite the challenges faced in the space, positive contribution came from issue selection, notably in airlines and autos, diversified manufacturing, and food & beverage. Within securitized, the Fund’s position in non-agency MBS was beneficial as the sector posted over 2% total return for the period, supported by rising home prices, strong consumer demand, and declining loan-to-value ratios in the underlying collateral. CMBS positioning favors non-agency backed collateral, which further benefited returns as the sector outperformed Treasuries by 14 bps on a duration-adjusted basis. Challenged by rate volatility and Fed tapering, agency MBS held back returns, though this drag was offset by the Fund’s preference for TBAs (To be announced) given their higher running yield versus pools.

A shorter-than-Index duration positioning was extended throughout the year as rates moved higher, ending at 0.1 years long versus the Index. With long-term rates at current levels seemingly close to fair value, the team will be slow to add meaningful duration given the potential for a large, but likely temporary, move in rates materially higher, though potential tactical adjustments will be made in a disciplined manner. Among corporate credit, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations during the first quarter of 2022 to layer back in exposure. In particular, hefty new issue concessions created opportunities to add defensive, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain small positions, but were upsized marginally given attractive entry points. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools as the stock effect of the Fed’s purchases as well as sponsorship from money center banks remains supportive. Among non-agency MBS, legacy issues are preferred given the ongoing fundamental improvement in

11 / Annual Report March 2022

borrower profiles, with the added benefit of having largely floating rate coupons, and the strategy will continue sourcing exposure at favorable valuations, but may also look to add exposure in select newer-vintage non-agency MBS if opportunities arise. In CMBS, the emphasis is on non-agency CMBS holdings, including CRE CLOs and super senior single asset, single borrower (SASB) deals, but the strategy will continue to monitor the sector for opportunities down the capital structure. A similar strategy applies to CLOs, with current exposure focused in AAA-rated issues and an eye toward possible additions of well-collateralized AA-rated issues offering good yields alongside solid liquidity, while other ABS exposure includes government-guaranteed FFELP student loans and a very small position in automobiles.

	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since  Inception  (Annualized)
MWUSX (Inception: June 30, 2003)		-1.39%		-1.14%		0.57%		0.95%		1.14%	1.66%
ICE BofA 1-Year U.S. Treasury Index		-0.98%		-0.94%		1.00%		1.22%		0.78%	1.52%
MWUIX (Inception: July 31, 2004)		-1.54%		-1.21%		0.66%		1.11%		1.28%	1.52%
ICE BofA 1-Year U.S. Treasury Index		-0.98%		-0.94%		1.00%		1.22%		0.78%	1.56%

Metropolitan West Unconstrained Bond Fund

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

The MetWest Unconstrained Bond Fund – I Class (“Fund”) fell 2.88% (net of fees) during the one-year period ending March 31, 2022, trailing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index (“Index”) by 307 bps. The largest headwind to returns came from the duration positioning, which was adjusted in a range of 1.8 to 2.4 years amid rate volatility, given that the Treasury curve moved considerably higher (the 2-Year Treasury yield was up over 220 bps, while the 10-Year bellwether yield moved just 60 bps higher). Meanwhile, the allocation to spread sectors were additive, led by corporate credit. In particular, names within midstream energy, finance companies, and airlines benefitted performance. The smaller position in high yield credit also boosted returns, as the asset class was one of the few to deliver positive excess returns over Treasuries during the period (+287 bps) and the Fund upsized the exposure there on weakness in early 2022. Within the securitized products allocation, contributions were led by the Fund’s CMBS holdings, most notably non-agency backed bonds, which outperformed comparable duration-matched Treasuries by 14 bps during the period. Further benefit came from the ABS position, which remains focused on government-guaranteed FFELP student loans and high-quality CLOs. Among residential MBS, non-agency MBS issues held in the Fund experienced some price weakness later in the period, but were modestly additive to returns. Finally, agency MBS was a drag from a sector perspective given headwinds of rate volatility and concerns over Fed pullback, though this was offset by an emphasis on TBAs, which continued to benefit from a higher running yield than pools.

Duration positioning ended the period at a modest 2.0 years and with long-term rates at current levels now seemingly close to fair value, the team will be slow to add meaningful duration given the potential for a large, but likely temporary, move in rates materially higher, though potential tactical adjustments will be made in a disciplined manner. On the credit side of things, after months of de-risking given historically tight valuations, the team was able to take advantage of pricing dislocations late in the period to layer back in exposure. In particular, hefty new issue concessions created opportunities to add defensive, longer-tenor, high-quality bonds at levels that we view as compensatory for the risk underwritten. Additions included banking, insurance, communications, and consumer non-cyclicals, the latter two already areas of interest given their relatively defensive nature. Meanwhile, high yield and emerging market debt remain small positions, but were upsized marginally during the period given attractive entry points. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs due to better yield carry versus specified pools as the stock effect of the Fed’s purchases as well as sponsorship from money center banks remains supportive. Among non-agency MBS, legacy issues are preferred given the ongoing fundamental improvement in borrower profiles, with the added benefit of having largely floating rate coupons, and the strategy will continue sourcing exposure at favorable valuations, but may also look to add exposure in select newer-vintage non-agency MBS if opportunities arise. In CMBS, the emphasis is on non-agency CMBS holdings, including CRE CLOs and super senior single asset, single borrower (SASB) deals, but the strategy will continue to monitor the sector for opportunities down the capital structure. A similar strategy applies to CLOs, with additions of well-collateralized AA-rated issues offering good yields alongside solid liquidity, while other ABS exposure includes government-guaranteed FFELP student loans.

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	Performance Through March 31, 2022
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since  Inception  (Annualized)
MWCRX (Inception: October 1, 2011)		-4.43%		-3.15%		1.63%		2.08%		2.95%	4.24%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		0.10%		0.19%		0.97%		1.35%		0.88%	0.86%
MWCIX (Inception: October 1, 2011)		-4.31%		-2.88%		1.92%		2.37%		3.22%	4.52%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		0.10%		0.19%		0.97%		1.35%		0.88%	0.86%
MWCPX (Inception: March 6, 2020)		-4.28%		-2.83%		—		—		—	0.41%
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index		0.10%		0.19%		—		—		—	0.38%

A Disciplined Value Philosophy

While the start to the year – one of the most difficult stretches in bond market history – also signals the possibility of turbulence in the months and quarters to come, we continue, as ever, to look at challenges as opportunity. Navigating the bumpy environment also reminds us that performance can defy reason for some periods, as well. However, with appropriate risk control, discipline and alertness to buy attractive bonds at cheap and hopefully compelling prices, the stage can be set for significant longer-term outperformance. Portfolios are currently well positioned to capitalize on these opportunities, while also maintaining substantial liquidity for flexibility in all market conditions.

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

Sincerely,

David B. Lippman

President and Principal Executive Officer of the Trust

Metropolitan West Funds

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

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

Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the 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.

13 / Annual Report March 2022

The views and forecasts expressed here are as of May 2022, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.

This report must be preceded or accompanied by a prospectus.

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Metropolitan West Funds

Illustration of an Assumed Investment of $10,000

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

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

Metropolitan West AlphaTrak 500 Fund

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were 13.35% and 15.42%, respectively. The graph assumes that distributions were reinvested.

Metropolitan West Corporate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Corporate Bond Fund Class M with the performance of the Bloomberg U.S. Corporate Index. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class M were -4.67% and 5.12%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Corporate Bond Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class I were -4.44% and 5.38%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Corporate Bond Fund Class I shares would have been valued at $12,175.

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Metropolitan West ESG Securitized Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West ESG Securitized Fund Class M with the performance of the Bloomberg U.S. Mortgage-Backed Securities (MBS) Index. The since inception total return for the Metropolitan West ESG Securitized Fund Class M was -5.60%. The inception date for Class M was October 1, 2021. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West ESG Securitized Fund Class I was October 1, 2021. The since inception total return for the Metropolitan West ESG Securitized Fund Class I was -5.87%. At the end of the same period, a $10,000 investment in the Metropolitan West ESG Securitized Fund Class I shares would have been valued at $9,414.

Metropolitan West Flexible Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Flexible Income Fund Class M with the performance of the Bloomberg U.S. Aggregate Bond Index. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class M were -2.30% and 8.49%, respectively. The inception date for Class M was November 30, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Flexible Income Fund Class I was November 30, 2018. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class I were -2.05% and 8.64%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Flexible Income Fund Class I shares would have been valued at $13,181.

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Metropolitan West Floating Rate Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the S&P/LSTA Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were 1.50% and 3.39%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class I were 1.61% and 3.59%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class I shares would have been valued at $13,615.

The inception date for the Metropolitan West Floating Rate Income Fund Plan Class was January 29, 2021. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Plan Class were 1.76% and 1.78%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Plan Class shares would have been valued at $10,208.

Metropolitan West High Yield Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were -1.30% and 4.80%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West High Yield Bond Fund Class I, the one year and average annual 10 year total returns were -1.15% and 5.05%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $16,362.

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Metropolitan West Intermediate Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Bloomberg Intermediate U.S. Government/Credit Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were -4.63% and 2.15%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Intermediate Bond Fund Class I, the one year and average annual 10 year total returns were -4.33% and 2.38%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $12,653.

Metropolitan West Investment Grade Credit Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class M with the performance of the Bloomberg U.S. Intermediate Credit Index. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class M were -5.42% and 4.19%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Investment Grade Credit Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class I were -5.22% and 4.41%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $11,759.

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Metropolitan West Low Duration Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the ICE BofA 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were -2.65% and 1.62%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns were -2.34% and 1.84%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $11,999.

For the Metropolitan West Low Duration Bond Fund Administrative Class, the one year and average annual 10 year total returns were -2.74% and 1.49%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $11,597.

Metropolitan West Opportunistic High Income Credit Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan Opportunistic High Income Credit Fund Class M with the performance of the Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap. The since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class M was -2.09%. The inception date for Class M was August 2, 2021. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan Opportunistic High Income Credit Fund Class I was August 2, 2021. The since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class I was -2.04%. At the end of the same period, a $10,000 investment in the Metropolitan Opportunistic High Income Credit Fund Class I shares would have been valued at $9,796.

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Metropolitan West Strategic Income Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were -2.99% and 3.16%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Strategic Income Fund Class I, the one year and average annual 10 year total returns were -2.76% and 3.41%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $13,979.

Metropolitan West Total Return Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Bloomberg U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were -4.69% and 2.88%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Total Return Bond Fund Class I, the one year and average annual 10 year total returns were -4.58% and 3.10%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $13,575.

The inception date for the Metropolitan West Total Return Bond Fund Class I-2 was March 6, 2020. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class I-2 were -4.65% and -1.99%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I-2 shares would have been valued at $9,594.

Annual Report March 2022 / 20

For the Metropolitan West Total Return Bond Fund Administrative Class, the one year and average annual 10 year total returns were -4.89% and 2.74%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $13,102.

For the Metropolitan West Total Return Bond Fund Plan Class, the one year and average annual 10 year total returns were -4.50% and 3.17%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $13,660.

Metropolitan West Ultra Short Bond Fund – Class M

Total Return Performance

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

For the Metropolitan West Ultra Short Bond Fund Class I, the one year and average annual 10 year total returns were -1.21% and 1.28%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $11,358.

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Metropolitan West Unconstrained Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index. The one year and average annual 10 year total returns for the Metropolitan West Unconstrained Bond Fund Class M were -3.15% and 2.95%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Unconstrained Bond Fund Class I, the one year and average annual 10 year total returns were -2.88% and 3.22%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $13,731.

The inception date for the Metropolitan West Unconstrained Bond Fund Plan Class was March 6, 2020. The one year and average annual since inception total return for the Metropolitan West Unconstrained Bond Fund Plan Class were -2.83% and 0.41%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Plan Class shares would have been valued at $10,084.

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Metropolitan West Funds

Disclosure of Fund Expenses (Unaudited)

For the Six Months Ended March 31, 2022

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

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

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

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

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

Please note that the 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.

	Beginning Account Value 10/01/21	Ending Account Value 03/31/22	Expense Ratio1	Expenses   Paid During   Period2
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$1,041.50	0.76%	$3.87
Hypothetical 5% Return	$1,000.00	$1,021.14	0.76%	$3.83
CORPORATE BOND FUND
Actual Fund Return
Class M	$1,000.00	$   922.80	0.75%	$3.60
Class I	$1,000.00	$   923.90	0.50%	$2.40
Hypothetical 5% Return
Class M	$1,000.00	$1,021.19	0.75%	$3.78
Class I	$1,000.00	$1,022.44	0.50%	$2.52
ESG SECURITIZED FUND
Actual Fund Return
Class M	$1,000.00	$   944.00	0.79%	$3.83
Class I	$1,000.00	$   941.30	0.49%	$2.37
Hypothetical 5% Return
Class M	$1,000.00	$1,020.99	0.79%	$3.98
Class I	$1,000.00	$1,022.49	0.49%	$2.47

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

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

23 / Annual Report March 2022

	Beginning Account Value 10/01/21		Ending Account Value 03/31/22		Expense Ratio1		Expenses   Paid During   Period2
FLEXIBLE INCOME FUND
Actual Fund Return
Class M		$1,000.00		$   953.80		0.80%		$3.90
Class I		$1,000.00		$   955.00		0.55%		$2.68
Hypothetical 5% Return
Class M		$1,000.00		$1,020.94		0.80%		$4.03
Class I		$1,000.00		$1,022.19		0.55%		$2.77
FLOATING RATE INCOME FUND
Actual Fund Return
Class M		$1,000.00		$   997.30		0.90%		$4.48
Class I		$1,000.00		$   997.20		0.70%		$3.49
Plan Class		$1,000.00		$   997.80		0.60%		$2.99
Hypothetical 5% Return
Class M		$1,000.00		$1,020.44		0.90%		$4.53
Class I		$1,000.00		$1,021.44		0.70%		$3.53
Plan Class		$1,000.00		$1,021.94		0.60%		$3.02
HIGH YIELD BOND FUND
Actual Fund Return
Class M		$1,000.00		$   955.20		0.85%		$4.14
Class I		$1,000.00		$   956.30		0.60%		$2.93
Hypothetical 5% Return
Class M		$1,000.00		$1,020.69		0.85%		$4.28
Class I		$1,000.00		$1,021.94		0.60%		$3.02
INTERMEDIATE BOND FUND
Actual Fund Return
Class M		$1,000.00		$   946.40		0.70%		$3.40
Class I		$1,000.00		$   948.30		0.47%		$2.28
Hypothetical 5% Return
Class M		$1,000.00		$1,021.44		0.70%		$3.53
Class I		$1,000.00		$1,022.59		0.47%		$2.37
INVESTMENT GRADE CREDIT FUND
Actual Fund Return
Class M		$1,000.00		$   931.30		0.70%		$3.37
Class I		$1,000.00		$   932.30		0.49%		$2.36
Hypothetical 5% Return
Class M		$1,000.00		$1,021.44		0.70%		$3.53
Class I		$1,000.00		$1,022.49		0.49%		$2.47
LOW DURATION BOND FUND
Actual Fund Return
Class M		$1,000.00		$   968.60		0.62%		$3.04
Class I		$1,000.00		$   969.60		0.41%		$2.01
Administrative Class		$1,000.00		$   968.40		0.72%		$3.53
Hypothetical 5% Return
Class M		$1,000.00		$1,021.84		0.62%		$3.13
Class I		$1,000.00		$1,022.89		0.41%		$2.07
Administrative Class		$1,000.00		$1,021.34		0.72%		$3.63

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

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

Annual Report March 2022 / 24

	Beginning Account Value 10/01/21		Ending Account Value 03/31/22		Expense Ratio1		Expenses   Paid During   Period2
OPPORTUNISTIC HIGH INCOME CREDIT FUND
Actual Fund Return
Class M		$1,000.00		$   954.10		0.85%		$4.14
Class I		$1,000.00		$   956.00		0.60%		$2.93
Hypothetical 5% Return
Class M		$1,000.00		$1,020.69		0.85%		$4.28
Class I		$1,000.00		$1,021.94		0.60%		$3.02
STRATEGIC INCOME FUND
Actual Fund Return
Class M		$1,000.00		$   955.80		1.04%		$5.07
Class I		$1,000.00		$   957.00		0.80%		$3.90
Hypothetical 5% Return
Class M		$1,000.00		$1,019.75		1.04%		$5.24
Class I		$1,000.00		$1,020.94		0.80%		$4.03
TOTAL RETURN BOND FUND
Actual Fund Return
Class M		$1,000.00		$   935.30		0.64%		$3.09
Class I		$1,000.00		$   936.20		0.44%		$2.12
Class I-2		$1,000.00		$   935.70		0.53%		$2.56
Administrative Class		$1,000.00		$   934.70		0.77%		$3.71
Plan Class		$1,000.00		$   936.70		0.36%		$1.74
Hypothetical 5% Return
Class M		$1,000.00		$1,021.74		0.64%		$3.23
Class I		$1,000.00		$1,022.74		0.44%		$2.22
Class I-2		$1,000.00		$1,022.29		0.53%		$2.67
Administrative Class		$1,000.00		$1,021.09		0.77%		$3.88
Plan Class		$1,000.00		$1,023.14		0.36%		$1.82
ULTRA SHORT BOND FUND
Actual Fund Return
Class M		$1,000.00		$   986.10		0.50%		$2.48
Class I		$1,000.00		$   984.60		0.34%		$1.68
Hypothetical 5% Return
Class M		$1,000.00		$1,022.44		0.50%		$2.52
Class I		$1,000.00		$1,023.24		0.34%		$1.72
UNCONSTRAINED BOND FUND
Actual Fund Return
Class M		$1,000.00		$   955.70		1.02%		$4.97
Class I		$1,000.00		$   956.90		0.75%		$3.66
Plan Class		$1,000.00		$   957.20		0.68%		$3.32
Hypothetical 5% Return
Class M		$1,000.00		$1,019.85		1.02%		$5.14
Class I		$1,000.00		$1,021.19		0.75%		$3.78
Plan Class		$1,000.00		$1,021.54		0.68%		$3.43

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

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

25 / Annual Report March 2022

Metropolitan West Funds

Summary of Portfolio Holdings

March 31, 2022

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	28.38%
Mutual Funds	18.11%
Asset-Backed Securities	10.85%
Non-Agency Commercial Mortgage-Backed	9.06%
Money Market Funds	8.12%
Non-Agency Mortgage-Backed	6.14%
U.S. Treasury Bills	4.70%
U.S. Agency Mortgage-Backed	3.97%
U.S. Agency Discount Notes	2.64%
U.S. Agency Commercial Mortgage-Backed	2.54%
Municipal Bonds	2.00%
U.S. Treasury Securities	0.32%
Common Stock	0.05%
Rights	0.00%
Other*	3.12%
Total	100.00%
CORPORATE BOND FUND
Sector Diversification
Corporate Bonds	89.39%
U.S. Treasury Securities	2.93%
Municipal Bonds	2.90%
Money Market Funds	2.83%
Asset-Backed Securities	0.32%
Non-Agency Commercial Mortgage-Backed	0.26%
U.S. Agency Commercial Mortgage-Backed	0.20%
U.S. Agency Mortgage-Backed	0.11%
Written Swaptions	(0.08)%
Other*	1.14%
Total	100.00%
ESG SECURITIZED FUND
Sector Diversification
U.S. Agency Mortgage-Backed	45.48%
Non-Agency Commercial Mortgage-Backed	38.11%
U.S. Treasury Securities	18.59%
Asset-Backed Securities	6.50%
Money Market Funds	2.13%
U.S. Agency Commercial Mortgage-Backed	1.70%
U.S. Agency Discount Notes	0.91%
Other*	(13.42)%
Total	100.00%

FLEXIBLE INCOME FUND
Sector Diversification
Corporate Bonds	35.21%
Non-Agency Mortgage-Backed	19.70%
U.S. Agency Mortgage-Backed	14.72%
Non-Agency Commercial Mortgage-Backed	9.81%
Asset-Backed Securities	7.21%
Bank Loans	6.87%
Money Market Funds	6.15%
U.S. Treasury Bills	4.76%
Foreign Government Obligations	2.32%
U.S. Agency Commercial Mortgage-Backed	2.01%
U.S. Treasury Securities	1.19%
Municipal Bonds	0.65%
Common Stock	0.32%
Warrant	0.01%
Rights	0.00%
Written Options	(0.04)%
Other*	(10.89)%
Total	100.00%
FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans	88.53%
Corporate Bonds	6.16%
U.S. Treasury Bills	4.76%
Money Market Funds	2.19%
Common Stock	0.06%
Warrant	0.01%
Rights	0.00%
Other*	(1.71)%
Total	100.00%
HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds	81.55%
Bank Loans	11.69%
Money Market Funds	4.33%
Common Stock	1.09%
Warrant	0.01%
Rights	0.00%
Other*	1.33%
Total	100.00%

Annual Report March 2022 / 26

INTERMEDIATE BOND FUND
Sector Diversification
U.S. Treasury Securities	45.65%
Corporate Bonds	32.95%
U.S. Agency Mortgage-Backed	8.72%
Asset-Backed Securities	6.83%
Non-Agency Mortgage-Backed	5.03%
Money Market Funds	4.29%
Non-Agency Commercial Mortgage-Backed	2.01%
Bank Loans	1.45%
Municipal Bonds	0.79%
Foreign Government Obligations	0.15%
Common Stock	0.06%
Purchased Options	0.01%
U.S. Agency Commercial Mortgage-Backed	0.01%
Rights	0.00%
Written Options	(0.27)%
Other*	(7.68)%
Total	100.00%
INVESTMENT GRADE CREDIT FUND
Sector Diversification
Corporate Bonds	66.31%
U.S. Agency Mortgage-Backed	10.48%
Non-Agency Commercial Mortgage-Backed	7.07%
Non-Agency Mortgage-Backed	6.75%
Municipal Bonds	5.47%
Asset-Backed Securities	5.43%
Money Market Funds	2.83%
U.S. Treasury Securities	2.37%
U.S. Agency Commercial Mortgage-Backed	0.80%
Written Options	(0.08)%
Written Swaptions	(0.09)%
Other*	(7.34)%
Total	100.00%
LOW DURATION BOND FUND
Sector Diversification
Corporate Bonds	31.51%
U.S. Treasury Securities	25.02%
U.S. Agency Mortgage-Backed	16.03%
Non-Agency Mortgage-Backed	12.71%
Non-Agency Commercial Mortgage-Backed	8.43%
Asset-Backed Securities	8.33%
U.S. Agency Commercial Mortgage-Backed	4.15%
Money Market Funds	3.99%
U.S. Treasury Bills	2.80%
Bank Loans	2.71%
Municipal Bonds	0.92%
Purchased Options	0.01%
Common Stock	0.00%
Purchased Swaptions	0.00%
Written Swaptions	0.00%
Written Options	(0.28)%
Other*	(16.33)%
Total	100.00%

OPPORTUNISTIC HIGH INCOME CREDIT FUND
Sector Diversification
Corporate Bonds	63.50%
Common Stock	12.48%
Bank Loans	7.94%
Non-Agency Mortgage-Backed	4.66%
Non-Agency Commercial Mortgage-Backed	4.01%
Money Market Funds	3.20%
Master Limited Partnerships	2.63%
U.S. Agency Commercial Mortgage-Backed	1.17%
Other*	0.41%
Total	100.00%
STRATEGIC INCOME FUND
Sector Diversification
Corporate Bonds	36.73%
Non-Agency Mortgage-Backed	22.55%
Asset-Backed Securities	17.57%
Non-Agency Commercial Mortgage-Backed	10.64%
U.S. Agency Mortgage-Backed	9.29%
U.S. Agency Commercial Mortgage-Backed	5.20%
Money Market Funds	2.96%
Municipal Bonds	0.49%
Common Stock	0.34%
Foreign Government Obligations	0.10%
Rights	0.00%
Written Options	(0.06)%
Written Swaptions	(0.08)%
Other*	(5.73)%
Total	100.00%
TOTAL RETURN BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed	32.31%
U.S. Treasury Securities	32.05%
Corporate Bonds	28.89%
Non-Agency Mortgage-Backed	7.36%
U.S. Agency Discount Notes	6.14%
U.S. Treasury Bills	4.67%
Asset-Backed Securities	4.34%
Money Market Funds	2.38%
Bank Loans	2.01%
Non-Agency Commercial Mortgage-Backed	2.01%
Foreign Government Obligations	1.17%
Municipal Bonds	0.67%
Common Stock	0.09%
Purchased Options	0.01%
Rights	0.00%
U.S. Agency Commercial Mortgage-Backed	0.00%
Written Swaptions	(0.08)%
Written Options	(0.29)%
Other*	(23.73)%
Total	100.00%

27 / Annual Report March 2022

ULTRA SHORT BOND FUND
Sector Diversification
U.S. Treasury Securities	27.47%
Corporate Bonds	26.04%
U.S. Agency Mortgage-Backed	17.02%
U.S. Treasury Bills	9.59%
Non-Agency Mortgage-Backed	8.39%
Non-Agency Commercial Mortgage-Backed	7.39%
Asset-Backed Securities	7.20%
Money Market Funds	4.60%
U.S. Agency Discount Notes	3.61%
U.S. Agency Commercial Mortgage-Backed	2.71%
Municipal Bonds	0.86%
Purchased Options	0.01%
Written Options	(0.32)%
Other*	(14.57)%
Total	100.00%

UNCONSTRAINED BOND FUND
Sector Diversification
Corporate Bonds	30.77%
Non-Agency Mortgage-Backed	25.75%
Asset-Backed Securities	14.13%
U.S. Agency Mortgage-Backed	12.05%
Non-Agency Commercial Mortgage-Backed	7.15%
U.S. Treasury Bills	5.04%
Money Market Funds	4.78%
Bank Loans	3.99%
Foreign Government Obligations	3.16%
U.S. Treasury Securities	1.42%
U.S. Agency Commercial Mortgage-Backed	1.15%
U.S. Agency Discount Notes	0.50%
Municipal Bonds	0.48%
Common Stock	0.30%
Purchased Options	0.01%
Rights	0.00%
Written Swaptions	(0.08)%
Written Options	(0.27)%
Other*	(10.33)%
Total	100.00%

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

In addition to the annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.

Annual Report March 2022 / 28

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 63.26%
ASSET-BACKED SECURITIES — 10.85%**
ACAM Ltd.,
Series 2019-FL1, Class A
(Cayman Islands)
(SOFR30A plus 1.51%)
1.56%	11/17/341,2,3	$	115,192	$	113,741
Access Group, Inc.,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
1.16%	07/25/561,2		11,390		11,216
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.37%	10/17/341,2,3		100,000		99,045
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.05%	01/20/281,2,3		57,285		56,979
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.20%	07/20/291,2,3		66,293		65,925
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
1.01%	01/25/351,2		7,454		7,411
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.70%	02/25/352		215,000		216,334
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
1.30%	02/25/302		141,802		141,858
BSPRT Issuer Ltd.,
Series 2019-FL5, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.15%)
1.55%	05/15/291,2,3		217,783		217,249
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.39%	10/25/341,2,3		100,000		99,096
CLNC Ltd.,
Series 2019-FL1, Class A
(Cayman Islands)
(SOFR30A plus 1.36%)
1.41%	08/20/351,2,3		221,498		219,734
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%	04/15/291,2,3		47,947		47,680

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%)
1.41%	10/15/341,2,3	$	150,000	$	148,447
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.91%	04/25/352		1,800		1,794
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.51%	03/25/362		20,674		20,636
Ford Credit Floorplan Master Owner Trust A,
Series 2019-3, Class A1
2.23%	09/15/24		250,000		250,728
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.40%	10/20/341,2,3		140,000		138,480
GPMT Ltd.,
Series 2019-FL2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.30%)
1.75%	02/22/361,2,3		50,841		50,226
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.55%	05/25/341,2		73,743		73,828
Invitation Homes Trust,
Series 2018-SFR2, Class B
(LIBOR USD 1-Month plus 1.08%)
1.48%	06/17/371,2		99,984		99,286
LCM 29 Ltd.,
Series 29A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.04%	04/15/311,2,3		102,273		101,621
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.50%)
1.90%	05/15/281,2,3		215,000		214,189
LoanCore Issuer Ltd.,
Series 2019-CRE2, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.53%	05/15/361,2,3		88,730		88,148
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
2.14%	11/15/351,2		220,000		218,132
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
0.97%	06/25/312		84,744		83,149

See accompanying Notes to Financial Statements.

29 / Annual Report March 2022

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity    Date			Principal    Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
1.51%		12/27/661,2		$	66,641	$	66,863
Navient Student Loan Trust,
Series 2017-4A, Class A2
(LIBOR USD 1-Month plus 0.50%)
0.96%		09/27/661,2			37,729		37,757
Nelnet Student Loan Trust,
Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.58%)
1.04%		06/25/411,2			12,900		12,720
North Carolina State Education Authority,
Series A3, Class A3
(LIBOR USD 3-Month plus 0.90%)
1.16%		10/25/412			8,322		8,321
NYACK Park CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.65%)
0.77%		10/20/341,2,3			120,000		118,888
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.63%		11/20/301,2,3			85,000		84,621
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
2.15%		02/24/371,2,3			115,000		114,520
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.37%		01/17/311,2,3			85,000		84,597
PHEAA Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.15%)
1.61%		09/25/651,2			54,645		54,771
Progress Residential Trust,
Series 2019-SFR3, Class A
2.27%		09/17/361			119,163		115,686
Progress Residential Trust,
Series 2019-SFR4, Class A
2.69%		10/17/361			100,000		98,410
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.44%		10/20/30	1,2,3		130,000		129,376
SLM Student Loan Trust,
Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
1.30%		12/15/271,2			2,240		2,239

Issues	Maturity    Date	Principal    Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2003-11, Class A6
(LIBOR USD 3-Month plus 0.55%)
1.38%	12/15/251,2	$	14,016	$	13,993
SLM Student Loan Trust,
Series 2004-1, Class A4
(LIBOR USD 3-Month plus 0.26%)
0.52%	10/27/252		21,057		21,019
SLM Student Loan Trust,
Series 2005-4, Class A3
(LIBOR USD 3-Month plus 0.12%)
0.38%	01/25/272		36,829		36,674
SLM Student Loan Trust,
Series 2005-5, Class A4
(LIBOR USD 3-Month plus 0.14%)
0.40%	10/25/282		80,314		80,019
SLM Student Loan Trust,
Series 2005-7, Class A4
(LIBOR USD 3-Month plus 0.15%)
0.41%	10/25/292		206,578		205,356
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.96%	07/25/232		97,673		98,009
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.36%	07/25/232		139,643		137,986
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232		36,755		36,756
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.41%	09/25/282		142,311		139,951
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
1.16%	01/25/292		82,061		79,794
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
1.01%	06/25/432		5,617		5,527
Sofi Professional Loan Program, LLC,
Series 2019-A, Class A2FX
3.69%	06/15/481		201,808		202,818
Toyota Auto Receivables Owner Trust,
Series 2018-B, Class A4
3.11%	11/15/23		120,667		121,003
Total Asset-Backed Securities
(Cost $4,927,786)					4,892,606
CORPORATES — 28.38%*
Banking — 8.50%
Bank of America Corp.
3.00%	12/20/234		91,000		91,264

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 30

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp.
(MTN)
3.46%	03/15/254	$	550,000	$	553,601
Credit Suisse Group AG
(Switzerland)
2.59%	09/11/251,3,4		220,000		212,320
Discover Bank
(BKNT)
4.20%	08/08/23		125,000		127,183
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		200,000		189,561
HSBC Holdings PLC
(United Kingdom)
3.00%	03/10/263,4		315,000		308,979
ING Groep NV
(Netherlands)
3.87%	03/28/263,4		200,000		201,075
JPMorgan Chase & Co.
0.77%	08/09/254		110,000		104,397
0.97%	06/23/254		50,000		47,769
3.21%	04/01/234		200,000		200,104
4.02%	12/05/244		290,000		294,766
Lloyds Banking Group PLC
(United Kingdom)
2.91%	11/07/233,4		200,000		200,341
3.87%	07/09/253,4		60,000		60,667
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		90,000		85,140
1.34%	01/12/271,3,4		70,000		63,863
3.19%	11/28/231,3,4		90,000		90,172
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		105,000		106,278
4.52%	06/25/243,4		75,000		76,154
Santander UK Group Holdings PLC
(United Kingdom)
1.53%	08/21/263,4		200,000		184,066
3.37%	01/05/243,4		155,000		155,531
4.80%	11/15/243,4		75,000		76,740
UBS AG
(Switzerland)
0.70%	08/09/241,3		200,000		189,664
Wells Fargo & Co.
2.19%	04/30/264		220,000		212,369
					3,832,004
Communications — 2.36%
AT&T, Inc.
(LIBOR USD 3-Month plus 1.18%)
1.98%	06/12/242		175,000		177,597
Charter Communications Operating LLC/Charter
Communications Operating Capital
(LIBOR USD 3-Month plus 1.65%)
1.97%	02/01/242		125,000		127,470

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
CSC Holdings LLC
4.13%	12/01/301	$	75,000	$	66,136
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		131,000		131,004
Intelsat Jackson Holdings SA,
Class B
8.50%	10/15/241,3,5,6,7,8		20,000		—
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
9.75%	07/15/251,3,5,6,7,8		61,000		—
Qwest Corp.
7.25%	09/15/25		100,000		109,250
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%	03/20/251		165,000		168,536
5.15%	03/20/281		50,000		52,698
T-Mobile USA, Inc.
2.25%	02/15/26		113,000		106,604
2.63%	04/15/26		124,000		118,693
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%	05/15/291,3		5,000		4,971
					1,062,959
Consumer Discretionary — 2.23%
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3		100,000		102,449
Constellation Brands, Inc.
3.20%	02/15/23		110,000		110,751
GSK Consumer Healthcare Capital UK PLC
(United Kingdom)
3.13%	03/24/251,3		250,000		249,381
Hyatt Hotels Corp.
1.30%	10/01/23		140,000		136,529
Imperial Brands Finance PLC
(United Kingdom)
3.75%	07/21/221,3		195,000		195,643
Magallanes, Inc.
3.43%	03/15/241		210,000		211,161
					1,005,914
Electric — 1.66%
Alliant Energy Finance LLC
3.75%	06/15/231		140,000		141,636
American Electric Power Co., Inc.
2.03%	03/15/24		120,000		118,036
Dominion Energy, Inc.,
Series B
2.75%	09/15/22		150,000		150,342
El Paso Electric Co.
3.30%	12/15/22		50,000		50,267
FirstEnergy Transmission LLC
2.87%	09/15/281		128,000		118,989

See accompanying Notes to Financial Statements.

31 / Annual Report March 2022

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
NextEra Energy Capital Holdings, Inc.
2.94%	03/21/24	$	170,000	$	170,090
					749,360
Energy — 1.03%
Antero Resources Corp.
8.38%	07/15/261		9,000		9,959
Energy Transfer LP
4.25%	04/01/24		150,000		153,009
5.50%	06/01/27		12,000		12,910
Occidental Petroleum Corp.
0.00%	10/10/369		25,000		13,460
Plains All American Pipeline LP/PAA Finance Corp.
4.65%	10/15/25		125,000		128,060
Southern Co. Gas Capital Corp.
3.88%	11/15/25		100,000		101,894
Sunoco LP/Sunoco Finance Corp.
4.50%	04/30/301		14,000		12,919
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%	10/15/241,3		10,500		10,592
Transocean Pontus Ltd.
(Cayman Islands)
6.13%	08/01/251,3		3,690		3,673
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		16,875		16,733
Transocean Proteus Ltd.
(Cayman Islands)
6.25%	12/01/241,3		2,000		1,988
					465,197
Finance — 4.65%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.15%	02/15/243		150,000		147,715
Air Lease Corp.
2.25%	01/15/23		75,000		75,059
American Express Co.
2.25%	03/04/25		110,000		108,041
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		5,000		4,426
Capital One Financial Corp.
1.34%	12/06/244		120,000		116,480
Citigroup, Inc.
2.88%	07/24/234		225,000		225,367
3.35%	04/24/254		290,000		290,842
(LIBOR USD 3-Month plus 0.95%)
1.21%	07/24/232		30,000		30,053
Goldman Sachs Group, Inc. (The)
1.22%	12/06/23		90,000		87,906
3.27%	09/29/254		40,000		39,980

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (The)
(MTN)
(LIBOR USD 3-Month plus 1.60%)
2.11%	11/29/232	$	75,000	$	75,996
Morgan Stanley
(MTN)
0.53%	01/25/244		150,000		147,594
2.72%	07/22/254		400,000		395,873
Nationwide Building Society
(United Kingdom)
3.62%	04/26/231,3,4		90,000		90,019
3.77%	03/08/241,3,4		75,000		75,444
4.36%	08/01/241,3,4		75,000		76,178
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/231,3		110,000		110,835
					2,097,808
Food — 0.14%
Post Holdings, Inc.
4.63%	04/15/301		68,000		61,343
Gaming — 0.10%
CDI Escrow Issuer, Inc.
5.75%	04/01/301		45,000		45,513
Health Care — 2.92%
AbbVie, Inc.
3.75%	11/14/23		125,000		127,456
Bayer U.S. Finance II LLC
2.20%	07/15/221		150,000		150,000
Dignity Health
3.13%	11/01/22		50,000		50,382
Embecta Corp.
5.00%	02/15/301		45,000		42,526
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/281,3		61,000		35,572
Fresenius U.S. Finance II, Inc.
4.50%	01/15/231		75,000		75,975
HCA, Inc.
5.00%	03/15/24		75,000		77,758
5.25%	06/15/26		185,000		195,444
Humana, Inc.
0.65%	08/03/23		85,000		82,953
3.85%	10/01/24		130,000		132,174
Mozart Debt Merger Sub, Inc.
3.88%	04/01/291		32,000		29,631
Royalty Pharma PLC
(United Kingdom)
0.75%	09/02/233		85,000		82,579
Thermo Fisher Scientific, Inc.
1.22%	10/18/24		140,000		134,681
Viatris, Inc.
1.13%	06/22/22		100,000		99,995
					1,317,126

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 32

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Industrials — 0.82%
Artera Services LLC
9.03%	12/04/251	$	9,000	$	9,003
Berry Global, Inc.
0.95%	02/15/24		110,000		105,334
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/262		29,000		28,553
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/362		75,000		64,605
Mauser Packaging Solutions Holding Co.
5.50%	04/15/241		5,000		4,987
Sealed Air Corp.
4.00%	12/01/271		5,000		4,900
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%	03/22/231,3		150,000		151,787
					369,169
Information Technology — 0.49%
NXP BV/NXP Funding LLC
(Netherlands)
4.63%	06/01/231,3		10,000		10,150
Skyworks Solutions, Inc.
0.90%	06/01/23		110,000		107,602
VMware, Inc.
1.00%	08/15/24		110,000		104,888
					222,640
Insurance — 0.63%
Athene Global Funding
(SOFR Rate plus 0.70%)
0.91%	05/24/241,2		85,000		83,945
Nationwide Mutual Insurance Co.
3.12%	12/15/241,4		90,000		90,062
Trinity Acquisition PLC
(United Kingdom)
4.63%	08/15/233		110,000		112,564
					286,571
Materials — 0.26%
Georgia-Pacific LLC
3.60%	03/01/251		115,000		116,230
Real Estate Investment Trust (REIT) — 1.52%
American Campus Communities Operating Partnership LP
3.75%	04/15/23		115,000		116,019
Camden Property Trust
2.95%	12/15/22		55,000		55,240
CyrusOne LP/CyrusOne Finance Corp.
2.90%	11/15/24		140,000		140,384
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		25,000		24,985
5.38%	11/01/23		190,000		195,106
Healthpeak Properties, Inc.
4.00%	06/01/25		60,000		61,056

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%	01/15/28	$	6,000	$	6,067
Post Apartment Homes LP
3.38%	12/01/22		37,000		37,177
SL Green Operating Partnership LP
3.25%	10/15/22		50,000		50,019
					686,053
Retail — 0.40%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%	10/15/301,3		45,000		40,709
Dollar Tree, Inc.
4.00%	05/15/25		85,000		87,044
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
4.63%	01/15/291		34,000		32,226
Michaels Cos., Inc. (The)
5.25%	05/01/281		20,000		18,388
					178,367
Services — 0.30%
Global Payments, Inc.
1.50%	11/15/24		120,000		114,754
Waste Pro USA, Inc.
5.50%	02/15/261		23,000		21,762
					136,516
Transportation — 0.37%
Canadian Pacific Railway Co.
(Canada)
1.35%	12/02/243		100,000		96,088
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		30,041		30,085
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A-1
7.04%	04/01/22		3,402		3,419
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		35,071		36,584
					166,176
Total Corporates
(Cost $13,128,857)					12,798,946
MORTGAGE-BACKED — 21.71%**
Non-Agency Commercial Mortgage-Backed — 9.06%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%	08/10/351		33,729		34,297
BANK,
Series 2018-BN14, Class A2
4.13%	09/15/60		71,098		72,089

See accompanying Notes to Financial Statements.

33 / Annual Report March 2022

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date		Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Barclays Commercial Mortgage Securities Trust,
Series 2018-BXH, Class A
(LIBOR USD 1-Month plus 1.00%)
1.40%		10/15/371,2	$	119,346	$	118,133
Beast Mortgage Trust,
Series 2021-SSCP, Class A
(LIBOR USD 1-Month plus 0.75%)
1.15%		04/15/361,2		250,000		243,825
Benchmark Mortgage Trust,
Series 2018-B6, Class A2
4.20%		10/10/51		194,833		195,967
BFLD Trust,
Series 2020-EYP, Class A
(LIBOR USD 1-Month plus 1.15%)
1.55%		10/15/351,2		125,000		123,944
BX Commercial Mortgage Trust,
Series 2020-FOX, Class A
(LIBOR USD 1-Month plus 1.00%)
1.40%		11/15/321,2		170,811		169,750
BXMT Ltd.,
Series 2020-FL2, Class A
(Cayman Islands)
(SOFR30A plus 1.01%)
1.06%		02/15/381,2,3		120,000		119,409
BXMT Ltd.,
Series 2020-FL3, Class A
(Cayman Islands)
(SOFR30A plus 1.51%)
1.56%		11/15/371,2,3		410,000		407,562
CD Mortgage Trust,
Series 2017-CD4, Class A2
3.03%		05/10/50		143,000		142,924
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class AAB
2.61%		09/10/45		2,749		2,749
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class AAB
2.69%		04/10/46		20,418		20,478
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%		04/10/48		51,596		51,800
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class AAB
3.47%		09/15/48		37,926		38,118
Commercial Mortgage Trust,
Series 2012-CR3, Class ASB
2.37%		10/15/45		2,267		2,268
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.68%		10/15/454		322,566		1,148
Commercial Mortgage Trust,
Series 2013-CR11, Class ASB
3.66%		08/10/50		6,355		6,420
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.17%		03/10/464		1,156,598		9,058

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2013-LC6, Class XB (IO)
0.36%	01/10/461,4	$	1,750,000	$	4,265
Commercial Mortgage Trust,
Series 2015-LC23, Class A2
3.22%	10/10/48		120,200		119,888
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%	07/10/50		138,567		138,866
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
1.38%	05/15/361,2		245,000		243,408
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.56%	08/10/431,4		1,561,864		11,724
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%	03/10/441,4		410,063		4
GS Mortgage Securities Trust,
Series 2012-ALOH, Class A
3.55%	04/10/341		235,000		234,897
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.72%	01/15/474		1,579,203		15,953
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%	04/15/47		73,149		71,492
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C24, Class A3
3.10%	11/15/47		270,000		268,314
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.09%	01/15/464		8,310,633		8,995
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.23%	04/15/464		3,121,834		27,731
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class XA (IO)
0.89%	01/15/494,5,8		669,451		19,553
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.43%	09/15/391,4		303,520		37
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class ASB
3.56%	11/15/46		7,077		7,138
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C14, Class XA (IO)
0.96%	02/15/474		1,175,869		15,291
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C26, Class ASB
3.32%	10/15/48		56,434		56,899
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
1.35%	01/15/361,2		94,000		92,575

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 34

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity   Date			Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
PFP Ltd.,
Series 2019-6, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.05%)
1.48%		04/14/37	1,2,3	$	103,107	$	102,371
SREIT Trust,
Series 2021-MFP, Class A
(LIBOR USD 1-Month plus 0.73%)
1.13%		11/15/38	1,2		250,000		245,207
TMSQ Mortgage Trust,
Series 2014-1500, Class XA (IO)
0.15%		10/10/36	1,4		14,000,000		57,198
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.21%		08/10/49	1,4,5,8		3,000,000		3,295
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%		08/15/50			143,179		141,676
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class A2
2.40%		11/15/49			30,832		30,845
Wells Fargo Commercial Mortgage Trust,
Series 2017-C38, Class A2
3.04%		07/15/50			43,558		43,551
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(LIBOR USD 1-Month plus 0.88%)
1.27%		12/15/34	1,2		200,000		197,431
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class A4
3.72%		05/15/47			124,288		124,146
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class ASB
3.39%		08/15/47			24,768		24,985
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class ASB
3.52%		03/15/47			17,713		17,876
							4,085,550
Non-Agency Mortgage-Backed — 6.14%
Alternative Loan Trust,
Series 2005-J4, Class M2
(LIBOR USD 1-Month plus 0.96%)
1.42%		07/25/35	2		21,930		21,919
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37			200,553		107,309
Asset-Backed Funding Certificates,
Series 2004-OPT4, Class M1
(LIBOR USD 1-Month plus 0.90%)
1.36%		02/25/34	2		100,716		100,564
Asset-Backed Funding Certificates,
Series 2006-OPT1, Class A2
(LIBOR USD 1-Month plus 0.28%)
0.74%		09/25/36	2		3,565		3,554

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%)
0.61%		05/26/36	1,2	$	27,218	$	26,940
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		53,664		53,709
Centex Home Equity Loan Trust,
Series 2005-B, Class M2
(LIBOR USD 1-Month plus 0.65%)
1.10%		03/25/35	2		153,756		153,784
Centex Home Equity Loan Trust,
Series 2005-D, Class M4
(LIBOR USD 1-Month plus 0.92%)
1.37%		10/25/35	2		137,063		137,032
CIM Trust,
Series 2019-R1, Class A
3.25%		10/25/58	1,4		104,188		97,555
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/57	1,4		142,818		138,546
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-HE4, Class M2
(LIBOR USD 1-Month plus 0.68%)
1.13%		10/25/35	2		203,620		201,877
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(LIBOR USD 1-Month plus 0.90%)
1.36%		10/25/47	2		69,566		68,332
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
1.06%		05/25/35	2		46,050		39,519
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/22)
3.95%		01/25/33			6,874		6,589
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
1.19%		07/19/44	2		2,330		2,235
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.56%)
1.02%		03/25/36	2		40,841		40,044
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
2.89%		04/19/36	4		66,151		55,805
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
2.41%		07/19/35	4		1,033		901
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
1.13%		06/20/35	2		116,226		113,269

See accompanying Notes to Financial Statements.

35 / Annual Report March 2022

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date			Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.62%		05/25/37	2	$	73,493	$	73,063
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1A
(LIBOR USD 1-Month plus 0.86%)
1.32%		08/25/34	2		7,097		6,711
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A1A
(LIBOR USD 1-Month plus 0.42%)
0.88%		05/25/46	2		82,049		79,306
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 2A1
2.88%		06/25/37	4		62,631		46,784
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M3
(LIBOR USD 1-Month plus 0.71%)
1.16%		09/25/35	2		199,594		199,402
Long Beach Mortgage Loan Trust,
Series 2004-4, Class 1A1
(LIBOR USD 1-Month plus 0.56%)
1.02%		10/25/34	2		100,360		97,111
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2007-HE7, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.46%		07/25/37	2		102,764		102,203
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates,
Series 2005-4, Class M2
(LIBOR USD 1-Month plus 0.69%)
1.15%		11/25/35	2		96,749		95,708
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.44%)
0.90%		01/25/36	2		17,279		17,272
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCW3, Class M1
(LIBOR USD 1-Month plus 0.72%)
1.18%		08/25/35	2		25,900		25,947
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%		11/25/31			4,097		1
Residential Asset Mortgage Products Trust,
Series 2006-NC3, Class M1
(LIBOR USD 1-Month plus 0.34%)
0.97%		03/25/36	2		100,000		99,626
Residential Asset Securities Corp.,
Series 2005-AHL2, Class M1
(LIBOR USD 1-Month plus 0.63%)
1.09%		10/25/35	2		61,434		61,342
Structured Asset Mortgage Investments II Trust,
Series 2006-AR1, Class 3A1
(LIBOR USD 1-Month plus 0.46%)
0.92%		02/25/36	2		66,863		63,849

Issues	Maturity     Date			Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/34	1,5,8	$	1,650,376	$	20,102
VOLT XCIX, LLC,
Series 2021-NPL8, Class A1 (STEP-reset date 04/25/22)
2.12%		04/25/51	1		213,021		204,414
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
1.54%		06/25/42	2		1,224		1,197
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 2AB2
(LIBOR USD 1-Month plus 0.84%)
1.30%		07/25/45	2		100,395		100,359
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2005-4, Class M3
(LIBOR USD 1-Month plus 0.75%)
1.21%		12/25/35	2		100,000		99,784
Wells Fargo Mortgage-Backed Securities Trust,
Series 2003-I, Class A1
2.38%		09/25/33	4		7,328		7,117
							2,770,781
U.S. Agency Commercial Mortgage-Backed — 2.54%
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
2.84%		07/25/22	4		441,395		29
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X1 (IO)
0.18%		04/25/23	4		20,321,284		35,666
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K033, Class X1 (IO)
0.29%		07/25/23	4		3,988,139		12,995
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K036, Class X1 (IO)
0.70%		10/25/23	4		5,150,553		46,649
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K044, Class X1 (IO)
0.71%		01/25/25	4		1,382,506		21,563
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K732, Class X3 (IO)
2.17%		05/25/46	4		250,000		16,065
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.42%		12/25/22	4		3,791,699		15,507
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.20%		06/25/27	4		993,511		38,518

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 36

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date			Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF88, Class AL
(LIBOR USD 1-Month plus 0.33%)
0.57%		09/25/30	2	$	177,890	$	177,688
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ30, Class A1
0.53%		01/25/25			404,088		391,298
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ31, Class A1
0.57%		05/25/26			148,192		142,664
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ32, Class A1
0.52%		06/25/25			189,474		182,308
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS07, Class X (IO)
0.64%		09/25/25	4		2,925,499		63,504
Ginnie Mae,
Series 2010-140, Class IO (IO)
0.00%		10/16/43	4,5		—		—
							1,144,454
U.S. Agency Mortgage-Backed — 3.97%
Fannie Mae Pool 802665
(LIBOR USD 6-Month plus 1.74%)
1.86%		12/01/34	2		608		609
Fannie Mae Pool AL0851
6.00%		10/01/40			2,054		2,280
Fannie Mae REMICS,
Series 1997-91, Class SL (IO)
(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap)
7.50%		11/25/23	2		4,592		145
Fannie Mae REMICS,
Series 2002-21, Class FB
(LIBOR USD 1-Month plus 0.90%)
1.36%		04/25/32	2		27,873		28,207
Fannie Mae REMICS,
Series 2002-53, Class FY
(LIBOR USD 1-Month plus 0.50%)
0.96%		08/25/32	2		80,268		80,652
Fannie Mae REMICS,
Series 2003-11, Class FA
(LIBOR USD 1-Month plus 1.00%)
1.46%		09/25/32	2		4,142		4,145
Fannie Mae REMICS,
Series 2003-81, Class FE
(LIBOR USD 1-Month plus 0.50%)
0.96%		09/25/33	2		29,349		29,474
Fannie Mae REMICS,
Series 2006-48, Class FL
(LIBOR USD 1-Month plus 0.40%)
0.86%		06/25/36	2		38,047		38,149

Issues	Maturity     Date			Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2006-8, Class NF
(LIBOR USD 1-Month plus 0.37%)
0.83%		03/25/36	2	$	34,682	$	34,740
Fannie Mae REMICS,
Series 2008-12, Class FA
(LIBOR USD 1-Month plus 0.67%)
1.13%		03/25/38	2		108,753		110,424
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.86%		10/25/40	2		3,492		3,509
Fannie Mae REMICS,
Series 2010-74, Class AF
(LIBOR USD 1-Month plus 0.54%)
1.00%		07/25/37	2		33,067		33,363
Freddie Mac REMICS,
Series 2684, Class F
(LIBOR USD 1-Month plus 0.90%)
1.30%		01/15/33	2		3,719		3,790
Freddie Mac REMICS,
Series 3231, Class FB
(LIBOR USD 1-Month plus 0.35%)
0.75%		10/15/36	2		63,155		63,207
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.90%		06/15/42	2		9,142		9,154
UMBS (TBA)
2.50%		05/01/52			675,000		642,710
3.00%		05/01/52			725,000		707,781
							1,792,339
Total Mortgage-Backed
(Cost $10,449,086)							9,793,124
MUNICIPAL BONDS — 2.00%*
California — 0.45%
State of California General Obligation, Series B
2.50%		10/01/22			200,000		201,314
Colorado — 0.29%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%		11/15/23			135,000		131,473
Florida — 0.20%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
2.32%		10/01/22			90,000		90,399
Maryland — 0.23%
City of Baltimore General Obligation, School Improvements,
Series C
5.00%		10/15/25			100,000		104,445

See accompanying Notes to Financial Statements.

37 / Annual Report March 2022

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date		Principal     Amount		Value
MUNICIPAL BONDS (continued)
New York — 0.83%
City of New York General Obligation, Series D
0.43%		08/01/22	$	230,000	$	229,637
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series A2
2.15%		05/01/25		150,000		147,096
						376,733
Total Municipal Bonds (Cost $923,098)						904,364
U.S. TREASURY SECURITIES — 0.32%
U.S. Treasury Notes — 0.32%
U.S. Treasury Notes
0.88%		01/31/24		70,000		68,227
1.50%		02/29/24		50,000		49,277
1.75%		03/15/25		27,000		26,442
Total U.S. Treasury Securities (Cost $146,069)						143,946
Total Bonds — 63.26% (Cost $29,574,896)						28,532,986
Issues			Shares		Value
COMMON STOCK — 0.05%
Communications — 0.05%
Intelsat Emergence SA3,5,6,8
(Luxembourg)				772		23,160
Total Common Stock
(Cost $25,862)
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A3,5,6,8
(Luxembourg)				80		—
Intelsat Jackson Holdings SA, Series B3,5,6,8
(Luxembourg)				80		—
						—
Total Rights (Cost $–)						—
Issues			Shares		Value
MUTUAL FUNDS — 18.11%
Mutual Funds — 18.11%
iShares Core S&P 500 ETF				3,845		1,744,438
SPDR S&P 500 ETF Trust10				14,226		6,425,031
Total Mutual Funds
(Cost $7,404,356)						8,169,469

Issues	Maturity     Date		Principal     Amount/Shares		Value
SHORT-TERM INVESTMENTS — 15.46%
Money Market Funds — 8.12%
Dreyfus Government Cash Management Fund
0.19%11				1,773,000	$	1,773,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%11				20,904		20,904
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%11				1,867,000		1,867,000
						3,660,904
U.S. Agency Discount Notes — 2.64%
Federal Home Loan Bank
1.04%12		06/14/24	$	500,000		484,047
1.20%12		12/23/24		495,000		477,808
3.22%		09/04/24		235,000		230,922
						1,192,777
U.S. Treasury Bills — 4.70%
U.S. Treasury Bills
0.13%12		06/09/22		125,000		124,910
0.61%12		08/25/22		2,000,000		1,992,944
						2,117,854
Total Short-Term Investments
(Cost $7,010,967)						6,971,535
Total Investments - 96.88%
(Cost $44,016,081)						43,697,150
Cash and Other Assets, Less Liabilities - 3.12%						1,405,318
Net Assets - 100.00%					$	45,102,468

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 Non-income producing security.

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

⁸ Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $66,110, which is 0.15% of total net assets.

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2022.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 38

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2022

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 March 31, 2022.

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

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 E-mini Index		159		06/17/22	$	35,995,612	$	2,224,884	$	2,224,884

See accompanying Notes to Financial Statements.

39 / Annual Report March 2022

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 96.11%
ASSET-BACKED SECURITIES — 0.32%**
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/371,2	$	42,316	$	39,936
Total Asset-Backed Securities (Cost $42,316)
CORPORATES — 89.39%*
Banking — 12.79%
Bank of America Corp.
1.73%	07/22/273		200,000		185,981
2.97%	02/04/333		20,000		18,774
3.00%	12/20/233		35,000		35,102
Bank of America Corp.
(MTN)
2.09%	06/14/293		110,000		100,631
3.97%	03/05/293		20,000		20,324
4.08%	03/20/513		20,000		20,648
4.27%	07/23/293		15,000		15,544
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/273,4,5		30,000		26,829
2.19%	06/05/263,4,5		25,000		23,523
2.59%	09/11/253,4,5		5,000		4,826
3.09%	05/14/323,4,5		20,000		18,018
Discover Bank
(BKNT)
3.45%	07/27/26		25,000		24,891
4.20%	08/08/23		10,000		10,175
DNB Bank ASA
(Norway)
1.13%	09/16/263,4,5		50,000		45,953
Fifth Third Bancorp
2.55%	05/05/27		40,000		38,713
HSBC Holdings PLC
(United Kingdom)
2.21%	08/17/293,5		120,000		108,148
JPMorgan Chase & Co.
1.58%	04/22/273		70,000		65,250
2.07%	06/01/293		15,000		13,775
3.11%	04/22/513		70,000		62,282
4.01%	04/23/293		20,000		20,411
4.02%	12/05/243		55,000		55,904
4.20%	07/23/293		25,000		25,884
4.49%	03/24/313		35,000		37,200
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,5		10,000		9,180
3.87%	07/09/253,5		65,000		65,722
Macquarie Group Ltd.
(Australia)
1.34%	01/12/273,4,5		20,000		18,247
1.63%	09/23/273,4,5		30,000		27,072
4.44%	06/21/333,4,5		15,000		15,188
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,5		50,000		50,608

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,5	$	80,000	$	76,103
Truist Financial Corp.
(MTN)
1.89%	06/07/293		30,000		27,305
Wells Fargo & Co.
(MTN)
2.39%	06/02/283		275,000		260,354
3.35%	03/02/333		15,000		14,594
3.53%	03/24/283		20,000		19,979
3.58%	05/22/283		25,000		24,991
5.01%	04/04/513		15,000		17,881
					1,606,010
Communications — 11.00%
AT&T, Inc.
2.55%	12/01/33		50,000		44,522
3.80%	12/01/57		188,000		167,546
Charter Communications Operating LLC/Charter Communications Operating Capital
2.30%	02/01/32		50,000		42,782
3.75%	02/15/28		45,000		44,522
5.38%	05/01/47		52,000		53,335
5.75%	04/01/48		20,000		21,274
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%	04/01/53		5,000		5,047
Comcast Corp.
1.50%	02/15/31		60,000		52,344
2.94%	11/01/564		23,000		19,187
3.97%	11/01/47		35,000		35,455
4.00%	11/01/49		15,000		15,355
Cox Communications, Inc.
2.60%	06/15/314		40,000		36,207
3.15%	08/15/244		18,000		18,042
Discovery Communications LLC
3.63%	05/15/30		45,000		43,777
Fox Corp.
3.50%	04/08/30		25,000		24,800
Level 3 Financing, Inc.
3.40%	03/01/274		10,000		9,442
3.88%	11/15/294		24,000		22,130
Paramount Global
4.20%	05/19/32		20,000		20,041
4.60%	01/15/45		14,000		13,875
Qwest Corp.
7.25%	09/15/25		20,000		21,850
SES GLOBAL Americas Holdings GP
5.30%	03/25/444		35,000		34,051
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%	03/20/254		75,000		76,607
5.15%	03/20/284		15,000		15,809

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 40

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Tencent Holdings Ltd.
(Cayman Islands)
3.98%	04/11/294,5	$	40,000	$	39,991
Time Warner Cable LLC
5.50%	09/01/41		33,000		34,342
T-Mobile USA, Inc.
2.55%	02/15/31		103,000		93,563
3.50%	04/15/25		15,000		15,143
3.75%	04/15/27		25,000		25,191
4.50%	04/15/50		22,000		22,335
Verizon Communications, Inc.
2.36%	03/15/324		120,000		108,557
2.55%	03/21/31		37,000		34,400
4.50%	08/10/33		55,000		59,157
Vodafone Group PLC
(United Kingdom)
4.13%	05/30/255		21,000		21,629
4.25%	09/17/505		41,000		40,905
Walt Disney Co. (The)
3.60%	01/13/51		38,000		37,760
6.20%	12/15/34		8,000		10,091
					1,381,064
Consumer Discretionary — 3.93%
Altria Group, Inc.
3.70%	02/04/51		5,000		4,079
3.88%	09/16/46		11,000		9,310
5.95%	02/14/49		15,000		16,346
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%	02/01/36		30,000		32,650
4.90%	02/01/46		38,000		42,322
Anheuser-Busch InBev Worldwide, Inc.
4.60%	04/15/48		77,000		82,911
Bacardi Ltd.
(Bermuda)
4.70%	05/15/284,5		20,000		20,833
BAT Capital Corp.
4.39%	08/15/37		45,000		41,946
4.54%	08/15/47		50,000		44,752
Constellation Brands, Inc.
3.75%	05/01/50		35,000		32,529
Hyatt Hotels Corp.
1.80%	10/01/24		45,000		43,285
Imperial Brands Finance PLC
(United Kingdom)
4.25%	07/21/254,5		35,000		35,304
Magallanes, Inc.
4.28%	03/15/324		15,000		15,094
5.14%	03/15/524		65,000		66,585
Reynolds American, Inc.
5.85%	08/15/45		5,000		5,118
					493,064

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric — 7.98%
AEP Transmission Co. LLC,
Series M
3.65%	04/01/50	$	10,000	$	9,687
AEP Transmission Co. LLC,
Series N
2.75%	08/15/51		50,000		41,531
Alabama Power Co.
5.50%	03/15/41		9,000		10,616
Alliant Energy Finance LLC
1.40%	03/15/264		45,000		40,999
Appalachian Power Co.
4.45%	06/01/45		10,000		10,268
Appalachian Power Co.,
Series X
3.30%	06/01/27		30,000		30,212
Baltimore Gas and Electric Co.
2.90%	06/15/50		43,000		37,461
Black Hills Corp.
4.35%	05/01/33		35,000		35,723
CenterPoint Energy Houston Electric, LLC,
Series AG
3.00%	03/01/32		40,000		39,154
Consolidated Edison Co. of New York, Inc.
3.20%	12/01/51		43,000		38,163
Consolidated Edison Co. of New York, Inc.,
Series 2017
3.88%	06/15/47		10,000		9,752
Duke Energy Carolinas LLC
3.75%	06/01/45		70,000		68,825
3.88%	03/15/46		15,000		15,329
4.00%	09/30/42		10,000		10,285
Evergy Missouri West, Inc.
3.75%	03/15/324		20,000		20,170
Evergy, Inc.
2.45%	09/15/24		5,000		4,910
FirstEnergy Transmission LLC
5.45%	07/15/444		55,000		60,234
Florida Power & Light Co.
4.13%	02/01/42		115,000		121,888
Interstate Power and Light Co.
2.30%	06/01/30		20,000		18,267
ITC Holdings Corp.
4.05%	07/01/23		10,000		10,103
Metropolitan Edison Co.
4.00%	04/15/254		39,000		39,222
4.30%	01/15/294		15,000		15,617
MidAmerican Energy Co.
4.25%	05/01/46		10,000		10,805
Narragansett Electric Co. (The)
3.40%	04/09/304		10,000		9,843
Northern States Power Co.
4.13%	05/15/44		10,000		10,495
PacifiCorp.
4.13%	01/15/49		60,000		62,911
Public Service Co. of New Mexico
3.85%	08/01/25		45,000		45,806

See accompanying Notes to Financial Statements.

41 / Annual Report March 2022

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
Southern Co. (The)
3.25%	07/01/26	$	6,000	$	6,008
Tucson Electric Power Co.
3.85%	03/15/23		60,000		60,910
Virginia Electric & Power Co.,
Series B
3.80%	09/15/47		20,000		19,995
Virginia Electric and Power Co.
2.45%	12/15/50		27,000		21,760
Vistra Operations Co., LLC
3.55%	07/15/244		6,000		5,958
Xcel Energy, Inc.
4.80%	09/15/41		55,000		59,501
					1,002,408
Energy — 5.95%
Boston Gas Co.
3.76%	03/16/324		10,000		10,012
BP Capital Markets America, Inc.
3.63%	04/06/30		45,000		45,878
Diamondback Energy, Inc.
4.25%	03/15/52		15,000		14,842
Energy Transfer LP
4.20%	04/15/27		27,000		27,536
4.95%	06/15/28		25,000		26,292
5.00%	05/15/50		55,000		55,817
5.40%	10/01/47		6,000		6,281
6.13%	12/15/45		12,000		13,294
EQM Midstream Partners LP
6.50%	07/15/48		8,000		7,880
Exxon Mobil Corp.
3.45%	04/15/51		24,000		23,386
4.33%	03/19/50		7,000		7,840
KeySpan Gas East Corp.
5.82%	04/01/414		15,000		17,394
Kinder Morgan Energy Partners LP
5.80%	03/15/35		15,000		17,141
Kinder Morgan Energy Partners LP
(MTN)
6.95%	01/15/38		15,000		18,816
Kinder Morgan, Inc.
(GMTN)
7.80%	08/01/31		15,000		19,229
Lundin Energy Finance BV
(Netherlands)
3.10%	07/15/314,5		30,000		27,833
NGPL Pipe Co. LLC
3.25%	07/15/314		20,000		18,589
4.88%	08/15/274		10,000		10,426
Petroleos Mexicanos
(Mexico)
7.69%	01/23/505		40,000		35,008
Phillips 66 Partners LP
4.90%	10/01/46		10,000		11,018
Plains All American Pipeline LP/PAA Finance Corp.
3.55%	12/15/29		31,000		30,014

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
3.80%	09/15/30	$	15,000	$	14,737
4.50%	12/15/26		13,000		13,352
Rockies Express Pipeline LLC
3.60%	05/15/254		30,000		29,534
6.88%	04/15/404		17,000		16,872
Ruby Pipeline LLC
8.00%	04/01/221,2,4		5,758		5,355
Sabine Pass Liquefaction LLC
4.20%	03/15/28		3,000		3,089
Shell International Finance BV
(Netherlands)
2.88%	11/26/415		10,000		9,005
3.13%	11/07/495		20,000		18,388
4.00%	05/10/465		11,000		11,476
4.38%	05/11/455		10,000		10,808
Southern Co. Gas Capital Corp.
2.45%	10/01/23		13,000		12,957
4.40%	06/01/43		10,000		10,034
5.88%	03/15/41		30,000		35,513
Southern Natural Gas Co. LLC
4.80%	03/15/474		15,000		15,934
TC PipeLines LP
4.38%	03/13/25		30,000		30,729
Texas Eastern Transmission LP
2.80%	10/15/224		40,000		40,141
TransCanada PipeLines Ltd.
(Canada)
5.00%	10/16/435		15,000		16,547
Williams Cos., Inc. (The)
3.90%	01/15/25		8,000		8,120
					747,117
Finance — 10.46%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/265		28,000		25,898
3.00%	10/29/285		15,000		13,831
3.88%	01/23/285		4,000		3,896
Air Lease Corp.
3.63%	12/01/27		19,000		18,142
4.25%	09/15/24		20,000		20,256
American Express Co.
2.55%	03/04/27		20,000		19,448
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/274,5		3,000		2,655
2.88%	02/15/254,5		25,000		24,204
Capital One Financial Corp.
1.34%	12/06/243		35,000		33,974
3.27%	03/01/303		10,000		9,679
Cboe Global Markets, Inc.
3.00%	03/16/32		20,000		19,363
Charles Schwab Corp. (The)
2.90%	03/03/32		20,000		19,261
Citigroup, Inc.
2.57%	06/03/313		100,000		91,791

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 42

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
2.88%	07/24/233	$	50,000	$	50,081
3.06%	01/25/333		25,000		23,410
3.52%	10/27/283		30,000		29,760
3.67%	07/24/283		25,000		25,085
3.79%	03/17/333		30,000		29,837
Citigroup, Inc.,
Series VAR
3.07%	02/24/283		25,000		24,412
CME Group, Inc.
2.65%	03/15/32		20,000		19,147
Ford Motor Credit Co. LLC
4.25%	09/20/22		19,000		19,139
Goldman Sachs Group, Inc. (The)
1.43%	03/09/273		15,000		13,847
1.54%	09/10/273		20,000		18,339
1.95%	10/21/273		20,000		18,601
2.38%	07/21/323		10,000		8,892
2.60%	02/07/30		100,000		92,871
2.91%	07/24/233		35,000		35,052
3.10%	02/24/333		25,000		23,591
3.27%	09/29/253		30,000		29,985
3.50%	11/16/26		5,000		5,025
Intercontinental Exchange, Inc.
1.85%	09/15/32		50,000		43,354
JPMorgan Chase & Co.
2.95%	02/24/283		20,000		19,525
LSEGA Financing PLC
(United Kingdom)
2.00%	04/06/284,5		40,000		36,485
Morgan Stanley
0.99%	12/10/263		70,000		64,418
2.94%	01/21/333		50,000		46,877
Morgan Stanley
(GMTN)
1.51%	07/20/273		85,000		78,409
3.70%	10/23/24		5,000		5,091
3.77%	01/24/293		25,000		25,226
Morgan Stanley
(MTN)
1.16%	10/21/253		15,000		14,262
Morgan Stanley,
Series F
3.88%	04/29/24		20,000		20,411
Nationwide Building Society
(United Kingdom)
3.62%	04/26/233,4,5		10,000		10,002
3.77%	03/08/243,4,5		65,000		65,385
4.36%	08/01/243,4,5		15,000		15,236
Park Aerospace Holdings Ltd.
(Cayman Islands)
5.50%	02/15/244,5		2,000		2,049
Pipeline Funding Co. LLC
7.50%	01/15/304		26,349		30,891
Raymond James Financial, Inc.
3.75%	04/01/51		40,000		39,282

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
4.65%	04/01/30	$	25,000	$	26,548
					1,312,923
Food — 0.97%
Kraft Heinz Foods Co.
3.75%	04/01/30		5,000		5,012
4.63%	10/01/39		10,000		10,137
5.00%	07/15/35		10,000		10,735
Mondelez International, Inc.
3.00%	03/17/32		35,000		33,811
Pilgrim’s Pride Corp.
3.50%	03/01/324		35,000		30,632
Smithfield Foods, Inc.
2.63%	09/13/314		30,000		26,325
5.20%	04/01/294		5,000		5,252
					121,904
Health Care — 11.30%
AbbVie, Inc.
4.05%	11/21/39		20,000		20,645
4.40%	11/06/42		45,000		47,822
4.50%	05/14/35		13,000		13,983
4.55%	03/15/35		20,000		21,518
Amgen, Inc.
3.15%	02/21/40		45,000		41,108
3.35%	02/22/32		25,000		24,803
4.40%	05/01/45		15,000		15,817
Anthem, Inc.
3.60%	03/15/51		10,000		9,657
3.70%	09/15/49		15,000		14,651
Ascension Health,
Series B
2.53%	11/15/29		10,000		9,637
Barnabas Health, Inc.,
Series 2012
4.00%	07/01/28		5,000		5,107
Baxter International, Inc.
3.95%	04/01/30		10,000		10,329
Bayer U.S. Finance II LLC
3.88%	12/15/234		5,000		5,054
4.38%	12/15/284		25,000		25,592
4.88%	06/25/484		30,000		32,374
Becton Dickinson and Co.
3.79%	05/20/50		30,000		29,175
4.67%	06/06/47		5,000		5,467
Centene Corp.
3.00%	10/15/30		21,000		19,320
Children’s Hospital Medical Center
2.82%	11/15/50		20,000		17,190
Cigna Corp.
3.40%	03/15/51		5,000		4,525
3.88%	10/15/47		33,000		32,288
4.38%	10/15/28		25,000		26,337
City of Hope,
Series 2013
5.62%	11/15/43		15,000		18,318

See accompanying Notes to Financial Statements.

43 / Annual Report March 2022

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
City of Hope,
Series 2018
4.38%	08/15/48	$	10,000	$	10,865
CommonSpirit Health
2.78%	10/01/30		35,000		32,475
3.91%	10/01/50		10,000		9,572
CVS Health Corp.
5.05%	03/25/48		68,000		77,126
Danaher Corp.
2.80%	12/10/51		30,000		25,553
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		45,000		43,429
Elanco Animal Health, Inc.
6.40%	08/28/28		5,000		5,388
Hackensack Meridian Health, Inc.,
Series 2020
2.88%	09/01/50		30,000		25,636
HCA, Inc.
2.38%	07/15/31		5,000		4,472
3.63%	03/15/324		5,000		4,903
5.00%	03/15/24		29,000		30,066
5.25%	06/15/49		50,000		54,974
Humana, Inc.
3.95%	03/15/27		25,000		25,434
Illumina, Inc.
2.55%	03/23/31		35,000		31,837
Johnson & Johnson
4.50%	09/01/40		35,000		39,576
Kaiser Foundation Hospitals
3.15%	05/01/27		10,000		9,990
Mass General Brigham, Inc.,
Series 2020
3.34%	07/01/60		10,000		9,110
Mayo Clinic,
Series 2013
4.00%	11/15/47		25,000		26,222
Memorial Sloan-Kettering Cancer Center
4.13%	07/01/52		5,000		5,336
Merck & Co., Inc.
2.15%	12/10/31		50,000		46,351
NYU Langone Hospitals,
Series 2020
3.38%	07/01/55		15,000		13,443
OhioHealth Corp.,
Series 2020
3.04%	11/15/50		15,000		13,334
PerkinElmer, Inc.
2.25%	09/15/31		20,000		17,732
2.55%	03/15/31		35,000		32,094
Pfizer, Inc.
4.10%	09/15/38		10,000		10,838
Providence St. Joseph Health Obligated Group,
Series H
2.75%	10/01/26		10,000		9,908
Regeneron Pharmaceuticals, Inc.
1.75%	09/15/30		70,000		60,719

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
Royalty Pharma PLC
(United Kingdom)
1.75%	09/02/275	$	45,000	$	40,941
Sharp HealthCare,
Series 20B
2.68%	08/01/50		50,000		41,845
Smith & Nephew PLC
(United Kingdom)
2.03%	10/14/305		30,000		26,121
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%	03/15/315		30,000		27,497
UnitedHealth Group, Inc.
3.25%	05/15/51		50,000		47,321
3.70%	08/15/49		10,000		10,190
4.25%	04/15/47		15,000		16,320
Universal Health Services, Inc.
1.65%	09/01/264		40,000		36,714
Viatris, Inc.
1.13%	06/22/22		15,000		14,999
West Virginia United Health System Obligated Group,
Series 2020
3.13%	06/01/50		35,000		29,647
					1,418,695
Industrials — 2.96%
Amcor Flexibles North America, Inc.
2.63%	06/19/30		5,000		4,622
BAE Systems Holdings, Inc.
3.85%	12/15/254		20,000		20,092
BAE Systems PLC
(United Kingdom)
3.40%	04/15/304,5		30,000		29,602
Berry Global, Inc.
0.95%	02/15/24		15,000		14,364
1.57%	01/15/26		28,000		26,147
Boeing Co. (The)
1.43%	02/04/24		35,000		33,878
5.93%	05/01/60		12,000		13,923
CCL Industries, Inc.
(Canada)
3.05%	06/01/304,5		25,000		23,508
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/266		10,000		9,846
L3Harris Technologies, Inc.
3.85%	06/15/23		40,000		40,516
Northrop Grumman Corp.
5.15%	05/01/40		28,000		32,689
Sealed Air Corp.
1.57%	10/15/264		20,000		18,263
Sonoco Products Co.
3.13%	05/01/30		10,000		9,627

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 44

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Industrials (continued)
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%	04/28/264,5	$	5,000	$	5,023
3.90%	03/22/234,5		50,000		50,595
Trane Technologies Luxembourg Finance SA
(Luxembourg)
3.55%	11/01/245		5,000		5,055
WRKCo, Inc.
3.00%	09/15/24		30,000		29,748
3.00%	06/15/33		5,000		4,673
					372,171
Information Technology — 4.81%
Amazon.com, Inc.
2.50%	06/03/50		67,000		56,210
3.10%	05/12/51		7,000		6,591
Analog Devices, Inc.
2.95%	10/01/51		35,000		31,652
Apple, Inc.
2.38%	02/08/41		25,000		21,734
2.65%	02/08/51		31,000		26,865
2.70%	08/05/51		70,000		60,961
Broadcom, Inc.
2.60%	02/15/334		30,000		26,134
3.14%	11/15/354		25,000		22,067
3.42%	04/15/334		15,000		14,006
3.63%	10/15/24		15,000		15,210
CDW LLC/CDW Finance Corp.
3.28%	12/01/28		25,000		23,606
Fiserv, Inc.
2.65%	06/01/30		15,000		13,866
Intel Corp.
3.05%	08/12/51		20,000		17,811
3.25%	11/15/49		15,000		13,898
Micron Technology, Inc.
2.70%	04/15/32		25,000		22,711
Netflix, Inc.
3.63%	06/15/254		30,000		30,197
NVIDIA Corp.
3.50%	04/01/50		20,000		20,276
NXP BV/NXP Funding LLC
(Netherlands)
4.63%	06/01/234,5		10,000		10,150
Oracle Corp.
3.60%	04/01/50		82,000		68,211
3.95%	03/25/51		25,000		21,900
salesforce.com, Inc.
2.90%	07/15/51		30,000		26,841
Skyworks Solutions, Inc.
0.90%	06/01/23		25,000		24,455
VMware, Inc.
1.00%	08/15/24		30,000		28,606
					603,958

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Insurance — 5.89%
Allstate Corp. (The)
3.85%	08/10/49	$	20,000	$	20,386
Aon Corp.
2.80%	05/15/30		25,000		23,815
3.75%	05/02/29		5,000		5,118
Aon Corp./Aon Global Holdings PLC
2.05%	08/23/31		10,000		8,843
Arthur J Gallagher & Co.
3.05%	03/09/52		20,000		16,446
Athene Global Funding
1.61%	06/29/264		15,000		13,679
1.99%	08/19/284		10,000		8,790
(SOFR Rate plus 0.70%)
0.91%	05/24/244,6		30,000		29,628
Berkshire Hathaway Finance Corp.
2.85%	10/15/50		35,000		30,436
2.88%	03/15/32		10,000		9,705
4.20%	08/15/48		20,000		21,547
Brown & Brown, Inc.
4.20%	03/17/32		40,000		40,673
Equitable Financial Life Global Funding
1.80%	03/08/284		20,000		18,004
Farmers Exchange Capital II
6.15%	11/01/533,4		10,000		11,840
Farmers Insurance Exchange
4.75%	11/01/573,4		55,000		57,780
Guardian Life Insurance Co. of America (The)
3.70%	01/22/704		45,000		41,058
Marsh & McLennan Cos., Inc.
2.25%	11/15/30		10,000		9,141
Massachusetts Mutual Life Insurance Co.
3.38%	04/15/504		37,000		33,384
MMI Capital Trust I,
Series B
7.63%	12/15/27		25,000		29,351
Nationwide Mutual Insurance Co.
3.12%	12/15/243,4		45,000		45,031
New York Life Insurance Co.
3.75%	05/15/504		65,000		63,293
Northwestern Mutual Life Insurance Co. (The)
3.45%	03/30/514		39,000		35,620
Principal Life Global Funding II
0.75%	04/12/244		25,000		23,922
Teachers Insurance & Annuity Association of America
3.30%	05/15/504		15,000		13,339
4.38%	09/15/543,4		65,000		64,786
Travelers Cos., Inc. (The)
4.05%	03/07/48		10,000		10,523
Trinity Acquisition PLC
(United Kingdom)
4.40%	03/15/265		20,000		20,658
Willis North America, Inc.
2.95%	09/15/29		35,000		32,911
					739,707

See accompanying Notes to Financial Statements.

45 / Annual Report March 2022

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Materials — 0.60%
Georgia-Pacific LLC
2.30%	04/30/304	$	10,000	$	9,296
3.60%	03/01/254		20,000		20,214
International Flavors & Fragrances, Inc.
1.23%	10/01/254		5,000		4,635
2.30%	11/01/304		15,000		13,414
5.00%	09/26/48		25,000		27,527
					75,086
Real Estate Investment Trust (REIT) — 6.40%
Alexandria Real Estate Equities, Inc.
4.50%	07/30/29		11,000		11,713
American Assets Trust LP
3.38%	02/01/31		30,000		28,231
American Campus Communities Operating Partnership LP
2.25%	01/15/29		15,000		13,695
3.30%	07/15/26		10,000		9,959
3.63%	11/15/27		35,000		34,852
3.75%	04/15/23		25,000		25,221
American Homes 4 Rent LP
2.38%	07/15/31		15,000		13,280
Boston Properties LP
2.55%	04/01/32		10,000		9,027
3.25%	01/30/31		5,000		4,850
3.40%	06/21/29		5,000		4,962
Crown Castle International Corp.
3.30%	07/01/30		50,000		47,887
CubeSmart LP
2.25%	12/15/28		20,000		18,233
4.38%	02/15/29		5,000		5,239
CyrusOne LP/CyrusOne Finance Corp.
2.90%	11/15/24		5,000		5,014
3.45%	11/15/29		55,000		57,755
Equinix, Inc.
3.90%	04/15/32		30,000		29,842
Essex Portfolio LP
2.65%	03/15/32		5,000		4,576
Extra Space Storage LP
3.90%	04/01/29		25,000		25,097
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		5,000		4,997
4.00%	01/15/30		65,000		63,563
Healthcare Realty Trust, Inc.
3.63%	01/15/28		30,000		29,777
Healthcare Trust of America Holdings LP
2.00%	03/15/31		15,000		13,002
Healthpeak Properties, Inc.
4.00%	06/01/25		35,000		35,616
Hudson Pacific Properties LP
3.95%	11/01/27		50,000		50,299
Invitation Homes Operating Partnership LP
2.30%	11/15/28		30,000		27,285
Kilroy Realty LP
2.50%	11/15/32		15,000		13,056
3.45%	12/15/24		10,000		10,032

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Life Storage LP
2.20%	10/15/30	$	40,000	$	35,407
LXP Industrial Trust
2.38%	10/01/31		5,000		4,445
2.70%	09/15/30		45,000		41,597
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%	06/15/254		28,000		28,355
Mid-America Apartments LP
1.70%	02/15/31		10,000		8,657
Piedmont Operating Partnership LP
2.75%	04/01/32		15,000		13,346
SL Green Operating Partnership LP
3.25%	10/15/22		45,000		45,017
UDR, Inc.
(MTN)
4.40%	01/26/29		5,000		5,262
Ventas Realty LP
4.13%	01/15/26		10,000		10,240
Weyerhaeuser Co.
3.38%	03/09/33		15,000		14,631
					804,017
Retail — 0.88%
7-Eleven, Inc.
0.80%	02/10/244		35,000		33,644
Alimentation Couche-Tard, Inc.
(Canada)
3.80%	01/25/504,5		45,000		41,974
McDonald’s Corp.
(MTN)
4.20%	04/01/50		15,000		15,725
Starbucks Corp.
3.00%	02/14/32		20,000		19,131
					110,474
Services — 1.42%
Global Payments, Inc.
1.50%	11/15/24		35,000		33,470
Moody’s Corp.
2.75%	08/19/41		20,000		17,232
3.75%	02/25/52		15,000		14,820
Northwestern University
3.69%	12/01/38		10,000		10,710
RELX Capital, Inc.
4.00%	03/18/29		35,000		35,939
S&P Global, Inc.
4.75%	08/01/284		15,000		16,128
University of Southern California
2.81%	10/01/50		10,000		8,841
Waste Connections, Inc.
(Canada)
2.60%	02/01/305		5,000		4,710
3.05%	04/01/505		20,000		17,370
3.20%	06/01/325		15,000		14,624

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 46

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Services (continued)
William Marsh Rice University
2.60%	05/15/50	$	5,000	$	4,278
					178,122
Transportation — 1.97%
Burlington Northern Santa Fe LLC
3.30%	09/15/51		20,000		19,094
4.40%	03/15/42		18,000		19,636
Canadian Pacific Railway Co.
(Canada)
2.45%	12/02/315		35,000		32,491
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		22,758		20,889
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%	05/15/32		13,720		12,677
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		28,037		27,906
Norfolk Southern Corp.
3.00%	03/15/32		15,000		14,640
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		20,595		21,131
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		13,664		14,253
Union Pacific Corp.
2.80%	02/14/32		15,000		14,434
2.95%	03/10/52		20,000		17,777
3.84%	03/20/60		25,000		25,222
United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.88%	10/07/28		7,886		7,439
					247,589
Water — 0.08%
American Water Capital Corp.
3.45%	05/01/50		11,000		10,382
Total Corporates
(Cost $12,182,778)					11,224,691
MORTGAGE-BACKED — 0.57%**
Non-Agency Commercial Mortgage-Backed — 0.26%
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.17%	03/10/463		302,141		2,366
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.85%	09/10/471,2,3		597,896		9,750
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.86%	12/10/473		433,667		8,158

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)
0.56%	08/10/433,4	$	1,281,307	$	9,618
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%	03/10/443,4		102,516		1
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XA (IO)
1.31%	08/15/453,4		122,258		80
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C6, Class XA (IO)
1.57%	11/15/451,2,3,4		130,009		129
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.21%	08/10/491,2,3,4		2,200,000		2,416
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.20%	06/15/453,4		294,702		91
					32,609
U.S. Agency Commercial Mortgage-Backed — 0.20%
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
2.84%	07/25/223		20,052		1
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%	09/16/513		518,385		22,959
Ginnie Mae,
Series 2012-144, Class IO (IO)
0.33%	01/16/533		162,023		1,718
					24,678
U.S. Agency Mortgage-Backed — 0.11%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.54%	11/25/416		31,332		3,295
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%	06/25/42		10,835		10,514
					13,809
Total Mortgage-Backed
(Cost $227,078)					71,096
MUNICIPAL BONDS — 2.90%*
California — 1.18%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%	11/01/35		35,000		29,920
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%	11/01/41		25,000		22,498
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%	05/15/38		15,000		14,819

See accompanying Notes to Financial Statements.

47 / Annual Report March 2022

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	5,000	$	6,242
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%	07/01/34		30,000		35,575
5.76%	07/01/29		10,000		11,369
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%	07/01/34		5,000		6,354
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		4,479
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%	04/01/32		10,000		11,332
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AJ
4.60%	05/15/31		5,000		5,358
					147,946
Florida — 0.12%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%	10/01/31		15,000		15,046
Massachusetts — 0.15%
Massachusetts School Building Authority Revenue Bonds, Series A
2.50%	02/15/37		10,000		8,760
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%	10/15/32		10,000		9,970
					18,730
Michigan — 0.12%
University of Michigan Revenue Bonds, Taxable, Revenue Bonds, University & College Improvements, Series A
3.50%	04/01/52		15,000		15,281
New York — 1.22%
City of New York General Obligation Bonds, Series D
1.92%	08/01/31		25,000		21,959
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		5,000		5,718
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%	08/01/29		5,000		5,074
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%	02/01/33		20,000		16,830

Issues	Maturity     Date	Principal     Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Taxable Bonds, Public Improvements
3.96%	08/01/32	$	30,000	$	30,535
New York State Dormitory Authority Revenue Bonds, Series C
1.95%	03/15/29		50,000		45,742
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.54%	03/15/34		10,000		8,978
2.59%	03/15/35		20,000		17,827
					152,663
Ohio — 0.11%
Ohio, Taxable Revenue Bonds, Advanced Refunding, Cleveland Clinic
2.89%	01/01/32		15,000		14,341
Total Municipal Bonds
(Cost $399,969)					364,007
U.S. TREASURY SECURITIES — 2.93%
U.S. Treasury Bonds — 0.63%
U.S. Treasury Bonds
2.00%	11/15/41		27,000		24,476
2.25%	02/15/52		35,000		33,578
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.13%	02/15/527		21,209		22,025
					80,079
U.S. Treasury Notes — 2.30%
U.S. Treasury Notes
1.50%	02/29/24		37,000		36,465
1.75%	03/15/25		71,000		69,533
1.88%	02/28/27		100,000		97,360
1.88%	02/15/32		72,000		69,159
2.50%	03/31/27		16,000		16,038
					288,555
Total U.S. Treasury Securities
(Cost $371,619)					368,634
Total Bonds — 96.11%
(Cost $13,223,760)					12,068,364
Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.83%
Money Market Funds — 2.83%
Dreyfus Government Cash Management Fund
0.19%8			186,000		186,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%8			20,236		20,236

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 48

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity   Date	Principal   Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%8			149,000	$	149,000
Total Short-Term Investments
(Cost $355,236)					355,236
Total Investments Before Written Swaptions - 98.94%
(Cost $13,578,996)					12,423,600
Written Swaptions - (0.08)%
(Cost $(1,848))					(10,206)
Cash and Other Assets, Less Liabilities - 1.14%					143,444
Net Assets - 100.00%				$	12,556,838

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 $57,586, which is 0.46% 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 March 31, 2022.

⁷ Inflation protected security. Principal amount reflects original security face amount.

⁸ Represents the current yield as of March 31, 2022.

* 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

(CAD): Canadian Dollar

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
CAD 275,000	USD 215,610	Citigroup Global Markets, Inc.		04/08/22	$	4,548
USD 214,422	CAD 275,000	Citigroup Global Markets, Inc.		04/08/22		(5,737)
NET UNREALIZED DEPRECIATION					$	(1,189)

See accompanying Notes to Financial Statements.

49 / Annual Report March 2022

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Description	Number ofContracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		6		06/30/22	$	1,271,531	$	(2,449)	$	(2,449)
U.S. Treasury Five-Year Note		4		06/30/22		458,750		2,304		2,304
						1,730,281		(145)		(145)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		5		06/21/22		(677,344)		16,372		16,372
U.S. Treasury Ultra Bond		1		06/21/22		(177,125)		(3,689)		(3,689)
						(854,469)		12,683		12,683
TOTAL FUTURES CONTRACTS					$	875,812	$	12,538	$	12,538

Received by the Fund

Paid by the Fund

Description

Counterparty

Purchase Date

Maturity Date

Rate

Frequency

Rate

Frequency

Notional Amount (000’s)

Value

Premiums (Received)

Unrealized (Depreciation)

WRITTEN PUT SWAPTIONS

Option to enter into a 2-year Interest Rate Swap

Citigroup Global Markets, Inc.

03/09/22

06/08/22

1.95

%

Semi- annually

3-month USD LIBOR

Quarterly

$

660

$

(10,206)

$

(1,848)

$

(8,358)

		Received by the Fund				Paid by the Fund
Description	Maturity Date	Rate		Frequency		Rate		Frequency		Notional Amount (000’s)		Value		Premiums Paid		Unrealized Appreciation (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap1	09/28/53		3-month USD LIBOR		Quarterly		1.87%		Semi-annually	$	95	$	7,552	$	—	$	7,552
Interest Rate Swap1	12/07/53		3-month USD LIBOR		Quarterly		1.74%		Semi-annually		35		3,612		—		3,612
Interest Rate Swap1	09/28/25		1.39%		Semi- annually		3-month USD LIBOR		Quarterly		1,130		(30,788)		—		(30,788)
Interest Rate Swap1	12/07/25		1.69%		Semi- annually		3-month USD LIBOR		Quarterly		420		(8,453)		—		(8,453)
TOTAL SWAPS CONTRACTS										$	1,680	$	(28,077)	$	—	$	(28,077)

¹ Centrally cleared.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 50

ESG Securitized Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 110.38%
ASSET-BACKED SECURITIES — 6.50%**
Aligned Data Centers Issuer LLC,
Series 2021-1A, Class A2
1.94%	08/15/461	$	150,000	$	138,121
Flexential Issuer,
Series 2021-1A, Class A2
3.25%	11/27/511		150,000		141,585
GoodLeap Sustainable Home Solutions Trust,
Series 2022-1GS, Class A
2.70%	01/20/491		68,509		65,185
Loanpal Solar Loan Ltd.,
Series 2021-1GS, Class A
2.29%	01/20/481		183,824		168,208
Sunnova Helios VII Issuer LLC,
Series 2021-C, Class A
2.03%	10/20/481		194,450		179,908
Total Asset-Backed Securities
(Cost $741,543)					693,007
MORTGAGE-BACKED — 85.29%**
Non-Agency Commercial Mortgage-Backed — 38.11%
1211 Avenue of the Americas Trust,
Series 2015-1211, Class A1A1
3.90%	08/10/351		150,000		150,934
BX Commercial Mortgage Trust,
Series 2022-AHP, Class AS
(CME Term SOFR 1-Month plus 1.49%)
1.79%	01/17/391,2		155,000		153,445
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		125,000		127,085
CAMB Commercial Mortgage Trust,
Series 2021-CX2, Class B
2.77%	11/10/461,3		150,000		135,520
Commercial Mortgage Trust,
Series 2019-521F, Class A
(LIBOR USD 1-Month plus 0.90%)
1.30%	06/15/341,2		150,000		149,074
Commercial Mortgage Trust,
Series 2020-CX, Class A
2.17%	11/10/461		176,000		157,564
Commercial Mortgage Trust,
Series 2022-HC, Class A
2.82%	01/10/391		150,000		144,130
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/451		170,000		161,086
DOLP Trust,
Series 2021-NYC, Class A
2.96%	05/10/411		150,000		141,582
DROP Mortgage Trust,
Series 2021-FILE, Class A
(LIBOR USD 1-Month plus 1.15%)
1.55%	04/15/261,2		150,000		148,638

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Frost CMBS DAC,
Series 2021-1A, Class GBB
(Ireland)
(SONIA plus 1.65%)
1.84%	11/22/261,2,4	$	250,000	$	319,990
Grace Trust,
Series 2020-GRCE, Class B
2.60%	12/10/401		150,000		135,405
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		150,000		145,978
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,3		150,000		143,519
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%	06/05/391		150,000		148,352
KNDL Mortgage Trust,
Series 2019-KNSQ, Class A
(LIBOR USD 1-Month plus 0.80%)
1.20%	05/15/361,2		130,000		129,044
KREST Commercial Mortgage Securities Trust,
Series 2021-CHIP, Class C
2.93%	11/05/441,3		125,000		110,208
Manhattan West Mortgage Trust,
Series 2020-1MW, Class A
2.13%	09/10/391		160,000		148,283
MFT Mortgage Trust,
Series 2020-B6, Class B
3.28%	08/10/401,3		150,000		126,873
Morgan Stanley Capital I Trust,
Series 2020-CNP, Class A
2.43%	04/05/421,3		150,000		136,261
Natixis Commercial Mortgage Securities Trust,
Series 2019-10K, Class A
3.62%	05/15/391		150,000		147,952
NYO Commercial Mortgage Trust,
Series 2021-1290, Class A
(LIBOR USD 1-Month plus 1.10%)
1.49%	11/15/381,2		100,000		99,185
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/541		150,000		139,165
One New York Plaza Trust,
Series 2020-1NYP, Class AJ
(LIBOR USD 1-Month plus 1.25%)
1.65%	01/15/361,2		150,000		147,897
SFO Commercial Mortgage Trust,
Series 2021-555, Class C
(LIBOR USD 1-Month plus 1.80%)
2.20%	05/15/381,2		130,000		127,079
Shops at Crystals Trust,
Series 2016-CSTL, Class A
3.13%	07/05/361		150,000		142,467

See accompanying Notes to Financial Statements.

51 / Annual Report March 2022

ESG Securitized Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
SLG Office Trust,
Series 2021-OVA, Class A
2.59%	07/15/411	$	100,000	$	93,295
STWD Mortgage Trust,
Series 2021-LIH, Class A
(LIBOR USD 1-Month plus 0.86%)
1.26%	11/15/361,2		160,000		157,055
					4,067,066
U.S. Agency Commercial Mortgage-Backed — 1.70%
Fannie Mae-Aces,
Series 2019-M9, Class A1
2.61%	06/25/29		49,846		49,342
Freddie Mac Multifamily ML Certificates,
Series 2021-ML12, Class XUS (IO)
1.22%	07/25/413		1,096,855		132,007
					181,349
U.S. Agency Mortgage-Backed — 45.48%
Fannie Mae Pool AL9266
3.00%	10/01/46		149,077		148,096
Fannie Mae Pool BO2256
3.00%	10/01/49		339,305		333,867
Fannie Mae Pool CA5496
3.00%	04/01/50		428,666		424,201
Fannie Mae Pool FM2870
3.00%	03/01/50		267,634		264,260
Fannie Mae Pool FM3687
2.50%	06/01/50		379,809		364,926
Fannie Mae Pool MA4414
2.50%	09/01/51		213,291		203,945
Fannie Mae REMICS,
Series 2011-117, Class PF
(LIBOR USD 1-Month plus 0.35%)
0.81%	07/25/392		15,803		15,804
Fannie Mae REMICS,
Series 2019-25, Class PA
3.00%	05/25/48		271,833		272,666
Freddie Mac Gold Pool G67707
3.50%	01/01/48		236,927		241,061
Freddie Mac Gold Pool G67708
3.50%	03/01/48		46,388		46,913
Freddie Mac Pool QA7550
3.00%	03/01/50		77,370		76,153
Freddie Mac Pool QA8518
3.00%	04/01/50		94,459		92,944
Freddie Mac Pool RA3282
3.00%	08/01/50		422,774		417,049
Freddie Mac Pool RA5552
3.00%	07/01/51		259,461		254,549
Freddie Mac Pool RA5855
2.50%	09/01/51		216,266		206,790
Freddie Mac Pool SD7511
3.50%	01/01/50		42,746		43,167

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3067, Class FA
(LIBOR USD 1-Month plus 0.35%)
0.75%	11/15/352	$	76,606	$	76,564
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
0.70%	04/15/352		23,795		23,811
Freddie Mac REMICS,
Series 3210, Class F
(LIBOR USD 1-Month plus 0.40%)
0.80%	05/15/362		7,155		7,166
Freddie Mac REMICS,
Series 4139, Class DA
1.25%	12/15/27		33,932		32,741
Ginnie Mae (TBA)
2.00%	04/20/52		150,000		142,684
2.50%	04/20/52		150,000		145,419
UMBS (TBA)
2.00%	04/01/37		50,000		48,557
2.00%	04/01/52		75,000		69,580
2.00%	05/01/52		375,000		347,481
2.50%	04/01/37		75,000		74,119
2.50%	05/01/52		400,000		380,865
3.00%	04/01/52		25,000		24,457
3.00%	05/01/52		75,000		73,219
					4,853,054
Total Mortgage-Backed
(Cost $9,606,571)					9,101,469
U.S. TREASURY SECURITIES — 18.59%
U.S. Treasury Bonds — 2.65%
U.S. Treasury Bonds
1.88%	11/15/51		127,000		111,443
2.00%	11/15/41		34,000		30,821
2.25%	02/15/52		147,000		141,028
					283,292
U.S. Treasury Notes — 15.94%
U.S. Treasury Notes
0.88%	01/31/24		38,000		37,037
1.50%	02/29/24		203,000		200,066
1.75%	03/15/25		378,000		370,191
1.88%	02/28/27		223,000		217,112
1.88%	02/15/32		711,000		682,949
2.25%	03/31/24		61,000		60,919
2.50%	03/31/27		132,000		132,314
					1,700,588
Total U.S. Treasury Securities
(Cost $2,017,575)					1,983,880
Total Bonds — 110.38%
(Cost $12,365,689)					11,778,356

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 52

ESG Securitized Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date		Principal   Amount/ Shares		Value
SHORT-TERM INVESTMENTS — 3.04%
Money Market Funds — 2.13%
Fidelity Investments Money Market Funds - Government Portfolio
0.12%5				227,640	$	227,640
U.S. Agency Discount Notes — 0.91%
Federal Home Loan Bank
1.04%6		06/14/24	$	100,000		96,810
Total Short-Term Investments
(Cost $327,640)						324,450
Total Investments - 113.42%
(Cost $12,693,329)						12,102,806
Liabilities in Excess of Other Assets - (13.42)%						(1,431,641	)
Net Assets - 100.00%					$	10,671,165

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

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

⁴ Foreign denominated security issued by foreign domiciled entity.

⁵ Represents the current yield as of March 31, 2022.

⁶ Represents annualized yield at date of purchase.

^** 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.

(GBP): British Pound

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(TBA): To-Be-Announced

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
GBP 255,000	USD 334,340	Bank of America N.A.		04/08/22	$	1,388
USD 342,186	GBP 255,000	Bank of America N.A.		04/08/22		6,457
						7,845
USD 323,422	GBP 247,000	Bank of America N.A.		07/08/22		(1,715)
NET UNREALIZED APPRECIATION					$	6,130

Description	Number of Contracts	Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note	7	06/30/22	$	1,483,453	$	(15,590)	$	(15,590)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note	7	06/30/22		(802,813)		24,447		24,447
U.S. Treasury Ten-Year Ultra Bond	4	06/21/22		(541,875)		17,522		17,522
				(1,344,688)		41,969		41,969
TOTAL FUTURES CONTRACTS			$	138,765	$	26,379	$	26,379

See accompanying Notes to Financial Statements.

53 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 99.69%
ASSET-BACKED SECURITIES — 7.21%**
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.37%	10/17/341,2,3	$	185,000	$	183,233
Aimco CLO 14 Ltd.,
Series 2021-14A, Class SUB
(Cayman Islands)
0.00%	04/20/341,3,4		700,000		607,071
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%	10/16/281,2,3		6,478		6,465
AMSR Trust,
Series 2020-SFR1, Class I
8.19%	04/17/371		450,000		453,419
BlueMountain CLO Ltd.,
Series 2018-3A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.77%)
2.03%	10/25/301,2,3		250,000		248,350
BMO SBA COOF Trust,
Series 2019-1, Class A (IO)
1.98%	10/25/451,4		3,885,529		213,838
Carvana Auto Receivables Trust,
Series 2020-P1, Class R
0.00%	09/08/271		1,300		319,741
Carvana Auto Receivables Trust,
Series 2021-N3, Class R
0.00%	06/12/281		1,500		553,771
CIFC Funding Ltd.,
Series 2018-1A, Class SUB
(Cayman Islands)
0.00%	04/18/311,3,4		575,000		385,689
CIFC Funding Ltd.,
Series 2022-2A, Class INCB
(Cayman Islands)
0.00%	04/19/35†,1,3,4		475,000		410,126
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.04%	10/15/521,4		687,393		37,889
CoreVest American Finance Trust,
Series 2021-1, Class XB (IO)
1.56%	04/15/531,4		4,459,000		366,685
Dryden 72 CLO Ltd.,
Series 2019-72A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
2.16%	05/15/321,2,3		925,000		919,477
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%	04/15/291,2,3		61,372		61,030

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden XXVIII Senior Loan Fund,
Series 2013-28A, Class A1LR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.71%	08/15/301,2,3	$	10,000	$	9,969
Elmwood CLO VI Ltd.,
Series 2020-3A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.90%	10/20/341,2,3		440,000		436,528
Gilbert Park CLO Ltd.,
Series 2017-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.43%	10/15/301,2,3		335,000		333,111
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.40%	10/20/341,2,3		250,000		247,285
Greenwood Park CLO Ltd.,
Series 2018-1A, Class SUB
(Cayman Islands)
0.00%	04/15/311,3,4		675,000		463,431
Invesco CLO Ltd.,
Series 2021-1A, Class SUB
(Cayman Islands)
0.00%	04/15/341,3,4		650,000		511,508
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		44,066		45,709
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/731		45,509		46,154
JPMorgan Chase Bank Auto Credit Linked Notes,
Series 2021-1, Class R
28.35%	09/25/281		532,802		639,241
Navient Student Loan Trust,
Series 2018-4A, Class B
(LIBOR USD 1-Month plus 1.30%)
1.76%	06/27/671,2		850,000		814,009
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
1.36%	06/25/541,2		630,000		627,914
Neuberger Berman Loan Advisers CLO 40 Ltd.,
Series 2021-40A, Class SUB
(Cayman Islands)
0.00%	04/16/331,3,4		275,000		227,570
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.63%	11/20/301,2,3		325,000		323,551

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 54

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.37%	01/17/311,2,3	$	725,000	$	721,563
Palmer Square CLO Ltd.,
Series 2021-1A, Class SUB
(Cayman Islands)
0.00%	04/20/341,3,4		625,000		520,656
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.16%	10/24/271,2,3		12,975		12,923
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.80%	04/20/281,2,3		10,000		9,998
PHEAA Student Loan Trust,
Series 2014-3A, Class A
(LIBOR USD 1-Month plus 0.59%)
1.05%	08/25/401,2		35,667		35,005
Progress Residential Trust,
Series 2019-SFR2, Class A
3.15%	05/17/361		330,332		326,927
Progress Residential,
Series 2021-SFR1, Class H
5.00%	04/17/381		750,000		678,476
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
1.26%	10/15/291,2,3		54,811		54,603
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.44%	10/20/301,2,3		475,000		472,720
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/375,6		517,199		488,107
SLM Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.50%)
0.76%	07/25/392		183,449		175,482
SLM Student Loan Trust,
Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
0.43%	07/25/252		115,000		106,654
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.96%	07/25/232		88,991		89,297

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-7, Class A4
(LIBOR USD 3-Month plus 0.90%)
1.16%	07/25/232	$	16,214	$	16,059
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		10,000		9,950
Stratus CLO Ltd.,
Series 2021-3A, Class SUB
(Cayman Islands)
0.00%	12/29/291,3,4		975,000		935,924
Textainer Marine Containers VII Ltd.,
Series 2021-1A, Class B
(Bermuda)
2.52%	02/20/461,3		700,812		649,916
VCC Trust,
Series 2020-MC1, Class A
4.50%	06/25/451,4		71,593		71,593
Voya CLO Ltd.,
Series 2018-4A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.89%	01/15/321,2,3		250,000		247,477
Total Asset-Backed Securities (Cost $15,832,663)					15,116,094
BANK LOANS — 6.87%*
Communications — 0.44%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/15/272		123,422		120,327
CSC Holdings LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.90%	04/15/272		49,370		48,605
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/272		334,250		334,315
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.81%	05/01/282		123,750		122,100
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%	05/31/252		75,654		70,024
National CineMedia LLC,
Term Loan B, 1st Lien
(LIBOR plus 8.00%)
9.00%	12/20/242		247,500		233,888
					929,259

See accompanying Notes to Financial Statements.

55 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Consumer Discretionary — 0.48%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
3.88%	12/23/272	$	148,500	$	146,192
Naked Juice, LLC,
Term Loan
(SOFR plus 3.25%)
4.00%	01/24/292		250,000		246,429
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	02/01/282		267,331		265,994
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.76%	10/01/262		247,500		246,224
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.46%	10/22/262		98,492		98,369
					1,003,208
Electric — 0.66%
Astoria Energy LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	12/10/272		266,660		263,618
Calpine Corp.,
Term Loan B9, 1st Lien
(LIBOR plus 2.00%)
2.46%	04/05/262		246,827		243,793
Endure Digital, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	02/10/282		397,000		386,579
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.19%	12/31/252		95,978		95,138
2.21%	12/31/252		397,098		393,624
					1,382,752
Entertainment — 0.49%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%	02/28/252		123,003		95,255
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 7.00%)
7.00%	05/23/242		783,473		927,440
					1,022,695

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Finance — 0.26%
DCG Acquisition Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.96%	09/30/262	$	271,561	$	267,657
Schweitzer-Mauduit International, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	04/20/282		272,938		269,982
					537,639
Food — 0.04%
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.21%	07/20/252		98,510		93,092
Gaming — 0.18%
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	12/27/242		394,845		390,589
Health Care — 0.84%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	11/08/272		99,003		98,384
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/252		275,000		271,151
Buckeye Partners LP,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
2.71%	11/01/262		246,875		245,410
Certara Holdco, Inc.,
Term Loan B
(LIBOR plus 3.50%)
3.96%	08/15/262		272,938		269,526
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.00%)
3.01%	12/30/262		271,537		268,949
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.25%	03/15/282		272,250		269,954
ICON Luxembourg SARL,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/282		191,077		190,420
Indigo Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/282		47,607		47,443

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 56

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Pathway Vet Alliance LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.21%	03/31/272	$	98,502	$	97,702
					1,758,939
Industrials — 0.42%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
2.07%	07/01/262		357,442		353,029
Charter Next generation, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	12/01/272		74,250		73,937
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.26%	04/15/282		168,725		158,695
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	11/03/252		198,005		194,094
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	08/12/242		98,235		94,305
					874,060
Information Technology — 1.79%
AppLovin Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.25%	08/15/252		271,492		270,496
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
4.00%	02/15/292,7		855,072		847,590
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	12/16/252		74,250		73,819
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	08/14/252		271,492		264,819
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	10/01/272		247,494		247,494
IQVIA, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.76%	06/11/252		369,469		367,899

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Nouryon USA LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.01%	10/01/252	$	311,239	$	307,219
Precision Medicine Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.01%	11/18/272,8		349,423		343,745
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	04/24/282		273,625		270,889
Scientific Games International, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.75%)
3.21%	08/14/242		487,829		486,612
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	03/04/282		272,250		270,642
					3,751,224
Insurance — 0.12%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	02/15/272		249,364		246,351
Real Estate Investment Trust (REIT) — 0.23%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%	07/17/282,9		250,252		244,090
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.81%	02/17/282		247,500		243,130
					487,220
Retail — 0.49%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/282		172,813		170,221
Sinclair Television Group, Inc.,
Term Loan B2B, 1st Lien
(LIBOR plus 2.50%)
2.96%	09/30/262		394,937		383,910
U.S. Anesthesia Partners, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
4.75%	09/22/282		472,625		470,175
					1,024,306

See accompanying Notes to Financial Statements.

57 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services — 0.30%
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
2.21%	04/16/252	$	389,965	$	384,468
Trans Union LLC,
Term Loan B6
(LIBOR plus 2.25%)
2.75%	12/01/282		249,282		247,828
					632,296
Transportation — 0.13%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%	09/01/272		275,000		266,750
Total Bank Loans
(Cost $14,357,185)					14,400,380
CORPORATES — 35.21%*
Banking — 5.71%
ABN AMRO Bank NV
(Netherlands)
2.47%	12/13/291,3,4		270,000		247,152
Bank of America Corp.
2.30%	07/21/324		485,000		431,992
2.57%	10/20/324		130,000		118,480
2.69%	04/22/324		55,000		50,571
3.00%	12/20/234		170,000		170,494
Bank of America Corp.
(MTN)
2.02%	02/13/264		375,000		361,276
2.09%	06/14/294		310,000		283,597
3.82%	01/20/284		125,000		126,698
Bank of America Corp.,
Series N
1.66%	03/11/274		865,000		808,599
Bank of America Corp.,
Series RR
4.38%4,10			100,000		94,227
Comerica, Inc.
5.63%4,10			15,000		15,600
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		325,000		290,647
2.19%	06/05/261,3,4		195,000		183,482
2.59%	09/11/251,3,4		215,000		207,495
3.09%	05/14/321,3,4		260,000		234,234
3.75%	03/26/253		80,000		79,762
Discover Bank
2.45%	09/12/24		230,000		226,164
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		220,000		208,517

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4	$	525,000	$	479,854
2.01%	09/22/283,4		200,000		181,636
2.63%	11/07/253,4		150,000		146,426
2.87%	11/22/323,4		500,000		455,645
4.29%	09/12/263,4		130,000		131,699
JPMorgan Chase & Co.
0.97%	06/23/254		280,000		267,508
1.58%	04/22/274		580,000		540,640
2.01%	03/13/264		25,000		24,132
2.08%	04/22/264		165,000		159,151
2.58%	04/22/324		640,000		587,252
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		205,000		188,187
2.91%	11/07/233,4		185,000		185,315
3.75%	03/18/283,4		390,000		388,772
3.87%	07/09/253,4		30,000		30,334
Macquarie Group Ltd.
(Australia)
2.87%	01/14/331,3,4		375,000		333,598
3.19%	11/28/231,3,4		135,000		135,257
4.44%	06/21/331,3,4		135,000		136,697
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		500,000		506,085
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		325,000		309,169
1.67%	06/14/273,4		325,000		296,093
3.37%	01/05/243,4		35,000		35,120
4.80%	11/15/243,4		245,000		250,684
U.S. Bancorp
3.70%4,10			105,000		95,270
Wells Fargo & Co.
(MTN)
2.39%	06/02/284		745,000		705,321
3.35%	03/02/334		770,000		749,132
3.53%	03/24/284		525,000		524,453
					11,982,417
Communications — 4.05%
AT&T, Inc.
2.55%	12/01/33		897,000		798,718
4.75%	05/15/46		125,000		136,271
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.25%	01/15/341		195,000		169,650
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.80%	03/01/50		250,000		238,807
5.38%	05/01/47		141,000		144,619
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%	04/01/53		520,000		524,928

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 58

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
CommScope, Inc.
4.75%	09/01/291	$	300,000	$	278,250
CSC Holdings LLC
4.13%	12/01/301		775,000		683,410
Diamond Sports Group LLC/Diamond Sports Finance Co.
6.63%	08/15/271		740,000		154,253
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261		751,000		294,768
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%	08/15/271		169,000		166,756
DISH Network Corp.
3.38%	08/15/26		837,000		754,974
Gray Escrow II, Inc.
5.38%	11/15/311		267,000		255,533
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		335,000		335,011
Intelsat Jackson Holdings SA,
Class B
8.50%	10/15/241,3,5,6,11,12		270,000		—
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
5.50%	08/01/233,5,6,11,12		535,000		—
9.75%	07/15/251,3,5,6,11,12		360,000		—
Level 3 Financing, Inc.
3.63%	01/15/291		40,000		35,038
3.88%	11/15/291		530,000		488,716
Lumen Technologies, Inc.
5.38%	06/15/291		675,000		602,073
National CineMedia LLC
5.88%	04/15/281		757,000		662,670
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%	03/20/251		393,750		402,188
5.15%	03/20/281		495,000		521,705
Tencent Holdings Ltd.
(Cayman Islands)
2.88%	04/22/311,3		200,000		182,881
Time Warner Cable LLC
5.50%	09/01/41		80,000		83,253
Vodafone Group PLC
(United Kingdom)
4.25%	09/17/503		60,000		59,861
5.25%	05/30/483		300,000		337,033
Zayo Group Holdings, Inc.
4.00%	03/01/271		185,000		170,574
					8,481,940
Consumer Discretionary — 1.36%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.90%	02/01/46		115,000		128,081

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3	$	165,000	$	169,040
BAT Capital Corp.
3.56%	08/15/27		165,000		160,624
4.39%	08/15/37		150,000		139,819
5.65%	03/16/52		430,000		437,187
Imperial Brands Finance PLC
(United Kingdom)
4.25%	07/21/251,3		160,000		161,389
Magallanes, Inc.
4.28%	03/15/321		190,000		191,189
5.05%	03/15/421		375,000		382,774
5.14%	03/15/521		240,000		245,851
Reynolds American, Inc.
4.45%	06/12/25		95,000		97,100
5.70%	08/15/35		100,000		105,442
5.85%	08/15/45		95,000		97,231
Spectrum Brands, Inc.
5.50%	07/15/301		550,000		528,770
					2,844,497
Electric — 1.02%
Alliant Energy Finance LLC
1.40%	03/15/261		245,000		223,215
Alliant Energy Finance, LLC
3.60%	03/01/321		155,000		151,359
American Electric Power Co., Inc.
2.03%	03/15/24		455,000		447,554
Comision Federal de Electricidad
(Mexico)
4.69%	05/15/291,3		200,000		198,063
Duke Energy Carolinas LLC
4.00%	09/30/42		250,000		257,120
Eversource Energy,
Series O
4.25%	04/01/29		8,000		8,342
FirstEnergy Transmission LLC
2.87%	09/15/281		418,000		388,574
Pennsylvania Electric Co.
4.15%	04/15/251		280,000		284,614
Public Service Co. of New Mexico
3.85%	08/01/25		40,000		40,716
Tucson Electric Power Co.
3.85%	03/15/23		140,000		142,124
					2,141,681
Energy — 3.14%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/281		211,000		208,626
Ecopetrol SA
(Colombia)
6.88%	04/29/303		200,000		210,720
Energy Transfer LP
4.75%	01/15/26		10,000		10,385
4.90%	03/15/35		20,000		20,165

See accompanying Notes to Financial Statements.

59 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
4.95%	06/15/28	$	100,000	$	105,169
Energy Transfer LP,
Series B
6.63%4,10			733,000		658,784
Exxon Mobil Corp.
4.23%	03/19/40		70,000		75,545
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%	03/31/341,3		384,344		354,861
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		430,000		425,433
Hess Corp.
5.60%	02/15/41		20,000		22,526
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%	04/14/331,3		200,000		167,500
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/261		294,000		289,332
NGPL Pipe Co. LLC
4.88%	08/15/271		40,000		41,704
Occidental Petroleum Corp.
0.00%	10/10/3613		644,000		346,730
Petroleos Mexicanos
(Mexico)
6.63%	06/15/353		5,000		4,497
6.75%	09/21/473		15,000		12,221
6.95%	01/28/603		5,000		4,062
7.69%	01/23/503		145,000		126,904
Petronas Capital Ltd.
(Malaysia)
3.50%	04/21/301,3		200,000		204,320
Rockies Express Pipeline LLC
4.80%	05/15/301		234,000		224,055
4.95%	07/15/291		215,000		208,961
Ruby Pipeline LLC
8.00%	04/01/221,5,6		535,455		497,973
Southern Natural Gas Co. LLC
4.80%	03/15/471		65,000		69,045
Texas Eastern Transmission LP
2.80%	10/15/221		170,000		170,601
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		325,000		320,125
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%	10/15/241,3		77,500		78,175
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		32,813		32,537
Transocean Proteus Ltd.
(Cayman Islands)
6.25%	12/01/241,3		355,000		352,819
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	09/01/27		407,000		409,192
Venture Global Calcasieu Pass LLC
4.13%	08/15/311		875,000		860,271

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
Williams Cos., Inc. (The)
4.30%	03/04/24	$	60,000	$	61,305
					6,574,543
Entertainment — 0.29%
Cinemark USA, Inc.
5.25%	07/15/281		385,000		360,745
WMG Acquisition Corp.
3.75%	12/01/291		269,000		252,801
					613,546
Finance — 4.70%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263		123,000		113,765
3.30%	01/30/323		410,000		370,933
3.88%	01/23/283		5,000		4,870
4.45%	10/01/253		110,000		110,517
Air Lease Corp.
2.25%	01/15/23		25,000		25,020
Air Lease Corp.
(MTN)
2.88%	01/15/26		380,000		367,256
American Express Co.
2.55%	03/04/27		190,000		184,751
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		123,000		108,871
Capital One Financial Corp.
1.34%	12/06/244		360,000		349,440
Cboe Global Markets, Inc.
3.00%	03/16/32		190,000		183,943
Charles Schwab Corp. (The)
2.90%	03/03/32		285,000		274,473
5.00%4,10			200,000		199,760
Citigroup, Inc.
2.56%	05/01/324		90,000		81,338
2.57%	06/03/314		75,000		68,843
3.06%	01/25/334		480,000		449,465
3.52%	10/27/284		435,000		431,517
3.79%	03/17/334		245,000		243,667
Citigroup, Inc.,
Series VAR
3.07%	02/24/284		95,000		92,766
CME Group, Inc.
2.65%	03/15/32		190,000		181,900
Discover Financial Services
3.95%	11/06/24		105,000		106,760
Ford Motor Credit Co. LLC
4.25%	09/20/22		85,000		85,623
Goldman Sachs Group, Inc. (The)
0.93%	10/21/244		130,000		126,081
1.22%	12/06/23		455,000		444,411
1.43%	03/09/274		575,000		530,799
1.95%	10/21/274		230,000		213,907
2.38%	07/21/324		170,000		151,164

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 60

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
3.10%	02/24/334	$	500,000	$	471,826
3.20%	02/23/23		100,000		100,930
3.27%	09/29/254		165,000		164,918
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%	12/09/264		5,000		4,587
Intercontinental Exchange, Inc.
1.85%	09/15/32		195,000		169,082
Jane Street Group/JSG Finance, Inc.
4.50%	11/15/291		435,000		412,699
JPMorgan Chase & Co.
1.05%	11/19/264		270,000		249,578
2.55%	11/08/324		90,000		82,218
2.95%	02/24/284		120,000		117,147
JPMorgan Chase & Co.,
Series KK
3.65%4,10			115,000		107,813
Morgan Stanley
0.99%	12/10/264		145,000		133,438
1.59%	05/04/274		120,000		111,588
2.94%	01/21/334		305,000		285,948
Morgan Stanley
(GMTN)
2.24%	07/21/324		20,000		17,741
Morgan Stanley
(MTN)
1.16%	10/21/254		495,000		470,657
1.93%	04/28/324		445,000		385,599
Nationwide Building Society
(United Kingdom)
2.97%	02/16/281,3,4		200,000		190,733
3.77%	03/08/241,3,4		380,000		382,249
4.36%	08/01/241,3,4		130,000		132,042
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/231,3		30,000		30,228
5.50%	02/15/241,3		2,000		2,048
Pipeline Funding Co. LLC
7.50%	01/15/301		153,703		180,198
Raymond James Financial, Inc.
4.65%	04/01/30		145,000		153,981
					9,859,088
Food — 1.53%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%	11/15/281		500,000		462,183
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/311,3		385,000		356,042
5.50%	01/15/301,3		376,000		385,182
Kraft Heinz Foods Co.
3.00%	06/01/26		185,000		182,321
4.88%	10/01/49		70,000		73,873
5.20%	07/15/45		150,000		162,562

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food (continued)
Lamb Weston Holdings, Inc.
4.13%	01/31/301	$	550,000	$	515,212
Pilgrim’s Pride Corp.
4.25%	04/15/311		180,000		166,844
5.88%	09/30/271		184,000		186,155
Post Holdings, Inc.
4.50%	09/15/311		525,000		465,741
4.63%	04/15/301		265,000		239,056
Smithfield Foods, Inc.
5.20%	04/01/291		5,000		5,252
					3,200,423
Gaming — 0.39%
Caesars Entertainment, Inc.
4.63%	10/15/291		550,000		516,291
CDI Escrow Issuer, Inc.
5.75%	04/01/301		300,000		303,423
					819,714
Health Care — 3.67%
180 Medical, Inc.
3.88%	10/15/291		168,000		159,180
AbbVie, Inc.
3.85%	06/15/24		10,000		10,203
4.50%	05/14/35		324,000		348,513
Amgen, Inc.
3.15%	02/21/40		100,000		91,351
3.35%	02/22/32		95,000		94,253
Baxter International, Inc.
0.87%	12/01/231		260,000		251,796
Bayer U.S. Finance II LLC
4.25%	12/15/251		255,000		259,581
4.38%	12/15/281		210,000		214,972
4.40%	07/15/441		245,000		237,430
4.88%	06/25/481		80,000		86,331
Becton Dickinson and Co.
3.73%	12/15/24		3,000		3,051
Centene Corp.
2.45%	07/15/28		349,000		319,170
3.00%	10/15/30		323,000		297,163
CommonSpirit Health
2.78%	10/01/30		35,000		32,475
4.35%	11/01/42		100,000		101,214
CVS Health Corp.
5.05%	03/25/48		270,000		306,236
Embecta Corp.
6.75%	02/15/301		525,000		527,267
Encompass Health Corp.
4.63%	04/01/31		550,000		516,772
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/281,3		860,000		501,509
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%	04/01/291,3		175,000		159,913

See accompanying Notes to Financial Statements.

61 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
HCA, Inc.
3.63%	03/15/321	$	550,000	$	539,294
4.13%	06/15/29		80,000		81,533
5.00%	03/15/24		10,000		10,368
5.25%	06/15/49		185,000		203,404
5.63%	09/01/28		275,000		297,687
ModivCare Escrow Issuer, Inc.
5.00%	10/01/291		625,000		583,171
Molina Healthcare, Inc.
3.88%	11/15/301		763,000		737,962
4.38%	06/15/281		74,000		73,259
NYU Langone Hospitals,
Series 2020
3.38%	07/01/55		295,000		264,369
Prime Healthcare Services, Inc.
7.25%	11/01/251		258,000		265,095
Royalty Pharma PLC
(United Kingdom)
1.75%	09/02/273		125,000		113,724
					7,688,246
Industrials — 1.89%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/271,3		825,000		766,054
Artera Services LLC
9.03%	12/04/251		669,000		669,253
BAE Systems Holdings, Inc.
3.85%	12/15/251		250,000		251,154
Berry Global, Inc.
1.65%	01/15/27		40,000		36,500
Boeing Co. (The)
1.43%	02/04/24		340,000		329,099
Clydesdale Acquisition Holdings, Inc.
6.63%	04/15/291		300,000		303,375
Energizer Holdings, Inc.
4.38%	03/31/291		475,000		416,979
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/262		57,000		56,121
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/362		52,000		44,793
General Electric Co.,
Series A (MTN)
6.75%	03/15/32		17,000		21,461
OT Merger Corp.
7.88%	10/15/291		625,000		550,404
Trivium Packaging Finance BV
(Netherlands)
5.50%	08/15/261,3		509,000		507,575
					3,952,768
Information Technology — 0.48%
Broadcom, Inc.
3.42%	04/15/331		190,000		177,410

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Information Technology (continued)
Fiserv, Inc.
2.65%	06/01/30	$	10,000	$	9,244
Intel Corp.
3.05%	08/12/51		29,000		25,827
Netflix, Inc.
5.88%	02/15/25		310,000		331,153
Oracle Corp.
2.88%	03/25/31		65,000		59,351
3.80%	11/15/37		90,000		81,034
3.95%	03/25/51		320,000		280,315
4.00%	11/15/47		40,000		35,481
					999,815
Insurance — 1.15%
Acrisure LLC/Acrisure Finance, Inc.
4.25%	02/15/291		175,000		159,215
AmWINS Group, Inc.
4.88%	06/30/291		179,000		171,146
Aon Corp./Aon Global Holdings PLC
3.90%	02/28/52		280,000		277,530
Athene Global Funding
1.99%	08/19/281		370,000		325,215
2.72%	01/07/291		95,000		87,430
3.21%	03/08/271		130,000		125,299
Berkshire Hathaway Finance Corp.
2.50%	01/15/51		115,000		92,939
3.85%	03/15/52		85,000		86,978
Brown & Brown, Inc.
4.95%	03/17/52		160,000		171,002
Farmers Exchange Capital II
6.15%	11/01/531,4		150,000		177,601
Farmers Exchange Capital III
5.45%	10/15/541,4		85,000		95,961
Farmers Insurance Exchange
4.75%	11/01/571,4		135,000		141,824
Metropolitan Life Global Funding I
2.95%	04/09/301		15,000		14,559
Nationwide Mutual Insurance Co.
3.12%	12/15/241,4		375,000		375,259
Teachers Insurance & Annuity Association of America
4.27%	05/15/471		40,000		42,371
4.38%	09/15/541,4		65,000		64,786
					2,409,115
Materials — 1.15%
ASP Unifrax Holdings, Inc.
5.25%	09/30/281		265,000		246,511
Axalta Coating Systems, LLC
3.38%	02/15/291		865,000		761,320
EverArc Escrow SARL
(Luxembourg)
5.00%	10/30/291,3		450,000		412,031
Herens Holdco SARL
(Luxembourg)
4.75%	05/15/281,3		450,000		405,050

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 62

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date		Principal     Amount		Value
CORPORATES (continued)
Materials (continued)
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
5.45%		05/15/303	$	200,000	$	209,225
6.53%		11/15/283		200,000		222,491
International Flavors & Fragrances, Inc.
2.30%		11/01/301		170,000		152,022
						2,408,650
Real Estate Investment Trust (REIT) — 1.97%
American Assets Trust LP
3.38%		02/01/31		500,000		470,522
American Campus Communities Operating Partnership LP
2.25%		01/15/29		45,000		41,085
3.30%		07/15/26		55,000		54,775
3.63%		11/15/27		190,000		189,194
3.75%		04/15/23		60,000		60,532
Boston Properties LP
2.75%		10/01/26		10,000		9,744
China Aoyuan Group Ltd.
(Cayman Islands)
6.35%		02/08/243,5,6,11,12		200,000		34,000
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24		5,000		5,014
3.45%		11/15/29		660,000		693,064
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30		130,000		127,127
5.38%		11/01/23		10,000		10,269
5.38%		04/15/26		375,000		392,262
5.75%		06/01/28		10,000		10,779
Healthcare Realty Trust, Inc.
3.63%		01/15/28		150,000		148,883
Healthcare Trust of America Holdings LP
2.00%		03/15/31		140,000		121,348
Healthpeak Properties, Inc.
3.40%		02/01/25		2,000		2,009
Hudson Pacific Properties LP
3.95%		11/01/27		255,000		256,524
Invitation Homes Operating Partnership LP
2.30%		11/15/28		50,000		45,474
4.15%		04/15/32		165,000		168,713
Iron Mountain Information Management Services, Inc.
5.00%		07/15/321		275,000		258,789
Iron Mountain, Inc.
4.50%		02/15/311		200,000		185,460
Kilroy Realty LP
2.50%		11/15/32		50,000		43,521
LXP Industrial Trust
2.70%		09/15/30		160,000		147,901
SL Green Operating Partnership LP
3.25%		10/15/22		420,000		420,156
Sunac China Holdings Ltd.
(Cayman Islands)
6.50%		01/10/253,6		210,000		53,400

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Weyerhaeuser Co.
3.38%	03/09/33	$	195,000	$	190,209
					4,140,754
Retail — 1.34%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%	10/15/301,3		800,000		723,712
Asbury Automotive Group, Inc.
5.00%	02/15/321		275,000		256,177
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%	04/15/291		343,000		324,392
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%	01/15/301		450,000		415,125
FirstCash, Inc.
5.63%	01/01/301		475,000		457,013
Michaels Cos., Inc. (The)
7.88%	05/01/291		745,000		638,834
					2,815,253
Services — 1.31%
Adtalem Global Education, Inc.
5.50%	03/01/281		434,000		420,403
HealthEquity, Inc.
4.50%	10/01/291		450,000		429,096
Hertz Corp. (The)
5.00%	12/01/291		750,000		683,812
Rent-A-Center, Inc.
6.38%	02/15/291		300,000		275,532
Waste Pro USA, Inc.
5.50%	02/15/261		1,000,000		946,185
					2,755,028
Transportation — 0.06%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		22,758		20,889
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%	05/15/32		27,440		25,354
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		70,092		69,766
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		13,664		14,253
					130,262
Total Corporates
(Cost $77,750,367)					73,817,740
FOREIGN GOVERNMENT OBLIGATIONS — 2.32%
Foreign Government Obligations — 2.32%
Airport Authority
(Hong Kong)
3.25%	01/12/521,3		200,000		181,510

See accompanying Notes to Financial Statements.

63 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Brazilian Government International Bond
(Brazil)
2.88%	06/06/253	$	200,000	$	196,600
3.88%	06/12/303		200,000		184,730
Chile Government International Bond
(Chile)
2.55%	01/27/323		200,000		188,680
Colombia Government International Bond
(Colombia)
3.00%	01/30/303		200,000		172,185
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/323		150,000		136,591
Egypt Government International Bond
(Egypt)
7.60%	03/01/291,3		200,000		190,500
Guatemala Government Bond
Series REGS
(Guam)
4.90%	06/01/303		200,000		204,872
Hungary Government International Bond
(Hungary)
2.13%	09/22/311,3		200,000		181,568
Mexico Government International Bond
(Mexico)
2.66%	05/24/313		212,000		193,302
3.75%	01/11/283		200,000		204,460
Oman Government International Bond,
Series REGS
(Oman)
5.63%	01/17/283		250,000		258,775
Panama Government International Bond
(Panama)
3.16%	01/23/303		200,000		196,094
3.88%	03/17/283		200,000		205,000
Paraguay Government International Bond
(Paraguay)
4.95%	04/28/311,3		200,000		211,440
Peruvian Government International Bond
(Peru)
2.84%	06/20/303		250,000		240,675
Philippine Government International Bond
(Philippines)
1.65%	06/10/313		200,000		179,000
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%	04/16/303		200,000		211,660
4.50%	04/23/283		200,000		218,080
Republic of South Africa Government International Bond
(South Africa)
4.85%	09/30/293		200,000		196,140

Issues	Maturity     Date	Principal     Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/313	$	100,000	$	92,709
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%	10/26/263		400,000		410,000
Turkey Government International Bond
(Turkey)
3.25%	03/23/233		200,000		197,447
Uruguay Government International Bond
(Uruguay)
4.38%	01/23/313		200,000		217,880
Total Foreign Government Obligations
(Cost $5,208,043)					4,869,898
MORTGAGE-BACKED — 46.24%**
Non-Agency Commercial Mortgage-Backed — 9.81%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XA (IO)
0.79%	09/15/484		7,034,449		165,259
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%	09/15/481,4		500,000		16,310
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2017-C1, Class XA (IO)
1.44%	02/15/504		132,046		7,261
BB-UBS Trust,
Series 2012-SHOW, Class XA (IO)
0.60%	11/05/361,4		3,109,000		46,211
BB-UBS Trust,
Series 2012-SHOW, Class XB (IO)
0.14%	11/05/361,4		1,395,000		6,377
Benchmark Mortgage Trust,
Series 2020-B18, Class AGNF
4.14%	07/15/531		449,000		404,423
BX Commercial Mortgage Trust,
Series 2020-FOX, Class G
(LIBOR USD 1-Month plus 4.75%)
5.15%	11/15/321,2		613,591		608,145
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.38%	08/10/494		9,240,256		421,489
Century Plaza Towers,
Series 2019-CPT, Class F
3.00%	11/13/391,4		450,000		389,188
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.82%	09/10/464		3,981,328		35,660
Citigroup Commercial Mortgage Trust,
Series 2014-GC19, Class XA (IO)
1.12%	03/10/474		962,979		15,899
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.96%	10/10/474		9,671,947		188,190

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 64

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.33%	02/10/484	$	1,697,201	$	50,459
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class XA (IO)
1.22%	02/10/494		5,617,993		206,895
Citigroup Commercial Mortgage Trust,
Series 2017-B1, Class XF (IO)
0.87%	08/15/501,4		11,628,000		415,917
Commercial Mortgage Lease-Backed Certificates-1,
Series 2001-CMLB, Class X (IO)
0.80%	06/20/311,4		3,482,842		38,161
Commercial Mortgage Trust,
Series 2012-CR1, Class XA (IO)
1.66%	05/15/454		29,304		—
Commercial Mortgage Trust,
Series 2012-CR2, Class XA (IO)
1.60%	08/15/454		641,464		257
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.82%	10/15/454		617,594		1,710
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.68%	10/15/454		790,552		2,814
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.50%	12/10/441,4		1,609,402		16
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.17%	03/10/464		4,998,117		39,145
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.05%	07/10/454		14,145,229		3,798
Commercial Mortgage Trust,
Series 2014-CR14, Class XA (IO)
0.54%	02/10/474		3,412,077		28,637
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.95%	08/10/474		939,277		16,779
Commercial Mortgage Trust,
Series 2014-CR19, Class XC (IO)
0.78%	08/10/471,4		1,200,000		18,514
Commercial Mortgage Trust,
Series 2014-LC15, Class XA (IO)
1.06%	04/10/474		3,404,757		54,311
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.06%	06/10/474		3,158,635		56,254
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.85%	09/10/474,5,6		30,795,150		502,172
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.86%	12/10/474		12,288,055		231,159

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2015-CR22, Class XA (IO)
0.86%	03/10/484	$	10,312,940	$	211,293
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.82%	08/10/484		8,304,638		191,983
Commercial Mortgage Trust,
Series 2015-LC21, Class XE (IO)
1.08%	07/10/481,4		10,015,000		319,978
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.71%	02/10/494		14,657,872		291,353
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class XA (IO)
0.74%	06/15/574		17,715,046		314,159
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.56%	06/15/524		566,577		49,168
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.71%	12/15/494		441,141		11,968
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
4.02%	12/15/221,2		425,000		424,420
CSMC,
Series 2020-522F, Class A
(LIBOR USD 1-Month plus 3.74%)
4.14%	09/16/251,2		400,000		399,167
DBJPM 16-C1 Mortgage Trust,
Series 2016-C1, Class XA (IO)
1.38%	05/10/494		8,905,631		381,566
DBUBS Mortgage Trust,
Series 2011-LC1A, Class XB (IO)
0.74%	11/10/461,4		25,163		14
European Loan Conduit No. 36 DAC,
Series 36A, Class E
(Ireland)
(-1.00 X 3 month Euribor plus 3.35%, 8.35% Cap)
3.35%	02/17/301,2,3		699,166		767,523
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.47%	02/10/464		16,750,307		134,992
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.56%	08/10/431,4		5,391,611		40,473
GS Mortgage Securities Trust,
Series 2011-GC3, Class X (IO)
0.00%	03/10/441,4		174,277		2
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.00%	08/10/441,4		751,322		8
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.91%	11/10/454		652,616		3,886

See accompanying Notes to Financial Statements.

65 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2014-GC18, Class XA (IO)
1.07%	01/10/474	$	26,601,174	$	392,657
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.73%	07/10/484		34,525,198		697,930
GS Mortgage Securities Trust,
Series 2015-GC34, Class XA (IO)
1.22%	10/10/484		5,538,196		192,283
GS Mortgage Securities Trust,
Series 2015-GS1, Class XA (IO)
0.76%	11/10/484		9,377,060		227,702
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.74%	05/10/494		255,985		14,496
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.20%	10/10/494		2,497,963		106,831
GS Mortgage Securities Trust,
Series 2016-GS4, Class XA (IO)
0.57%	11/10/494		15,068,470		320,693
GSCG Trust,
Series 2019-600C, Class G
3.99%	09/06/341,4		285,000		257,676
Hilton USA Trust,
Series 2016-SFP, Class E
5.52%	11/05/351		400,000		395,811
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class XA (IO)
0.65%	04/15/474		12,438,421		114,269
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XA (IO)
0.49%	07/15/484		21,103,964		292,936
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XNR (IO)
0.25%	07/15/481,4		44,664,247		253,487
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C31, Class XA (IO)
0.82%	08/15/484		7,240,856		169,545
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class XA (IO)
0.94%	03/15/504		4,491,714		134,181
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C2, Class XA (IO)
1.55%	06/15/494		275,227		11,808
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class XA (IO)
1.43%	05/15/454		184,793		7
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C8, Class XA (IO)
1.71%	10/15/454		415,750		683
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XA (IO)
0.78%	06/15/454		163,516		4

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XB (IO)
0.27%	06/15/451,4	$	125,332,727	$	187,059
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.39%	12/15/474		1,411,266		8,003
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C10, Class XA (IO)
0.93%	12/15/474		1,168,955		5,596
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.23%	04/15/464		2,617,358		23,249
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-COR4, Class A3
3.76%	03/10/52		500,000		506,486
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-ACE, Class XA (IO)
0.34%	01/10/371,4		2,000,000		19,046
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-LOOP, Class XB (IO)
0.25%	12/05/381,4		2,010,000		22,253
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XAFX (IO)
1.88%	01/16/371,4		450,000		18,845
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XBFX (IO)
0.57%	01/16/371,4		1,450,000		19,145
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class F
(Ireland)
(-1.00 X 3 month Euribor plus 3.65%)
3.65%	08/17/331,2,3		497,769		530,651
LB-UBS Commercial Mortgage Trust,
Series 2006-C7, Class XW (IO)
0.05%	11/15/381,4		638,651		2,142
Med Trust,
Series 2021-MDLN, Class G
(LIBOR USD 1-Month plus 5.25%)
5.65%	11/15/381,2		420,000		412,656
ML-CFC Commercial Mortgage Trust,
Series 2007-6, Class X (IO)
0.06%	03/12/511,4		13,810,469		59,085
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XA (IO)
1.31%	08/15/451,4		317,553		208
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XC (IO)
0.05%	08/15/451,4		34,760,450		16,951
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-CKSV, Class XA (IO)
1.02%	10/15/301,4		1,097,042		561
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XC (IO)
1.05%	10/15/461,4		19,087,479		304,876

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 66

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C13, Class XA (IO)
0.94%	11/15/464	$	2,442,825	$	26,460
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C18, Class XA (IO)
0.63%	10/15/474		95,008		1,048
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.86%	03/15/484		3,356,616		66,222
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.02%	04/15/484		1,107,221		24,725
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.72%	05/15/484		7,463,709		147,028
Morgan Stanley Capital I Trust,
Series 2011-C2, Class XB (IO)
0.43%	06/15/441,4		11,481,882		45,032
Morgan Stanley Capital I Trust,
Series 2017-CLS, Class F
(LIBOR USD 1-Month plus 2.60%)
3.00%	11/15/341,2		206,000		203,958
MRCD Mortgage Trust,
Series 2019-PRKC, Class A
4.25%	12/15/361,4		500,000		433,613
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%	01/15/431,4		70,000		64,117
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class D
4.40%	08/15/361,4		665,000		610,407
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class E
4.40%	08/15/361,4		395,000		340,512
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class MSK1
3.25%	12/15/361,4		172,000		160,912
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2A
3.66%	01/05/431,4		400,000		381,834
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		460,000		440,733
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%	01/05/431,4		925,000		737,338
Taurus UK DAC,
Series 2021-UK1A, Class D
(Ireland)
(SONIA plus 2.60%)
2.76%	05/17/311,2,3		471,537		616,765
UBS Commercial Mortgage Trust,
Series 2017-C4, Class XA (IO)
1.01%	10/15/504		9,316,281		389,596

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.57%	12/10/451,4	$	725,040	$	2,548
Wells Fargo Commercial Mortgage Trust,
Series 2012-LC5, Class XA (IO)
1.70%	10/15/451,4		785,401		2,474
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.10%	08/15/504		16,966,452		306,753
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.03%	12/15/474		1,542,627		32,224
Wells Fargo Commercial Mortgage Trust,
Series 2015-C27, Class XA (IO)
0.86%	02/15/484		18,191,259		370,943
Wells Fargo Commercial Mortgage Trust,
Series 2015-C31, Class XA (IO)
0.97%	11/15/484		17,909,289		506,949
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class XF (IO)
1.74%	04/15/501,4		415,000		16,252
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS3, Class XA (IO)
0.90%	09/15/574		9,555,854		245,697
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class XA (IO)
2.09%	06/15/494		6,847,400		393,028
Wells Fargo Commercial Mortgage Trust,
Series 2021-SAVE, Class XCP (IO)
10.12%	02/15/401,4		5,587,000		112,886
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.48%	12/15/451,4		1,069,730		6,130
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XB (IO)
0.45%	12/15/451,4		56,000,000		170,055
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XB (IO)
0.09%	06/15/451,4		29,387,219		1,741
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.69%	08/15/451,4		364,076		18
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class XA (IO)
0.91%	05/15/474		10,518,604		157,685
WF-RBS Commercial Mortgage Trust,
Series 2014-C22, Class XA (IO)
0.79%	09/15/574		1,920,472		29,063
WF-RBS Commercial Mortgage Trust,
Series 2014-C24, Class XA (IO)
0.85%	11/15/474		6,174,848		109,667
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.25%	03/15/474		10,622,321		187,005
					20,574,592

See accompanying Notes to Financial Statements.

67 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date		Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 19.70%
Alternative Loan Trust,
Series 2005-46CB, Class A3
5.50%		10/25/35	$	297,684	$	263,482
Alternative Loan Trust,
Series 2005-46CB, Class A4
5.25%		10/25/35		224,941		188,294
Alternative Loan Trust,
Series 2005-46CB, Class A7
5.50%		10/25/35		634,544		561,638
Alternative Loan Trust,
Series 2005-55CB, Class 1A1
5.50%		11/25/35		210,399		173,353
Alternative Loan Trust,
Series 2005-64CB, Class 2A1
6.00%		11/25/35		3,082,645		796,754
Alternative Loan Trust,
Series 2005-65CB, Class 2A4
5.50%		12/25/35		365,225		304,757
Alternative Loan Trust,
Series 2005-67CB, Class A1
5.50%		01/25/36		77,925		67,830
Alternative Loan Trust,
Series 2005-74T1, Class A5
6.00%		01/25/36		520,138		392,330
Alternative Loan Trust,
Series 2005-7CB, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap)
4.59%		03/01/382,5,6		1,619,455		132,367
Alternative Loan Trust,
Series 2005-86CB, Class A1
5.50%		02/25/36		599,975		456,569
Alternative Loan Trust,
Series 2005-86CB, Class A8
5.50%		02/25/36		274,275		208,718
Alternative Loan Trust,
Series 2006-19CB, Class A15
6.00%		08/25/36		131,915		98,540
Alternative Loan Trust,
Series 2006-32CB, Class A18
6.00%		11/25/36		150,877		112,329
Alternative Loan Trust,
Series 2006-34, Class A5
6.25%		11/25/46		1,297,025		826,702
Alternative Loan Trust,
Series 2006-J1, Class 1A11
5.50%		02/25/36		225,581		194,883
Alternative Loan Trust,
Series 2007-13, Class A1
6.00%		06/25/47		293,826		201,153
Alternative Loan Trust,
Series 2007-15CB, Class A6
5.75%		07/25/37		618,265		474,687
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%		08/25/37		8,269		7,699

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2007-18CB, Class 2A25
6.00%	08/25/37	$	348,279	$	252,623
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%	09/25/37		250,692		134,137
Alternative Loan Trust,
Series 2007-5CB, Class 1A3
6.00%	04/25/37		195,031		138,940
Alternative Loan Trust,
Series 2007-5CB, Class 1A4
6.00%	04/25/37		575,410		409,929
American Home Mortgage Assets Trust,
Series 2006-6, Class XP (IO) (PO)
2.34%	12/25/464,5,6		633,671		30,355
American Home Mortgage Assets Trust,
Series 2007-5, Class XP (IO) (PO)
2.71%	06/25/474,5,6		1,050,022		63,846
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
0.74%	03/25/462		14,405		13,718
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%	03/25/36		6,943		6,661
Banc of America Funding Trust,
Series 2014-R7, Class 1A1
(LIBOR USD 1-Month plus 0.15%)
0.61%	05/26/361,2		12,372		12,245
Banc of America Funding Trust,
Series 2015-R4, Class 5A1
(LIBOR USD 1-Month plus 0.15%)
0.34%	10/25/361,2		10,997		10,819
Bear Stearns ALT-A Trust,
Series 2005-7, Class 22A1
2.87%	09/25/354		155,643		114,959
Bear Stearns ARM Trust,
Series 2004-3, Class 2A
2.73%	07/25/344		8,297		8,248
Bear Stearns ARM Trust,
Series 2005-10, Class A3
2.68%	10/25/354		159,645		154,756
Bombardier Capital Mortgage Securitization Corp.,
Series 1999-B, Class A2
6.98%	12/15/294		997,492		184,012
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A3
7.83%	06/15/304		1,658,345		338,914
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A4
8.29%	06/15/304		142,144		30,756
ChaseFlex Trust,
Series 2007-1, Class 1A1
6.50%	02/25/37		350,071		158,076

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 68

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2021-R5, Class A1B
2.00%	08/25/611,4	$	681,000	$	570,269
CIT Mortgage Loan Trust,
Series 2007-1, Class 1M2
(LIBOR USD 1-Month plus 1.75%)
2.21%	10/25/371,2		600,000		584,046
Citigroup Mortgage Loan Trust,
Series 2006-WF1, Class A2C (STEP-reset date 05/25/22)
4.77%	03/25/36		32,359		18,613
Citigroup Mortgage Loan Trust,
Series 2009-10, Class 2A2
7.00%	12/25/351,4		578,135		508,846
CitiMortgage Alternative Loan Trust,
Series 2006-A1, Class 1A5
5.50%	04/25/36		319,263		305,999
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A1
6.00%	01/25/37		125,364		121,752
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A5
6.00%	01/25/37		239,297		232,404
CitiMortgage Alternative Loan Trust,
Series 2007-A2, Class 1A13
5.75%	02/25/37		270,219		262,260
CitiMortgage Alternative Loan Trust,
Series 2007-A3, Class 1A7
5.75%	03/25/37		237,507		227,122
Conseco Finance Securitizations Corp.,
Series 2000-1, Class A5
8.06%	09/01/294		3,422,743		989,619
Conseco Finance Securitizations Corp.,
Series 2000-4, Class A5
7.97%	05/01/32		1,992,158		514,835
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-14, Class A3
6.25%	09/25/37		23,963		16,869
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-20, Class A1
6.50%	01/25/38		212,791		129,493
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-7, Class A9
5.50%	06/25/37		645,749		390,323
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A4
(LIBOR USD 1-Month plus 0.16%)
0.78%	10/25/362		40,900		33,148
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-MH1, Class B1 (STEP-reset date 05/25/22)
6.25%	10/25/361		61,000		63,066
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF3 (STEP-reset date 05/25/22)
3.16%	01/25/37		1,047,983		391,575
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF6 (STEP-reset date 05/25/22)
3.16%	01/25/37		1,850,132		691,745

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/22)
3.61%	02/25/37	$	1,034,916	$	774,287
CSMC Mortgage-Backed Trust,
Series 2006-6, Class 1A8
6.00%	07/25/36		404,790		276,199
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 10A6
6.50%	08/25/36		1,211,644		848,220
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 8A11
6.50%	08/25/36		440,270		270,805
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
7.00%	08/25/374		177,247		121,930
CSMC Trust,
Series 2020-RPL5, Class A1
3.02%	08/25/601,4		239,409		239,198
CSMC,
Series 2014-8R, Class 3A2
3.99%	02/27/361,4		1,015,469		940,210
Deutsche ALT-B Securities, Inc., Mortgage Loan Trust,
Series 2006-AB2, Class A2
4.93%	06/25/364		203,276		194,741
Deutsche Mortgage & Asset Receiving Corp.,
Series 2014-RS1, Class 1A2
6.50%	07/27/371,4		398,921		354,644
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.78%	10/25/362		414,697		316,129
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.68%	03/25/372		750,613		433,740
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA6, Class 2A3
6.25%	11/25/36		758,975		343,411
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA1, Class A4
6.25%	03/25/37		636,868		370,091
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA2, Class 1A4
5.75%	04/25/37		749,725		374,121
Fremont Home Loan Trust,
Series 2005-E, Class 2A4
(LIBOR USD 1-Month plus 0.66%)
1.12%	01/25/362		24,367		24,032
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
0.94%	08/25/452		5,075		4,689
GSAA Home Equity Trust,
Series 2007-5, Class 1F3B
6.00%	05/25/374		4,300,000		467,768

See accompanying Notes to Financial Statements.

69 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Home Equity Trust,
Series 2007-5, Class 1F5B (STEP-reset date 05/25/22)
6.44%	05/25/37	$	1,987,261	$	235,474
GSAA Home Equity Trust,
Series 2007-5, Class 2A2A
(LIBOR USD 1-Month plus 0.46%)
0.92%	04/25/472		890,055		520,445
GSAA Trust,
Series 2007-3, Class 2A1B
(LIBOR USD 1-Month plus 0.20%)
0.66%	03/25/472		166,316		19,006
GSMSC Resecuritization Trust,
Series 2015-5R, Class 1C
(LIBOR USD 1-Month plus 0.14%)
0.33%	04/26/371,2		376,969		373,838
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
2.91%	09/25/354		4,657		4,711
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(LIBOR USD 1-Month plus 0.68%)
1.13%	06/20/352		17,145		16,709
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
2.07%	06/20/351,4,5,6		1,257,310		25,739
HarborView Mortgage Loan Trust,
Series 2006-5, Class X2 (IO)
2.66%	07/19/464,5,6		2,930,027		157,313
HSI Asset Loan Obligation Trust,
Series 2007-WF1, Class A5 (STEP-reset date 05/25/22)
4.71%	12/25/36		265,523		114,180
IndyMac Index Mortgage Loan Trust,
Series 2006-AR3, Class 2A1A
2.92%	03/25/364		89,400		70,167
IndyMac Index Mortgage Loan Trust,
Series 2007-F2, Class 1A4
6.00%	07/25/37		799,054		709,055
JPMorgan Alternative Loan Trust,
Series 2006-S1, Class 3A4
6.18%	03/25/364		904,592		864,810
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH2, Class AF3 (STEP-reset date 05/25/22)
5.46%	09/25/29		537,848		386,938
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF4 (STEP-reset date 05/25/22)
6.08%	08/25/36		582,177		436,965
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF5 (STEP-reset date 05/25/22)
6.34%	08/25/36		293,494		219,429
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A5 (STEP-reset date 05/25/22)
6.91%	07/25/36		1,814,828		660,181
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class AF6 (STEP-reset date 05/25/22)
4.65%	11/25/36		7,134		7,223

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF2 (STEP-reset date 05/25/22)
4.45%	01/25/37	$	438,198	$	270,413
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF3 (STEP-reset date 05/25/22)
4.45%	10/25/30		672,749		446,903
JPMorgan Mortgage Trust,
Series 2007-S1, Class 2A11
6.00%	03/25/37		373,026		215,459
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class M1
6.63%	04/15/404		967,186		982,021
Lehman Mortgage Trust,
Series 2006-1, Class 1A5
5.50%	02/25/36		148,088		105,149
Lehman Mortgage Trust,
Series 2006-7, Class 2A5 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap)
6.09%	11/25/362,5,6		189,206		35,387
Lehman Mortgage Trust,
Series 2007-5, Class 10A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap)
5.88%	06/25/372,5,6		248,724		52,205
Lehman Mortgage Trust,
Series 2007-5, Class 7A3
7.50%	10/25/36		553,042		326,850
Lehman XS Trust,
Series 2005-1, Class 3A4 (STEP-reset date 05/25/22)
5.37%	07/25/35		54,311		54,311
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
0.96%	08/25/462		234,650		223,701
Lehman XS Trust,
Series 2006-17, Class 1AIO (IO)
0.60%	08/25/465,6		9,021,034		195,194
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A3
(LIBOR USD 1-Month plus 0.40%)
0.86%	03/25/352		16,440		16,493
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A4 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.10%, 5.10% Cap)
4.64%	03/25/352,5,6		330,521		14,092
MASTR Asset-Backed Securities Trust,
Series 2006-NC2, Class A3
(LIBOR USD 1-Month plus 0.22%)
0.68%	08/25/362		763,681		366,482
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A1, Class A3
(LIBOR USD 1-Month plus 0.32%)
0.78%	01/25/372		688,547		266,605
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A3
(LIBOR USD 1-Month plus 0.52%)
0.98%	04/25/372		1,961,965		224,191

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 70

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2B
(LIBOR USD 1-Month plus 0.13%)
0.59%	06/25/372	$	565,410	$	520,632
Merrill Lynch Mortgage Investors Trust,
Series 2004-B, Class A1
(LIBOR USD 1-Month plus 0.50%)
0.96%	05/25/292		11,734		11,445
Merrill Lynch Mortgage Investors Trust,
Series 2006-HE6, Class A2B
(LIBOR USD 1-Month plus 0.30%)
0.76%	11/25/372		856,246		377,309
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		6,357		6,416
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/401		42,560		43,039
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		2,922		2,943
Morgan Stanley Mortgage Loan Trust,
Series 2007-13, Class 6A1
6.00%	10/25/37		176,227		124,762
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
0.71%	06/25/372		24,412		23,901
Oakwood Mortgage Investors, Inc.,
Series 1999-C, Class A2
7.48%	08/15/27		435,517		398,734
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A2
5.01%	03/15/204		7,140		7,134
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCH1, Class M4
(LIBOR USD 1-Month plus 1.25%)
1.70%	01/25/362		11,121		11,192
Residential Accredit Loans Trust,
Series 2005-QS14, Class 3A3
6.00%	09/25/35		155,517		146,311
Residential Accredit Loans Trust,
Series 2005-QS16, Class A7
5.50%	11/25/35		503,910		469,213
Residential Accredit Loans Trust,
Series 2006-QS15, Class A3
6.50%	10/25/36		1,001,503		941,415
Residential Accredit Loans Trust,
Series 2006-QS4, Class A2
6.00%	04/25/36		338,778		319,834
Residential Accredit Loans Trust,
Series 2006-QS4, Class A4
6.00%	04/25/36		419,672		398,711

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A15
6.00%	06/25/36	$	168,965	$	160,980
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A2
6.00%	06/25/36		542,922		517,263
Residential Accredit Loans Trust,
Series 2007-QH9, Class X (IO) (PO)
0.69%	11/25/374,5,6		12,405,888		357,603
Residential Accredit Loans Trust,
Series 2007-QO2, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.61%	02/25/472		537,892		239,789
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A4
6.00%	01/25/37		542,394		506,868
Residential Accredit Loans Trust,
Series 2007-QS3, Class A1
6.50%	02/25/37		519,900		487,808
Residential Accredit Loans Trust,
Series 2007-QS7, Class 1A1
6.00%	05/25/37		56,054		53,292
Residential Asset Mortgage Products Trust,
Series 2006-EFC2, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.68%	12/25/362		52,090		51,554
Residential Asset Securitization Trust,
Series 2003-A15, Class 1A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap)
7.09%	02/25/342,5,6		503,028		45,928
Residential Asset Securitization Trust,
Series 2005-A14, Class A5
5.50%	12/25/35		86,669		56,663
Residential Asset Securitization Trust,
Series 2005-A8CB, Class A9
5.38%	07/25/35		268,441		201,566
Residential Asset Securitization Trust,
Series 2006-A12, Class A1
6.25%	11/25/36		501,364		259,316
Residential Asset Securitization Trust,
Series 2006-A15, Class A2
6.25%	01/25/37		515,666		256,984
Residential Asset Securitization Trust,
Series 2006-A16, Class 1A3
6.00%	02/25/37		340,604		203,413
Residential Asset Securitization Trust,
Series 2006-A5CB, Class A4
6.00%	06/25/36		210,600		112,358
Residential Asset Securitization Trust,
Series 2007-A1, Class A1
6.00%	03/25/37		326,672		150,230
Residential Asset Securitization Trust,
Series 2007-A3, Class 1A4
5.75%	04/25/37		55,364		36,191

See accompanying Notes to Financial Statements.

71 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Asset Securitization Trust,
Series 2007-A6, Class 1A3
6.00%	06/25/37	$	151,609	$	112,173
Residential Funding Mortgage Securities Trust,
Series 2006-S10, Class 1A1
6.00%	10/25/36		778,264		740,560
Residential Funding Mortgage Securities Trust,
Series 2006-S3, Class A7
5.50%	03/25/36		555,708		508,590
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A10
6.00%	07/25/36		265,793		251,538
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A14
6.00%	07/25/36		85,226		81,003
Residential Funding Mortgage Securities Trust,
Series 2007-S8, Class 1A1
6.00%	09/25/37		167,445		139,617
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/22)
2.91%	01/25/36		112,456		103,778
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.61%	12/25/362		958,836		637,413
Soundview Home Loan Trust,
Series 2007-OPT2, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
0.71%	07/25/372		313,143		273,854
Soundview Home Loan Trust,
Series 2007-OPT4, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
1.46%	09/25/372		429,250		352,405
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 4A1
2.46%	02/25/344		1,451		1,438
Structured Asset Mortgage Investments II Trust,
Series 2006-AR2, Class A1
(LIBOR USD 1-Month plus 0.46%)
0.92%	02/25/362		20,603		18,475
VOLT XCVI LLC,
Series 2021-NPL5, Class A2 (STEP-reset date 04/25/22)
4.83%	03/27/511		800,000		769,677
WaMu Mortgage Pass-Through Certificates,
Series 2006-2, Class 1A6
6.00%	03/25/36		27,280		27,149
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class X3 (IO)
1.15%	05/25/465,6		7,965,658		336,335
Wells Fargo Alternative Loan Trust,
Series 2007-PA2, Class 1A1
6.00%	06/25/37		228,248		205,070
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		407,867		385,041

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A3
2.60%	10/25/364	$	41,926	$	40,209
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 2A1
2.88%	04/25/364		8,944		8,068
Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-7, Class A1
6.00%	06/25/37		270,741		255,440
					41,297,547
U.S. Agency Commercial Mortgage-Backed — 2.01%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.94%	07/25/394		448,561		11,791
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.12%	04/25/364		141,640		1,424
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.65%	01/25/394		908,808		25,681
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K022, Class X3 (IO)
1.81%	08/25/404		900,000		5,210
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K028, Class X3 (IO)
1.66%	06/25/414		12,639,000		192,134
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X3 (IO)
1.66%	07/25/414		1,170,000		19,296
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K037, Class X3 (IO)
2.21%	01/25/424		390,000		14,746
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K043, Class X1 (IO)
0.52%	12/25/244		23,484,376		299,057
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K044, Class X3 (IO)
1.48%	01/25/434		4,900,000		205,928
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K045, Class X1 (IO)
0.43%	11/25/254		31,754,058		326,826
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X1 (IO)
0.58%	07/25/254		12,682,719		206,145

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 72

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X3 (IO)
1.55%	10/25/434	$	2,925,000	$	130,291
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K050, Class X1 (IO)
0.31%	08/25/254		22,003,380		209,265
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K056, Class X3 (IO)
2.11%	06/25/444		6,243,936		483,786
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K062, Class X3 (IO)
2.08%	01/25/454		3,000,000		264,232
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K732, Class X3 (IO)
2.17%	05/25/464		4,850,000		311,662
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K735, Class X3 (IO)
2.15%	05/25/474		3,160,000		243,170
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K736, Class X3 (IO)
2.01%	09/25/474		2,495,000		192,671
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.20%	06/25/274		695,458		26,963
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KLU1, Class X3 (IO)
3.97%	01/25/314		338,631		45,634
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT1 (IO)
1.66%	05/25/25		4,984,750		144,107
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT2 (IO)
1.81%	05/25/27		4,050,127		133,521
FREMF Mortgage Trust,
Series 2012-K20, Class X2A (IO)
0.20%	05/25/451		425,445		2
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%	09/16/514		921,574		40,816
Ginnie Mae,
Series 2010-159, Class D
4.30%	09/16/444		254,729		254,403
Ginnie Mae,
Series 2011-119, Class IO (IO)
0.23%	08/16/514		1,174,449		3,052

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2011-86, Class C
3.63%	09/16/514	$	244,852	$	242,354
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.64%	12/16/514		1,642,646		24,434
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.52%	01/16/534		342,748		5,838
Ginnie Mae,
Series 2013-33, Class IO (IO)
0.37%	04/16/544		425,133		2,537
Ginnie Mae,
Series 2014-126, Class IO (IO)
0.72%	02/16/554		5,716,889		150,496
					4,217,472
U.S. Agency Mortgage-Backed — 14.72%
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.18%)
2.84%	04/01/362		53,767		53,619
Fannie Mae REMICS,
Series 2005-56, Class SP
(-6.00 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap)
6.00%	08/25/332		4,919		4,997
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.54%	11/25/412		93,996		9,885
Fannie Mae REMICS,
Series 2012-139, Class AI (IO)
3.00%	12/25/27		229,171		12,755
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%	07/15/36		281,615		52,849
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.15%	10/20/332		337,467		46,674
Ginnie Mae,
Series 2018-124, Class NW
3.50%	09/20/48		33,503		33,916
Ginnie Mae,
Series 2018-154, Class BP
3.50%	11/20/48		3,651		3,690
UMBS (TBA)
2.00%	04/01/52		2,025,000		1,878,672
2.00%	05/01/52		7,950,000		7,366,607
2.50%	05/01/52		11,450,000		10,902,265
3.00%	05/01/52		10,750,000		10,494,688
					30,860,617
Total Mortgage-Backed
(Cost $112,669,649)					96,950,228

See accompanying Notes to Financial Statements.

73 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MUNICIPAL BONDS — 0.65%*
California — 0.16%
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%	05/15/38	$	100,000	$	98,792
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%	07/01/34		205,000		243,091
					341,883
Florida — 0.06%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.61%	10/01/32		100,000		92,462
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.45%	10/01/30		30,000		30,038
					122,500
New York — 0.39%
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%	04/01/31		155,000		156,388
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
5.51%	08/01/37		175,000		209,377
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3
1.85%	08/01/32		75,000		63,173
New York State Dormitory Authority Revenue Bonds, School Improvements, Series F
3.11%	02/15/39		150,000		141,537
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%	03/15/33		100,000		85,582
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.54%	03/15/34		175,000		157,112
					813,169
Ohio — 0.04%
Ohio, Taxable Revenue Bonds, Advanced Refunding,
Cleveland Clinic
2.89%	01/01/32		100,000		95,605
Total Municipal Bonds
(Cost $1,500,334)					1,373,157
U.S. TREASURY SECURITIES — 1.19%
U.S. Treasury Notes — 1.19%
U.S. Treasury Notes
1.50%	02/29/24		1,904,000		1,876,481

Issues	Maturity     Date		Principal     Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
1.75%		03/15/25	$	630,000	$	616,986
Total U.S. Treasury Securities
(Cost $2,513,069)						2,493,467
Total Bonds — 99.69%
(Cost $229,831,310)						209,020,964
Issues			Shares		Value
COMMON STOCK — 0.32%
Communications — 0.16%
Intelsat Emergence SA3,5,6,11
(Luxembourg)				11,030		330,900
Financials — 0.16%
AGNC Investment Corp.				25,500		334,050
Total Common Stock
(Cost $701,674)						664,950
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A3,5,6,11
(Luxembourg)				1,154		—
Intelsat Jackson Holdings SA, Series B3,5,6,11
(Luxembourg)				1,154		—
						—
Total Rights
(Cost $–)						—
WARRANT — 0.01%
Entertainment — 0.01%
Cineworld Group PLC3,11
(United Kingdom)				152,713		33,176
Total Warrant
(Cost $–)
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 10.91%
Money Market Funds — 6.15%
Dreyfus Government Cash Management Fund
0.19%14				5,790,000		5,790,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%14				19,658		19,658
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%14				7,092,000		7,092,000
						12,901,658

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 74

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 4.76%
U.S. Treasury Bills
0.61%15	08/25/22	$	10,000,000	$	9,964,717
Total Short-Term Investments
(Cost $22,877,122)					22,866,375
Total Investments Before Written Options - 110.93%
(Cost $253,410,106)					232,585,465
Written Options - (0.04)%
(Cost $(74,002))					(81,875	)
Net unrealized appreciation on unfunded commitments - 0.00%					12
Liabilities in Excess of Other Assets - (10.89)%					(22,845,101	)
Net Assets - 100.00%				$	209,658,501

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 $3,352,916, which is 1.60% 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 $143,659, at an interest rate of 0.00% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 0.63% per annum.

⁸ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $45,404, 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 Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $57,050, at an interest rate of 1.88% and a maturity of July 17, 2028. The investment is not accruing an unused commitment fee.

¹⁰ Perpetual security with no stated maturity date.

¹¹ Non-income producing security.

¹² Security is currently in default with regard to scheduled interest or principal payments.

¹³ Zero coupon bond. The rate shown is the effective yield as of March 31, 2022.

¹⁴ Represents the current yield as of March 31, 2022.

¹⁵ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is $410,126, which is 0.20% 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.

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.

(CAD): Canadian Dollar

(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

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

See accompanying Notes to Financial Statements.

75 / Annual Report March 2022

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2022

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
CAD 3,248,000	USD 2,546,552	Citigroup Global Markets, Inc.		04/08/22	$	53,719
EUR 1,253,000	USD 1,378,049	Goldman Sachs International		04/08/22		16,431
GBP 483,000	USD 633,499	Goldman Sachs International		04/08/22		2,411
USD 643,658	EUR 568,000	Goldman Sachs International		04/08/22		11,523
USD 648,007	GBP 483,000	Goldman Sachs International		04/08/22		12,097
						96,181
USD 2,532,514	CAD 3,248,000	Citigroup Global Markets, Inc.		04/08/22		(67,757)
USD 744,915	EUR 685,000	Citigroup Global Markets, Inc.		04/08/22		(17,430)
USD 1,383,425	EUR 1,253,000	Goldman Sachs International		07/08/22		(16,541)
USD 610,262	GBP 466,000	Goldman Sachs International		07/08/22		(3,154)
						(104,882)
NET UNREALIZED DEPRECIATION					$	(8,701)

Description	Number of Contracts	Expiration Date	Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note	562	06/30/22	$	64,454,375	$	(1,482,559)	$	(1,482,559)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond	227	06/21/22		(30,751,406)		984,315		984,315
U.S. Treasury Ultra Bond	51	06/21/22		(9,033,375)		289,968		289,968
				(39,784,781)		1,274,283		1,274,283
TOTAL FUTURES CONTRACTS			$	24,669,594	$	(208,276)	$	(208,276)

Description	Number of contracts		Exercise Price		Expiration     Date	Notional Amount		Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		50		$97.88	12/16/22	$	(3,040,469)	$	(23,437)
WRITTEN PUT OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		50		$97.38	12/16/22	$	(3,040,469)	$	(58,438)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 76

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 94.69%
BANK LOANS — 88.53%*
Automotive — 0.89%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/30/261	$	2,211,302	$	2,186,978
Oeconnection LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.46%	09/25/261		1,808,495		1,782,868
4.47%	09/25/261		417,522		411,606
					4,381,452
Communications — 10.07%
A-L Parent LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.25%	12/01/231		487,147		465,096
Altice Financing SA,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.99%	01/31/261		957,500		925,314
Altice France SA,
Term Loan B11, 1st Lien
(LIBOR plus 2.75%)
3.05%	07/31/251		989,610		968,170
Altice SA,
Term Loan B13, 1st Lien (France)
(LIBOR plus 4.00%)
4.51%	08/14/261,2		483,750		475,488
Banijay Group U.S. Holding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.99%	03/01/251		1,735,570		1,722,553
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.75%	12/17/271		1,485,000		1,467,677
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/15/271		2,447,393		2,386,025
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
2.21%	02/01/271		1,325,781		1,316,487
Consolidated Communications, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 3.50%)
4.25%	10/02/271		2,000,000		1,886,070
Coralus Co-Borrower LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.65%	01/31/281		2,250,000		2,206,057

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Communications (continued)
Crown Subsea Communications Holding, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
5.50%	04/27/271	$	801,370	$	800,032
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.65%	01/15/261		970,000		957,875
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.90%	04/15/271		984,925		969,658
Dawn Acquisition LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.97%	12/31/251		1,468,570		1,249,709
Diamond Sports Group, LLC,
Term Loan, 2nd Lien
(SOFR plus 3.25%)
3.54%	08/24/261		1,484,857		514,600
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/271		1,910,000		1,910,372
EW Scripps Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.75%	01/07/281		415,625		413,611
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.81%	05/01/281		1,237,500		1,220,998
Global Tel*Link Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.71%	11/29/251		982,765		936,875
Gray Television, Inc.,
Term Loan D, 1st Lien
(LIBOR plus 3.00%)
3.23%	12/01/281		1,496,250		1,490,504
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%	05/31/251		706,100		653,560
GTT Communications, Inc.,
Term Loan B, 1st Lien
(PRIME plus 3.75%)
7.25%	05/30/251		475,870		391,791
Intelsat Jackson Holdings SA,
Term Loan (Luxembourg)
(SOFR plus 4.42%)
4.92%	02/01/291,2		4,987,500		4,914,633
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/01/271		2,337,328		2,296,974

See accompanying Notes to Financial Statements.

77 / Annual Report March 2022

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Communications (continued)
MacDonald Dettwiler & Associates Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	10/04/241	$	736,668	$	726,734
Metronet Systems Holdings LLC,
Term Loan B
(LIBOR plus 3.75%)
4.50%	06/02/281		1,986,281		1,969,517
MH Sub I LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.75%	09/13/241		2,324,775		2,303,189
National CineMedia LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	06/20/251		1,243,332		1,126,770
(LIBOR plus 8.00%)
9.00%	12/20/241		579,821		547,930
NEP Group, Inc.,
Term Loan B, 1st Lien
(PRIME plus 3.00%)
6.50%	10/20/251		249,375		247,400
NEP/NCP Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.70%	10/20/251		1,482,770		1,459,417
Term Loan, 2nd Lien
(LIBOR plus 7.00%)
7.46%	10/19/261		440,000		426,910
New Insight Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.50%)
6.50%	12/20/241		478,750		471,518
Sinclair Television Group, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 3.00%)
3.46%	04/01/281		1,612,703		1,577,433
Terrier Media Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	12/17/261		2,018,994		1,990,909
Univision Communications, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.00%	05/06/281		1,000,000		991,665
UPC Financing Partnership,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
2.65%	04/30/281		250,000		244,866
Virgin Media Bristol LLC,
Term Loan N, 1st Lien
(LIBOR plus 2.50%)
2.90%	01/31/281		1,000,000		989,375

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Communications (continued)
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.46%	03/09/271	$	2,004,276	$	1,953,338
					49,567,100
Consumer Discretionary — 5.11%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
3.88%	12/23/271		1,237,500		1,218,263
AI Aqua Merger Sub, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.00%	07/31/281,3		814,815		807,433
Arterra Wines Canada, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.51%	11/24/271		691,250		685,720
Birkenstock U.S. BidCo, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	04/28/281		744,375		737,862
City Brewing Co. LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	04/05/281		996,247		916,547
Culligan International, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
4.25%	07/31/281		1,150,000		1,140,840
Landry’s,
Term Loan, 1st Lien
(LIBOR plus 12.00%)
13.00%	10/04/231		53,605		57,358
Naked Juice, LLC,
Term Loan
(SOFR plus 3.25%)
4.00%	01/24/291		3,000,000		2,957,145
(SOFR plus 6.00%)
6.75%	01/24/301		2,100,000		2,100,000
New Trojan Parent, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
3.75%	01/06/281		1,488,750		1,445,948
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	02/01/281		2,430,281		2,418,130
Prometric Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.00%	01/29/251		962,707		947,304

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 78

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Refresco,
Term Loan B3, 1st Lien
(LIBOR plus 2.75%)
3.22%	03/28/251	$	1,920,600	$	1,908,596
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.76%	10/01/261		2,227,500		2,216,017
Tecta America Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	04/10/281		992,500		985,056
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	03/31/281		1,488,751		1,454,986
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.46%	10/22/261		1,962,469		1,960,015
Weber-Stephen Products LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.00%	10/30/271		1,217,130		1,182,442
					25,139,662
Consumer Products — 0.68%
Hoffmaster Group, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.01%	11/21/231		1,457,621		1,396,284
Lakeshore Intermediate, LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	09/29/281		1,995,000		1,963,409
					3,359,693
Electric — 1.33%
Astoria Energy LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	12/10/271		1,454,507		1,437,919
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/06/261		1,954,988		1,906,924
Endure Digital, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	02/10/281		1,985,000		1,932,894
Linden LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	10/01/271		1,286,884		1,256,520
					6,534,257

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Energy — 1.45%
Apro LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	11/14/261	$	1,332,839	$	1,327,841
Calpine Corp.,
Term Loan B10, 1st Lien
(LIBOR plus 2.00%)
2.46%	08/12/261		188,894		186,565
EPIC Y-Grade Services L.P,
Term Loan B, 1st Lien
(LIBOR plus 6.00%)
7.00%	06/30/271		249,975		211,437
Lucid Energy Group II Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	11/24/281		997,500		990,542
Parkway Generation LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%	02/16/291		1,798,246		1,764,529
Term Loan C, 1st Lien
(LIBOR plus 4.75%)
5.50%	02/16/291		251,754		246,719
TransMontaigne Operating Co. LP,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	11/17/281		1,498,125		1,490,949
Traverse Midstream Partners LLC,
Term Loan B, 1st Lien
(SOFR plus 4.25%)
5.25%	09/27/241		908,450		906,179
					7,124,761
Entertainment — 1.39%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%	02/28/251		2,128,377		1,648,247
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 7.00%)
7.00%	05/23/241		1,177,818		1,394,248
NAI Entertainment Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	05/08/251		1,391,572		1,367,220
SMG US Midco 2, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.50%)
2.80%	01/23/251		712,027		687,106
2.97%	01/23/251		282,890		272,989
WildBrain Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.00%	03/24/281		1,485,000		1,476,187
					6,845,997

See accompanying Notes to Financial Statements.

79 / Annual Report March 2022

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Finance — 3.52%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
4.21%	02/27/261,2	$	1,212,505	$	1,184,090
Camelot Finance SA,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.46%	10/30/261		977,500		968,747
Cushman & Wakefield,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	08/21/251		1,497,776		1,480,611
DCG Acquisition Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.96%	09/30/261		2,451,876		2,416,630
First Eagle Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.51%	02/01/271		1,427,619		1,405,312
Hertz Corp. (The),
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	06/30/281		417,557		415,091
Term Loan C, 1st Lien
(LIBOR plus 3.25%)
3.75%	06/30/281		79,288		78,820
Jane Street Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	01/26/281		1,728,125		1,708,329
Mozart Borrower, LP,
Term Loan B
(LIBOR plus 3.25%)
3.75%	10/23/281		2,300,000		2,279,726
Schweitzer-Mauduit International, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	04/20/281		1,985,000		1,963,502
Tegra118 Wealth Solutions, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.49%	02/18/271		1,000,000		995,835
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
2.40%	04/28/281		1,500,000		1,468,928
Trident TPI Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.50%	09/15/281,4		77,693		76,851
Term Loan B3, 1st Lien
(LIBOR plus 4.00%)
4.50%	09/15/281		871,398		861,960
					17,304,432

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Food — 4.43%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%	10/01/251	$	497,500	$	448,994
CH Gunther PPC Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	12/08/281		1,000,000		978,750
Chobani LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	10/25/271		1,477,500		1,456,726
Dessert Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.01%	06/09/281,5		2,175,789		2,138,399
Flora Food Group,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.35%	07/02/251		1,949,679		1,786,745
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/251		2,403,654		2,376,829
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.21%	07/20/251		2,236,924		2,113,893
Matterhorn Merger Sub LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.46%	05/23/251		1,477,517		1,434,115
Shearer’s Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	09/23/271		2,034,376		1,979,834
Snacking Investments Bidco,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	12/18/261		1,238,092		1,224,163
Sovos Brands Intermediate, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	06/08/281		1,036,207		1,027,881
TKC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.50%)
6.50%	05/15/281		986,786		974,944
U.S. Foods, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.00%)
2.51%	09/14/261		1,950,000		1,915,212

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 80

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Food (continued)
Utz Quality Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.46%	01/20/281	$	1,973,765	$	1,949,409
					21,805,894
Gaming — 2.39%
Bally’s Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	10/02/281		498,750		496,685
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
3.21%	12/23/241		1,436,250		1,430,663
Golden Entertainment, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.75%	10/21/241		1,171,875		1,161,621
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.50%	01/27/291		4,000,000		3,985,260
GVC Holdings Gibraltar Ltd.,
Term Loan B4, 1st Lien
(LIBOR plus 2.25%)
3.74%	03/29/271		1,736,875		1,722,763
J&J Ventures Gaming LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	04/26/281		995,000		989,403
Scientific Games Holdings LP,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
3.50%	02/04/291		2,004,000		1,988,610
					11,775,005
Health Care — 11.79%
ADMI Corp.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	04/30/251		962,638		946,393
Bella Holding Co. LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	05/10/281		995,000		988,781
Cano Health, LLC,
Term Loan, 1st Lien
(SOFR plus 4.00%)
4.51%	11/23/271		2,012,852		1,986,232
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
5.00%	09/01/241		2,992,500		2,977,538

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
CCS-CMGC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.50%)
5.96%	10/01/251	$	483,750	$	474,984
Certara Holdco, Inc.,
Term Loan B
(LIBOR plus 3.50%)
3.96%	08/15/261		1,985,000		1,960,188
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/241		598,627		596,158
Curia Global, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	08/30/261		2,180,699		2,165,315
Da Vinci Purchaser Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	01/08/271		2,211,856		2,207,245
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.98%	08/01/271		1,247,744		1,230,101
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/281		2,052,600		1,928,377
eResearchTechnology, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	02/04/271		1,760,758		1,756,911
Femur Buyer, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
5.51%	03/05/261		624,606		565,268
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	11/15/271		925,556		911,325
Heartland Dental LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.45%	04/30/251		993,744		986,822
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.96%	04/30/251		1,480,814		1,466,006
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.25%	03/15/281		1,485,000		1,472,474
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	05/05/281		1,985,000		1,980,167

See accompanying Notes to Financial Statements.

81 / Annual Report March 2022

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
LSCS Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
5.00%	12/16/281	$	2,443,875	$	2,422,503
Medplast Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.21%	07/02/251		965,000		910,029
National Seating & Mobility,
Term Loan, 1st Lien
(LIBOR plus 5.25%)
5.71%	11/16/261		1,967,372		1,952,617
NMN Holdings III Corp.,
Delayed-Draw Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.21%	11/13/251		257,549		251,110
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.21%	11/13/251		1,200,328		1,170,320
Option Care Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
3.25%	10/27/281		1,995,000		1,980,875
Organon & Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.56%	06/02/281		962,958		959,347
Pacific Dental Services, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.00%	05/05/281		992,500		983,195
Pathway Vet Alliance LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.21%	03/31/271		2,458,196		2,438,235
PetVet Care Centers LLC,
Term Loan B3, 1st Lien
(LIBOR plus 3.50%)
4.25%	02/14/251		2,475,891		2,467,387
Phoenix Guarantor, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.95%	03/05/261		1,978,763		1,960,736
Phoenix Newco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.00%	11/15/281		2,500,000		2,484,825
Pluto Acquisition I, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.21%	06/22/261		1,494,981		1,476,294
Pregis TopCo LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.46%	07/31/261		999,356		980,493

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Premise Health Holding Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.51%	07/10/251	$	2,115,939	$	2,100,069
Resonetics LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	04/28/281		1,742,497		1,728,339
Sharp Midco LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	12/29/281		1,750,000		1,743,438
Surgery Center Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	08/31/261		1,196,569		1,189,247
Tecomet, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	05/01/241		194,392		182,728
U.S. Renal Care, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.25%	06/26/261		772,507		712,638
(LIBOR plus 5.50%)
6.50%	06/26/261		995,000		922,240
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	11/27/251		398,779		395,788
					58,012,738
Industrials — 11.30%
Alliance Laundry Systems, LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	10/08/271		1,496,171		1,483,087
Anchor Packaging LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.46%	07/18/261		1,969,620		1,937,614
Arterrsa Services	LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.51%	03/06/251		1,488,750		1,399,797
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.50%	10/13/281		1,247,059		1,233,185
BCPE Empire Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.50%	06/11/261		498,380		493,084

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 82

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
2.07%	07/01/261	$	2,070,521	$	2,044,961
Charter Next generation, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	12/01/271		1,736,842		1,729,513
Clydesdale Acquisition Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
4.25%	03/30/291,6		1,500,000		1,477,500
Conserve Merger Sub, Inc.,
Term Loan, 1st Lien (France)
(LIBOR plus 3.50%)
3.73%	08/08/251,2		1,930,000		1,884,162
Convergint Technologies,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.25%	03/31/281		496,266		491,986
Deliver Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
6.01%	05/01/241		1,068,889		1,068,889
Dermatology Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
4.75%	04/01/291,7		1,516,535		1,501,370
Eagle 4 Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	07/12/281		498,723		492,489
Energizer Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
2.75%	12/22/271		1,490,000		1,467,650
Engineered Machinery Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.76%	05/19/281		489,947		484,163
II-VI, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
2.75%	12/08/281		1,000,000		995,000
Ingram Micro, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	06/30/281		992,500		985,552
Iridium Satellite LLC,
Term Loan B2, 1st Lien
(LIBOR plus 2.50%)
3.25%	11/04/261		1,237,822		1,229,602
KAMC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.51%	08/14/261,6,8		731,250		622,780

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
Liqui-Box Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	02/26/271	$	982,500	$	929,936
MAR Bidco SARL,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
5.26%	07/07/281		1,741,250		1,721,661
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.26%	04/15/281		992,500		933,501
Osmose Utilities Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
3.75%	06/23/281		1,496,241		1,480,343
Patriot Container Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.75%	03/20/251		1,465,649		1,410,687
Peacock Merger Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.26%	12/29/281		1,496,250		1,470,066
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	08/03/261		1,764,806		1,707,450
(LIBOR plus 3.75%)
4.76%	08/03/261		493,750		477,703
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	11/03/251		2,920,574		2,862,892
Protective Industrial Products, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	12/29/271		1,779,654		1,757,409
Refficiency Holdings LLC,
Delayed-Draw Term Loan
(LIBOR plus 3.75%)
4.50%	12/16/271,9		8,767		8,683
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	12/16/271		1,663,511		1,647,567
Ring Container Technologies Group, LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.21%	08/12/281		2,500		2,469
4.27%	08/12/281		995,000		982,567
Spectrum Holdings III Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.26%	01/31/251		1,401,624		1,352,189

See accompanying Notes to Financial Statements.

83 / Annual Report March 2022

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Industrials (continued)
SPX FLOW, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
5.00%	03/16/291	$	500,000	$	487,707
Titan Acquisition, Ltd.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.35%	03/28/251		987,251		968,039
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	05/30/241		2,422,918		2,166,234
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.71%	05/30/251		487,525		479,603
TricorBraun Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
3.75%	03/03/281		1,987,945		1,943,763
USIC Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.25%	05/12/281		1,492,500		1,480,105
Vantage Elevator Solutions,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.25%	11/17/281		2,500,000		2,469,062
Wrench Group LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.01%	04/30/261		2,238,491		2,224,501
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	08/12/241		1,705,351		1,637,137
					55,623,658
Information Technology — 14.20%
AppLovin Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	10/25/281		498,750		495,498
(LIBOR plus 3.25%)
3.25%	08/15/251		740,434		737,716
AQAAcquisition Holding, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.26%	03/03/281		1,488,750		1,484,098
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
4.00%	02/15/291,10		1,710,145		1,695,181

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Azalea Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
3.75%	07/24/261	$	500,000	$	495,938
Bifm CA Buyer, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.96%	06/01/261		990,339		976,721
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.96%	07/21/251		985,000		983,030
Castle U.S. Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.21%	01/29/271		983,333		952,914
CHG Healthcare Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.51%	09/29/281		1,875		1,861
5.00%	09/29/281		744,375		738,792
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	12/16/251		1,268,441		1,261,077
DCert Buyer, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.46%	10/16/261		1,721,178		1,711,255
E2open LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	02/04/281		1,985,011		1,965,160
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	08/14/251		2,701,302		2,634,904
Electron Bidco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
3.75%	11/01/281		1,000,000		990,470
Emerald Topco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.80%	07/24/261		1,472,367		1,456,032
Ensemble RCM LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.05%	08/03/261		983,621		979,829
EQT Box Merger Sub, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.50%)
4.00%	04/17/281		249,375		246,571

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 84

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	10/01/271	$	1,484,962	$	1,484,962
Helios Software Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.25%	03/11/281		1,657,143		1,644,723
Imperva, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.00%	01/12/261		1,754,193		1,735,993
ION Analytics,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.50%	02/16/281		677,083		672,533
Logmein, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.22%	08/31/271		2,478,725		2,439,610
Magenta Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	07/27/281		1,995,000		1,983,030
Magenta Buyer, LLC,
Term Loan, 2nd Lien
(LIBOR plus 8.25%)
9.00%	07/27/291		446,493		443,702
Maximus, Inc.,
Term Loan B
(LIBOR plus 2.00%)
2.50%	05/28/281		1,488,750		1,482,244
MeridianLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.01%	11/10/281		2,000,000		1,965,010
Monotype Imaging Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
6.01%	10/09/261		1,492,500		1,493,440
Northwest Fiber LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.14%	04/30/271		1,792,165		1,763,410
Nouryon USA LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.01%	10/01/251		1,245,818		1,229,728
Pactiv Evergreen Group Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	09/25/281		1,741,250		1,699,895
Panther Purchaser LP,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
5.00%	01/07/281		1,488,750		1,481,932

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Playtika Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	03/13/281	$	997,481	$	984,559
Precision Medicine Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
4.01%	11/18/271,11		2,620,673		2,578,087
Pretium Packaging Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.50%	10/02/281		1,246,875		1,213,920
Project Alpha Intermediate Holding, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.30%	04/26/241		1,940,437		1,931,143
Project Boost Purchaser, LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	06/01/261		1,496,164		1,483,072
Proofpoint, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.76%	08/31/281		997,500		988,009
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	04/24/281		1,991,247		1,971,334
Renaissance Learning, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.50%)
4.50%	03/16/271		500,000		498,750
Sitel Worldwide Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.21%	08/28/281		1,492,500		1,482,553
Skillsoft Finance II, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%	07/14/281		1,246,875		1,236,277
Sophia LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.26%	10/07/271		2,226,325		2,208,704
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	03/04/281		1,980,000		1,968,308
Sunshine Software Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%	10/16/281		2,000,000		1,983,750
Surf Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.11%	03/05/271		2,017,843		2,001,136

See accompanying Notes to Financial Statements.

85 / Annual Report March 2022

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
TierPoint LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	05/05/261	$	967,149	$	959,596
Veeam Software,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.46%	02/28/271		1,735,497		1,723,930
VT Topco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.26%	08/01/251		1,704,082		1,679,586
Zelis Payments Buyer, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.73%	09/30/261		735,056		728,919
Zotec Partners LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.75%	02/14/241		937,125		932,439
					69,881,331
Insurance — 1.34%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	02/15/271		2,967,216		2,931,372
Asurion LLC,
Term Loan B8, 1st Lien
(LIBOR plus 3.25%)
3.71%	12/23/261		492,513		482,559
Term Loan B9, 1st Lien
(LIBOR plus 3.25%)
3.71%	07/31/271		1,243,111		1,219,803
Asurion, LLC,
Term Loan B4, 1st Lien
(LIBOR plus 5.25%)
5.71%	01/20/291		1,000,000		979,065
Howden Group Holdings Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
4.00%	11/12/271		989,962		980,270
					6,593,069
Materials — 3.68%
American Rock Salt Co. LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	06/09/281		992,500		984,436
Archroma Finance SARL,
Term Loan B2, 1st Lien (Switzerland)
(LIBOR plus 4.25%)
4.51%	08/12/241,2		716,250		710,878

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Materials (continued)
Cyanco Intermediate Corp.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
3.96%	03/16/251	$	416,884	$	409,589
Geon Performance Solutions, LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%	08/18/281		1,194,000		1,194,006
Herens U.S. Holdco Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.00%	07/03/281		997,500		975,056
5.01%	07/03/281		1,836,148		1,794,835
ICP Group,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.76%	12/29/271		1,485,000		1,447,875
INEOS U.S. Finance LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.00%	11/08/281		500,000		490,938
INEOS U.S. Quattro LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.25%	01/29/261		1,240,625		1,220,930
LSF11 A5 HoldCo LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.00%	10/15/281		1,500,000		1,481,438
Lummus Technology Holdings V LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	06/30/271		1,884,523		1,825,641
Plaskolite PPC Intermediate II LLC,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	12/15/251		1,983,741		1,908,854
Polar U.S. Borrower LLC,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
4.99%	10/15/251		544,322		529,353
Potters Borrower LP,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
5.01%	12/14/271		2,483,715		2,479,580
Tronox Finance LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/10/281		116,923		115,462
3.26%	03/10/281		576,923		569,715
					18,138,586

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 86

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Real Estate Investment Trust (REIT) — 0.87%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%	07/17/281,12	$	1,614,528	$	1,574,771
Avison Young Canada, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.75%)
6.05%	01/31/261		498,319		496,451
6.21%	01/31/261		993,969		990,241
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.81%	02/17/281		1,239,370		1,217,489
					4,278,952
Retail — 3.94%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
5.50%	04/20/281		1,500,000		1,522,500
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/281		2,225,615		2,192,231
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
2.21%	11/19/261,2		2,113,226		2,071,617
BCPE Empire Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.46%	06/11/261		1,219,517		1,204,785
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	03/31/281		1,240,625		1,223,567
Curium Bidco SARL,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	07/09/261		984,849		983,002
(LIBOR plus 4.25%)
5.00%	12/02/271		987,500		980,099
Harbor Freight Tools USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.25%	10/19/271		496,231		486,773
LSF9 Atlantis Holdings, LLC,
Term Loan B, 1st Lien
(SOFR plus 7.25%)
8.00%	03/29/291		400,000		394,250
Pacific Bells LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.00%	11/10/281,13		493,608		489,906

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Retail (continued)
SRS Distribution, Inc.,
Term Loan B
(LIBOR plus 3.50%)
4.00%	06/02/281	$	1,875	$	1,855
4.02%	06/02/281		744,375		736,313
Term Loan B, 1st Lien
(SOFR plus 3.50%)
4.00%	06/02/281		750,000		742,031
Tacala Investment Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	02/05/271		1,180,578		1,166,706
Term Loan B, 2nd Lien
(LIBOR plus 7.50%)
8.25%	02/04/281		735,000		726,731
U.S. Anesthesia Partners, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
4.75%	09/22/281		1,492,500		1,484,761
Whatabrands LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	08/03/281		1,995,000		1,973,604
Woof Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.68%	12/21/271		997,481		991,247
					19,371,978
Services — 8.17%
Adtalem Global Education, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.25%	08/12/281		773,538		771,968
Allied Universal Holdco LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%	05/12/281		1,990,000		1,962,100
Alterra Mountain Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	08/17/281		1,990,000		1,977,563
Amentum Government Services Holdings, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.78%	02/15/291		1,456,311		1,447,208
(SOFR plus 4.50%)
4.50%	02/15/291		1,293,689		1,285,604
Aramark Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/11/251		1,865,325		1,834,547
ArchKey Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 5.25%)
6.00%	06/29/281		497,500		493,769

See accompanying Notes to Financial Statements.

87 / Annual Report March 2022

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services (continued)
Arcis Golf LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.25%)
4.75%	11/24/281	$	997,500	$	997,500
CCRR Parent, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.76%	03/06/281		2,317,108		2,309,867
Confluent Medical Technologies, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
4.25%	02/16/291		1,250,000		1,234,375
CoreLogic, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	06/02/281		2,238,750		2,217,773
Covanta Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.00%	11/30/281		930,314		927,406
Term Loan C, 1st Lien
(LIBOR plus 2.50%)
3.00%	11/30/281		69,686		69,469
Dodge Data & Analytics, LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
5.55%	02/23/291		1,000,000		982,500
Hornblower Sub LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	04/27/251		1,495,735		1,344,666
Lakeland Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 13.25%)
13.25%	09/25/271,6,8		557,605		395,900
Lakeland Tours LLC,
Term Loan, 1st Lien
(LIBOR plus 7.50%)
8.75%	09/25/251,6,8		490,454		444,437
Mavenir Systems, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.25%	08/18/281		650,000		647,969
Med Parentco LP,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
4.71%	08/31/261		1,465,934		1,453,107
NAB Holdings, LLC,
Term Loan B
(SOFR plus 3.00%)
3.80%	11/23/281		1,496,250		1,479,649
Olympus Water US Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.81%	11/09/281		1,496,250		1,460,250

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services (continued)
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.26%	03/06/251	$	148,104	$	138,514
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.26%	03/06/261,6,8		880,000		840,400
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.25%	12/15/281		2,500,000		2,473,175
Safe Fleet Holdings, LLC,
Term Loan, 1st Lien
(SOFR plus 3.75%)
4.27%	02/23/291		1,000,000		989,165
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
2.21%	04/16/251		2,411		2,377
Technimark Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.25%	07/07/281		2,977,500		2,920,421
Trans Union LLC,
Term Loan B6
(LIBOR plus 2.25%)
2.75%	12/01/281		434,234		431,700
TruGreen LP,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	11/02/271		997,475		992,906
University Support Services, LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	02/10/291		1,843,148		1,823,334
Vaco Holdings, LLC,
Term Loan B
(SOFR plus 5.00%)
5.75%	01/19/291		1,995,000		1,986,272
Verscend Holding Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.46%	08/27/251		992,500		991,259
WW International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	04/13/281		945,000		865,464
					40,192,614
Transportation — 1.98%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.20%	01/29/271		268,356		251,919

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 88

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Transportation (continued)
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%	09/01/271	$	2,350,000	$	2,279,500
Kestrel Bidco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
4.00%	12/11/261		1,483,661		1,433,899
Ozark Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%	12/16/271		1,984,576		1,968,759
United Air,
Term Loan B, 1st Lien
(LIBOR plus 5.25%)
6.25%	06/21/271		2,000,000		2,081,940
United Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	04/21/281		1,732,500		1,715,054
					9,731,071
Total Bank Loans
(Cost $439,957,756)					435,662,250
CORPORATES — 6.16%*
Banking — 0.61%
Bank of America Corp.
(MTN)
(LIBOR USD 3-Month plus 0.65%)
1.17%	12/01/261		2,600,000		2,504,511
HSBC Holdings PLC
(United Kingdom)
(LIBOR USD 3-Month plus 1.00%)
1.49%	05/18/241,2		500,000		500,954
					3,005,465
Communications — 0.44%
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/2614		4,353,000		1,708,553
Intelsat Jackson Holdings SA,
Class B
8.50%	10/15/242,6,8,14,15,16		1,000,000		—
National CineMedia LLC
5.88%	04/15/2814		500,000		437,695
					2,146,248
Consumer Discretionary — 0.32%
Magallanes, Inc.
3.43%	03/15/2414		1,570,000		1,578,681
Energy — 0.40%
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/2614		1,500,000		1,476,181

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	09/01/27	$	500,000	$	502,692
					1,978,873
Finance — 0.66%
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.55%)
1.05%	08/25/361		1,800,000		1,526,665
Goldman Sachs Group, Inc. (The)
3.27%	09/29/2517		980,000		979,513
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/232,14		750,000		755,696
					3,261,874
Food — 0.42%
Pilgrim’s Pride Corp.
3.50%	03/01/3214		2,350,000		2,056,720
Health Care — 1.55%
180 Medical, Inc.
3.88%	10/15/2914		1,000,000		947,500
Centene Corp.
3.00%	10/15/30		1,400,000		1,288,014
Cigna Corp.
(LIBOR USD 3-Month plus 0.89%)
1.13%	07/15/231		2,700,000		2,720,161
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/282,14		650,000		379,048
Molina Healthcare, Inc.
3.88%	11/15/3014		500,000		483,592
Prime Healthcare Services, Inc.
7.25%	11/01/2514		1,250,000		1,284,375
Tenet Healthcare Corp.
4.63%	09/01/2414		500,000		504,039
					7,606,729
Industrials — 0.92%
Artera Services LLC
9.03%	12/04/2514		880,000		880,333
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/361		850,000		732,191
OT Merger Corp.
7.88%	10/15/2914		1,000,000		880,647
Sealed Air Corp.
5.25%	04/01/2314		1,500,000		1,520,625
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%	04/15/262,14		250,000		249,100
Trident TPI Holdings, Inc.
9.25%	08/01/2414		250,000		251,955
					4,514,851

See accompanying Notes to Financial Statements.

89 / Annual Report March 2022

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity   Date			Principal   Amount		Value
CORPORATES (continued)
Insurance — 0.40%
Teachers Insurance & Annuity Association of
America
4.38%		09/15/54	14,17	$	2,000,000	$	1,993,402
Materials — 0.09%
EverArc Escrow SARL
(Luxembourg)
5.00%		10/30/29	2,14		500,000		457,813
Retail — 0.35%
Michaels Cos., Inc. (The)
7.88%		05/01/29	14		2,000,000		1,714,990
Total Corporates
(Cost $32,975,749)							30,315,646
Total Bonds — 94.69%
(Cost $472,933,505)							465,977,896
Issues				Shares		Value
COMMON STOCK — 0.06%
Communications — 0.06%
Intelsat Emergence SA2,6,8,15
(Luxembourg)					9,662		289,860
Total Common Stock
(Cost $323,677)
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A2,6,8,15
(Luxembourg)					1,011		—
Intelsat Jackson Holdings SA, Series B2,6,8,15
(Luxembourg)					1,011		—
							—
Total Rights
(Cost $–)							—
WARRANT — 0.01%
Entertainment — 0.01%
Cineworld Group PLC2,15
(United Kingdom)					229,579		49,875
Total Warrant
(Cost $–)
Issues	Maturity Date			Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 6.95%
Money Market Funds — 2.19%
Dreyfus Government Cash Management Fund
0.19%18					4,920,000		4,920,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%18					155,915		155,915

Issues	Maturity   Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%18				5,721,000	$	5,721,000
						10,796,915
U.S. Treasury Bills — 4.76%
U.S. Treasury Bills
0.18%19		06/23/22	$	3,445,000		3,441,307
0.37%19		07/28/22		20,000,000		19,950,833
						23,392,140
Total Short-Term Investments
(Cost $34,216,585)						34,189,055
Total Investments - 101.71%
(Cost $507,473,767)						500,506,686
Net unrealized depreciation on unfunded commitments - (0.01)%						(28,828	)
Liabilities in Excess of Other Assets - (1.70)%						(8,368,829	)
Net Assets - 100.00%					$	492,109,029

¹ Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 $183,507, at an interest rate of 4.00% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁴ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $45,711, at an interest rate of 4.00% and a maturity of September 15, 2028. The investment is not accruing an unused commitment fee.

⁵ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $310,363, at an interest rate of 4.00% and a maturity of June 09, 2028. The investment is not accruing an unused commitment fee.

⁶ Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

⁷ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $280,630, at an interest rate of 0.50% and a maturity of April 01, 2029. The investment is not accruing an unused commitment fee.

⁸ Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,593,377, which is 0.53% of total net assets.

⁹ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $312,128, at an interest rate of 3.75% 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 $287,319, at an interest rate of 0.00% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 0.63% per annum.

¹¹ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $340,529, 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.

¹² Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $368,066, at an interest rate of 1.88% and a maturity of July 17, 2028. The investment is not accruing an unused commitment fee.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 90

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2022

¹³ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $5,116, at an interest rate of 4.50% and a maturity of November 10, 2028. The investment is accruing an unused commitment fee of 1.00% per annum.

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 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.

¹⁸ Represents the current yield as of March 31, 2022.

¹⁹ Represents annualized yield at date of purchase.

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

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

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
EUR 646,000	USD 711,480	Goldman Sachs International		04/08/22	$	7,462
USD 732,098	EUR 646,000	Goldman Sachs International		04/08/22		13,157
						20,619
USD 659,142	EUR 597,000	Goldman Sachs International		07/08/22		(7,881)
NET UNREALIZED APPRECIATION					$	12,738

See accompanying Notes to Financial Statements.

91 / Annual Report March 2022

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 93.24%
BANK LOANS — 11.69%*
Communications — 2.45%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/15/271	$	909,075	$	886,280
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.65%	07/17/251		5,120,835		5,050,449
Diamond Sports Group, LLC,
Term Loan, 2nd Lien
(SOFR plus 3.25%)
3.54%	08/24/261		5,498,790		1,905,688
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/271		706,700		706,838
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.81%	05/01/281		3,762,000		3,711,834
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%	05/31/251		1,235,675		1,143,730
GTT Communications, Inc.,
Term Loan B, 1st Lien
(PRIME plus 3.75%)
7.25%	05/30/251		1,082,463		891,208
MacDonald Dettwiler & Associates Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	10/04/241		1,890,818		1,865,320
National CineMedia LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	06/20/251		762,996		691,466
NEP/NCP Holdco, Inc.,
Term Loan, 2nd Lien
(LIBOR plus 7.00%)
7.46%	10/19/261		875,000		848,969
					17,701,782
Consumer Discretionary — 1.26%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
3.88%	12/23/271		1,905,750		1,876,125
Landry’s,
Term Loan, 1st Lien
(LIBOR plus 12.00%)
13.00%	10/04/231		56,625		60,589
Naked Juice, LLC,
Term Loan
(SOFR plus 6.00%)
6.75%	01/24/301		1,741,000		1,741,000

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	02/01/281	$	3,742,633	$	3,723,920
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	03/31/281		1,712,063		1,673,234
					9,074,868
Entertainment — 0.79%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%	02/28/251		5,143,500		3,983,204
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 7.00%)
7.00%	05/23/241		1,479,284		1,751,110
					5,734,314
Finance — 0.14%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
4.21%	02/27/261,2		1,074,064		1,048,893
Food — 0.50%
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.21%	07/20/251		3,808,029		3,598,587
Health Care — 1.47%
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.98%	08/01/271		3,641,143		3,589,657
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/281		557,495		523,756
eResearchTechnology, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	02/04/271		859,070		857,193
ICON Luxembourg SARL,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/281		1,327,542		1,322,982
Indigo Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/281		330,758		329,622

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 92

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Phoenix Newco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.00%	11/15/281	$	4,000,000	$	3,975,720
					10,598,930
Industrials — 2.66%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
2.07%	07/01/261		2,976,676		2,939,929
Charter Next generation, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	12/01/271		2,593,800		2,582,854
Clydesdale Acquisition Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
4.25%	03/30/291,3		2,200,000		2,167,000
Liqui-Box Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	02/26/271		1,473,750		1,394,904
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.76%	08/03/261		2,301,406		2,226,610
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	11/03/251		2,593,866		2,542,637
SPX FLOW, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
5.00%	03/16/291		492,500		480,392
Titan Acquisition, Ltd.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.35%	03/28/251		913,588		895,809
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	05/30/241		1,610,943		1,440,280
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.71%	05/30/251		918,850		903,919
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	08/12/241		1,708,257		1,639,926
					19,214,260

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology — 0.89%
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	12/16/251	$	1,039,500	$	1,033,466
RealPage, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	04/24/281		1,044,750		1,034,302
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	03/04/281		2,722,500		2,706,424
TierPoint LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	05/05/261		1,699,879		1,686,602
					6,460,794
Insurance — 0.27%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	02/15/271		1,974,811		1,950,955
Real Estate Investment Trust (REIT) — 0.17%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%	07/17/281,4		1,271,441		1,240,132
Retail — 0.23%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
5.50%	04/20/281		430,000		436,450
Tacala Investment Corp.,
Term Loan B, 2nd Lien
(LIBOR plus 7.50%)
8.25%	02/04/281		1,249,500		1,235,443
					1,671,893
Services — 0.32%
PowerTeam Services LLC,
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.26%	03/06/261,3,5		2,402,000		2,293,910
Transportation — 0.54%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%	09/01/271		4,000,000		3,880,000
Total Bank Loans
(Cost $86,208,523)					84,469,318

See accompanying Notes to Financial Statements.

93 / Annual Report March 2022

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES — 81.55%*
Automotive — 0.79%
Ford Motor Credit Co. LLC
2.90%	02/16/28	$	6,347,000	$	5,740,015
Banking — 0.92%
Bank of America Corp.,
Series RR
4.38%6,7			2,040,000		1,922,232
Bank of New York Mellon Corp. (The),
Series I
3.75%6,7			2,515,000		2,313,800
U.S. Bancorp
3.70%6,7			2,695,000		2,445,270
					6,681,302
Communications — 19.55%
Altice France SA
(France)
5.13%	01/15/292,8		1,628,000		1,463,491
5.50%	10/15/292,8		5,934,000		5,336,611
AT&T, Inc.
3.55%	09/15/55		3,879,000		3,411,342
4.50%	05/15/35		4,043,000		4,258,979
Cable One, Inc.
4.00%	11/15/308		5,301,000		4,903,425
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%	02/01/318		644,000		587,690
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.25%	01/15/348		2,905,000		2,527,350
4.50%	06/01/338		500,000		449,170
4.75%	02/01/328		4,533,000		4,228,744
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%	04/01/53		1,200,000		1,211,373
CommScope, Inc.
4.75%	09/01/298		7,200,000		6,678,000
CSC Holdings LLC
3.38%	02/15/318		4,600,000		3,881,834
4.13%	12/01/308		3,100,000		2,733,641
4.50%	11/15/318		8,900,000		7,984,492
6.50%	02/01/298		2,141,000		2,162,132
Diamond Sports Group LLC/Diamond Sports Finance Co.
6.63%	08/15/278		5,004,000		1,043,084
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/268		6,975,000		2,737,687
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%	08/15/278		3,859,000		3,807,770
DISH DBS Corp.
5.25%	12/01/268		3,396,000		3,241,057
7.38%	07/01/28		2,552,000		2,424,784
DISH Network Corp.
3.38%	08/15/26		5,120,000		4,618,240
Gray Escrow II, Inc.
5.38%	11/15/318		4,546,000		4,350,763

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/302,8		$	5,643,000	$	5,643,193
Intelsat Jackson Holdings SA, Class B
8.50%		10/15/242,3,5,8,9,10			2,853,000		—
Intelsat Jackson Holdings SA, Class B
(Luxembourg)
5.50%		08/01/232,3,5,9,10			6,350,000		—
9.75%		07/15/252,3,5,8,9,10			4,051,000		—
Level 3 Financing, Inc.
3.63%		01/15/298			4,850,000		4,248,365
3.75%		07/15/298			8,380,000		7,437,166
3.88%		11/15/298			3,000,000		2,766,315
Lumen Technologies, Inc.
4.00%		02/15/278			1,956,000		1,825,134
5.38%		06/15/298			6,808,000		6,072,463
National CineMedia LLC
5.75%		08/15/26			4,896,000		3,531,240
5.88%		04/15/288			3,986,000		3,489,305
Outfront Media Capital LLC/Outfront Media Capital Corp.
4.63%		03/15/308			445,000		421,081
Scripps Escrow II, Inc.
5.38%		01/15/318			3,358,000		3,223,680
SES GLOBAL Americas Holdings GP
5.30%		03/25/448			2,516,000		2,447,781
Sinclair Television Group, Inc.
4.13%		12/01/308			6,970,000		6,227,695
Sirius XM Radio, Inc.
3.88%		09/01/318			5,091,000		4,641,337
5.50%		07/01/298			362,000		367,572
Sprint Corp.
7.88%		09/15/23			100,000		106,374
T-Mobile USA, Inc.
2.63%		02/15/29			777,000		711,134
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%		07/15/312,8			3,613,000		3,410,654
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/322,8			4,184,000		3,919,637
Zayo Group Holdings, Inc.
4.00%		03/01/278			7,333,000		6,761,173
							141,292,958
Consumer Discretionary — 2.68%
BAT Capital Corp.
5.28%		04/02/50			1,763,000		1,750,444
Everi Holdings, Inc.
5.00%		07/15/298			2,029,000		1,927,793
Magallanes, Inc.
5.14%		03/15/528			7,500,000		7,682,844
Primo Water Holdings, Inc.
4.38%		04/30/29	8		2,942,000		2,666,614

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 94

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Spectrum Brands, Inc.
5.50%	07/15/308	$	1,634,000	$	1,570,928
Triton Water Holdings, Inc.
6.25%	04/01/298		4,366,000		3,776,590
					19,375,213
Electric — 0.57%
FirstEnergy Corp.,
Series B
2.25%	09/01/30		225,000		199,775
FirstEnergy Corp.,
Series C
5.35%	07/15/47		148,000		155,594
Jersey Central Power & Light Co.
2.75%	03/01/328		800,000		745,976
Pike Corp.
5.50%	09/01/288		3,157,000		2,980,934
					4,082,279
Energy — 8.60%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/288		5,267,000		5,207,746
Energy Transfer LP
5.00%	05/15/50		840,000		852,468
5.35%	05/15/45		820,000		847,951
5.40%	10/01/47		500,000		523,380
Energy Transfer LP,
Series B
6.63%6,7			6,154,000		5,530,907
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		4,247,000		4,201,897
Hess Corp.
5.60%	02/15/41		1,047,000		1,179,226
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/268		5,270,000		5,186,315
Occidental Petroleum Corp.
0.00%	10/10/3611		19,685,000		10,598,404
4.40%	04/15/46		1,000,000		951,550
4.40%	08/15/49		4,300,000		4,061,885
Petroleos Mexicanos
(Mexico)
6.75%	09/21/472		524,000		426,913
7.69%	01/23/502		425,000		371,960
Rockies Express Pipeline LLC
4.80%	05/15/308		650,000		622,375
6.88%	04/15/408		2,984,000		2,961,620
Ruby Pipeline LLC
8.00%	04/01/223,5,8		4,309,545		4,007,877
SM Energy Co.
6.50%	07/15/28		1,907,000		1,970,421
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		2,389,000		2,353,165
Transocean Sentry Ltd.
(Cayman Islands)
5.38%	05/15/232,8		1,521,348		1,483,314

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	04/01/26	$	1,289,000	$	1,302,767
6.88%	09/01/27		1,385,000		1,392,458
Valaris Ltd.,
Series 1145, PIK
(Bermuda)
8.25%	04/30/282,12		111,000		115,153
Venture Global Calcasieu Pass LLC
4.13%	08/15/318		6,089,000		5,986,506
					62,136,258
Entertainment — 0.71%
Cinemark USA, Inc.
5.25%	07/15/288		2,980,000		2,792,260
WMG Acquisition Corp.
3.75%	12/01/298		2,502,000		2,351,330
					5,143,590
Finance — 1.66%
American Express Co.,
Series D
3.55%6,7			2,150,000		1,953,745
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/272,8		2,083,000		1,843,725
Charles Schwab Corp. (The)
5.00%6,7			2,430,000		2,427,084
Citigroup, Inc.
3.79%	03/17/337		1,950,000		1,939,387
Jane Street Group/JSG Finance, Inc.
4.50%	11/15/298		3,244,000		3,077,692
JPMorgan Chase & Co.,
Series KK
3.65%6,7			805,000		754,687
					11,996,320
Food — 6.93%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%	11/15/288		2,330,000		2,153,770
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/312,8		4,491,000		4,153,205
4.38%	02/02/522,8		8,350,000		7,280,252
5.50%	01/15/302,8		5,250,000		5,378,205
Kraft Heinz Foods Co.
4.25%	03/01/31		850,000		877,708
4.38%	06/01/46		1,643,000		1,630,791
5.00%	06/04/42		700,000		748,545
5.20%	07/15/45		6,650,000		7,206,937
Lamb Weston Holdings, Inc.
4.13%	01/31/308		1,150,000		1,077,263
Nathan’s Famous, Inc.
6.63%	11/01/258		512,000		517,120

See accompanying Notes to Financial Statements.

95 / Annual Report March 2022

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food (continued)
Pilgrim’s Pride Corp.
3.50%	03/01/328	$	8,331,000	$	7,291,292
Post Holdings, Inc.
4.50%	09/15/318		5,941,000		5,270,409
4.63%	04/15/308		3,350,000		3,022,035
5.50%	12/15/298		1,565,000		1,508,237
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%	03/01/298		2,077,000		1,949,926
					50,065,695
Gaming — 1.32%
Boyd Gaming Corp.
4.75%	06/15/318		1,619,000		1,561,280
Caesars Entertainment, Inc.
4.63%	10/15/298		3,037,000		2,850,863
CDI Escrow Issuer, Inc.
5.75%	04/01/308		3,600,000		3,641,076
Penn National Gaming, Inc.
4.13%	07/01/298		1,665,000		1,494,337
					9,547,556
Health Care — 11.75%
180 Medical, Inc.
3.88%	10/15/298		3,775,000		3,576,812
Bausch Health Cos., Inc.
(Canada)
5.25%	02/15/312,8		4,996,000		3,895,381
Cano Health LLC
6.25%	10/01/288		2,192,000		2,108,496
Centene Corp.
2.45%	07/15/28		7,675,000		7,019,001
3.00%	10/15/30		140,000		128,802
Embecta Corp.
6.75%	02/15/308		4,500,000		4,519,430
Encompass Health Corp.
4.63%	04/01/31		4,106,000		3,857,941
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/282,8		11,836,000		6,902,163
9.50%	07/31/272,8		542,000		477,316
Grifols Escrow Issuer SA
(Spain)
4.75%	10/15/282,8		4,140,000		3,925,320
HCA, Inc.
4.63%	03/15/528		4,000,000		4,055,531
5.63%	09/01/28		1,088,000		1,177,760
5.88%	02/01/29		5,249,000		5,773,900
7.69%	06/15/25		1,650,000		1,823,250
HCA, Inc.
(MTN)
7.58%	09/15/25		1,650,000		1,829,811
ModivCare Escrow Issuer, Inc.
5.00%	10/01/298		5,639,000		5,261,602
Molina Healthcare, Inc.
3.88%	11/15/308		7,845,000		7,587,565

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
3.88%	05/15/328	$	3,213,000	$	3,062,343
4.38%	06/15/288		6,079,000		6,018,171
Mozart Debt Merger Sub, Inc.
3.88%	04/01/298		1,670,000		1,546,357
Option Care Health, Inc.
4.38%	10/31/298		1,637,000		1,543,403
Owens & Minor, Inc.
6.63%	04/01/308		2,056,000		2,116,469
Par Pharmaceutical, Inc.
7.50%	04/01/278		244,000		228,477
Prime Healthcare Services, Inc.
7.25%	11/01/258		3,833,000		3,938,407
Teleflex, Inc.
4.25%	06/01/288		2,609,000		2,545,432
					84,919,140
Industrials — 4.67%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/272,8		7,861,000		7,296,743
Artera Services LLC
9.03%	12/04/258		3,484,000		3,485,318
Ball Corp.
3.13%	09/15/31		3,091,000		2,761,692
Clydesdale Acquisition Holdings, Inc.
6.63%	04/15/298		2,000,000		2,022,500
Energizer Holdings, Inc.
4.38%	03/31/298		4,150,000		3,643,078
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/361		1,300,000		1,119,822
Graham Packaging Co., Inc.
7.13%	08/15/288		3,286,000		3,000,072
OT Merger Corp.
7.88%	10/15/298		5,907,000		5,201,981
Ritchie Bros Holdings, Inc.
4.75%	12/15/318		1,412,000		1,378,183
TransDigm, Inc.
4.63%	01/15/29		1,645,000		1,540,539
Trivium Packaging Finance BV
(Netherlands)
8.50%	08/15/272,8		2,295,000		2,306,475
					33,756,403
Information Technology — 1.48%
Booz Allen Hamilton, Inc.
4.00%	07/01/298		2,816,000		2,752,556
Clarivate Science Holdings Corp.
3.88%	07/01/288		500,000		476,500
MSCI, Inc.
3.63%	09/01/308		2,020,000		1,897,790
NCR Corp.
5.13%	04/15/298		2,403,000		2,313,727
5.25%	10/01/308		1,588,000		1,508,092

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 96

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Information Technology (continued)
Science Applications International Corp.
4.88%	04/01/288	$	1,795,000	$	1,780,458
					10,729,123
Insurance — 2.27%
Acrisure LLC/Acrisure Finance, Inc.
4.25%	02/15/298		4,246,000		3,863,024
6.00%	08/01/298		2,619,000		2,426,765
Alliant Holdings Intermediate, LLC/Alliant Holdings Co.-Issuer
5.88%	11/01/298		1,810,000		1,748,912
AmWINS Group, Inc.
4.88%	06/30/298		3,261,000		3,117,926
AssuredPartners, Inc.
5.63%	01/15/298		1,630,000		1,503,390
Berkshire Hathaway Finance Corp.
3.85%	03/15/52		1,950,000		1,995,385
HUB International Ltd.
5.63%	12/01/298		1,810,000		1,765,737
					16,421,139
Materials — 4.59%
Allegheny Technologies, Inc.
5.13%	10/01/31		1,968,000		1,852,380
ASP Unifrax Holdings, Inc.
5.25%	09/30/288		6,050,000		5,627,892
7.50%	09/30/298		3,409,000		3,039,197
Axalta Coating Systems, LLC
3.38%	02/15/298		4,340,000		3,819,803
Carpenter Technology Corp.
7.63%	03/15/30		2,914,000		2,983,604
Clearwater Paper Corp.
4.75%	08/15/288		2,671,000		2,482,834
EverArc Escrow SARL
(Luxembourg)
5.00%	10/30/292,8		6,251,000		5,723,572
Herens Holdco SARL
(Luxembourg)
4.75%	05/15/282,8		3,474,000		3,126,989
SCIL IV LLC/SCIL USA Holdings LLC
5.38%	11/01/268		1,189,000		1,095,472
Valvoline, Inc.
3.63%	06/15/318		2,449,000		2,120,075
WR Grace Holdings, LLC
5.63%	08/15/298		1,360,000		1,275,136
					33,146,954
Real Estate Investment Trust (REIT) — 2.19%
American Assets Trust LP
3.38%	02/01/31		4,056,000		3,816,872
CyrusOne LP/CyrusOne Finance Corp.
1.45%	01/22/27		1,750,000		2,017,007
2.15%	11/01/30		2,178,000		2,176,007
GLP Capital LP/GLP Financing II, Inc.
5.75%	06/01/28		1,650,000		1,778,524
Iron Mountain Information Management Services, Inc.
5.00%	07/15/328		1,926,000		1,812,462

Issues	Maturity Date	Principal     Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Iron Mountain, Inc.
4.50%	02/15/318	$	1,257,000	$	1,165,616
MGM Growth Properties Operating Partnership LP/MGP
Finance Co.-Issuer, Inc.
4.63%	06/15/258		2,990,000		3,027,901
					15,794,389
Retail — 3.85%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%	10/15/302,8		3,000,000		2,713,920
Asbury Automotive Group, Inc.
5.00%	02/15/328		2,843,000		2,648,399
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%	01/15/308		7,419,000		6,844,028
FirstCash, Inc.
4.63%	09/01/288		1,250,000		1,165,000
5.63%	01/01/308		4,168,000		4,010,171
Michaels Cos., Inc. (The)
7.88%	05/01/298		7,031,000		6,029,047
Sonic Automotive, Inc.
4.88%	11/15/318		4,973,000		4,437,938
					27,848,503
Services — 5.73%
Adtalem Global Education, Inc.
5.50%	03/01/288		3,471,000		3,362,253
Allied Universal Holdco LLC/Allied Universal Finance Corp./ Atlas Luxco 4 SARL
(Canada)
4.63%	06/01/282,8		2,908,000		2,734,234
Carriage Services, Inc.
4.25%	05/15/298		2,100,000		1,962,564
Gartner, Inc.
3.63%	06/15/298		2,071,000		1,963,020
GFL Environmental, Inc.
(Canada)
4.00%	08/01/282,8		3,600,000		3,298,500
4.38%	08/15/292,8		2,795,000		2,587,038
HealthEquity, Inc.
4.50%	10/01/298		2,518,000		2,401,031
Hertz Corp. (The)
4.63%	12/01/268		976,000		913,995
5.00%	12/01/298		1,864,000		1,699,502
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%	08/31/278		5,503,000		5,053,147
Rent-A-Center, Inc.
6.38%	02/15/298		5,651,000		5,190,104
WASH Multifamily Acquisition, Inc.
5.75%	04/15/268		1,594,000		1,603,813
Waste Pro USA, Inc.
5.50%	02/15/268		7,080,000		6,698,990
WW International, Inc.
4.50%	04/15/298		2,410,000		1,960,161
					41,428,352

See accompanying Notes to Financial Statements.

97 / Annual Report March 2022

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Transportation — 1.29%
American Airlines, Inc./AAdvantage Loyalty IP Ltd. (Canada)
5.75%	04/20/292,8	$	2,658,000	$	2,658,000
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%	04/19/22		100,147		100,149
Delta Air Lines, Inc./SkyMiles IP Ltd.
(Canada)
4.75%	10/20/282,8		1,880,000		1,897,679
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd.
6.50%	06/20/278		2,211,000		2,304,613
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		805,321		810,159
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		1,457,507		1,520,360
					9,290,960
Total Corporates
(Cost $616,595,583)					589,396,149
Total Bonds — 93.24%
(Cost $702,804,106)					673,865,467
Issues		Shares		Value
COMMON STOCK — 1.09%
Communications — 0.52%
Intelsat Emergence SA2,3,5,9
(Luxembourg)			125,435		3,763,050
Electric — 0.00%
Homer City Holdings LLC†,3,5,9,10,13			502,908		—
Energy — 0.11%
Valaris Ltd.9			15,493		805,171
Transportation — 0.46%
Hertz Global Holdings, Inc.9			150,000		3,322,500
Total Common Stock
(Cost $33,622,933)					7,890,721
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series
A2,3,5,9
(Luxembourg)			13,135		—
Intelsat Jackson Holdings SA, Series
B2,3,5,9
(Luxembourg)			13,135		—
					—
Total Rights
(Cost $–)					—

Issues		Shares		Value
WARRANT — 0.01%
Communications — 0.00%
Intelsat Jackson Holdings SA,2,3,5,9
(Luxembourg)			16	$	51
Entertainment — 0.01%
Cineworld Group PLC2,9
(United Kingdom)			288,340		62,641
Total Warrant
(Cost $60)					62,692
Issues	Maturity     Date	Principal     Amount/Shares		Value
SHORT-TERM INVESTMENTS — 4.33%
Money Market Funds — 4.33%
Dreyfus Government Cash Management Fund
0.19%14			9,176,000		9,176,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%14			49,239		49,239
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%14			22,067,000		22,067,000
Total Short-Term Investments
(Cost $31,292,239)					31,292,239
Total Investments - 98.67%
(Cost $767,719,338)					713,111,119
Net unrealized depreciation on unfunded commitments - 0.00%					(5,832	)
Cash and Other Assets, Less Liabilities - 1.33%					9,603,925
Net Assets - 100.00%				$	722,709,212

¹ Floating rate security. The rate disclosed was in effect at March 31, 2022.

² Foreign denominated security issued by foreign domiciled entity.

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

⁴ Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $289,852, at an interest rate of 1.88% and a maturity of July 17, 2028. The investment is not accruing an unused commitment fee.

⁵ Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $10,064,888, which is 1.39% of total net assets.

⁶ Perpetual security with no stated maturity date.

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

⁹ 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 March 31, 2022.

¹² 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.

¹³ Affiliated investment.

¹⁴ Represents the current yield as of March 31, 2022.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 98

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

^† 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.

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.

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PIK): Payment In Kind

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement   Date	Unrealized   Appreciation     (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
EUR 2,940,000	USD 3,236,181	Goldman Sachs International	04/08/22	$	35,784
USD 3,331,608	EUR 2,940,000	Goldman Sachs International	04/08/22		59,643
					95,427
USD 3,138,928	EUR 2,843,000	Goldman Sachs International	07/08/22		(37,530)
NET UNREALIZED APPRECIATION				$	57,897

Description	Number of   Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		167		06/21/22	$	(22,623,281)	$	794,318	$	794,318
U.S. Treasury Ultra Bond		144		06/21/22		(25,506,000)		813,344		813,344
U.S. Treasury Five-Year Note		55		06/30/22		(6,307,813)		103,874		103,874
TOTAL FUTURES CONTRACTS					$	(54,437,094)	$	1,711,536	$	1,711,536

Reference Obligation/Index	Financing Rate Paid by the Fund	Payment Frequency		Implied Credit Spread at 03/31/221	Counterparty	Expiration Date	Notional Amount (000’s)2		Value3		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4
1011778 BC ULC/New Red					Credit Suisse
Finance, Inc., 4.00%, due					First Boston
10/15/305	5.00%		3 Months	120	International	06/20/23	$	1,985	$	94,040	$	79,698	$	14,342
Berry Global, Inc., 5.63%, due					Credit Suisse  First Boston
07/15/27	5.00%		3 Months	175	International	12/20/23		3,995		222,693		211,335		11,358
TOTAL									$	316,733	$	291,033	$	25,700

¹ An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

² The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³ The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

See accompanying Notes to Financial Statements.

99 / Annual Report March 2022

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2022

⁴ If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 100

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 103.59%
ASSET-BACKED SECURITIES — 6.83%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.56%	12/27/441,2	$	535,209	$	531,889
AIG CLO Ltd.,
Series 2019-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.86%	10/25/331,2,3		2,200,000		2,173,050
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%	10/16/281,2,3		397,289		396,546
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.05%	01/20/281,2,3		1,004,400		999,036
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
1.01%	01/25/351,2		223,629		222,338
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.70%	02/25/352		650,000		654,032
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
1.30%	02/25/302		11,078		11,083
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.26%	10/27/362		1,030,000		1,023,583
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.39%	10/25/341,2,3		2,000,000		1,981,914
CIT Education Loan Trust,
Series 2007-1, Class A
(LIBOR USD 3-Month plus 0.09%)
1.06%	03/25/421,2		198,765		190,478
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.16%	03/15/521,4		3,566,330		149,192
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%	04/15/291,2,3		1,711,707		1,702,173
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.91%	04/25/352		153,942		153,382

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3	$	388,902	$	383,213
GPMT Ltd.,
Series 2021-FL4, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.70%)
2.15%	12/15/361,2,3		2,380,000		2,356,505
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.55%	05/25/341,2		483,015		483,571
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		369,052		382,813
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/731		697,807		707,696
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.48%	07/15/271,2,3		19,070		19,040
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
1.29%	10/20/271,2,3		733,094		730,337
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
0.97%	06/25/312		564,957		554,325
Navient Student Loan Trust,
Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
1.08%	03/25/832		1,503,282		1,478,257
Navient Student Loan Trust,
Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
1.08%	03/25/832		1,343,644		1,321,298
Navient Student Loan Trust,
Series 2016-2A, Class A3
(LIBOR USD 1-Month plus 1.50%)
1.96%	06/25/651,2		1,640,000		1,657,866
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.41%	11/25/481,2		1,370,000		1,364,975
Neuberger Berman CLO XX Ltd.,
Series 2015-20A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
1.40%	07/15/341,2,3		2,140,000		2,117,209

See accompanying Notes to Financial Statements.

101 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
OCP CLO Ltd.,
Series 2020-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.40%	10/20/341,2,3	$	1,850,000	$	1,831,439
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
1.40%	07/15/361,2,3		2,000,000		1,983,350
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.33%	04/20/341,2,3		1,875,000		1,850,625
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.84%	10/15/321,2,3		2,100,000		2,078,937
Rockford Tower CLO Ltd.,
Series 2019-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.10%)
1.58%	08/20/321,2,3		2,000,000		1,983,596
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/375,6		2,162,834		2,041,174
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.80%	08/15/312		107,526		100,063
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
2.43%	12/15/322		221,967		224,785
SLM Student Loan Trust,
Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
0.73%	07/25/392		141,280		135,184
SLM Student Loan Trust,
Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
0.42%	01/25/412		961,295		921,242
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
1.01%	04/25/232		3,247,124		3,192,275
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	01/25/832		185,000		176,020
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	04/26/832		185,000		170,362

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%)
2.11%	04/25/732	$	185,000	$	184,101
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/25/732		2,235,000		2,232,239
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.36%	07/25/232		1,704,812		1,684,574
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		185,000		180,991
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		185,000		184,079
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/752		185,000		185,409
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232		588,075		588,103
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/832		1,885,000		1,893,438
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
1.21%	01/25/451,2		2,612,300		2,587,906
SLM Student Loan Trust,
Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
1.66%	10/25/342		471,264		473,222
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
1.11%	05/26/262		567,239		555,176
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/461		446,445		474,243
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2		500,000		460,669
Treman Park CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
1.32%	10/20/281,2,3		24,562		24,487

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 102

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Vantage Data Centers Issuer LLC,
Series 2018-2A, Class A2
4.20%	11/16/431	$	2,030,000	$	2,043,069
Total Asset-Backed Securities
(Cost $55,114,204)					54,186,559
BANK LOANS — 1.45%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/30/262		169,042		167,182
Communications — 0.39%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/15/272		566,551		552,345
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
2.21%	02/01/272		97,744		97,059
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.65%	07/17/252		148,057		146,022
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.90%	04/15/272		98,741		97,210
Diamond Sports Group, LLC,
Term Loan, 1st Lien
(LIBOR plus 8.00%)
9.00%	05/25/262		116,686		118,688
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/272		391,550		391,626
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/01/272		1,275,000		1,252,987
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.46%	03/09/272		445,395		434,075
					3,090,012
Consumer Discretionary — 0.01%
Naked Juice, LLC,
Term Loan
(SOFR plus 3.25%)
4.00%	01/24/292		89,362		88,086
Electric — 0.02%
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.19%	12/31/252		26,579		26,347

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Electric (continued)
2.21%	12/31/252	$	109,969	$	109,007
					135,354
Finance — 0.11%
Mozart Borrower, LP,
Term Loan B
(LIBOR plus 3.25%)
3.75%	10/23/282		100,000		99,118
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.01%	11/05/282		800,000		789,336
					888,454
Food — 0.04%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/252		293,233		289,961
Gaming — 0.01%
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
3.21%	12/23/242		1,061		1,057
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	12/27/242		52,927		52,357
					53,414
Health Care — 0.44%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	11/08/272		603,915		600,141
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/252		52,744		52,005
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/242		298,808		297,575
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.98%	08/01/272		897,299		884,611
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/282		856,581		804,740
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	11/15/272		92,556		91,133

See accompanying Notes to Financial Statements.

103 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.25%	03/15/282	$	381,150	$	377,935
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	05/05/282		397,000		396,033
					3,504,173
Industrials — 0.15%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
2.07%	07/01/262		909,899		898,666
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.71%	05/30/252		291,280		286,547
					1,185,213
Information Technology — 0.08%
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
3.00%	03/02/292		130,000		129,865
NortonLifeLock, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
2.00%	01/28/292		530,000		524,149
					654,014
Insurance — 0.03%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	02/15/272		249,364		246,352
Retail — 0.06%
Whatabrands LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	08/03/282		473,813		468,731
Services — 0.08%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	05/30/252		73,756		73,595
Trans Union LLC,
Term Loan B6
(LIBOR plus 2.25%)
2.75%	12/01/282		607,927		604,380
					677,975

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.20%	01/29/272	$	51,722	$	48,554
Total Bank Loans
(Cost $11,408,600)					11,497,475
CORPORATES — 32.95%*
Automotive — 0.11%
General Motors Co.
4.88%	10/02/23		845,000		870,923
Banking — 6.66%
Bank of America Corp.
2.30%	07/21/324		1,420,000		1,264,802
2.57%	10/20/324		215,000		195,948
2.69%	04/22/324		250,000		229,867
3.00%	12/20/234		1,000,000		1,002,903
3.37%	01/23/264		605,000		605,050
Bank of America Corp.
(MTN)
2.09%	06/14/294		1,355,000		1,239,594
3.09%	10/01/254		152,000		151,581
3.46%	03/15/254		1,435,000		1,444,395
3.56%	04/23/274		2,605,000		2,614,802
3.97%	03/05/294		1,540,000		1,564,951
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		1,520,000		1,359,333
2.19%	06/05/261,3,4		1,195,000		1,124,415
2.59%	09/11/251,3,4		370,000		357,084
3.09%	05/14/321,3,4		750,000		675,675
3.75%	03/26/253		210,000		209,376
4.28%	01/09/281,3		175,000		175,065
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		2,485,000		2,355,298
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		1,730,000		1,581,235
2.01%	09/22/283,4		2,425,000		2,202,340
2.21%	08/17/293,4		1,195,000		1,076,972
2.80%	05/24/323,4		435,000		396,255
2.87%	11/22/323,4		285,000		259,718
ING Groep NV
(Netherlands)
4.02%	03/28/283,4		1,595,000		1,606,676
JPMorgan Chase & Co.
0.77%	08/09/254		850,000		806,705
0.97%	06/23/254		755,000		721,315
1.58%	04/22/274		420,000		391,498
2.58%	04/22/324		420,000		385,384
3.22%	03/01/254		2,820,000		2,831,279
3.96%	01/29/274		50,000		51,088

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 104

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
Lloyds Banking Group PLC
(United Kingdom)
2.91%	11/07/233,4	$	875,000	$	876,491
3.87%	07/09/253,4		3,020,000		3,053,568
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		1,760,000		1,664,957
1.34%	01/12/271,3,4		1,160,000		1,058,309
4.44%	06/21/331,3,4		410,000		415,152
NatWest Group PLC
(United Kingdom)
3.50%	05/15/233,4		1,200,000		1,201,739
4.27%	03/22/253,4		385,000		389,685
4.52%	06/25/243,4		1,165,000		1,182,923
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		1,575,000		1,498,281
1.53%	08/21/263,4		155,000		142,651
1.67%	06/14/273,4		435,000		396,310
2.47%	01/11/283,4		245,000		228,162
4.80%	11/15/243,4		1,730,000		1,770,134
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		330,000		338,085
UBS Group AG
(Switzerland)
3.49%	05/23/231,3		1,000,000		1,001,501
Wells Fargo & Co.
2.19%	04/30/264		545,000		526,097
Wells Fargo & Co.
(MTN)
2.39%	06/02/284		4,585,000		4,340,805
3.53%	03/24/284		3,815,000		3,811,024
					52,776,478
Communications — 3.47%
AT&T, Inc.
2.55%	12/01/33		4,387,000		3,906,327
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.25%	01/15/341		875,000		761,250
4.50%	05/01/32		750,000		686,949
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%	02/01/32		825,000		705,908
Charter Communications Operating, LLC/Charter
Communications Operating Capital
4.40%	04/01/33		1,615,000		1,612,592
Cox Communications, Inc.
2.60%	06/15/311		705,000		638,150
CSC Holdings LLC
4.13%	12/01/301		900,000		793,638
5.38%	02/01/281		65,000		63,201
6.50%	02/01/291		43,000		43,424
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261		1,007,000		395,248

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Fox Corp.
3.50%	04/08/30	$	1,500,000	$	1,488,001
Frontier Communications Holdings LLC
5.00%	05/01/281		400,000		385,376
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		2,108,000		2,108,072
Intelsat Jackson Holdings SA,
Class B
8.50%	10/15/241,3,5,6,7,8		1,003,000		—
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
9.75%	07/15/251,3,5,6,7,8		585,000		—
Level 3 Financing, Inc.
3.88%	11/15/291		1,210,000		1,115,747
Lumen Technologies, Inc.
5.38%	06/15/291		275,000		245,289
SES GLOBAL Americas Holdings GP
5.30%	03/25/441		750,000		729,664
SES SA
(Luxembourg)
3.60%	04/04/231,3		1,500,000		1,508,791
Sinclair Television Group, Inc.
4.13%	12/01/301		800,000		714,800
Sprint Corp.
7.88%	09/15/23		65,000		69,143
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/251		881,250		900,136
5.15%	03/20/281		1,785,000		1,881,300
Tencent Holdings Ltd.
(Cayman Islands)
2.88%	04/22/311,3		1,210,000		1,106,429
T-Mobile USA, Inc.
2.25%	02/15/26		700,000		660,380
2.55%	02/15/31		740,000		672,202
3.75%	04/15/27		2,275,000		2,292,329
3.88%	04/15/30		800,000		804,210
Verizon Communications, Inc.
2.36%	03/15/321		765,000		692,055
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%	05/15/291,3		65,000		64,617
Zayo Group Holdings, Inc.
4.00%	03/01/271		500,000		461,010
					27,506,238
Consumer Discretionary — 1.69%
Anheuser-Busch InBev Worldwide, Inc.
4.38%	04/15/38		725,000		763,611
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3		1,045,000		1,070,587
BAT Capital Corp.
2.73%	03/25/31		555,000		490,022

See accompanying Notes to Financial Statements.

105 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
3.46%	09/06/29	$	770,000	$	725,818
3.56%	08/15/27		550,000		535,412
4.39%	08/15/37		830,000		773,666
Constellation Brands, Inc.
4.65%	11/15/28		1,000,000		1,056,747
Hyatt Hotels Corp.
1.30%	10/01/23		1,240,000		1,209,259
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		1,000,000		991,690
JDE Peet’s NV
(Netherlands)
0.80%	09/24/241,3		1,650,000		1,549,706
Magallanes, Inc.
4.28%	03/15/321		2,825,000		2,842,674
Reynolds American, Inc.
4.45%	06/12/25		365,000		373,071
5.70%	08/15/35		940,000		991,152
					13,373,415
Electric — 1.64%
Alliant Energy Finance, LLC
3.60%	03/01/321		1,625,000		1,586,825
Appalachian Power Co.,
Series H
5.95%	05/15/33		350,000		408,569
Appalachian Power Co.,
Series X
3.30%	06/01/27		410,000		412,897
CenterPoint Energy Houston Electric, LLC,
Series AG
3.00%	03/01/32		1,500,000		1,468,268
Duke Energy Corp.
2.65%	09/01/26		30,000		29,240
Duke Energy Progress, LLC
3.40%	04/01/32		780,000		784,790
Evergy Missouri West, Inc.
3.75%	03/15/321		1,615,000		1,628,739
Exelon Corp.
2.75%	03/15/271		2,120,000		2,065,974
FirstEnergy Transmission LLC
2.87%	09/15/281		853,000		792,952
Jersey Central Power & Light Co.
4.70%	04/01/241		995,000		1,017,779
Metropolitan Edison Co.
4.00%	04/15/251		770,000		774,377
Public Service Co. of New Mexico
3.85%	08/01/25		1,405,000		1,430,159
Tucson Electric Power Co.
3.85%	03/15/23		595,000		604,028
					13,004,597
Energy — 1.44%
Boston Gas Co.
3.76%	03/16/321		2,400,000		2,402,812

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
Energy Transfer LP
3.45%	01/15/23	$	105,000	$	105,617
3.75%	05/15/30		315,000		310,260
4.75%	01/15/26		130,000		135,004
4.95%	05/15/28		750,000		780,978
4.95%	06/15/28		1,000,000		1,051,693
5.50%	06/01/27		531,000		571,279
Occidental Petroleum Corp.
0.00%	10/10/369		444,000		239,050
Petroleos Mexicanos
(Mexico)
2.00%	12/20/223		300,000		300,080
5.95%	01/28/313		300,000		277,335
6.63%	06/15/353		1,780,000		1,601,110
Plains All American Pipeline LP/PAA Finance Corp.
3.80%	09/15/30		525,000		515,806
Rockies Express Pipeline LLC
4.80%	05/15/301		400,000		383,000
4.95%	07/15/291		1,000,000		971,913
Ruby Pipeline LLC
8.00%	04/01/221,5,6		561,364		522,068
Sunoco LP/Sunoco Finance Corp.
4.50%	04/30/301		250,000		230,700
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%	04/01/26		60,000		60,641
6.88%	09/01/27		181,000		181,975
Venture Global Calcasieu Pass LLC
3.88%	08/15/291		825,000		803,402
					11,444,723
Finance — 6.23%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263		2,045,000		1,891,464
3.30%	01/30/323		85,000		76,901
Air Lease Corp.
2.25%	01/15/23		1,000,000		1,000,794
3.25%	03/01/25		820,000		804,580
3.25%	10/01/29		525,000		496,412
3.63%	12/01/27		355,000		338,974
American Express Co.
2.55%	03/04/27		815,000		792,484
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		773,000		684,205
2.88%	02/15/251,3		1,160,000		1,123,058
Capital One Financial Corp.
1.34%	12/06/244		2,090,000		2,028,694
Cboe Global Markets, Inc.
3.00%	03/16/32		820,000		793,860
Charles Schwab Corp. (The)
2.45%	03/03/27		815,000		791,682
Citigroup, Inc.
2.52%	11/03/324		1,145,000		1,029,804
2.56%	05/01/324		420,000		379,577

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 106

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date			Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
2.57%		06/03/31	4	$	285,000	$	261,604
3.06%		01/25/33	4		2,455,000		2,298,828
4.41%		03/31/31	4		985,000		1,024,439
Citigroup, Inc.,
Series VAR
3.07%		02/24/28	4		405,000		395,476
CME Group, Inc.
2.65%		03/15/32			815,000		780,257
Durrah MSN 35603
(Cayman Islands)
1.68%		01/22/25	3		1,714,698		1,700,267
General Motors Financial Co., Inc.
3.15%		06/30/22			495,000		496,679
3.45%		04/10/22			120,000		120,038
Goldman Sachs Group, Inc. (The)
0.93%		10/21/24	4		840,000		814,674
1.22%		12/06/23			2,090,000		2,041,362
1.43%		03/09/27	4		2,555,000		2,358,596
2.38%		07/21/32	4		1,020,000		906,983
2.65%		10/21/32	4		3,160,000		2,863,772
2.91%		07/24/23	4		725,000		726,083
3.75%		02/25/26			20,000		20,335
Intercontinental Exchange, Inc.
1.85%		09/15/32			870,000		754,366
JPMorgan Chase & Co.
1.05%		11/19/26	4		1,235,000		1,141,590
1.56%		12/10/25	4		555,000		531,361
2.55%		11/08/32	4		425,000		388,250
2.74%		10/15/30	4		3,055,000		2,890,262
2.95%		02/24/28	4		425,000		414,894
Morgan Stanley
1.59%		05/04/27	4		1,210,000		1,125,175
Morgan Stanley
(MTN)
1.16%		10/21/25	4		4,790,000		4,554,436
1.93%		04/28/32	4		340,000		294,615
Nationwide Building Society
(United Kingdom)
2.97%		02/16/28	1,3,4		100,000		95,367
3.62%		04/26/23	1,3,4		390,000		390,083
3.77%		03/08/24	1,3,4		1,265,000		1,272,488
4.36%		08/01/24	1,3,4		1,085,000		1,102,042
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/23	1,3		860,000		866,532
5.50%		02/15/24	1,3		40,000		40,968
Safina Ltd.
(Cayman Islands)
2.00%		12/30/23	3		2,211,544		2,214,379
Sandalwood 2013 LLC
2.90%		07/10/25			1,087,169		1,095,849
TIAA FSB Holdings, Inc.
5.75%		07/02/25			1,150,000		1,193,102
							49,407,641

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Food — 0.55%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
3.00%	02/02/291,3	$	435,000	$	404,097
JBS USA LUX SA/JBS USA Food Co/JBS USA Finance, Inc.
(Canada)
3.00%	05/15/321,3		1,185,000		1,055,266
Kraft Heinz Foods Co.
5.00%	07/15/35		933,000		1,001,603
5.00%	06/04/42		245,000		261,991
Mondelez International, Inc.
3.00%	03/17/32		860,000		830,793
Pilgrim’s Pride Corp.
5.88%	09/30/271		65,000		65,761
Post Holdings, Inc.
4.63%	04/15/301		826,000		745,135
					4,364,646
Health Care — 4.05%
AbbVie, Inc.
3.60%	05/14/25		1,152,000		1,168,221
3.85%	06/15/24		1,342,000		1,369,245
Aetna, Inc.
2.80%	06/15/23		50,000		50,225
3.50%	11/15/24		1,250,000		1,264,513
Alcon Finance Corp.
2.75%	09/23/261		2,300,000		2,230,296
American Medical Systems Europe BV
(Netherlands)
1.63%	03/08/313		400,000		434,401
Amgen, Inc.
3.35%	02/22/32		1,620,000		1,607,264
Bayer U.S. Finance II LLC
4.25%	12/15/251		25,000		25,449
4.38%	12/15/281		2,900,000		2,968,661
5.50%	08/15/251		1,100,000		1,145,281
Bayer U.S. Finance LLC
3.38%	10/08/241		1,020,000		1,019,950
Baylor Scott & White Holdings
2.65%	11/15/26		1,530,000		1,520,180
Becton Dickinson and Co.
3.36%	06/06/24		589,000		594,486
Centene Corp.
3.00%	10/15/30		2,000,000		1,840,020
Cigna Corp.
4.13%	11/15/25		545,000		562,186
CommonSpirit Health
2.78%	10/01/30		1,650,000		1,530,984
CVS Health Corp.
3.25%	08/15/29		2,890,000		2,856,664
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		1,000,000		965,088
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/281,3		889,000		518,420

See accompanying Notes to Financial Statements.

107 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
HCA, Inc.
4.13%	06/15/29	$	1,145,000	$	1,166,938
5.00%	03/15/24		1,460,000		1,513,678
5.25%	04/15/25		206,000		217,036
5.25%	06/15/26		1,070,000		1,130,407
7.05%	12/01/27		80,000		90,445
Humana, Inc.
3.85%	10/01/24		860,000		874,383
3.95%	03/15/27		885,000		900,348
PerkinElmer, Inc.
0.85%	09/15/24		2,050,000		1,947,151
Royalty Pharma PLC
(United Kingdom)
2.20%	09/02/303		675,000		591,837
					32,103,757
Industrials — 1.13%
Amcor Finance USA, Inc.
3.63%	04/28/26		1,950,000		1,977,764
Artera Services LLC
9.03%	12/04/251		227,000		227,086
BAE Systems Holdings, Inc.
3.80%	10/07/241		630,000		634,670
Berry Global, Inc.
1.65%	01/15/27		95,000		86,687
4.88%	07/15/261		555,000		561,222
Boeing Co. (The)
1.43%	02/04/24		1,300,000		1,258,322
Crane Co.
4.45%	12/15/23		1,130,000		1,154,242
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/262		1,028,000		1,012,144
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/362		1,115,000		960,463
General Electric Co.,
Series A (MTN)
6.75%	03/15/32		135,000		170,426
L3Harris Technologies, Inc.
3.85%	06/15/23		410,000		415,288
Mauser Packaging Solutions Holding Co.
5.50%	04/15/241		65,000		64,830
Sealed Air Corp.
4.00%	12/01/271		65,000		63,700
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%	04/30/251,3		410,000		408,036
					8,994,880
Information Technology — 0.63%
Apple, Inc.
3.25%	02/23/26		20,000		20,387
Broadcom, Inc.
4.30%	11/15/32		750,000		761,762

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Information Technology (continued)
Change Healthcare Holdings LLC/Change Healthcare
Finance, Inc.
5.75%	03/01/251	$	65,000	$	65,081
Netflix, Inc.
5.88%	02/15/25		1,475,000		1,575,650
Oracle Corp.
2.88%	03/25/31		1,955,000		1,785,108
VMware, Inc.
1.00%	08/15/24		815,000		777,127
					4,985,115
Insurance — 1.39%
Aon Corp./Aon Global Holdings PLC
2.85%	05/28/27		1,625,000		1,593,208
Athene Global Funding
1.99%	08/19/281		2,055,000		1,806,263
3.21%	03/08/271		530,000		510,834
Berkshire Hathaway Finance Corp.
2.88%	03/15/32		1,210,000		1,174,285
Brown & Brown, Inc.
4.20%	03/17/32		1,000,000		1,016,819
Equitable Financial Life Global Funding
1.80%	03/08/281		1,190,000		1,071,225
Metropolitan Life Global Funding I
3.30%	03/21/291		1,200,000		1,192,777
Nationwide Mutual Insurance Co.
3.12%	12/15/241,4		1,212,000		1,212,836
New York Life Global Funding
3.00%	01/10/281		50,000		49,295
Trinity Acquisition PLC
(United Kingdom)
4.40%	03/15/263		1,385,000		1,430,589
					11,058,131
Materials — 0.18%
International Flavors & Fragrances, Inc.
1.23%	10/01/251		950,000		880,688
2.30%	11/01/301		635,000		567,848
					1,448,536
Real Estate Investment Trust (REIT) — 2.39%
American Campus Communities Operating Partnership LP
3.75%	04/15/23		50,000		50,443
4.13%	07/01/24		1,250,000		1,273,519
CyrusOne LP/CyrusOne Finance Corp.
2.90%	11/15/24		1,450,000		1,453,980
3.45%	11/15/29		1,000,000		1,050,098
Extra Space Storage LP
3.90%	04/01/29		1,650,000		1,656,429
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		1,140,000		1,139,316
5.38%	11/01/23		30,000		30,806
5.38%	04/15/26		2,323,000		2,429,936
5.75%	06/01/28		325,000		350,316
Healthcare Realty Trust, Inc.
3.88%	05/01/25		1,400,000		1,417,646

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 108

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Healthcare Trust of America Holdings LP
3.50%	08/01/26	$	225,000	$	225,051
Healthpeak Properties, Inc.
4.00%	06/01/25		750,000		763,199
Hudson Pacific Properties LP
4.65%	04/01/29		1,065,000		1,118,047
Kilroy Realty LP
3.45%	12/15/24		790,000		792,497
Life Storage LP
2.20%	10/15/30		1,000,000		885,180
Piedmont Operating Partnership LP
3.40%	06/01/23		1,210,000		1,211,929
SL Green Operating Partnership LP
3.25%	10/15/22		1,350,000		1,350,502
Ventas Realty LP
3.25%	10/15/26		940,000		932,028
Weyerhaeuser Co.
3.38%	03/09/33		810,000		790,099
					18,921,021
Retail — 0.51%
7-Eleven, Inc.
0.80%	02/10/241		1,565,000		1,504,385
Alimentation Couche-Tard, Inc.
(Canada)
3.55%	07/26/271,3		640,000		636,650
FirstCash, Inc.
5.63%	01/01/301		415,000		399,285
Michaels Cos., Inc. (The)
5.25%	05/01/281		405,000		372,349
Starbucks Corp.
3.00%	02/14/32		1,220,000		1,166,979
					4,079,648
Services — 0.40%
Global Payments, Inc.
1.50%	11/15/24		1,255,000		1,200,134
Waste Connections, Inc.
(Canada)
3.20%	06/01/323		2,045,000		1,993,797
					3,193,931
Transportation — 0.48%
Canadian Pacific Railway Co.
(Canada)
1.35%	12/02/243		1,675,000		1,609,484
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		395,491		396,065
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A-1
7.04%	04/01/22		33,525		33,693
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		408,146		418,778

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Transportation (continued)
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24	$	284,669	$	296,945
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		253,480		245,255
Union Pacific Corp.
2.80%	02/14/32		815,000		784,264
					3,784,484
Total Corporates
(Cost $270,838,382)					261,318,164
FOREIGN GOVERNMENT OBLIGATIONS — 0.15%
Foreign Government Obligations — 0.15%
Airport Authority
(Hong Kong)
2.50%	01/12/321,3		1,245,000		1,164,081
Total Foreign Government Obligations
(Cost $1,244,036)
MORTGAGE-BACKED — 15.77%**
Non-Agency Commercial Mortgage-Backed — 2.01%
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/381,4		1,095,000		1,126,867
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
1.32%	10/15/361,2		1,814,467		1,806,666
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		375,000		362,808
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		805,000		818,430
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/391		715,000		676,175
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class A5
3.62%	02/10/49		3,250,000		3,266,050
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.31%	04/10/49		1,000,000		994,483
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.12%	03/10/474		19,862,757		325,219
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/451		765,000		724,889
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		760,000		739,623

See accompanying Notes to Financial Statements.

109 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4	$	765,000	$	731,945
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.60%	05/15/484		22,841,142		340,870
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%	06/05/391		740,000		731,869
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%	02/12/401		945,000		882,391
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/541		960,000		890,658
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.83%	01/15/321,4		560,000		561,277
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		45,000		43,115
Wells Fargo Commercial Mortgage Trust,
Series 2015-C26, Class XA (IO)
1.20%	02/15/484		32,671,514		912,339
					15,935,674
Non-Agency Mortgage-Backed — 5.03%
ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE2, Class M5
(LIBOR USD 1-Month plus 1.02%)
1.48%	04/25/352		3,382,575		3,363,582
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/22)
7.53%	10/25/27		6,013		6,120
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
1.43%	12/25/342		350,182		344,695
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		3,740		3,693
Bear Stearns ALT-A Trust,
Series 2004-12, Class 1M1
(LIBOR USD 1-Month plus 0.93%)
1.39%	01/25/352		2,312,027		2,292,357
Chevy Chase Mortgage Funding LLC, Mortgage-Backed
Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.64%	05/25/361,2		46,827		43,900
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/571,4		3,006,696		2,916,760
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.66%	02/25/344		110		110

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH1, Class M5
(LIBOR USD 1-Month plus 0.78%)
1.24%	01/25/362	$	2,000,000	$	1,970,053
Countrywide Asset-Backed Certificates Trust,
Series 2005-7, Class MV5
(LIBOR USD 1-Month plus 1.13%)
1.58%	11/25/352		4,220,000		4,163,822
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
2.45%	08/25/344		55,107		55,106
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB3, Class AF1 (STEP-reset date 05/25/22)
3.38%	12/25/32		526,240		510,737
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF4 (STEP-reset date 05/25/22)
3.00%	12/25/36		370,274		328,907
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
0.52%	04/25/372		105,698		74,058
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A3
(LIBOR USD 1-Month plus 0.25%)
0.71%	04/25/372		1,255,968		885,976
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.37%	09/25/344		53,610		52,655
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
2.29%	08/25/344		14,569		14,638
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
1.46%	10/25/372		1,737,462		1,737,576
HomeBanc Mortgage Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.54%)
1.00%	10/25/352		8,396		8,402
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
1.09%	11/25/352		201,125		199,447
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
1.32%	09/25/342		7,926		7,659
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
1.26%	11/25/342		22,467		21,550
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.79%	06/25/374		526,326		488,597

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 110

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A3
6.61%	02/25/28	$	41,758	$	41,893
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A4
6.75%	02/25/28		11,116		11,160
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		55,783		57,548
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
0.75%	07/25/362		1,918,250		1,911,433
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.11%	05/25/374		115,839		110,522
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.02%	01/25/344		48,528		50,891
MASTR Adjustable Rate Mortgages Trust,
Series 2007-HF2, Class A1
(LIBOR USD 1-Month plus 0.62%)
1.08%	09/25/372		1,023,968		1,025,474
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.41%	10/25/324		4,781		4,918
MASTR Seasoned Securitization Trust,
Series 2005-1, Class 4A1
2.38%	10/25/324		17,479		17,651
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.64%	06/25/372		351,663		325,621
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
0.71%	06/25/372		649,864		606,418
Mid-State Capital Corp. Trust,
Series 2005-1, Class M2
7.08%	01/15/40		288,610		297,816
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		402,549		405,380
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
1.39%	07/25/342		122,878		119,316
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-HE3, Class M5
(LIBOR USD 1-Month plus 1.04%)
1.49%	07/25/352		4,450,842		4,411,406

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(LIBOR USD 1-Month plus 0.22%)
0.68%	04/25/372	$	2,253,352	$	2,239,877
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
1.13%	03/25/352		2,322,859		2,322,793
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.90%	02/25/362		944,119		944,907
New York Mortgage Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.94%	02/25/362		499,033		500,831
Option One Mortgage Loan Trust,
Series 2005-2, Class M1
(LIBOR USD 1-Month plus 0.66%)
1.12%	05/25/352		52,606		52,525
RBSSP Resecuritization Trust,
Series 2009-12, Class 17A2
2.40%	10/25/351,4		1,874,695		1,858,759
Residential Asset Mortgage Products Trust,
Series 2003-SL1, Class A41
8.00%	04/25/31		16,175		15,788
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A7
7.00%	11/25/31		7,370		7,145
Residential Asset Securities Corp.,
Series 2005-AHL3, Class A3
(LIBOR USD 1-Month plus 0.34%)
1.14%	11/25/352		11,804		11,794
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
2.84%	12/25/344		11,993		11,634
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
2.61%	10/25/344		644,411		612,858
Structured Asset Mortgage Investments II Trust,
Series 2005-AR1, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.93%	04/19/352		395,312		385,821
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A2
(Federal Reserve US 12-Month Cumulative Average plus
1.48%)
1.57%	02/25/362		389,713		383,281
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
2.48%	05/25/364		1,814,662		1,139,889

See accompanying Notes to Financial Statements.

111 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A3
(LIBOR USD 1-Month plus 1.56%)
2.02%	10/25/452	$	477,669	$	486,612
					39,862,361
U.S. Agency Commercial Mortgage-Backed — 0.01%
Fannie Mae-Aces,
Series 2015-M4, Class X2 (IO)
2.84%	07/25/224		3,319,292		216
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K021, Class A2
2.40%	06/25/22		80,602		80,619
					80,835
U.S. Agency Mortgage-Backed — 8.72%
Fannie Mae Pool 253974
7.00%	08/01/31		1,060		1,124
Fannie Mae Pool 527247
7.00%	09/01/26		11		11
Fannie Mae Pool 545191
7.00%	09/01/31		489		525
Fannie Mae Pool 545646
7.00%	09/01/26		5		5
Fannie Mae Pool 549740
6.50%	10/01/27		2,506		2,691
Fannie Mae Pool 606108
7.00%	03/01/31		309		312
Fannie Mae Pool 630599
7.00%	05/01/32		2,631		2,838
Fannie Mae Pool 655928
7.00%	08/01/32		1,708		1,914
Fannie Mae Pool 735207
7.00%	04/01/34		798		873
Fannie Mae Pool 735686
6.50%	12/01/22		6		6
Fannie Mae Pool 735861
6.50%	09/01/33		43,022		45,764
Fannie Mae Pool 764388
(LIBOR USD 6-Month plus 1.38%)
1.76%	03/01/342		7,015		7,042
Fannie Mae Pool 776708
5.00%	05/01/34		72,745		78,763
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.53%)
1.78%	12/01/352		5,111		5,117
Fannie Mae Pool 889184
5.50%	09/01/36		57,196		62,676
Fannie Mae Pool 890221
5.50%	12/01/33		84,973		92,233
Fannie Mae Pool 939419
(LIBOR USD 12-Month plus 1.27%)
1.52%	05/01/372		20,671		20,745
Fannie Mae Pool AL0209
4.50%	05/01/41		232,795		249,560

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AN2786
2.76%	09/01/36	$	47,913	$	46,202
Fannie Mae Pool BL6060
2.46%	04/01/40		1,160,000		1,048,108
Fannie Mae Pool CA1710
4.50%	05/01/48		10,257		10,678
Fannie Mae Pool CA1711
4.50%	05/01/48		687,381		717,067
Fannie Mae Pool CA2208
4.50%	08/01/48		9,611		10,006
Fannie Mae Pool FM2318
3.50%	09/01/49		1,081,021		1,091,670
Fannie Mae Pool MA1527
3.00%	08/01/33		15,332		15,385
Fannie Mae Pool MA1561
3.00%	09/01/33		857,489		860,479
Fannie Mae Pool MA1608
3.50%	10/01/33		758,105		774,634
Fannie Mae Pool MA3427
4.00%	07/01/33		8,188		8,438
Fannie Mae Pool MA3537
4.50%	12/01/48		658,648		684,134
Fannie Mae Pool MA3811
3.00%	10/01/49		459,727		448,360
Fannie Mae Pool MA4152
2.00%	10/01/40		2,651,651		2,498,962
Fannie Mae Pool MA4333
2.00%	05/01/41		732,125		689,786
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.32%	05/25/232		342		354
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%	10/25/31		90,775		95,609
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%	01/25/342		2,610		2,675
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.93%	07/25/372		40,307		40,519
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.59%	11/25/362		640,953		90,607
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%	06/25/47		4,666		4,719
Fannie Mae REMICS,
Series 2018-43, Class CT
3.00%	06/25/48		230,096		228,094
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%	01/25/47		38,592		39,032

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 112

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%	05/25/47	$	228,221	$	229,752
Fannie Mae Trust,
Series 2003-W6, Class 5T (IO)
(-1.00 X LIBOR USD 1-Month plus 8.15%, 0.55% Cap)
0.55%	09/25/422		7,335,873		112,529
Freddie Mac Gold Pool A25162
5.50%	05/01/34		64,151		69,074
Freddie Mac Gold Pool A33262
5.50%	02/01/35		27,238		29,923
Freddie Mac Gold Pool A68781
5.50%	10/01/37		4,317		4,744
Freddie Mac Gold Pool C03813
3.50%	04/01/42		529,841		541,149
Freddie Mac Gold Pool G01548
7.50%	07/01/32		186,810		209,936
Freddie Mac Gold Pool G01644
5.50%	02/01/34		43,985		48,237
Freddie Mac Gold Pool G02366
6.50%	10/01/36		37,746		42,711
Freddie Mac Gold Pool G08844
5.00%	10/01/48		203,056		213,769
Freddie Mac Gold Pool G12909
6.00%	11/01/22		3,529		3,565
Freddie Mac Gold Pool G13032
6.00%	09/01/22		29		29
Freddie Mac Gold Pool G15897
2.50%	09/01/31		22,844		22,750
Freddie Mac Gold Pool G16085
2.50%	02/01/32		1,371,817		1,360,541
Freddie Mac Gold Pool G16524
3.50%	05/01/33		46,942		48,252
Freddie Mac Gold Pool G16756
3.50%	01/01/34		837,073		861,324
Freddie Mac Gold Pool G18581
2.50%	01/01/31		21,407		21,209
Freddie Mac Pool SD7503
3.50%	08/01/49		3,036,602		3,066,515
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%	10/15/232		2,552		2,608
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		15,675		16,643
Freddie Mac REMICS,
Series 3460, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
5.80%	06/15/382		629,508		90,840
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.21%	04/15/422		525,549		89,104
Ginnie Mae (TBA)
2.00%	04/20/52		1,800,000		1,712,206

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
2.50%	04/20/52	$	3,900,000	$	3,780,895
Ginnie Mae I Pool 782810
4.50%	11/15/39		459,295		489,172
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.63%	07/20/342		11,761		12,058
Ginnie Mae II Pool MA4454
5.00%	05/20/47		16,426		17,484
Ginnie Mae II Pool MA4511
4.00%	06/20/47		4,118		4,245
Ginnie Mae II Pool MA4588
4.50%	07/20/47		151,801		159,972
Ginnie Mae II Pool MA4589
5.00%	07/20/47		810,318		861,554
Ginnie Mae II Pool MA4838
4.00%	11/20/47		379,258		391,269
Ginnie Mae II Pool MA4901
4.00%	12/20/47		302,717		312,055
Ginnie Mae II Pool MA5399
4.50%	08/20/48		389,561		404,501
Ginnie Mae II Pool MA5530
5.00%	10/20/48		4,865		5,073
Ginnie Mae II Pool MA6030
3.50%	07/20/49		55,691		55,260
Ginnie Mae II Pool MA6080
3.00%	08/20/49		23,965		23,469
Ginnie Mae II Pool MA6209
3.00%	10/20/49		452,178		442,261
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
13.41%	11/26/232		4,179		4,425
UMBS (TBA)
2.00%	04/01/37		3,750,000		3,641,779
2.00%	04/01/52		350,000		324,709
2.00%	05/01/52		2,575,000		2,386,039
2.50%	04/01/37		4,875,000		4,817,704
2.50%	05/01/52		16,550,000		15,758,296
3.00%	04/01/52		3,775,000		3,693,012
3.00%	05/01/52		13,150,000		12,837,688
					69,198,047
Total Mortgage-Backed
(Cost $128,689,990)					125,076,917
MUNICIPAL BONDS — 0.79%*
California — 0.26%
City of San Francisco Public Utilities Commission Water
Revenue Bonds, Series G
2.19%	11/01/32		795,000		711,374
Los Angeles Department of Water & Power Power System
Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%	07/01/27		50,000		55,957

See accompanying Notes to Financial Statements.

113 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date		Principal     Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
Los Angeles Unified School District General Obligation
Bonds, School Improvements, Series KR
5.75%		07/01/34	$	1,075,000	$	1,274,749
						2,042,080
Florida — 0.07%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series C
4.06%		10/01/31		280,000		290,481
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.50%		10/01/31		245,000		245,755
						536,236
New York — 0.46%
City of New York General Obligation, Public Improvements,
Series 2
1.70%		03/01/29		250,000		225,041
Metropolitan Transportation Authority Revenue Bonds,
Transit Improvements
6.55%		11/15/31		25,000		29,307
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		1,465,000		1,598,435
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29		590,000		539,760
New York State Dormitory Authority Revenue Bonds, Transit
Improvements, Series F
3.03%		02/15/33		1,245,000		1,175,263
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series D
5.50%		03/15/30		70,000		76,911
						3,644,717
Pennsylvania — 0.00%
Pennsylvania Economic Development Financing Authority
Revenue Bonds, University of Pittsburgh Medical Center,
Series B
3.20%		11/15/27		40,000		39,810
Total Municipal Bonds
(Cost $6,606,390)						6,262,843
U.S. TREASURY SECURITIES — 45.65%
U.S. Treasury Notes — 45.65%
U.S. Treasury Notes
0.75%		12/31/23		17,614,000		17,159,545
0.88%		01/31/24		21,285,000		20,745,808
1.25%		12/31/26		9,375,000		8,859,569
1.50%		02/29/24		36,019,000		35,498,413
1.50%		01/31/27		34,472,000		32,947,691
1.75%		03/15/25		52,267,000		51,187,268
1.88%		02/28/27		84,030,000		81,811,175
1.88%		02/15/32		10,490,000		10,076,137
2.25%		03/31/24		23,240,000		23,209,135

Issues	Maturity     Date	Principal     Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
2.50%	03/31/27	$	80,290,000	$	80,481,316
Total U.S. Treasury Securities
(Cost $366,633,080)					361,976,057
Total Bonds — 103.59%
(Cost $840,534,682)					821,482,096
Issues		Shares		Value
COMMON STOCK — 0.06%
Communications — 0.06%
Intelsat Emergence SA3,5,6,7
(Luxembourg)			15,249		457,470
Electric — 0.00%
Homer City Holdings LLC†,5,6,7,8			8,014		—
Total Common Stock
(Cost $968,241)					457,470
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A3,5,6,7
(Luxembourg)			1,596		—
Intelsat Jackson Holdings SA, Series B3,5,6,7
(Luxembourg)			1,596		—
					—
Total Rights
(Cost $–)					—
Purchased Options - 0.01%
(Cost $331,590)					93,306
Issues	Maturity     Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 4.29%
Money Market Funds — 4.29%
Dreyfus Government Cash Management Fund
0.19%10			5,193,000		5,193,000
Fidelity Investments Money Market Funds - Government
Portfolio
0.12%10,11			4,752,208		4,752,208

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 114

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity   Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
0.23%10			24,102,000	$	24,102,000
Total Short-Term Investments
(Cost $34,047,208)					34,047,208
Total Investments Before Written Options - 107.95%
(Cost $875,881,721)					856,080,080
Written Options - (0.27)%
(Cost $(1,391,267))					(2,179,744	)
Liabilities in Excess of Other Assets - (7.68)%					(60,883,157	)
Net Assets - 100.00%				$	793,017,179

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

2 Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 $3,020,712, which is 0.38% of total net assets.

⁷ Non-income producing security.

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

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2022.

¹⁰ Represents the current yield as of March 31, 2022.

¹¹ Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $36.

^† 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.

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.

(CAD): Canadian Dollar

(CLO): Collateralized Loan Obligation

(EUR): Euro

(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

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
CAD 15,326,000		USD 12,016,151		Citigroup Global Markets, Inc.		04/08/22	$	253,479
EUR 400,000		USD 439,897		Goldman Sachs International		04/08/22		5,268
								258,747
USD 11,949,911		CAD 15,326,000		Citigroup Global Markets, Inc.		04/08/22		(319,719)
USD 442,120		EUR 400,000		Goldman Sachs International		04/08/22		(3,045)
USD 427,283		EUR 387,000		Goldman Sachs International		07/08/22		(5,109)
								(327,873)
NET UNREALIZED DEPRECIATION							$	(69,126)

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		483		06/30/22	$	102,358,266	$	(1,007,235)	$	(1,007,235)
U.S. Treasury Five-Year Note		83		06/30/22		9,519,063		(273,809)		(273,809)
						111,877,329		(1,281,044)		(1,281,044)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		50		06/21/22		(6,773,438)		115,296		115,296
U.S. Treasury Ultra Bond		31		06/21/22		(5,490,875)		200,080		200,080
						(12,264,313)		315,376		315,376
TOTAL FUTURES CONTRACTS					$	99,613,016	$	(965,668)	$	(965,668)

See accompanying Notes to Financial Statements.

115 / Annual Report March 2022

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Reference Obligation/Index	Financing Rate Paid by the Fund			Payment Frequency		Implied Credit Spread at 03/31/221		Counterparty		Expiration Date		Notional Amount (000’s)2		Value3		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4
1011778 BC ULC/New Red									Credit Suisse
Finance, Inc., 4.00%, due									First Boston
10/15/305		5.00	%		3 Months		120		International		06/20/23	$	2,070	$	98,067	$	83,368	$	14,699
									Credit Suisse
Berry Global, Inc., 5.63%, due									First Boston
07/15/27		5.00	%		3 Months		175		International		12/20/23		1,155		64,383		61,099		3,284
TOTAL														$	162,450	$	144,467	$	17,983

¹ An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

² The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³ The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴ If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
PURCHASED CALL OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		165		$98.00		12/19/22	$	1,204,583	$	74,250
IMM Eurodollar 1-Year MIDCV Future Options		101		98.38		09/16/22		733,866		8,206
IMM Eurodollar 1-Year MIDCV Future Options		217		98.75		09/16/22		10,511,480		10,850
TOTAL PURCHASED OPTIONS							$	12,449,929	$	93,306
Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 1-Year MIDCV Future Options		495		$99.00		09/16/22	$	(21,580,020)	$	(18,562)
90-Day Euro Dollar Futures		165		98.25		12/19/22		(1,204,583)		(51,563)
IMM Eurodollar 2-Year MIDCV Future Options		149		97.63		12/16/22		(9,060,597)		(102,438)
IMM Eurodollar 2-Year MIDCV Future Options		240		97.88		12/16/22		(14,594,250)		(112,500)
								(46,439,450)		(285,063)
WRITTEN PUT OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		165		$97.25		12/19/22	$	(1,204,582)	$	(162,937)
IMM Eurodollar 1-Year MIDCV Future Options		594		97.63		09/16/22		(2,877,336)		(1,277,100)
IMM Eurodollar 2-Year MIDCV Future Options		389		97.38		12/16/22		(23,654,847)		(454,644)
								(27,736,765)		(1,894,681)
TOTAL WRITTEN OPTIONS							$	(74,176,215)	$	(2,179,744)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 116

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
BONDS – 104.68%
ASSET-BACKED SECURITIES — 5.43%**
Aimco CLO,
Series 2015-AA, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.84%	10/17/341,2,3	$	70,000	$	69,319
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		33,049		34,282
Madison Park Funding XXXIX Ltd.,
Series 2021-39A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.78%	10/22/341,2,3		70,000		69,173
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
1.40%	07/15/361,2,3		70,000		69,417
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5		37,615		35,499
SLM Student Loan Trust,
Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
0.43%	07/25/252		70,000		64,920
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	01/25/832		20,000		19,029
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	04/26/832		20,000		18,418
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/25/732		35,000		34,957
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.36%	07/25/232		29,092		28,747
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		20,000		19,567
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		20,000		19,900
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232		18,210		18,258

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/752	$	30,000	$	30,066
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232		13,783		13,784
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/832		15,000		15,067
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.17%)
0.43%	04/25/401,2		32,712		31,952
Total Asset-Backed Securities
(Cost $593,319)					592,355
CORPORATES — 66.31%*
Banking — 10.33%
Bank of America Corp.
1.73%	07/22/276		100,000		92,990
Bank of America Corp.
(MTN)
2.09%	06/14/296		175,000		160,095
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,6		45,000		40,243
3.09%	05/14/321,3,6		10,000		9,009
DNB Bank ASA
(Norway)
1.13%	09/16/261,3,6		25,000		22,977
Fifth Third Bancorp
2.55%	05/05/27		20,000		19,357
HSBC Holdings PLC
(United Kingdom)
2.21%	08/17/293,6		105,000		94,629
JPMorgan Chase & Co.
0.97%	06/23/256		45,000		42,992
1.58%	04/22/276		265,000		247,017
Lloyds Banking Group PLC
(United Kingdom)
3.87%	07/09/253,6		55,000		55,611
Macquarie Group Ltd.
(Australia)
1.63%	09/23/271,3,6		45,000		40,608
4.44%	06/21/331,3,6		10,000		10,126
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,6		35,000		35,426
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		45,000		46,103

See accompanying Notes to Financial Statements.

117 / Annual Report March 2022

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
(MTN)
2.39%	06/02/286	$	220,000	$	208,283
					1,125,466
Communications — 7.19%
AT&T, Inc.
2.55%	12/01/33		144,000		128,222
3.80%	12/01/57		10,000		8,912
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%	02/01/32		100,000		85,564
3.75%	02/15/28		42,000		41,554
Comcast Corp.
1.95%	01/15/31		30,000		27,105
Discovery Communications LLC
3.63%	05/15/30		35,000		34,049
Level 3 Financing, Inc.
3.88%	11/15/291		46,000		42,417
Paramount Global
4.20%	05/19/32		30,000		30,062
SES SA
(Luxembourg)
3.60%	04/04/231,3		15,000		15,088
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/251		56,250		57,455
5.15%	03/20/281		60,000		63,237
Tencent Holdings Ltd.
(Cayman Islands)
3.98%	04/11/291,3		40,000		39,991
T-Mobile USA, Inc.
2.55%	02/15/31		99,000		89,930
Verizon Communications, Inc.
2.36%	03/15/321		66,000		59,707
Vodafone Group PLC
(United Kingdom)
4.38%	05/30/283		45,000		47,148
Walt Disney Co. (The)
7.75%	01/20/24		12,000		12,980
					783,421
Consumer Discretionary — 2.68%
Anheuser-Busch InBev Worldwide, Inc.
3.50%	06/01/30		40,000		40,618
Bacardi Ltd.
(Bermuda)
4.70%	05/15/281,3		15,000		15,625
Constellation Brands, Inc.
2.88%	05/01/30		30,000		28,183
Hyatt Hotels Corp.
1.80%	10/01/24		35,000		33,666
Imperial Brands Finance PLC
(United Kingdom)
4.25%	07/21/251,3		40,000		40,347

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Magallanes, Inc.
4.28%	03/15/321	$	65,000	$	65,407
Reynolds American, Inc.
5.70%	08/15/35		65,000		68,537
					292,383
Electric — 4.72%
Alliant Energy Finance LLC
1.40%	03/15/261		65,000		59,220
Ameren Corp.
3.50%	01/15/31		95,000		93,855
Appalachian Power Co.,
Series X
3.30%	06/01/27		20,000		20,141
Berkshire Hathaway Energy Co.
1.65%	05/15/31		25,000		21,802
Black Hills Corp.
4.35%	05/01/33		36,000		36,744
Duke Energy Corp.
2.55%	06/15/31		45,000		41,332
Evergy Missouri West, Inc.
3.75%	03/15/321		25,000		25,213
Jersey Central Power & Light Co.
2.75%	03/01/321		55,000		51,286
Metropolitan Edison Co.
4.00%	04/15/251		25,000		25,142
Narragansett Electric Co. (The)
3.40%	04/09/301		35,000		34,449
Public Service Co. of New Mexico
3.85%	08/01/25		40,000		40,716
Public Service Electric and Gas Co.
(MTN)
3.10%	03/15/32		30,000		29,695
Southwestern Electric Power Co.,
Series M
4.10%	09/15/28		15,000		15,377
Xcel Energy, Inc.
3.40%	06/01/30		20,000		19,992
					514,964
Energy — 3.10%
Energy Transfer LP
4.95%	06/15/28		65,000		68,360
Kinder Morgan, Inc.
5.30%	12/01/34		30,000		32,944
Lundin Energy Finance BV
(Netherlands)
3.10%	07/15/311,3		35,000		32,472
Petroleos Mexicanos
(Mexico)
5.95%	01/28/313		30,000		27,734
6.70%	02/16/323		13,000		12,382
Phillips 66 Partners LP
3.15%	12/15/29		25,000		24,105
Piedmont Natural Gas Co., Inc.
2.50%	03/15/31		10,000		9,161

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 118

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Plains All American Pipeline LP/PAA Finance Corp.
4.65%	10/15/25	$	30,000	$	30,735
Rockies Express Pipeline LLC
3.60%	05/15/251		20,000		19,689
4.95%	07/15/291		10,000		9,719
Ruby Pipeline LLC
8.00%	04/01/221,4,5		14,394		13,386
Southern Natural Gas Co. LLC
4.80%	03/15/471		30,000		31,867
Texas Eastern Transmission LP
2.80%	10/15/221		10,000		10,036
Williams Cos., Inc. (The)
4.30%	03/04/24		15,000		15,326
					337,916
Finance — 6.83%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%	10/29/283		30,000		27,663
3.88%	01/23/283		16,000		15,583
Air Lease Corp.
3.63%	12/01/27		31,000		29,601
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		21,000		18,588
2.88%	02/15/251,3		10,000		9,681
Cboe Global Markets, Inc.
3.00%	03/16/32		15,000		14,522
Citigroup, Inc.
3.06%	01/25/336		115,000		107,684
3.79%	03/17/336		10,000		9,946
Ford Motor Credit Co. LLC
4.25%	09/20/22		25,000		25,183
(LIBOR USD 3-Month plus 1.08%)
1.38%	08/03/222		35,000		34,886
Goldman Sachs Group, Inc. (The)
1.54%	09/10/276		140,000		128,375
2.65%	10/21/326		10,000		9,062
Intercontinental Exchange, Inc.
1.85%	09/15/32		30,000		26,013
Morgan Stanley
(GMTN)
1.51%	07/20/276		35,000		32,286
Morgan Stanley
(MTN)
1.93%	04/28/326		165,000		142,975
Nationwide Building Society
(United Kingdom)
3.77%	03/08/241,3,6		60,000		60,355
Pipeline Funding Co. LLC
7.50%	01/15/301		17,566		20,594
Raymond James Financial, Inc.
4.65%	04/01/30		30,000		31,858
					744,855

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Food — 1.97%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%	01/15/301,3	$	45,000	$	46,099
Kraft Heinz Foods Co.
5.00%	07/15/35		28,000		30,059
Mondelez International, Inc.
3.00%	03/17/32		30,000		28,981
Pilgrim’s Pride Corp.
3.50%	03/01/321		60,000		52,512
Smithfield Foods, Inc.
2.63%	09/13/311		65,000		57,038
					214,689
Health Care — 8.11%
AbbVie, Inc.
4.50%	05/14/35		40,000		43,026
Alcon Finance Corp.
2.75%	09/23/261		30,000		29,091
Amgen, Inc.
3.35%	02/22/32		30,000		29,764
Ascension Health,
Series B
2.53%	11/15/29		20,000		19,274
Banner Health
2.34%	01/01/30		10,000		9,307
Barnabas Health, Inc.,
Series 2012
4.00%	07/01/28		15,000		15,321
Baxter International, Inc.
3.95%	04/01/30		10,000		10,329
Bayer U.S. Finance II LLC
4.38%	12/15/281		45,000		46,065
Becton Dickinson and Co.
3.70%	06/06/27		20,000		20,322
Centene Corp.
3.00%	10/15/30		50,000		46,000
Cigna Corp.
2.40%	03/15/30		45,000		41,640
CommonSpirit Health
2.78%	10/01/30		20,000		18,558
3.35%	10/01/29		50,000		48,568
CVS Health Corp.
3.25%	08/15/29		45,000		44,481
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		35,000		33,778
Elanco Animal Health, Inc.
6.40%	08/28/28		15,000		16,163
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/261		20,000		18,583
HCA, Inc.
3.63%	03/15/321		10,000		9,805
4.13%	06/15/29		95,000		96,820
Humana, Inc.
2.15%	02/03/32		5,000		4,392
3.70%	03/23/29		10,000		10,035

See accompanying Notes to Financial Statements.

119 / Annual Report March 2022

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Illumina, Inc.
2.55%	03/23/31	$	30,000	$	27,289
Molina Healthcare, Inc.
3.88%	11/15/301		30,000		29,016
PerkinElmer, Inc.
2.25%	09/15/31		35,000		31,031
Providence St. Joseph Health Obligated Group,
Series H
2.75%	10/01/26		20,000		19,815
Regeneron Pharmaceuticals, Inc.
1.75%	09/15/30		25,000		21,686
Royalty Pharma PLC
(United Kingdom)
1.75%	09/02/273		30,000		27,294
Smith & Nephew PLC
(United Kingdom)
2.03%	10/14/303		30,000		26,121
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%	03/15/313		30,000		27,497
UnitedHealth Group, Inc.
3.88%	12/15/28		20,000		21,066
Universal Health Services, Inc.
1.65%	09/01/261		45,000		41,304
					883,441
Industrials — 2.52%
Amcor Finance USA, Inc.
3.63%	04/28/26		25,000		25,356
BAE Systems Holdings, Inc.
3.80%	10/07/241		15,000		15,111
3.85%	12/15/251		10,000		10,046
Berry Global, Inc.
1.57%	01/15/26		20,000		18,677
1.65%	01/15/27		20,000		18,250
Boeing Co. (The)
4.88%	05/01/25		25,000		25,826
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/262		10,000		9,846
Sealed Air Corp.
1.57%	10/15/261		30,000		27,394
Sonoco Products Co.
3.13%	05/01/30		25,000		24,067
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%	04/28/261,3		15,000		15,069
3.90%	03/22/231,3		75,000		75,893
WRKCo, Inc.
3.00%	06/15/33		10,000		9,345
					274,880
Information Technology — 1.50%
Broadcom, Inc.
3.42%	04/15/331		35,000		32,681

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
Fiserv, Inc.
2.65%	06/01/30	$	10,000	$	9,244
Micron Technology, Inc.
2.70%	04/15/32		15,000		13,627
Netflix, Inc.
3.63%	06/15/251		35,000		35,229
Oracle Corp.
2.88%	03/25/31		80,000		73,048
					163,829
Insurance — 4.28%
Aon Corp.
2.80%	05/15/30		25,000		23,815
Aon Corp./Aon Global Holdings PLC
2.60%	12/02/31		10,000		9,222
Athene Global Funding
1.61%	06/29/261		5,000		4,560
(SOFR Rate plus 0.70%)
0.91%	05/24/241,2		40,000		39,503
Berkshire Hathaway Finance Corp.
2.88%	03/15/32		15,000		14,557
Brown & Brown, Inc.
4.20%	03/17/32		30,000		30,505
Equitable Financial Life Global Funding
1.80%	03/08/281		25,000		22,505
Farmers Exchange Capital
7.05%	07/15/281		5,000		5,706
Farmers Insurance Exchange
4.75%	11/01/571,6		45,000		47,275
Marsh & McLennan Cos., Inc.
2.25%	11/15/30		20,000		18,282
2.38%	12/15/31		10,000		9,174
Metropolitan Life Global Funding I
2.95%	04/09/301		15,000		14,559
MMI Capital Trust I,
Series B
7.63%	12/15/27		50,000		58,701
Nationwide Mutual Insurance Co.
3.12%	12/15/241,6		50,000		50,034
New York Life Insurance Co.
5.88%	05/15/331		25,000		29,861
Progressive Corp. (The)
3.00%	03/15/32		10,000		9,741
Teachers Insurance & Annuity Association of America
4.38%	09/15/541,6		55,000		54,819
Willis North America, Inc.
2.95%	09/15/29		25,000		23,508
					466,327
Materials — 0.51%
FMC Corp.
3.45%	10/01/29		10,000		9,836
Georgia-Pacific LLC
2.30%	04/30/301		20,000		18,593

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 120

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Materials (continued)
International Flavors & Fragrances, Inc.
2.30%	11/01/301	$	30,000	$	26,828
					55,257
Real Estate Investment Trust (REIT) — 9.42%
American Assets Trust LP
3.38%	02/01/31		25,000		23,526
American Campus Communities Operating Partnership LP
2.25%	01/15/29		80,000		73,040
3.30%	07/15/26		15,000		14,939
3.63%	11/15/27		5,000		4,979
3.75%	04/15/23		20,000		20,177
American Homes 4 Rent LP
2.38%	07/15/31		30,000		26,561
American Tower Corp.
2.90%	01/15/30		15,000		13,994
Boston Properties LP
3.25%	01/30/31		15,000		14,549
Crown Castle International Corp.
3.30%	07/01/30		25,000		23,943
CubeSmart LP
4.38%	02/15/29		15,000		15,716
CyrusOne LP/CyrusOne Finance Corp.
2.90%	11/15/24		40,000		40,110
3.45%	11/15/29		65,000		68,256
Equinix, Inc.
3.90%	04/15/32		25,000		24,869
Essex Portfolio LP
2.65%	03/15/32		10,000		9,152
Extra Space Storage LP
3.90%	04/01/29		25,000		25,097
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		15,000		14,991
4.00%	01/15/30		20,000		19,558
5.30%	01/15/29		20,000		21,083
Healthcare Realty Trust, Inc.
3.88%	05/01/25		20,000		20,252
Healthcare Trust of America Holdings LP
2.00%	03/15/31		100,000		86,677
3.10%	02/15/30		15,000		14,343
Healthpeak Properties, Inc.
4.00%	06/01/25		65,000		66,144
Hudson Pacific Properties LP
3.95%	11/01/27		75,000		75,448
Invitation Homes Operating Partnership LP
2.30%	11/15/28		45,000		40,927
Kilroy Realty LP
2.50%	11/15/32		25,000		21,761
3.05%	02/15/30		5,000		4,685
4.38%	10/01/25		15,000		15,416
Life Storage LP
2.20%	10/15/30		40,000		35,407
LXP Industrial Trust
2.38%	10/01/31		25,000		22,223
2.70%	09/15/30		25,000		23,110

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%	06/15/251	$	50,000	$	50,634
Mid-America Apartments LP
1.70%	02/15/31		20,000		17,313
Piedmont Operating Partnership LP
2.75%	04/01/32		25,000		22,243
SL Green Operating Partnership LP
3.25%	10/15/22		35,000		35,013
UDR, Inc.
(MTN)
4.40%	01/26/29		10,000		10,525
Ventas Realty LP
4.13%	01/15/26		10,000		10,240
					1,026,901
Retail — 0.39%
Alimentation Couche-Tard, Inc.
(Canada)
2.95%	01/25/301,3		25,000		23,701
Starbucks Corp.
2.55%	11/15/30		20,000		18,630
					42,331
Services — 1.24%
Global Payments, Inc.
1.50%	11/15/24		10,000		9,563
Northwestern University
3.69%	12/01/38		20,000		21,420
RELX Capital, Inc.
3.00%	05/22/30		30,000		28,641
Republic Services, Inc.
2.90%	07/01/26		10,000		9,938
S&P Global, Inc.
2.90%	03/01/321		10,000		9,699
4.75%	08/01/281		30,000		32,256
Waste Connections, Inc.
(Canada)
2.60%	02/01/303		25,000		23,548
					135,065
Transportation — 1.52%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		6,008		6,017
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		22,758		20,889
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%	05/15/32		30,183		27,889
Norfolk Southern Corp.
3.00%	03/15/32		15,000		14,640
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		3,221		3,241

See accompanying Notes to Financial Statements.

121 / Annual Report March 2022

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	16,850	$	17,289
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		40,992		42,760
Union Pacific Corp.
2.80%		02/14/32		5,000		4,811
2.89%		04/06/36		30,000		28,065
						165,601
Total Corporates
(Cost $7,735,055)						7,227,326
MORTGAGE-BACKED — 25.10%**
Non-Agency Commercial Mortgage-Backed — 7.07%
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.35%		04/10/466		3,376,752		33,066
Citigroup Commercial Mortgage Trust,
Series 2013-GC15, Class XA (IO)
0.82%		09/10/466		7,309,012		65,466
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.96%		10/10/476		572,256		11,135
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.17%		03/10/466		486,773		3,812
Commercial Mortgage Trust,
Series 2013-CR9, Class XA (IO)
0.05%		07/10/456		13,811,968		3,709
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.26%		01/10/466		2,058,633		8,795
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.95%		08/10/476		593,728		10,606
Commercial Mortgage Trust,
Series 2014-UBS2, Class XA (IO)
1.12%		03/10/476		870,608		14,255
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
1.06%		06/10/476		1,787,201		31,829
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.85%		09/10/474,5,6		2,060,982		33,608
CSMC Trust,
Series 2016-NXSR, Class XA (IO)
0.71%		12/15/496		318,389		8,638
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.47%		02/10/466		3,073,346		24,768
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%		02/10/371,6		375,000		3,510

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)
0.56%	08/10/431,6	$	2,479,150	$	18,610
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.00%	08/10/441,6		272,824		3
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.54%	08/10/466		4,480,226		26,610
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.06%	04/10/476		2,404,750		37,622
GS Mortgage Securities Trust,
Series 2016-GS3, Class XA (IO)
1.20%	10/10/496		209,631		8,965
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.82%	09/15/476		1,906,476		29,571
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.82%	11/15/476		1,477,975		26,536
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.60%	05/15/486		493,542		7,365
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2010-C2, Class XB (IO)
1.52%	11/15/431,6		602,323		1,425
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.39%	12/15/476		1,181,582		6,701
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C8, Class XA (IO)
0.90%	12/15/486		2,887,067		14,419
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
0.96%	12/15/476		1,828,272		36,256
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.02%	04/15/486		676,166		15,099
Natixis Commercial Mortgage Securities Trust,
Series 2020-2PAC, Class XB (IO)
0.81%	12/15/381,6		570,000		12,769
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.21%	08/10/491,4,5,6		3,700,000		4,064
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.10%	08/15/506		326,278		5,899
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.03%	12/15/476		4,961,859		103,647
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.65%	07/15/586		2,198,996		38,049

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 122

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class XA (IO)
1.20%		06/15/451,6	$	2,191,406	$	677
WF-RBS Commercial Mortgage Trust,
Series 2014-C19, Class XA (IO)
1.00%		03/15/476		7,627,697		98,538
WF-RBS Commercial Mortgage Trust,
Series 2014-LC14, Class XA (IO)
1.25%		03/15/476		1,363,772		24,009
						770,031
Non-Agency Mortgage-Backed — 6.75%
American Home Mortgage Investment Trust,
Series 2004-4, Class 1A1
(LIBOR USD 1-Month plus 0.68%)
1.14%		02/25/452		56,894		56,979
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R11, Class M3
(LIBOR USD 1-Month plus 0.75%)
1.21%		01/25/362		100,000		99,978
Banc of America Funding Trust,
Series 2014-R7, Class 2A1
(LIBOR USD 1-Month plus 0.14%)
0.60%		09/26/361,2		15,782		15,661
Bear Stearns ARM Trust,
Series 2004-1, Class 12A5
2.79%		04/25/346		7,452		7,419
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A2
7.58%		06/15/306		19,426		3,841
Centex Home Equity Loan Trust,
Series 2005-D, Class M4
(LIBOR USD 1-Month plus 0.92%)
1.37%		10/25/352		22,593		22,588
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/611,6		80,929		76,737
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
1.81%		10/25/371,2		4,794		4,801
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
1.09%		02/25/352		41,532		40,250
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(LIBOR USD 1-Month plus 0.90%)
1.36%		10/25/472		21,556		21,173
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
2.91%		09/25/356		11,643		11,776

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.62%		05/25/372	$	17,292	$	17,191
Impac CMB Trust,
Series 2004-6, Class 1A2
(LIBOR USD 1-Month plus 0.78%)
1.24%		10/25/342		91,452		91,654
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX3, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.70%		06/25/372		83,358		79,732
JPMorgan Mortgage Trust,
Series 2005-A3, Class 2A1
2.69%		06/25/356		2,670		2,726
Long Beach Mortgage Loan Trust,
Series 2006-1, Class 1A
(LIBOR USD 1-Month plus 0.44%)
0.90%		02/25/362		5,027		4,958
Morgan Stanley Mortgage Loan Trust,
Series 2004-5AR, Class 3A1
2.25%		07/25/346		13,328		13,645
Saxon Asset Securities Trust,
Series 2007-2, Class A2A
(LIBOR USD 1-Month plus 0.10%)
0.56%		05/25/472		69,529		56,134
Structured Asset Mortgage Investments II Trust,
Series 2004-AR1, Class 1A2
(LIBOR USD 1-Month plus 0.70%)
1.15%		03/19/342		1,743		1,709
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A2A1
(LIBOR USD 1-Month plus 0.68%)
1.14%		01/25/452		96,712		95,348
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates,
Series 2004-1, Class 2A1
(LIBOR USD 1-Month plus 0.60%)
1.06%		04/25/342		11,733		11,478
						735,778
U.S. Agency Commercial Mortgage-Backed — 0.80%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.94%		07/25/396		477,041		12,539
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.12%		04/25/366		94,426		950
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.65%		01/25/396		515,424		14,565
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K020, Class X1 (IO)
1.51%		05/25/226		212,231		—

See accompanying Notes to Financial Statements.

123 / Annual Report March 2022

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

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)
0.78%		10/25/226	$	1,625,574	$	4,821
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K049, Class X3 (IO)
1.55%		10/25/436		250,000		11,136
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC01, Class X1 (IO)
0.42%		12/25/226		2,284,499		9,343
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.13%		02/16/536		2,993,198		12,415
Ginnie Mae,
Series 2013-1, Class IO (IO)
0.58%		02/16/546		519,301		7,459
Ginnie Mae,
Series 2013-125, Class IO (IO)
0.20%		10/16/546		922,748		14,115
						87,343
U.S. Agency Mortgage-Backed — 10.48%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap)
5.54%		11/25/412		78,330		8,238
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42		28,514		27,668
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
1.56%		10/25/422		32,753		32,751
Freddie Mac REMICS,
Series 4064, Class TB
3.50%		06/15/42		103,000		103,321
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36		176,009		33,030
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.15%		10/20/332		216,943		30,005
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48		27,919		28,263
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48		3,165		3,198
Ginnie Mae,
Series 2019-15, Class GT
3.50%		02/20/49		25,321		25,515
UMBS (TBA)
2.00%		04/01/52		25,000		23,193

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
2.00%		05/01/52	$	325,000	$	301,151
2.50%		05/01/52		450,000		428,473
3.00%		05/01/52		100,000		97,625
						1,142,431
Total Mortgage-Backed
(Cost $3,922,669)						2,735,583
MUNICIPAL BONDS — 5.47%*
California — 1.67%
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%		07/01/34		25,000		29,645
5.76%		07/01/29		80,000		90,953
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%		07/01/34		10,000		12,708
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		8,770
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements
5.88%		04/01/32		20,000		22,664
Santa Monica Community College District General Obligation Bonds
2.05%		08/01/33		20,000		17,901
						182,641
Florida — 0.14%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		15,000		15,046
Maryland — 0.12%
City of Baltimore Revenue Bonds, Series B
2.13%		07/01/33		15,000		13,349
Massachusetts — 0.26%
Massachusetts School Building Authority Revenue Bonds, Series A
2.50%		02/15/37		15,000		13,141
Massachusetts School Building Authority Revenue Bonds,
Series B
2.97%		10/15/32		15,000		14,955
						28,096
New York — 3.28%
City of New York General Obligation Bonds, Series D
1.92%		08/01/31		30,000		26,351
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		5,074
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.50%		11/01/33		50,000		44,486

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 124

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33	$	100,000	$	84,149
New York State Dormitory Authority Revenue Bonds, School Improvements, Series F
2.96%		02/15/32		25,000		23,729
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29		75,000		68,614
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%		03/15/33		50,000		55,810
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B
2.97%		03/15/34		15,000		14,075
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%		03/15/33		15,000		12,837
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.59%		03/15/35		25,000		22,284
						357,409
Total Municipal Bonds
(Cost $664,911)						596,541
U.S. TREASURY SECURITIES — 2.37%
U.S. Treasury Notes — 2.37%
U.S. Treasury Notes
1.75%		03/15/25		45,000		44,070
1.88%		02/15/32		163,000		156,569
2.50%		03/31/27		57,000		57,136
Total U.S. Treasury Securities
(Cost $257,627)						257,775
Total Bonds — 104.68%
(Cost $13,173,581)						11,409,580
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.83%
Money Market Funds — 2.83%
Dreyfus Government Cash Management Fund
0.19%7				138,000		138,000

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Fidelity Investments Money Market Funds - Government Portfolio
0.12%7			20,477	$	20,477
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%7			150,000		150,000
Total Short-Term Investments
(Cost $308,477)					308,477
Total Investments Before Written Options - 107.51%
(Cost $13,482,058)					11,718,057
Written Options - (0.17)%
(Cost $(9,237))					(18,394	)
Liabilities in Excess of Other Assets - (7.34)%					(800,537	)
Net Assets - 100.00%				$	10,899,126

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 $86,557, which is 0.79% of total net assets.

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

⁷ Represents the current yield as of March 31, 2022.

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

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

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

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(TBA): To-Be-Announced

(USD): U.S. Dollar

See accompanying Notes to Financial Statements.

125 / Annual Report March 2022

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		10		06/30/22	$	1,146,875	$	(29,731)		$        (29,731)
U.S. Treasury Two-Year Note		8		06/30/22		1,695,375		(20,758)		(20,758)
						2,842,250		(50,489)		(50,489)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		13		06/21/22		(1,761,094)		58,308		58,308
U.S. Treasury Ultra Bond		1		06/21/22		(177,125)		6,920		6,920
						(1,938,219)		65,228		65,228
TOTAL FUTURES CONTRACTS					$	904,031	$	14,739	$	14,739

Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		5		$97.88		12/16/22	$	(304,047)	$	(2,344)
WRITTEN PUT OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		5		$97.38		12/16/22	$	(304,047)	$	(5,844)

Received by the Fund

Paid by the Fund

Description

Counterparty

Purchase Date

Maturity Date

Rate

Frequency

Rate

Frequency

Notional     Amount     (000’s)

Value

Premiums   (Received)

Unrealized (Depreciation)

WRITTEN PUT SWAPTIONS

Option to enter into a 2-year Interest Rate Swap

Citigroup Global Markets, Inc.

03/09/22

06/08/22

1.95%

Semi- annually

3-month USD LIBOR

Quarterly

$

660

$

(10,206)

$

(1,848)

$

(8,358)

		Received by the Fund			Paid by the Fund
Description	Maturity Date	Rate	Frequency		Rate		Frequency		Notional     Amount (000’s)		Value			Premiums Paid		Unrealized Appreciation (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap1	07/24/53	3-month USD LIBOR		Quarterly		1.81%		Semi-annually	$	20	$	1,903		$	—	$	1,903
Interest Rate Swap1	07/24/53	3-month USD LIBOR		Quarterly		1.77%		Semi-annually		40		4,097			—		4,097
Interest Rate Swap1	07/24/53	3-month USD LIBOR		Quarterly		1.79%		Semi-annually		25		2,496			—		2,496
Interest Rate Swap1	09/28/53	3-month USD LIBOR		Quarterly		1.87%		Semi-annually		85		6,757			—		6,757
Interest Rate Swap1	07/24/25	1.07%		Semi-annually		3-month USD LIBOR		Quarterly		235		(8,130	)		—		(8,130	)
Interest Rate Swap1	07/24/25	1.03%		Semi-annually		3-month USD LIBOR		Quarterly		470		(16,674	)		—		(16,674	)
Interest Rate Swap1	07/24/25	1.03%		Semi-annually		3-month USD LIBOR		Quarterly		340		(12,011	)		—		(12,011	)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 126

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2022

		Received by the Fund			Paid by the Fund
Description	Maturity Date	Rate	Frequency		Rate	Frequency		Notional     Amount (000’s)		Value			Premiums Paid		Unrealized Appreciation (Depreciation)
Interest Rate Swap1	09/28/25	1.39%		Semi-annually	3-month USD LIBOR		Quarterly	$	1,010	$	(27,519	)	$	—	$	(27,519	)
TOTAL SWAPS CONTRACTS								$	2,225	$	(49,081	)	$	—	$	(49,081	)

¹ Centrally cleared.

See accompanying Notes to Financial Statements.

127 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
BONDS – 109.81%
ASSET-BACKED SECURITIES — 8.33%**
Access Group, Inc.,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.70%)
1.16%	07/25/561,2	$	1,187,412	$	1,169,254
ACRES Commercial Realty Ltd.,
Series 2021-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.20%)
1.64%	06/15/361,2,3		3,630,000		3,604,545
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%	10/16/281,2,3		950,038		948,262
AMMC CLO XIII Ltd.,
Series 2013-13A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
1.32%	07/24/291,2,3		6,050,000		6,018,480
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.20%	07/20/291,2,3		3,023,738		3,006,956
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.91%	04/25/351,2		123,485		120,199
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
1.30%	02/25/302		42,097		42,114
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.26%	10/27/362		5,075,000		5,043,380
BSPRT Issuer Ltd.,
Series 2018-FL4, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.30%)
1.70%	09/15/351,2,3		4,077,718		4,030,290
BSPRT Issuer Ltd.,
Series 2019-FL5, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.48%)
1.88%	05/15/291,2,3		6,500,000		6,430,639
Canyon Capital CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.04%	04/15/341,2,3		1,350,000		1,345,450
Carvana Auto Receivables Trust,
Series 2022-N1, Class N
4.60%	12/11/281		4,000,000		4,003,729

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
CF Hippolyta, LLC,
Series 2020-1, Class A1
1.69%	07/15/601	$	8,468,632	$	7,947,884
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
1.26%	04/26/321,2		6,092,103		6,050,948
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.95%	08/25/422		1,739,165		1,634,796
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.55%	05/25/341,2		442,456		442,965
Invitation Homes Trust,
Series 2018-SFR2, Class B
(LIBOR USD 1-Month plus 1.08%)
1.48%	06/17/371,2		5,844,082		5,803,250
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		3,125,924		3,242,482
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
1.23%	03/20/301,2,3		4,500,000		4,473,882
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.53%	05/15/281,2,3		2,882,475		2,878,665
Madison Park Funding XIX Ltd.,
Series 2015-19A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 0.92%)
1.18%	01/22/281,2,3		6,074,446		6,032,836
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.26%	07/21/301,2,3		9,550,000		9,490,312
Magnetite VII Ltd.,
Series 2012-7A, Class A1R2
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.04%	01/15/281,2,3		5,310,991		5,275,992
Navient Student Loan Trust,
Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
1.03%	11/26/402		4,157,298		4,096,432
Navient Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
1.51%	12/27/661,2		2,499,041		2,507,352

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 128

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust,
Series 2013-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
1.06%	06/25/411,2	$	1,848,539	$	1,814,201
Nelnet Student Loan Trust,
Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
1.01%	07/25/461,2		5,874,282		5,776,208
NYACK Park CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.65%)
0.77%	10/20/341,2,3		3,125,000		3,096,031
Octagon Investment Partners XIV Ltd.,
Series 2012-1A, Class AARR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.19%	07/15/291,2,3		6,000,000		5,968,236
OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.06%	04/21/341,2,3		1,640,625		1,636,064
Palmer Square CLO Ltd.,
Series 2018-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.03%)
1.27%	04/18/311,2,3		2,250,000		2,234,138
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.25%	04/20/281,2,3		2,285,486		2,278,149
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.28%	05/20/291,2,3		1,354,364		1,344,437
PHEAA Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.15%)
1.61%	09/25/651,2		5,828,783		5,842,288
Progress Residential Trust,
Series 2020-SFR3, Class F
2.80%	10/17/271		6,980,000		6,337,636
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.33%	04/20/341,2,3		5,100,000		5,033,700
Reese Park CLO Ltd.,
Series 2020-1A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%	10/15/341,2,3		1,900,000		1,883,603

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5	$	6,394,464	$	6,034,776
SLC Student Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 3-Month plus 0.06%)
0.57%	05/15/292		2,611,457		2,575,016
SLM Student Loan Trust,
Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
1.30%	12/15/271,2		270,838		270,784
SLM Student Loan Trust,
Series 2003-11, Class A6
(LIBOR USD 3-Month plus 0.55%)
1.38%	12/15/251,2		890,047		888,568
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
1.91%	07/25/222		3,516,294		3,529,101
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.36%	07/25/232		2,426,302		2,397,499
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
1.16%	01/25/292		2,111,697		2,053,375
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
1.11%	05/26/262		8,281,691		8,105,567
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
1.01%	06/25/432		2,429,304		2,390,460
SLM Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.60%)
1.06%	02/26/292		3,907,713		3,778,130
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2		2,900,000		2,671,877
Tricon American Homes Trust,
Series 2017-SFR2, Class A
2.93%	01/17/361		10,967,613		10,890,909
Tricon American Homes Trust,
Series 2017-SFR2, Class B
3.28%	01/17/361		9,017,000		8,934,665
TRTX Issuer Ltd.,
Series 2019-FL3, Class A
(Cayman Islands)
(SOFR30A plus 1.26%)
1.31%	10/15/341,2,3		8,552,513		8,532,510

See accompanying Notes to Financial Statements.

129 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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%)
1.22%	06/07/301,2,3	$	5,850,000	$	5,808,523
Total Asset-Backed Securities (Cost $209,583,201)					207,747,545
BANK LOANS — 2.71%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/30/262		507,125		501,546
Communications — 0.58%
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/15/272		2,914,546		2,841,464
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(LIBOR plus 1.75%)
2.21%	02/01/272		244,361		242,648
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.65%	07/17/252		444,171		438,066
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.90%	04/15/272		246,851		243,025
Diamond Sports Group, LLC,
Term Loan, 1st Lien
(LIBOR plus 8.00%)
9.00%	05/25/262		209,299		212,889
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/272		1,193,750		1,193,983
Intelsat Jackson Holdings SA,
Term Loan (Luxembourg)
(SOFR plus 4.42%)
4.92%	02/01/292,3		3,133,588		3,087,806
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/01/272		3,950,000		3,881,803
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.46%	03/09/272		2,462,632		2,400,044
					14,541,728

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Consumer Discretionary — 0.36%
AI Aqua Merger Sub, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.00%	07/31/282,6	$	1,629,630	$	1,614,865
Four Seasons Hotels, Ltd.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.21%	11/30/232		2,685,827		2,681,207
Naked Juice, LLC,
Term Loan
(SOFR plus 3.25%)
4.00%	01/24/292		3,250,000		3,203,574
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.76%	10/01/262		1,567,085		1,559,007
					9,058,653
Electric — 0.01%
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.19%	12/31/252		47,463		47,048
2.21%	12/31/252		196,374		194,656
					241,704
Finance — 0.18%
Jane Street Group LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	01/26/282		746,222		737,674
Mozart Borrower, LP,
Term Loan B
(LIBOR plus 3.25%)
3.75%	10/23/282		2,525,000		2,502,742
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.01%	11/05/282		1,315,000		1,297,471
					4,537,887
Food — 0.17%
Chobani LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	10/25/272		2,643,291		2,606,127
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/252		1,686,894		1,668,068
					4,274,195
Gaming — 0.08%
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
3.21%	12/23/242		3,231		3,218

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 130

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Gaming (continued)
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.50%	01/27/292	$	1,950,000	$	1,942,814
					1,946,032
Health Care — 0.48%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	11/08/272		1,584,040		1,574,140
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/242		870,019		866,430
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.98%	08/01/272		2,859,992		2,819,552
Embecta Corp.,
Term Loan B
(SOFR plus 3.00%)
3.65%	01/27/292		2,478,261		2,449,278
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/282		1,585,995		1,490,010
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	11/15/272		231,389		227,831
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	05/05/282		2,488,232		2,482,174
					11,909,415
Industrials — 0.13%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
2.07%	07/01/262		2,911,775		2,875,829
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.71%	05/30/252		391,000		384,646
					3,260,475
Information Technology — 0.36%
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
4.00%	02/15/292,7		2,137,681		2,118,976
Azalea Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
3.75%	07/24/262		1,500,000		1,487,812

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
3.00%	03/02/292	$	410,000	$	409,574
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	10/01/272		648,359		648,359
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/07/242		428,968		426,556
NortonLifeLock, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
2.00%	01/28/292		3,000,000		2,966,880
Scientific Games International, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.75%)
3.21%	08/14/242		997,403		994,914
					9,053,071
Insurance — 0.08%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	02/15/272		1,969,975		1,946,177
Retail — 0.06%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/282		437,785		431,218
Whatabrands LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.75%	08/03/282		997,500		986,802
					1,418,020
Services — 0.19%
Amentum Government Services Holdings, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.78%	02/15/292		1,588,703		1,578,773
(SOFR plus 4.50%)
4.50%	02/15/292		1,411,297		1,402,477
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	05/30/252		651,845		650,421
Trans Union LLC,
Term Loan B6
(LIBOR plus 2.25%)
2.75%	12/01/282		1,246,412		1,239,139
					4,870,810

See accompanying Notes to Financial Statements.

131 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.20%	01/29/272	$	173,727	$	163,086
Total Bank Loans
(Cost $67,443,595)					67,722,799
CORPORATES — 31.51%*
Banking — 8.67%
Bank of America Corp.
1.73%	07/22/278		10,000,000		9,299,039
2.88%	04/24/238		3,000,000		3,000,937
Bank of America Corp.
(MTN)
3.38%	04/02/268		26,972,000		26,940,411
3.46%	03/15/258		6,773,000		6,817,342
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,8		2,000,000		1,788,596
2.59%	09/11/251,3,8		9,715,000		9,375,869
3.80%	06/09/233		1,170,000		1,181,350
3.87%	01/12/291,3,8		2,605,000		2,550,208
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,8		8,340,000		7,904,701
HSBC Holdings PLC
(United Kingdom)
3.00%	03/10/263,8		23,710,000		23,256,774
ING Groep NV
(Netherlands)
3.87%	03/28/263,8		645,000		648,467
JPMorgan Chase & Co.
0.70%	03/16/248		6,581,000		6,461,070
0.77%	08/09/258		2,535,000		2,405,878
0.97%	06/23/258		9,244,000		8,831,573
4.02%	12/05/248		20,520,000		20,857,266
Lloyds Banking Group PLC
(United Kingdom)
3.51%	03/18/263,8		3,370,000		3,354,557
3.87%	07/09/253,8		5,501,000		5,562,145
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,8		5,880,000		5,562,470
1.34%	01/12/271,3,8		3,425,000		3,124,748
3.19%	11/28/231,3,8		3,960,000		3,967,545
NatWest Group PLC
(United Kingdom)
3.50%	05/15/233,8		11,639,000		11,655,871
Santander UK Group Holdings PLC
(United Kingdom)
3.37%	01/05/243,8		320,000		321,097
4.80%	11/15/243,8		13,000,000		13,301,588
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		1,000,000		1,024,500

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
UBS AG
(Switzerland)
0.70%		08/09/241,3	$	1,820,000	$	1,725,940
(SOFR Rate plus 0.45%)
0.63%		08/09/241,2,3		4,000,000		3,971,893
Wells Fargo & Co.
(MTN)
2.39%		06/02/288		2,000,000		1,893,481
3.53%		03/24/288		29,700,000		29,669,049
						216,454,365
Communications — 1.98%
AT&T, Inc.
2.30%		06/01/27		1,600,000		1,527,360
2.55%		12/01/33		1,599,000		1,423,802
(LIBOR USD 3-Month plus 1.18%)
1.98%		06/12/242		475,000		482,050
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.50%		02/01/24		1,720,000		1,760,386
Cox Communications, Inc.
3.15%		08/15/241		1,199,000		1,201,784
7.63%		06/15/25		900,000		1,009,792
Level 3 Financing, Inc.
3.40%		03/01/271		1,330,000		1,255,759
Qwest Corp.
7.25%		09/15/25		4,665,000		5,096,513
SES SA
(Luxembourg)
3.60%		04/04/231,3		4,820,000		4,848,248
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%		03/20/251		9,837,000		10,047,816
5.15%		03/20/281		3,675,000		3,873,264
T-Mobile USA, Inc.
2.25%		02/15/26		3,091,000		2,916,049
3.50%		04/15/25		645,000		651,166
3.75%		04/15/27		6,325,000		6,373,179
3.88%		04/15/30		3,810,000		3,830,049
Vodafone Group PLC
(United Kingdom)
4.13%		05/30/253		3,000,000		3,089,895
						49,387,112
Consumer Discretionary — 2.44%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/251,3		6,030,000		6,177,647
BAT Capital Corp.
3.22%		08/15/24		2,140,000		2,139,748
3.56%		08/15/27		9,265,000		9,019,256
Constellation Brands, Inc.
3.20%		02/15/23		5,000,000		5,034,128
GSK Consumer Healthcare Capital U.S., LLC
3.38%		03/24/271		9,350,000		9,360,396

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 132

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Hyatt Hotels Corp.
1.30%	10/01/23	$	4,655,000	$	4,539,599
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		1,106,000		1,096,810
3.75%	07/21/221,3		3,921,000		3,933,930
4.25%	07/21/251,3		5,205,000		5,250,201
Magallanes, Inc.
3.76%	03/15/271		14,400,000		14,381,354
					60,933,069
Electric — 2.44%
Alliant Energy Finance LLC
1.40%	03/15/261		6,540,000		5,958,461
American Electric Power Co., Inc.
2.03%	03/15/24		6,880,000		6,767,404
Black Hills Corp.
4.25%	11/30/23		4,050,000		4,117,303
Dominion Energy, Inc.
2.45%	01/15/231		5,000,000		5,004,038
Dominion Energy, Inc.,
Series A
3.30%	03/15/25		4,600,000		4,638,596
Evergy Metro, Inc.
3.65%	08/15/25		1,613,000		1,639,303
Eversource Energy
2.90%	03/01/27		6,425,000		6,304,962
Exelon Corp.
2.75%	03/15/271		5,165,000		5,033,375
Jersey Central Power & Light Co.
4.30%	01/15/261		1,868,000		1,909,043
4.70%	04/01/241		8,348,000		8,539,114
NextEra Energy Capital Holdings, Inc.
2.94%	03/21/24		10,020,000		10,025,287
Pennsylvania Electric Co.
4.15%	04/15/251		500,000		508,239
Tucson Electric Power Co.
3.85%	03/15/23		530,000		538,042
					60,983,167
Energy — 1.00%
Energy Transfer LP
4.05%	03/15/25		2,610,000		2,645,290
4.75%	01/15/26		2,000,000		2,076,978
4.90%	02/01/24		4,292,000		4,400,199
5.95%	12/01/25		2,520,000		2,697,939
Petroleos Mexicanos
(Mexico)
6.70%	02/16/323		6,259,000		5,961,697
Plains All American Pipeline LP/PAA Finance Corp.
4.50%	12/15/26		3,017,000		3,098,691
Ruby Pipeline LLC
8.00%	04/01/221,4,5		2,254,091		2,096,305
Southern Co. Gas Capital Corp.
3.88%	11/15/25		1,950,000		1,986,938
					24,964,037

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance — 5.04%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263	$	500,000	$	462,461
3.15%	02/15/243		6,300,000		6,204,033
4.88%	01/16/243		718,000		727,481
Air Lease Corp.
2.20%	01/15/27		4,835,000		4,475,635
Air Lease Corp.
(MTN)
0.70%	02/15/24		1,250,000		1,194,670
American Express Co.
2.25%	03/04/25		6,440,000		6,325,336
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		3,608,000		3,193,547
Capital One Financial Corp.
2.64%	03/03/268		5,150,000		5,048,185
Citigroup, Inc.
0.98%	05/01/258		6,270,000		5,985,336
3.11%	04/08/268		8,025,000		7,970,197
3.35%	04/24/258		17,240,000		17,290,070
Daimler Finance North America LLC
1.75%	03/10/231		2,470,000		2,458,189
Discover Financial Services
5.20%	04/27/22		2,558,000		2,564,745
Ford Motor Credit Co. LLC
(LIBOR USD 3-Month plus 1.08%)
1.38%	08/03/222		2,700,000		2,691,225
Goldman Sachs Group, Inc. (The)
2.91%	07/24/238		6,814,000		6,824,180
Morgan Stanley
2.48%	01/21/288		5,000,000		4,770,149
Morgan Stanley
(GMTN)
0.79%	01/22/258		7,760,000		7,454,209
Morgan Stanley
(MTN)
0.53%	01/25/248		17,835,000		17,548,908
2.72%	07/22/258		7,270,000		7,194,990
Nationwide Building Society
(United Kingdom)
3.62%	04/26/231,3,8		8,205,000		8,206,750
3.77%	03/08/241,3,8		6,730,000		6,769,835
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/231,3		365,000		367,772
					125,727,903
Food — 0.51%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%	02/02/291,3		5,590,000		5,192,871
Kraft Heinz Foods Co.
3.88%	05/15/27		7,500,000		7,620,493
					12,813,364

See accompanying Notes to Financial Statements.

133 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care — 3.65%
AbbVie, Inc.
3.25%	10/01/22	$	1,500,000	$	1,507,617
3.85%	06/15/24		2,500,000		2,550,754
Aetna, Inc.
3.50%	11/15/24		3,136,000		3,172,410
Baxter International, Inc.
0.87%	12/01/231		3,830,000		3,709,151
Bayer U.S. Finance II LLC
2.20%	07/15/221		1,455,000		1,454,999
2.85%	04/15/251		4,665,000		4,559,478
4.25%	12/15/251		1,000,000		1,017,967
Bayer U.S. Finance LLC
3.38%	10/08/241		5,540,000		5,539,728
Becton Dickinson and Co.
3.73%	12/15/24		3,000,000		3,051,225
Boston Scientific Corp.
1.90%	06/01/25		2,500,000		2,400,949
Cigna Corp.
3.75%	07/15/23		2,166,000		2,198,581
CommonSpirit Health
2.76%	10/01/24		5,400,000		5,358,057
CVS Health Corp.
2.88%	06/01/26		4,330,000		4,292,703
Dignity Health
3.13%	11/01/22		1,140,000		1,148,723
Fresenius U.S. Finance II, Inc.
4.50%	01/15/231		5,205,000		5,272,668
HCA, Inc.
3.13%	03/15/271		2,510,000		2,456,450
5.00%	03/15/24		10,450,000		10,834,205
5.25%	04/15/25		1,500,000		1,580,360
HCA, Inc.
(MTN)
7.58%	09/15/25		1,100,000		1,219,874
Humana, Inc.
0.65%	08/03/23		7,130,000		6,958,290
3.15%	12/01/22		2,000,000		2,012,976
3.85%	10/01/24		3,990,000		4,056,731
PerkinElmer, Inc.
0.85%	09/15/24		6,880,000		6,534,829
Royalty Pharma PLC
(United Kingdom)
0.75%	09/02/233		5,275,000		5,124,762
Tenet Healthcare Corp.
4.63%	09/01/241		3,000,000		3,024,231
					91,037,718
Industrials — 1.23%
Artera Services LLC
9.03%	12/04/251		2,500,000		2,500,945
BAE Systems Holdings, Inc.
3.85%	12/15/251		2,910,000		2,923,434
Berry Global, Inc.
0.95%	02/15/24		1,405,000		1,345,405
1.65%	01/15/27		2,000,000		1,825,001
4.88%	07/15/261		1,365,000		1,380,302

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Boeing Co. (The)
1.17%	02/04/23	$	5,750,000	$	5,686,003
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/262		7,235,000		7,123,403
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/362		2,182,000		1,879,579
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%	03/22/231,3		5,920,000		5,990,524
					30,654,596
Information Technology — 1.35%
Netflix, Inc.
3.63%	06/15/251		3,207,000		3,228,038
5.88%	02/15/25		1,885,000		2,013,626
NXP BV/NXP Funding LLC
(Netherlands)
4.63%	06/01/231,3		6,745,000		6,845,863
Oracle Corp.
2.80%	04/01/27		9,385,000		8,996,181
Skyworks Solutions, Inc.
0.90%	06/01/23		6,340,000		6,201,765
VMware, Inc.
1.00%	08/15/24		6,690,000		6,379,117
					33,664,590
Insurance — 1.32%
Aon Corp./Aon Global Holdings PLC
2.85%	05/28/27		3,160,000		3,098,177
Athene Global Funding
2.51%	03/08/241		2,935,000		2,891,937
(SOFR Rate plus 0.70%)
0.91%	05/24/241,2		5,005,000		4,942,875
Equitable Financial Life Global Funding
0.80%	08/12/241		3,655,000		3,465,352
Farmers Insurance Exchange
8.63%	05/01/241		5,000,000		5,467,860
MMI Capital Trust I,
Series B
7.63%	12/15/27		2,000,000		2,348,046
Nationwide Mutual Insurance Co.
3.12%	12/15/241,8		5,550,000		5,553,827
Teachers Insurance & Annuity Association of America
4.38%	09/15/541,8		1,600,000		1,594,722
Trinity Acquisition PLC
(United Kingdom)
4.63%	08/15/233		3,410,000		3,489,488
					32,852,284
Materials — 0.06%
International Flavors & Fragrances, Inc.
0.70%	09/15/221		1,490,000		1,483,217

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 134

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) — 1.44%
American Campus Communities Operating Partnership LP
3.75%		04/15/23	$	7,374,000	$	7,439,307
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24		6,440,000		6,457,678
Federal Realty Investment Trust
7.48%		08/15/26		1,850,000		2,088,527
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24		1,197,000		1,196,282
5.38%		11/01/23		7,868,000		8,079,449
Healthpeak Properties, Inc.
4.00%		06/01/25		3,455,000		3,515,804
Kilroy Realty LP
3.45%		12/15/24		5,863,000		5,881,531
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.63%		06/15/251		675,000		683,556
SL Green Operating Partnership LP
3.25%		10/15/22		645,000		645,240
						35,987,374
Retail — 0.09%
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/271,3		2,175,000		2,163,614
Services — 0.15%
Global Payments, Inc.
1.50%		11/15/24		3,835,000		3,667,342
Transportation — 0.14%
Canadian Pacific Railway Co.
(Canada)
1.35%		12/02/243		2,315,000		2,224,451
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28		1,429,185		1,311,851
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A-1
7.04%		04/01/22		53,084		53,349
						3,589,651
Total Corporates
(Cost $807,276,197)						786,363,403
MORTGAGE-BACKED — 41.32%**
Non-Agency Commercial Mortgage-Backed — 8.43%
BANK,
Series 2018-BN14, Class A2
4.13%		09/15/60		5,414,830		5,490,260
BXMT Ltd.,
Series 2020-FL2, Class A
(Cayman Islands)
(SOFR30A plus 1.01%)
1.06%		02/15/381,2,3		7,000,000		6,965,506
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58		2,782,649		2,788,337

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2017-C4, Class A2
3.19%	10/12/50	$	10,912,761	$	10,942,422
Commercial Mortgage Trust,
Series 2013-CR7, Class XA (IO)
1.17%	03/10/468		23,583,249		184,702
Commercial Mortgage Trust,
Series 2014-CR15, Class ASB
3.60%	02/10/47		2,339,958		2,360,734
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%	11/10/47		6,389,770		6,360,549
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%	07/10/50		7,840,576		7,857,498
Commercial Mortgage Trust,
Series 2016-DC2, Class ASB
3.55%	02/10/49		197,207		199,137
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
1.38%	05/15/361,2		11,094,800		11,022,720
Great Wolf Trust,
Series 2019-WOLF, Class A
(LIBOR USD 1-Month plus 1.03%)
1.43%	12/15/361,2		8,884,000		8,775,719
GS Mortgage Securities Corp. II,
Series 2018-GS10, Class A1
3.20%	07/10/51		2,437,552		2,445,524
GS Mortgage Securities Corp. Trust,
Series 2019-70P, Class A
(LIBOR USD 1-Month plus 1.00%)
1.40%	10/15/361,2		10,000,000		9,896,542
GS Mortgage Securities Trust,
Series 2011-GC5, Class AS
5.16%	08/10/441,8		3,637,805		3,646,830
GS Mortgage Securities Trust,
Series 2012-ALOH, Class A
3.55%	04/10/341		20,500,000		20,491,033
GS Mortgage Securities Trust,
Series 2018-GS9, Class A2
3.84%	03/10/51		9,148,221		9,202,651
Independence Plaza Trust,
Series 2018-INDP, Class B
3.91%	07/10/351		10,000,000		9,870,115
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%	05/15/481		3,533,330		3,536,628
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C8, Class ASB
2.38%	10/15/45		99,037		99,001
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class A4FX
3.48%	06/15/451		1,084,909		1,084,834

See accompanying Notes to Financial Statements.

135 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
1.23%	04/15/468	$	28,985,820	$	257,474
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2014-C20, Class A4A2
3.54%	07/15/471		4,545,626		4,460,406
LoanCore Issuer Ltd.,
Series 2019-CRE3, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.05%)
1.45%	04/15/341,2,3		8,274,119		8,240,745
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.57%	10/15/468		46,029,832		281,268
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.86%	03/15/488		33,744,160		665,733
New York City Housing Development Corp.,
Series A - 8SPR, Class A (STEP-reset date 05/15/22)
3.71%	02/15/48		8,000,000		8,196,064
One Lincoln Street Commercial Mortgage,
Series 2004-C3, Class A1
5.72%	10/15/301,8		6,004,228		6,223,902
One Market Plaza Trust,
Series 2017-1MKT, Class A
3.61%	02/10/321		8,500,000		8,470,051
One Market Plaza Trust,
Series 2017-1MKT, Class E
4.14%	02/10/321		4,520,000		4,437,355
One New York Plaza Trust,
Series 2020-1NYP, Class A
(LIBOR USD 1-Month plus 0.95%)
1.35%	01/15/361,2		3,240,000		3,190,879
UBS Commercial Mortgage Trust,
Series 2018-C11, Class A2
3.99%	06/15/51		775,890		779,761
UBS Commercial Mortgage Trust,
Series 2018-C12, Class A2
4.15%	08/15/51		12,889,000		13,044,783
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class A4
3.55%	08/15/50		12,980,214		12,843,896
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%	06/15/45		2,439,660		2,436,942
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class AS
3.39%	11/15/45		7,911,000		7,955,873
WF-RBS Commercial Mortgage Trust,
Series 2013-C18, Class A4
3.90%	12/15/46		5,666,501		5,675,448
					210,381,322

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 12.71%
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.68%	02/25/372	$	3,221,423	$	3,226,939
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP1, Class A2D
(LIBOR USD 1-Month plus 0.48%)
0.94%	04/25/362		8,264,062		7,952,860
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R1, Class M3
(LIBOR USD 1-Month plus 0.80%)
1.25%	03/25/352		2,289,945		2,289,945
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R9, Class M1
(LIBOR USD 1-Month plus 0.71%)
1.16%	11/25/352		11,746,913		11,661,034
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/22)
7.53%	10/25/27		2,498		2,542
Argent Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2005-W2, Class M1
(LIBOR USD 1-Month plus 0.74%)
1.19%	10/25/352		7,915,250		7,859,893
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A5
(LIBOR USD 1-Month plus 0.54%)
1.00%	03/25/362		2,887,479		2,861,768
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		4,061,222		4,021,240
Bear Stearns ALT-A Trust,
Series 2004-10, Class M1
(LIBOR USD 1-Month plus 0.90%)
1.36%	09/25/342		3,063,426		3,063,426
Bear Stearns ALT-A Trust,
Series 2005-2, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
1.21%	03/25/352		1,715,116		1,712,059
Bear Stearns ARM Trust,
Series 2004-3, Class 4A
2.71%	07/25/348		313,651		306,214
BNC Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.16%)
0.62%	03/25/372		5,714,667		5,557,769
Chase Funding Trust,
Series 2002-2, Class 2A1
(LIBOR USD 1-Month plus 0.50%)
0.96%	05/25/322		1,897,930		1,873,003
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
2.40%	02/25/378		3,392,488		3,475,738

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 136

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
2.38%	06/25/358	$	597,548	$	603,426
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates,
Series 2005-2A, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.64%	05/25/361,2		464,023		435,015
CIM Trust,
Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
1.31%	09/25/581,2		4,790,809		4,693,036
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/571,8		9,313,241		9,034,664
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.66%	02/25/348		452		455
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class M2
(LIBOR USD 1-Month plus 0.42%)
0.88%	08/25/362		10,113,000		9,969,925
Countrywide Asset-Backed Certificates Trust,
Series 2005-AB2, Class M1
(LIBOR USD 1-Month plus 0.71%)
1.16%	09/25/352		9,002,216		8,824,117
Countrywide Asset-Backed Certificates Trust,
Series 2006-14, Class 2A3
(LIBOR USD 1-Month plus 0.24%)
0.70%	02/25/372		3,073,701		2,980,760
Countrywide Asset-Backed Certificates Trust,
Series 2006-4, Class M1
(LIBOR USD 1-Month plus 0.53%)
0.98%	07/25/362		5,746,924		5,683,623
Countrywide Asset-Backed Certificates Trust,
Series 2007-8, Class 1A1
(LIBOR USD 1-Month plus 0.19%)
0.65%	11/25/372		8,935,224		8,663,105
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
2.45%	08/25/348		7,547		7,547
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2004-AR1, Class 5A1
2.35%	02/25/348		492,036		507,982
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
0.55%	04/25/372		1,701,367		1,626,369
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
0.52%	04/25/372		2,119,522		1,485,053
DSLA Mortgage Loan Trust,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.42%)
0.87%	03/19/452		361,576		351,548

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Encore Credit Receivables Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.90%)
1.36%	10/25/352	$	7,017,000	$	7,024,603
First Franklin Mortgage Loan Trust,
Series 2004-FF5, Class A3C
(LIBOR USD 1-Month plus 1.00%)
1.46%	08/25/342		482,694		481,343
First Franklin Mortgage Loan Trust,
Series 2005-FF8, Class M2
(LIBOR USD 1-Month plus 0.78%)
1.24%	09/25/352		3,126,638		3,124,195
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 2A5 (PO)
0.00%	04/25/369		2,865,060		2,850,603
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.37%	09/25/348		1,978		1,943
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.54%	06/25/302		68,033		65,689
GSAMP Trust,
Series 2005-HE4, Class M3
(LIBOR USD 1-Month plus 0.78%)
1.24%	07/25/452		1,944,183		1,936,644
GSAMP Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.48%)
0.94%	03/25/462		5,966,155		5,904,734
GSAMP Trust,
Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.58%)
1.04%	02/25/362		1,525,714		1,524,410
GSR Mortgage Loan Trust,
Series 2005-AR7, Class 2A1
2.80%	11/25/358		136,696		134,035
Impac CMB Trust,
Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.32%)
1.10%	08/25/352		1,130,077		1,095,974
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
1.24%	12/25/342		182,772		152,939
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(LIBOR USD 1-Month plus 0.80%)
1.26%	11/25/342		501,293		480,825
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		254,117		262,159

See accompanying Notes to Financial Statements.

137 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2005-FRE1, Class M1
(LIBOR USD 1-Month plus 0.62%)
1.07%	10/25/352	$	6,169,279	$	6,184,789
JPMorgan Mortgage Acquisition Trust,
Series 2006-NC1, Class M1
(LIBOR USD 1-Month plus 0.48%)
0.94%	04/25/362		5,985,653		5,937,045
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class M1
(LIBOR USD 1-Month plus 0.23%)
0.69%	05/25/372		14,750,000		14,315,790
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A1
(LIBOR USD 1-Month plus 0.16%)
0.62%	06/25/372		15,229,718		15,156,773
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.74%	03/25/472		50,000		48,425
JPMorgan Mortgage Trust,
Series 2007-A1, Class 1A1
2.60%	07/25/358		389,115		397,381
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
2.39%	07/25/358		103,167		104,261
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class AIOC (IO)
0.55%	04/15/404,5,8		64,518,561		891,424
Long Beach Mortgage Loan Trust,
Series 2005-WL3, Class M1
(LIBOR USD 1-Month plus 0.65%)
1.10%	11/25/352		2,272,187		2,238,625
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.02%	01/25/348		4,262		4,470
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
2.76%	11/21/348		422,169		421,443
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
2.53%	04/25/348		64,778		64,813
MASTR Alternative Loan Trust,
Series 2003-1, Class 1A1
6.25%	12/25/32		1,087,300		1,097,885
MASTR Alternative Loan Trust,
Series 2003-5, Class 4A1
5.50%	07/25/33		1,839,978		1,860,909
MASTR Alternative Loan Trust,
Series 2003-9, Class 4A1
5.25%	11/25/33		2,163,971		2,158,919
MASTR Alternative Loan Trust,
Series 2004-7, Class 1A1
5.50%	07/25/34		1,982,325		2,004,965

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Asset-Backed Securities Trust,
Series 2006-HE1, Class M1
(LIBOR USD 1-Month plus 0.56%)
1.01%	01/25/362	$	6,430,639	$	6,346,028
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.41%	10/25/328		94,701		97,408
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.64%	06/25/372		8,256,398		7,644,981
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
2.66%	08/25/348		591,537		575,309
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2
6.00%	04/25/36		899,835		568,699
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/401		3,186,280		3,222,114
Mid-State Trust,
Series 10W, Class A2
5.82%	02/15/36		365,532		367,323
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(LIBOR USD 1-Month plus 0.93%)
1.39%	07/25/342		798,709		775,555
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-HE2, Class M1
(LIBOR USD 1-Month plus 0.60%)
1.06%	01/25/352		652,478		651,942
MortgageIT Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.60%)
1.06%	08/25/352		130,780		128,936
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
1.02%	10/25/352		3,252,665		3,223,341
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(LIBOR USD 1-Month plus 0.22%)
0.68%	04/25/372		6,513,991		6,475,036
New Century Home Equity Loan Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.64%)
1.42%	07/25/352		2,427,021		2,428,571
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.90%	02/25/362		2,388,465		2,390,458
New Century Home Equity Loan Trust,
Series 2005-D, Class M1
(LIBOR USD 1-Month plus 0.68%)
1.13%	02/25/362		5,000,000		4,931,495

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 138

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
NLT Trust,
Series 2021-INV2, Class A1
1.16%	08/25/561,8	$	7,262,644	$	6,814,034
Opteum Mortgage Acceptance Corp. Asset-Backed Pass- Through Certificates,
Series 2005-5, Class 1APT
(LIBOR USD 1-Month plus 0.56%)
1.02%	12/25/352		3,490,952		3,420,107
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.44%)
0.90%	01/25/362		362,923		362,775
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCW3, Class M2
(LIBOR USD 1-Month plus 0.74%)
1.19%	08/25/352		2,500,000		2,490,193
PHH Alternative Mortgage Trust,
Series 2007-3, Class A3
(LIBOR USD 1-Month plus 0.60%)
1.06%	07/25/372		6,421,071		6,300,677
PRPM, LLC,
Series 2021-1, Class A1
2.12%	01/25/261,8		11,419,823		11,014,102
PRPM, LLC,
Series 2021-10, Class A1 (STEP-reset date 04/25/22)
2.49%	10/25/261		12,458,314		11,993,724
PRPM, LLC,
Series 2021-7, Class A1 (STEP-reset date 04/25/22)
1.87%	08/25/261		12,886,242		12,251,094
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.59%	03/25/358		932,288		550,349
Residential Asset Mortgage Products Trust,
Series 2004-SL4, Class A3
6.50%	07/25/32		24,093		24,088
Residential Asset Mortgage Products Trust,
Series 2005-EFC1, Class M5
(LIBOR USD 1-Month plus 0.65%)
1.43%	05/25/352		4,199,838		4,195,115
Residential Asset Mortgage Products Trust,
Series 2006-NC2, Class A3
(LIBOR USD 1-Month plus 0.58%)
1.04%	02/25/362		996,323		992,495
Residential Asset Securities Corp.,
Series 2005-KS11, Class M2
(LIBOR USD 1-Month plus 0.63%)
1.09%	12/25/352		4,488,163		4,480,160
Saxon Asset Securities Trust,
Series 2006-2, Class M1
(LIBOR USD 1-Month plus 0.29%)
0.75%	09/25/362		11,000,000		10,849,835
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/22)
2.91%	01/25/36		1,515,322		1,238,114

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Loan Trust,
Series 2006-OPT4, Class 2A4
(LIBOR USD 1-Month plus 0.46%)
0.92%	06/25/362	$	4,655,684	$	4,548,385
Specialty Underwriting & Residential Finance Trust,
Series 2005-BC2, Class M3
(LIBOR USD 1-Month plus 0.98%)
1.43%	12/25/352		2,184,669		2,186,607
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-BC6, Class A4
(LIBOR USD 1-Month plus 0.17%)
0.63%	01/25/372		1,995,639		1,978,994
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates,
Series 2003-26A, Class 3A5
2.30%	09/25/338		234,652		240,344
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 1.10%)
1.56%	07/25/341,2		74,910		73,627
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
2.75%	01/25/358		348,001		347,888
WaMu Mortgage Pass-Through Certificates,
Series 2004-CB2, Class 2A
5.50%	07/25/34		1,147,300		1,136,590
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
1.04%	10/25/452		1,109,641		1,098,300
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
1.12%	01/25/452		157,689		156,054
					317,229,915
U.S. Agency Commercial Mortgage-Backed — 4.15%
Fannie Mae-Aces,
Series 2017-M15, Class A1
2.96%	09/25/278		3,045,905		3,069,776
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K037, Class A1
2.59%	04/25/23		1,153,581		1,158,945
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K038, Class A1
2.60%	10/25/23		654,597		656,372
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K735, Class A1
2.74%	05/25/25		441,746		442,324

See accompanying Notes to Financial Statements.

139 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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%)
0.66%	12/25/262	$	824,365	$	825,949
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF29, Class A
(LIBOR USD 1-Month plus 0.36%)
0.60%	02/25/242		1,661,523		1,664,102
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF34, Class A
(LIBOR USD 1-Month plus 0.36%)
0.60%	08/25/242		1,211,889		1,213,579
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF37, Class A
(LIBOR USD 1-Month plus 0.36%)
0.60%	09/25/272		788,206		789,513
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF38, Class A
(LIBOR USD 1-Month plus 0.33%)
0.57%	09/25/242		2,475,483		2,478,444
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF39, Class A
(LIBOR USD 1-Month plus 0.32%)
0.56%	11/25/242		1,431,421		1,433,363
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF40, Class A
(LIBOR USD 1-Month plus 0.34%)
0.58%	11/25/272		593,265		593,966
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF43, Class A
(LIBOR USD 1-Month plus 0.24%)
0.48%	01/25/282		2,229,088		2,230,828
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF51, Class A
(LIBOR USD 1-Month plus 0.40%)
0.64%	08/25/252		3,047,557		3,040,618
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF60, Class A
(LIBOR USD 1-Month plus 0.49%)
0.73%	02/25/262		4,053,591		4,062,880
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF64, Class A
(LIBOR USD 1-Month plus 0.44%)
0.68%	06/25/262		6,096,969		6,110,088

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF72, Class A
(LIBOR USD 1-Month plus 0.50%)
0.74%	10/25/262	$	5,940,400	$	5,970,872
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF80, Class AL
(LIBOR USD 1-Month plus 0.44%)
0.68%	06/25/302		9,323,420		9,319,958
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF85, Class AL
(LIBOR USD 1-Month plus 0.30%)
0.54%	08/25/302		4,655,585		4,637,178
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ24, Class A1
2.28%	05/25/26		1,808,898		1,815,298
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ26, Class A1
2.14%	07/25/25		9,105,495		9,084,315
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ29, Class A1
0.74%	01/25/26		6,807,198		6,555,304
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ30, Class A1
0.53%	01/25/25		5,632,413		5,454,142
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ31, Class A1
0.57%	05/25/26		8,386,839		8,073,986
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ34, Class A1
0.68%	06/25/26		6,783,382		6,368,114
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ37, Class A1
1.68%	12/25/27		13,453,539		12,976,194
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
0.88%	05/25/442		1,393,995		1,394,067
Ginnie Mae,
Series 2007-12, Class C
5.28%	04/16/418		304,818		305,554

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 140

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2008-92, Class E
5.56%	03/16/448	$	1,729,344	$	1,741,915
					103,467,644
U.S. Agency Mortgage-Backed — 16.03%
Fannie Mae Pool 567002
8.00%	05/01/23		1,310		1,320
Fannie Mae Pool 735861
6.50%	09/01/33		7,421		7,894
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
1.81%	04/01/342		88,747		90,688
Fannie Mae Pool AD0538
6.00%	05/01/24		62,498		64,106
Fannie Mae Pool AE0083
6.00%	01/01/40		534,063		594,445
Fannie Mae Pool AL0851
6.00%	10/01/40		656,327		728,499
Fannie Mae Pool AL2206
3.09%	07/01/228		214,882		214,813
Fannie Mae Pool AM4580
3.43%	10/01/23		6,054,486		6,113,644
Fannie Mae REMICS,
Series 1997-76, Class FS
(LIBOR USD 1-Month plus 0.45%)
0.89%	09/17/272		6,388		6,300
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
1.41%	10/25/312		404,141		412,163
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.93%	07/25/372		212,107		213,223
Fannie Mae REMICS,
Series 2009-85, Class LF
(LIBOR USD 1-Month plus 1.20%)
1.66%	10/25/492		2,005,868		2,066,634
Fannie Mae REMICS,
Series 2009-96, Class FA
(LIBOR USD 1-Month plus 0.90%)
1.36%	11/25/492		1,298,309		1,344,740
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.86%	10/25/402		672,531		675,768
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
5.77%	11/25/362		4,245,158		676,807
Fannie Mae REMICS,
Series 2010-43, Class DP
5.00%	05/25/40		520,509		547,784

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2010-6, Class BF
(LIBOR USD 1-Month plus 0.76%)
1.22%	02/25/402	$	1,026,095	$	1,047,348
Fannie Mae REMICS,
Series 2010-95, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.14%	09/25/402		3,377,739		607,070
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.96%	01/25/502		3,473,557		3,495,765
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.96%	03/25/502		7,466,455		7,512,298
Freddie Mac Gold Pool A45796
7.00%	01/01/33		1,414		1,480
Freddie Mac Gold Pool C46104
6.50%	09/01/29		3,564		3,832
Freddie Mac Gold Pool G13032
6.00%	09/01/22		358		360
Freddie Mac Gold Pool G13475
6.00%	01/01/24		1,856		1,871
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		217,527		230,957
Freddie Mac REMICS,
Series 2454, Class FQ
(LIBOR USD 1-Month plus 1.00%)
1.40%	06/15/312		3,716		3,794
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
1.00%	10/15/332		1,555,416		1,576,582
Freddie Mac REMICS,
Series 3071, Class TF
(LIBOR USD 1-Month plus 0.30%)
0.70%	04/15/352		1,029,164		1,029,860
Freddie Mac REMICS,
Series 3294, Class CB
5.50%	03/15/37		200,094		217,497
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
0.70%	08/15/352		408,887		409,987
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
0.70%	08/15/352		1,054,458		1,057,295
Freddie Mac REMICS,
Series 3524, Class FC
(LIBOR USD 1-Month plus 0.94%)
1.34%	06/15/382		222,268		227,086

See accompanying Notes to Financial Statements.

141 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3531, Class FM
(LIBOR USD 1-Month plus 0.90%)
1.30%	05/15/392	$	156,187	$	159,805
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
0.80%	11/15/402		82,324		82,453
Freddie Mac REMICS,
Series 4060, Class FJ
(LIBOR USD 1-Month plus 0.35%)
0.75%	02/15/412		681,629		682,434
Freddie Mac REMICS,
Series 4959, Class JF
(LIBOR USD 1-Month plus 0.45%)
0.91%	03/25/502		5,862,254		5,883,506
Freddie Mac Strips,
Series 240, Class F30
(LIBOR USD 1-Month plus 0.30%)
0.70%	07/15/362		1,232,064		1,230,089
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.90%	06/15/422		1,285,939		1,287,625
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
0.90%	11/15/432		6,089,075		6,113,011
Ginnie Mae (TBA)
2.00%	04/20/52		13,200,000		12,556,176
2.50%	04/20/52		52,000,000		50,411,938
Ginnie Mae II Pool 1849
8.50%	08/20/24		94		95
Ginnie Mae II Pool 2020
8.50%	06/20/25		163		165
Ginnie Mae II Pool 2286
8.50%	09/20/26		109		110
Ginnie Mae II Pool 2487
8.50%	09/20/27		2,413		2,509
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.88%	04/20/272		7,771		7,916
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
2.00%	03/20/322		9,255		9,349
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.88%	06/20/322		5,945		6,133
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
1.63%	07/20/342		164,847		169,010

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.00%)
2.50%	01/20/352	$	5,100	$	5,148
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.00%	02/20/252		5,294		5,308
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.35%	05/20/372		2,650,822		244,587
Ginnie Mae,
Series 2013-53, Class AD
1.50%	12/20/26		767,339		756,502
UMBS (TBA)
2.00%	04/01/52		13,450,000		12,478,094
2.00%	05/01/52		62,425,000		57,844,079
2.50%	05/01/52		169,950,000		161,820,090
3.00%	05/01/52		58,325,000		56,939,784
					399,877,826
Total Mortgage-Backed (Cost $1,047,573,809)					1,030,956,707
MUNICIPAL BONDS — 0.92%*
California — 0.20%
Campbell Union School District General Obligation, School Improvements, Series B
5.41%	08/01/27		4,600,000		4,994,793
Colorado — 0.04%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%	11/15/23		895,000		871,615
Florida — 0.05%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.14%	10/01/28		445,000		413,487
2.29%	10/01/29		985,000		912,224
					1,325,711
Maryland — 0.08%
City of Baltimore General Obligation, School Improvements, Series C
5.00%	10/15/25		2,000,000		2,088,893
New York — 0.55%
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.19%	08/01/25		1,110,000		1,115,971
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B2
2.31%	11/01/26		4,060,000		3,927,555

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 142

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D
5.00%		03/15/24	$	4,040,000	$	4,208,701
New York State Dormitory Authority Revenue Bonds,
University & College Improvements, Series F
5.19%		03/15/24		4,360,000		4,557,821
						13,810,048
Total Municipal Bonds
(Cost $24,055,346)						23,091,060
U.S. TREASURY SECURITIES — 25.02%
U.S. Treasury Notes — 25.02%
U.S. Treasury Notes
0.88%		01/31/24		136,090,000		132,642,564
1.50%		02/29/24		148,983,000		146,829,731
1.75%		03/15/25		303,644,000		297,371,322
2.25%		03/31/24		42,805,000		42,748,150
2.50%		03/31/27		4,735,000		4,746,283
Total U.S. Treasury Securities
(Cost $628,603,027)						624,338,050
Total Bonds — 109.81%
(Cost $2,784,535,175)						2,740,219,564
Issues			Shares		Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings LLC†,4,5,10,11				106,501		—
Total Common Stock
(Cost $6,078,660)
Purchased Swaptions - 0.00%
(Cost $939,000)						11,892
Purchased Options - 0.01%
(Cost $1,092,332)						309,550
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 6.79%
Money Market Funds — 3.99%
Dreyfus Government Cash Management Fund
0.19%12				55,536,000		55,536,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%12,13				20,642		20,642
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%12				43,943,000		43,943,000
						99,499,642
U.S. Treasury Bills — 2.80%
U.S. Treasury Bills
0.18%14		06/23/22		20,000,000		19,978,558

Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.61%14		08/25/22	$	50,000,000	$	49,823,585
						69,802,143
Total Short-Term Investments
(Cost $169,368,823)						169,301,785
Total Investments Before Written Options - 116.61%
(Cost $2,962,013,990)						2,909,842,791
Written Options - (0.28)%
(Cost $(5,045,243))						(7,103,886	)
Net unrealized depreciation on unfunded commitments - 0.00%						(5,620	)
Liabilities in Excess of Other Assets -(16.33)%						(407,415,802	)
Net Assets - 100.00%					$	2,495,317,483

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 $9,022,505, which is 0.36% 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 $367,015, at an interest rate of 4.00% and a maturity of July 31, 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 $359,149, at an interest rate of 0.00% and a maturity of February 15, 2029. The investment is accruing an unused commitment fee of 0.63% per annum.

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

⁹ Zero coupon bond. The rate shown is the effective yield as of March 31, 2022.

¹⁰ Non-income producing security.

¹¹ Security is currently in default with regard to scheduled interest or principal payments.

¹² Represents the current yield as of March 31, 2022.

¹³ Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $27.

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.

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

See accompanying Notes to Financial Statements.

143 / Annual Report March 2022

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(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

Description	Number of Contracts		Expiration Date		Notional Amount			Value			Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		3,636		06/30/22	$	770,547,941		$	(7,870,050	)	$	(7,870,050)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note		2,744		06/30/22		(314,702,500	)		7,215,032			7,215,032
U.S. Treasury Ten-Year Ultra Bond		662		06/21/22		(89,680,313	)		2,945,631			2,945,631
U.S. Treasury Ultra Bond		155		06/21/22		(27,454,375	)		1,007,672			1,007,672
						(431,837,188	)		11,168,335			11,168,335
TOTAL FUTURES CONTRACTS					$	338,710,753		$	3,298,285		$	3,298,285

Reference Obligation/Index	Financing Rate Paid by the Fund		Payment Frequency		Implied Credit Spread at 03/31/221		Counterparty		Expiration Date		Notional Amount (000’s)2		Value3		Premiums Paid		Unrealized Appreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4
1011778 BC ULC/New Red								Credit Suisse
Finance, Inc., 4.00%, due								First Boston
10/15/305		5.00%		3 Months		120		International		06/20/23	$	6,695	$	317,177	$	268,806	$	48,371
								Credit Suisse
Berry Global, Inc., 5.63%, due								First Boston
07/15/27		5.00%		3 Months		175		International		12/20/23		3,425		190,920		181,182		9,738
TOTAL													$	508,097	$	449,988	$	58,109

¹ An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

² The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³ The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴ If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 144

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount			Value
PURCHASED CALL OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		550	$	98.00		12/19/22	$	4,015,275		$	247,500
IMM Eurodollar 1-Year MIDCV Future Options		328		98.38		09/16/22		2,383,248			26,650
IMM Eurodollar 1-Year MIDCV Future Options		708		98.75		09/16/22		34,295,520			35,400
TOTAL PURCHASED OPTIONS							$	40,694,043		$	309,550
Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount			Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 1-Year MIDCV Future Options		1,610	$	99.00		09/16/22	$	(70,189,560	)	$	(60,375	)
IMM Eurodollar 2-Year MIDCV Future Options		464		97.63		12/16/22		(28,215,550	)		(319,000	)
IMM Eurodollar 2-Year MIDCV Future Options		775		97.88		12/16/22		(47,127,265	)		(363,282	)
90-Day Euro Dollar Futures		550		98.25		12/19/22		(4,015,275	)		(171,875	)
								(149,547,650	)		(914,532	)
WRITTEN PUT OPTIONS EXCHANGE TRADED
IMM Eurodollar 1-Year MIDCV Future Options		1,951	$	97.63		09/16/22	$	(9,450,644	)	$	(4,194,650	)
IMM Eurodollar 2-Year MIDCV Future Options		1,239		97.38		12/16/22		(75,342,816	)		(1,448,081	)
90-Day Euro Dollar Futures		550		97.25		12/19/22		(4,015,275	)		(543,125	)
								(88,808,735	)		(6,185,856	)
TOTAL WRITTEN OPTIONS							$	(238,356,385	)	$	(7,100,388	)

Received by the

Fund

Fund

Paid by the Fund

Description

Counterparty

Maturity Date

Rate

Frequency

Rate

Frequency

Notional Amount

Value

Premiums Paid

Unrealized (Depreciation)

PURCHASED SWAPTIONS

Option to enter into a 30-year Interest Rate Swap

Goldman Sachs International

12/24/23

3-month USD LIBOR

Quarterly

6.00

%

Quarterly

$

300,000

$

11,892

$

939,000

$

(927,108

)

Received by

the Fund

Paid by the Fund

Notional

Purchase

Maturity

Amount

Premiums

Unrealized

Description

Counterparty

Date

Date

Rate

Frequency

Rate

Frequency

(000’s)

Value

(Received)

Appreciation

WRITTEN CALL SWAPTIONS

Option to enter into a 30-year Interest Rate Swap

Goldman Sachs International

04/29/15

12/24/23

7.50%

Quarterly

3-month USD LIBOR

Quarterly

$

300

$

(3,498

)

$

(540,000

)

$

536,502

See accompanying Notes to Financial Statements.

145 / Annual Report March 2022

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
BONDS – 81.28%
BANK LOANS — 7.94%*
Communications — 0.66%
Diamond Sports Group, LLC,
Term Loan, 2nd Lien
(SOFR plus 3.25%)
3.54%	08/24/261	$	17,909	$	6,206
GTT Communications, Inc.,
Term Loan B, 1st Lien
(PRIME plus 3.75%)
7.25%	05/30/251		16,730		13,774
					19,980
Consumer Discretionary — 0.30%
Naked Juice, LLC,
Term Loan
(SOFR plus 6.00%)
6.75%	01/24/301		9,000		9,000
Entertainment — 0.85%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%	02/28/251		15,852		12,276
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 7.00%)
7.00%	05/23/241		11,469		13,576
					25,852
Food — 0.35%
Sovos Brands Intermediate, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	06/08/281		10,777		10,690
Health Care — 1.21%
Cano Health, LLC,
Term Loan, 1st Lien
(SOFR plus 4.00%)
4.51%	11/23/271		12,903		12,732
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/281		12,902		12,121
U.S. Renal Care, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.50%)
6.50%	06/26/261		12,935		11,989
					36,842
Industrials — 1.54%
Protective Industrial Products, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.00%)
4.75%	12/29/271		12,935		12,773

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
SPX FLOW, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
5.00%	03/16/291	$	7,500	$	7,315
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	05/30/241		16,912		15,120
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	08/12/241		12,223		11,734
					46,942
Information Technology — 0.42%
Magenta Buyer LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	07/27/281		12,968		12,890
Materials — 0.43%
Geon Performance Solutions, LLC,
Term Loan B, 1st Lien
(LIBOR plus 4.75%)
5.50%	08/18/281		12,935		12,935
Retail — 0.50%
Tacala Investment Corp.,
Term Loan B, 2nd Lien
(LIBOR plus 7.50%)
8.25%	02/04/281		15,500		15,326
Services — 1.04%
PowerTeam Services LLC,
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.26%	03/06/261,2,3		33,000		31,515
Transportation — 0.64%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%	09/01/271		20,000		19,400
Total Bank Loans
(Cost $248,626)					241,372
CORPORATES — 63.50%*
Banking — 0.91%
Bank of America Corp.,
Series RR
4.38%4,5			10,000		9,423
Bank of New York Mellon Corp. (The),
Series I
3.75%4,5			10,000		9,200

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 146

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
U.S. Bancorp
3.70%4,5		$	10,000	$	9,073
					27,696
Communications — 17.82%
Altice France SA
(France)
5.13%	01/15/296,7		7,000		6,293
5.50%	10/15/296,7		25,000		22,483
Cable One, Inc.
4.00%	11/15/306		25,000		23,125
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.25%	01/15/346		19,000		16,530
4.50%	06/01/336		2,000		1,797
CommScope, Inc.
4.75%	09/01/296		35,000		32,462
CSC Holdings LLC
3.38%	02/15/316		6,000		5,063
4.13%	12/01/306		9,000		7,937
4.50%	11/15/316		43,000		38,577
6.50%	02/01/296		6,000		6,059
Diamond Sports Group LLC/Diamond Sports Finance Co.
6.63%	08/15/276		30,000		6,254
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/266		47,000		18,447
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%	08/15/276		26,000		25,655
DISH DBS Corp.
5.13%	06/01/29		7,000		5,979
5.25%	12/01/266		16,000		15,270
DISH Network Corp.
3.38%	08/15/26		26,000		23,452
Gray Escrow II, Inc.
5.38%	11/15/316		35,000		33,497
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/306,7		47,000		47,002
Level 3 Financing, Inc.
3.63%	01/15/296		7,000		6,132
3.75%	07/15/296		42,000		37,274
4.25%	07/01/286		3,000		2,757
Lumen Technologies, Inc.
5.38%	06/15/296		38,000		33,894
National CineMedia LLC
5.75%	08/15/26		18,000		12,982
Scripps Escrow II, Inc.
5.38%	01/15/316		5,000		4,800
Sinclair Television Group, Inc.
4.13%	12/01/306		34,000		30,379
Sirius XM Radio, Inc.
3.88%	09/01/316		17,000		15,498
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%	07/15/316,7		16,000		15,104

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/326,7	$	16,000	$	14,989
Zayo Group Holdings, Inc.
4.00%	03/01/276		35,000		32,271
					541,962
Consumer Discretionary — 1.52%
Magallanes, Inc.
5.14%	03/15/526		30,000		30,731
Triton Water Holdings, Inc.
6.25%	04/01/296		18,000		15,570
					46,301
Electric — 1.55%
Pike Corp.
5.50%	09/01/286		50,000		47,211
Energy — 8.19%
Energy Transfer LP,
Series B
6.63%4,5			34,000		30,558
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		24,000		23,745
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/266		31,000		30,508
Occidental Petroleum Corp.
0.00%	10/10/368		98,000		52,763
Ruby Pipeline LLC
8.00%	04/01/222,3,6		27,061		25,166
SM Energy Co.
6.50%	07/15/28		13,000		13,432
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		24,000		23,640
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	09/01/27		13,000		13,070
Venture Global Calcasieu Pass LLC
3.88%	08/15/296		5,000		4,869
4.13%	08/15/316		32,000		31,462
					249,213
Entertainment — 0.34%
Cinemark USA, Inc.
5.25%	07/15/286		11,000		10,307
Finance — 1.03%
American Express Co.,
Series D
3.55%4,5			10,000		9,087
Charles Schwab Corp. (The)
5.00%4,5			10,000		9,988
Jane Street Group/JSG Finance, Inc.
4.50%	11/15/296		8,000		7,590

See accompanying Notes to Financial Statements.

147 / Annual Report March 2022

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
JPMorgan Chase & Co.,
Series KK
3.65%4,5		$	5,000	$	4,688
					31,353
Food — 5.21%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%	11/15/286		7,000		6,470
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/316,7		25,000		23,120
4.38%	02/02/526,7		32,000		27,900
Kraft Heinz Foods Co.
4.25%	03/01/31		4,000		4,131
4.38%	06/01/46		7,000		6,948
5.00%	06/04/42		3,000		3,208
5.20%	07/15/45		23,000		24,926
Lamb Weston Holdings, Inc.
4.13%	01/31/306		3,000		2,810
Pilgrim’s Pride Corp.
3.50%	03/01/326		23,000		20,130
Post Holdings, Inc.
4.50%	09/15/316		23,000		20,404
4.63%	04/15/306		13,000		11,727
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%	03/01/296		7,000		6,572
					158,346
Gaming — 0.62%
Caesars Entertainment, Inc.
4.63%	10/15/296		4,000		3,755
CDI Escrow Issuer, Inc.
5.75%	04/01/306		15,000		15,171
					18,926
Health Care — 7.97%
Bausch Health Cos., Inc.
(Canada)
5.25%	02/15/316,7		19,000		14,814
Cano Health LLC
6.25%	10/01/286		18,000		17,314
Embecta Corp.
6.75%	02/15/306		19,000		19,082
Encompass Health Corp.
4.63%	04/01/31		15,000		14,094
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/286,7		62,000		36,155
Grifols Escrow Issuer SA
(Spain)
4.75%	10/15/286,7		16,000		15,170
HCA, Inc.
4.63%	03/15/526		15,000		15,208
5.63%	09/01/28		10,000		10,825

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.88%	02/01/29	$	8,000	$	8,800
ModivCare Escrow Issuer, Inc.
5.00%	10/01/296		19,000		17,729
Molina Healthcare, Inc.
3.88%	11/15/306		49,000		47,392
3.88%	05/15/326		13,000		12,391
Owens & Minor, Inc.
6.63%	04/01/306		9,000		9,265
Prime Healthcare Services, Inc.
7.25%	11/01/256		4,000		4,110
					242,349
Industrials — 3.82%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/276,7		27,000		25,059
Artera Services LLC
9.03%	12/04/256		14,000		14,005
Clydesdale Acquisition Holdings, Inc.
6.63%	04/15/296		15,000		15,169
Energizer Holdings, Inc.
4.38%	03/31/296		17,000		14,923
Graham Packaging Co., Inc.
7.13%	08/15/286		12,000		10,956
OT Merger Corp.
7.88%	10/15/296		32,000		28,181
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%	04/15/266,7		3,000		2,989
Trivium Packaging Finance BV
(Netherlands)
8.50%	08/15/276,7		5,000		5,025
					116,307
Insurance — 1.96%
Acrisure LLC/Acrisure Finance, Inc.
4.25%	02/15/296		24,000		21,835
6.00%	08/01/296		11,000		10,193
Alliant Holdings Intermediate, LLC/Alliant Holdings
Co.-Issuer
5.88%	11/01/296		8,000		7,730
AssuredPartners, Inc.
5.63%	01/15/296		5,000		4,611
Berkshire Hathaway Finance Corp.
3.85%	03/15/52		10,000		10,233
HUB International Ltd.
5.63%	12/01/296		5,000		4,878
					59,480
Materials — 3.51%
Allegheny Technologies, Inc.
5.13%	10/01/31		7,000		6,589
ASP Unifrax Holdings, Inc.
7.50%	09/30/296		16,000		14,264
Axalta Coating Systems, LLC
3.38%	02/15/296		9,000		7,921

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 148

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Materials (continued)
Carpenter Technology Corp.
7.63%	03/15/30	$	11,000	$	11,263
EverArc Escrow SARL
(Luxembourg)
5.00%	10/30/296,7		62,000		56,769
Valvoline, Inc.
3.63%	06/15/316		6,000		5,194
WR Grace Holdings, LLC
5.63%	08/15/296		5,000		4,688
					106,688
Real Estate Investment Trust (REIT) — 0.37%
Iron Mountain Information Management Services, Inc.
5.00%	07/15/326		8,000		7,529
Iron Mountain, Inc.
4.50%	02/15/316		4,000		3,709
					11,238
Retail — 4.61%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%	10/15/306,7		11,000		9,951
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%	01/15/306		32,000		29,520
FirstCash, Inc.
4.63%	09/01/286		5,000		4,660
5.63%	01/01/306		24,000		23,091
Michaels Cos., Inc. (The)
7.88%	05/01/296		33,000		28,298
Sonic Automotive, Inc.
4.88%	11/15/316		50,000		44,620
					140,140
Services — 4.07%
Adtalem Global Education, Inc.
5.50%	03/01/286		16,000		15,499
Allied Universal Holdco LLC/Allied Universal Finance Corp.
6.00%	06/01/296		13,000		11,492
GFL Environmental, Inc.
(Canada)
4.00%	08/01/286,7		28,000		25,655
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%	08/31/276		17,000		15,610
Rent-A-Center, Inc.
6.38%	02/15/296		4,000		3,674
S&P Global, Inc.
2.90%	03/01/326		10,000		9,698
WASH Multifamily Acquisition, Inc.
5.75%	04/15/266		8,000		8,049
Waste Pro USA, Inc.
5.50%	02/15/266		36,000		34,063
					123,740
Total Corporates
(Cost $2,043,455)					1,931,257

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED — 9.84%**
Non-Agency Commercial Mortgage-Backed — 4.01%
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
2.04%	05/26/261,6	$	13,295	$	12,010
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.35%	04/10/465		378,745		3,709
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.82%	10/15/455		664,888		1,841
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.49%	12/10/455		472,005		2,301
Commercial Mortgage Trust,
Series 2013-CR11, Class XA (IO)
0.91%	08/10/505		615,165		6,552
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.26%	01/10/465		645,003		2,755
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.71%	02/10/495		762,394		15,154
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.47%	02/10/465		345,056		2,781
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.91%	11/10/455		913,662		5,440
GS Mortgage Securities Trust,
Series 2013-GC14, Class XA (IO)
0.54%	08/10/465		485,192		2,882
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust,
Series 2010-1, Class A1
5.31%	01/25/516		7,761		7,804
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C17, Class XA (IO)
0.72%	01/15/475		707,604		7,148
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.82%	11/15/475		160,175		2,876
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C8, Class XA (IO)
0.90%	12/15/485		312,518		1,561
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C4, Class XA (IO)
1.57%	12/10/455,6		1,948,182		6,846
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.48%	12/15/455,6		1,155,389		6,621
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.69%	08/15/455,6		538,833		26
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XB (IO)
0.72%	11/15/455,6		2,058,000		6,781

See accompanying Notes to Financial Statements.

149 / Annual Report March 2022

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WF-RBS Commercial Mortgage Trust,
Series 2013-C11, Class XA (IO)
1.12%	03/15/455,6	$	806,014	$	3,758
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XA (IO)
1.17%	05/15/455,6		1,150,234		9,925
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.66%	06/15/465		1,028,285		5,199
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.05%	12/15/465		599,918		7,975
					121,945
Non-Agency Mortgage-Backed — 4.66%
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
0.84%	02/25/471		26,586		13,980
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
2.60%	11/25/375		10,017		9,056
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
2.91%	06/25/365		23,625		19,638
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
2.76%	11/21/345		46,439		46,359
MASTR Alternative Loan Trust,
Series 2006-2, Class 2A2 (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 7.10% Cap)
6.64%	03/25/361,2,3		218,926		30,081
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.19%)
0.65%	04/25/371		48,944		22,539
					141,653
U.S. Agency Commercial Mortgage-Backed — 1.17%
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K024, Class X3 (IO)
1.66%	11/25/405		1,000,000		6,714
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K028, Class X3 (IO)
1.66%	06/25/415		219,000		3,329
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K715, Class X3 (IO)
3.62%	02/25/415		461,906		1,205
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K721, Class X1 (IO)
0.33%	08/25/225		2,733,328		2,022

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 X3 (IO)
1.31%	11/25/425	$	2,800,000	$	15,709
FREMF Mortgage Trust,
Series 2012-K20, Class X2A (IO)
0.20%	05/25/456		2,055,992		11
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.57%	04/16/535		537,131		4,017
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.04%	02/16/465		149,918		2,782
					35,789
Total Mortgage-Backed (Cost $449,968)					299,387
Total Bonds — 81.28% (Cost $2,742,049)					2,472,016
Issues		Shares		Value
COMMON STOCK — 12.48%
Communication Services — 3.34%
Altice USA, Inc.9			1,736		21,665
AT&T, Inc.			562		13,280
National CineMedia, Inc.			8,649		21,969
Nexstar Media Group, Inc.			107		20,167
T-Mobile U.S., Inc.9			192		24,643
					101,724
Consumer Discretionary — 1.75%
Newell Brands, Inc.			602		12,889
Qurate Retail, Inc.			3,324		15,822
Rent-A-Center, Inc.			809		20,379
Spectrum Brands Holdings, Inc.			47		4,170
					53,260
Financials — 1.11%
FirstCash Holdings, Inc.			240		16,882
Wells Fargo & Co.			348		16,864
					33,746
Gaming — 0.26%
Penn National Gaming, Inc.9			188		7,975
Health Care — 1.52%
Bausch Health Cos., Inc.9			1,127		25,752
Centene Corp.9			243		20,458
					46,210
Industrials — 0.92%
Maxar Technologies, Inc.			493		19,454
TransDigm Group, Inc.9			13		8,470
					27,924

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 150

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Shares		Value
COMMON STOCK — 12.48% (continued)
Information Technology — 0.52%
CommScope Holding Co., Inc.9		1,012	$	7,975
SS&C Technologies Holdings, Inc.		105		7,877
				15,852
Real Estate Investment Trust (REIT) — 1.27%
Gaming and Leisure Properties, Inc.		492		23,089
Hudson Pacific Properties, Inc.		560		15,540
				38,629
Transportation — 1.26%
Hertz Global Holdings, Inc.9		1,725		38,209
				38,209
Utilities — 0.53%
FirstEnergy Corp.		353		16,188
Total Common Stock (Cost $418,175)				379,717
MASTER LIMITED PARTNERSHIPS — 2.63%
Energy — 2.63%
Enterprise Products Partners LP		1,025		26,455
NGL Energy Partners LP9		8,366		18,573
Sunoco LP		416		16,990
USA Compression Partners LP		1,017		17,909
				79,927
Total Master Limited Partnerships (Cost $63,737)				79,927

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 3.20%
Money Market Funds — 3.20%
Fidelity Investments Money Market Funds - Government Portfolio
0.12%10			97,209	$	97,209
Total Short-Term Investments (Cost $97,209)
Total Investments - 99.59% (Cost $3,321,170)					3,028,869
Cash and Other Assets, Less Liabilities - 0.41%					12,475
Net Assets - 100.00%				$	3,041,344

¹ Floating rate security. The rate disclosed was in effect at March 31, 2022.

² Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

³ Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $86,762, which is 2.85% of total net assets.

⁴ Perpetual security with no stated maturity date.

⁵ 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.

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 Foreign denominated security issued by foreign domiciled entity.

⁸ Zero coupon bond. The rate shown is the effective yield as of March 31, 2022.

⁹ Non-income producing security.

¹⁰ Represents the current yield as of March 31, 2022.

* 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.

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(USD): U.S. Dollar

Description	Number of Contracts		Expiration Date		Notional Amount		Value			Unrealized  (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		2		06/30/22	$	229,375	$	(6,598	)	$	(6,598	)

See accompanying Notes to Financial Statements.

151 / Annual Report March 2022

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 102.57%
ASSET-BACKED SECURITIES — 17.57%**
Aimco CLO,
Series 2015-AA, Class BR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.84%	10/17/341,2,3	$	70,000	$	69,319
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.96%	01/21/321,2,3		45,000		44,676
AMSR Trust,
Series 2020-SFR1, Class I
8.19%	04/17/371		100,000		100,760
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.39%	10/25/341,2,3		180,000		178,372
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.16%	03/15/521,4		350,689		14,670
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%	03/15/501		140,000		129,383
Crystal River CDO,
Series 2005-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.36%)
2.68%	03/02/461,2,3,5,6		419,900		48,715
Dryden 85 CLO Ltd.,
Series 2020-85A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.39%	10/15/351,2,3		150,000		148,782
Eaton Vance CLO Ltd.,
Series 2020-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
1.41%	10/15/341,2,3		90,000		89,068
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3		70,815		69,779
Golub Capital Partners CLO 54M L.P,
Series 2021-54A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.53%)
1.85%	08/05/331,2,3		90,000		89,455
Harvest Commercial Capital Loan Trust,
Series 2019-1, Class A
3.29%	09/25/461,4		55,215		53,574
HPS Loan Management Ltd.
Series 10A-16, Class A1RR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.39%	04/20/341,2,3		85,000		84,334

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
KGS-Alpha SBA COOF Trust,
Series 2015-1, Class A (IO)
1.81%	10/25/351,4	$	1,449,539	$	38,730
Lehman Brothers Small Balance Commercial Mortgage Trust,
Series 2007-1A, Class 1A
(LIBOR USD 1-Month plus 0.25%)
0.71%	03/25/371,2		57,460		56,854
Neuberger Berman Loan Advisers CLO 43 Ltd.,
Series 2021-43A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.37%	07/17/351,2,3		85,000		84,541
OCP CLO Ltd.,
Series 2021-21A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.95%	07/20/341,2,3		50,000		49,533
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
2.15%	02/24/371,2,3		150,000		149,373
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.55%)
1.80%	04/20/281,2,3		100,000		99,976
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
2.00%	01/20/341,2,3		40,000		39,736
Progress Residential,
Series 2021-SFR1, Class F
2.76%	04/17/381		100,000		86,437
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/375,6		70,527		66,560
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.80%	08/15/312		123,058		114,517
SLM Student Loan Trust,
Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
1.01%	10/27/702		215,000		197,670
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	01/25/832		340,000		323,496
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	04/26/832		340,000		313,098

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 152

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

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%)
2.11%	04/25/732	$	340,000	$	338,348
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/25/732		235,000		234,710
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		340,000		332,632
Stratus CLO Ltd.,
Series 2021-3A, Class SUB
(Cayman Islands)
0.00%	12/29/291,3,4		250,000		239,980
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/461		267,867		284,546
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/361		296,130		329,084
TRESTLES CLO V Ltd.,
Series 2021-5A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
1.33%	10/20/341,2,3		90,000		88,990
Total Asset-Backed Securities (Cost $5,026,982)					4,589,698
CORPORATES — 36.73%*
Banking — 6.89%
Bank of America Corp.
2.30%	07/21/324		60,000		53,442
2.57%	10/20/324		5,000		4,557
2.69%	04/22/324		10,000		9,195
3.00%	12/20/234		20,000		20,058
3.37%	01/23/264		110,000		110,009
Bank of America Corp.
(MTN)
2.09%	06/14/294		55,000		50,315
3.97%	02/07/304		25,000		25,432
Bank of America Corp.,
Series N
1.66%	03/11/274		100,000		93,480
Bank of America Corp.,
Series RR
4.38%4,7			15,000		14,134
Comerica, Inc.
5.63%4,7			45,000		46,800
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		30,000		26,829
2.19%	06/05/261,3,4		90,000		84,684
2.59%	09/11/251,3,4		5,000		4,825
3.09%	05/14/321,3,4		5,000		4,505

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
3.75%	03/26/253	$	15,000	$	14,955
DNB Bank ASA
(Norway)
1.13%	09/16/261,3,4		45,000		41,358
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		25,000		22,850
2.01%	09/22/283,4		115,000		104,441
2.80%	05/24/323,4		30,000		27,328
3.80%	03/11/253,4		5,000		5,026
4.29%	09/12/263,4		10,000		10,131
JPMorgan Chase & Co.
0.77%	08/09/254		15,000		14,236
0.97%	06/23/254		90,000		85,985
1.58%	04/22/274		55,000		51,268
2.01%	03/13/264		85,000		82,050
2.58%	04/22/324		50,000		45,879
Lloyds Banking Group PLC
(United Kingdom)
2.91%	11/07/233,4		140,000		140,239
Macquarie Group Ltd.
(Australia)
2.69%	06/23/321,3,4		30,000		26,490
2.87%	01/14/331,3,4		95,000		84,512
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		55,000		55,669
Santander UK Group Holdings PLC
(United Kingdom)
1.53%	08/21/263,4		35,000		32,211
1.67%	06/14/273,4		50,000		45,553
4.80%	11/15/243,4		65,000		66,508
U.S. Bancorp
3.70%4,7			15,000		13,610
Wells Fargo & Co.
(MTN)
2.39%	06/02/284		75,000		71,006
3.35%	03/02/334		165,000		160,528
3.53%	03/24/284		50,000		49,948
					1,800,046
Communications — 5.86%
AT&T, Inc.
2.55%	12/01/33		93,000		82,810
3.80%	12/01/57		136,000		121,203
4.75%	05/15/46		15,000		16,353
Cable One, Inc.
4.00%	11/15/301		37,000		34,225
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%	04/01/53		40,000		40,379
CommScope, Inc.
4.75%	09/01/291		24,000		22,260
CSC Holdings LLC
4.13%	12/01/301		30,000		26,454
4.50%	11/15/311		28,000		25,120

See accompanying Notes to Financial Statements.

153 / Annual Report March 2022

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
5.38%	02/01/281	$	5,000	$	4,862
6.50%	02/01/291		12,000		12,118
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261		85,000		33,362
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%	08/15/271		30,000		29,602
Gray Escrow II, Inc.
5.38%	11/15/311		15,000		14,356
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		48,000		48,002
Intelsat Jackson Holdings SA,
Class B
8.50%	10/15/241,3,5,6,8,9		38,000		—
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
9.75%	07/15/251,3,5,6,8,9		71,000		—
Level 3 Financing, Inc.
3.40%	03/01/271		10,000		9,442
3.88%	11/15/291		60,000		55,326
Lumen Technologies, Inc.
4.00%	02/15/271		24,000		22,394
5.38%	06/15/291		42,000		37,463
National CineMedia LLC
5.88%	04/15/281		49,000		42,894
Qwest Corp.
7.25%	09/15/25		70,000		76,475
SES GLOBAL Americas Holdings GP
5.30%	03/25/441		200,000		194,577
Sinclair Television Group, Inc.
4.13%	12/01/301		52,000		46,462
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%	03/20/251		142,500		145,554
Tencent Holdings Ltd.
(Cayman Islands)
3.98%	04/11/291,3		25,000		24,994
Time Warner Cable LLC
5.50%	09/01/41		100,000		104,066
T-Mobile USA, Inc.
2.25%	02/15/26		66,000		62,264
2.55%	02/15/31		10,000		9,084
2.63%	04/15/26		38,000		36,374
3.88%	04/15/30		35,000		35,184
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%	05/15/291,3		66,000		65,611
Vodafone Group PLC
(United Kingdom)
4.88%	06/19/493		48,000		52,400
					1,531,670

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary — 1.32%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%	02/01/36	$	15,000	$	16,325
4.90%	02/01/46		65,000		72,393
BAT Capital Corp.
2.73%	03/25/31		25,000		22,073
4.39%	08/15/37		20,000		18,642
4.54%	08/15/47		75,000		67,129
5.65%	03/16/52		25,000		25,418
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		25,000		24,792
Magallanes, Inc.
4.28%	03/15/321		15,000		15,094
5.05%	03/15/421		55,000		56,140
5.14%	03/15/521		25,000		25,610
					343,616
Electric — 1.13%
Alliant Energy Finance, LLC
3.60%	03/01/321		55,000		53,708
Entergy Texas, Inc.
3.45%	12/01/27		150,000		148,666
FirstEnergy Transmission LLC
2.87%	09/15/281		39,000		36,255
Jersey Central Power & Light Co.
4.70%	04/01/241		55,000		56,259
					294,888
Energy — 3.13%
Energy Transfer LP
5.40%	10/01/47		174,000		182,136
5.50%	06/01/27		3,000		3,228
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		28,000		27,703
Kinder Morgan Energy Partners LP
5.00%	08/15/42		45,000		46,196
Occidental Petroleum Corp.
0.00%	10/10/3610		55,000		29,612
Petroleos Mexicanos
(Mexico)
6.63%	06/15/353		15,000		13,493
6.75%	09/21/473		50,000		40,736
6.95%	01/28/603		35,000		28,434
Rockies Express Pipeline LLC
4.80%	05/15/301		100,000		95,750
Ruby Pipeline LLC
8.00%	04/01/221,5,6		34,545		32,127
Southern Co. Gas Capital Corp.
3.88%	11/15/25		70,000		71,326
Sunoco LP/Sunoco Finance Corp.
4.50%	05/15/29		56,000		52,973
4.50%	04/30/301		9,000		8,305
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		35,000		34,475

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 154

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
Transocean Pontus Ltd.
(Cayman Islands)
6.13%	08/01/251,3	$	25,215	$	25,102
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		18,750		18,592
Transocean Proteus Ltd.
(Cayman Islands)
6.25%	12/01/241,3		9,500		9,442
USA Compression Partners LP/USA Compression Finance Corp.
6.88%	04/01/26		32,000		32,342
6.88%	09/01/27		22,000		22,118
Venture Global Calcasieu Pass LLC
3.88%	08/15/291		45,000		43,822
					817,912
Entertainment — 0.17%
Cinemark USA, Inc.
5.25%	07/15/281		32,000		29,984
WMG Acquisition Corp.
3.75%	12/01/291		15,000		14,097
					44,081
Finance — 4.76%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263		75,000		69,369
3.30%	01/30/323		15,000		13,571
Air Lease Corp.
(MTN)
2.30%	02/01/25		75,000		72,211
American Express Co.,
Series D
3.55%4,7			15,000		13,631
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		60,000		53,108
3.25%	02/15/271,3		10,000		9,439
Capital One Financial Corp.
3.27%	03/01/304		40,000		38,717
Charles Schwab Corp. (The)
2.90%	03/03/32		40,000		38,522
5.00%4,7			15,000		14,982
Citigroup, Inc.
1.28%	11/03/254		30,000		28,551
3.06%	01/25/334		55,000		51,501
3.11%	04/08/264		25,000		24,829
3.79%	03/17/334		35,000		34,810
Citigroup, Inc.,
Series VAR
3.07%	02/24/284		15,000		14,647
General Motors Financial Co., Inc.
3.15%	06/30/22		75,000		75,255
3.45%	04/10/22		20,000		20,006

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (The)
0.93%	10/21/244	$	30,000	$	29,095
1.22%	12/06/23		75,000		73,255
1.43%	03/09/274		10,000		9,231
1.54%	09/10/274		90,000		82,527
2.38%	07/21/324		15,000		13,338
3.10%	02/24/334		55,000		51,901
3.27%	09/29/254		15,000		14,992
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%	12/09/264		60,000		55,045
JPMorgan Chase & Co.
2.55%	11/08/324		15,000		13,703
2.95%	02/24/284		20,000		19,524
Morgan Stanley
2.94%	01/21/334		35,000		32,814
Morgan Stanley
(GMTN)
0.79%	01/22/254		40,000		38,424
Morgan Stanley
(MTN)
1.16%	10/21/254		120,000		114,099
1.93%	04/28/324		15,000		12,998
2.51%	10/20/324		5,000		4,529
Nationwide Building Society
(United Kingdom)
3.77%	03/08/241,3,4		50,000		50,296
4.36%	08/01/241,3,4		20,000		20,314
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/231,3		35,000		35,266
					1,244,500
Food — 1.19%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%	11/15/281		27,000		24,958
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/311,3		52,000		48,089
5.50%	01/15/301,3		25,000		25,610
Kraft Heinz Foods Co.
5.00%	06/04/42		74,000		79,132
Pilgrim’s Pride Corp.
3.50%	03/01/321		30,000		26,256
4.25%	04/15/311		25,000		23,173
Post Holdings, Inc.
4.63%	04/15/301		50,000		45,105
Smithfield Foods, Inc.
2.63%	09/13/311		45,000		39,488
					311,811
Gaming — 0.11%
Boyd Gaming Corp.
4.75%	06/15/311		30,000		28,930

See accompanying Notes to Financial Statements.

155 / Annual Report March 2022

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care — 3.34%
AbbVie, Inc.
3.60%	05/14/25	$	50,000	$	50,704
Amgen, Inc.
3.35%	02/22/32		15,000		14,882
4.40%	02/22/62		15,000		15,588
Bausch Health Americas, Inc.
9.25%	04/01/261		7,000		7,185
Bayer U.S. Finance II LLC
2.85%	04/15/251		20,000		19,548
4.38%	12/15/281		70,000		71,657
4.63%	06/25/381		35,000		36,767
Centene Corp.
2.45%	07/15/28		46,000		42,068
3.00%	10/15/30		59,000		54,281
CommonSpirit Health
2.78%	10/01/30		40,000		37,115
CVS Health Corp.
5.05%	03/25/48		70,000		79,394
Embecta Corp.
5.00%	02/15/301		28,000		26,461
6.75%	02/15/301		13,000		13,056
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/281,3		57,000		33,240
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%	04/01/291,3		13,000		11,879
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/261		30,000		27,875
HCA, Inc.
3.63%	03/15/321		40,000		39,221
5.25%	04/15/25		12,000		12,643
5.25%	06/15/49		110,000		120,943
5.63%	09/01/28		14,000		15,155
ModivCare Escrow Issuer, Inc.
5.00%	10/01/291		15,000		13,996
Molina Healthcare, Inc.
3.88%	11/15/301		35,000		33,852
3.88%	05/15/321		40,000		38,124
Prime Healthcare Services, Inc.
7.25%	11/01/251		43,000		44,183
Universal Health Services, Inc.
1.65%	09/01/261		15,000		13,768
					873,585
Industrials — 2.44%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/271,3		29,000		26,928
Artera Services LLC
9.03%	12/04/251		30,000		30,011
Ball Corp.
4.00%	11/15/23		30,000		30,675
Berry Global, Inc.
1.65%	01/15/27		5,000		4,562
4.88%	07/15/261		50,000		50,561

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Industrials (continued)
Boeing Co. (The)
1.43%	02/04/24	$	60,000	$	58,076
4.88%	05/01/25		10,000		10,331
Clydesdale Acquisition Holdings, Inc.
6.63%	04/15/291		13,000		13,146
Energizer Holdings, Inc.
6.50%	12/31/271		27,000		26,762
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/362		325,000		279,955
Graphic Packaging International LLC
4.88%	11/15/22		55,000		55,414
Mauser Packaging Solutions Holding Co.
5.50%	04/15/241		5,000		4,987
OT Merger Corp.
7.88%	10/15/291		45,000		39,629
Sealed Air Corp.
4.00%	12/01/271		5,000		4,900
					635,937
Information Technology — 0.67%
Broadcom, Inc.
4.30%	11/15/32		15,000		15,235
NCR Corp.
5.13%	04/15/291		37,000		35,625
Netflix, Inc.
5.88%	02/15/25		50,000		53,412
Oracle Corp.
2.88%	03/25/31		15,000		13,697
3.80%	11/15/37		10,000		9,004
3.95%	03/25/51		54,000		47,303
					174,276
Insurance — 1.48%
Aon Corp./Aon Global Holdings PLC
3.90%	02/28/52		30,000		29,735
Athene Global Funding
1.61%	06/29/261		30,000		27,359
3.21%	03/08/271		25,000		24,096
(SOFR Rate plus 0.70%)
0.91%	05/24/241,2		30,000		29,628
Berkshire Hathaway Finance Corp.
3.85%	03/15/52		25,000		25,582
Brown & Brown, Inc.
4.95%	03/17/52		20,000		21,375
Farmers Exchange Capital II
6.15%	11/01/531,4		50,000		59,200
Nationwide Mutual Insurance Co.
3.12%	12/15/241,4		75,000		75,052
Teachers Insurance & Annuity Association of America
4.27%	05/15/471		65,000		68,853
Willis North America, Inc.
4.50%	09/15/28		25,000		25,955
					386,835

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 156

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Materials — 0.32%
ASP Unifrax Holdings, Inc.
5.25%	09/30/281	$	30,000	$	27,907
EverArc Escrow SARL
(Luxembourg)
5.00%	10/30/291,3		36,000		32,963
International Flavors & Fragrances, Inc.
2.30%	11/01/301		26,000		23,250
					84,120
Real Estate Investment Trust (REIT) — 1.72%
American Assets Trust LP
3.38%	02/01/31		30,000		28,231
American Campus Communities Operating Partnership LP
3.63%	11/15/27		50,000		49,788
3.75%	04/15/23		35,000		35,310
CyrusOne LP/CyrusOne Finance Corp.
2.15%	11/01/30		5,000		4,995
2.90%	11/15/24		80,000		80,220
3.45%	11/15/29		5,000		5,251
GLP Capital LP/GLP Financing II, Inc.
5.38%	04/15/26		75,000		78,453
5.75%	06/01/28		25,000		26,947
Healthcare Trust of America Holdings LP
2.00%	03/15/31		45,000		39,005
Iron Mountain Information Management Services, Inc.
5.00%	07/15/321		30,000		28,231
LXP Industrial Trust
2.70%	09/15/30		35,000		32,353
SL Green Operating Partnership LP
3.25%	10/15/22		40,000		40,015
					448,799
Retail — 0.96%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%	10/15/301,3		30,000		27,139
Asbury Automotive Group, Inc.
5.00%	02/15/321		30,000		27,947
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%	04/15/291		30,000		28,373
Dollar Tree, Inc.
4.00%	05/15/25		40,000		40,962
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%	01/15/301		45,000		41,512
FirstCash, Inc.
5.63%	01/01/301		30,000		28,864
Michaels Cos., Inc. (The)
7.88%	05/01/291		65,000		55,737
					250,534
Services — 0.62%
Adtalem Global Education, Inc.
5.50%	03/01/281		30,000		29,060
HealthEquity, Inc.
4.50%	10/01/291		30,000		28,607

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Services (continued)
Hertz Corp. (The)
4.63%	12/01/261	$	15,000	$	14,047
5.00%	12/01/291		15,000		13,676
Rent-A-Center, Inc.
6.38%	02/15/291		35,000		32,145
Waste Pro USA, Inc.
5.50%	02/15/261		48,000		45,417
					162,952
Transportation — 0.62%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%	04/19/22		53,281		53,281
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		93,456		93,021
Union Pacific Corp.
3.50%	02/14/53		15,000		14,681
					160,983
Total Corporates (Cost $9,975,331)					9,595,475
FOREIGN GOVERNMENT OBLIGATIONS — 0.10%
Foreign Government Obligations — 0.10%
Airport Authority
(Hong Kong)
3.25%	01/12/521,3		30,000		27,226
Total Foreign Government Obligations
(Cost $29,525)
MORTGAGE-BACKED — 47.68%**
Non-Agency Commercial Mortgage-Backed — 10.64%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%	09/15/481,4		1,500,000		48,930
BCRR Trust,
Series 2016-FRR3, Class E
(-1.00 X LIBOR USD 1-Month plus 18.35%)
2.04%	05/26/261,2		88,636		80,064
BX Commercial Mortgage Trust,
Series 2020-FOX, Class F
(LIBOR USD 1-Month plus 4.25%)
4.65%	11/15/321,2		82,918		82,511
BX Commercial Mortgage Trust,
Series 2020-FOX, Class G
(LIBOR USD 1-Month plus 4.75%)
5.15%	11/15/321,2		103,647		102,727
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.72%	09/10/451,4		1,060,407		1,204
Citigroup Commercial Mortgage Trust,
Series 2013-GC11, Class XA (IO)
1.35%	04/10/464		4,222,773		41,351

See accompanying Notes to Financial Statements.

157 / Annual Report March 2022

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.96%	10/10/474	$	4,055,661	$	78,912
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.45%	04/15/471,4		259,148		1,045
Commercial Mortgage Trust,
Series 2012-CR2, Class XA (IO)
1.60%	08/15/454		14,085,333		5,633
Commercial Mortgage Trust,
Series 2012-CR3, Class XA (IO)
1.82%	10/15/454		6,403,738		17,734
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.49%	12/10/454		4,436,851		21,627
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
1.10%	10/10/464		1,718,437		22,818
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.60%	02/10/371,4		1,667,987		26,030
Credit Suisse Mortgage Capital Trust,
Series 2014-USA, Class X1 (IO)
0.54%	09/15/371,4		9,783,817		152,651
CSAIL Commercial Mortgage Trust,
Series 2015-C1, Class XA (IO)
0.82%	04/15/504		1,693,786		30,645
CSMC,
Series 2018-SITE, Class B
4.53%	04/15/361		100,000		98,294
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
4.02%	12/15/221,2		100,000		99,864
DBWF Mortgage Trust,
Series 2018-AMXP, Class B
4.00%	05/05/351,4		100,000		98,220
European Loan Conduit No. 36 DAC,
Series 36A, Class E
(Ireland)
(-1.00 X 3 month Euribor plus 3.35%, 8.35% Cap)
3.35%	02/17/301,2,3		99,881		109,646
GS Mortgage Securities Corp. II,
Series 2012-TMSQ, Class D
3.46%	12/10/301,4		170,000		163,247
GS Mortgage Securities Corp. II,
Series 2013-GC10, Class XA (IO)
1.47%	02/10/464		3,842,520		30,967
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/371,4		940,000		8,798
GS Mortgage Securities Trust,
Series 2012-GC6, Class XB (IO)
0.99%	01/10/451,4		1,229,863		12

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
GS Mortgage Securities Trust,
Series 2012-GCJ9, Class XA (IO)
1.91%	11/10/454	$	2,610,464	$	15,543
GS Mortgage Securities Trust,
Series 2013-GC16, Class XB (IO)
0.15%	11/10/464		45,024,000		137,560
GS Mortgage Securities Trust,
Series 2014-GC24, Class XA (IO)
0.71%	09/10/474		2,793,442		39,336
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust,
Series 2010-1, Class A1
5.31%	01/25/511		77,069		77,492
JPMBB Commercial Mortgage Securities Trust,
Series 2013-C15, Class XA (IO)
1.02%	11/15/454		7,334,044		86,640
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class A3
3.67%	04/15/47		47,574		46,496
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C21, Class XA (IO)
0.96%	08/15/474		481,366		8,062
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.82%	09/15/474		7,871,249		122,091
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.82%	11/15/474		4,771,019		85,661
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class XA (IO)
0.96%	01/15/484		2,757,410		55,520
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-LC9, Class XA (IO)
1.39%	12/15/474		1,587,674		9,003
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C13, Class XA (IO)
0.09%	01/15/464		6,183,719		6,693
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C16, Class XA (IO)
0.86%	12/15/464		5,192,804		54,183
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-ICON, Class C
4.54%	01/05/341		72,000		70,408
Ladder Capital Commercial Mortgage Mortgage Trust,
Series 2013-GCP, Class XA (IO)
1.17%	02/15/361,4		1,450,369		78,473
Med Trust,
Series 2021-MDLN, Class G
(LIBOR USD 1-Month plus 5.25%)
5.65%	11/15/381,2		100,000		98,251
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C9, Class XB (IO)
0.30%	05/15/461,4		12,532,749		44,638
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
0.96%	12/15/474		2,766,480		54,861

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 158

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.65%	07/15/584	$	3,326,667	$	57,562
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class XA (IO)
1.62%	11/15/494		1,294,929		65,866
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
1.85%	11/15/451,4		5,505,973		19,103
WF-RBS Commercial Mortgage Trust,
Series 2013-C12, Class XA (IO)
1.09%	03/15/481,4		4,206,035		26,933
WF-RBS Commercial Mortgage Trust,
Series 2013-C13, Class XB (IO)
0.46%	05/15/451,4		10,000,000		47,062
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.66%	06/15/464		2,399,332		12,132
WF-RBS Commercial Mortgage Trust,
Series 2013-C17, Class XA (IO)
1.05%	12/15/464		5,440,054		72,319
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class XA (IO)
1.02%	08/15/474		3,473,711		65,163
					2,779,981
Non-Agency Mortgage-Backed — 22.55%
CIM Trust,
Series 2021-NR2, Class A1 (STEP-reset date 05/25/22)
2.57%	07/25/591		98,629		94,321
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/571,4		90,201		87,503
CIM Trust,
Series 2021-R5, Class A1B
2.00%	08/25/611,4		115,000		96,301
Conseco Finance Corp.,
Series 1999-5, Class A5
7.86%	03/01/304		76,663		39,438
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/22)
3.61%	02/25/37		258,744		193,558
Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/22)
3.31%	03/25/37		874,385		421,906
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
0.57%	12/25/372		320,365		298,187
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.68%	01/25/382		816,185		522,399

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.56%	03/25/372	$	575,134	$	326,845
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
2.89%	04/19/364		199,109		167,970
GreenPoint Mortgage Funding Trust,
Series 2005-AR1, Class A2
(LIBOR USD 1-Month plus 0.44%)
0.90%	06/25/452		116,563		111,437
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
3.08%	05/25/374		234,863		220,157
HSI Asset Loan Obligation Trust,
Series 2007-2, Class 2A12
6.00%	09/25/37		253,022		222,025
Impac CMB Trust,
Series 2004-4, Class 1A2
(LIBOR USD 1-Month plus 0.62%)
1.08%	09/25/342		85,495		85,614
Impac CMB Trust,
Series 2004-6, Class 1A2
(LIBOR USD 1-Month plus 0.78%)
1.24%	10/25/342		114,315		114,567
IndyMac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1
2.94%	12/25/354		235,888		233,165
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A3
6.61%	02/25/28		55,639		55,818
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A4
6.75%	02/25/28		23,422		23,514
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		43,393		44,766
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A5
6.96%	09/25/284		104,592		109,283
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6 (STEP-reset date 05/25/22)
4.23%	03/25/47		676,783		483,506
JPMorgan Mortgage Trust,
Series 2006-S2, Class 2A2
5.88%	06/25/21		2,917		2,932
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.66%)
1.12%	04/25/372,5,6		1,696,107		85,217

See accompanying Notes to Financial Statements.

159 / Annual Report March 2022

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2004-HE2, Class A2C
(LIBOR USD 1-Month plus 1.16%)
1.62%	08/25/352	$	629,458	$	609,728
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		95,356		96,244
Mid-State Trust XI,
Series 11, Class B
8.22%	07/15/38		5,407		5,649
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.07%	09/25/344		130,313		127,489
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/364		946,809		372,627
Oakwood Mortgage Investors, Inc.,
Series 1999-B, Class A4
6.99%	12/15/26		66,017		66,452
Oakwood Mortgage Investors, Inc.,
Series 2002-A, Class A3
6.03%	05/15/244		86,898		88,073
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.59%	03/25/354		119,565		70,582
Residential Asset Securities Corp.,
Series 2005-KS11, Class M3
(LIBOR USD 1-Month plus 0.66%)
1.12%	12/25/352		164,736		166,351
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.68%	09/25/344		123,209		123,654
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(LIBOR USD 1-Month plus 1.10%)
1.56%	07/25/341,2		64,209		63,109
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/22)
2.24%	02/27/511		61,671		59,468
					5,889,855
U.S. Agency Commercial Mortgage-Backed — 5.20%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.94%	07/25/394		448,561		11,791
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
0.77%	07/25/334		535,000		51,271
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K021, Class X3 (IO)
1.97%	07/25/404		1,150,000		5,135
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K022, Class X3 (IO)
1.81%	08/25/404		5,250,000		30,390

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K023, Class X3 (IO)
1.69%	10/25/404	$	4,050,000	$	22,922
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K024, Class X3 (IO)
1.66%	11/25/404		8,000,000		53,707
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K027, Class X3 (IO)
1.71%	01/25/414		5,000,000		62,333
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K028, Class X3 (IO)
1.66%	06/25/414		2,142,000		32,562
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K031, Class X3 (IO)
1.66%	07/25/414		5,999,569		98,947
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K034, Class X1 (IO)
0.05%	07/25/234		6,084,084		6,121
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K040, Class X3 (IO)
2.04%	11/25/424		1,100,000		52,523
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K047, Class X3 (IO)
1.50%	06/25/434		1,676,868		72,802
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K724, Class X1 (IO)
0.27%	11/25/234		14,488,712		50,687
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC04, Class X1 (IO)
1.26%	12/25/264		2,263,669		84,953
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.20%	06/25/274		1,987,022		77,036
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS11, Class XFX (IO)
1.60%	06/25/294		350,000		31,464
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q010, Class XPT2 (IO)
0.36%	08/25/24		2,008,198		9,262
FREMF Mortgage Trust,
Series 2012-K23, Class X2A (IO)
0.13%	10/25/451		58,200,489		12,053

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 160

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
FREMF Mortgage Trust,
Series 2017-K66, Class X2A (IO)
0.10%	06/25/271	$	26,748,192	$	109,121
FREMF Mortgage Trust,
Series 2017-K726, Class X2B (IO)
0.10%	07/25/491		25,000,000		48,787
Ginnie Mae,
Series 2009-114, Class IO (IO)
0.02%	10/16/494		4,508,464		324
Ginnie Mae,
Series 2010-148, Class IO (IO)
0.29%	09/16/504		1,450,619		15,473
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.64%	12/16/514		2,243,109		33,366
Ginnie Mae,
Series 2012-125, Class IO (IO)
0.18%	02/16/534		8,237,198		49,036
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.57%	04/16/534		5,945,489		44,464
Ginnie Mae,
Series 2013-156, Class IO (IO)
0.32%	06/16/554		5,040,334		50,839
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.04%	02/16/464		1,676,924		31,119
Ginnie Mae,
Series 2013-63, Class IO (IO)
0.78%	09/16/514		6,899,131		124,344
Ginnie Mae,
Series 2013-74, Class IO (IO)
0.56%	12/16/534		3,030,428		43,447
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.20%	05/16/554		890,156		9,235
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.94%	11/16/544		652,807		21,487
Ginnie Mae,
Series 2015-47, Class IO (IO)
0.39%	10/16/564		557,373		11,639
					1,358,640
U.S. Agency Mortgage-Backed — 9.29%
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.32%	05/25/232		198		205
Fannie Mae REMICS,
Series 2000-45, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap)
7.48%	12/18/302		57,021		4,584

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%	09/25/312	$	281	$	299
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%	01/25/342		2,900		2,972
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
5.64%	10/25/252		302,492		13,039
Fannie Mae REMICS,
Series 2006-125, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
6.74%	01/25/372		528,254		81,275
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.59%	11/25/362		659,266		93,196
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
5.96%	05/25/402		628,286		102,920
Freddie Mac REMICS,
Series 1602, Class SN
(-4.25 X PRIME plus 46.22%, 10.09% Cap)
10.09%	10/15/232		2,552		2,608
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)
15.10%	02/15/242		13,751		14,799
Freddie Mac REMICS,
Series 3247, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.65%, 0.15% Cap)
0.15%	08/15/362		8,609,387		34,775
Freddie Mac REMICS,
Series 3289, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap)
5.72%	03/15/372		516,341		62,782
Ginnie Mae,
Series 2004-8, Class SE
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap)
13.41%	11/26/232		8,821		9,342
UMBS (TBA)
2.00%	04/01/52		50,000		46,387
2.00%	05/01/52		475,000		440,143
2.50%	05/01/52		875,000		833,143
3.00%	04/01/52		25,000		24,457
3.00%	05/01/52		675,000		658,969
					2,425,895
Total Mortgage-Backed (Cost $18,368,128)					12,454,371

See accompanying Notes to Financial Statements.

161 / Annual Report March 2022

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MUNICIPAL BONDS — 0.49%*
California — 0.17%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%	11/01/35	$	15,000	$	12,823
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%	11/01/41		35,000		31,496
					44,319
Florida — 0.05%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.86%	10/01/35		15,000		13,868
New York — 0.27%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		5,000		5,718
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3
1.85%	08/01/32		75,000		63,173
					68,891
Total Municipal Bonds
(Cost $144,483)					127,078
Total Bonds — 102.57%
(Cost $33,544,449)					26,793,848
Issues		Shares		Value
COMMON STOCK — 0.34%
Communications — 0.12%
Intelsat Emergence SA3,5,6,8
(Luxembourg)			1,041		31,230
Financials — 0.22%
AGNC Investment Corp.			4,500		58,950
Total Common Stock
(Cost $93,492)					90,180
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A3,5,6,8
(Luxembourg)			108		—
Intelsat Jackson Holdings SA, Series B3,5,6,8
(Luxembourg)			108		—
					—
Total Rights
(Cost $–)					—

Issues	Maturity     Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 2.96%
Money Market Funds — 2.96%
Dreyfus Government Cash Management Fund
0.19%11			359,000	$	359,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%11			22,105		22,105
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%11			392,000		392,000
Total Short-Term Investments
(Cost $773,105)					773,105
Total Investments Before Written Options - 105.87%
(Cost $34,411,046)					27,657,133
Written Options - (0.14)%
(Cost $(18,699))					(38,025	)
Liabilities in Excess of Other Assets - (5.73)%					(1,495,808	)
Net Assets - 100.00%				$	26,123,300

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 $263,849, which is 1.01% of total net assets.

⁷ Perpetual security with no stated maturity date.

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 March 31, 2022.

¹¹ Represents the current yield as of March 31, 2022.

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 162

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

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

(CDO): Collateralized Debt Obligation

(CLO): Collateralized Loan Obligation

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(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

Currency to be Purchased	Currency to be Sold		Counterparty					Settlement         Date			Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
EUR 100,000		USD 109,970		Citigroup Global Markets, Inc.					04/08/22		$	1,321
USD 108,747		EUR 100,000		Citigroup Global Markets, Inc.					04/08/22			(2,544	)
USD 110,401		EUR 100,000		Citigroup Global Markets, Inc.					07/08/22			(1,328	)
												(3,872	)
NET UNREALIZED DEPRECIATION											$	(2,551	)
Description	Number of Contracts		Expiration Date		Notional Amount			Value			Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		18		06/30/22	$	2,064,375		$	(45,838	)	$	(45,838	)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		11		06/21/22		(1,490,156	)		48,320			48,320
U.S. Treasury Ultra Bond		7		06/21/22		(1,239,875	)		45,649			45,649
						(2,730,031	)		93,969			93,969
TOTAL FUTURES CONTRACTS					$	(665,656	)	$	48,131		$	48,131

Description	Number of     contracts		Exercise     Price		Expiration     Date		Notional Amount			Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		10		$97.88		12/16/22	$	(608,094	)	$	(4,687	)
WRITTEN PUT OPTIONS EXCHANGE TRADED
IMM Eurodollar 2-Year MIDCV Future Options		10		$97.38		12/16/22	$	(608,094	)	$	(11,688	)

Received by the

Fund

Paid by the Fund

Notional

Purchase

Maturity

Amount

Premiums

Unrealized

Description

Counterparty

Date

Date

Rate

Frequency

Rate

Frequency

(000’s)

Value

(Received)

(Depreciation)

WRITTEN PUT SWAPTIONS

Option to enter into a 2-year Interest Rate Swap

Citigroup Global Markets, Inc.

03/09/22

06/08/22

1.95

%

Semi- annually

3-month USD LIBOR

Quarterly

$

1,400

$

(21,650

)

$

(3,920

)

$

(17,730

)

See accompanying Notes to Financial Statements.

163 / Annual Report March 2022

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2022

		Received by the Fund			Paid by the Fund
Description	Maturity Date	Rate	Frequency		Rate		Frequency		Notional Amount (000’s)		Value			Premiums Paid		Unrealized Appreciation (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap1	12/07/53	3-month USD LIBOR		Quarterly		1.74%		Semi-annually	$	65	$	6,708		$	—	$	6,708
Interest Rate Swap1	07/24/53	3-month USD LIBOR		Quarterly		1.81%		Semi-annually		30		2,854			—		2,854
Interest Rate Swap1	07/24/53	3-month USD LIBOR		Quarterly		1.77%		Semi-annually		60		6,146			—		6,146
Interest Rate Swap1	07/24/53	3-month USD LIBOR		Quarterly		1.79%		Semi-annually		35		3,494			—		3,494
Interest Rate Swap1	09/28/53	3-month USD LIBOR		Quarterly		1.87%		Semi-annually		70		5,565			—		5,565
Interest Rate Swap1	12/07/25	1.69%		Semi-annually		3-month USD LIBOR		Quarterly		795		(16,000	)		—		(16,000	)
Interest Rate Swap1	07/24/25	1.07%		Semi-annually		3-month USD LIBOR		Quarterly		330		(11,417	)		—		(11,417	)
Interest Rate Swap1	07/24/25	1.03%		Semi-annually		3-month USD LIBOR		Quarterly		660		(23,414	)		—		(23,414	)
Interest Rate Swap1	07/24/25	1.03%		Semi-annually		3-month USD LIBOR		Quarterly		490		(17,310	)		—		(17,310	)
Interest Rate Swap1	09/28/25	1.39%		Semi-annually		3-month USD LIBOR		Quarterly		830		(22,615	)		—		(22,615	)
TOTAL SWAPS CONTRACTS									$	3,365	$	(65,989	)	$	—	$	(65,989	)

¹ Centrally cleared.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 164

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BONDS – 110.81%
ASSET-BACKED SECURITIES — 4.34%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.56%	12/27/441,2	$	17,563,321	$	17,454,374
ACRES Commercial Realty Ltd.,
Series 2021-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.20%)
1.64%	06/15/361,2,3		19,750,000		19,611,505
AGL CLO 1 Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.90%	10/20/341,2,3		19,000,000		18,772,589
AGL CLO 17 Ltd.,
Series 2022-17A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.33%)
1.57%	01/21/351,2,3		30,520,000		30,433,018
AIG CLO LLC,
Series 2020-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
1.40%	04/15/341,2,3		48,800,000		48,278,328
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.37%	10/17/341,2,3		7,100,000		7,032,181
AMMC CLO 15 Ltd.,
Series 2014-15A, Class AR3
(Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
1.36%	01/15/321,2,3		27,800,000		27,583,716
AMMC CLO 19 Ltd.,
Series 2016-19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.38%	10/16/281,2,3		27,555,426		27,503,897
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
1.31%	04/20/311,2,3		21,475,000		21,339,708
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.05%	01/20/281,2,3		20,309,493		20,201,040
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.20%	07/20/291,2,3		27,800,920		27,646,625

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Barings CLO Ltd.,
Series 2020-4A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
1.47%	01/20/321,2,3	$	19,110,000	$	19,040,248
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
1.10%	08/25/341,2		151,197		150,408
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
1.01%	01/25/351,2		837,143		832,311
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.91%	04/25/351,2		1,843,870		1,794,805
BCRED MML CLO, LLC,
Series 2022-1A, Class A1
(CME Term SOFR 3-Month plus 1.65%)
2.24%	04/20/351,2		48,400,000		48,309,686
BlueMountain CLO XXXII Ltd.,
Series 2021-32A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.94%	10/15/341,2,3		25,000,000		24,747,750
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
1.23%	07/20/291,2,3		28,145,000		27,950,800
Brazos Education Loan Authority, Inc.,
Series 2012-1, Class A1
(LIBOR USD 1-Month plus 0.70%)
1.16%	12/26/352		26,772		26,507
Brazos Higher Education Authority, Inc.,
Series 2010-1, Class A2
(LIBOR USD 3-Month plus 1.20%)
1.70%	02/25/352		12,315,000		12,391,386
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A3
(LIBOR USD 3-Month plus 1.05%)
1.55%	11/25/332		16,050,000		15,964,580
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.26%	10/27/362		24,361,000		24,209,219
CIFC Funding Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.85%	10/20/341,2,3		9,000,000		8,841,060
CIFC Funding Ltd.,
Series 2021-6A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.85%	10/15/341,2,3		20,000,000		19,823,940

See accompanying Notes to Financial Statements.

165 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
CIFC Funding Ltd.,
Series 2022-1A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.32%)
1.75%	04/17/351,2,3	$	35,000,000	$	34,886,250
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
1.27%	06/25/421,2		10,307,588		9,436,516
Clear Creek CLO,
Series 2015-1A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.45%	10/20/301,2,3		27,190,000		27,123,385
College Loan Corp. Trust,
Series 2005-2, Class B
(LIBOR USD 3-Month plus 0.49%)
0.73%	01/15/372		1,996,529		1,899,327
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
1.33%	11/15/281,2,3		17,051,226		16,939,882
Dryden 83 CLO Ltd.,
Series 2020-83A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.22%)
1.46%	01/18/321,2,3		29,220,000		29,110,337
Dryden 92 CLO Ltd.,
Series 2021-92A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.78%	11/20/341,2,3		22,500,000		22,166,550
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.14%	04/15/291,2,3		22,005,746		21,883,174
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.49%	01/15/341,2,3		23,950,000		23,807,569
Eaton Vance CLO Ltd.,
Series 2020-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.89%	10/15/341,2,3		25,000,000		24,645,000
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
1.81%	07/26/661,2		33,924,755		34,530,515
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
1.26%	04/26/321,2		9,267,270		9,204,665

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%)
0.91%	04/25/352	$	10,803	$	10,764
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.51%	03/25/362		7,414,681		7,401,173
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
1.81%	03/25/361,2		9,460,362		9,546,797
Elmwood CLO XI Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.74%	10/20/341,2,3		16,000,000		15,697,600
Flatiron CLO 21 Ltd.,
Series 2021-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
1.36%	07/19/341,2,3		52,500,000		51,794,925
GCO Education Loan Funding Trust,
Series 2006-1, Class A11L
(LIBOR USD 3-Month plus 0.23%)
0.73%	05/25/362		25,000,000		24,481,397
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3		20,674,468		20,372,048
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.95%	08/25/422		1,818,943		1,709,787
Goal Structured Solutions Trust,
Series 2015-1, Class A
(LIBOR USD 1-Month plus 0.65%)
1.11%	09/25/411,2		15,225,654		15,042,304
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.40%	10/20/341,2,3		36,180,000		35,787,085
GoldenTree Loan Opportunities IX Ltd.,
Series 2014-9A, Class AR2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.11%)
1.41%	10/29/291,2,3		4,953,781		4,940,852
HPS Loan Management Ltd.
Series 15A-19, Class A1R
(United Kingdom)
(CME Term SOFR 3-Month plus 1.32%)
1.60%	01/22/351,2,3		35,720,000		35,446,742

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 166

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
HPS Loan Management Ltd.,
Series 2021-16A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.96%	01/23/351,2,3	$	19,250,000	$	19,054,035
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/731		575,611		597,074
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%	01/17/731		37,836,315		38,372,531
LCM XVIII LP,
Series 19A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.48%	07/15/271,2,3		7,725,504		7,713,684
LCM XX LP,
Series 20A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.04%)
1.29%	10/20/271,2,3		2,925,045		2,914,046
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
1.13%	04/20/281,2,3		12,314,165		12,272,789
Lehman Brothers Small Balance Commercial Mortgage Trust,
Series 2007-1A, Class 2A3
5.62%	03/25/371,4		624,295		633,048
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.50%)
1.90%	05/15/281,2,3		13,000,000		12,950,965
LoanCore Issuer Ltd.,
Series 2021-CRE5, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.30%)
1.70%	07/15/361,2,3		45,000,000		44,305,094
Lucali CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.21%)
1.45%	01/15/331,2,3		11,550,000		11,499,295
Madison Park Funding XLVIII Ltd.,
Series 2021-48A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.15%)
1.40%	04/19/331,2,3		30,725,000		30,512,782
Madison Park Funding XXX Ltd.,
Series 2018-30A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 0.75%)
0.99%	04/15/291,2,3		7,018,804		6,965,461

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Madison Park Funding XXXVIII Ltd.,
Series 2021-38A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.12%)
1.36%	07/17/341,2,3	$	20,500,000	$	20,250,925
Magnetite XXIII Ltd.,
Series 2019-23A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.77%	01/25/351,2,3		20,000,000		19,703,000
Magnetite XXV Ltd.,
Series 2020-25A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.20%)
1.46%	01/25/321,2,3		27,025,000		26,903,388
Navient Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.51%)
0.97%	06/25/312		663,824		651,332
Navient Student Loan Trust,
Series 2014-2, Class A
(LIBOR USD 1-Month plus 0.64%)
1.10%	03/25/832		32,856,836		32,347,446
Navient Student Loan Trust,
Series 2014-3, Class A
(LIBOR USD 1-Month plus 0.62%)
1.08%	03/25/832		57,541,620		56,583,724
Navient Student Loan Trust,
Series 2014-4, Class A
(LIBOR USD 1-Month plus 0.62%)
1.08%	03/25/832		84,809,811		83,399,315
Navient Student Loan Trust,
Series 2014-6, Class A
(LIBOR USD 1-Month plus 0.61%)
1.07%	03/25/832		35,314,061		34,790,482
Navient Student Loan Trust,
Series 2014-7, Class A
(LIBOR USD 1-Month plus 0.61%)
1.07%	03/25/832		72,548,469		71,478,698
Navient Student Loan Trust,
Series 2015-1, Class A2
(LIBOR USD 1-Month plus 0.60%)
1.06%	04/25/402		55,312,970		54,265,721
Navient Student Loan Trust,
Series 2015-2, Class A3
(LIBOR USD 1-Month plus 0.57%)
1.03%	11/26/402		108,885,913		107,291,745
Navient Student Loan Trust,
Series 2016-7A, Class A
(LIBOR USD 1-Month plus 1.15%)
1.61%	03/25/661,2		55,767,544		55,942,386
Nelnet Student Loan Trust,
Series 2006-1, Class A6
(LIBOR USD 3-Month plus 0.45%)
0.93%	08/23/361,2		10,311,548		10,147,700

See accompanying Notes to Financial Statements.

167 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
1.06%	10/27/361,2	$	8,725,540	$	8,584,426
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.41%	11/25/481,2		11,630,000		11,587,341
Nelnet Student Loan Trust,
Series 2014-5A, Class A
(LIBOR USD 1-Month plus 0.55%)
1.01%	07/25/461,2		48,985,370		48,167,539
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
1.05%	04/25/461,2		92,465,792		90,791,918
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
1.36%	06/25/541,2		8,890,000		8,860,568
Neuberger Berman Loan Advisers CLO 33 Ltd.,
Series 2019-33A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.84%	10/16/331,2,3		23,000,000		22,709,050
Neuberger Berman Loan Advisers CLO 36 Ltd.,
Series 2020-36A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.50%	04/20/331,2,3		25,455,000		25,340,351
Neuberger Berman Loan Advisers CLO 47 Ltd.,
Series 2022-47A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
1.55%	04/14/351,2,3		31,785,000		31,560,916
North Carolina State Education Authority,
Series A3, Class A3
(LIBOR USD 3-Month plus 0.90%)
1.16%	10/25/412		13,617,303		13,616,015
NYACK Park CLO Ltd.,
Series 2021-1A, Class B1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.72%	10/20/341,2,3		20,000,000		19,835,360
OCP CLO Ltd.,
Series 2020-19A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.95%	10/20/341,2,3		15,500,000		15,352,626
Octagon Investment Partners 20-R Ltd.,
Series 2019-4A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
2.09%	05/12/311,2,3		17,500,000		17,337,915

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.89%	07/15/361,2,3	$	7,250,000	$	7,156,953
OHA Credit Funding 3 Ltd.,
Series 2019-3A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.14%)
1.39%	07/02/351,2,3		33,250,000		32,923,818
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
2.15%	02/24/371,2,3		18,785,000		18,706,535
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.59%	11/15/311,2,3		22,100,000		21,951,267
Palmer Square CLO Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.79%	10/15/341,2,3		19,500,000		19,231,485
Palmer Square Loan Funding Ltd.,
Series 2019-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.05%)
1.30%	04/20/271,2,3		2,742,933		2,740,299
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.16%	10/24/271,2,3		23,430,473		23,336,986
Palmer Square Loan Funding Ltd.,
Series 2020-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.00%)
1.25%	04/20/281,2,3		17,426,829		17,370,889
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A1A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.39%)
1.64%	01/20/341,2,3		50,000,000		49,726,400
PHEAA Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.60%)
1.06%	10/25/411,2		96,168,082		94,182,438
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.33%	04/20/341,2,3		42,730,000		42,174,510

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 168

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
Regatta XX Funding Ltd.,
Series 2021-2A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.94%	10/15/341,2,3	$	12,000,000	$	11,886,720
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.02%)
1.26%	10/15/291,2,3		26,588,120		26,487,351
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.19%)
1.44%	10/20/301,2,3		1,685,000		1,676,912
Rockford Tower CLO Ltd.,
Series 2019-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
2.13%	08/20/321,2,3		20,000,000		19,829,880
Rockford Tower CLO Ltd.,
Series 2020-1A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.28%)
1.53%	01/20/321,2,3		23,840,000		23,793,989
Scholar Funding Trust,
Series 2012-B, Class A2
(LIBOR USD 1-Month plus 1.10%)
1.55%	03/28/461,2		18,458,490		18,596,571
Sixth Street CLO XVII Ltd.,
Series 2021-17A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.24%)
1.49%	01/20/341,2,3		40,930,000		40,608,700
Sixth Street CLO XX Ltd.,
Series 2021-20A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
2.71%	10/20/341,2,3		25,000,000		24,618,500
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/375,6		30,270,266		28,567,563
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.80%	08/15/312		236,558		220,139
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
2.43%	12/15/322		10,133,052		10,261,683
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
1.42%	12/15/682		46,300		44,541

Issues	Maturity     Date	Principal     Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2003-4, Class A5E
(LIBOR USD 3-Month plus 0.75%)
1.58%	03/15/331,2	$	4,059,184	$	3,971,269
SLM Student Loan Trust,
Series 2005-9, Class A7A
(LIBOR USD 3-Month plus 0.60%)
0.86%	01/25/412		52,003,940		51,336,952
SLM Student Loan Trust,
Series 2006-2, Class A6
(LIBOR USD 3-Month plus 0.17%)
0.43%	01/25/412		29,255,369		27,618,164
SLM Student Loan Trust,
Series 2006-8, Class A6
(LIBOR USD 3-Month plus 0.16%)
0.42%	01/25/412		30,938,677		29,649,605
SLM Student Loan Trust,
Series 2007-1, Class A6
(LIBOR USD 3-Month plus 0.14%)
0.40%	01/27/422		30,421,555		29,291,380
SLM Student Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.22%)
0.48%	01/27/422		3,555,983		3,292,778
SLM Student Loan Trust,
Series 2007-6, Class B
(LIBOR USD 3-Month plus 0.85%)
1.11%	04/27/432		4,256,180		4,092,586
SLM Student Loan Trust,
Series 2007-7, Class A4
(LIBOR USD 3-Month plus 0.33%)
0.59%	01/25/222		247,282		241,695
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
1.01%	04/25/232		76,227,138		74,939,563
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	01/25/832		38,874,000		36,987,043
SLM Student Loan Trust,
Series 2008-3, Class A3
(LIBOR USD 3-Month plus 1.00%)
1.26%	10/25/212		15,456		15,305
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	04/26/832		2,260,000		2,081,183
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
1.91%	07/25/222		1,816,046		1,822,660
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	04/25/732		8,849,000		8,805,995

See accompanying Notes to Financial Statements.

169 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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%)
1.96%	07/25/232	$	26,158,242	$	26,248,255
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/25/732		37,199,000		37,153,053
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.36%	07/25/232		11,421,655		11,286,069
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		31,424,000		30,742,995
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		17,206,000		17,120,383
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232		2,350,899		2,357,162
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/752		625,000		626,382
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232		53,683,833		53,686,344
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/832		45,100,000		45,301,885
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
1.21%	01/25/451,2		137,001,112		135,721,823
SLM Student Loan Trust,
Series 2011-1, Class A2
(LIBOR USD 1-Month plus 1.15%)
1.61%	10/25/342		2,226,914		2,246,590
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.41%	09/25/282		563,551		554,204
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
1.16%	01/25/292		11,853,678		11,526,298
SLM Student Loan Trust,
Series 2012-3, Class A
(LIBOR USD 1-Month plus 0.65%)
1.11%	12/27/382		13,852,047		13,689,992

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%)
1.11%	05/26/262	$	20,546,661	$	20,109,701
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2		17,450,000		16,077,331
Symphony CLO XXIX Ltd.,
Series 2021-29A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.65%)
1.89%	01/15/341,2,3		14,500,000		14,368,485
Treman Park CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.07%)
1.32%	10/20/281,2,3		10,603,232		10,570,892
Trestles CLO IV Ltd.,
Series 2021-4A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
1.43%	07/21/341,2,3		50,000,000		49,512,000
Voya CLO Ltd.,
Series 2019-4A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
1.99%	01/15/351,2,3		17,500,000		17,358,600
Voya CLO Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.95%	07/19/341,2,3		11,825,000		11,707,637
Total Asset-Backed Securities
(Cost $3,380,478,357)					3,361,301,404
BANK LOANS — 2.01%*
Automotive — 0.02%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/30/262		18,429,354		18,226,631
Communications — 0.43%
CenturyLink, Inc.,
Term Loan A, 1st Lien
(LIBOR plus 2.00%)
2.46%	01/31/252		8,763,002		8,686,369
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/15/272		65,318,364		63,680,506
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.65%	07/17/252		15,849,905		15,632,048

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 170

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Communications (continued)
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.90%	04/15/272	$	9,464,157	$	9,317,463
Diamond Sports Group, LLC,
Term Loan, 1st Lien
(LIBOR plus 8.00%)
9.00%	05/25/262		19,011,164		19,337,301
Term Loan, 2nd Lien
(SOFR plus 3.25%)
3.54%	08/24/262		66,532,418		23,057,807
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/272		46,518,050		46,527,121
EW Scripps Co.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	10/02/242		3,969,067		3,927,888
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.81%	05/01/282		16,607,250		16,385,792
Intelsat Jackson Holdings SA,
Term Loan (Luxembourg)
(SOFR plus 4.42%)
4.92%	02/01/292,3		15,831,541		15,600,242
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/01/272		10,889,876		10,701,863
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.21%	04/11/252		42,767,312		42,318,896
Sinclair Television Group, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 3.00%)
3.46%	04/01/282		12,753,625		12,474,703
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.46%	03/09/272		47,411,678		46,206,710
					333,854,709
Consumer Discretionary — 0.07%
AI Aqua Merger Sub, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.00%	07/31/282,7		1,100,000		1,090,034
Naked Juice, LLC,
Term Loan
(SOFR plus 3.25%)
4.00%	01/24/292		44,853,901		44,213,163

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.76%	10/01/262	$	7,646,475	$	7,607,057
					52,910,254
Electric — 0.09%
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/06/262		44,035,116		42,952,513
Homer City Generation LP,
Term Loan B, 1st Lien
(LIBOR plus 11.00%)
15.00%	04/05/232,5,6		5,827,963		3,351,078
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.19%	12/31/252		4,358,928		4,320,787
2.21%	12/31/252		18,034,512		17,876,710
					68,501,088
Entertainment — 0.01%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%	02/28/252		7,726,804		5,983,753
Finance — 0.21%
Auris Lux III SA,
Term Loan B, 1st Lien (Luxembourg)
(LIBOR plus 3.75%)
4.21%	02/27/262,3		1,458,653		1,424,469
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	12/01/272		8,891,062		8,816,422
Mozart Borrower, LP,
Term Loan B
(LIBOR plus 3.25%)
3.75%	10/23/282		40,495,000		40,138,037
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
3.01%	11/05/282		82,885,000		81,780,143
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(LIBOR plus 2.00%)
2.40%	04/28/282		28,600,000		28,007,551
					160,166,622
Food — 0.06%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/252		43,027,227		42,547,043

See accompanying Notes to Financial Statements.

171 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Food (continued)
JBS USA LUX SA,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 2.00%)
2.80%	05/01/262,3	$	1,110,516	$	1,102,304
					43,649,347
Gaming — 0.05%
Caesars Resort Collection LLC,
Term Loan, 1st Lien
(LIBOR plus 2.75%)
3.21%	12/23/242		92,303		91,944
Churchill Downs, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	12/27/242		11,482,764		11,358,980
2.46%	03/17/282		12,870,000		12,730,618
Golden Nugget, LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.50%	01/27/292		14,840,858		14,786,169
					38,967,711
Health Care — 0.58%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	11/08/272		66,727,685		66,310,637
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/252		6,520,459		6,429,205
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/242		26,359,746		26,251,012
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.98%	08/01/272		95,965,348		94,608,398
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/282		65,950,338		61,959,023
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	11/15/272		51,568,884		50,776,012
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.25%	03/15/282		55,563,583		55,094,904
Term Loan B1, 1st Lien
(LIBOR plus 2.00%)
2.50%	05/22/262		628,170		622,831

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Health Care (continued)
ICON Luxembourg SARL,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/282	$	15,045,198	$	14,993,518
Indigo Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/282		3,748,421		3,735,545
Jazz Financing Lux SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	05/05/282		42,836,300		42,731,994
Organon & Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.56%	06/02/282		26,153,021		26,054,947
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.75%)
3.21%	11/27/252		3,785,588		3,757,196
					453,325,222
Industrials — 0.17%
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
2.07%	07/01/262		71,273,684		70,393,811
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.26%	04/15/282		28,028,200		26,362,064
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.71%	05/30/252		18,219,298		17,923,234
Term Loan F, 1st Lien
(LIBOR plus 2.25%)
2.71%	12/09/252		5,349,028		5,266,279
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	08/12/242		10,067,140		9,664,454
					129,609,842
Information Technology — 0.15%
AthenaHealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
4.00%	02/15/292,8		5,985,507		5,933,134
Entegris, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
3.00%	03/02/292		8,930,000		8,920,713

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 172

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	10/01/272	$	18,129,104	$	18,129,103
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/07/242		13,837,268		13,759,433
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.76%	06/11/252		3,698,116		3,682,399
NortonLifeLock, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
2.00%	01/28/292		53,430,000		52,840,133
SS&C Technologies, Inc.,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.21%	04/16/252		8,491,074		8,374,322
Term Loan B4, 1st Lien
(LIBOR plus 1.75%)
2.21%	04/16/252		6,892,878		6,798,101
					118,437,338
Insurance — 0.03%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	02/15/272		26,233,079		25,916,183
Retail — 0.09%
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/282		50,666,770		49,906,768
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
2.21%	11/19/262,3		23,489,998		23,027,480
KFC Holding Co.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.22%	03/15/282		1,332,975		1,325,058
					74,259,306
Services — 0.04%
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	05/30/252		12,146,001		12,119,462
PowerTeam Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
4.26%	03/06/252		2,502,615		2,340,571

Issues	Maturity     Date	Principal     Amount		Value
BANK LOANS (continued)
Services (continued)
SS&C Technologies, Inc.,
Term Loan B5, 1st Lien
(LIBOR plus 1.75%)
2.21%	04/16/252	$	1,313,579	$	1,295,064
Trans Union LLC,
Term Loan B6
(LIBOR plus 2.25%)
2.75%	12/01/282		14,707,662		14,621,843
					30,376,940
Transportation — 0.01%
American Airlines, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.20%	01/29/272		5,601,839		5,258,726
Total Bank Loans
(Cost $1,589,882,730)					1,559,443,672
CORPORATES — 28.89%*
Banking — 6.45%
ABN AMRO Bank NV
(Netherlands)
2.47%	12/13/291,3,4		7,000,000		6,407,631
Bank of America Corp.
1.73%	07/22/274		250,485,000		232,926,981
2.30%	07/21/324		5,755,000		5,126,012
2.69%	04/22/324		16,700,000		15,355,100
2.97%	02/04/334		95,074,000		89,247,762
3.00%	12/20/234		18,385,000		18,438,375
3.55%	03/05/244		6,000,000		6,041,223
Bank of America Corp.
(MTN)
1.90%	07/23/314		31,000,000		27,135,303
2.02%	02/13/264		14,932,000		14,385,500
2.09%	06/14/294		280,019,000		256,169,681
3.46%	03/15/254		17,545,000		17,659,865
(LIBOR USD 3-Month plus 0.65%)
1.17%	12/01/262		50,000,000		48,163,675
Bank of America Corp.,
Series N
1.66%	03/11/274		335,235,000		313,376,438
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		130,675,000		116,862,421
2.19%	06/05/261,3,4		120,398,000		113,286,434
2.59%	09/11/251,3,4		50,708,000		48,937,885
3.09%	05/14/321,3,4		101,965,000		91,860,293
4.28%	01/09/281,3		43,970,000		43,986,197
Discover Bank
(BKNT)
4.20%	08/08/23		15,255,000		15,521,488
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		122,145,000		115,769,751
1.13%	09/16/261,3,4		7,581,000		6,967,410
1.61%	03/30/281,3,4		5,940,000		5,377,046

See accompanying Notes to Financial Statements.

173 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
Global Bank Corp.
(Panama)
5.25%	04/16/291,3,4	$	2,400,000	$	2,286,000
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		27,550,000		25,180,931
1.75%	07/24/273,4		34,075,000		42,295,750
2.01%	09/22/283,4		183,122,000		166,308,002
2.21%	08/17/293,4		162,265,000		146,238,433
2.25%	11/22/273,4		8,415,000		7,843,417
2.63%	11/07/253,4		77,135,000		75,296,885
2.80%	05/24/323,4		11,540,000		10,512,155
3.80%	03/11/253,4		8,775,000		8,820,688
4.04%	03/13/283,4		20,000,000		20,088,371
4.29%	09/12/263,4		3,375,000		3,419,116
ING Groep NV
(Netherlands)
4.02%	03/28/283,4		2,015,000		2,029,751
4.25%	03/28/333,4		27,750,000		28,572,579
JPMorgan Chase & Co.
0.77%	08/09/254		68,080,000		64,612,305
0.97%	06/23/254		134,380,000		128,384,543
1.47%	09/22/274		27,405,000		25,347,688
1.58%	04/22/274		120,391,000		112,221,032
2.01%	03/13/264		52,245,000		50,432,125
2.08%	04/22/264		22,845,000		22,035,234
2.58%	04/22/324		37,994,000		34,862,571
3.22%	03/01/254		34,600,000		34,738,391
4.02%	12/05/244		190,675,000		193,808,932
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		21,375,000		19,621,980
2.91%	11/07/233,4		256,085,000		256,521,292
3.75%	03/18/283,4		21,255,000		21,188,080
3.87%	07/09/253,4		27,225,000		27,527,615
3.90%	03/12/243		27,591,000		28,026,724
4.05%	08/16/233		10,510,000		10,701,015
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		70,515,000		66,707,066
1.34%	01/12/271,3,4		25,515,000		23,278,230
1.63%	09/23/271,3,4		35,840,000		32,342,167
2.69%	06/23/321,3,4		2,100,000		1,854,319
2.87%	01/14/331,3,4		122,595,000		109,059,838
3.19%	11/28/231,3,4		9,292,000		9,309,705
4.15%	03/27/241,3,4		9,600,000		9,717,543
4.44%	06/21/331,3,4		54,765,000		55,453,211
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4		123,475,000		124,977,648
4.52%	06/25/243,4		12,162,000		12,349,101
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		176,904,000		168,286,877
1.53%	08/21/263,4		43,234,000		39,789,544
1.67%	06/14/273,4		33,865,000		30,852,916

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Banking (continued)
2.47%	01/11/283,4	$	20,450,000	$	19,044,556
3.37%	01/05/243,4		28,945,000		29,044,209
3.82%	11/03/283,4		8,897,000		8,752,191
4.80%	11/15/243,4		114,250,000		116,900,493
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		27,746,000		28,425,777
UBS AG
(Switzerland)
(SOFR Rate plus 0.45%)
0.63%	08/09/241,2,3		98,100,000		97,410,688
UBS Group AG
(Switzerland)
2.86%	08/15/231,3,4		19,655,000		19,688,280
Wells Fargo & Co.
2.19%	04/30/264		53,175,000		51,330,611
Wells Fargo & Co.
(MTN)
2.16%	02/11/264		62,158,000		60,166,654
2.39%	06/02/284		150,966,000		142,925,617
2.88%	10/30/304		168,638,000		160,671,151
3.35%	03/02/334		308,670,000		300,304,537
3.53%	03/24/284		93,649,000		93,551,409
4.15%	01/24/29		4,978,000		5,168,613
5.01%	04/04/514		6,515,000		7,766,356
					5,003,053,383
Communications — 4.36%
AT&T, Inc.
2.55%	12/01/33		75,325,000		67,071,828
3.80%	12/01/57		278,699,000		248,377,064
4.30%	12/15/42		30,960,000		30,798,807
4.50%	05/15/35		48,155,000		50,727,464
4.75%	05/15/46		146,527,000		159,738,740
4.85%	03/01/39		4,620,000		5,041,199
5.25%	03/01/37		141,704,000		161,561,696
C&W Senior Financing DAC
(Ireland)
6.88%	09/15/271,3		3,150,000		3,131,919
Cable One, Inc.
4.00%	11/15/301		11,158,000		10,321,150
CCO Holdings LLC/CCO Holdings Capital Corp.
4.25%	02/01/311		1,153,000		1,052,183
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.25%	01/15/341		12,901,000		11,223,870
4.50%	05/01/32		4,800,000		4,396,474
4.50%	06/01/331		3,958,000		3,555,629
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%	02/01/32		10,000,000		8,556,465
4.80%	03/01/50		43,110,000		41,179,965
5.38%	04/01/38		2,030,000		2,095,247
5.38%	05/01/47		95,317,000		97,763,348
5.75%	04/01/48		19,313,000		20,543,238

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 174

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
Charter Communications Operating, LLC/Charter
Communications Operating Capital
4.40%	04/01/33	$	11,490,000	$	11,472,865
5.13%	07/01/49		14,837,000		14,833,588
5.25%	04/01/53		120,525,000		121,667,272
CommScope, Inc.
4.75%	09/01/291		37,115,000		34,424,163
Cox Communications, Inc.
2.60%	06/15/311		9,790,000		8,861,682
CSC Holdings LLC
4.13%	12/01/301		30,484,000		26,881,389
4.50%	11/15/311		68,204,000		61,188,127
5.38%	02/01/281		5,000,000		4,861,600
6.50%	02/01/291		37,179,000		37,545,957
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261		117,716,000		46,203,530
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		153,780,000		153,785,270
Intelsat Jackson Holdings SA,
Class B
8.50%	10/15/241,3,5,6,9,10		149,759,000		—
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
5.50%	08/01/233,5,6,9,10		54,920,000		—
9.75%	07/15/251,3,5,6,9,10		45,708,000		—
Level 3 Financing, Inc.
3.40%	03/01/271		54,425,000		51,386,968
3.63%	01/15/291		19,205,000		16,822,649
3.75%	07/15/291		51,287,000		45,516,699
3.88%	11/15/291		118,191,000		108,984,512
4.25%	07/01/281		16,997,000		15,620,053
Lumen Technologies, Inc.
5.38%	06/15/291		5,600,000		4,994,976
Netflix, Inc.
4.38%	11/15/26		15,785,000		16,395,355
Paramount Global
3.45%	10/04/26		2,913,000		2,868,136
4.20%	05/19/32		23,481,000		23,529,269
Qwest Corp.
7.25%	09/15/25		4,044,000		4,418,070
SES GLOBAL Americas Holdings GP
5.30%	03/25/441		55,170,000		53,674,108
SES SA
(Luxembourg)
3.60%	04/04/231,3		16,882,000		16,980,937
Sinclair Television Group, Inc.
4.13%	12/01/301		12,461,000		11,133,904
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%	03/20/251		140,299,500		143,306,242
5.15%	03/20/281		310,120,000		326,850,800
Tencent Holdings Ltd.
(Cayman Islands)
2.88%	04/22/311,3		5,535,000		5,061,227

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Communications (continued)
3.68%	04/22/411,3	$	22,760,000	$	20,166,980
3.84%	04/22/511,3		68,301,000		59,825,482
3.98%	04/11/291,3		9,225,000		9,222,971
Time Warner Cable LLC
4.50%	09/15/42		18,977,000		17,599,089
5.50%	09/01/41		32,811,000		34,144,990
T-Mobile USA, Inc.
2.25%	02/15/261		53,869,000		50,906,876
2.55%	02/15/31		10,083,000		9,159,208
2.63%	04/15/26		102,831,000		98,429,500
2.63%	02/15/29		5,073,000		4,642,962
3.50%	04/15/31		22,844,000		21,547,162
3.75%	04/15/27		38,847,000		39,142,907
3.88%	04/15/30		296,582,000		298,142,674
4.38%	04/15/40		3,715,000		3,741,860
4.75%	02/01/28		16,028,000		16,326,922
Verizon Communications, Inc.
2.36%	03/15/321		100,379,000		90,807,517
2.55%	03/21/31		9,150,000		8,506,997
4.50%	08/10/33		7,316,000		7,868,918
Vodafone Group PLC
(United Kingdom)
4.88%	06/19/493		133,422,500		145,651,639
5.25%	05/30/483		78,950,500		88,696,321
Walt Disney Co. (The)
4.63%	03/23/40		29,000,000		32,202,951
Zayo Group Holdings, Inc.
4.00%	03/01/271		24,868,000		22,928,793
					3,376,068,353
Consumer Discretionary — 1.47%
Altria Group, Inc.
3.70%	02/04/51		995,000		811,742
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc.
4.70%	02/01/36		45,442,000		49,455,475
4.90%	02/01/46		30,994,000		34,519,361
Anheuser-Busch InBev Worldwide, Inc.
4.35%	06/01/40		27,155,000		28,329,874
4.60%	04/15/48		29,578,000		31,848,672
4.60%	06/01/60		63,922,000		68,018,299
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3		24,780,000		25,386,748
5.15%	05/15/381,3		12,881,000		14,051,745
5.30%	05/15/481,3		23,831,000		26,733,781
BAT Capital Corp.
2.73%	03/25/31		795,000		701,924
3.56%	08/15/27		8,003,000		7,790,729
3.73%	09/25/40		3,182,000		2,615,152
3.98%	09/25/50		13,755,000		11,184,326
4.39%	08/15/37		73,160,000		68,194,432
4.54%	08/15/47		119,665,000		107,106,045
4.76%	09/06/49		30,502,000		28,143,507
5.28%	04/02/50		5,356,000		5,317,856

See accompanying Notes to Financial Statements.

175 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%	09/09/523	$	71,770,000	$	56,279,457
Constellation Brands, Inc.
3.20%	02/15/23		9,017,000		9,078,546
4.65%	11/15/28		7,350,000		7,767,089
GSK Consumer Healthcare Capital U.S., LLC
3.38%	03/24/271		11,710,000		11,723,020
3.63%	03/24/321		5,490,000		5,490,309
GSK Consumer Healthcare Capital UK PLC
(United Kingdom)
3.13%	03/24/251,3		6,935,000		6,917,828
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		15,312,000		15,184,762
3.50%	02/11/231,3		4,800,000		4,825,026
3.50%	07/26/261,3		53,505,000		52,295,245
3.75%	07/21/221,3		4,540,000		4,554,972
4.25%	07/21/251,3		15,566,000		15,701,178
Imperial Brands Finance PLC
(EMTN)
(United Kingdom)
8.13%	03/15/243		1,758,000		2,536,369
Magallanes, Inc.
3.43%	03/15/241		3,000,000		3,016,588
4.28%	03/15/321		8,840,000		8,895,305
5.05%	03/15/421		16,935,000		17,286,073
5.14%	03/15/521		186,742,000		191,294,608
5.39%	03/15/621		106,895,000		110,515,534
Reynolds American, Inc.
5.70%	08/15/35		34,320,000		36,187,596
5.85%	08/15/45		68,022,000		69,619,397
					1,139,378,570
Electric — 0.80%
AEP Transmission Co. LLC,
Series M
3.65%	04/01/50		1,460,000		1,414,369
Alliant Energy Finance LLC
3.75%	06/15/231		31,081,000		31,444,187
Alliant Energy Finance, LLC
3.60%	03/01/321		4,515,000		4,408,932
American Electric Power Co., Inc.
2.03%	03/15/24		4,935,000		4,854,235
American Electric Power Co., Inc.,
Series F
2.95%	12/15/22		4,511,000		4,529,778
American Electric Power Co., Inc.,
Series J
4.30%	12/01/28		8,480,000		8,780,010
American Transmission Systems, Inc.
2.65%	01/15/321		15,040,000		13,924,888
Appalachian Power Co.
4.45%	06/01/45		100,000		102,678

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
Appalachian Power Co.,
Series Z
3.70%	05/01/50	$	9,450,000	$	8,870,116
Black Hills Corp.
4.35%	05/01/33		1,285,000		1,311,554
Consolidated Edison Co. of New York, Inc.
3.20%	12/01/51		1,629,000		1,445,742
3.70%	11/15/59		4,740,000		4,379,447
Consolidated Edison Co. of New York, Inc.,
Series C
3.00%	12/01/60		1,854,000		1,514,060
Consolidated Edison Co. of New York, Inc.,
Series E
4.65%	12/01/48		14,546,000		16,040,289
Duke Energy Carolinas LLC
4.00%	09/30/42		11,040,000		11,354,434
4.25%	12/15/41		14,683,000		15,410,835
Duke Energy Carolinas, LLC
2.85%	03/15/32		60,000		58,058
3.55%	03/15/52		1,705,000		1,689,997
Duke Energy Corp.
2.55%	06/15/31		41,835,000		38,424,575
Duke Energy Progress, LLC
3.40%	04/01/32		13,830,000		13,914,931
Empresas Publicas de Medellin ESP,
Series REGS
(Colombia)
4.38%	02/15/313		1,000,000		858,000
Evergy Missouri West, Inc.
3.75%	03/15/321		4,380,000		4,417,262
Exelon Corp.
2.75%	03/15/271		5,205,000		5,072,356
3.35%	03/15/321		30,105,000		29,386,516
4.10%	03/15/521		4,930,000		5,024,320
FirstEnergy Corp.
2.65%	03/01/30		5,831,000		5,305,044
FirstEnergy Corp.,
Series B
2.25%	09/01/30		3,775,000		3,351,785
FirstEnergy Corp.,
Series C
3.40%	03/01/50		27,555,000		23,265,513
7.38%	11/15/31		6,400,000		7,913,280
FirstEnergy Transmission LLC
2.87%	09/15/281		60,193,000		55,955,631
4.35%	01/15/251		23,330,000		23,481,267
4.55%	04/01/491		13,175,000		12,751,974
5.45%	07/15/441		24,625,000		26,968,199
Florida Power & Light Co.
3.70%	12/01/47		1,340,000		1,371,433
Jersey Central Power & Light Co.
2.75%	03/01/321		4,660,000		4,345,310
4.30%	01/15/261		6,945,000		7,097,594
4.70%	04/01/241		49,765,000		50,904,286
6.40%	05/15/36		11,630,000		14,022,732

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 176

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Electric (continued)
Metropolitan Edison Co.
3.50%	03/15/231	$	10,715,000	$	10,775,749
4.00%	04/15/251		35,719,000		35,922,046
4.30%	01/15/291		18,381,000		19,137,620
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%	05/07/293		8,350,000		7,537,211
Pennsylvania Electric Co.
3.25%	03/15/281		125,000		120,415
4.15%	04/15/251		28,335,000		28,801,884
Public Service Co. of New Mexico
3.85%	08/01/25		14,390,000		14,647,677
Southwestern Electric Power Co.,
Series K
2.75%	10/01/26		26,488,000		25,892,738
Tucson Electric Power Co.
4.85%	12/01/48		8,755,000		9,903,904
					618,104,861
Energy — 1.91%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/281		37,255,000		36,835,881
Boston Gas Co.
3.76%	03/16/321		6,440,000		6,447,546
Ecopetrol SA
(Colombia)
6.88%	04/29/303		10,775,000		11,352,540
Energy Transfer LP
4.00%	10/01/27		29,583,000		29,824,166
4.20%	04/15/27		8,404,000		8,570,811
4.90%	03/15/35		5,160,000		5,202,510
4.95%	05/15/28		9,231,000		9,612,279
4.95%	06/15/28		26,678,000		28,057,061
5.00%	05/15/50		43,460,000		44,105,062
5.15%	03/15/45		48,691,000		48,828,499
5.35%	05/15/45		4,421,000		4,571,695
5.40%	10/01/47		135,238,000		141,561,824
5.50%	06/01/27		37,352,000		40,185,352
6.13%	12/15/45		16,239,000		17,990,568
Exxon Mobil Corp.
3.57%	03/06/45		1,433,000		1,404,966
4.23%	03/19/40		34,593,000		37,333,215
4.33%	03/19/50		5,530,000		6,194,119
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%	03/31/341,3		19,018,302		17,559,427
Hess Corp.
5.60%	02/15/41		22,039,000		24,822,321
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%	04/14/331,3		1,800,000		1,507,500
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%	04/14/333		5,883,000		4,927,013

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
4.75%	04/19/273	$	7,800,000	$	7,503,229
5.38%	04/24/303		2,251,000		2,169,273
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%	09/26/273		6,350,000		5,739,765
Kinder Morgan Energy Partners LP
4.70%	11/01/42		2,171,000		2,172,801
5.00%	08/15/42		5,775,000		5,928,539
5.40%	09/01/44		5,000,000		5,422,871
Kinder Morgan, Inc.
5.55%	06/01/45		4,831,000		5,400,145
Kinder Morgan, Inc.
(GMTN)
7.80%	08/01/31		150,000		192,286
Occidental Petroleum Corp.
0.00%	10/10/3611		60,128,000		32,372,915
4.50%	07/15/44		7,811,000		7,479,183
Pertamina Persero PT
(Indonesia)
3.10%	08/27/301,3		44,071,000		41,880,671
Petroleos Mexicanos
(Mexico)
6.63%	06/15/353		14,192,000		12,765,704
6.75%	09/21/473		148,565,000		121,038,877
6.95%	01/28/603		34,555,000		28,072,482
7.69%	01/23/503		56,333,000		49,302,641
Petronas Capital Ltd.
(Malaysia)
2.48%	01/28/321,3		13,050,000		12,173,244
3.50%	04/21/301,3		34,277,000		35,017,383
Petronas Capital Ltd.,
Series REGS (EMTN)
(Malaysia)
2.48%	01/28/323		5,000,000		4,664,078
Phillips 66 Partners LP
4.90%	10/01/46		5,485,000		6,043,078
Piedmont Natural Gas Co., Inc.
2.50%	03/15/31		7,272,000		6,661,449
Plains All American Pipeline LP/PAA Finance Corp.
3.55%	12/15/29		31,332,000		30,335,178
3.80%	09/15/30		8,920,000		8,763,789
Qatar Energy
Series REGS
(Qatar)
2.25%	07/12/313		7,930,000		7,325,734
Rockies Express Pipeline LLC
4.80%	05/15/301		5,125,000		4,907,188
4.95%	07/15/291		84,805,000		82,423,092
6.88%	04/15/401		44,867,000		44,530,497
Ruby Pipeline LLC
8.00%	04/01/221,5,6		62,216,939		57,861,754
Saudi Arabian Oil Co.,
Series REGS
(Saudi Arabia)
1.63%	11/24/253		6,500,000		6,176,001

See accompanying Notes to Financial Statements.

177 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Energy (continued)
Shell International Finance BV
(Netherlands)
2.88%	11/26/413	$	41,210,000	$	37,109,143
3.00%	11/26/513		27,894,000		24,974,322
3.13%	11/07/493		6,000,000		5,516,308
3.75%	09/12/463		13,197,000		13,393,977
4.00%	05/10/463		19,451,000		20,293,708
4.55%	08/12/433		5,000,000		5,577,597
Southern Co. Gas Capital Corp.
4.40%	05/30/47		50,000		50,468
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%	03/24/263		16,442,000		18,035,230
Sunoco LP/Sunoco Finance Corp.
4.50%	04/30/301		15,841,000		14,618,075
TC PipeLines LP
4.38%	03/13/25		2,198,000		2,251,400
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		28,675,000		28,244,875
Transocean Phoenix 2 Ltd.
(Cayman Islands)
7.75%	10/15/241,3		14,942,500		15,072,724
Transocean Pontus Ltd.
(Cayman Islands)
6.13%	08/01/251,3		13,038,000		12,979,329
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%	02/01/271,3		29,399,063		29,151,963
Transocean Proteus Ltd.
(Cayman Islands)
6.25%	12/01/241,3		30,741,500		30,552,594
USA Compression Partners LP/USA Compression Finance
Corp.
6.88%	04/01/26		8,570,000		8,661,528
6.88%	09/01/27		18,450,000		18,549,353
Venture Global Calcasieu Pass LLC
3.88%	11/01/331		20,000,000		19,141,893
4.13%	08/15/311		9,000,000		8,848,506
Williams Cos., Inc. (The)
5.40%	03/04/44		5,000,000		5,515,689
					1,479,756,884
Finance — 4.95%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/263		41,190,000		38,097,505
3.00%	10/29/283		54,175,000		49,954,506
3.15%	02/15/243		17,310,000		17,046,320
3.30%	01/23/233		6,426,000		6,448,576
3.30%	01/30/323		64,850,000		58,670,756
3.50%	01/15/253		2,815,000		2,768,250
3.88%	01/23/283		5,015,000		4,884,242
4.63%	07/01/223		3,030,000		3,044,581
4.88%	01/16/243		12,060,000		12,219,254

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
Air Lease Corp.
2.20%	01/15/27	$	48,265,000	$	44,677,666
2.25%	01/15/23		18,850,000		18,864,972
3.00%	09/15/23		28,655,000		28,557,235
3.25%	03/01/25		19,930,000		19,555,208
3.25%	10/01/29		5,000,000		4,727,734
4.25%	09/15/24		5,554,000		5,624,936
4.63%	10/01/28		2,000,000		2,039,047
Air Lease Corp.
(MTN)
2.30%	02/01/25		35,195,000		33,886,009
2.88%	01/15/26		10,055,000		9,717,792
3.00%	02/01/30		2,000,000		1,844,989
4.25%	02/01/24		5,000,000		5,065,577
Alta Wind Holdings LLC
7.00%	06/30/351,5,6		3,397,987		3,711,142
American Express Co.
2.25%	03/04/25		14,650,000		14,389,157
2.55%	03/04/27		22,600,000		21,975,627
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		169,840,000		150,330,379
2.88%	02/15/251,3		43,160,000		41,785,506
3.25%	02/15/271,3		17,880,000		16,878,196
3.95%	07/01/241,3		35,499,000		35,362,638
Capital One Financial Corp.
1.34%	12/06/244		114,655,000		111,291,850
2.64%	03/03/264		13,265,000		13,002,752
Charles Schwab Corp. (The)
2.45%	03/03/27		30,680,000		29,802,205
2.90%	03/03/32		8,310,000		8,003,043
Citigroup, Inc.
1.28%	11/03/254		6,415,000		6,105,219
1.46%	06/09/274		161,263,000		148,537,758
2.56%	05/01/324		17,570,000		15,878,989
2.57%	06/03/314		51,761,000		47,511,908
2.67%	01/29/314		15,000,000		13,940,989
3.06%	01/25/334		184,605,000		172,861,580
3.11%	04/08/264		7,705,000		7,652,382
3.52%	10/27/284		22,030,000		21,853,613
3.67%	07/24/284		5,220,000		5,237,791
3.79%	03/17/334		98,040,000		97,506,428
4.41%	03/31/314		101,000		105,044
Citigroup, Inc.,
Series VAR
3.07%	02/24/284		45,070,000		44,010,146
Discover Financial Services
3.85%	11/21/22		8,794,000		8,904,815
Ford Motor Credit Co. LLC
4.25%	09/20/22		19,823,000		19,968,302
(LIBOR USD 3-Month plus 1.08%)
1.38%	08/03/222		11,865,000		11,826,439
GE Capital International Funding Co.
(Ireland)
4.42%	11/15/353		124,519,000		134,623,007

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 178

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
General Motors Financial Co., Inc.
3.15%	06/30/22	$	11,161,000	$	11,198,867
3.45%	04/10/22		24,235,000		24,242,629
Goldman Sachs Group, Inc. (The)
0.93%	10/21/244		72,055,000		69,882,576
1.22%	12/06/23		192,325,000		187,849,274
1.43%	03/09/274		170,920,000		157,781,292
1.54%	09/10/274		106,330,000		97,500,565
1.95%	10/21/274		46,890,000		43,609,028
2.38%	07/21/324		66,543,000		59,169,942
2.62%	04/22/324		24,685,000		22,486,315
2.65%	10/21/324		15,567,000		14,107,703
2.91%	07/24/234		26,692,000		26,731,877
2.91%	06/05/234		4,605,000		4,613,840
3.10%	02/24/334		46,874,000		44,232,706
3.20%	02/23/23		51,252,000		51,728,833
3.27%	09/29/254		144,232,000		144,160,346
3.50%	04/01/25		42,324,000		42,695,812
Intercontinental Exchange, Inc.
1.85%	09/15/32		2,372,000		2,056,730
JPMorgan Chase & Co.
1.56%	12/10/254		147,510,000		141,227,220
1.76%	11/19/314		11,145,000		9,623,190
2.55%	11/08/324		53,282,000		48,674,634
2.95%	02/24/284		51,325,000		50,104,552
2.96%	01/25/334		71,627,000		67,650,849
3.80%	07/23/244		9,861,000		9,976,600
Morgan Stanley
0.79%	05/30/254		62,230,000		59,166,213
1.59%	05/04/274		124,927,000		116,169,232
2.94%	01/21/334		13,592,000		12,742,957
Morgan Stanley
(GMTN)
0.79%	01/22/254		21,175,000		20,340,578
1.51%	07/20/274		5,285,000		4,875,179
2.24%	07/21/324		60,956,000		54,071,472
Morgan Stanley
(MTN)
0.53%	01/25/244		23,165,000		22,793,409
1.16%	10/21/254		178,926,000		170,126,729
1.93%	04/28/324		50,038,000		43,358,667
2.51%	10/20/324		51,911,000		47,026,745
Nationwide Building Society
(United Kingdom)
2.97%	02/16/281,3,4		120,650,000		115,059,745
3.62%	04/26/231,3,4		11,735,000		11,737,503
3.77%	03/08/241,3,4		55,190,000		55,516,670
4.36%	08/01/241,3,4		104,478,000		106,119,074
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/231,3		10,746,000		10,827,619
5.50%	02/15/241,3		26,855,000		27,505,278
Raymond James Financial, Inc.
4.95%	07/15/46		46,716,000		52,846,814

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Finance (continued)
TIAA FSB Holdings, Inc.
5.75%	07/02/25	$	4,045,000	$	4,196,607
					3,836,537,931
Food — 0.68%
JBS USA LLC/JBS USA Finance, Inc.
(Canada)
6.75%	02/15/281,3		41,000,000		43,429,250
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/311,3		17,544,000		16,224,410
4.38%	02/02/521,3		58,603,000		51,095,166
5.50%	01/15/301,3		38,255,000		39,189,187
6.50%	04/15/291,3		33,928,000		35,997,329
Kraft Heinz Foods Co.
3.00%	06/01/26		2,173,000		2,141,534
4.38%	06/01/46		2,882,000		2,860,583
4.88%	10/01/49		17,370,000		18,330,985
5.00%	07/15/35		24,594,000		26,402,397
5.00%	06/04/42		15,357,000		16,422,008
5.20%	07/15/45		70,637,000		76,552,849
6.50%	02/09/40		6,240,000		7,472,400
Pilgrim’s Pride Corp.
3.50%	03/01/321		55,470,000		48,547,346
4.25%	04/15/311		1,429,000		1,324,554
5.88%	09/30/271		4,269,000		4,319,003
Post Holdings, Inc.
4.50%	09/15/311		27,276,000		24,197,218
4.63%	04/15/301		74,045,000		66,795,994
Smithfield Foods, Inc.
2.63%	09/13/311		14,435,000		12,666,922
3.00%	10/15/301		8,890,000		8,088,721
4.25%	02/01/271		24,855,000		25,291,185
					527,349,041
Gaming — 0.04%
CDI Escrow Issuer, Inc.
5.75%	04/01/301		30,044,000		30,386,802
MGM Resorts International
6.00%	03/15/23		30,000		30,708
					30,417,510
Health Care — 3.80%
AbbVie, Inc.
2.90%	11/06/22		7,139,000		7,188,443
3.25%	10/01/22		5,719,000		5,748,042
4.05%	11/21/39		10,782,000		11,129,763
4.25%	11/21/49		5,420,000		5,666,029
4.40%	11/06/42		62,889,000		66,832,312
4.45%	05/14/46		11,444,000		12,211,520
4.50%	05/14/35		49,065,000		52,777,085
4.55%	03/15/35		33,431,000		35,968,694
American Medical Systems Europe BV
(Netherlands)
1.63%	03/08/313		5,855,000		6,358,550
1.88%	03/08/343		5,000,000		5,425,137

See accompanying Notes to Financial Statements.

179 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
Amgen, Inc.
3.00%	02/22/29	$	12,925,000	$	12,703,513
3.35%	02/22/32		36,865,000		36,575,184
3.38%	02/21/50		12,009,000		10,890,866
4.20%	02/22/52		31,080,000		32,221,510
4.40%	02/22/62		21,360,000		22,197,719
Baxter International, Inc.
0.87%	12/01/231		13,013,000		12,602,396
Bayer U.S. Finance II LLC
2.85%	04/15/251		2,805,000		2,741,552
3.95%	04/15/451		17,489,000		16,281,539
4.25%	12/15/251		19,992,000		20,351,191
4.38%	12/15/281		113,100,000		115,777,749
4.40%	07/15/441		69,196,000		67,057,975
4.63%	06/25/381		36,299,000		38,131,248
4.88%	06/25/481		88,246,000		95,229,587
5.50%	08/15/251		13,932,000		14,505,507
5.50%	07/30/351		3,820,000		4,222,037
Bayer U.S. Finance LLC
3.38%	10/08/241		2,055,000		2,054,899
Becton Dickinson and Co.
2.82%	05/20/30		20,388,000		19,457,223
3.36%	06/06/24		1,013,000		1,022,434
Bristol-Myers Squibb Co.
3.55%	03/15/42		60,000,000		59,486,308
3.70%	03/15/52		14,060,000		14,159,981
Cedars-Sinai Health System,
Series 2021
2.29%	08/15/31		12,870,000		11,756,630
Centene Corp.
2.45%	07/15/28		31,858,000		29,135,028
2.50%	03/01/31		6,355,000		5,640,063
3.00%	10/15/30		138,275,000		127,214,383
4.25%	12/15/27		75,412,000		75,772,469
Cigna Corp.
3.20%	03/15/40		4,157,000		3,790,067
3.88%	10/15/47		22,722,000		22,232,020
4.80%	08/15/38		26,478,000		29,075,480
4.80%	07/15/46		38,613,000		42,889,847
CommonSpirit Health
2.76%	10/01/24		11,198,000		11,111,022
2.78%	10/01/30		19,835,000		18,404,285
3.35%	10/01/29		52,258,000		50,761,526
4.35%	11/01/42		2,860,000		2,894,720
CVS Health Corp.
2.75%	12/01/22		31,624,000		31,786,951
4.78%	03/25/38		23,581,000		25,832,121
4.88%	07/20/35		22,450,000		24,662,164
5.05%	03/25/48		142,729,000		161,884,218
5.13%	07/20/45		60,105,000		68,044,704
Danaher Corp.
2.80%	12/10/51		7,950,000		6,771,584
Embecta Corp.
5.00%	02/15/301		16,820,000		15,895,179
6.75%	02/15/301		25,593,000		25,703,504

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
Encompass Health Corp.
4.63%	04/01/31	$	8,196,000	$	7,700,848
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%	06/30/281,3		132,095,000		77,031,199
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/261		67,592,000		62,804,495
HCA, Inc.
2.38%	07/15/31		563,000		503,599
3.13%	03/15/271		4,356,000		4,263,066
3.63%	03/15/321		65,720,000		64,440,676
4.13%	06/15/29		10,936,000		11,145,530
4.38%	03/15/421		15,000,000		14,834,454
4.63%	03/15/521		50,190,000		50,886,774
5.25%	04/15/25		7,749,000		8,164,142
5.25%	06/15/26		63,284,000		66,856,689
5.25%	06/15/49		188,662,000		207,430,552
5.50%	06/15/47		57,012,000		64,668,712
5.63%	09/01/28		24,411,000		26,424,907
5.88%	02/01/29		26,139,000		28,752,900
Humana, Inc.
0.65%	08/03/23		118,205,000		115,358,301
ModivCare Escrow Issuer, Inc.
5.00%	10/01/291		18,463,000		17,227,337
Molina Healthcare, Inc.
3.88%	11/15/301		55,275,000		53,461,139
3.88%	05/15/321		59,994,000		57,180,898
4.38%	06/15/281		48,064,000		47,583,052
Mozart Debt Merger Sub, Inc.
3.88%	04/01/291		11,352,000		10,511,523
NYU Langone Hospitals,
Series 2020
3.38%	07/01/55		4,300,000		3,853,510
Option Care Health, Inc.
4.38%	10/31/291		29,475,000		27,789,746
Organon & Co./Organon Foreign Debt Co.-Issuer BV
5.13%	04/30/311		1,439,000		1,390,578
PerkinElmer, Inc.
0.55%	09/15/23		35,000,000		34,020,475
0.85%	09/15/24		27,870,000		26,471,755
Royalty Pharma PLC
(United Kingdom)
0.75%	09/02/233		11,885,000		11,546,502
1.75%	09/02/273		11,295,000		10,276,079
Teleflex, Inc.
4.25%	06/01/281		75,000		73,173
Thermo Fisher Scientific Finance I BV
(Netherlands)
1.63%	10/18/413		25,000,000		25,078,213
2.00%	10/18/513		66,294,000		67,197,199
UnitedHealth Group, Inc.
3.05%	05/15/41		45,240,000		42,245,443
3.25%	05/15/51		36,055,000		34,122,868
3.70%	08/15/49		9,911,000		10,099,690
4.25%	04/15/47		13,825,000		15,041,344

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 180

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Health Care (continued)
Universal Health Services, Inc.
1.65%	09/01/261	$	45,000,000	$	41,303,582
					2,945,974,908
Industrials — 0.75%
Amcor Finance USA, Inc.
3.63%	04/28/26		6,781,000		6,877,548
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%	08/15/271,3		54,090,000		50,201,445
Artera Services LLC
9.03%	12/04/251		50,815,000		50,834,216
BAE Systems PLC
(United Kingdom)
4.13%	06/08/223		33,964,000		44,908,133
Berry Global, Inc.
1.57%	01/15/26		51,115,000		47,733,308
1.65%	01/15/27		9,576,000		8,738,102
4.88%	07/15/261		82,131,000		83,051,689
Boeing Co. (The)
1.17%	02/04/23		12,010,000		11,876,329
1.43%	02/04/24		174,540,000		168,944,207
4.88%	05/01/25		19,940,000		20,599,131
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/262		1,785,000		1,757,467
(LIBOR USD 3-Month plus 0.48%)
0.99%	08/15/362		11,550,000		9,949,190
General Electric Co.,
Series A (MTN)
6.75%	03/15/32		12,906,000		16,292,697
Heathrow Funding Ltd.
(United Kingdom)
5.23%	02/15/231,3		34,415,000		46,453,984
L3Harris Technologies, Inc.
3.95%	05/28/24		12,890,000		13,132,335
					581,349,781
Information Technology — 0.51%
Broadcom, Inc.
3.14%	11/15/351		10,000,000		8,826,718
3.42%	04/15/331		37,837,000		35,329,741
4.30%	11/15/32		44,480,000		45,177,577
Fiserv, Inc.
3.20%	07/01/26		5,905,000		5,898,133
Intel Corp.
2.80%	08/12/41		7,760,000		6,896,794
3.05%	08/12/51		25,200,000		22,442,344
3.73%	12/08/47		590,000		591,874
Netflix, Inc.
3.63%	06/15/251		25,135,000		25,299,886
5.88%	02/15/25		8,950,000		9,560,720
Oracle Corp.
2.30%	03/25/28		56,500,000		51,779,117
2.80%	04/01/27		7,928,000		7,599,544

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Information Technology (continued)
2.88%	03/25/31	$	1,850,000	$	1,689,233
3.60%	04/01/40		22,483,000		19,550,456
3.60%	04/01/50		42,900,000		35,685,995
3.65%	03/25/41		76,945,000		67,082,313
3.85%	07/15/36		23,336,000		21,527,885
3.95%	03/25/51		18,836,000		16,500,071
4.00%	11/15/47		6,955,000		6,169,253
4.13%	05/15/45		7,200,000		6,479,559
					394,087,213
Insurance — 1.18%
Aon Corp./Aon Global Holdings PLC
3.90%	02/28/52		79,250,000		78,550,853
Athene Global Funding
1.61%	06/29/261		61,330,000		55,931,120
1.99%	08/19/281		11,040,000		9,703,720
3.21%	03/08/271		26,060,000		25,117,593
(SOFR Rate plus 0.70%)
0.91%	05/24/241,2		146,955,000		145,130,911
Berkshire Hathaway Finance Corp.
2.88%	03/15/32		30,435,000		29,536,662
3.85%	03/15/52		62,145,000		63,591,370
Farmers Exchange Capital
7.05%	07/15/281		13,283,000		15,158,836
7.20%	07/15/481		18,415,000		25,268,058
Farmers Exchange Capital II
6.15%	11/01/531,4		59,331,000		70,248,287
Farmers Exchange Capital III
5.45%	10/15/541,4		80,605,000		90,999,730
Farmers Insurance Exchange
4.75%	11/01/571,4		23,060,000		24,225,593
Metropolitan Life Global Funding I
3.30%	03/21/291		16,005,000		15,908,663
Nationwide Mutual Insurance Co.
3.12%	12/15/241,4		42,571,000		42,600,357
New York Life Insurance Co.
3.75%	05/15/501		5,695,000		5,545,426
Protective Life Global Funding
1.90%	07/06/281		56,210,000		50,716,748
Teachers Insurance & Annuity Association of America
3.30%	05/15/501		116,155,000		103,294,528
4.27%	05/15/471		13,496,000		14,296,021
4.38%	09/15/541,4		35,635,000		35,517,445
Willis North America, Inc.
2.95%	09/15/29		11,025,000		10,366,970
4.50%	09/15/28		5,079,000		5,273,070
					916,981,961
Materials — 0.21%
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%	01/14/303		24,109,000		23,248,309
Indonesia Asahan Aluminium Persero PT
(Indonesia)
6.53%	11/15/281,3		9,000,000		10,012,095

See accompanying Notes to Financial Statements.

181 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Materials (continued)
Indonesia Asahan Aluminium Persero PT,
Series REGS
(Indonesia)
6.53%	11/15/283	$	5,767,000	$	6,415,528
International Flavors & Fragrances, Inc.
2.30%	11/01/301		5,950,000		5,320,777
3.27%	11/15/401		6,000,000		5,364,765
5.00%	09/26/48		99,234,000		109,263,753
					159,625,227
Real Estate Investment Trust (REIT) — 1.08%
American Campus Communities Operating Partnership LP
2.25%	01/15/29		11,395,000		10,403,713
3.30%	07/15/26		21,300,000		21,212,886
3.63%	11/15/27		8,595,000		8,558,539
3.75%	04/15/23		45,679,000		46,083,554
4.13%	07/01/24		4,095,000		4,172,049
American Homes 4 Rent LP
4.30%	04/15/52		5,035,000		4,895,883
Boston Properties LP
3.25%	01/30/31		21,489,000		20,842,359
CyrusOne Europe Finance DAC
(Ireland)
1.13%	05/26/283		8,000,000		9,091,185
CyrusOne LP/CyrusOne Finance Corp.
1.45%	01/22/27		29,565,000		34,075,884
2.15%	11/01/30		7,265,000		7,258,352
2.90%	11/15/24		86,883,000		87,121,494
3.45%	11/15/29		7,045,000		7,397,939
Federal Realty Investment Trust
7.48%	08/15/26		18,825,000		21,252,177
GLP Capital LP/GLP Financing II, Inc.
3.35%	09/01/24		33,037,000		33,017,178
5.25%	06/01/25		75,515,000		78,105,164
5.30%	01/15/29		34,755,000		36,636,636
5.38%	11/01/23		36,796,000		37,784,880
5.38%	04/15/26		99,048,000		103,607,546
5.75%	06/01/28		29,128,000		31,396,876
Healthcare Realty Trust, Inc.
3.88%	05/01/25		20,446,000		20,703,701
Healthcare Trust of America Holdings LP
2.00%	03/15/31		17,940,000		15,549,811
3.10%	02/15/30		5,095,000		4,871,811
3.75%	07/01/27		18,945,000		19,171,789
Hudson Pacific Properties LP
3.95%	11/01/27		13,630,000		13,711,472
4.65%	04/01/29		9,585,000		10,062,424
Invitation Homes Operating Partnership LP
4.15%	04/15/32		3,275,000		3,348,699
Kilroy Realty LP
3.45%	12/15/24		28,590,000		28,680,362
Life Storage LP
3.88%	12/15/27		6,960,000		7,052,480
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc.
4.50%	01/15/28		265,000		267,944

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
Mid-America Apartments LP
4.30%	10/15/23	$	9,636,000	$	9,802,051
SL Green Operating Partnership LP
3.25%	10/15/22		49,011,000		49,029,210
SL Green Realty Corp.
4.50%	12/01/22		15,845,000		15,942,185
Ventas Realty LP
3.50%	02/01/25		12,540,000		12,585,211
3.75%	05/01/24		9,705,000		9,823,138
4.00%	03/01/28		2,000,000		2,036,696
4.88%	04/15/49		7,980,000		8,760,443
					834,313,721
Retail — 0.24%
7-Eleven, Inc.
0.63%	02/10/231		58,715,000		57,810,842
Alimentation Couche-Tard, Inc.
(Canada)
3.80%	01/25/501,3		18,032,000		16,819,521
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
4.63%	01/15/291		35,927,000		34,052,417
FirstCash, Inc.
5.63%	01/01/301		4,726,000		4,547,041
Michaels Cos., Inc. (The)
7.88%	05/01/291		83,531,000		71,627,415
Starbucks Corp.
3.00%	02/14/32		2,795,000		2,673,531
					187,530,767
Services — 0.08%
DP World Crescent Ltd.
(Cayman Islands)
4.85%	09/26/281,3		7,600,000		8,106,920
GFL Environmental, Inc.
(Canada)
4.38%	08/15/291,3		605,000		559,985
Moody’s Corp.
3.75%	02/25/52		6,320,000		6,244,293
S&P Global, Inc.
2.70%	03/01/291		17,000,000		16,479,035
4.75%	08/01/281		2,767,000		2,975,076
Waste Connections, Inc.
(Canada)
3.20%	06/01/323		6,515,000		6,351,876
Waste Pro USA, Inc.
5.50%	02/15/261		23,750,000		22,471,894
					63,189,079
Transportation — 0.38%
American Airlines Pass-Through Trust,
Series 2013-1, Class A
4.00%	07/15/25		10,838,446		10,078,491
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%	10/15/29		16,166,862		15,545,660

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 182

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
CORPORATES (continued)
Transportation (continued)
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22	$	13,682,979	$	13,702,825
Continental Airlines Pass-Through Trust,
Series 2007-1, Class B
6.90%	04/19/22		50,265		50,266
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		82,060,724		75,323,639
Empresa de Transporte de Pasajeros Metro SA
(Chile)
3.65%	05/07/301,3		9,660,000		9,688,014
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%	11/15/32		9,953,096		9,906,744
Norfolk Southern Corp.
3.70%	03/15/53		5,905,000		5,886,089
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A-1
7.04%	04/01/22		115,767		116,346
SMBC Aviation Capital Finance DAC
(Ireland)
3.00%	07/15/221,3		20,315,000		20,345,769
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%	04/22/23		10,973,303		11,039,223
U.S. Airways Pass-Through Trust,
Series 2011-1, Class A
7.13%	10/22/23		2,190,509		2,247,567
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		28,420,024		29,645,598
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%	06/03/25		7,107		6,876
Union Pacific Corp.
2.80%	02/14/32		12,735,000		12,254,731
3.20%	05/20/41		10,000,000		9,483,977
3.38%	02/14/42		9,660,000		9,344,646
3.50%	02/14/53		22,460,000		21,981,981
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%	08/15/25		11,832,154		11,834,116
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%	03/01/30		29,123,825		28,194,193
					296,676,751
Total Corporates
(Cost $23,367,954,467)					22,390,395,941

Issues	Maturity     Date	Principal     Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS —1.17%
Foreign Government Obligations — 1.17%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%	09/30/293	$	38,500,000	$	37,808,425
Airport Authority
(Hong Kong)
2.50%	01/12/321,3		8,040,000		7,517,440
3.25%	01/12/521,3		69,310,000		62,902,291
3.50%	01/12/621,3		5,435,000		5,087,024
Brazilian Government International Bond
(Brazil)
2.88%	06/06/253		24,818,000		24,396,094
3.88%	06/12/303		22,393,000		20,683,294
4.63%	01/13/283		11,020,000		11,097,140
Chile Government International Bond
(Chile)
2.45%	01/31/313		12,329,000		11,577,301
3.24%	02/06/283		11,522,000		11,556,566
Colombia Government International Bond
(Colombia)
3.00%	01/30/303		40,916,000		35,225,607
3.13%	04/15/313		15,100,000		12,815,370
4.50%	01/28/263		28,355,000		28,360,813
Croatia Government International Bond,
Series REGS
(Croatia)
6.00%	01/26/243		18,065,000		19,154,591
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/301,3		25,047,000		23,112,432
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/323		19,530,000		17,784,116
Egypt Government International Bond
(Egypt)
7.60%	03/01/291,3		3,550,000		3,381,375
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%	10/06/253		4,765,000		4,619,191
Hungary Government International Bond
(Hungary)
2.13%	09/22/311,3		17,300,000		15,705,667
Indonesia Government International Bond
(Indonesia)
2.85%	02/14/303		29,861,000		29,450,636
Mexico Government International Bond
(Mexico)
2.66%	05/24/313		40,616,000		37,033,669
3.75%	01/11/283		54,600,000		55,817,580
4.50%	04/22/293		11,767,000		12,442,426
4.75%	04/27/323		5,485,000		5,827,812

See accompanying Notes to Financial Statements.

183 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Oman Government International Bond,
Series REGS
(Oman)
5.63%	01/17/283	$	10,500,000	$	10,868,550
Panama Government International Bond
(Panama)
2.25%	09/29/323		19,300,000		17,126,096
3.16%	01/23/303		55,874,000		54,782,781
3.88%	03/17/283		13,200,000		13,530,000
Paraguay Government International Bond
(Paraguay)
2.74%	01/29/331,3		9,800,000		8,694,266
4.95%	04/28/311,3		7,477,000		7,904,684
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%	06/23/301,3		17,340,000		17,017,476
Perusahaan Penerbit SBSN Indonesia III,
Series REGS
(Indonesia)
4.15%	03/29/273		5,100,000		5,384,274
Peruvian Government International Bond
(Peru)
2.84%	06/20/303		20,541,000		19,774,821
4.13%	08/25/273		2,327,000		2,423,756
Philippine Government International Bond
(Philippines)
1.65%	06/10/313		8,405,000		7,522,475
1.95%	01/06/323		7,040,000		6,399,137
2.46%	05/05/303		4,565,000		4,359,575
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%	04/16/303		23,550,000		24,922,965
4.50%	04/23/283		35,553,000		38,766,991
Republic of South Africa Government International Bond
(South Africa)
4.30%	10/12/283		28,007,000		27,138,531
4.85%	09/30/293		29,185,000		28,621,729
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/313		26,000,000		24,104,262
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%	10/26/263		29,155,000		29,883,875
3.25%	10/22/303		16,040,000		16,219,648
3.63%	03/04/283		27,097,000		28,036,995
Uruguay Government International Bond
(Uruguay)
4.38%	01/23/313		20,570,000		22,408,958
Total Foreign Government Obligations
(Cost $964,580,473)					909,248,705

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED — 41.68%**
Non-Agency Commercial Mortgage-Backed — 2.01%
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/381,4	$	122,930,000	$	126,507,543
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2018-TALL, Class C
(LIBOR USD 1-Month plus 1.12%)
1.52%	03/15/371,2		18,000,000		17,178,653
BFLD Trust,
Series 2020-OBRK, Class A
(LIBOR USD 1-Month plus 2.05%)
2.45%	11/15/281,2		65,000,000		64,415,098
BGME Trust,
Series 2021-VR, Class A
2.99%	01/10/431,4		20,000,000		19,136,542
BGME Trust,
Series 2021-VR, Class B
2.99%	01/10/431,4		32,137,000		30,072,452
BX Commercial Mortgage Trust,
Series 2018-BIOA, Class E
(LIBOR USD 1-Month plus 1.95%)
2.35%	03/15/371,2		16,407,447		16,081,878
BX Commercial Mortgage Trust,
Series 2019-XL, Class A
(LIBOR USD 1-Month plus 0.92%)
1.32%	10/15/361,2		182,454,411		181,670,054
BX Commercial Mortgage Trust,
Series 2020-VIV4, Class A
2.84%	03/09/441		180,165,000		168,534,769
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		42,270,000		40,895,659
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		80,255,000		81,593,914
CALI Mortgage Trust,
Series 2019-101C, Class XA (IO)
0.30%	03/10/391,4		272,551,000		5,424,378
Capital Funding Mortgage Trust,
Series 2021-M01, Class A
(LIBOR USD 1-Month plus 2.25%)
2.75%	12/19/241,2		90,174,646		89,814,597
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/391		32,645,000		30,872,347
Citigroup Commercial Mortgage Trust,
Series 2015-GC31, Class A4
3.76%	06/10/48		10,000,000		10,072,026
Commercial Mortgage Trust,
Series 2013-CR12, Class A4
4.05%	10/10/46		440,000		445,150
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(LIBOR USD 1-Month plus 0.98%)
1.38%	05/15/361,2		31,400,000		31,196,002

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 184

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/451	$	31,135,000	$	29,502,489
Fontainebleau Miami Beach Trust,
Series 2019-FBLU, Class A
3.14%	12/10/361		35,000,000		34,316,578
GS Mortgage Securities Corp. Trust,
Series 2019-BOCA, Class A
(LIBOR USD 1-Month plus 1.20%)
1.60%	06/15/381,2		10,000,000		9,981,476
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		84,915,000		82,638,318
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4		81,025,000		77,523,983
KNDL Mortgage Trust,
Series 2019-KNSQ, Class E
(LIBOR USD 1-Month plus 1.80%)
2.20%	05/15/361,2		26,449,000		26,099,860
NCMF Trust,
Series 2022-MFP, Class A
(CME Term SOFR 1-Month plus 1.74%)
2.04%	03/15/391,2		115,900,000		115,287,747
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/541		147,667,000		137,000,806
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%	01/11/371		15,810,000		15,536,606
RBS Commercial Funding, Inc., Trust,
Series 2013-GSP, Class A
3.83%	01/15/321,4		48,830,000		48,941,330
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A1
3.87%	01/05/431,4		56,465,000		53,799,570
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		8,710,000		8,345,184
					1,552,885,009
Non-Agency Mortgage-Backed — 7.36%
1301 Properties Owner LP
2.08%	09/07/255,6		47,327,027		47,341,225
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/22)
7.40%	06/25/32		27,113		26,317
Accredited Mortgage Loan Trust,
Series 2007-1, Class A4
(LIBOR USD 1-Month plus 0.22%)
0.68%	02/25/372		12,489,727		12,511,110
ACE Securities Corp. Home Equity Loan Trust,
Series 2004-IN1, Class A1
(LIBOR USD 1-Month plus 0.64%)
1.10%	05/25/342		130,155		128,399

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.30%)
0.76%	06/25/362	$	2,593,727	$	2,211,806
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP2, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.84%	06/25/372		30,843,398		25,791,049
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
(LIBOR USD 1-Month plus 0.54%)
1.00%	01/25/362		186,955		182,117
Aegis Asset-Backed Securities Trust,
Series 2005-5, Class 1A4
(LIBOR USD 1-Month plus 0.70%)
1.16%	12/25/352		41,215		41,150
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/22)
2.86%	07/25/591		141,640		139,966
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		2,220		2,226
Alternative Loan Trust,
Series 2005-38, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
1.50%)
1.64%	09/25/352		332,750		309,581
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative Average plus
1.00%)
1.14%	02/25/362		35,880,282		33,602,859
Alternative Loan Trust,
Series 2005-84, Class 1A1
2.14%	02/25/364		29,203		27,821
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
3.12%	02/25/374		966,678		959,972
Alternative Loan Trust,
Series 2006-OC5, Class 2A2A
(LIBOR USD 1-Month plus 0.34%)
0.80%	06/25/462		980		982
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.66%	03/25/372		560,775		129,106
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative Average plus
1.15%)
1.29%	10/25/462		35,088,311		28,560,875
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.13%)
0.58%	03/25/472		30,522,761		28,711,702

See accompanying Notes to Financial Statements.

185 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(LIBOR USD 6-Month plus 1.50%)
2.03%	10/25/342	$	3,953,469	$	4,001,238
Ameriquest Mortgage Securities Trust,
Series 2006-R1, Class M1
(LIBOR USD 1-Month plus 0.59%)
1.04%	03/25/362		4,870,794		4,901,742
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2004-R10, Class A1
(LIBOR USD 1-Month plus 0.66%)
1.12%	11/25/342		3,477,407		3,437,999
Amresco Residential Securities Corp. Mortgage Loan Trust,
Series 1998-1, Class A5 (STEP-reset date 05/25/22)
7.53%	10/25/27		11,101		11,298
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W2, Class M1
(LIBOR USD 1-Month plus 0.74%)
1.19%	10/25/352		149,344		148,300
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W3, Class M1
(LIBOR USD 1-Month plus 0.66%)
1.12%	11/25/352		18,415,963		18,215,356
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
(LIBOR USD 1-Month plus 0.32%)
0.78%	11/25/362		42,016,666		21,555,083
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2A
(LIBOR USD 1-Month plus 0.75%)
1.21%	06/25/372		22,692,398		20,987,799
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.46%	06/25/372		16,577,591		15,579,821
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE6, Class A5
(LIBOR USD 1-Month plus 0.23%)
0.69%	11/25/362		18,411,000		18,251,245
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		11,323		11,181
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.00%	05/20/364		2,799,233		2,609,282
Banc of America Funding Trust,
Series 2006-E, Class 2A1
2.65%	06/20/364		38,453		37,028
Banc of America Funding Trust,
Series 2006-H, Class 3A1
2.92%	09/20/464		668,502		617,716

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Funding Trust,
Series 2015-R2, Class 1A1
(LIBOR USD 1-Month plus 0.14%)
0.60%	08/27/361,2	$	5,415,276	$	5,356,918
Banc of America Funding Trust,
Series 2015-R5, Class 1A2
(LIBOR USD 1-Month plus 0.13%)
0.59%	10/26/361,2		13,375,245		13,670,224
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
2.45%	07/25/344		24,237		24,342
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
2.75%	04/25/354		140,091		147,201
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		72,162		67,410
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%	03/25/37		383,471		350,629
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%	09/25/37		195,851		189,531
BCAP LLC Trust,
Series 2007-AA2, Class 2A5
6.00%	04/25/37		221,795		142,130
BCAP LLC Trust,
Series 2007-AA5, Class A1
(LIBOR USD 1-Month plus 1.30%)
1.76%	09/25/472		14,616,628		14,102,679
Bear Stearns ALT-A Trust,
Series 2005-4, Class 22A2
2.72%	05/25/354		9,475		9,135
Bear Stearns ALT-A Trust,
Series 2006-4, Class 32A1
2.96%	07/25/364		1,420,864		837,866
Bear Stearns ARM Trust,
Series 2004-1, Class 13A2
3.07%	04/25/344		4,276		4,234
Bear Stearns ARM Trust,
Series 2004-10, Class 14A1
2.68%	01/25/354		1,750,253		1,762,221
Bear Stearns ARM Trust,
Series 2006-4, Class 2A1
2.80%	10/25/364		244,077		226,725
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC5, Class 2A3
(LIBOR USD 1-Month plus 0.25%)
0.71%	08/25/202		1,217,848		670,429
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		220,234		224,716

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 186

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-HE9, Class 3A
(LIBOR USD 1-Month plus 0.14%)
0.60%	11/25/362	$	4,181,376	$	4,035,346
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1 (STEP-reset date 05/25/22)
5.50%	01/25/34		484,056		474,330
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2 (STEP-reset date 05/25/22)
5.75%	01/25/34		436,409		427,586
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.18%)
0.64%	10/25/362		1,110,204		1,031,394
Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.16%)
0.62%	12/25/462		14,912,872		13,335,911
Bear Stearns Mortgage Funding Trust,
Series 2007-AR5, Class 1A1A
(LIBOR USD 1-Month plus 0.17%)
0.63%	06/25/472		327,041		309,940
Carrington Mortgage Loan Trust,
Series 2005-NC5, Class M1
(LIBOR USD 1-Month plus 0.72%)
1.18%	10/25/352		61,378		62,006
Carrington Mortgage Loan Trust,
Series 2006-NC1, Class A4
(LIBOR USD 1-Month plus 0.62%)
1.08%	01/25/362		9,264,663		9,257,566
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.53%)
0.98%	02/25/362		86,885		87,713
Chase Funding Trust,
Series 2003-5, Class 2A2
(LIBOR USD 1-Month plus 0.60%)
1.06%	07/25/332		3,059		2,961
Chase Funding Trust,
Series 2004-2, Class 2A2
(LIBOR USD 1-Month plus 0.50%)
0.96%	02/26/352		5,668		5,454
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
3.20%	09/25/364		424,432		380,880
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%	11/25/21		1,386,891		712,158
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
2.38%	06/25/354		906,854		915,774
ChaseFlex Trust,
Series 2005-2, Class 4A2
5.50%	06/25/36		290,121		170,829

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%)
0.66%	09/25/362	$	5,186,247	$	4,519,594
CIM Trust,
Series 2018-R5, Class A1
3.75%	07/25/581,4		57,936,044		57,143,189
CIM Trust,
Series 2018-R6, Class A1
(LIBOR USD 1-Month plus 1.08%)
1.31%	09/25/581,2		54,157,393		53,052,127
CIM Trust,
Series 2019-R1, Class A
3.25%	10/25/581,4		181,059,142		169,531,469
CIM Trust,
Series 2019-R3, Class A
2.63%	06/25/581,4		121,386,212		114,377,579
CIM Trust,
Series 2019-R4, Class A1
3.00%	10/25/591,4		113,611,671		115,471,801
CIM Trust,
Series 2020-R1, Class A1
2.85%	10/27/591,4		159,938,733		150,881,850
CIM Trust,
Series 2020-R3, Class A1A
4.00%	01/26/601,4		140,383,954		136,833,083
CIM Trust,
Series 2020-R4, Class A1A
3.30%	06/25/601,4		83,885,634		79,281,706
CIM Trust,
Series 2020-R6, Class A1A
2.25%	12/25/601,4		172,506,537		162,128,906
CIM Trust,
Series 2020-R7, Class A1A
2.25%	12/27/611,4		279,464,407		263,988,367
CIM Trust,
Series 2021-R1, Class A2
2.40%	08/25/561,4		104,088,698		99,772,806
CIM Trust,
Series 2021-R2, Class A2
2.50%	01/25/571,4		98,772,482		94,830,828
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/571,4		338,702,812		328,571,534
CIM Trust,
Series 2021-R4, Class A1A
2.00%	05/01/611,4		248,615,539		235,737,254
CIM Trust,
Series 2021-R5, Class A1A
2.00%	08/25/611,4		242,964,036		229,066,493
CIT Mortgage Loan Trust,
Series 2007-1, Class 1A
(LIBOR USD 1-Month plus 1.35%)
1.81%	10/25/371,2		21,669,260		21,699,792

See accompanying Notes to Financial Statements.

187 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%	02/25/35	$	98,703	$	99,558
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5 (STEP-reset date 05/25/22)
5.12%	09/25/36		79,209		79,419
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5 (STEP-reset date 05/25/22)
5.11%	03/25/37		294,553		295,900
Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1
2.77%	03/25/364		7,981,291		6,859,245
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.20%	06/25/364		1,347,251		1,290,098
Citigroup Mortgage Loan Trust,
Series 2006-HE2, Class M1
(LIBOR USD 1-Month plus 0.44%)
0.89%	08/25/362		124,254		124,593
Citigroup Mortgage Loan Trust,
Series 2006-WF2, Class A1 (STEP-reset date 05/25/22)
7.25%	05/25/36		34,028,142		22,247,317
Citigroup Mortgage Loan Trust,
Series 2007-6, Class 1A4A
2.17%	03/25/374		204,654		178,327
Citigroup Mortgage Loan Trust,
Series 2007-AR5, Class 1A1A
2.92%	04/25/374		60,054		59,102
Citigroup Mortgage Loan Trust,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
1.99%	02/20/361,2		7,728,777		6,867,832
Citigroup Mortgage Loan Trust,
Series 2015-2, Class 4A1
(LIBOR USD 1-Month plus 0.70%)
0.79%	03/25/471,2		2,040,450		2,037,015
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.66%	02/25/344		510		513
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
2.61%	10/25/354		383,079		256,211
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
0.72%	11/25/352		110,074		97,580
Countrywide Asset-Backed Certificates Trust,
Series 2005-13, Class AF4
5.81%	04/25/364		165,476		158,809
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(LIBOR USD 1-Month plus 0.80%)
1.26%	10/25/472		7,971,040		7,811,176
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2001-HYB1, Class 1A1
1.75%	06/19/314		7,300		6,963

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2003-J8, Class 1A4
5.25%	09/25/23	$	33,552	$	33,270
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
2.45%	08/25/344		610,101		610,101
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-25, Class 1A1
(LIBOR USD 1-Month plus 0.66%)
1.12%	02/25/352		79,982		77,326
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-7, Class 2A1
2.52%	06/25/344		51,632		51,979
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB3, Class 1A
2.44%	06/20/344		9,594		9,850
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB4, Class 2A1
2.72%	09/20/344		562,441		554,638
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-11, Class 1A2
3.28%	04/25/354		626,517		602,915
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-31, Class 2A3
2.43%	01/25/364		98,584		91,007
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
1.06%	05/25/352		2,612,903		2,242,333
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HY5, Class 1A1
3.43%	09/25/474		531,362		490,566
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HYB1, Class 1A1
3.32%	03/25/374		994,452		883,256
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR20, Class 2A4
2.64%	08/25/334		8,514		8,923
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-6, Class 8A1
4.50%	07/25/20		2,784		2,733
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-1, Class 2A1
6.50%	02/25/34		17,237		17,135
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-AR5, Class 6A1
2.29%	06/25/344		63,440		66,069
Credit Suisse Mortgage Capital Certificates,
Series 2021-RP11, Class CERT
3.78%	10/27/611		10,882,696		11,042,338
Credit Suisse Mortgage Capital Trust,
Series 2006-2, Class 5A1
(LIBOR USD 1-Month plus 0.70%)
1.16%	03/25/362		3,207,940		1,001,608

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 188

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Trust,
Series 2007-2, Class 3A4
5.50%	03/25/37	$	1,153,177	$	783,406
Credit Suisse Mortgage Capital Trust,
Series 2015-6R, Class 2A1
(LIBOR USD 1-Month plus 0.20%)
0.59%	11/27/461,2		2,913,059		2,887,751
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.42%	02/25/601,4		19,093,095		18,746,834
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class PT
3.73%	10/25/611,4		256,563,412		260,968,555
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class SA (IO)
0.00%	10/25/611,4,5,6		320,915		319,422
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/22)
3.95%	01/25/33		8,028		7,695
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.74%	10/25/362		40,098,711		33,091,224
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB8, Class A1
(LIBOR USD 1-Month plus 0.28%)
0.74%	10/25/362		10,976,471		10,245,299
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A3
(LIBOR USD 1-Month plus 0.15%)
0.61%	11/25/362		24,851,474		14,226,919
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF4 (STEP-reset date 05/25/22)
3.16%	01/25/37		6,472,837		2,421,328
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF5 (STEP-reset date 05/25/22)
3.16%	01/25/37		12,164,002		4,553,515
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A2
(LIBOR USD 1-Month plus 0.17%)
0.63%	04/25/372		22,043,101		15,850,114
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/22)
3.61%	02/25/37		26,820,930		20,063,866
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2D (STEP-reset date 05/25/22)
3.61%	02/25/37		19,636,914		14,494,783
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2E (STEP-reset date 05/25/22)
3.61%	02/25/37		3,570,942		2,671,129
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B (STEP-reset date 05/25/22)
6.28%	12/25/36		5,268,016		362,402

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CSMC 2022-RPL1 SA
Series 2022-RPL1, Class SA
0.00%	02/01/62†,1,4,5,6$		2,025,677	$	2,025,521
CSMC,
Series 2022-RPL1, Class PT
3.78%	02/01/62†,1		279,303,895		290,629,053
CSMCM,
Series 2022-RPL1, Class CERT
3.78%	02/01/62†,1		11,659,796		12,132,575
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR3, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.84%	08/25/362		2,258,540		2,220,494
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR4, Class A1
(LIBOR USD 1-Month plus 0.26%)
0.72%	12/25/362		1,522,920		686,475
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR6, Class A6
(LIBOR USD 1-Month plus 0.38%)
0.84%	02/25/372		423,092		412,633
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-3, Class 1A1
(LIBOR USD 1-Month plus 1.70%)
1.93%	10/25/472		21,541,476		18,989,140
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-OA3, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.60%	07/25/472		30,835,625		29,160,202
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2005-6, Class 1A7
5.50%	12/25/35		272,497		257,089
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2006-AR1, Class 2A1
2.82%	02/25/364		599,917		494,098
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
1.17%	01/19/452		1,243,333		1,075,007
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.50%)
0.95%	02/19/452		90,104		89,086
DSLA Mortgage Loan Trust,
Series 2005-AR3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
0.93%	07/19/452		88,966		87,040
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.65%	10/19/362		14,330,846		11,116,102
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
0.59%	03/19/372		6,198,095		5,682,783

See accompanying Notes to Financial Statements.

189 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Equity One Mortgage Pass-Through Trust,
Series 2002-4, Class M1
5.22%	02/25/334	$	7,794	$	7,545
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1 (STEP-reset date 05/25/22)
5.80%	11/25/32		36,213		35,137
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.78%	10/25/362		10,428,790		7,950,000
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2D
(LIBOR USD 1-Month plus 0.48%)
0.94%	10/25/362		657,614		508,592
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(LIBOR USD 1-Month plus 0.11%)
0.57%	12/25/372		5,590,778		5,203,732
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2C
(LIBOR USD 1-Month plus 0.16%)
0.62%	12/25/372		15,375,141		14,360,948
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
0.67%	12/25/372		11,143,402		10,444,477
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 1A
(LIBOR USD 1-Month plus 0.30%)
0.76%	04/25/362		10,328,504		10,344,354
First Franklin Mortgage Loan Trust,
Series 2006-FF8, Class IIA4
(LIBOR USD 1-Month plus 0.46%)
0.92%	07/25/362		23,832,354		23,368,069
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2C
(LIBOR USD 1-Month plus 0.14%)
0.60%	01/25/382		56,875,220		36,050,859
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.60%	03/25/372		50,836,982		32,902,683
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.56%	03/25/372		22,225,720		12,630,730
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.61%	03/25/372		12,741,650		7,291,718
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.68%	03/25/372		23,724,615		13,709,209

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA2, Class 1A1
2.24%	08/25/344	$	3,793,698	$	3,745,292
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.37%	09/25/344		12,595		12,370
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA4, Class A1
2.37%	10/25/344		662,034		681,165
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
2.44%	12/25/354		8,494,840		7,900,185
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
2.49%	02/25/364		9,310,710		7,219,480
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA4, Class 2A1
2.31%	06/25/354		8,579,049		8,290,780
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
2.44%	09/25/354		7,302,335		7,047,278
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
2.45%	10/25/354		9,803,001		7,228,249
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
2.30%	11/25/354		9,565,672		8,588,463
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
2.48%	03/25/364		9,909,047		8,216,045
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA8, Class 1A7
6.00%	02/25/37		8,681		5,000
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
3.37%	12/25/344		92,735		94,295
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
2.92%	01/25/374		55,031		41,088
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
2.63%	11/25/374		99,075		63,213
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.54%	06/25/302		10,283		9,929
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
2.86%	11/19/354		325,434		323,508
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
2.68%	05/19/364		1,552,643		969,984
GreenPoint Mortgage Funding Trust,
Series 2005-AR3, Class 1A1
(LIBOR USD 1-Month plus 0.48%)
0.94%	08/25/452		750,298		693,106

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 190

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GreenPoint Mortgage Funding Trust,
Series 2005-AR4, Class G41B
(LIBOR USD 1-Month plus 0.20%)
0.66%	10/25/452	$	11,876,752	$	11,249,439
GS Mortgage-Backed Securities Trust,
Series 2018-RPL1, Class A1A
3.75%	10/25/571		24,826,808		24,717,667
GSAA Home Equity Trust,
Series 2005-11, Class 2A2
(LIBOR USD 1-Month plus 0.64%)
1.10%	10/25/352		104,373		103,720
GSAA Home Equity Trust,
Series 2005-11, Class 3A2
(LIBOR USD 1-Month plus 0.64%)
1.10%	10/25/352		45,732		45,551
GSAA Home Equity Trust,
Series 2005-6, Class M1
(LIBOR USD 1-Month plus 0.65%)
1.10%	06/25/352		81,398		81,468
GSAMP Trust,
Series 2005-AHL2, Class A2D
(LIBOR USD 1-Month plus 0.70%)
1.16%	12/25/352		22,027,466		20,987,600
GSAMP Trust,
Series 2006-NC1, Class A3
(LIBOR USD 1-Month plus 0.58%)
1.04%	02/25/362		34,570		34,540
GSAMP Trust,
Series 2007-HE2, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.69%	03/25/472		69,259,048		63,842,436
GSR Mortgage Loan Trust,
Series 2004-9, Class 3A1
2.59%	08/25/344		1,950		1,903
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
2.29%	08/25/344		77,827		78,195
GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3
2.64%	10/25/354		1,911,740		1,262,432
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 4A5
2.65%	09/25/354		47,233		46,530
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 2A1
2.79%	05/25/374		1,317,785		934,751
HarborView Mortgage Loan Trust,
Series 2004-1, Class 2A
2.17%	04/19/344		3,694		3,579
HarborView Mortgage Loan Trust,
Series 2004-11, Class 3A2A
(LIBOR USD 1-Month plus 0.68%)
1.13%	01/19/352		198,413		190,220
HarborView Mortgage Loan Trust,
Series 2004-3, Class 1A
2.71%	05/19/344		39,366		39,371

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2004-5, Class 2A6
2.37%	06/19/344	$	1,399	$	1,426
HarborView Mortgage Loan Trust,
Series 2005-3, Class 2A1A
(LIBOR USD 1-Month plus 0.48%)
0.93%	06/19/352		215,186		214,477
HarborView Mortgage Loan Trust,
Series 2005-4, Class 2A
2.41%	07/19/354		34,913		30,466
HarborView Mortgage Loan Trust,
Series 2006-10, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
0.36%	11/19/362		54,612,437		48,578,124
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.42%)
0.87%	09/19/462		57,402,279		53,593,988
HarborView Mortgage Loan Trust,
Series 2007-7, Class 1A1
(LIBOR USD 1-Month plus 1.00%)
1.46%	10/25/372		19,014,063		16,322,075
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(LIBOR USD 1-Month plus 1.00%)
1.46%	10/25/372		15,298,544		15,299,543
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
0.74%	10/25/362		54,083,313		21,840,378
Impac CMB Trust,
Series 2004-8, Class 2A1
(LIBOR USD 1-Month plus 0.70%)
1.16%	10/25/342		113,806		115,133
Impac CMB Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
0.98%	04/25/352		2,210,782		2,137,641
Impac Secured Assets Trust,
Series 2006-3, Class A1
(LIBOR USD 1-Month plus 0.34%)
0.80%	11/25/362		4,995,423		4,808,656
Impac Secured Assets Trust,
Series 2006-5, Class 1A1C
(LIBOR USD 1-Month plus 0.54%)
1.00%	02/25/372		8,052,079		7,756,368
Impac Secured Assets Trust,
Series 2007-2, Class 1A1A
(LIBOR USD 1-Month plus 0.11%)
0.57%	05/25/372		3,087,844		2,635,547
Impac Secured Assets Trust,
Series 2007-2, Class 1A1B
(LIBOR USD 1-Month plus 0.25%)
0.71%	05/25/372		38,486,638		32,996,423

See accompanying Notes to Financial Statements.

191 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
2.68%	08/25/344	$	863,023	$	849,327
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(LIBOR USD 1-Month plus 0.86%)
1.32%	09/25/342		40,819		39,444
IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
2.98%	03/25/354		224,723		223,555
IndyMac Index Mortgage Loan Trust,
Series 2005-AR17, Class 3A1
2.76%	09/25/354		3,103,614		2,439,182
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
2.77%	10/25/354		19,474,127		17,904,148
IndyMac Index Mortgage Loan Trust,
Series 2005-AR31, Class 3A1
2.76%	01/25/364		648,210		632,743
IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
(LIBOR USD 1-Month plus 0.48%)
0.94%	04/25/352		386,575		347,847
IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
2.99%	08/25/364		11,280,490		10,184,975
IndyMac Index Mortgage Loan Trust,
Series 2006-AR21, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.70%	08/25/362		115,185		113,313
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(LIBOR USD 1-Month plus 0.40%)
0.86%	10/25/362		13,915,117		13,452,123
IndyMac Index Mortgage Loan Trust,
Series 2006-AR35, Class 2A3A
(LIBOR USD 1-Month plus 0.20%)
0.66%	01/25/372		31,902,802		31,952,430
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
2.82%	05/25/364		3,242,989		3,100,325
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
2.92%	05/25/364		19,978,588		15,089,458
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
3.02%	03/25/374		363,707		330,881
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
2.79%	06/25/374		2,591,322		2,405,567
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
2.60%	11/25/374		1,744,245		1,576,841

Issues	Maturity     Date	Principal     Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A3
6.61%	02/25/28	$	34,456	$	34,568
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 2A1
3.02%	05/25/364		442,299		331,957
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
3.19%	05/25/364		4,537,709		3,035,687
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A (STEP-reset date 05/25/22)
6.33%	07/25/36		30,282,079		11,016,125
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6 (STEP-reset date 05/25/22)
6.50%	07/25/36		4,222,763		1,652,316
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A1
(LIBOR USD 1-Month plus 0.15%)
0.61%	05/25/372		9,177,488		9,162,426
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A5
(LIBOR USD 1-Month plus 0.26%)
0.72%	06/25/372		89,210		88,946
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(LIBOR USD 1-Month plus 0.10%)
0.56%	03/25/472		114,597		68,926
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2 (STEP-reset date 05/25/22)
4.23%	03/25/47		7,496,737		5,356,048
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3 (STEP-reset date 05/25/22)
4.23%	05/25/35		6,309,419		4,507,695
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4 (STEP-reset date 05/25/22)
4.23%	03/25/47		2,867,918		2,048,881
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(LIBOR USD 1-Month plus 0.28%)
0.74%	03/25/472		240,000		232,441
JPMorgan Mortgage Trust,
Series 2003-A2, Class 2A3
1.68%	11/25/334		63,910		62,948
JPMorgan Mortgage Trust,
Series 2004-A4, Class 1A3
2.24%	09/25/344		177,774		173,395
JPMorgan Mortgage Trust,
Series 2005-A5, Class TA1
2.19%	08/25/354		69,004		68,972
JPMorgan Mortgage Trust,
Series 2005-S2, Class 4A3
5.50%	09/25/20		1,603,746		1,344,089
JPMorgan Mortgage Trust,
Series 2006-A2, Class 5A3
2.27%	11/25/334		2,152		2,117

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 192

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
2.76%	05/25/364	$	546,824	$	492,481
JPMorgan Mortgage Trust,
Series 2006-A3, Class 3A3
3.07%	05/25/364		368,286		327,142
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
2.91%	06/25/364		305,000		253,524
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A4
2.91%	06/25/364		983,224		817,282
JPMorgan Mortgage Trust,
Series 2006-A5, Class 2A4
2.76%	08/25/364		282,943		255,391
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
2.39%	07/25/354		794,625		803,052
JPMorgan Mortgage Trust,
Series 2007-A3, Class 2A3
2.68%	05/25/374		1,459,431		1,260,056
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
3.11%	05/25/374		249,054		237,622
JPMorgan Mortgage Trust,
Series 2007-A4, Class 1A1
3.24%	06/25/374		2,079,252		1,830,984
JPMorgan Mortgage Trust,
Series 2007-A4, Class 2A3
3.01%	06/25/374		303,894		263,367
JPMorgan Mortgage Trust,
Series 2021-13, Class A3A
2.00%	04/25/521,4		53,336,429		48,843,129
JPMorgan Mortgage Trust,
Series 2021-14, Class A3A
2.00%	05/25/521,4		40,799,345		37,380,638
Lehman ABS Mortgage Loan Trust,
Series 2007-1, Class 2A2
(LIBOR USD 1-Month plus 0.20%)
0.66%	06/25/371,2		195,330		152,566
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
0.76%	11/25/352		3,023,718		3,009,240
Lehman XS Trust,
Series 2005-7N, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
1.00%	12/25/352		285,836		278,759
Lehman XS Trust,
Series 2006-12N, Class A31A
(LIBOR USD 1-Month plus 0.40%)
0.86%	08/25/462		9,244,640		9,381,061
Lehman XS Trust,
Series 2006-14N, Class 3A2
(LIBOR USD 1-Month plus 0.24%)
0.70%	08/25/362		30,150		34,220

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust,
Series 2006-5, Class 1A1A
(LIBOR USD 1-Month plus 0.42%)
0.88%	04/25/362	$	21,425,980	$	19,881,163
Lehman XS Trust,
Series 2006-8, Class 1A1A
(LIBOR USD 1-Month plus 0.16%)
0.78%	06/25/362		28,335,460		26,982,331
Lehman XS Trust,
Series 2007-4N, Class 1A3
(LIBOR USD 1-Month plus 0.24%)
0.70%	03/25/472		18,604,861		18,349,081
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
(LIBOR USD 1-Month plus 0.90%)
1.36%	10/25/342		82,767		81,504
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
3.02%	01/25/344		22,595		23,695
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
1.91%	11/25/334		466,131		453,403
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
2.76%	11/21/344		2,204,463		2,200,672
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 9A1
2.80%	10/25/344		64,381		64,617
MASTR Adjustable Rate Mortgages Trust,
Series 2004-8, Class 2A1
2.39%	09/25/344		1,478,705		1,460,221
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 5A1
3.04%	05/25/364		5,364,070		3,289,483
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.76%	11/25/362		12,935,364		5,328,352
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.42%)
0.88%	11/25/362		3,593,157		1,411,987
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(LIBOR USD 1-Month plus 0.21%)
0.67%	05/25/372		19,560,269		19,110,989
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.41%	10/25/324		8,304		8,542
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates,
Series 2001-TBC1, Class A1
(LIBOR USD 1-Month plus 0.70%)
1.10%	11/15/312		638,760		644,337

See accompanying Notes to Financial Statements.

193 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.60%	04/25/372	$	142,138,887	$	78,886,343
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2B
(LIBOR USD 1-Month plus 0.17%)
0.63%	04/25/372		28,373,445		14,437,388
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
0.71%	04/25/372		59,437,881		28,473,170
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.70%	05/25/372		28,970,433		14,808,183
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2D
(LIBOR USD 1-Month plus 0.32%)
0.78%	05/25/372		14,306,857		12,029,063
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(LIBOR USD 1-Month plus 0.18%)
0.64%	06/25/372		11,266,353		10,432,038
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(LIBOR USD 1-Month plus 0.25%)
0.71%	06/25/372		15,047,395		14,041,407
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.12%)
0.58%	07/25/372		24,834,094		20,177,920
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A3
(LIBOR USD 1-Month plus 0.16%)
0.62%	07/25/372		18,204,008		14,852,410
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
2.38%	10/25/334		210,710		209,434
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
2.66%	08/25/344		859,652		836,068
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(LIBOR USD 1-Month plus 0.42%)
0.88%	02/25/362		5,877		5,756
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B (STEP-reset date 05/25/22)
3.80%	03/25/37		28,302,356		8,824,683
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D (STEP-reset date 05/25/22)
3.80%	03/25/37		22,151,280		6,907,934

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.40%)
3.53%	08/25/362	$	2,182,071	$	2,082,688
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%	01/15/40		8,652,434		8,733,030
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/401		7,453,824		7,537,652
Mid-State Trust XI,
Series 11, Class A1
4.86%	07/15/38		145,385		146,408
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.78%	01/25/352		81,468		75,340
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.07%	09/25/344		439,805		430,275
Morgan Stanley Mortgage Loan Trust,
Series 2005-2AR, Class A
(LIBOR USD 1-Month plus 0.26%)
0.72%	04/25/352		1,148,732		1,112,617
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%	06/25/364		697,825		274,637
Morgan Stanley Mortgage Loan Trust,
Series 2007-6XS, Class 1A2S (STEP-reset date 05/25/22)
5.50%	02/25/47		14,630		14,584
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
(LIBOR USD 1-Month plus 0.24%)
0.70%	04/25/372		4,411,419		1,632,279
Morgan Stanley Resecuritization Trust,
Series 2013-R7, Class 2B
(-1.00 X LIBOR USD 1-Month plus 0.24%, 11.50% Cap)
0.00%	12/26/461,2		—		—
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
1.10%	02/25/352		2,447,584		2,445,133
MortgageIT Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.56%)
1.02%	10/25/352		2,639,550		2,615,753
MortgageIT Trust,
Series 2005-5, Class A1
(LIBOR USD 1-Month plus 0.52%)
0.98%	12/25/352		477,244		477,755
Nationstar Home Equity Loan Trust,
Series 2007-A, Class AV4
(LIBOR USD 1-Month plus 0.23%)
0.69%	03/25/372		52,298		51,942

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 194

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(LIBOR USD 1-Month plus 0.25%)
0.71%	06/25/372	$	5,764,699	$	5,644,140
New Century Home Equity Loan Trust,
Series 2003-6, Class M1
(LIBOR USD 1-Month plus 1.08%)
1.54%	01/25/342		86,612		87,196
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.68%)
1.13%	03/25/352		238,793		238,786
New Century Home Equity Loan Trust,
Series 2005-D, Class A1
(LIBOR USD 1-Month plus 0.44%)
0.90%	02/25/362		81,212		81,280
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.66%)
1.12%	02/25/362		27,219		27,215
NLT Trust,
Series 2021-INV3, Class PT
0.00%	11/25/561,4		187,001,646		193,845,907
Nomura Home Equity Loan, Inc., Home Equity Loan Trust,
Series 2006-HE2, Class A4
(LIBOR USD 1-Month plus 0.54%)
1.00%	03/25/362		6,326,992		6,317,076
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/22)
3.00%	07/25/591		51,381,908		51,202,980
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/294		20,813,204		7,437,558
Option One Mortgage Loan Trust,
Series 2006-1, Class 1A1
(LIBOR USD 1-Month plus 0.44%)
0.90%	01/25/362		1,660,203		1,659,526
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(LIBOR USD 1-Month plus 0.28%)
0.74%	05/25/372		9,910,932		9,666,557
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(LIBOR USD 1-Month plus 0.48%)
0.94%	05/25/372		16,774,157		15,079,747
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5 (STEP-reset date 05/25/22)
3.40%	01/25/36		22,735,122		20,481,366
Popular ABS Mortgage Pass-Through Trust,
Series 2006-D, Class A3
(LIBOR USD 1-Month plus 0.26%)
0.72%	11/25/362		25,901		25,628
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.77%	06/25/472		23,015,500		21,997,874

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Popular ABS, Inc.,
Series 1998-1, Class A2 (STEP-reset date 05/25/22)
7.48%	11/25/29	$	46,449	$	44,919
Project Colt (Acquired 03/08/2022, cost $100,000,000)
1.95%	03/10/275,6		100,000,000		99,980,000
Residential Accredit Loans Trust,
Series 2005-QA12, Class CB1
3.48%	12/25/354		3,611,695		1,929,643
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.29%	04/25/354		144,783		144,605
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
3.32%	07/25/354		2,316,635		1,795,176
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.14%	01/25/462		3,949,572		3,575,543
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
4.17%	01/25/364		100,565		85,346
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
4.35%	01/25/364		8,957,367		7,785,203
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(LIBOR USD 1-Month plus 0.37%)
0.83%	08/25/362		15,638,116		15,063,856
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.58%	08/25/364,5,6		15,965,677		303,211
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(LIBOR USD 1-Month plus 0.38%)
0.84%	09/25/362		146,353		114,487
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.47%	02/25/364,5,6		57,052,293		762,692
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.70%	06/25/364,5,6		25,057,891		303,968
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.78%	08/25/364,5,6		61,986,571		1,378,476
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.48%	09/25/374,5,6		48,387,379		873,886
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.36%	03/25/374,5,6		30,644,129		352,490
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.28%	03/25/374,5,6		33,238,992		268,588

See accompanying Notes to Financial Statements.

195 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.34%	04/25/374,5,6	$	70,415,085	$	619,498
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.38%	06/25/374,5,6		25,357,556		279,346
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.43%	06/25/374,5,6		61,562,831		953,380
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%	12/25/31		16,605		9,891
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.95%	04/25/362		467,674		467,626
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
2.71%	12/25/344		170,703		170,496
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
2.84%	12/25/344		11,313		10,974
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
2.56%	12/25/344		297,339		307,954
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%	07/25/36		1,727,754		1,633,610
Residential Funding Mortgage Securities Trust,
Series 2005-SA5, Class 1A
3.06%	11/25/354		2,447,980		1,670,031
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 3A1
4.92%	09/25/364		255,291		228,795
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 4A1
4.78%	09/25/364		5,510		4,623
Residential Funding Mortgage Securities Trust,
Series 2006-SA4, Class 2A1
4.58%	11/25/364		41,398		39,414
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 2A2
3.33%	04/25/374		967,348		880,127
Saxon Asset Securities Trust,
Series 2001-2, Class AF6 (STEP-reset date 05/25/22)
6.81%	06/25/16		18		19
Saxon Asset Securities Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.61%	01/25/472		677,395		676,167
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.70%	05/25/472		173,085		140,420

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Saxon Asset Securities Trust,
Series 2007-3, Class 2A3
(LIBOR USD 1-Month plus 0.40%)
0.86%	09/25/472	$	26,490,416	$	25,326,029
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/22)
2.91%	01/25/36		5,974,322		4,881,399
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB5, Class A3
(LIBOR USD 1-Month plus 0.28%)
0.74%	06/25/362		218,583		164,842
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2A
(LIBOR USD 1-Month plus 0.11%)
0.57%	02/25/372		5,585,088		2,950,750
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2B
(LIBOR USD 1-Month plus 0.27%)
0.73%	02/25/372		27,647,931		14,841,347
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
0.69%	02/25/372		36,311,168		19,339,521
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2A
(LIBOR USD 1-Month plus 0.13%)
0.59%	05/25/372		13,542,495		11,165,637
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2C
(LIBOR USD 1-Month plus 0.35%)
0.81%	05/25/372		10,213,633		8,582,297
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.61%	12/25/362		27,745,003		18,444,265
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC2, Class A2B
(LIBOR USD 1-Month plus 0.14%)
0.60%	01/25/372		14,693,458		13,335,875
Sequoia Mortgage Trust,
Series 2003-2, Class A1
(LIBOR USD 1-Month plus 0.66%)
1.11%	06/20/332		29,802		29,591
Sequoia Mortgage Trust,
Series 2003-8, Class A1
(LIBOR USD 1-Month plus 0.64%)
1.09%	01/20/342		999		978
Sequoia Mortgage Trust,
Series 2004-3, Class A
(LIBOR USD 6-Month plus 0.50%)
0.67%	05/20/342		143,446		143,502
Sequoia Mortgage Trust,
Series 2004-4, Class A
(LIBOR USD 6-Month plus 0.52%)
0.69%	05/20/342		72,540		69,937

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 196

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.24%)
0.70%	12/25/361,2	$	12,775,630	$	8,771,240
SHOW 2022-BIZ A
Series 2022-BIZ, Class A
3.03%	01/15/241,2		68,000,000		67,266,351
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
1.13%	06/25/352		9,739,427		9,695,455
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 3A3
2.42%	02/25/344		15,918		15,504
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.68%	09/25/344		2,794,851		2,804,937
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 1A
2.60%	10/25/344		59,303		58,440
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 2A
2.46%	10/25/344		3,665,574		3,689,669
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
2.61%	10/25/344		1,438,466		1,368,033
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-17, Class A1
1.26%	11/25/344		27,864		26,432
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-20, Class 1A2
2.73%	01/25/354		355,651		362,123
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
2.34%	06/25/354		769,965		713,285
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-18, Class 7A3
2.80%	09/25/354		11,220,443		8,215,580
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-12, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.78%	01/25/372		16,145,620		15,304,010
Structured Adjustable Rate Mortgage Loan Trust,
Series 2007-9, Class 2A1
3.16%	10/25/474		477,476		366,826
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A1A
(LIBOR USD 1-Month plus 0.56%)
1.02%	02/25/362		433,792		414,119
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A3
(Federal Reserve US 12-Month Cumulative Average plus 2.00%)
2.09%	02/25/362		13,993,293		13,823,542

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1A
(LIBOR USD 1-Month plus 0.42%)
0.88%	08/25/362	$	15,952,404	$	15,039,876
Structured Asset Mortgage Investments II Trust,
Series 2006-AR8, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
0.58%	10/25/362		14,587,365		13,848,990
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
1.64%	08/25/472		96,183,716		91,768,623
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 1997-2, Class 2A4
7.25%	03/28/30		426		434
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-26A, Class 3A5
2.30%	09/25/334		94,413		96,703
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-34A, Class 5A4
2.39%	11/25/334		784,382		777,460
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%	04/25/35		927,155		892,629
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-3, Class 1A1
2.55%	06/25/374		1,633,847		1,266,139
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
2.02%	12/25/444		65,783		65,061
Wachovia Mortgage Loan Trust,
Series 2006-ALT1, Class A3
(LIBOR USD 1-Month plus 0.46%)
0.92%	01/25/372		11,321,024		5,640,351
Wachovia Mortgage Loan Trust,
Series 2006-AMN1, Class A3
(LIBOR USD 1-Month plus 0.48%)
0.94%	08/25/362		14,444,041		6,567,568
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.57%	01/25/372		3,172,895		1,780,452
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A3
(LIBOR USD 1-Month plus 0.15%)
0.61%	01/25/372		39,033,307		21,774,884
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(LIBOR USD 1-Month plus 0.23%)
0.69%	01/25/372		9,831,955		5,538,474

See accompanying Notes to Financial Statements.

197 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.57%	06/25/334	$	1,843,881	$	1,826,170
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
2.61%	06/25/344		17,570		17,504
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.84%)
1.30%	05/25/442		287,324		289,157
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
(LIBOR USD 1-Month plus 0.55%)
1.01%	05/25/352		1,564,048		1,319,457
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
0.96%	06/25/352		3,119,041		2,758,019
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
(LIBOR USD 1-Month plus 0.64%)
1.10%	01/25/452		386,847		379,583
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR11, Class A1A
(LIBOR USD 1-Month plus 0.64%)
1.10%	08/25/452		18,129,749		18,036,517
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.85%	10/25/354		604,058		597,942
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(LIBOR USD 1-Month plus 0.58%)
1.04%	10/25/452		2,850,174		2,821,046
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
2.86%	12/25/354		2,495,770		2,509,255
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
(LIBOR USD 1-Month plus 0.52%)
0.98%	11/25/452		16,632,325		15,787,875
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
(LIBOR USD 1-Month plus 0.54%)
1.00%	12/25/452		8,094,278		7,826,397
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
(LIBOR USD 1-Month plus 0.58%)
1.04%	12/25/452		8,259,718		8,124,029
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 1A1A
(LIBOR USD 1-Month plus 0.66%)
1.12%	01/25/452		9,135,817		9,134,420
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.62%)
1.08%	01/25/452		523,276		520,601

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
1.12%	01/25/452	$	44,501	$	44,040
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
(LIBOR USD 1-Month plus 0.76%)
1.22%	01/25/452		1,858,150		1,842,973
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.46%)
0.92%	04/25/452		75,855		74,719
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 1A1A
(LIBOR USD 1-Month plus 0.54%)
1.00%	07/25/452		80,549		78,481
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR1, Class 2A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.07%)
1.21%	01/25/462		15,310,694		15,143,816
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
2.89%	09/25/364		7,837,510		7,575,167
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
3.04%	12/25/364		440,546		428,467
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.14%	02/25/462		9,145,162		8,944,907
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		3,126,200		3,070,589
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
1.12%	07/25/462		6,239,060		5,951,988
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
3.18%	07/25/374		161,538		161,470
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
0.84%	02/25/472		8,699,953		8,560,606
WaMu MSC Mortgage Pass-Through Certificates,
Series 2002-AR1, Class 1A1
2.50%	11/25/304		104,331		105,234
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		93,809		88,560

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 198

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR1, Class 1A1
2.67%	03/25/364	$	1,413,805	$	1,339,336
					5,702,349,600
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		776,699
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K157, Class A3
3.99%	08/25/334		300,000		326,469
					1,103,168
U.S. Agency Mortgage-Backed — 32.31%
Fannie Mae Pool 190375
5.50%	11/01/36		418,322		458,070
Fannie Mae Pool 190396
4.50%	06/01/39		5,612		5,972
Fannie Mae Pool 313182
7.50%	10/01/26		655		689
Fannie Mae Pool 394854
6.50%	05/01/27		376		404
Fannie Mae Pool 545191
7.00%	09/01/31		1,651		1,773
Fannie Mae Pool 545756
7.00%	06/01/32		368		414
Fannie Mae Pool 606108
7.00%	03/01/31		1,993		2,012
Fannie Mae Pool 613142
7.00%	11/01/31		6,919		7,668
Fannie Mae Pool 625666
7.00%	01/01/32		5,098		5,479
Fannie Mae Pool 633698
7.50%	02/01/31		23,145		25,625
Fannie Mae Pool 655928
7.00%	08/01/32		82,216		92,121
Fannie Mae Pool 725257
5.50%	02/01/34		586,003		641,780
Fannie Mae Pool 734830
4.50%	08/01/33		7,735		8,209
Fannie Mae Pool 734922
4.50%	09/01/33		1,019,043		1,084,357
Fannie Mae Pool 735207
7.00%	04/01/34		13,168		14,407
Fannie Mae Pool 735224
5.50%	02/01/35		1,995,611		2,186,374
Fannie Mae Pool 735651
4.50%	06/01/35		2,236,286		2,395,400
Fannie Mae Pool 735686
6.50%	12/01/22		11		11
Fannie Mae Pool 740297
5.50%	10/01/33		1,248		1,367

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 745147
4.50%	12/01/35	$	14,105	$	15,003
Fannie Mae Pool 753168
4.50%	12/01/33		5,671		6,034
Fannie Mae Pool 815422
4.50%	02/01/35		25,895		27,418
Fannie Mae Pool 839109
(LIBOR USD 12-Month plus 1.91%)
2.16%	11/01/352		3,483		3,487
Fannie Mae Pool 844773
(LIBOR USD 12-Month plus 1.53%)
1.78%	12/01/352		2,892		2,895
Fannie Mae Pool 888412
7.00%	04/01/37		187,049		202,556
Fannie Mae Pool 889184
5.50%	09/01/36		2,032,965		2,227,751
Fannie Mae Pool AB1613
4.00%	10/01/40		18,295,299		19,152,513
Fannie Mae Pool AB1803
4.00%	11/01/40		22,649,277		23,731,277
Fannie Mae Pool AB2127
3.50%	01/01/26		6,272,449		6,411,482
Fannie Mae Pool AB3679
3.50%	10/01/41		7,467,605		7,619,029
Fannie Mae Pool AB3864
3.50%	11/01/41		5,786,697		5,904,781
Fannie Mae Pool AB4045
3.50%	12/01/41		7,411,489		7,574,531
Fannie Mae Pool AB4262
3.50%	01/01/32		3,755,316		3,839,739
Fannie Mae Pool AB6385
3.00%	10/01/42		235,730		235,326
Fannie Mae Pool AB9703
3.50%	06/01/43		13,319,941		13,616,819
Fannie Mae Pool AC8279
4.50%	08/01/39		8,980		9,512
Fannie Mae Pool AE0138
4.50%	03/01/40		34,614		36,830
Fannie Mae Pool AE0482
5.50%	01/01/38		4,906,891		5,330,379
Fannie Mae Pool AH3780
4.00%	02/01/41		8,937,141		9,356,718
Fannie Mae Pool AJ1404
4.00%	09/01/41		11,408,772		11,914,134
Fannie Mae Pool AL0209
4.50%	05/01/41		13,975,200		14,981,619
Fannie Mae Pool AL0851
6.00%	10/01/40		7,929,338		8,801,275
Fannie Mae Pool AL2521
3.50%	09/01/42		91,493		93,774
Fannie Mae Pool AL4597
4.00%	01/01/44		35,298,875		37,157,386
Fannie Mae Pool AL6348
3.50%	02/01/45		29,962		30,667
Fannie Mae Pool AL7092
3.00%	07/01/45		45,023		44,773

See accompanying Notes to Financial Statements.

199 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL8037
4.50%	07/01/34	$	128,489	$	133,883
Fannie Mae Pool AL8256
3.00%	08/01/43		429,412		428,677
Fannie Mae Pool AL8356
4.50%	07/01/34		301,428		313,325
Fannie Mae Pool AL8960
4.50%	05/01/46		22,071,423		23,393,884
Fannie Mae Pool AL9106
4.50%	02/01/46		27,717,083		29,377,818
Fannie Mae Pool AL9217
3.50%	10/01/46		18,519,666		18,840,319
Fannie Mae Pool AL9472
4.00%	10/01/43		4,563,483		4,773,526
Fannie Mae Pool AL9722
4.50%	08/01/46		87,548,359		92,794,026
Fannie Mae Pool AL9846
4.50%	02/01/47		91,467,089		96,947,556
Fannie Mae Pool AM4869
4.07%	12/01/25		1,711,078		1,773,826
Fannie Mae Pool AM6770
3.77%	09/01/29		157,940		166,197
Fannie Mae Pool AN7981
2.95%	01/01/28		100,000		100,829
Fannie Mae Pool AS8605
3.00%	01/01/32		141,191		142,733
Fannie Mae Pool AS8663
4.50%	01/01/47		17,840,122		18,695,595
Fannie Mae Pool AS9830
4.00%	06/01/47		30,480,995		31,362,390
Fannie Mae Pool AS9972
4.00%	07/01/47		27,050,925		27,833,136
Fannie Mae Pool AT9649
4.00%	07/01/43		147,236		153,907
Fannie Mae Pool AU3739
3.50%	08/01/43		25,494,658		25,970,755
Fannie Mae Pool BD2450
3.50%	01/01/47		49,854		50,641
Fannie Mae Pool BL6060
2.46%	04/01/40		126,370,000		114,180,476
Fannie Mae Pool BM4299
3.00%	03/01/30		26,628,644		26,863,696
Fannie Mae Pool BM4304
3.00%	02/01/30		34,902,198		35,193,589
Fannie Mae Pool BM5164
4.00%	11/01/48		34,143,576		35,278,027
Fannie Mae Pool BM5507
3.00%	09/01/48		6,538,618		6,495,561
Fannie Mae Pool BN4316
4.00%	01/01/49		20,356		21,050
Fannie Mae Pool BQ7006
2.00%	01/01/52		111,757,601		103,742,486
Fannie Mae Pool CA0862
3.50%	09/01/47		2,651,252		2,685,861
Fannie Mae Pool CA0996
3.50%	01/01/48		35,458		35,887

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA1187
3.50%	02/01/48	$	44,726,352	$	45,141,070
Fannie Mae Pool CA1191
3.50%	11/01/47		3,027,729		3,065,360
Fannie Mae Pool CA1710
4.50%	05/01/48		102,567		106,784
Fannie Mae Pool CA1711
4.50%	05/01/48		9,919,009		10,347,377
Fannie Mae Pool CA2208
4.50%	08/01/48		23,055,503		24,001,921
Fannie Mae Pool CA2327
4.00%	09/01/48		28,300,175		29,355,183
Fannie Mae Pool CA2493
4.50%	10/01/48		6,507,127		6,758,662
Fannie Mae Pool CA3633
3.50%	06/01/49		21,018,928		21,220,028
Fannie Mae Pool CA4011
3.50%	08/01/49		18,757,929		18,624,701
Fannie Mae Pool CA5689
3.00%	05/01/50		67,324,385		66,454,749
Fannie Mae Pool FM2310
3.00%	01/01/48		10,126,472		10,043,158
Fannie Mae Pool FM2318
3.50%	09/01/49		178,143,291		179,898,127
Fannie Mae Pool FM2388
3.50%	04/01/48		18,430,773		18,746,240
Fannie Mae Pool MA1146
4.00%	08/01/42		22,092,325		23,222,595
Fannie Mae Pool MA1177
3.50%	09/01/42		28,661,705		29,451,665
Fannie Mae Pool MA1404
3.50%	04/01/43		59,900		61,234
Fannie Mae Pool MA1432
3.00%	05/01/33		47,329		47,494
Fannie Mae Pool MA1459
3.00%	06/01/33		22,165		22,242
Fannie Mae Pool MA1527
3.00%	08/01/33		32,651,387		32,765,235
Fannie Mae Pool MA1561
3.00%	09/01/33		20,695,540		20,767,701
Fannie Mae Pool MA1582
3.50%	09/01/43		9,842,440		10,061,623
Fannie Mae Pool MA1584
3.50%	09/01/33		31,611,486		32,300,737
Fannie Mae Pool MA1608
3.50%	10/01/33		22,204,717		22,688,864
Fannie Mae Pool MA1982
3.50%	08/01/34		43,821		44,291
Fannie Mae Pool MA2895
3.00%	02/01/47		45,773		45,472
Fannie Mae Pool MA2960
4.00%	04/01/47		24,445,231		25,152,095
Fannie Mae Pool MA3027
4.00%	06/01/47		17,841,260		18,357,162
Fannie Mae Pool MA3029
3.00%	06/01/32		22,072,640		22,350,210

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 200

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA3060
3.00%	07/01/32	$	9,680	$	9,802
Fannie Mae Pool MA3120
3.50%	09/01/47		1,362,368		1,380,152
Fannie Mae Pool MA3182
3.50%	11/01/47		28,897,259		29,226,931
Fannie Mae Pool MA3210
3.50%	12/01/47		50,014,283		50,463,088
Fannie Mae Pool MA3238
3.50%	01/01/48		43,317,017		43,841,859
Fannie Mae Pool MA3276
3.50%	02/01/48		16,990,734		17,148,277
Fannie Mae Pool MA3305
3.50%	03/01/48		22,950,355		23,218,158
Fannie Mae Pool MA3332
3.50%	04/01/48		62,105,681		62,597,065
Fannie Mae Pool MA3364
3.50%	05/01/33		8,214,501		8,423,022
Fannie Mae Pool MA3537
4.50%	12/01/48		13,712,876		14,243,484
Fannie Mae Pool MA3811
3.00%	10/01/49		6,265,897		6,110,963
Fannie Mae Pool MA3846
3.00%	11/01/49		37,516		36,588
Fannie Mae Pool MA3942
3.00%	02/01/50		13,864,529		13,462,308
Fannie Mae Pool MA3997
3.00%	04/01/50		16,261,616		15,789,853
Fannie Mae Pool MA4093
2.00%	08/01/40		170,437,827		160,621,949
Fannie Mae Pool MA4128
2.00%	09/01/40		141,378,118		133,235,276
Fannie Mae Pool MA4152
2.00%	10/01/40		175,212,075		165,122,893
Fannie Mae Pool MA4176
2.00%	11/01/40		43,661,261		41,146,303
Fannie Mae Pool MA4333
2.00%	05/01/41		80,373,618		75,725,568
Fannie Mae REMICS,
Series 1992-123, Class Z
7.50%	07/25/22		27		27
Fannie Mae REMICS,
Series 1993-132, Class D (PO)
0.00%	10/25/2211		962		961
Fannie Mae REMICS,
Series 1993-29, Class PK
7.00%	03/25/23		169		171
Fannie Mae REMICS,
Series 1994-55, Class H
7.00%	03/25/24		2,365		2,448
Fannie Mae REMICS,
Series 1997-34, Class SA
(Cost of Funds for the 11th District of San Francisco * 1.236, 37.68% Cap)
1.24%	10/25/232		523		583

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 1998-37, Class VZ
6.00%	06/17/28	$	1,242	$	1,275
Fannie Mae REMICS,
Series 1999-11, Class Z
5.50%	03/25/29		17,668		17,805
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%	10/25/31		73,192		77,089
Fannie Mae REMICS,
Series 2005-117, Class LC
5.50%	11/25/35		889,269		899,316
Fannie Mae REMICS,
Series 2005-122, Class SG (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.14%	11/25/352		29,384		2,294
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap)
5.64%	10/25/252		1,440,076		62,075
Fannie Mae REMICS,
Series 2006-4, Class WE
4.50%	02/25/36		29,062		30,213
Fannie Mae REMICS,
Series 2006-49, Class SE
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap)
27.17%	04/25/362		960,768		1,325,017
Fannie Mae REMICS,
Series 2007-17, Class SI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
5.94%	03/25/372		798,267		104,711
Fannie Mae REMICS,
Series 2007-34, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap)
5.65%	04/25/372		2,051,793		279,754
Fannie Mae REMICS,
Series 2007-64, Class FA
(LIBOR USD 1-Month plus 0.47%)
0.93%	07/25/372		2,814		2,829
Fannie Mae REMICS,
Series 2008-24, Class NA
6.75%	06/25/37		226,705		245,333
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.14%	10/25/402		2,414,437		378,366
Fannie Mae REMICS,
Series 2010-17, Class SB (IO)
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap)
5.89%	03/25/402		5,034,888		823,602
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap)
5.96%	05/25/402		8,855,600		1,450,639

See accompanying Notes to Financial Statements.

201 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	10,460,567
Fannie Mae REMICS,
Series 2011-111, Class DB
4.00%	11/25/41		8,746,042		9,030,065
Fannie Mae REMICS,
Series 2012-84, Class VZ
3.50%	08/25/42		7,727,278		7,828,961
Fannie Mae REMICS,
Series 2013-101, Class BO (PO)
0.00%	10/25/4311		11,077,587		9,009,120
Fannie Mae REMICS,
Series 2013-101, Class CO (PO)
0.00%	10/25/4311		6,710,098		5,845,586
Fannie Mae REMICS,
Series 2016-45, Class AF
(LIBOR USD 1-Month plus 0.50%)
0.96%	07/25/462		8,381,407		8,419,378
Fannie Mae REMICS,
Series 2016-72, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.96%	10/25/462		17,147,503		17,236,820
Fannie Mae REMICS,
Series 2016-74, Class GF
(LIBOR USD 1-Month plus 0.50%)
0.96%	10/25/462		13,666,230		13,771,362
Fannie Mae REMICS,
Series 2016-75, Class FL
(LIBOR USD 1-Month plus 0.50%)
0.96%	10/25/462		13,495,263		13,598,717
Fannie Mae REMICS,
Series 2018-29, Class AP
3.50%	11/25/46		41,467,299		41,958,846
Fannie Mae REMICS,
Series 2018-38, Class LA
3.00%	06/25/48		17,149,930		17,097,032
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%	06/25/47		27,066		27,373
Fannie Mae REMICS,
Series 2018-45, Class GA
3.00%	06/25/48		19,271,608		19,024,187
Fannie Mae REMICS,
Series 2018-55, Class PA
3.50%	01/25/47		13,237,768		13,388,611
Fannie Mae REMICS,
Series 2018-57, Class QA
3.50%	05/25/46		38,651		38,956
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%	05/25/47		1,038,026		1,044,990
Fannie Mae REMICS,
Series 2018-94, Class KD
3.50%	12/25/48		4,463,884		4,384,021

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	$	1,641,160	$	1,636,960
Fannie Mae REMICS,
Series 2019-1, Class KP
3.25%	02/25/49		1,779,544		1,784,878
Fannie Mae REMICS,
Series 2019-26, Class JE
3.00%	06/25/49		5,365,599		5,300,474
Fannie Mae REMICS,
Series 2019-45, Class PA
3.00%	08/25/49		19,485,745		19,288,900
Fannie Mae REMICS,
Series 2019-52, Class PA
3.00%	09/25/49		5,399,540		5,343,752
Fannie Mae REMICS,
Series 2019-67, Class FE
(LIBOR USD 1-Month plus 0.45%)
0.91%	11/25/492		33,703,457		33,746,287
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.96%	01/25/502		88,550		89,116
Fannie Mae REMICS,
Series G92-36, Class Z
7.00%	07/25/22		1		1
Fannie Mae REMICS,
Series G93-21, Class Z
7.20%	05/25/23		309		315
Fannie Mae Trust,
Series 2003-W2, Class 2A9
5.90%	07/25/42		18,976		20,356
Freddie Mac Gold Pool A24156
6.50%	10/01/31		84,506		90,875
Freddie Mac Gold Pool A25162
5.50%	05/01/34		979,083		1,054,212
Freddie Mac Gold Pool A39012
5.50%	06/01/35		24,872		26,922
Freddie Mac Gold Pool A54856
5.00%	01/01/34		2,214,567		2,396,392
Freddie Mac Gold Pool A61164
5.00%	04/01/36		7,042		7,462
Freddie Mac Gold Pool A97038
4.00%	02/01/41		6,892,915		7,133,520
Freddie Mac Gold Pool C01492
5.00%	02/01/33		321,919		340,201
Freddie Mac Gold Pool C04546
3.00%	02/01/43		12,199,784		12,198,014
Freddie Mac Gold Pool C04573
3.00%	03/01/43		15,336,881		15,326,749
Freddie Mac Gold Pool C46104
6.50%	09/01/29		7,714		8,295
Freddie Mac Gold Pool C55789
7.50%	10/01/27		3,165		3,336
Freddie Mac Gold Pool C90573
6.50%	08/01/22		1,450		1,460

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 202

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	620	$	624
Freddie Mac Gold Pool G00992
7.00%	11/01/28		397		425
Freddie Mac Gold Pool G01515
5.00%	02/01/33		354,110		373,709
Freddie Mac Gold Pool G02579
5.00%	12/01/34		541,157		586,098
Freddie Mac Gold Pool G02884
6.00%	04/01/37		1,431,251		1,575,857
Freddie Mac Gold Pool G02955
5.50%	03/01/37		2,198,160		2,401,111
Freddie Mac Gold Pool G03357
5.50%	08/01/37		721,821		785,261
Freddie Mac Gold Pool G03676
5.50%	12/01/37		1,329,585		1,459,139
Freddie Mac Gold Pool G03783
5.50%	01/01/38		1,122,215		1,231,185
Freddie Mac Gold Pool G03985
6.00%	03/01/38		10,115		11,231
Freddie Mac Gold Pool G04438
5.50%	05/01/38		3,213,924		3,525,880
Freddie Mac Gold Pool G04703
5.50%	08/01/38		2,334,191		2,559,036
Freddie Mac Gold Pool G04706
5.50%	09/01/38		103,606		113,724
Freddie Mac Gold Pool G05866
4.50%	02/01/40		10,253,568		10,926,980
Freddie Mac Gold Pool G06361
4.00%	03/01/41		14,083		14,754
Freddie Mac Gold Pool G06498
4.00%	04/01/41		13,463,066		14,102,104
Freddie Mac Gold Pool G06499
4.00%	03/01/41		5,681,479		5,929,061
Freddie Mac Gold Pool G07408
3.50%	06/01/43		14,411,923		14,743,713
Freddie Mac Gold Pool G07786
4.00%	08/01/44		111,153,682		116,184,885
Freddie Mac Gold Pool G07848
3.50%	04/01/44		68,286,428		69,956,032
Freddie Mac Gold Pool G07849
3.50%	05/01/44		8,953,354		9,172,264
Freddie Mac Gold Pool G07924
3.50%	01/01/45		10,163,123		10,367,147
Freddie Mac Gold Pool G07925
4.00%	02/01/45		7,297,450		7,612,429
Freddie Mac Gold Pool G08676
3.50%	11/01/45		24,136,307		24,585,808
Freddie Mac Gold Pool G08681
3.50%	12/01/45		16,334,859		16,639,070
Freddie Mac Gold Pool G08698
3.50%	03/01/46		837		851
Freddie Mac Gold Pool G08710
3.00%	06/01/46		96,442,790		95,877,209
Freddie Mac Gold Pool G08711
3.50%	06/01/46		6,953,237		7,053,134

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	$	130,337,000	$	129,572,649
Freddie Mac Gold Pool G08721
3.00%	09/01/46		13,283,592		13,205,691
Freddie Mac Gold Pool G08722
3.50%	09/01/46		31,335,120		31,785,312
Freddie Mac Gold Pool G08726
3.00%	10/01/46		141,391,332		140,562,154
Freddie Mac Gold Pool G08727
3.50%	10/01/46		27,204,142		27,594,984
Freddie Mac Gold Pool G08732
3.00%	11/01/46		86,828,904		86,319,703
Freddie Mac Gold Pool G08741
3.00%	01/01/47		55,013,706		54,691,083
Freddie Mac Gold Pool G08742
3.50%	01/01/47		43,604,919		44,231,391
Freddie Mac Gold Pool G08747
3.00%	02/01/47		19,417,770		19,303,896
Freddie Mac Gold Pool G08757
3.50%	04/01/47		16,011,922		16,248,298
Freddie Mac Gold Pool G08758
4.00%	04/01/47		12,529		12,984
Freddie Mac Gold Pool G08762
4.00%	05/01/47		12,692,501		13,123,642
Freddie Mac Gold Pool G08779
3.50%	09/01/47		62,671		63,224
Freddie Mac Gold Pool G08784
3.50%	10/01/47		54,589		55,137
Freddie Mac Gold Pool G08792
3.50%	12/01/47		46,823		47,293
Freddie Mac Gold Pool G08826
5.00%	06/01/48		9,943,786		10,468,413
Freddie Mac Gold Pool G08833
5.00%	07/01/48		6,209,390		6,536,993
Freddie Mac Gold Pool G08838
5.00%	09/01/48		3,305,479		3,500,614
Freddie Mac Gold Pool G08840
5.00%	08/01/48		931,252		982,656
Freddie Mac Gold Pool G08843
4.50%	10/01/48		7,234,503		7,540,575
Freddie Mac Gold Pool G08844
5.00%	10/01/48		8,615,226		9,069,759
Freddie Mac Gold Pool G08848
4.50%	11/01/48		1,341,315		1,397,408
Freddie Mac Gold Pool G08849
5.00%	11/01/48		3,427,001		3,627,728
Freddie Mac Gold Pool G12824
6.00%	08/01/22		18,369		18,446
Freddie Mac Gold Pool G12909
6.00%	11/01/22		107,226		108,305
Freddie Mac Gold Pool G13032
6.00%	09/01/22		280		281
Freddie Mac Gold Pool G16085
2.50%	02/01/32		3,092,787		3,067,365
Freddie Mac Gold Pool G16502
3.50%	05/01/33		57,321		58,819

See accompanying Notes to Financial Statements.

203 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	21,419,870	$	22,017,650
Freddie Mac Gold Pool G16584
3.50%	08/01/33		3,167,765		3,250,564
Freddie Mac Gold Pool G16607
3.50%	09/01/33		32,216,846		33,150,198
Freddie Mac Gold Pool G16623
2.50%	09/01/32		24,532,436		24,324,443
Freddie Mac Gold Pool G16755
3.50%	02/01/34		30,400,660		31,291,491
Freddie Mac Gold Pool G16756
3.50%	01/01/34		2,961,802		3,047,608
Freddie Mac Gold Pool G18592
3.00%	03/01/31		21,854		22,124
Freddie Mac Gold Pool G18596
3.00%	04/01/31		25,330,449		25,705,188
Freddie Mac Gold Pool G18691
3.00%	06/01/33		9,153,918		9,259,824
Freddie Mac Gold Pool G18692
3.50%	06/01/33		12,740,475		13,097,022
Freddie Mac Gold Pool G18713
3.50%	11/01/33		14,935,825		15,287,495
Freddie Mac Gold Pool G18716
3.50%	12/01/33		43,978		45,202
Freddie Mac Gold Pool G60023
3.50%	04/01/45		10,808,715		11,039,211
Freddie Mac Gold Pool G60080
3.50%	06/01/45		111,614,216		113,750,233
Freddie Mac Gold Pool G60138
3.50%	08/01/45		90,119,554		92,041,353
Freddie Mac Gold Pool G60238
3.50%	10/01/45		34,574,710		35,225,579
Freddie Mac Gold Pool G60344
4.00%	12/01/45		84,169		87,518
Freddie Mac Gold Pool G67700
3.50%	08/01/46		26,186,046		26,629,899
Freddie Mac Gold Pool G67703
3.50%	04/01/47		265,607,114		270,109,155
Freddie Mac Gold Pool G67706
3.50%	12/01/47		133,821,082		136,047,531
Freddie Mac Gold Pool G67707
3.50%	01/01/48		345,338,817		351,364,562
Freddie Mac Gold Pool G67708
3.50%	03/01/48		303,070,900		306,500,102
Freddie Mac Gold Pool G67709
3.50%	03/01/48		226,819,561		229,789,400
Freddie Mac Gold Pool G67710
3.50%	03/01/48		190,549,661		192,473,159
Freddie Mac Gold Pool G67711
4.00%	03/01/48		57,140,871		59,207,616
Freddie Mac Gold Pool G67713
4.00%	06/01/48		507,572		525,957
Freddie Mac Gold Pool G67714
4.00%	07/01/48		84,880		87,859
Freddie Mac Gold Pool G67717
4.00%	11/01/48		70,352,890		72,822,560

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	$	4,233	$	4,562
Freddie Mac Gold Pool H05069
5.50%	05/01/37		121,835		131,270
Freddie Mac Gold Pool Q05804
4.00%	01/01/42		24,353,886		25,617,492
Freddie Mac Gold Pool U99097
3.50%	07/01/43		34,020,044		35,006,460
Freddie Mac Gold Pool V62078
3.50%	08/01/33		3,180,018		3,279,135
Freddie Mac Gold Pool V62129
3.50%	08/01/33		7,811,042		8,030,476
Freddie Mac Gold Pool V80356
3.50%	08/01/43		24,034,495		24,542,709
Freddie Mac Pool RB5077
2.00%	10/01/40		105,725,592		99,638,800
Freddie Mac Pool RE6029
3.00%	02/01/50		4,585,542		4,452,511
Freddie Mac Pool SD7502
3.50%	07/01/49		8,400,811		8,463,167
Freddie Mac Pool SD7503
3.50%	08/01/49		18,568,834		18,751,750
Freddie Mac Pool SD7511
3.50%	01/01/50		18,741,813		18,926,433
Freddie Mac Pool ZA5103
3.50%	12/01/47		152,004		153,414
Freddie Mac Pool ZA5128
3.50%	12/01/47		428,692		434,020
Freddie Mac Pool ZM1779
3.00%	09/01/46		14,381,588		14,287,026
Freddie Mac Pool ZM2285
3.00%	12/01/46		16,727,484		16,617,498
Freddie Mac Pool ZS4693
3.00%	12/01/46		16,741,074		16,630,999
Freddie Mac Pool ZS4768
3.50%	05/01/48		1,195,945		1,205,203
Freddie Mac Pool ZT0277
3.50%	10/01/46		1,837,910		1,866,497
Freddie Mac Pool ZT1403
3.50%	11/01/33		17,625,061		18,066,954
Freddie Mac REMICS,
Series 1980, Class Z
7.00%	07/15/27		37,602		40,553
Freddie Mac REMICS,
Series 1983, Class Z
6.50%	12/15/23		7,347		7,632
Freddie Mac REMICS,
Series 2098, Class TZ
6.00%	01/15/28		162,253		171,137
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		8,943		9,496
Freddie Mac REMICS,
Series 2313, Class LA
6.50%	05/15/31		4,262		4,605

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 204

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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)
19.90%	02/15/322	$	5,194	$	6,988
Freddie Mac REMICS,
Series 2481, Class AW
6.50%	08/15/32		15,668		16,490
Freddie Mac REMICS,
Series 3019, Class SW (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
6.80%	08/15/352		761,506		150,703
Freddie Mac REMICS,
Series 3063, Class YG
5.50%	11/15/35		1,949,528		2,082,333
Freddie Mac REMICS,
Series 3300, Class SA (IO)
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap)
6.80%	08/15/352		336,679		49,967
Freddie Mac REMICS,
Series 3752, Class XL
4.50%	11/15/40		32,633,325		33,987,083
Freddie Mac REMICS,
Series 3891, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap)
5.55%	07/15/412		4,051,809		288,588
Freddie Mac REMICS,
Series 3904, Class JB
4.50%	08/15/41		7,828,088		8,265,762
Freddie Mac REMICS,
Series 3925, Class LB
4.50%	09/15/41		9,215,000		10,070,034
Freddie Mac REMICS,
Series 3928, Class JD
4.00%	09/15/41		24,023,941		24,571,005
Freddie Mac REMICS,
Series 4102, Class TC
2.50%	09/15/41		8,577,738		8,554,603
Freddie Mac REMICS,
Series 4161, Class BA
2.50%	12/15/41		13,410,965		13,363,179
Freddie Mac REMICS,
Series 4656, Class EZ
4.00%	02/15/47		189,885		199,521
Freddie Mac REMICS,
Series 4818, Class CA
3.00%	04/15/48		1,439,839		1,413,104
Freddie Mac REMICS,
Series 4846, Class PA
4.00%	06/15/47		306,368		311,133
Freddie Mac REMICS,
Series 4852, Class CA
4.00%	11/15/47		12,610,369		12,660,291
Freddie Mac REMICS,
Series 4860, Class BH
3.50%	10/15/48		3,260,867		3,291,725

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4860, Class PA
3.50%	02/15/49	$	3,132,428	$	3,143,322
Freddie Mac REMICS,
Series 4879, Class BC
3.00%	04/15/49		826,497		851,670
Freddie Mac REMICS,
Series 4896, Class DA
3.00%	01/15/49		1,217,133		1,211,996
Freddie Mac REMICS,
Series 4937, Class MF
(LIBOR USD 1-Month plus 0.45%)
0.91%	12/25/492		6,886,075		6,931,127
Freddie Mac Strips,
Series 309, Class PO (PO)
0.00%	08/15/4311		14,520,517		11,649,318
Freddie Mac Strips,
Series 319, Class F2
(LIBOR USD 1-Month plus 0.50%)
0.90%	11/15/432		2,405,601		2,415,057
Ginnie Mae (TBA)
2.00%	04/20/52		407,350,000		387,481,679
2.50%	04/20/52		1,119,400,000		1,085,213,916
Ginnie Mae I Pool 782817
4.50%	11/15/39		10,774,785		11,660,025
Ginnie Mae I Pool AA5452
3.50%	07/15/42		90,098		91,708
Ginnie Mae II Pool 2631
7.00%	08/20/28		1,086		1,165
Ginnie Mae II Pool 3388
4.50%	05/20/33		2,349		2,480
Ginnie Mae II Pool 3427
4.50%	08/20/33		1,003		1,069
Ginnie Mae II Pool 3554
4.50%	05/20/34		927		987
Ginnie Mae II Pool 4058
5.00%	12/20/37		470		524
Ginnie Mae II Pool 4342
5.00%	01/20/39		773		841
Ginnie Mae II Pool 4520
5.00%	08/20/39		14,090		15,355
Ginnie Mae II Pool 5140
4.50%	08/20/41		30,439		32,429
Ginnie Mae II Pool 5175
4.50%	09/20/41		33,329		35,538
Ginnie Mae II Pool 5281
4.50%	01/20/42		9,469		10,087
Ginnie Mae II Pool 783591
4.50%	07/20/41		11,903		12,681
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.63%	07/20/342		7,998		8,200

See accompanying Notes to Financial Statements.

205 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	10,255	$	10,361
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.63%	08/20/352		14,812		15,250
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.75%	10/20/352		11,876		12,202
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.00%	05/20/252		1,686		1,712
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
2.50%	06/20/252		2,082		2,085
Ginnie Mae II Pool MA0627
4.50%	12/20/42		38,794		41,518
Ginnie Mae II Pool MA0701
4.50%	01/20/43		37,739		40,205
Ginnie Mae II Pool MA1157
3.50%	07/20/43		36,076		36,939
Ginnie Mae II Pool MA1997
4.50%	06/20/44		9,763		10,497
Ginnie Mae II Pool MA2374
5.00%	11/20/44		215,995		232,134
Ginnie Mae II Pool MA2756
4.50%	04/20/45		20,580		22,076
Ginnie Mae II Pool MA2828
4.50%	05/20/45		854,608		912,414
Ginnie Mae II Pool MA2894
4.50%	06/20/45		337,883		361,562
Ginnie Mae II Pool MA3036
4.50%	08/20/45		33,102		35,342
Ginnie Mae II Pool MA3309
3.00%	12/20/45		6,553		6,554
Ginnie Mae II Pool MA3456
4.50%	02/20/46		219,759		234,616
Ginnie Mae II Pool MA3521
3.50%	03/20/46		25,177,521		25,741,790
Ginnie Mae II Pool MA3524
5.00%	03/20/46		10,956		12,014
Ginnie Mae II Pool MA3597
3.50%	04/20/46		63,320,609		64,474,335
Ginnie Mae II Pool MA3600
5.00%	04/20/46		6,531,775		7,174,491
Ginnie Mae II Pool MA3662
3.00%	05/20/46		2,434,986		2,430,275
Ginnie Mae II Pool MA3663
3.50%	05/20/46		18,033,749		18,362,331
Ginnie Mae II Pool MA3665
4.50%	05/20/46		90,420		96,304

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	$	3,342,394	$	3,665,102
Ginnie Mae II Pool MA3738
4.50%	06/20/46		381,375		406,193
Ginnie Mae II Pool MA3739
5.00%	06/20/46		2,003,862		2,200,787
Ginnie Mae II Pool MA3805
4.50%	07/20/46		3,141,096		3,343,543
Ginnie Mae II Pool MA3806
5.00%	07/20/46		154,619		169,831
Ginnie Mae II Pool MA3873
3.00%	08/20/46		18,633,693		18,567,221
Ginnie Mae II Pool MA3876
4.50%	08/20/46		3,395,590		3,616,561
Ginnie Mae II Pool MA3877
5.00%	08/20/46		736,965		792,030
Ginnie Mae II Pool MA3937
3.50%	09/20/46		14,602,880		14,854,108
Ginnie Mae II Pool MA3939
4.50%	09/20/46		1,793,012		1,927,756
Ginnie Mae II Pool MA4003
3.00%	10/20/46		7,497,767		7,470,998
Ginnie Mae II Pool MA4006
4.50%	10/20/46		2,036,146		2,168,650
Ginnie Mae II Pool MA4007
5.00%	10/20/46		3,839,686		4,207,353
Ginnie Mae II Pool MA4069
3.50%	11/20/46		45,685,202		46,427,506
Ginnie Mae II Pool MA4071
4.50%	11/20/46		5,399,471		5,794,690
Ginnie Mae II Pool MA4072
5.00%	11/20/46		1,130,366		1,241,430
Ginnie Mae II Pool MA4126
3.00%	12/20/46		128,057,272		127,599,707
Ginnie Mae II Pool MA4127
3.50%	12/20/46		50,702,348		51,513,123
Ginnie Mae II Pool MA4129
4.50%	12/20/46		18,299,344		19,626,131
Ginnie Mae II Pool MA4196
3.50%	01/20/47		11,752		11,986
Ginnie Mae II Pool MA4198
4.50%	01/20/47		149,918		159,159
Ginnie Mae II Pool MA4199
5.00%	01/20/47		3,211,147		3,518,583
Ginnie Mae II Pool MA4264
4.50%	02/20/47		42,072,587		44,560,697
Ginnie Mae II Pool MA4265
5.00%	02/20/47		804,421		880,047
Ginnie Mae II Pool MA4324
5.00%	03/20/47		4,495,829		4,899,995
Ginnie Mae II Pool MA4382
3.50%	04/20/47		29,054,190		29,481,979
Ginnie Mae II Pool MA4384
4.50%	04/20/47		1,848,933		1,951,343
Ginnie Mae II Pool MA4385
5.00%	04/20/47		7,805,034		8,371,136

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 206

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	97,028,511	$	102,402,775
Ginnie Mae II Pool MA4454
5.00%	05/20/47		16,191,961		17,234,987
Ginnie Mae II Pool MA4510
3.50%	06/20/47		40,269		40,862
Ginnie Mae II Pool MA4511
4.00%	06/20/47		5,753,281		5,931,142
Ginnie Mae II Pool MA4512
4.50%	06/20/47		338,852		357,620
Ginnie Mae II Pool MA4513
5.00%	06/20/47		319,560		341,975
Ginnie Mae II Pool MA4586
3.50%	07/20/47		47,944,849		48,649,021
Ginnie Mae II Pool MA4588
4.50%	07/20/47		55,200		58,171
Ginnie Mae II Pool MA4589
5.00%	07/20/47		14,303,862		15,208,290
Ginnie Mae II Pool MA4652
3.50%	08/20/47		3,624,734		3,690,112
Ginnie Mae II Pool MA4655
5.00%	08/20/47		18,104,928		19,271,181
Ginnie Mae II Pool MA4719
3.50%	09/20/47		45,523,846		46,160,331
Ginnie Mae II Pool MA4720
4.00%	09/20/47		115,354		119,221
Ginnie Mae II Pool MA4722
5.00%	09/20/47		349,769		372,187
Ginnie Mae II Pool MA4781
5.00%	10/20/47		3,963,799		4,222,805
Ginnie Mae II Pool MA4836
3.00%	11/20/47		101,172,042		101,055,512
Ginnie Mae II Pool MA4837
3.50%	11/20/47		112,481,647		114,054,293
Ginnie Mae II Pool MA4838
4.00%	11/20/47		38,526,990		39,747,049
Ginnie Mae II Pool MA4840
5.00%	11/20/47		1,326,257		1,418,396
Ginnie Mae II Pool MA4900
3.50%	12/20/47		7,234,536		7,335,684
Ginnie Mae II Pool MA4901
4.00%	12/20/47		25,415,422		26,199,461
Ginnie Mae II Pool MA4961
3.00%	01/20/48		344,582		343,199
Ginnie Mae II Pool MA4963
4.00%	01/20/48		42,354,017		43,660,594
Ginnie Mae II Pool MA5078
4.00%	03/20/48		64,882		67,227
Ginnie Mae II Pool MA5137
4.00%	04/20/48		13,894,010		14,267,430
Ginnie Mae II Pool MA5399
4.50%	08/20/48		3,207,619		3,330,635
Ginnie Mae II Pool MA5466
4.00%	09/20/48		5,627,468		5,771,679
Ginnie Mae II Pool MA5467
4.50%	09/20/48		29,750		30,957

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	$	25,799,695	$	26,454,801
Ginnie Mae II Pool MA5530
5.00%	10/20/48		5,063,879		5,280,039
Ginnie Mae II Pool MA5651
4.00%	12/20/48		9,296		9,592
Ginnie Mae II Pool MA6030
3.50%	07/20/49		11,150,932		11,064,572
Ginnie Mae II Pool MA6080
3.00%	08/20/49		1,964		1,924
Ginnie Mae II Pool MA6081
3.50%	08/20/49		4,214,654		4,182,013
Ginnie Mae II Pool MA6209
3.00%	10/20/49		3,921,395		3,835,387
Ginnie Mae II Pool MA6210
3.50%	10/20/49		2,073,416		2,054,766
Ginnie Mae,
Series 2003-86, Class ZK
5.00%	10/20/33		4,073,028		4,310,134
Ginnie Mae,
Series 2007-35, Class PY (IO)
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap)
6.32%	06/16/372		7,695,966		1,342,760
Ginnie Mae,
Series 2009-106, Class SD (IO)
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap)
5.80%	03/20/362		6,708,978		507,446
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.35%	05/20/372		16,846,092		1,554,359
Ginnie Mae,
Series 2009-124, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap)
6.03%	12/20/392		2,613,843		435,333
Ginnie Mae,
Series 2009-66, Class XS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap)
6.37%	07/16/392		19,842		1,877
Ginnie Mae,
Series 2009-8, Class PS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap)
5.87%	08/16/382		25,648		1,151
Ginnie Mae,
Series 2010-4, Class SL (IO)
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap)
5.97%	01/16/402		34,416		5,269
Ginnie Mae,
Series 2010-4, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap)
5.37%	01/16/402		6,257,424		878,116
Ginnie Mae,
Series 2010-6, Class BS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap)
6.07%	09/16/392		733,286		29,154

See accompanying Notes to Financial Statements.

207 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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	$	85,450	$	14,927
Ginnie Mae,
Series 2014-108, Class PA
2.63%	12/20/39		6,327,785		6,290,413
Ginnie Mae,
Series 2018-124, Class NW
3.50%	09/20/48		858,037		868,624
Ginnie Mae,
Series 2019-1, Class NP
3.50%	01/20/49		9,295,470		9,260,223
Ginnie Mae,
Series 2019-119, Class JE
3.00%	09/20/49		5,899,415		5,876,714
Ginnie Mae,
Series 2019-15, Class GT
3.50%	02/20/49		9,594,538		9,668,283
Ginnie Mae,
Series 2019-44, Class CA
3.50%	12/20/48		1,610,521		1,615,382
Ginnie Mae,
Series 2019-71, Class PT
3.00%	06/20/49		1,049,546		1,030,729
Ginnie Mae,
Series 2019-86, Class C
2.50%	03/20/49		12,553,692		12,304,777
Ginnie Mae,
Series 2019-90, Class HE
3.00%	07/20/49		9,907,992		9,670,138
UMBS (TBA)
2.00%	04/01/37		1,083,850,000		1,052,571,227
2.00%	04/01/52		872,100,000		809,081,461
2.00%	05/01/52		4,826,150,000		4,471,993,600
2.50%	04/01/37		850,250,000		840,256,961
2.50%	05/01/52		6,796,975,000		6,471,827,631
3.00%	04/01/52		537,775,000		526,095,199
3.00%	05/01/52		1,862,825,000		1,818,582,999
					25,045,155,530
Total Mortgage-Backed
(Cost $32,886,034,655)					32,301,493,307
MUNICIPAL BONDS — 0.67%*
California — 0.28%
California State University Revenue Bonds, University & College Improvements, Series B
2.14%	11/01/33		14,500,000		12,520,095
2.27%	11/01/34		23,510,000		20,769,547
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E
2.83%	11/01/41		16,645,000		14,978,854
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
5.00%	05/15/44		185,000		205,673

Issues	Maturity     Date	Principal   Amount		Value
MUNICIPAL BONDS (continued)
California (continued)
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%	07/01/27	$	12,625,000	$	14,129,266
Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY
6.01%	07/01/39		350,000		436,957
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.75%	07/01/34		19,155,000		22,714,240
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY
6.76%	07/01/34		12,165,000		15,459,185
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.01%	05/15/50		57,945,000		50,818,515
3.26%	05/15/60		34,700,000		31,084,711
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP
3.93%	05/15/45		30,115,000		30,512,473
					213,629,516
Colorado — 0.03%
City & County of Denver Airport System Revenue Bonds,
Series C
2.39%	11/15/31		6,010,000		5,517,667
2.52%	11/15/32		8,450,000		7,756,017
2.62%	11/15/33		9,000,000		8,286,973
2.72%	11/15/34		5,000,000		4,616,864
					26,177,521
Michigan — 0.05%
University of Michigan Revenue Bonds, Taxable, Revenue Bonds, University & College Improvements, Series A
3.50%	04/01/52		38,445,000		39,164,467
New Jersey — 0.00%
Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B
5.47%	05/15/27		350,000		373,164
New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F
3.73%	01/01/36		300,000		309,919
					683,083
New York — 0.29%
City of New York General Obligation Bonds, Public Improvements
4.77%	10/01/23		4,420,000		4,582,960
5.21%	10/01/31		6,420,000		7,070,860
5.52%	10/01/37		6,075,000		7,278,107
City of New York General Obligation Bonds, Public Improvements, Series A
3.00%	08/01/34		15,185,000		14,275,256

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 208

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%	04/01/31	$	3,145,000	$	3,173,169
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		13,145,000		15,031,736
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
5.51%	08/01/37		25,000,000		29,910,945
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series A2
2.15%	05/01/25		430,000		421,676
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3
2.00%	08/01/35		4,055,000		3,197,735
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.40%	11/01/32		12,135,000		10,748,018
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%	02/01/33		3,090,000		2,600,208
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries C5
3.90%	05/01/31		15,000,000		15,284,395
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
4.00%	08/01/33		6,450,000		6,599,915
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU
3.88%	08/01/31		3,135,000		3,192,997
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%	05/01/27		13,135,000		14,331,362
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series G
2.45%	11/01/34		3,000,000		2,621,697
New York State Dormitory Authority Revenue Bonds, Series C
1.95%	03/15/29		7,895,000		7,222,726
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%	03/15/33		44,990,000		50,218,094
5.43%	03/15/39		21,400,000		25,012,348
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A
4.00%	03/15/47		155,000		161,651
New York State Urban Development Corp. Revenue Bonds, Public Improvements
5.77%	03/15/39		150,000		168,858
					223,104,713

Issues	Maturity     Date	Principal   Amount		Value
MUNICIPAL BONDS (continued)
Texas — 0.02%
North Texas Tollway Authority Revenue Bonds
2.33%	01/01/33	$	765,000	$	705,033
2.43%	01/01/34		10,000,000		9,256,477
2.53%	01/01/35		8,000,000		7,432,204
Texas A&M University Revenue Bonds, University & College Improvements, Series B
2.69%	05/15/25		350,000		349,512
					17,743,226
Total Municipal Bonds
(Cost $545,700,629)					520,502,526
U.S. TREASURY SECURITIES — 32.05%
U.S. Treasury Bonds — 7.33%
U.S. Treasury Bonds
1.88%	11/15/51		129,779,000		113,881,072
2.00%	11/15/41		2,422,171,000		2,195,704,309
2.25%	05/15/41		1,195,219,000		1,130,934,206
2.25%	02/15/52		1,159,309,000		1,112,212,072
2.38%	02/15/42		1,034,670,000		998,860,723
U.S. Treasury Bonds - Treasury Inflation Indexed Bonds
0.13%	02/15/5212		128,376,016		133,315,180
					5,684,907,562
U.S. Treasury Notes — 24.72%
U.S. Treasury Notes
0.75%	12/31/23		1,171,495,000		1,141,269,515
0.88%	01/31/24		2,717,678,000		2,648,833,700
1.25%	12/31/26		619,911,000		585,828,727
1.50%	02/29/2413		4,682,875,000		4,615,192,846
1.50%	01/31/27		1,240,266,000		1,185,422,988
1.75%	03/15/25		802,535,000		785,956,232
1.88%	02/28/27		3,691,242,000		3,593,774,201
1.88%	02/15/32		418,606,000		402,090,687
2.25%	03/31/24		849,934,000		848,805,186
2.50%	03/31/27		3,343,769,000		3,351,736,566
					19,158,910,648
Total U.S. Treasury Securities
(Cost $25,274,018,366)					24,843,818,210
Total Bonds — 110.81%
(Cost $88,008,649,677)					85,886,203,765
Issues		Shares		Value
COMMON STOCK — 0.09%
Communications — 0.09%
Intelsat Emergence SA3,5,6,9
(Luxembourg)			2,394,859		71,845,770
Electric — 0.00%
Homer City Holdings LLC†,5,6,9,10,14			1,180,703		—
Total Common Stock
(Cost $145,415,216)					71,845,770

See accompanying Notes to Financial Statements.

209 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues		Shares		Value
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A3,5,6,9
(Luxembourg)			250,803	$	—
Intelsat Jackson Holdings SA, Series B3,5,6,9
(Luxembourg)			250,803		—
					—
Total Rights
(Cost $–)					—
Purchased Options - 0.01%
(Cost $34,465,201)					9,464,456
Issues	MaturityDate	PrincipalAmount/Shares		Value
SHORT-TERM INVESTMENTS — 13.19%
Money Market Funds — 2.38%
Dreyfus Government Cash Management Fund
0.19%15			517,087,500		517,087,500
Fidelity Investments Money Market Funds - Government Portfolio
0.12%15,16			586,973,554		586,973,554
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%15			742,223,500		742,223,500
					1,846,284,554
U.S. Agency Discount Notes — 6.14%
Federal Home Loan Bank
0.13%17	06/08/22	$	500,000,000		499,425,970
0.13%17	06/15/22		500,000,000		499,366,915
0.24%17	08/08/22		250,000,000		249,198,643
0.55%17	08/15/22		1,000,000,000		997,042,650
0.45%17	08/29/22		500,000,000		498,136,865
0.66%17	09/15/22		500,000,000		497,605,985
0.99%17	10/05/22		200,000,000		198,854,932
1.04%17	06/14/24		746,595,000		722,774,289
1.20%17	12/23/24		173,195,000		167,179,638
1.61%17	09/04/24		218,955,000		215,598,685
1.61%17	09/04/24		218,700,000		214,481,767
					4,759,666,339
U.S. Treasury Bills — 4.67%
U.S. Treasury Bills
0.49%17	07/14/22		500,000,000		499,104,450
0.36%17	07/21/22		500,000,000		498,920,825
0.37%17	07/28/22		500,000,000		498,770,835
0.57%17	08/04/22		500,000,000		498,623,845
0.57%17	08/11/22		500,000,000		498,460,000
0.65%17	08/18/22		500,000,000		498,378,350
0.61%17	08/25/22		577,867,000		575,828,112

Issues	MaturityDate	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
0.65%17	09/01/22	$	50,998,000	$	50,800,765
					3,618,887,182
Total Short-Term Investments
(Cost $10,269,880,168)					10,224,838,075
Total Investments Before Written Options - 124.10%
(Cost $98,458,410,262)					96,192,352,066
Written Options - (0.37)%
(Cost $(158,157,572))					(290,863,292	)
Net unrealized appreciation on unfunded commitments - 0.00%					7,880
Liabilities in Excess of Other Assets - (23.73)%					(18,394,667,443	)
Net Assets - 100.00%				$	77,506,829,211

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

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 $321,099,010, which is 0.41% 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 $247,735, at an interest rate of 4.00% and a maturity of July 31, 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 $1,005,616, at an interest rate of 0.00% and a maturity of February 15, 2029. The investment is not accruing an unused commitment fee.

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 March 31, 2022.

¹² Inflation protected security. Principal amount reflects original security face amount.

¹³ All or a portion of this security’s market value is pledged as collateral for the reverse repurchase agreement.

¹⁴ Affiliated investment.

¹⁵ Represents the current yield as of March 31, 2022.

¹⁶ Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $29,229,572.

¹⁷ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is $304,787,149, which is 0.39% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. See Notes to Financial Statements.

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 210

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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

(CAD): Canadian Dollar

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
CAD 1,131,304,000		USD 886,984,202		Citigroup Global Markets, Inc.		04/08/22	$	18,710,809
EUR 148,673,000		USD 163,976,026		Goldman Sachs International		04/08/22		1,484,133
USD 168,138,805		EUR 148,673,000		Goldman Sachs International		04/08/22		2,678,646
USD 325,243,890		GBP 241,765,000		Goldman Sachs International		04/08/22		6,939,865
								29,813,453
GBP 241,765,000		USD 321,352,216		Goldman Sachs International		04/08/22		(3,048,191)
USD 883,919,876		CAD 1,131,304,000		Citigroup Global Markets, Inc.		04/08/22		(21,775,135)
USD 145,574,267		EUR 131,850,000		Goldman Sachs International		07/08/22		(1,740,532)
USD 196,402,201		GBP 149,974,000		Goldman Sachs International		07/08/22		(1,015,106)
								(27,578,964)
NET UNREALIZED APPRECIATION							$	2,234,489

Description	Number ofContracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
Three-Month Canadian Bankers’ Acceptance Futures		4,000		12/19/22	$	777,310,756	$	(7,563,448)	$	(7,563,448)
U.S. Treasury Ultra Bond		3,771		06/21/22		667,938,375		(27,048,808)		(27,048,808)
U.S. Treasury Ten-Year Note		3,000		06/21/22		368,625,000		(2,675,981)		(2,675,981)
U.S. Treasury Two-Year Note		595		06/30/22		126,093,516		(1,531,222)		(1,531,222)
						1,939,967,647		(38,819,459)		(38,819,459)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		323		06/21/22		(43,756,406)		(245,345)		(245,345)
U.S. Treasury Five-Year Note		108		06/30/22		(12,386,250)		286,630		286,630
						(56,142,656)		41,285		41,285
TOTAL FUTURES CONTRACTS					$	1,883,824,991	$	(38,778,174)	$	(38,778,174)

Reference Obligation/Index	FinancingRate Paid by the Fund		PaymentFrequency		ImpliedCreditSpread at03/31/221		Counterparty	ExpirationDate		NotionalAmount(000’s)2		Value3		PremiumsPaid		UnrealizedAppreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4
1011778 BC ULC/New Red							Credit Suisse
Finance, Inc., 4.00%, due							First Boston
10/15/305		5.00%		3 Months		120	International		06/20/23		$    20,000	$	947,503	$	805,678	$	141,826
							Credit Suisse
Berry Global, Inc., 5.63%, due							First Boston
07/15/27		5.00%		3 Months		175	International		12/20/23		60,665		3,381,654		3,209,172		172,481
TOTAL												$	4,329,157	$	4,014,850	$	314,307

See accompanying Notes to Financial Statements.

211 / Annual Report March 2022

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

¹ An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

² The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³ The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴ If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
PURCHASED CALL OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		16,595		$98.00		12/19/22	$	121,151,797	$	7,467,750
IMM Eurodollar 1-Year MIDCV Future Options		10,533		98.38		09/16/22		76,532,778		855,806
IMM Eurodollar 1-Year MIDCV Future Options		22,818		98.75		09/16/22		1,105,303,920		1,140,900
TOTAL PURCHASED OPTIONS							$	1,302,988,495	$	9,464,456
Description	Number ofcontracts		Exercise Price		Expiration Date		Notional Amount		Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 1-Year MIDCV Future Options		51,790		$99.00		09/16/22	$	(2,257,836,840)	$	(1,942,125)
90-Day Euro Dollar Futures		16,595		98.25		12/19/22		(121,151,797)		(5,185,938)
IMM Eurodollar 2-Year MIDCV Future Options		13,524		97.63		12/16/22		(822,385,988)		(9,297,750)
IMM Eurodollar 2-Year MIDCV Future Options		26,275		97.88		12/16/22		(1,597,766,328)		(12,316,406)
								(4,799,140,953)		(28,742,219)
WRITTEN PUT OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		16,595		$97.25		12/19/22	$	(121,151,796)	$	(16,387,563)
IMM Eurodollar 1-Year MIDCV Future Options		64,196		97.63		09/16/22		(310,965,424)		(138,021,400)
IMM Eurodollar 2-Year MIDCV Future Options		39,799		97.38		12/16/22		(2,420,152,316)		(46,515,081)
								(2,852,269,536)		(200,924,044)
TOTAL WRITTEN OPTIONS							$	(7,651,410,489)	$	(229,666,263)

						Received by the Fund				Paid by the Fund
Description	Counterparty	Purchase Date		Maturity Date		Rate			Frequency	Rate	Frequency		Notional Amount (000’s)		Value			Premiums (Received)			Unrealized (Depreciation)
WRITTEN PUT SWAPTIONS
Option to enter into a 2-year Interest Rate Swap	Citigroup Global Markets, Inc.		03/08/22		06/08/22		1.95	%	Semi-annually	3-month USD LIBOR		Quarterly	$	712,510	$	(11,018,468	)	$	(2,137,530	)	$	(8,880,938	)
Option to enter into a 2-year Interest Rate Swap	Goldman Sachs International		03/08/22		06/08/22		1.95	%	Semi-annually	3-month USD LIBOR		Quarterly	$	944,800	$	(14,610,671	)	$	(2,834,400	)	$	(11,776,271	)
Option to enter into a 2-year Interest Rate Swap	JPMorgan Chase		03/08/22		06/08/22		1.95	%	Semi-annually	3-month USD LIBOR		Quarterly	$	1,300,000	$	(20,103,590	)	$	(4,015,050	)	$	(16,088,540	)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 212

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2022

							Received by the Fund					Paid by the Fund
Description	Counterparty		Purchase Date		Maturity Date		Rate			Frequency		Rate		Frequency		Notional Amount (000’s)		Value		Premiums (Received)		Unrealized (Depreciation)
Option to enter into a 2-year Interest Rate Swap		Morgan Stanley		03/08/22		06/08/22		1.95	%		Semi- annually		3-month USD LIBOR		Quarterly	$	1,000,000	$	(15,464,300)	$	(3,112,500)	$	(12,351,800)
TOTAL WRITTEN SWAPTIONS																$	3,957,310	$	(61,197,029)	$	(12,099,480)	$	(49,097,549)

Counterparty	Interest Rate			Trade Date		Maturity Date		Repurchase Amount		Principal Amount		Value
REVERSE REPURCHASE AGREEMENTS
Bank of America N.A.		(2.200)	%		03/31/22		04/01/22	$	(986,189,729)	$	(986,250,000)	$	(986,250,000)
Barclays Bank PLC		(0.070)	%		03/15/22		04/01/22		(1,989,938,089)		(1,990,000,000)		(1,990,000,000)
JPMorgan Chase		(2.200)	%		03/31/22		04/01/22		(987,439,653)		(987,500,000)		(987,500,000)
TOTAL REVERSE REPURCHASE AGREEMENTS												$	(3,963,750,000)

			Received by the Fund		Paid by the Fund
Description	Maturity Date		Rate	Frequency	Rate	Frequency	Notional Amount (000’s)		Value		Premiums Paid		Unrealized Appreciation (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap1		12/07/53	3-month USD LIBOR	Quarterly	1.74%	Semi-annually	$	186,740	$	19,272,035	$	—	$	19,272,035
Interest Rate Swap1		07/24/53	3-month USD LIBOR	Quarterly	1.81%	Semi-annually		85,605		8,144,032		—		8,144,032
Interest Rate Swap1		07/24/53	3-month USD LIBOR	Quarterly	1.77%	Semi-annually		171,210		17,535,722		—		17,535,722
Interest Rate Swap1		07/24/53	3-month USD LIBOR	Quarterly	1.79%	Semi-annually		126,690		12,646,158		—		12,646,158
Interest Rate Swap1		09/28/53	3-month USD LIBOR	Quarterly	1.87%	Semi-annually		190,870		15,173,573		—		15,173,573
Interest Rate Swap1		12/07/25	1.69%	Semi-annually	3-month USD LIBOR	Quarterly		2,227,980		(44,838,989)		—		(44,838,989)
Interest Rate Swap1		07/24/25	1.07%	Semi-annually	3-month USD LIBOR	Quarterly		1,024,820		(35,454,775)		—		(35,454,775)
Interest Rate Swap1		07/24/25	1.03%	Semi-annually	3-month USD LIBOR	Quarterly		2,049,640		(72,713,028)		—		(72,713,028)
Interest Rate Swap1		07/24/25	1.03%	Semi-annually	3-month USD LIBOR	Quarterly		1,515,880		(53,550,432)		—		(53,550,432)
Interest Rate Swap1		09/28/25	1.39%	Semi-annually	3-month USD LIBOR	Quarterly		2,236,795		(60,945,059)		—		(60,945,059)
TOTAL SWAPS CONTRACTS							$	9,816,230	$	(194,730,763)	$	—	$	(194,730,763)

¹ Centrally cleared.

See accompanying Notes to Financial Statements.

213 / Annual Report March 2022

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
BONDS – 97.08%
ASSET-BACKED SECURITIES — 7.20%**
Barings CLO Ltd.,
Series 2013-IA, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.05%	01/20/281,2,3	$	1,069,323	$	1,063,612
BSPRT Issuer Ltd.,
Series 2019-FL5, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.15%)
1.55%	05/15/291,2,3		1,149,642		1,146,823
Canyon Capital CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.04%	04/15/341,2,3		525,000		523,231
CLNC Ltd.,
Series 2019-FL1, Class A
(Cayman Islands)
(SOFR30A plus 1.36%)
1.41%	08/20/351,2,3		1,098,261		1,089,514
Educational Funding of the South, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.65%)
0.91%	04/25/352		511,339		509,481
FS Rialto,
Series 2019-FL1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.20%)
1.63%	12/16/361,2,3		654,305		645,765
Higher Education Funding I,
Series 2014-1, Class A
(LIBOR USD 3-Month plus 1.05%)
1.55%	05/25/341,2		184,357		184,569
Invitation Homes Trust,
Series 2018-SFR2, Class B
(LIBOR USD 1-Month plus 1.08%)
1.48%	06/17/371,2		999,843		992,857
LCM 29 Ltd.,
Series 29A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.04%	04/15/311,2,3		613,636		609,727
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.13%)
1.53%	05/15/281,2,3		469,025		468,405
LoanCore Issuer Ltd.,
Series 2018-CRE1, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.50%)
1.90%	05/15/281,2,3		1,010,000		1,006,190
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
2.14%	11/15/351,2		485,000		480,883

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Private Education Refi Loan Trust,
Series 2021-CA, Class A
1.06%	10/15/691	$	1,242,816	$	1,182,495
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
1.06%	10/27/361,2		264,337		260,062
Octagon Investment Partners XIV Ltd.,
Series 2012-1A, Class AARR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.19%	07/15/291,2,3		675,000		671,427
OHA Credit Funding 2 Ltd.,
Series 2019-2A, Class XR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.06%	04/21/341,2,3		156,250		155,816
Palmer Square Loan Funding Ltd.,
Series 2020-1A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.28%	02/20/281,2,3		495,914		493,434
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.80%)
1.28%	05/20/291,2,3		580,442		576,187
Progress Residential Trust,
Series 2020-SFR2, Class A
2.08%	06/17/371		884,000		846,244
SLM Student Loan Trust,
Series 2003-10A, Class A3
(LIBOR USD 3-Month plus 0.47%)
1.30%	12/15/271,2		29,562		29,556
SLM Student Loan Trust,
Series 2003-14, Class A6
(LIBOR USD 3-Month plus 0.30%)
0.56%	07/25/252		94,137		93,906
SLM Student Loan Trust,
Series 2007-8, Class A4
(LIBOR USD 3-Month plus 0.47%)
0.73%	01/26/262		51,667		51,572
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
1.01%	06/25/432		106,721		105,014
Tricon American Homes Trust,
Series 2017-SFR2, Class A
2.93%	01/17/361		1,050,647		1,043,299
Total Asset-Backed Securities (Cost $14,386,730)					14,230,069
CORPORATES — 26.04%*
Banking — 9.76%
Bank of America Corp.
2.88%	04/24/234		3,600,000		3,601,125

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 214

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Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Banking (continued)
Credit Suisse Group AG
(Switzerland)
2.59%	09/11/251,3,4	$	235,000	$	226,797
3.80%	06/09/233		580,000		585,626
DNB Bank ASA
(Norway)
0.86%	09/30/251,3,4		715,000		677,681
HSBC Holdings PLC
(United Kingdom)
0.98%	05/24/253,4		1,000,000		949,191
(LIBOR USD 3-Month plus 1.00%)
1.49%	05/18/242,3		795,000		796,517
ING Groep NV
(Netherlands)
3.87%	03/28/263,4		510,000		512,741
JPMorgan Chase & Co.
3.21%	04/01/234		2,400,000		2,401,246
Lloyds Banking Group PLC
(United Kingdom)
2.91%	11/07/233,4		1,345,000		1,347,292
3.51%	03/18/263,4		200,000		199,083
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		850,000		804,099
3.19%	11/28/231,3,4		380,000		380,724
Morgan Stanley
(GMTN)
3.13%	01/23/23		2,350,000		2,371,596
NatWest Group PLC
(United Kingdom)
3.50%	05/15/233,4		1,000,000		1,001,449
Santander UK Group Holdings PLC
(United Kingdom)
3.37%	01/05/243,4		1,600,000		1,605,484
4.80%	11/15/243,4		425,000		434,860
UBS AG
(Switzerland)
0.70%	08/09/241,3		610,000		578,474
Wells Fargo & Co.
(MTN)
3.75%	01/24/24		805,000		820,062
					19,294,047
Communications — 1.21%
Qwest Corp.
7.25%	09/15/25		400,000		437,000
SES SA
(Luxembourg)
3.60%	04/04/231,3		600,000		603,516
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/251		1,110,000		1,133,788
5.15%	03/20/281		200,000		210,790
					2,385,094

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Consumer Discretionary — 1.51%
GSK Consumer Healthcare Capital UK PLC
(United Kingdom)
3.13%	03/24/251,3	$	815,000	$	812,982
Imperial Brands Finance PLC
(United Kingdom)
3.75%	07/21/221,3		945,000		948,117
Pernod Ricard SA
(France)
4.25%	07/15/221,3		600,000		604,329
Reynolds American, Inc.
4.85%	09/15/23		600,000		615,014
					2,980,442
Electric — 1.27%
Alliant Energy Finance LLC
3.75%	06/15/231		725,000		733,472
American Electric Power Co., Inc.
2.03%	03/15/24		620,000		609,853
Dominion Energy, Inc.,
Series B
2.75%	09/15/22		350,000		350,798
NextEra Energy Capital Holdings, Inc.
2.94%	03/21/24		825,000		825,435
					2,519,558
Energy — 1.00%
Energy Transfer LP
5.95%	12/01/25		900,000		963,550
Southern Co. Gas Capital Corp.
3.88%	11/15/25		1,000,000		1,018,942
					1,982,492
Finance — 3.53%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.15%	02/15/243		510,000		502,231
Air Lease Corp.
2.25%	01/15/23		600,000		600,477
American Express Co.
2.25%	03/04/25		530,000		520,563
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		383,000		339,005
Capital One Financial Corp.
1.34%	12/06/244		610,000		592,107
Citigroup, Inc.
(LIBOR USD 3-Month plus 0.95%)
1.21%	07/24/232		308,000		308,538
Goldman Sachs Group, Inc. (The)
1.22%	12/06/23		1,045,000		1,020,681
JPMorgan Chase & Co.
2.95%	02/24/284		1,085,000		1,059,200
Morgan Stanley
2.48%	01/21/284		655,000		624,890
Morgan Stanley
(MTN)
0.53%	01/25/244		90,000		88,556

See accompanying Notes to Financial Statements.

215 / Annual Report March 2022

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Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Finance (continued)
Nationwide Building Society
(United Kingdom)
3.62%	04/26/231,3,4	$	540,000	$	540,115
3.77%	03/08/241,3,4		680,000		684,025
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%	03/15/231,3		100,000		100,760
					6,981,148
Health Care — 3.16%
AbbVie, Inc.
3.20%	11/06/22		600,000		604,684
3.25%	10/01/22		200,000		201,016
Baxter International, Inc.
0.87%	12/01/231		615,000		595,595
Bayer U.S. Finance II LLC
2.20%	07/15/221		600,000		600,000
3.88%	12/15/231		1,140,000		1,152,390
CVS Health Corp.
3.50%	07/20/22		600,000		601,610
Dignity Health
3.13%	11/01/22		150,000		151,148
Fresenius U.S. Finance II, Inc.
4.50%	01/15/231		585,000		592,605
Humana, Inc.
0.65%	08/03/23		610,000		595,309
3.15%	12/01/22		600,000		603,893
Viatris, Inc.
1.13%	06/22/22		550,000		549,974
					6,248,224
Industrials — 0.94%
Berry Global, Inc.
0.95%	02/15/24		635,000		608,066
Boeing Co. (The)
1.43%	02/04/24		375,000		362,977
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.38%)
0.70%	05/05/262		142,000		139,810
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.90%	03/22/231,3		750,000		758,934
					1,869,787
Information Technology — 0.91%
Netflix, Inc.
3.63%	06/15/251		490,000		493,214
NXP BV/NXP Funding LLC
(Netherlands)
4.63%	06/01/231,3		220,000		223,290
Skyworks Solutions, Inc.
0.90%	06/01/23		505,000		493,989
VMware, Inc.
1.00%	08/15/24		610,000		581,654
					1,792,147

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Insurance — 0.95%
Athene Global Funding
2.51%	03/08/241	$	135,000	$	133,019
(SOFR Rate plus 0.70%)
0.91%	05/24/241,2		500,000		493,794
Nationwide Mutual Insurance Co.
3.12%	12/15/241,4		670,000		670,462
Trinity Acquisition PLC
(United Kingdom)
4.63%	08/15/233		570,000		583,287
					1,880,562
Materials — 0.19%
International Flavors & Fragrances, Inc.
0.70%	09/15/221		375,000		373,293
Real Estate Investment Trust (REIT) — 1.57%
American Campus Communities Operating Partnership LP
3.75%	04/15/23		672,000		677,952
GLP Capital LP/GLP Financing II, Inc.
5.38%	11/01/23		1,000,000		1,026,875
Kilroy Realty LP
3.45%	12/15/24		525,000		526,659
SL Green Operating Partnership LP
3.25%	10/15/22		870,000		870,323
					3,101,809
Transportation — 0.04%
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%	04/19/22		75,103		75,211
Northwest Airlines Pass-Through Trust,
Series 2001-1, Class A-1
7.04%	04/01/22		12,371		12,433
					87,644
Total Corporates (Cost $52,463,745)					51,496,247
MORTGAGE-BACKED — 35.51%**
Non-Agency Commercial Mortgage-Backed — 7.39%
AREIT Trust,
Series 2020-CRE4, Class A
(Cayman Islands)
(SOFR30A plus 2.73%)
2.78%	04/15/371,2,3		153,483		153,435
Barclays Commercial Mortgage Securities Mortgage Trust,
Series 2017-C1, Class A2
3.19%	02/15/50		79,265		79,157
BXMT Ltd.,
Series 2020-FL2, Class A
(Cayman Islands)
(SOFR30A plus 1.01%)
1.06%	02/15/381,2,3		575,000		572,167
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%	05/10/58		369,052		369,806

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 216

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Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2016-C2, Class A2
1.85%	08/10/49	$	407,000	$	402,569
Commercial Mortgage Trust,
Series 2013-CR9, Class ASB
3.83%	07/10/45		150,842		151,996
Commercial Mortgage Trust,
Series 2013-LC6, Class XA (IO)
1.26%	01/10/464		2,416,840		10,325
Commercial Mortgage Trust,
Series 2014-CR20, Class A3
3.33%	11/10/47		451,628		449,563
DBWF Mortgage Trust,
Series 2018-AMXP, Class A
3.75%	05/05/351,4		1,500,000		1,502,410
Great Wolf Trust,
Series 2019-WOLF, Class A
(LIBOR USD 1-Month plus 1.03%)
1.43%	12/15/361,2		850,000		839,640
GS Mortgage Securities Trust,
Series 2012-ALOH, Class A
3.55%	04/10/341		1,571,000		1,570,313
GS Mortgage Securities Trust,
Series 2013-GC14, Class A4
3.96%	08/10/46		706,454		704,584
Irvine Core Office Trust,
Series 2013-IRV, Class A1
2.07%	05/15/481		252,381		252,616
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-C6, Class A3
3.51%	05/15/45		83,235		83,137
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-C16, Class A3
3.88%	12/15/46		597,228		597,722
LoanCore Issuer Ltd.,
Series 2019-CRE3, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.05%)
1.45%	04/15/341,2,3		661,930		659,260
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XA (IO)
0.57%	10/15/464		2,680,822		16,381
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C15, Class A3
3.77%	04/15/47		93,809		94,349
MSCG Trust,
Series 2018-SELF, Class A
(LIBOR USD 1-Month plus 0.90%)
1.30%	10/15/371,2		1,300,000		1,290,545
SREIT Trust,
Series 2021-MFP, Class A
(LIBOR USD 1-Month plus 0.73%)
1.13%	11/15/381,2		1,130,000		1,108,336

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
VMC Finance LLC,
Series 2019-FL3, Class A
(LIBOR USD 1-Month plus 1.10%)
1.54%	09/15/361,2	$	273,976	$	273,068
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(LIBOR USD 1-Month plus 0.88%)
1.27%	12/15/341,2		1,100,000		1,085,869
Wells Fargo Commercial Mortgage Trust,
Series 2018-C47, Class A2
4.36%	09/15/61		868,000		883,934
WF-RBS Commercial Mortgage Trust,
Series 2012-C7, Class A2
3.43%	06/15/45		194,460		194,243
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
1.85%	11/15/451,4		1,258,946		4,368
WF-RBS Commercial Mortgage Trust,
Series 2014-C19, Class A3
3.66%	03/15/47		1,258,287		1,258,964
					14,608,757
Non-Agency Mortgage-Backed — 8.39%
Aames Mortgage Investment Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.56%)
1.02%	04/25/362		51,754		51,689
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/22)
7.40%	06/25/32		13,556		13,158
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
2.72%	05/25/354		21,901		21,429
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/22)
2.86%	07/25/591		183,607		181,437
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		18,170		18,225
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R10, Class M3
(LIBOR USD 1-Month plus 0.68%)
1.13%	01/25/362		616,147		610,980
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-R9, Class M1
(LIBOR USD 1-Month plus 0.71%)
1.16%	11/25/352		969,377		962,290
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		2,701		2,667
Bear Stearns ALT-A Trust,
Series 2005-2, Class 1M1
(LIBOR USD 1-Month plus 0.75%)
1.21%	03/25/352		173,515		173,206

See accompanying Notes to Financial Statements.

217 / Annual Report March 2022

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2007-AMC4, Class A2D
(LIBOR USD 1-Month plus 0.27%)
0.73%	05/25/372	$	298,371	$	285,971
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41
2.66%	02/25/344		212		214
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class M2
(LIBOR USD 1-Month plus 0.44%)
0.89%	11/25/362		740,786		734,571
Countrywide Asset-Backed Certificates Trust,
Series 2005-11, Class MV3
(LIBOR USD 1-Month plus 0.80%)
1.25%	02/25/362		35,335		35,323
Countrywide Asset-Backed Certificates Trust,
Series 2005-4, Class MV5
(LIBOR USD 1-Month plus 1.01%)
1.46%	10/25/352		1,000,323		1,008,413
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2002-AR31, Class 4A2
2.25%	11/25/324		17,089		17,025
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(LIBOR USD 1-Month plus 0.74%)
1.19%	07/19/442		82,702		79,344
Encore Credit Receivables Trust,
Series 2005-3, Class M4
(LIBOR USD 1-Month plus 0.90%)
1.36%	10/25/352		1,250,000		1,251,354
First Franklin Mortgage Loan Trust,
Series 2005-FF8, Class M2
(LIBOR USD 1-Month plus 0.78%)
1.24%	09/25/352		847,787		847,125
First Franklin Mortgage Loan Trust,
Series 2005-FF9, Class A1
(LIBOR USD 1-Month plus 0.58%)
1.04%	10/25/352		308,408		308,708
First Franklin Mortgage Loan Trust,
Series 2006-FFH1, Class M1
(LIBOR USD 1-Month plus 0.56%)
1.01%	01/25/362		776,032		759,064
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%	06/25/28		1		1
GSAA Home Equity Trust,
Series 2005-MTR1, Class A4
(LIBOR USD 1-Month plus 0.74%)
1.20%	10/25/352		222,490		222,719
GSAMP Trust,
Series 2005-HE5, Class M3
(LIBOR USD 1-Month plus 0.69%)
1.15%	11/25/352		370,259		368,079

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAMP Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.78%	05/25/462	$	382,796	$	381,852
HomeBanc Mortgage Trust,
Series 2005-4, Class A1
(LIBOR USD 1-Month plus 0.54%)
1.00%	10/25/352		188,917		189,041
HSI Asset Securitization Corp. Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.54%)
1.00%	12/25/352		142,698		141,860
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1
(LIBOR USD 1-Month plus 0.78%)
1.24%	12/25/342		284,222		237,831
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
2.93%	10/25/344		77,085		75,296
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class A5
(LIBOR USD 1-Month plus 0.24%)
0.70%	05/25/372		1,860,924		1,852,989
JPMorgan Mortgage Trust,
Series 2005-A2, Class 9A1
2.13%	04/25/354		71,339		72,013
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
2.61%	10/25/344		89,836		89,836
MASTR Adjustable Rate Mortgages Trust,
Series 2007-1, Class I2A1
(LIBOR USD 1-Month plus 0.32%)
0.78%	01/25/472		536,561		525,994
MASTR Asset-Backed Securities Trust,
Series 2005-OPT1, Class M3
(LIBOR USD 1-Month plus 0.69%)
1.15%	03/25/352		261,250		261,449
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
2.41%	10/25/324		18,388		18,914
Merrill Lynch Mortgage Investors Trust,
Series 2003-A1, Class 2A
(LIBOR USD 12-Month plus 1.63%)
2.96%	12/25/322		137,501		136,236
MortgageIT Trust,
Series 2005-1, Class 1A1
(LIBOR USD 1-Month plus 0.64%)
1.10%	02/25/352		535,960		535,423
Nomura Resecuritization Trust,
Series 2014-8R, Class 2A1
3.00%	09/26/351,4		218,363		217,795
Nomura Resecuritization Trust,
Series 2015-9R, Class 2A1 (STEP-reset date 05/26/22)
3.00%	05/25/361		251,366		250,770

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 218

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Option One Mortgage Loan Trust Asset-Backed Certificates 2005-5,
Series 2005-5, Class M1
(LIBOR USD 1-Month plus 0.59%)
1.04%	12/25/352	$	388,222	$	390,476
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WHQ3, Class M4
(LIBOR USD 1-Month plus 0.95%)
1.40%	06/25/352		208,381		208,824
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%	11/25/31		34,570		11
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.95%	04/25/362		447,590		447,544
Residential Asset Securities Corp.,
Series 2006-KS7, Class A4
(LIBOR USD 1-Month plus 0.24%)
0.70%	09/25/362		381,052		380,177
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
2.84%	12/25/344		56,138		54,457
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(LIBOR USD 1-Month plus 0.68%)
1.13%	06/25/352		865,563		861,655
Soundview Home Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.60%)
1.06%	02/25/362		141,806		141,946
Soundview Home Loan Trust,
Series 2006-OPT3, Class 2A3
(LIBOR USD 1-Month plus 0.34%)
0.80%	06/25/362		152,507		152,439
Structured Asset Investment Loan Trust,
Series 2005-HE3, Class M1
(LIBOR USD 1-Month plus 0.72%)
1.18%	09/25/352		257,587		256,100
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-EQ1A, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.59%	07/25/361,2		214,504		212,737
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-OPT1, Class A1
(LIBOR USD 1-Month plus 0.18%)
0.64%	04/25/362		426,862		415,930
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%	08/25/341,5,6		1,144,556		13,941
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
1.54%	06/25/422		10,101		9,876

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
2.57%	06/25/334	$	32,757	$	32,442
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(LIBOR USD 1-Month plus 0.50%)
0.96%	06/25/352		94,386		83,461
					16,602,307
U.S. Agency Commercial Mortgage-Backed — 2.71%
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K021, Class X1 (IO)
1.38%	06/25/224		6,713,589		3,166
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ24, Class A1
2.28%	05/25/26		74,433		74,696
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ26, Class A1
2.14%	07/25/25		487,219		486,086
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ28, Class A1
1.77%	02/25/25		147,409		146,756
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ29, Class A1
0.74%	01/25/26		591,651		569,757
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ31, Class A1
0.57%	05/25/26		727,301		700,171
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ32, Class A1
0.52%	06/25/25		927,366		892,292
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ34, Class A1
0.68%	06/25/26		619,176		581,271
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS07, Class X (IO)
0.64%	09/25/254		3,413,082		74,088
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
0.88%	05/25/442		133,823		133,830
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q010, Class APT1
2.61%	04/25/464		80,569		82,488

See accompanying Notes to Financial Statements.

219 / Annual Report March 2022

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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%	04/16/414	$	72,774	$	72,950
Ginnie Mae,
Series 2008-92, Class E
5.56%	03/16/444		120,079		120,952
Ginnie Mae,
Series 2010-159, Class D
4.30%	09/16/444		253,031		252,707
Ginnie Mae,
Series 2011-165, Class IO (IO)
0.00%	10/16/514		2,752,947		99
Ginnie Mae,
Series 2011-58, Class C
3.87%	08/16/514		87,135		87,398
Ginnie Mae,
Series 2011-92, Class C
3.74%	04/16/524		1,054,072		1,038,275
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.52%	01/16/534		2,087,804		35,560
					5,352,542
U.S. Agency Mortgage-Backed — 17.02%
Fannie Mae Pool 254548
5.50%	12/01/32		60,176		65,946
Fannie Mae Pool 555098
(LIBOR USD 12-Month plus 1.51%)
1.76%	11/01/322		11,202		11,208
Fannie Mae Pool 555424
5.50%	05/01/33		39,779		42,644
Fannie Mae Pool 567002
8.00%	05/01/23		1,250		1,260
Fannie Mae Pool 655133
7.00%	08/01/32		5,758		5,949
Fannie Mae Pool 655151
7.00%	08/01/32		4,886		4,961
Fannie Mae Pool 762525
6.50%	11/01/33		13,565		14,036
Fannie Mae Pool 770900
(LIBOR USD 12-Month plus 1.56%)
1.81%	04/01/342		59,535		60,837
Fannie Mae Pool AD0538
6.00%	05/01/24		8,522		8,742
Fannie Mae Pool AE0443
6.50%	10/01/39		45,619		50,269
Fannie Mae Pool AL0851
6.00%	10/01/40		40,773		45,257
Fannie Mae Pool AM4580
3.43%	10/01/23		464,309		468,846
Fannie Mae REMICS,
Series 1993-80, Class S
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap)
10.32%	05/25/232		109		113

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap)
8.50%	09/25/312	$	763	$	813
Fannie Mae REMICS,
Series 2001-60, Class OF
(LIBOR USD 1-Month plus 0.95%)
1.41%	10/25/312		58,838		60,005
Fannie Mae REMICS,
Series 2002-30, Class FB
(LIBOR USD 1-Month plus 1.00%)
1.46%	08/25/312		62,756		63,753
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap)
9.80%	01/25/342		8,472		8,683
Fannie Mae REMICS,
Series 2004-60, Class FW
(LIBOR USD 1-Month plus 0.45%)
0.91%	04/25/342		182,469		183,273
Fannie Mae REMICS,
Series 2004-96, Class MT
(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap)
7.00%	12/25/342		10,049		10,206
Fannie Mae REMICS,
Series 2005-73, Class DF
(LIBOR USD 1-Month plus 0.25%)
0.71%	08/25/352		100,561		100,341
Fannie Mae REMICS,
Series 2007-68, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap)
6.24%	07/25/372		61,717		10,348
Fannie Mae REMICS,
Series 2010-109, Class PF
(LIBOR USD 1-Month plus 0.40%)
0.86%	10/25/402		40,878		41,074
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap)
5.77%	11/25/362		234,993		37,465
Fannie Mae REMICS,
Series 2010-95, Class FB
(LIBOR USD 1-Month plus 0.40%)
0.86%	09/25/402		57,207		57,689
Fannie Mae REMICS,
Series 2011-47, Class GF
(LIBOR USD 1-Month plus 0.57%)
1.03%	06/25/412		791,176		798,296
Fannie Mae REMICS,
Series 2012-19, Class FP
(LIBOR USD 1-Month plus 0.50%)
0.96%	12/25/392		26,969		26,969
Fannie Mae REMICS,
Series 2018-79, Class FA
(LIBOR USD 1-Month plus 0.25%)
0.71%	11/25/482		52,116		51,739

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 220

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2019-79, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.96%	01/25/502	$	110,687	$	111,394
Fannie Mae REMICS,
Series 2020-10, Class FA
(LIBOR USD 1-Month plus 0.50%)
0.96%	03/25/502		377,600		379,919
Freddie Mac REMICS,
Series 1526, Class L
6.50%	06/15/23		278		285
Freddie Mac REMICS,
Series 2368, Class AF
(LIBOR USD 1-Month plus 0.95%)
1.35%	10/15/312		54,451		55,495
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
1.00%	10/15/332		396,507		401,903
Freddie Mac REMICS,
Series 2990, Class LE
(LIBOR USD 1-Month plus 0.32%)
0.72%	10/15/342		87,444		87,474
Freddie Mac REMICS,
Series 3085, Class FW
(LIBOR USD 1-Month plus 0.70%)
1.10%	08/15/352		251,043		254,905
Freddie Mac REMICS,
Series 3300, Class FA
(LIBOR USD 1-Month plus 0.30%)
0.70%	08/15/352		233,637		234,266
Freddie Mac REMICS,
Series 3325, Class NF
(LIBOR USD 1-Month plus 0.30%)
0.70%	08/15/352		46,934		47,061
Freddie Mac REMICS,
Series 3792, Class DF
(LIBOR USD 1-Month plus 0.40%)
0.80%	11/15/402		24,890		24,929
Freddie Mac REMICS,
Series 3845, Class FQ
(LIBOR USD 1-Month plus 0.25%)
0.65%	02/15/262		2,213		2,212
Freddie Mac REMICS,
Series 3879, Class MF
(LIBOR USD 1-Month plus 0.35%)
0.75%	09/15/382		2,404		2,404
Freddie Mac REMICS,
Series 3895, Class BF
(LIBOR USD 1-Month plus 0.50%)
0.90%	07/15/412		154,435		156,084
Freddie Mac REMICS,
Series 3907, Class FM
(LIBOR USD 1-Month plus 0.35%)
0.75%	05/15/262		30,465		30,536

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3940, Class PF
(LIBOR USD 1-Month plus 0.35%)
0.75%	05/15/402	$	5,639	$	5,639
Freddie Mac REMICS,
Series 3946, Class FD
(LIBOR USD 1-Month plus 0.35%)
0.75%	04/15/412		108,108		108,259
Freddie Mac REMICS,
Series 3946, Class FG
(LIBOR USD 1-Month plus 0.35%)
0.75%	10/15/392		43,807		43,825
Freddie Mac Strips,
Series 263, Class F5
(LIBOR USD 1-Month plus 0.50%)
0.90%	06/15/422		172,875		173,101
Ginnie Mae (TBA)
2.00%	04/20/52		1,050,000		998,787
2.50%	04/20/52		4,225,000		4,095,970
Ginnie Mae I Pool BW5284
3.55%	10/15/50		1,171,101		1,171,101
Ginnie Mae II Pool 80546
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.75%	10/20/312		5,676		5,812
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.88%	06/20/322		70,625		72,860
Ginnie Mae II Pool 80614
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.63%	07/20/322		6,974		7,157
Ginnie Mae II Pool 80687
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.88%	04/20/332		52,336		53,010
Ginnie Mae II Pool 8339
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.75%	12/20/232		3,019		3,032
Ginnie Mae II Pool 8684
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.63%	08/20/252		9,715		9,887
Ginnie Mae II Pool MA0331
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
1.63%	08/20/422		43,027		44,514
Ginnie Mae,
Series 2002-72, Class FB
(LIBOR USD 1-Month plus 0.40%)
0.85%	10/20/322		57,410		57,602

See accompanying Notes to Financial Statements.

221 / Annual Report March 2022

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2002-72, Class FC
(LIBOR USD 1-Month plus 0.40%)
0.85%	10/20/322	$	84,686	$	84,969
Ginnie Mae,
Series 2004-2, Class FW
(LIBOR USD 1-Month plus 1.40%)
1.63%	01/16/342		329,088		335,505
Ginnie Mae,
Series 2009-92, Class FC
(LIBOR USD 1-Month plus 0.80%)
1.23%	10/16/392		79,046		80,738
Ginnie Mae,
Series 2010-19, Class FD
(LIBOR USD 1-Month plus 0.45%)
0.88%	07/16/392		28,072		28,212
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%	06/16/372		1,161,881		10,508
UMBS (TBA)
2.00%	05/01/52		3,225,000		2,988,340
2.50%	05/01/52		12,500,000		11,902,037
3.00%	04/01/52		500,000		489,141
3.00%	05/01/52		7,025,000		6,858,156
					33,647,751
Total Mortgage-Backed (Cost $71,102,451)					70,211,357
MUNICIPAL BONDS — 0.86%*
Colorado — 0.48%
City & County of Denver Airport System Revenue Bonds,
Series C
0.88%	11/15/23		965,000		939,787
Florida — 0.38%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
2.32%	10/01/22		755,000		758,347
Total Municipal Bonds (Cost $1,726,217)					1,698,134
U.S. TREASURY SECURITIES — 27.47%
U.S. Agency Discount Notes — 1.28%
U.S. International Development Finance Corp.,
Series 2
1.49%	08/15/31		2,680,000		2,521,924
U.S. Treasury Notes — 26.19%
U.S. Treasury Floating Rate Notes
(US Treasury Bill Yield 3-Month plus 0.11%)
0.98%	04/30/222		10,000,000		10,002,132
U.S. Treasury Notes
0.88%	01/31/24		3,479,000		3,390,870
1.50%	02/29/24		10,887,000		10,729,649
1.75%	03/15/25		27,933,000		27,355,960

Issues	Maturity     Date	Principal   Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
1.88%	02/28/27	$	90,000	$	87,623
2.25%	03/31/24		225,000		224,701
2.50%	03/31/27		5,000		5,012
					51,795,947
Total U.S. Treasury Securities (Cost $54,736,431)					54,317,871
Total Bonds — 97.08%
(Cost $194,415,574)					191,953,678
Issues		Shares		Value
Purchased Options - 0.01%
(Cost $89,156)					23,588
Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 17.80%
Money Market Funds — 4.60%
Dreyfus Government Cash Management Fund
0.19%7			3,013,000		3,013,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%7			6,084,000		6,084,000
					9,097,000
U.S. Agency Discount Notes — 3.61%
Federal Home Loan Bank
1.04%8	06/14/24		2,430,000		2,352,469
1.20%8	12/23/24		3,660,000		3,532,882
3.22%	09/04/24		1,270,000		1,248,018
					7,133,369
U.S. Treasury Bills — 9.59%
U.S. Treasury Bills
0.07%8	04/28/22		7,000,000		6,999,468
0.08%8	05/26/22		5,000,000		4,997,708
0.18%8	06/23/22		2,000,000		1,997,856
0.61%8	08/25/22		5,000,000		4,982,359
					18,977,391
Total Short-Term Investments
(Cost $35,442,933)					35,207,760
Total Investments Before Written Options - 114.89%
(Cost $229,947,663)					227,185,026
Written Options - (0.32)%
(Cost $(386,568))					(630,775	)
Liabilities in Excess of Other Assets - (14.57)%					(28,819,003	)
Net Assets - 100.00%				$	197,735,248

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 222

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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 $13,941, which is 0.01% of total net assets.

⁷ Represents the current yield as of March 31, 2022.

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.

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

(CLO): Collateralized Loan Obligation

(GMTN): Global Medium-Term Note

(IO): Interest Only

(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

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		8		06/30/22	$	1,695,375	$	(20,828)	$	(20,828)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note		167		06/30/22		(19,152,813)		500,111		500,111
U.S. Treasury Ten-Year Ultra Bond		44		06/21/22		(5,960,625)		195,704		195,704
U.S. Treasury Ultra Bond		11		06/21/22		(1,948,375)		70,053		70,053
						(27,061,813)		765,868		765,868
TOTAL FUTURES CONTRACTS					$	(25,366,438)	$	745,040	$	745,040

Reference Obligation/Index	FinancingRate Paid bythe Fund	PaymentFrequency	ImpliedCreditSpread  at 03/31/221	Counterparty	ExpirationDate		NotionalAmount (000’s)2		Value3		PremiumsPaid		UnrealizedAppreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4
Berry Global, Inc., 5.63%, due 07/15/27	5.00%	3 Months	175	Credit Suisse First Boston International		12/20/23	$	390	$	21,740	$	20,631	$	1,109

¹ An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

² The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³ The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴ If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

See accompanying Notes to Financial Statements.

223 / Annual Report March 2022

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
PURCHASED CALL OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		40		$98.00		12/19/22	$	292,020	$	18,000
IMM Eurodollar 1-Year MIDCV Future Options		30		98.38		09/16/22		217,980		2,438
IMM Eurodollar 1-Year MIDCV Future Options		63		98.75		09/16/22		3,051,720		3,150
TOTAL PURCHASED OPTIONS							$	3,561,720	$	23,588
Description	Number of contracts		Exercise Price		Expiration Date		Notional Amount		Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
IMM Eurodollar 1-Year MIDCV Future Options		145		$99.00		09/16/22	$	(6,321,420)	$	(5,437)
90-Day Euro Dollar Futures		40		98.25		12/19/22		(292,020)		(12,500)
IMM Eurodollar 2-Year MIDCV Future Options		34		97.63		12/16/22		(2,067,519)		(23,375)
IMM Eurodollar 2-Year MIDCV Future Options		70		97.88		12/16/22		(4,256,656)		(32,813)
								(12,937,615)		(74,125)
WRITTEN PUT OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		40		$97.25		12/19/22	$	(292,020)	$	(39,500)
IMM Eurodollar 1-Year MIDCV Future Options		184		97.63		09/16/22		(891,296)		(395,600)
IMM Eurodollar 2-Year MIDCV Future Options		104		97.38		12/16/22		(6,324,175)		(121,550)
								(7,507,491)		(556,650)
TOTAL WRITTEN OPTIONS							$	(20,445,106)	$	(630,775)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 224

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
BONDS – 100.05%
ASSET-BACKED SECURITIES — 14.13%**
321 Henderson Receivables VI LLC,
Series 2010-1A, Class B
9.31%	07/15/611	$	225,324	$	249,646
A10 Bridge Asset Financing,
Series 2021-D, Class A1FL
(SOFR30A plus 1.45%)
1.50%	10/01/38†,1,2		7,670,000		7,669,408
ACAM Ltd.,
Series 2019-FL1, Class B
(Cayman Islands)
(SOFR30A plus 2.01%)
2.06%	11/17/341,2,3		8,800,000		8,674,842
ACRES Commercial Realty Ltd.,
Series 2021-FL1, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.60%)
2.04%	06/15/361,2,3		9,831,000		9,725,797
AGL CLO 13 Ltd.,
Series 2021-13A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
1.32%	10/20/341,2,3		12,045,000		11,921,539
AIG CLO Ltd.,
Series 2018-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.95%	04/20/321,2,3		15,800,000		15,702,988
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.96%	01/21/321,2,3		5,400,000		5,361,120
AMSR Trust,
Series 2020-SFR1, Class G
4.31%	04/17/371		8,503,000		8,216,300
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.06%)
1.31%	04/20/311,2,3		5,000,000		4,968,500
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.95%)
1.20%	07/20/291,2,3		5,342,431		5,312,781
Bayview Commercial Asset Trust,
Series 2004-2, Class A
(LIBOR USD 1-Month plus 0.65%)
1.10%	08/25/341,2		555,558		552,656
Bayview Commercial Asset Trust,
Series 2004-3, Class A1
(LIBOR USD 1-Month plus 0.56%)
1.01%	01/25/351,2		326,390		324,506

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(LIBOR USD 1-Month plus 0.45%)
0.91%	04/25/351,2	$	594,999	$	579,166
Blackrock Rainier CLO VI Ltd.,
Series 2021-6A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.70%)
1.95%	04/20/331,2,3		10,000,000		9,963,050
BlueMountain CLO XXX Ltd.,
Series 2020-30A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.37%)
1.59%	04/15/351,2,3		10,050,000		10,006,282
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
1.75%	07/20/291,2,3		5,800,000		5,707,954
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2
(LIBOR USD 3-Month plus 0.80%)
1.30%	02/25/302		11,521		11,526
BSPRT Issuer Ltd.,
Series 2021-FL7, Class A
(Cayman Islands)
(LIBOR USD 1-Month plus 1.32%)
1.72%	12/15/381,2,3		9,400,000		9,287,354
Carvana Auto Receivables Trust,
Series 2021-N3, Class R
0.00%	06/12/281		13,500		4,983,935
Carvana Auto Receivables Trust,
Series 2021-N4, Class R
0.00%	09/12/281		8,600		2,634,748
Carvana Auto Receivables Trust,
Series 2021-P4, Class R
0.00%	09/11/281		14,200		8,104,590
Carvana Auto Receivables Trust,
Series 2022-N1, Class R
0.00%	12/11/28†,1		71,000		13,029,206
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.13%)
1.39%	10/25/341,2,3		10,000,000		9,909,570
CF Hippolyta, LLC,
Series 2020-1, Class B1
2.28%	07/15/601		7,364,028		6,953,368
CIT Education Loan Trust,
Series 2007-1, Class B
(LIBOR USD 3-Month plus 0.30%)
1.27%	06/25/421,2		1,798,881		1,646,861
CoreVest American Finance Trust,
Series 2019-1, Class XA (IO)
2.16%	03/15/521,4		14,731,915		616,289

See accompanying Notes to Financial Statements.

225 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.04%	10/15/521,4	$	5,737,625	$	316,256
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%	03/15/501		5,197,000		4,802,868
CoreVest American Finance Trust,
Series 2020-3, Class XA (IO)
3.69%	08/15/531,4		16,502,790		1,992,959
CoreVest American Finance Trust,
Series 2020-4, Class XA (IO)
3.87%	12/15/521,4		24,498,274		2,673,739
CoreVest American Finance Trust,
Series 2020-4, Class XB (IO)
2.83%	12/15/521,4		12,500,000		1,388,071
CoreVest American Finance Trust,
Series 2021-3, Class XA (IO)
2.40%	10/15/541,4		75,075,924		6,244,226
DataBank Issuer,
Series 2021-1A, Class A2
2.06%	02/27/511		9,565,000		8,855,857
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.82%)
1.33%	11/15/281,2,3		6,707,448		6,663,648
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(LIBOR USD 3-Month plus 1.25%)
1.49%	01/15/341,2,3		8,000,000		7,952,424
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(LIBOR USD 1-Month plus 1.35%)
1.81%	07/26/661,2		13,824,020		14,070,862
ECMC Group Student Loan Trust,
Series 2017-2A, Class A
(LIBOR USD 1-Month plus 1.05%)
1.51%	05/25/671,2		12,937,866		13,028,511
Edsouth Indenture No. 3 LLC,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.73%)
1.19%	04/25/391,2		74,187		73,992
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2
(LIBOR USD 1-Month plus 0.80%)
1.26%	04/26/321,2		2,520,494		2,503,467
Educational Funding of the South, Inc.,
Series 2012-1, Class A
(LIBOR USD 1-Month plus 1.05%)
1.51%	03/25/362		44,943		44,861
EFS Volunteer No. 2 LLC,
Series 2012-1, Class A2
(LIBOR USD 1-Month plus 1.35%)
1.81%	03/25/361,2		1,814,437		1,831,015

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3	$	589,737	$	581,111
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
0.95%	08/25/422		319,113		299,963
GoldenTree Loan Management U.S. CLO 1 Ltd.,
Series 2021-9A, Class B
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
1.75%	01/20/331,2,3		4,075,000		4,000,957
Golub Capital Partners CLO 54M L.P,
Series 2021-54A, Class A
(Cayman Islands)
(LIBOR USD 3-Month plus 1.53%)
1.85%	08/05/331,2,3		10,150,000		10,088,501
J.G. Wentworth XXXVII LLC,
Series 2016-1A, Class A
3.41%	06/15/671		5,628,387		5,598,548
J.G. Wentworth XXXVIII LLC,
Series 2017-1A, Class A
3.99%	08/16/601		3,145,120		3,252,079
KREF Ltd.,
Series 2021-FL2, Class AS
(Cayman Islands)
(LIBOR USD 1-Month plus 1.30%)
1.74%	02/15/391,2,3		6,900,000		6,767,779
LCM XXI LP,
Series 21A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.88%)
1.13%	04/20/281,2,3		1,359,158		1,354,592
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 0.98%)
1.23%	03/20/301,2,3		15,000,000		14,912,940
M360 LLC,
Series 2019-CRE2, Class A
(Cayman Islands)
(SOFR30A plus 1.51%)
1.56%	09/15/341,2,3		1,090,002		1,072,657
Magnetite XXI Ltd.,
Series 2019-21A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.35%)
1.60%	04/20/341,2,3		8,000,000		7,769,440
MF1 Ltd.,
Series 2020-FL4, Class B
(CME Term SOFR 1-Month plus 2.86%)
3.19%	11/15/351,2		11,579,000		11,478,299
MF1 Ltd.,
Series 2020-FL4, Class D
(CME Term SOFR 1-Month plus 4.21%)
4.54%	11/15/351,2		4,850,000		4,798,488

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 226

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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%)
1.92%	07/16/361,2,3	$	6,684,000	$	6,578,499
Nelnet Student Loan Trust,
Series 2006-2, Class B
(LIBOR USD 3-Month plus 0.20%)
0.46%	01/25/382		2,542,952		2,296,522
Nelnet Student Loan Trust,
Series 2007-1, Class A3
(LIBOR USD 3-Month plus 0.07%)
0.57%	05/27/252		7,758		7,752
Nelnet Student Loan Trust,
Series 2012-5A, Class A
(LIBOR USD 1-Month plus 0.60%)
1.06%	10/27/361,2		78,816		77,541
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(LIBOR USD 1-Month plus 0.95%)
1.41%	11/25/481,2		1,865,000		1,858,159
Nelnet Student Loan Trust,
Series 2015-1A, Class A
(LIBOR USD 1-Month plus 0.59%)
1.05%	04/25/461,2		1,614,931		1,585,696
Nelnet Student Loan Trust,
Series 2015-3A, Class A3
(LIBOR USD 1-Month plus 0.90%)
1.36%	06/25/541,2		11,000,000		10,963,583
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.16%)
1.40%	07/15/361,2,3		11,700,000		11,602,598
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
2.15%	02/24/371,2,3		11,000,000		10,954,053
OHA Credit Funding 8 Ltd.,
Series 2021-8A, Class B1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.50%)
1.74%	01/18/341,2,3		6,650,000		6,509,220
Palmer Square CLO Ltd.,
Series 2020-3A, Class A1AR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.08%)
1.59%	11/15/311,2,3		7,200,000		7,151,544
Palmer Square Loan Funding Ltd.,
Series 2019-4A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 0.90%)
1.16%	10/24/271,2,3		1,492,077		1,486,124

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%)
1.80%	04/20/281,2,3	$	3,785,000	$	3,784,092
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(LIBOR USD 3-Month plus 1.75%)
2.00%	01/20/341,2,3		5,000,000		4,966,995
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(LIBOR USD 3-Month plus 1.60%)
1.84%	10/15/321,2,3		3,890,000		3,850,983
Sabey Data Center Issuer LLC,
Series 2020-1, Class A2
3.81%	04/20/451		7,905,000		7,859,946
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/375,6		9,685,733		9,140,910
SLC Student Loan Trust,
Series 2004-1, Class B
(LIBOR USD 3-Month plus 0.29%)
0.80%	08/15/312		382,315		355,780
SLC Student Loan Trust,
Series 2008-1, Class A4A
(LIBOR USD 3-Month plus 1.60%)
2.43%	12/15/322		2,112,414		2,139,229
SLM Student Loan EDC Repackaging Trust,
Series 2013-M1, Class M1R
0.00%	10/28/291		6,250		5,223,919
SLM Student Loan Trust,
Series 2003-12, Class B
(LIBOR USD 3-Month plus 0.59%)
1.42%	12/15/682		3,644,069		3,505,610
SLM Student Loan Trust,
Series 2003-4, Class A5D
(LIBOR USD 3-Month plus 0.75%)
1.58%	03/15/331,2		1,729,717		1,696,169
SLM Student Loan Trust,
Series 2003-7, Class B
(LIBOR USD 3-Month plus 0.57%)
1.40%	09/15/392		2,563,751		2,417,541
SLM Student Loan Trust,
Series 2004-10, Class B
(LIBOR USD 3-Month plus 0.37%)
0.63%	01/25/402		7,622,683		7,253,547
SLM Student Loan Trust,
Series 2004-2, Class B
(LIBOR USD 3-Month plus 0.47%)
0.73%	07/25/392		452,097		432,590
SLM Student Loan Trust,
Series 2005-3, Class B
(LIBOR USD 3-Month plus 0.15%)
0.41%	04/25/402		2,487,763		2,316,110

See accompanying Notes to Financial Statements.

227 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2006-8, Class B
(LIBOR USD 3-Month plus 0.23%)
0.49%	01/25/412	$	2,966,206	$	2,758,879
SLM Student Loan Trust,
Series 2007-2, Class B
(LIBOR USD 3-Month plus 0.17%)
0.43%	07/25/252		12,800,000		11,871,020
SLM Student Loan Trust,
Series 2007-7, Class B
(LIBOR USD 3-Month plus 0.75%)
1.01%	10/27/702		2,195,000		2,018,070
SLM Student Loan Trust,
Series 2007-8, Class B
(LIBOR USD 3-Month plus 1.00%)
1.26%	04/27/832		4,281,635		4,176,523
SLM Student Loan Trust,
Series 2008-2, Class A3
(LIBOR USD 3-Month plus 0.75%)
1.01%	04/25/232		11,332,096		11,140,683
SLM Student Loan Trust,
Series 2008-2, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	01/25/832		1,000,000		951,460
SLM Student Loan Trust,
Series 2008-3, Class B
(LIBOR USD 3-Month plus 1.20%)
1.46%	04/26/832		710,000		653,823
SLM Student Loan Trust,
Series 2008-4, Class A4
(LIBOR USD 3-Month plus 1.65%)
1.91%	07/25/222		950,583		954,045
SLM Student Loan Trust,
Series 2008-4, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	04/25/732		710,000		706,549
SLM Student Loan Trust,
Series 2008-5, Class A4
(LIBOR USD 3-Month plus 1.70%)
1.96%	07/25/232		6,525,181		6,547,635
SLM Student Loan Trust,
Series 2008-5, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/25/732		7,315,000		7,305,965
SLM Student Loan Trust,
Series 2008-6, Class A4
(LIBOR USD 3-Month plus 1.10%)
1.36%	07/25/232		10,316,146		10,193,683
SLM Student Loan Trust,
Series 2008-6, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		710,000		694,613
SLM Student Loan Trust,
Series 2008-7, Class B
(LIBOR USD 3-Month plus 1.85%)
2.11%	07/26/832		820,000		815,920

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-8, Class A4
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232	$	1,169,076	$	1,172,191
SLM Student Loan Trust,
Series 2008-8, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/752		735,000		736,626
SLM Student Loan Trust,
Series 2008-9, Class A
(LIBOR USD 3-Month plus 1.50%)
1.76%	04/25/232		1,619,964		1,620,039
SLM Student Loan Trust,
Series 2008-9, Class B
(LIBOR USD 3-Month plus 2.25%)
2.51%	10/25/832		7,235,000		7,267,387
SLM Student Loan Trust,
Series 2009-3, Class A
(LIBOR USD 1-Month plus 0.75%)
1.21%	01/25/451,2		6,375,365		6,315,833
SLM Student Loan Trust,
Series 2011-2, Class A2
(LIBOR USD 1-Month plus 1.20%)
1.66%	10/25/342		3,803,098		3,818,904
SLM Student Loan Trust,
Series 2012-1, Class A3
(LIBOR USD 1-Month plus 0.95%)
1.41%	09/25/282		740,016		727,743
SLM Student Loan Trust,
Series 2012-2, Class A
(LIBOR USD 1-Month plus 0.70%)
1.16%	01/25/292		1,088,673		1,058,605
SLM Student Loan Trust,
Series 2012-7, Class A3
(LIBOR USD 1-Month plus 0.65%)
1.11%	05/26/262		2,773,169		2,714,193
SLM Student Loan Trust,
Series 2012-7, Class B
(LIBOR USD 1-Month plus 1.80%)
2.26%	09/25/432		2,200,000		2,189,065
SLM Student Loan Trust,
Series 2013-4, Class A
(LIBOR USD 1-Month plus 0.55%)
1.01%	06/25/432		954,871		939,603
SLM Student Loan Trust,
Series 2014-1, Class A3
(LIBOR USD 1-Month plus 0.60%)
1.06%	02/26/292		950,602		919,079
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/461		1,464,898		1,556,109
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/361		1,066,068		1,184,701

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 228

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
ASSET-BACKED SECURITIES (continued)
Student Loan Consolidation Center Student Loan Trust I,
Series 2002-2, Class B2
(28 Day Auction Rate plus 0.00%)
1.61%	07/01/421,2	$	150,000	$	138,201
TAL Advantage VII LLC,
Series 2020-1A, Class A
2.05%	09/20/451		9,014,750		8,463,414
Textainer Marine Containers VIII Ltd.,
Series 2020-2A, Class A
(Bermuda)
2.10%	09/20/451,3		11,021,375		10,382,422
Textainer Marine Containers VIII Ltd.,
Series 2020-3A, Class A
(Bermuda)
2.11%	09/20/451,3		7,512,450		7,060,866
TIF Funding II LLC,
Series 2020-1A, Class A
2.09%	08/20/451		3,188,350		2,978,243
TIF Funding II, LLC,
Series 2021-1A, Class B
2.54%	02/20/461		3,592,854		3,273,449
TRESTLES CLO V Ltd.,
Series 2021-5A, Class A1
(Cayman Islands)
(LIBOR USD 3-Month plus 1.17%)
1.33%	10/20/341,2,3		12,500,000		12,359,750
Triton Container Finance VIII, LLC,
Series 2021-1A, Class B
2.58%	03/20/461		2,804,475		2,565,126
Total Asset-Backed Securities
(Cost $576,877,576)					562,777,221
BANK LOANS — 3.99%*
Automotive — 0.01%
Clarios Global LP,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/30/262		507,125		501,546
Communications — 0.61%
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
4.75%	12/17/272		1,496,222		1,478,768
CenturyLink, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.71%	03/15/272		2,721,877		2,653,626
Connect Finco SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.50%	12/11/262		2,940,000		2,920,155
CSC Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
2.65%	07/17/252		1,036,399		1,022,153

Issues	Maturity     Date	Principal   Amount		Value
BANK LOANS (continued)
Communications (continued)
Term Loan B5, 1st Lien
(LIBOR plus 2.50%)
2.90%	04/15/272	$	1,036,776	$	1,020,706
Diamond Sports Group, LLC,
Term Loan, 1st Lien
(LIBOR plus 8.00%)
9.00%	05/25/262		412,476		419,551
DIRECTV Financing LLC,
Term Loan, 1st Lien
(LIBOR plus 5.00%)
5.75%	08/02/272		3,008,250		3,008,837
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.81%	05/01/282		4,455,000		4,395,593
GTT Communications BV,
Term Loan B, 1st Lien
(EURIBOR plus 3.25%)
3.25%	05/31/252		630,446		583,536
GTT Communications, Inc.,
Term Loan B, 1st Lien
(PRIME plus 3.75%)
7.25%	05/30/252		933,061		768,203
Level 3 Parent LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/01/272		2,750,000		2,702,521
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.21%	04/11/252		2,199,313		2,176,253
Zayo Group Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.00%)
3.46%	03/09/272		1,113,487		1,085,188
					24,235,090
Consumer Discretionary — 0.45%
ADMI Corp.,
Term Loan B2, 1st Lien
(LIBOR plus 3.38%)
3.88%	12/23/272		1,485,000		1,461,916
Peraton Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	02/01/282		4,423,112		4,400,996
Sunshine Luxembourg VII SARL,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.76%	10/01/262		3,465,000		3,447,138
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	03/31/282		5,781,316		5,650,195

See accompanying Notes to Financial Statements.

229 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Waystar technologies, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.46%	10/22/262	$	2,935,113	$	2,931,444
					17,891,689
Electric — 0.02%
CommScope, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.71%	04/06/262		332,472		324,299
Homer City Generation LP,
Term Loan B, 1st Lien
(LIBOR plus 11.00%)
15.00%	04/05/232,5,6		515,547		296,439
Vistra Operations Co., LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.19%	12/31/252		55,058		54,576
2.21%	12/31/252		227,794		225,800
					901,114
Entertainment — 0.12%
Cineworld Finance U.S., Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
4.00%	02/28/252		4,437,930		3,436,799
Crown Finance U.S., Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 7.00%)
7.00%	05/23/242		1,095,766		1,297,119
					4,733,918
Finance — 0.16%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B5, 1st Lien
(LIBOR plus 2.25%)
2.75%	12/01/272		1,984,925		1,968,261
DCG Acquisition Corp.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
4.96%	09/30/262		370,310		364,987
Mozart Borrower, LP,
Term Loan B
(LIBOR plus 3.25%)
3.75%	10/23/282		500,000		495,593
Schweitzer-Mauduit International, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	04/20/282		3,597,813		3,558,848
					6,387,689
Food — 0.16%
Hostess Brands LLC,
Term Loan, 1st Lien
(LIBOR plus 2.25%)
3.00%	08/03/252		1,026,316		1,014,862

Issues	Maturity     Date	Principal   Amount		Value
BANK LOANS (continued)
Food (continued)
Houston Foods, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
6.21%	07/20/252	$	3,278,002	$	3,097,712
Shearer’s Foods LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.25%	09/23/272		2,468,750		2,402,563
					6,515,137
Health Care — 0.53%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.50%	01/15/252		175,812		173,352
Change Healthcare Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 2.50%)
3.50%	03/01/242		435,010		433,215
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
1.98%	08/01/272		3,683,647		3,631,560
Endo Luxembourg Finance Co.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.75%	03/27/282		3,019,500		2,836,760
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.00%)
2.46%	11/15/272		2,568,651		2,529,158
Horizon Therapeutics USA, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 1.75%)
2.25%	03/15/282		3,801,600		3,769,533
ICON Luxembourg SARL,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/282		1,293,179		1,288,737
Indigo Merger Sub, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.31%	07/03/282		322,196		321,090
Pathway Vet Alliance LLC,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.21%	03/31/272		1,134,012		1,124,804
Phoenix Newco, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.00%	11/15/282		2,526,000		2,510,667
U.S. Renal Care, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 5.00%)
5.25%	06/26/262		1,161,317		1,071,315

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 230

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
BANK LOANS (continued)
Health Care (continued)
(LIBOR plus 5.50%)
6.50%	06/26/262	$	497,500	$	461,120
Valeant Pharmaceuticals International, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.46%	06/02/252		954,073		948,110
					21,099,421
Industrials — 0.68%
Arterrsa Services LLC,
Term Loan, 1st Lien
(LIBOR plus 3.50%)
4.51%	03/06/252		1,985,000		1,866,396
Berry Global, Inc.,
Term Loan Z, 1st Lien
(LIBOR plus 1.75%)
2.07%	07/01/262		4,807,567		4,748,217
Charter Next generation, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.75%)
4.50%	12/01/272		3,316,500		3,302,504
Clydesdale Acquisition Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
4.25%	03/30/292,5		1,500,000		1,477,500
Liqui-Box Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.50%)
5.50%	02/26/272		1,719,375		1,627,389
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.26%	04/15/282		3,473,750		3,267,253
Plaze, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	08/03/262		1,711,466		1,655,843
(LIBOR plus 3.75%)
4.76%	08/03/262		3,456,250		3,343,922
Proampac PG Borrower LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.50%	11/03/252		3,217,581		3,154,034
TransDigm, Inc.,
Term Loan E, 1st Lien
(LIBOR plus 2.25%)
2.71%	05/30/252		488,750		480,808
Zep, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.00%	08/12/242		2,145,365		2,059,550
					26,983,416

Issues	Maturity     Date	Principal   Amount		Value
BANK LOANS (continued)
Information Technology — 0.50%
AppLovin Corp.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.25%	08/15/252	$	3,756,467	$	3,742,681
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.25%)
5.00%	12/16/252		940,500		935,040
EagleView Technology Co.,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.51%	08/14/252		5,158,355		5,031,562
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	10/01/272		2,237,343		2,237,343
Helios Software Holdings, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
5.25%	03/11/282		1,657,143		1,644,723
IQVIA, Inc.,
Term Loan B1, 1st Lien
(LIBOR plus 1.75%)
2.21%	03/07/242		643,453		639,833
Term Loan B3, 1st Lien
(LIBOR plus 1.75%)
2.76%	06/11/252		909,227		905,363
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
4.75%	03/04/282		4,732,200		4,704,256
					19,840,801
Insurance — 0.03%
Acrisure LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	02/15/272		1,135,516		1,121,799
Materials — 0.07%
Herens U.S. Holdco Corp.,
Term Loan B, 1st Lien
(LIBOR plus 4.00%)
5.01%	07/03/282		2,828,661		2,765,016
Real Estate Investment Trust (REIT) — 0.17%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.75%)
4.25%	07/17/282,7		3,027,241		2,952,695
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.25%)
3.81%	02/17/282		3,930,300		3,860,910
					6,813,605

See accompanying Notes to Financial Statements.

231 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
BANK LOANS (continued)
Retail — 0.34%
American Airlines, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
5.50%	04/20/282	$	2,397,259	$	2,433,218
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 2.25%)
3.00%	02/19/282		7,159,406		7,052,016
BC ULC,
Term Loan B, 1st Lien (Canada)
(LIBOR plus 1.75%)
2.21%	11/19/262,3		703,112		689,268
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
4.00%	03/31/282		3,573,000		3,523,871
					13,698,373
Services — 0.09%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(LIBOR plus 3.50%)
3.96%	01/29/272		2,969,773		2,942,541
GFL Environmental, Inc.,
Term Loan B, 1st Lien
(LIBOR plus 3.00%)
3.50%	05/30/252		594,760		593,460
					3,536,001
Transportation — 0.05%
Kenan Advantage Group, Inc. (The),
Term Loan, 2nd Lien
(LIBOR plus 7.25%)
8.00%	09/01/272		2,155,000		2,090,350
Total Bank Loans
(Cost $161,152,043)					159,114,965
CORPORATES — 30.77%*
Banking — 6.00%
Bank of America Corp.
0.98%	04/22/254		3,391,000		3,251,241
2.30%	07/21/324		6,275,000		5,589,179
2.57%	10/20/324		1,645,000		1,499,229
2.69%	04/22/324		1,240,000		1,140,139
3.00%	12/20/234		4,885,000		4,899,182
Bank of America Corp.
(MTN)
2.09%	06/14/294		9,525,000		8,713,752
3.09%	10/01/254		8,295,000		8,272,161
3.97%	03/05/294		790,000		802,800
(LIBOR USD 3-Month plus 0.65%)
1.17%	12/01/262		4,400,000		4,238,403
Bank of America Corp.,
Series N
1.66%	03/11/274		14,050,000		13,133,888

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of America Corp.,
Series RR
4.38%4,8		$	2,340,000	$	2,204,913
Comerica, Inc.
5.63%4,8			2,145,000		2,230,800
Credit Suisse Group AG
(Switzerland)
1.31%	02/02/271,3,4		3,045,000		2,723,138
2.19%	06/05/261,3,4		8,574,000		8,067,558
2.59%	09/11/251,3,4		3,775,000		3,643,223
3.09%	05/14/321,3,4		3,560,000		3,207,205
3.75%	03/26/253		2,595,000		2,587,294
4.28%	01/09/281,3		940,000		940,346
Discover Bank
(BKNT)
3.45%	07/27/26		2,811,000		2,798,789
DNB Bank ASA
(Norway)
1.13%	09/16/261,3,4		165,000		151,645
1.61%	03/30/281,3,4		6,000,000		5,431,360
Global Bank Corp.
(Panama)
5.25%	04/16/291,3,4		600,000		571,500
Global Bank Corp.,
Series REGS
(Panama)
5.25%	04/16/293,4		1,000,000		952,500
HSBC Holdings PLC
(United Kingdom)
1.59%	05/24/273,4		2,575,000		2,353,571
1.75%	07/24/273,4		1,425,000		1,768,788
2.01%	09/22/283,4		290,000		263,373
2.10%	06/04/263,4		3,620,000		3,445,428
2.21%	08/17/293,4		14,100,000		12,707,373
2.80%	05/24/323,4		2,150,000		1,958,504
3.97%	05/22/303,4		1,765,000		1,769,624
4.29%	09/12/263,4		2,100,000		2,127,450
JPMorgan Chase & Co.
0.70%	03/16/244		1,720,000		1,688,655
0.97%	06/23/254		6,645,000		6,348,529
1.58%	04/22/274		10,020,000		9,340,023
2.01%	03/13/264		5,000,000		4,826,503
2.58%	04/22/324		1,895,000		1,738,816
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/273,4		2,000,000		1,835,975
2.91%	11/07/233,4		5,175,000		5,183,817
3.75%	03/18/283,4		3,345,000		3,334,468
3.87%	07/09/253,4		8,725,000		8,821,981
Macquarie Group Ltd.
(Australia)
1.20%	10/14/251,3,4		2,000,000		1,891,997
2.69%	06/23/321,3,4		2,290,000		2,022,091
2.87%	01/14/331,3,4		7,960,000		7,081,172
3.19%	11/28/231,3,4		3,241,000		3,247,175
4.44%	06/21/331,3,4		1,370,000		1,387,216

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 232

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Banking (continued)
NatWest Group PLC
(United Kingdom)
4.27%	03/22/253,4	$	7,587,000	$	7,679,331
Santander UK Group Holdings PLC
(United Kingdom)
1.09%	03/15/253,4		7,075,000		6,730,372
1.53%	08/21/263,4		1,210,000		1,113,599
1.67%	06/14/273,4		2,620,000		2,386,967
3.37%	01/05/243,4		900,000		903,085
4.80%	11/15/243,4		6,211,000		6,355,089
Santander UK PLC
(United Kingdom)
5.00%	11/07/231,3		3,415,000		3,498,667
U.S. Bancorp
3.70%4,8			1,980,000		1,796,525
UBS AG
(Switzerland)
0.70%	08/09/241,3		5,865,000		5,561,889
Wells Fargo & Co.
(MTN)
2.39%	06/02/284		3,665,000		3,469,804
2.88%	10/30/304		3,848,000		3,666,211
3.35%	03/02/334		24,320,000		23,660,888
					239,015,201
Communications — 4.49%
AT&T, Inc.
2.55%	12/01/33		5,346,000		4,760,252
3.55%	09/15/55		511,000		449,393
3.80%	12/01/57		10,051,000		8,957,470
4.30%	12/15/42		2,300,000		2,288,025
4.50%	05/15/35		2,150,000		2,264,854
4.75%	05/15/46		1,875,000		2,044,061
5.25%	03/01/37		6,985,000		7,963,843
C&W Senior Financing DAC
(Ireland)
6.88%	09/15/271,3		1,200,000		1,193,112
Cable One, Inc.
4.00%	11/15/301		3,956,000		3,659,300
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.25%	01/15/341		4,000,000		3,480,000
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.80%	03/01/50		1,485,000		1,418,517
5.38%	05/01/47		3,050,000		3,128,279
5.75%	04/01/48		2,347,000		2,496,504
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%	04/01/53		4,885,000		4,931,297
CommScope, Inc.
4.75%	09/01/291		3,449,000		3,198,947
6.00%	03/01/261		3,566,000		3,611,645
CSC Holdings LLC
3.38%	02/15/311		744,000		627,844
4.50%	11/15/311		7,046,000		6,321,206

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Communications (continued)
Diamond Sports Group LLC/Diamond Sports Finance Co.
6.63%	08/15/271	$	12,630,000	$	2,632,724
Diamond Sports Group, LLC/Diamond Sports Finance Co.
5.38%	08/15/261		8,511,000		3,340,567
Gray Escrow II, Inc.
5.38%	11/15/311		2,491,000		2,384,019
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%	03/15/301,3		7,112,000		7,112,244
Intelsat Jackson Holdings SA,
Class B
8.50%	10/15/241,3,5,6,9,10		7,892,000		—
Intelsat Jackson Holdings SA,
Class B
(Luxembourg)
9.75%	07/15/251,3,5,6,9,10		6,820,000		—
Level 3 Financing, Inc.
3.40%	03/01/271		1,130,000		1,066,923
3.75%	07/15/291		3,042,000		2,699,745
3.88%	11/15/291		6,680,000		6,159,661
Lumen Technologies, Inc.
5.38%	06/15/291		3,796,000		3,385,880
National CineMedia LLC
5.88%	04/15/281		6,022,000		5,271,599
SES GLOBAL Americas Holdings GP
5.30%	03/25/441		8,494,000		8,263,692
Sinclair Television Group, Inc.
4.13%	12/01/301		5,883,000		5,256,461
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%	03/20/251		11,658,750		11,908,607
5.15%	03/20/281		12,400,000		13,068,973
Tencent Holdings Ltd.
(Cayman Islands)
3.84%	04/22/511,3		3,585,000		3,140,135
Time Warner Cable LLC
5.50%	09/01/41		4,443,000		4,623,638
T-Mobile USA, Inc.
2.25%	02/15/261		2,557,000		2,419,599
2.55%	02/15/31		2,190,000		1,989,355
2.63%	02/15/29		565,000		517,105
3.88%	04/15/30		10,237,000		10,290,869
4.38%	04/15/40		2,000,000		2,014,461
Verizon Communications, Inc.
2.36%	03/15/321		4,910,000		4,441,815
Virgin Media Secured Finance PLC
(United Kingdom)
5.50%	05/15/291,3		1,513,000		1,504,081
Vodafone Group PLC
(United Kingdom)
4.25%	09/17/503		50,000		49,884
4.88%	06/19/493		1,328,000		1,449,721
5.25%	05/30/483		6,292,000		7,068,698

See accompanying Notes to Financial Statements.

233 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Communications (continued)
Zayo Group Holdings, Inc.
4.00%	03/01/271	$	4,491,000	$	4,140,792
					178,995,797
Consumer Discretionary — 1.48%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev
Worldwide, Inc.
4.70%	02/01/36		3,200,000		3,482,627
4.90%	02/01/46		3,921,000		4,366,987
Bacardi Ltd.
(Bermuda)
4.45%	05/15/251,3		3,585,000		3,672,780
5.15%	05/15/381,3		1,500,000		1,636,334
BAT Capital Corp.
2.73%	03/25/31		915,000		807,875
4.54%	08/15/47		500,000		447,524
4.70%	04/02/27		1,390,000		1,424,576
5.65%	03/16/52		4,125,000		4,193,948
Becle, SAB de CV
(Mexico)
2.50%	10/14/311,3		4,450,000		3,956,918
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		1,500,000		1,487,536
3.50%	07/26/261,3		2,520,000		2,463,022
4.25%	07/21/251,3		1,880,000		1,896,326
Magallanes, Inc.
4.28%	03/15/321		2,005,000		2,017,544
5.05%	03/15/421		7,970,000		8,135,223
5.14%	03/15/521		6,182,000		6,332,712
Reynolds American, Inc.
5.85%	08/15/45		12,245,000		12,532,556
					58,854,488
Electric — 0.89%
Alliant Energy Finance, LLC
3.60%	03/01/321		8,130,000		7,939,007
Cleco Power LLC
6.00%	12/01/40		825,000		1,004,911
Consolidated Edison Co. of New York, Inc.
4.45%	03/15/44		1,000,000		1,052,494
Dominion Energy, Inc.
5.75%	10/01/544		2,515,000		2,556,610
Duke Energy Carolinas LLC
3.70%	12/01/47		1,810,000		1,773,318
Eskom Holdings SOC Ltd.,
Series REGS
(South Africa)
7.13%	02/11/253		800,000		776,640
FirstEnergy Transmission LLC
2.87%	09/15/281		9,558,000		8,885,151
Metropolitan Edison Co.
4.00%	04/15/251		2,625,000		2,639,922

Issues	Maturity     Date	Principal   Amount		Value
CORPORATES (continued)
Electric (continued)
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%	05/07/293	$	900,000	$	812,394
Public Service Co. of New Mexico
3.85%	08/01/25		5,565,000		5,664,651
Southwestern Electric Power Co.,
Series M
4.10%	09/15/28		2,190,000		2,245,118
					35,350,216
Energy — 2.59%
Archrock Partners LP/Archrock Partners Finance Corp.
6.25%	04/01/281		1,700,000		1,680,875
Ecopetrol SA
(Colombia)
6.88%	04/29/303		1,575,000		1,659,420
Enbridge Energy Partners LP
5.88%	10/15/25		2,190,000		2,361,996
Energy Transfer LP
4.40%	03/15/27		1,448,000		1,467,271
4.95%	06/15/28		2,000,000		2,103,386
5.00%	05/15/50		1,902,000		1,930,231
5.15%	03/15/45		1,901,000		1,906,368
5.40%	10/01/47		4,716,000		4,936,523
6.13%	12/15/45		500,000		553,931
Energy Transfer LP,
Series B
6.63%4,8			3,889,000		3,495,239
Exxon Mobil Corp.
4.33%	03/19/50		1,100,000		1,232,103
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%	03/31/341,3		1,921,720		1,774,307
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		4,137,000		4,093,065
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%	04/14/333		336,000		281,400
4.75%	04/19/273		500,000		480,976
5.38%	04/24/303		2,129,000		2,051,703
KazTransGas JSC,
Series REGS
(Kazakhstan)
4.38%	09/26/273		650,000		587,535
Kinder Morgan Energy Partners LP
5.00%	08/15/42		1,090,000		1,118,980
NGL Energy Operating LLC/NGL Energy Finance Corp.
7.50%	02/01/261		1,929,000		1,898,368
Occidental Petroleum Corp.
0.00%	10/10/3611		7,308,000		3,934,627
Pertamina Persero PT
(Indonesia)
3.10%	08/27/301,3		4,579,000		4,351,424

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 234

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Petroleos Mexicanos
(Mexico)
1.70%		12/20/223	$	15,000	$	14,983
6.63%		06/15/353		6,120,000		5,504,940
6.75%		09/21/473		3,815,000		3,108,157
6.95%		01/28/603		1,595,000		1,295,778
Petronas Capital Ltd.
(Malaysia)
2.48%		01/28/321,3		2,050,000		1,912,272
3.50%		04/21/301,3		4,405,000		4,500,148
Plains All American Pipeline LP/PAA Finance Corp.
3.80%		09/15/30		2,000,000		1,964,975
4.50%		12/15/26		1,505,000		1,545,751
Rockies Express Pipeline LLC
4.80%		05/15/301		2,000,000		1,915,000
4.95%		07/15/291		1,000,000		971,913
6.88%		04/15/401		3,175,000		3,151,188
Ruby Pipeline LLC
8.00%		04/01/221,5,6		3,943,939		3,667,864
Saudi Arabian Oil Co.,
Series REGS
(Saudi Arabia)
1.63%		11/24/253		1,100,000		1,045,169
Shell International Finance BV
(Netherlands)
3.00%		11/26/513		2,000,000		1,790,659
4.00%		05/10/463		2,180,000		2,274,448
Southern Co. Gas Capital Corp.
3.25%		06/15/26		2,935,000		2,924,299
3.88%		11/15/25		2,410,000		2,455,652
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%		03/24/263		2,776,000		3,044,994
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26		3,846,000		3,788,310
Transocean Pontus Ltd.
(Cayman Islands)
6.13%		08/01/251,3		998,145		993,653
Transocean Poseidon Ltd.
(Cayman Islands)
6.88%		02/01/271,3		3,888,750		3,856,065
Transocean Proteus Ltd.
(Cayman Islands)
6.25%		12/01/241,3		1,805,500		1,794,405
USA Compression Partners LP/USA Compression Finance Corp.
6.88%		09/01/27		1,777,000		1,786,569
Venture Global Calcasieu Pass LLC
3.88%		08/15/291		4,000,000		3,895,284
						103,102,204
Entertainment — 0.05%
WMG Acquisition Corp.
3.75%		12/01/291		2,050,000		1,926,549

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance — 4.53%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/263	$	4,125,000	$	3,815,300
3.00%		10/29/283		11,100,000		10,235,256
3.88%		01/23/283		1,090,000		1,061,580
Air Lease Corp.
2.25%		01/15/23		2,000,000		2,001,588
3.88%		07/03/23		2,862,000		2,892,016
American Express Co.,
Series D
3.55%4,8				2,350,000		2,135,489
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/271,3		5,278,000		4,671,713
2.88%		02/15/251,3		4,555,000		4,409,940
3.95%		07/01/241,3		1,035,000		1,031,024
Capital One Financial Corp.
3.27%		03/01/304		5,645,000		5,463,975
Charles Schwab Corp. (The)
2.90%		03/03/32		6,045,000		5,821,708
5.00%4,8				2,020,000		2,017,576
Citigroup, Inc.
1.28%		11/03/254		2,680,000		2,550,582
1.46%		06/09/274		2,930,000		2,698,794
2.67%		01/29/314		1,500,000		1,394,099
3.06%		01/25/334		16,170,000		15,141,365
3.79%		03/17/334		5,180,000		5,151,809
4.41%		03/31/314		276,000		287,051
Citigroup, Inc.,
Series VAR
3.07%		02/24/284		2,020,000		1,972,498
Ford Motor Credit Co. LLC
(LIBOR USD 3-Month plus 1.08%)
1.38%		08/03/222		2,555,000		2,546,696
General Motors Financial Co., Inc.
3.15%		06/30/22		500,000		501,696
3.45%		04/10/22		675,000		675,213
Goldman Sachs Group, Inc. (The)
0.93%		10/21/244		5,565,000		5,397,218
2.38%		07/21/324		6,585,000		5,855,373
2.65%		10/21/324		3,598,000		3,260,713
3.10%		02/24/334		18,235,000		17,207,479
3.27%		09/29/254		12,035,000		12,029,021
JPMorgan Chase & Co.
1.05%		11/19/264		6,095,000		5,633,999
1.56%		12/10/254		4,505,000		4,313,122
2.55%		11/08/324		2,120,000		1,936,681
2.95%		02/24/284		2,625,000		2,562,581
Morgan Stanley
0.79%		05/30/254		11,395,000		10,833,987
2.94%		01/21/334		5,645,000		5,292,377
Morgan Stanley
(GMTN)
0.79%		01/22/254		5,688,000		5,463,858
2.24%		07/21/324		4,715,000		4,182,476

See accompanying Notes to Financial Statements.

235 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
(MTN)
1.93%		04/28/324	$	2,220,000	$	1,923,663
2.51%		10/20/324		850,000		770,024
Nationwide Building Society
(United Kingdom)
2.97%		02/16/281,3,4		3,890,000		3,709,759
3.62%		04/26/231,3,4		5,000,000		5,001,067
3.77%		03/08/241,3,4		2,570,000		2,585,212
4.36%		08/01/241,3,4		2,490,000		2,529,111
Park Aerospace Holdings Ltd.
(Cayman Islands)
4.50%		03/15/231,3		455,000		458,456
5.50%		02/15/241,3		861,000		881,849
						180,304,994
Food — 0.92%
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/281		2,091,000		1,932,847
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.50%		01/15/301,3		1,005,000		1,029,542
6.50%		04/15/291,3		8,577,000		9,100,127
Kraft Heinz Foods Co.
3.88%		05/15/27		4,795,000		4,872,035
4.88%		10/01/49		424,000		447,458
5.20%		07/15/45		2,000,000		2,167,500
Pilgrim’s Pride Corp.
4.25%		04/15/311		4,000,000		3,707,639
Post Holdings, Inc.
4.50%		09/15/311		4,802,000		4,259,974
4.63%		04/15/301		4,535,000		4,091,023
Smithfield Foods, Inc.
5.20%		04/01/291		4,690,000		4,925,968
						36,534,113
Gaming — 0.14%
Boyd Gaming Corp.
4.75%		06/15/311		1,878,000		1,811,046
Caesars Entertainment, Inc.
4.63%		10/15/291		3,925,000		3,684,437
						5,495,483
Health Care — 3.43%
180 Medical, Inc.
3.88%		10/15/291		2,245,000		2,127,137
AbbVie, Inc.
3.25%		10/01/22		3,170,000		3,186,098
4.40%		11/06/42		5,190,000		5,515,427
4.45%		05/14/46		2,350,000		2,507,608
American Medical Systems Europe BV
(Netherlands)
1.88%		03/08/343		2,000,000		2,170,055
Amgen, Inc.
3.35%		02/22/32		1,955,000		1,939,631
4.40%		02/22/62		2,025,000		2,104,418

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Bayer U.S. Finance II LLC
4.25%		12/15/251	$	2,005,000	$	2,041,023
4.38%		12/15/281		8,135,000		8,327,604
4.63%		06/25/381		2,775,000		2,915,072
4.88%		06/25/481		4,415,000		4,764,393
5.50%		08/15/251		2,000,000		2,082,330
Becton Dickinson and Co.
6.70%		08/01/28		2,930,000		3,384,248
Centene Corp.
2.45%		07/15/28		13,561,000		12,401,912
Cigna Corp.
3.88%		10/15/47		4,825,000		4,720,953
CommonSpirit Health
2.78%		10/01/30		3,680,000		3,414,559
3.91%		10/01/50		1,220,000		1,167,729
CVS Health Corp.
2.75%		12/01/22		2,215,000		2,226,413
5.05%		03/25/48		5,417,000		6,143,999
5.13%		07/20/45		755,000		854,734
Embecta Corp.
5.00%		02/15/301		2,874,000		2,715,978
6.75%		02/15/301		3,000,000		3,012,953
Encompass Health Corp.
4.63%		04/01/31		1,878,000		1,764,543
Endo DAC/Endo Finance LLC/Endo Finco, Inc.
(Ireland)
6.00%		06/30/281,3		8,604,000		5,017,423
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc.
(Luxembourg)
6.13%		04/01/291,3		1,948,000		1,780,057
HCA, Inc.
3.50%		07/15/51		855,000		745,423
3.63%		03/15/321		6,060,000		5,942,034
4.13%		06/15/29		2,400,000		2,445,983
5.25%		04/15/25		2,477,000		2,609,702
5.25%		06/15/26		6,420,000		6,782,440
5.25%		06/15/49		4,670,000		5,134,583
5.50%		06/15/47		3,785,000		4,293,326
ModivCare Escrow Issuer, Inc.
5.00%		10/01/291		4,000,000		3,732,294
Molina Healthcare, Inc.
3.88%		11/15/301		3,128,000		3,025,354
4.38%		06/15/281		6,500,000		6,434,958
Option Care Health, Inc.
4.38%		10/31/291		3,870,000		3,648,730
Prime Healthcare Services, Inc.
7.25%		11/01/251		1,754,000		1,802,235
Universal Health Services, Inc.
1.65%		09/01/261		1,500,000		1,376,786
2.65%		01/15/321		590,000		530,919
						136,791,064
Industrials — 1.02%
Amcor Finance USA, Inc.
3.63%		04/28/26		2,125,000		2,155,256

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 236

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/271,3	$	6,222,000	$	5,777,438
Artera Services LLC
9.03%		12/04/251		4,010,000		4,011,516
Berry Global, Inc.
1.57%		01/15/26		1,740,000		1,624,884
4.88%		07/15/261		1,195,000		1,208,396
Boeing Co. (The)
1.43%		02/04/24		8,790,000		8,508,191
Energizer Holdings, Inc.
4.38%		03/31/291		1,610,000		1,413,338
General Electric Co.
(MTN)
(LIBOR USD 3-Month plus 0.48%)
0.99%		08/15/362		10,370,000		8,932,736
General Electric Co.,
Series A (MTN)
6.75%		03/15/32		1,148,000		1,449,250
OT Merger Corp.
7.88%		10/15/291		6,500,000		5,724,204
						40,805,209
Information Technology — 0.51%
Broadcom, Inc.
4.30%		11/15/32		2,270,000		2,305,601
Netfix, Inc.
5.88%		02/15/25		7,290,000		7,787,447
NXP BV/NXP Funding LLC
(Netherlands)
4.63%		06/01/231,3		795,000		806,888
Oracle Corp.
2.88%		03/25/31		1,245,000		1,136,808
3.80%		11/15/37		1,490,000		1,341,555
3.95%		03/25/51		7,901,000		6,921,165
						20,299,464
Insurance — 1.21%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/291		4,660,000		4,239,682
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52		4,065,000		4,029,139
Athene Global Funding
1.99%		08/19/281		8,980,000		7,893,062
2.72%		01/07/291		1,535,000		1,412,693
3.21%		03/08/271		2,225,000		2,144,537
Berkshire Hathaway Finance Corp.
3.85%		03/15/52		4,105,000		4,200,540
Brown & Brown, Inc.
4.95%		03/17/52		2,980,000		3,184,905
Farmers Exchange Capital
7.20%		07/15/481		150,000		205,822
Farmers Exchange Capital II
6.15%		11/01/531,4		2,500,000		2,960,016
Farmers Insurance Exchange
4.75%		11/01/571,4		3,800,000		3,992,075

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Insurance (continued)
8.63%		05/01/241	$	942,000	$	1,030,145
Nationwide Mutual Insurance Co.
3.12%		12/15/241,4		3,825,000		3,827,638
Teachers Insurance & Annuity Association of America
3.30%		05/15/501		2,645,000		2,352,150
4.27%		05/15/471		480,000		508,454
4.38%		09/15/541,4		6,470,000		6,448,656
						48,429,514
Materials — 0.45%
ASP Unifrax Holdings, Inc.
5.25%		09/30/281		2,460,000		2,288,366
7.50%		09/30/291		1,020,000		909,352
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
3.15%		01/14/303		3,900,000		3,760,770
EverArc Escrow SARL
(Luxembourg)
5.00%		10/30/291,3		5,432,000		4,973,675
Indonesia Asahan Aluminium Persero PT
(Indonesia)
6.53%		11/15/281,3		5,508,000		6,127,402
						18,059,565
Real Estate Investment Trust (REIT) — 1.68%
American Assets Trust LP
3.38%		02/01/31		4,005,000		3,768,879
American Campus Communities Operating Partnership LP
3.63%		11/15/27		2,246,000		2,236,472
3.75%		04/15/23		2,925,000		2,950,905
China Aoyuan Group Ltd.
(Cayman Islands)
6.35%		02/08/243,5,6,9,10		2,660,000		452,200
China SCE Group Holdings Ltd.
(Cayman Islands)
7.00%		05/02/253		1,070,000		568,082
CyrusOne LP/CyrusOne Finance Corp.
2.90%		11/15/24		4,185,000		4,196,488
3.45%		11/15/29		11,930,000		12,527,666
GLP Capital LP/GLP Financing II, Inc.
5.30%		01/15/29		2,280,000		2,403,439
5.38%		04/15/26		4,390,000		4,592,088
5.75%		06/01/28		6,241,000		6,727,132
Healthcare Realty Trust, Inc.
3.88%		05/01/25		2,190,000		2,217,603
Healthcare Trust of America Holdings LP
2.00%		03/15/31		1,705,000		1,477,839
3.50%		08/01/26		2,257,000		2,257,509
Hudson Pacific Properties LP
3.95%		11/01/27		2,500,000		2,514,944
Iron Mountain Information Management Services, Inc.
5.00%		07/15/321		4,650,000		4,375,882
Iron Mountain, Inc.
4.50%		02/15/311		1,346,000		1,248,146

See accompanying Notes to Financial Statements.

237 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Real Estate Investment Trust (REIT) (continued)
LXP Industrial Trust
2.70%		09/15/30	$	2,000,000	$	1,848,756
Piedmont Operating Partnership LP
3.40%		06/01/23		4,520,000		4,527,207
Post Apartment Homes LP
3.38%		12/01/22		45,000		45,216
SL Green Realty Corp.
4.50%		12/01/22		3,000,000		3,018,400
Sunac China Holdings Ltd.
(Cayman Islands)
6.50%		01/10/253,6		2,515,000		639,523
6.80%		10/20/243,6		720,000		181,800
Times China Holdings Ltd.
(Cayman Islands)
6.75%		07/08/253		1,040,000		416,595
Ventas Realty LP
3.25%		10/15/26		630,000		624,658
3.75%		05/01/24		875,000		885,651
Zhenro Properties Group Ltd.
(Cayman Islands)
6.63%		01/07/263,5,6		1,810,000		208,150
						66,911,230
Retail — 0.59%
1011778 BC ULC/New Red Finance, Inc.
(Canada)
4.00%		10/15/301,3		1,997,000		1,806,566
Alimentation Couche-Tard, Inc.
(Canada)
3.55%		07/26/271,3		1,935,000		1,924,870
Asbury Automotive Group, Inc.
5.00%		02/15/321		2,415,000		2,249,695
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/291		1,939,000		1,833,809
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/301		7,231,000		6,670,598
FirstCash, Inc.
5.63%		01/01/301		4,160,000		4,002,474
Michaels Cos., Inc. (The)
7.88%		05/01/291		5,775,000		4,952,034
						23,440,046
Services — 0.66%
Adtalem Global Education, Inc.
5.50%		03/01/281		3,862,000		3,741,003
DP World Crescent Ltd.
(Cayman Islands)
4.85%		09/26/281,3		4,036,000		4,305,201
HealthEquity, Inc.
4.50%		10/01/291		5,084,000		4,847,833
Hertz Corp. (The)
4.63%		12/01/261		2,000,000		1,872,940
5.00%		12/01/291		5,680,000		5,178,740
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/271		648,000		595,028

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Services (continued)
S&P Global, Inc.
4.75%		08/01/281	$	1,750,000	$	1,881,599
Waste Pro USA, Inc.
5.50%		02/15/261		4,169,000		3,944,645
						26,366,989
Transportation — 0.13%
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%		09/22/27		2,029,972		1,977,437
Continental Airlines Pass-Through Trust,
Series 2007-1, Class A
5.98%		04/19/22		488,168		488,876
U.S. Airways Pass-Through Trust,
Series 2010-1, Class A
6.25%		04/22/23		547,618		550,908
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		56,934		59,389
Union Pacific Corp.
3.50%		02/14/53		2,030,000		1,986,795
						5,063,405
Total Corporates
(Cost $1,281,587,363)						1,225,745,531
FOREIGN GOVERNMENT OBLIGATIONS — 3.16%
Foreign Government Obligations — 3.16%
Abu Dhabi Government International Bond,
Series REGS
(United Arab Emirates)
2.50%		09/30/293		3,798,000		3,729,777
Airport Authority
(Hong Kong)
3.25%		01/12/521,3		4,105,000		3,725,493
Bahrain Government International Bond,
Series REGS
(Bahrain)
7.00%		01/26/263		500,000		541,187
Brazilian Government International Bond
(Brazil)
2.88%		06/06/253		3,600,000		3,538,800
3.88%		06/12/303		5,010,000		4,627,487
4.63%		01/13/283		830,000		835,810
CBB International Sukuk Co. 7 SPC,
Series REGS
(Bahrain)
6.88%		10/05/253		1,400,000		1,540,175
Chile Government International Bond
(Chile)
2.45%		01/31/313		844,000		792,541
3.24%		02/06/283		1,678,000		1,683,034
Colombia Government International Bond
(Colombia)
3.00%		01/30/303		6,398,000		5,508,198
3.13%		04/15/313		1,750,000		1,485,225
4.50%		01/28/263		3,855,000		3,855,790

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 238

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Dominican Republic International Bond
(Dominican Republic)
4.50%		01/30/301,3	$	3,900,000	$	3,598,774
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%		09/23/323		2,580,000		2,349,361
Egypt Government International Bond
(Egypt)
7.60%		03/01/291,3		700,000		666,750
Egypt Government International Bond,
Series REGS
(Egypt)
5.25%		10/06/253		1,700,000		1,647,980
Fondo MIVIVIENDA SA,
Series REGS
(Peru)
3.50%		01/31/233		650,000		656,110
Guatemala Government Bond
Series REGS
(Guam)
4.90%		06/01/303		1,072,000		1,098,117
Hungary Government International Bond
(Hungary)
2.13%		09/22/311,3		3,700,000		3,359,015
Indonesia Government International Bond
(Indonesia)
2.85%		02/14/303		3,100,000		3,057,398
Mexico Government International Bond
(Mexico)
2.66%		05/24/313		6,531,000		5,954,966
3.75%		01/11/283		6,125,000		6,261,587
4.75%		04/27/323		3,000,000		3,187,500
Oman Government International Bond,
Series REGS
(Oman)
5.63%		01/17/283		3,900,000		4,036,890
Panama Government International Bond
(Panama)
2.25%		09/29/323		3,000,000		2,662,087
3.16%		01/23/303		6,131,000		6,011,262
Paraguay Government International Bond
(Paraguay)
2.74%		01/29/331,3		3,126,000		2,773,293
Perusahaan Penerbit SBSN Indonesia III
(Indonesia)
2.80%		06/23/301,3		2,100,000		2,060,940
Peruvian Government International Bond
(Peru)
2.84%		06/20/303		4,025,000		3,874,868
4.13%		08/25/273		1,525,000		1,588,409
Philippine Government International Bond
(Philippines)
1.65%		06/10/313		741,000		663,195
1.95%		01/06/323		930,000		845,341
2.46%		05/05/303		2,334,000		2,228,970

Issues	Maturity Date		Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Qatar Government International Bond,
Series REGS
(Qatar)
3.75%		04/16/303	$	2,640,000	$	2,793,912
4.50%		04/23/283		6,726,000		7,334,030
Republic of South Africa Government International Bond
(South Africa)
4.30%		10/12/283		3,607,000		3,495,151
4.85%		09/30/293		4,655,000		4,565,158
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/313		4,400,000		4,079,183
Saudi Government International Bond,
Series REGS (EMTN)
(Saudi Arabia)
3.25%		10/26/263		3,700,000		3,792,500
3.25%		10/22/303		2,220,000		2,244,864
3.63%		03/04/283		4,175,000		4,319,831
Uruguay Government International Bond
(Uruguay)
4.38%		01/23/313		2,788,717		3,038,028
Total Foreign Government Obligations
(Cost $134,495,435)						126,108,987
MORTGAGE-BACKED — 46.10%**
Non-Agency Commercial Mortgage-Backed — 7.15%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%		08/10/351		11,400,333		11,592,508
AREIT Trust,
Series 2020-CRE4, Class B
(Cayman Islands)
(SOFR30A plus 4.26%)
4.31%		04/15/371,2,3		9,450,000		9,435,844
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%		08/10/381,4		7,985,000		8,217,382
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BHP3, Class A
(LIBOR USD 1-Month plus 1.90%)
2.30%		03/15/371,2		8,585,000		8,633,022
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class A
2.63%		01/15/321		5,000,000		4,801,624
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class X (IO)
0.47%		01/15/321,4		98,610,000		1,910,633
BDS Ltd.,
Series 2020-FL6, Class D
(Cayman Islands)
(SOFR30A plus 2.86%)
2.91%		09/15/351,2,3		7,801,000		7,716,687

See accompanying Notes to Financial Statements.

239 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
BFLD Trust,
Series 2021-FPM, Class A
(LIBOR USD 1-Month plus 1.60%)
2.00%	06/15/381,2	$	7,182,000	$	7,135,993
BX Commercial Mortgage Trust,
Series 2018-IND, Class H
(LIBOR USD 1-Month plus 3.00%)
3.40%	11/15/351,2		7,760,200		7,671,624
BX Commercial Mortgage Trust,
Series 2021-XL2, Class J
(LIBOR USD 1-Month plus 3.89%)
4.29%	10/15/381,2		11,125,988		10,769,075
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		7,060,000		6,830,455
CALI Mortgage Trust,
Series 2019-101C, Class A
3.96%	03/10/391		7,375,000		7,498,039
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class G
(LIBOR USD 1-Month plus 3.25%)
3.65%	12/15/371,2		8,503,000		8,196,059
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.38%	08/10/494		60,900,073		2,777,920
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%	11/13/391		6,125,000		5,792,407
Citigroup Commercial Mortgage Trust,
Series 2012-GC8, Class XA (IO)
1.72%	09/10/451,4		27,835,126		31,615
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.33%	02/10/484		64,068,309		1,904,789
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.68%	10/15/454		42,113,704		149,900
Commercial Mortgage Trust,
Series 2012-CR5, Class XA (IO)
1.49%	12/10/454		67,170,203		327,408
Commercial Mortgage Trust,
Series 2013-CR13, Class XA (IO)
0.74%	11/10/464		60,111,572		624,643
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
0.94%	04/10/474		101,775,786		1,560,335
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.60%	02/10/371,4		68,872,262		1,074,810
Credit Suisse Mortgage Capital Trust,
Series 2020-TMIC, Class A
(LIBOR USD 1-Month plus 3.00%)
3.40%	12/15/351,2		11,515,000		11,488,596

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
CSMC,
Series 2019-RIO, Class A
(LIBOR USD 1-Month plus 3.02%)
4.02%	12/15/221,2	$	7,252,000	$	7,242,107
CSMC,
Series 2021-BPNY, Class A
(LIBOR USD 1-Month plus 3.71%)
4.11%	08/15/231,2		12,734,000		12,585,733
DBJPM Mortgage Trust,
Series 2016-SFC, Class A
2.83%	08/10/361		4,000,000		3,835,412
DC Office Trust,
Series 2019-MTC, Class A
2.97%	09/15/451		6,555,000		6,211,300
Grace Trust,
Series 2020-GRCE, Class A
2.35%	12/10/401		8,000,000		7,231,762
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/371,4		40,999,000		383,720
GS Mortgage Securities Trust,
Series 2012-ALOH, Class A
3.55%	04/10/341		10,940,000		10,935,215
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
1.06%	04/10/474		58,771,895		919,487
GSCG Trust,
Series 2019-600C, Class G
3.99%	09/06/341,4		9,212,000		8,328,825
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%	07/10/391		6,340,000		6,170,016
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4		6,555,000		6,271,764
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
2.94%	12/10/411,4		3,131,000		2,633,033
ILPT Commercial Mortgage Trust,
Series 2022-LPFX, Class A
3.38%	03/15/321		11,770,000		11,543,285
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%	06/05/391		8,000,000		7,912,102
Life Mortgage Trust,
Series 2021-BMR, Class G
(LIBOR USD 1-Month plus 2.95%)
3.35%	03/15/381,2		10,535,474		10,096,803
MF1 Ltd.,
Series 2020-FL3, Class AS
(CME Term SOFR 1-Month plus 2.96%)
3.27%	07/15/351,2		8,800,000		8,839,579
MKT Mortgage Trust,
Series 2020-525M, Class XA (IO)
0.21%	02/12/401,4		147,585,000		2,264,411

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 240

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
1.02%	04/15/484	$	69,856,357	$	1,559,941
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.72%	05/15/484		110,913,281		2,184,891
Morgan Stanley Capital I Trust,
Series 2018-MP, Class A
4.28%	07/11/401,4		7,915,000		8,097,292
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%	01/15/431,4		1,095,000		1,002,967
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%	09/15/541		6,895,000		6,396,965
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		1,840,000		1,762,932
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%	01/05/431,4		10,000,000		7,971,223
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class D
4.39%	01/05/431,4		13,330,000		9,895,950
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
1.10%	08/15/504		44,373,798		802,276
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.61%	03/15/594		81,657,171		4,158,065
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XA (IO)
1.48%	12/15/451,4		60,032,268		344,033
WF-RBS Commercial Mortgage Trust,
Series 2012-C8, Class XA (IO)
1.69%	08/15/451,4		24,757,191		1,221
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO)
1.85%	11/15/451,4		31,774,701		110,241
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.66%	06/15/464		59,719,679		301,955
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.56%	10/15/574		77,553,595		891,572
					285,027,446
Non-Agency Mortgage-Backed — 25.75%
Accredited Mortgage Loan Trust,
Series 2006-1, Class A4
(LIBOR USD 1-Month plus 0.28%)
0.47%	04/25/362		896,852		891,767
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.30%)
0.76%	06/25/362		5,010,354		4,272,591

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP2, Class A2C
(LIBOR USD 1-Month plus 0.15%)
0.61%	08/25/362	$	85,233	$	85,300
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A2D
(LIBOR USD 1-Month plus 0.38%)
0.84%	03/25/372		2,348,617		1,283,791
Adjustable Rate Mortgage Trust,
Series 2005-4, Class 5A1
2.46%	08/25/354		1,412,371		1,222,256
Adjustable Rate Mortgage Trust,
Series 2007-1, Class 1A1
2.81%	03/25/374		1,894,181		1,663,887
Alternative Loan Trust,
Series 2005-74T1, Class A1
6.00%	01/25/36		5,566,229		4,198,510
Alternative Loan Trust,
Series 2005-76, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 1.48%)
1.62%	01/25/362		2,942,596		2,954,978
Alternative Loan Trust,
Series 2006-HY12, Class A5
3.06%	08/25/364		2,476,363		2,451,519
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(LIBOR USD 1-Month plus 0.28%)
0.74%	03/25/462		9,603,484		9,145,455
American Home Mortgage Investment Trust,
Series 2006-1, Class 12A1
(LIBOR USD 1-Month plus 0.40%)
0.86%	03/25/462		2,977,080		2,856,281
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2006-W3, Class A2C
(LIBOR USD 1-Month plus 0.36%)
0.82%	04/25/362		39,812,490		15,782,525
Asset-Backed Funding Certificates,
Series 2007-NC1, Class A2
(LIBOR USD 1-Month plus 0.30%)
0.76%	05/25/371,2		3,764,720		3,549,728
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A1A
(LIBOR USD 1-Month plus 1.25%)
1.71%	06/25/372		18,105,828		14,857,938
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(LIBOR USD 1-Month plus 1.00%)
1.46%	06/25/372		3,235,356		3,040,627
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(LIBOR USD 1-Month plus 0.98%)
1.43%	12/25/342		1,245,398		1,225,885

See accompanying Notes to Financial Statements.

241 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE1, Class A4
(LIBOR USD 1-Month plus 0.60%)
1.06%	01/25/362	$	742,380	$	742,928
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE5, Class A5
(LIBOR USD 1-Month plus 0.24%)
0.70%	07/25/362		9,754,000		9,676,130
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		526,086		520,906
Banc of America Funding Trust,
Series 2004-B, Class 5A1
2.54%	11/20/344		174,055		175,692
Banc of America Funding Trust,
Series 2006-D, Class 3A1
3.00%	05/20/364		672,310		626,688
Banc of America Funding Trust,
Series 2015-R3, Class 6A2
0.53%	05/27/361,4		13,384,893		12,565,604
Banc of America Mortgage Trust,
Series 2005-K, Class 2A1
2.47%	12/25/354		850,534		822,663
BCAP LLC Trust,
Series 2007-AA1, Class 2A1
(LIBOR USD 1-Month plus 0.18%)
0.64%	03/25/372		2,791,734		2,710,557
BCAP LLC Trust,
Series 2014-RR3, Class 4A1
0.49%	03/26/361,4		1,821,853		1,775,962
Bear Stearns ALT-A Trust,
Series 2005-1, Class M1
(LIBOR USD 1-Month plus 0.75%)
1.21%	01/25/352		5,289,782		5,287,322
Bear Stearns ALT-A Trust,
Series 2005-2, Class 2A4
2.86%	04/25/354		1,121,247		1,104,514
Bear Stearns ALT-A Trust,
Series 2005-8, Class 11A1
(LIBOR USD 1-Month plus 0.54%)
1.00%	10/25/352		5,847,072		5,720,937
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%	10/25/352		1,133,302		1,150,084
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC6, Class 1A3
5.50%	09/25/354		365,248		356,837
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		25,838		26,364
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 1A1
(LIBOR USD 1-Month plus 0.20%)
0.66%	09/25/472		5,446,470		5,230,125

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 2A1
(LIBOR USD 1-Month plus 0.21%)
0.67%		06/25/372	$	3,987,228	$	3,912,764
Carrington Mortgage Loan Trust,
Series 2005-OPT2, Class M4
(LIBOR USD 1-Month plus 0.98%)
1.43%		05/25/352		827,892		831,978
Carrington Mortgage Loan Trust,
Series 2006-NC4, Class A4
(LIBOR USD 1-Month plus 0.24%)
0.70%		10/25/362		14,364,300		13,074,950
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(LIBOR USD 1-Month plus 0.53%)
0.98%		02/25/362		2,029,176		2,048,523
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
2.40%		02/25/374		548,035		561,484
CIM Trust,
Series 2018-R5, Class A1
3.75%		07/25/581,4		5,063,883		4,994,583
CIM Trust,
Series 2019-R3, Class A
2.63%		06/25/581,4		8,381,598		7,897,659
CIM Trust,
Series 2020-NR1, Class A (STEP-reset date 05/25/22)
3.45%		06/26/621		13,180,903		12,864,613
CIM Trust,
Series 2020-R1, Class A1
2.85%		10/27/591,4		12,302,534		11,605,876
CIM Trust,
Series 2020-R3, Class A1A
4.00%		01/26/601,4		8,230,624		8,022,438
CIM Trust,
Series 2020-R6, Class A1A
2.25%		12/25/601,4		6,260,134		5,883,538
CIM Trust,
Series 2020-R7, Class A1A
2.25%		12/27/611,4		10,707,011		10,114,083
CIM Trust,
Series 2021-NR3, Class A1 (STEP-reset date 05/25/22)
2.57%		06/25/571		5,735,130		5,737,756
CIM Trust,
Series 2021-NR4, Class A1 (STEP-reset date 05/25/22)
2.82%		10/25/611		16,698,671		16,019,215
CIM Trust,
Series 2021-R3, Class A1B
1.95%		06/25/571,4		18,287,000		16,589,966
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/611,4		13,757,909		13,045,249
CIM Trust,
Series 2021-R5, Class A1A
2.00%		08/25/611,4		10,655,907		10,046,390

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 242

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
3.20%	06/25/364	$	96,081	$	92,005
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.78%	12/25/362		6,660,778		5,081,604
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2D
(LIBOR USD 1-Month plus 0.46%)
0.92%	12/25/362		7,118,389		5,491,456
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.26%)
0.72%	11/25/352		45,159		40,033
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class M1
(LIBOR USD 1-Month plus 0.41%)
0.86%	08/25/362		1,655,217		1,657,635
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-3, Class 1A2
(LIBOR USD 1-Month plus 0.58%)
1.04%	04/25/352		3,032,740		2,789,822
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(LIBOR USD 1-Month plus 0.60%)
1.06%	05/25/352		71,687		61,520
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR26, Class 3A1
2.49%	11/25/334		434,931		431,550
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-11, Class 1A1
6.50%	12/25/35		577,962		386,553
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-AR5, Class 9A1
2.20%	06/25/344		30,219		29,859
Credit Suisse Mortgage Capital Trust,
Series 2006-8, Class 3A1
6.00%	10/25/21		24,959		14,223
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.42%	02/25/601,4		11,217,194		11,013,765
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF3 (STEP-reset date 05/25/22)
3.00%	12/25/36		705,107		713,078
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A2
(LIBOR USD 1-Month plus 0.11%)
0.57%	11/25/362		7,703,811		4,386,579
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF2 (STEP-reset date 05/25/22)
3.16%	01/25/37		2,626,123		981,137

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(LIBOR USD 1-Month plus 0.09%)
0.55%	04/25/372	$	1,269,067	$	1,213,125
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(LIBOR USD 1-Month plus 0.06%)
0.52%	04/25/372		1,400,305		981,130
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/22)
3.61%	02/25/37		4,675,601		3,498,120
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/22)
3.61%	02/25/37		1,119,066		837,137
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/22)
3.31%	03/25/37		5,741,798		2,770,518
CSMC Mortgage-Backed Trust,
Series 2006-1, Class 1A4
5.50%	02/25/36		3,146,427		3,048,478
CSMC Trust,
Series 2021-RPL7, Class A1
1.93%	07/27/611,4		9,698,431		9,228,544
CSMC,
Series 2022-RPL1, Class PT
3.78%	02/01/62†,1		13,740,000		14,297,127
CSMCM Trust,
Series 2018-SP3, Class CERT
1.52%	10/25/581,4		15,433,776		14,331,557
CSMCM,
Series 2022-RPL1, Class CERT
3.78%	02/01/62†,1		580,000		603,518
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(LIBOR USD 1-Month plus 0.72%)
1.17%	01/19/452		493,754		426,908
DSLA Mortgage Loan Trust,
Series 2005-AR6, Class 2A1A
(LIBOR USD 1-Month plus 0.58%)
1.03%	10/19/452		3,517,170		3,426,140
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.65%	10/19/362		5,708,941		4,428,292
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.14%)
0.59%	03/19/372		1,350,480		1,238,201
First Franklin Mortgage Loan Trust,
Series 2006-FF11, Class 2A3
(LIBOR USD 1-Month plus 0.30%)
0.76%	08/25/362		5,398,603		5,130,381

See accompanying Notes to Financial Statements.

243 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(LIBOR USD 1-Month plus 0.32%)
0.78%	10/25/362	$	13,292,408	$	10,132,973
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(LIBOR USD 1-Month plus 0.21%)
0.67%	12/25/372		812,089		761,154
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(LIBOR USD 1-Month plus 0.56%)
1.02%	03/25/362		5,137,856		5,037,546
First Franklin Mortgage Loan Trust,
Series 2006-FF9, Class 2A4
(LIBOR USD 1-Month plus 0.50%)
0.96%	06/25/362		8,650,000		7,876,245
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(LIBOR USD 1-Month plus 0.22%)
0.68%	01/25/382		4,295,712		2,749,469
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(LIBOR USD 1-Month plus 0.10%)
0.56%	03/25/372		575,134		326,845
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
2.37%	09/25/344		196,834		193,328
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A3
2.37%	09/25/344		302,669		297,278
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
2.44%	12/25/354		881,332		819,637
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
2.49%	02/25/364		1,247,699		967,460
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA2, Class 2A1
2.73%	04/25/354		1,818,539		1,909,430
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA3, Class 3A1
2.22%	05/25/354		1,308,890		1,256,474
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
2.44%	09/25/354		1,664,283		1,606,153
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
2.45%	10/25/354		1,948,698		1,436,874
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
2.30%	11/25/354		1,200,006		1,077,416
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA1, Class 1A1
2.48%	03/25/364		1,342,544		1,113,165

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2006-AA7, Class A1
2.70%	01/25/374	$	2,254,028	$	1,926,890
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
2.67%	09/25/354		1,353,233		1,010,959
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
2.94%	10/25/354		55,957		55,662
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
2.71%	11/25/354		698,529		606,032
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
2.59%	08/25/374		56,352		25,896
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1
2.76%	09/19/354		1,316,388		1,037,428
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 3A1
3.41%	09/19/354		1,151,650		1,065,269
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
2.89%	04/19/364		2,919,450		2,462,870
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 2A1A
(LIBOR USD 1-Month plus 0.20%)
0.66%	03/25/472		9,993,399		9,445,888
GSAMP Trust,
Series 2007-FM2, Class A1
(LIBOR USD 1-Month plus 0.14%)
0.60%	01/25/372		19,154,329		13,213,267
GSR Mortgage Loan Trust,
Series 2005-7F, Class 3A3 (IO)
(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap)
5.04%	09/25/352,5,6		12,884		509
GSR Mortgage Loan Trust,
Series 2005-AR4, Class 5A1
3.05%	07/25/354		378,293		355,933
GSR Mortgage Loan Trust,
Series 2006-AR2, Class 2A1
2.66%	04/25/364		186,386		145,404
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 5A1A
3.08%	05/25/374		607,403		569,373
HarborView Mortgage Loan Trust,
Series 2005-10, Class 2A1A
(LIBOR USD 1-Month plus 0.62%)
1.07%	11/19/352		2,040,650		1,770,890
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(LIBOR USD 1-Month plus 0.42%)
0.87%	09/19/462		9,296,618		8,679,844

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 244

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2007-6, Class 1A1A
(LIBOR USD 1-Month plus 0.20%)
0.65%	08/19/372	$	10,829,359	$	10,109,740
Home Equity Mortgage Loan Asset-Backed Trust,
Series 2005-D, Class AII4
(LIBOR USD 1-Month plus 0.70%)
1.16%	03/25/362		2,743,399		2,705,609
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(LIBOR USD 1-Month plus 0.63%)
1.09%	11/25/352		2,261,395		2,242,531
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(LIBOR USD 1-Month plus 0.28%)
0.74%	10/25/362		11,357,496		4,586,479
HSI Asset Securitization Corp. Trust,
Series 2006-HE2, Class 1A
(LIBOR USD 1-Month plus 0.26%)
0.72%	12/25/362		28,276,508		14,074,836
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A1
(LIBOR USD 1-Month plus 0.10%)
0.56%	07/25/362		10,594,400		5,698,380
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A2
(LIBOR USD 1-Month plus 0.20%)
0.66%	07/25/362		11,725,960		6,362,082
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A4
(LIBOR USD 1-Month plus 0.50%)
0.96%	07/25/362		10,253,803		5,707,825
Impac CMB Trust,
Series 2005-2, Class 1A1
(LIBOR USD 1-Month plus 0.52%)
0.98%	04/25/352		2,430,733		2,404,136
IndyMac Index Mortgage Loan Trust,
Series 2005-AR14, Class 1A1A
(LIBOR USD 1-Month plus 0.56%)
1.02%	07/25/352		9,276,264		7,199,127
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
2.77%	10/25/354		1,950,009		1,792,802
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 1A3
(LIBOR USD 1-Month plus 0.54%)
1.00%	10/25/362		5,407,527		2,850,747
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A2A
(LIBOR USD 1-Month plus 0.50%)
0.96%	05/25/462		12,179,277		12,281,801
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 3A1
2.75%	05/25/364		240,950		219,960

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2006-AR9, Class 3A3
2.94%	06/25/364	$	2,878,920	$	2,709,019
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX4, Class 2A1
(LIBOR USD 1-Month plus 0.18%)
0.64%	07/25/372		14,310,081		13,788,539
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		27,891		28,774
JPMorgan Mortgage Acquisition Trust,
Series 2006-ACC1, Class M1
(LIBOR USD 1-Month plus 0.41%)
0.86%	05/25/362		1,401,559		1,415,083
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(LIBOR USD 1-Month plus 0.29%)
0.75%	07/25/362		6,351,481		6,328,911
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A1A
(LIBOR USD 1-Month plus 0.13%)
0.59%	12/25/362		7,708,383		5,590,188
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A4
(LIBOR USD 1-Month plus 0.15%)
0.61%	12/25/362		9,610,257		5,812,654
JPMorgan Mortgage Trust,
Series 2005-A6, Class 7A1
3.11%	08/25/354		18,337		16,898
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
2.76%	05/25/364		19,470		17,535
JPMorgan Mortgage Trust,
Series 2006-S2, Class 2A2
5.88%	06/25/21		3,647		3,664
Legacy Mortgage Asset Trust,
Series 2017-RPL1, Class A
(LIBOR USD 1-Month plus 1.75%)
2.20%	01/28/701,2		4,763,708		4,726,284
Legacy Mortgage Asset Trust,
Series 2020-GS2, Class A1 (STEP-reset date 04/25/22)
2.75%	03/25/601		19,104,283		19,137,115
Lehman XS Trust,
Series 2005-4, Class 1A3
(LIBOR USD 1-Month plus 0.80%)
1.26%	10/25/352		23,096		23,125
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(LIBOR USD 1-Month plus 0.30%)
0.76%	11/25/352		1,386,102		1,379,465
Lehman XS Trust,
Series 2006-17, Class 1A3
(LIBOR USD 1-Month plus 0.50%)
0.96%	08/25/462		14,646,056		13,962,665

See accompanying Notes to Financial Statements.

245 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust,
Series 2006-GP2, Class 1A5A
(LIBOR USD 1-Month plus 0.42%)
0.88%	06/25/462	$	3,898,453	$	3,786,024
Lehman XS Trust,
Series 2007-18N, Class 1A1
(LIBOR USD 1-Month plus 0.85%)
1.31%	10/25/372		4,466,530		4,296,071
Long Beach Mortgage Loan Trust,
Series 2006-2, Class 1A
(LIBOR USD 1-Month plus 0.36%)
0.82%	03/25/462		6,943,768		6,108,021
Long Beach Mortgage Loan Trust,
Series 2006-9, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.57%	10/25/362		50,686,128		18,146,483
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
1.91%	11/25/334		134,603		130,928
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1
3.80%	10/25/344		124,703		122,316
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
2.53%	04/25/344		40,216		40,237
MASTR Adjustable Rate Mortgages Trust,
Series 2006-OA2, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 0.80%)
0.94%	12/25/462		17,819,765		15,921,594
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A1
(LIBOR USD 1-Month plus 0.30%)
0.76%	03/25/472		2,819,333		2,708,200
MASTR Asset-Backed Securities Trust,
Series 2006-WMC1, Class A3
(LIBOR USD 1-Month plus 0.36%)
0.82%	02/25/362		17,392,923		8,207,522
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(LIBOR USD 1-Month plus 0.28%)
0.74%	05/25/372		3,150,000		2,848,551
MASTR Asset-Backed Securities Trust,
Series 2007-WMC1, Class A2
(LIBOR USD 1-Month plus 0.05%)
0.51%	01/25/372		16,961,461		6,002,004
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(LIBOR USD 1-Month plus 0.66%)
1.12%	04/25/372,5,6		883,581		44,393
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A2
(LIBOR USD 1-Month plus 0.42%)
0.88%	04/25/372		7,957,484		7,533,497

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(LIBOR USD 1-Month plus 0.25%)
0.71%	04/25/372	$	18,276,968	$	8,755,414
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A4
(LIBOR USD 1-Month plus 0.25%)
0.71%	07/25/372		954,748		786,408
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-5, Class 1A
(LIBOR USD 1-Month plus 0.85%)
1.31%	10/25/372		24,933,498		16,421,044
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
2.38%	10/25/334		100,872		100,261
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.40%)
3.53%	08/25/362		818,764		781,473
Morgan Stanley ABS Capital I Trust,
Series 2006-NC2, Class A2D
(LIBOR USD 1-Month plus 0.58%)
1.04%	02/25/362		1,491,163		1,489,391
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A3
(LIBOR USD 1-Month plus 0.30%)
0.76%	06/25/362		9,817,713		5,987,316
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A4
(LIBOR USD 1-Month plus 0.48%)
0.94%	06/25/362		10,473,283		6,463,069
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2007-NC3, Class A2C
(LIBOR USD 1-Month plus 0.19%)
0.65%	05/25/372		24,122,972		20,477,412
Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A4
(LIBOR USD 1-Month plus 0.52%)
0.98%	04/25/362		12,892,366		10,384,877
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
2.07%	09/25/344		228,047		223,106
Morgan Stanley Mortgage Loan Trust,
Series 2006-2, Class 1A
5.25%	02/25/21		46,417		47,282
MortgageIT Trust,
Series 2005-2, Class 2A
(LIBOR USD 1-Month plus 1.65%)
1.88%	05/25/352		874,777		871,132
New Century Home Equity Loan Trust,
Series 2005-D, Class A2D
(LIBOR USD 1-Month plus 0.66%)
1.12%	02/25/362		631,482		631,379

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 246

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
New York Mortgage Trust,
Series 2005-3, Class A1
(LIBOR USD 1-Month plus 0.48%)
0.94%		02/25/362	$	299,420	$	300,499
Nomura Asset Acceptance Corp.,
Series 2005-AR4, Class 4A1
3.24%		08/25/354		2,330,809		1,900,210
Nomura Resecuritization Trust,
Series 2016-2R, Class 1A1
0.34%		09/26/361,4		1,083,144		1,080,133
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/22)
3.00%		07/25/591		10,557,492		10,520,728
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%		09/15/294		10,331,953		3,692,103
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-3, Class M2 (LIBOR USD 1-Month plus 0.72%)
1.18%		07/25/352		4,079,639		4,083,645
Option One Mortgage Loan Trust,
Series 2007-4, Class 2A2
(LIBOR USD 1-Month plus 0.18%)
0.64%		04/25/372		13,880,095		9,342,278
Option One Mortgage Loan Trust,
Series 2007-5, Class 2A2
(LIBOR USD 1-Month plus 0.17%)
0.63%		05/25/372		19,934,787		12,697,200
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(LIBOR USD 1-Month plus 0.42%)
0.88%		01/25/372		5,391,136		5,016,904
PHH Alternative Mortgage Trust,
Series 2007-2, Class 1A4
(LIBOR USD 1-Month plus 0.60%)
1.06%		05/25/372		9,790,110		9,574,646
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(LIBOR USD 1-Month plus 0.31%)
0.77%		06/25/472		5,152,000		4,924,205
PRET, LLC,
Series 2022-RN1, Class A1 (STEP-reset date 04/25/22)
3.72%		07/25/511		17,565,730		17,266,837
PRPM LLC,
Series 2021-9, Class A1
2.36%		10/25/261,4		16,390,745		15,731,632
PRPM, LLC,
Series 2021-8, Class A1
1.74%		09/25/261,4		9,385,114		8,936,135
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%		09/25/34		53,117		51,108
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
3.97%		12/25/354		1,522,521		1,405,014

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
3.29%	04/25/354	$	11,806	$	11,791
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
2.99%	07/25/354		600,289		586,916
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
3.47%	07/25/354		608,351		407,515
Residential Accredit Loans Trust,
Series 2006-QS13, Class 2A1
5.75%	09/25/21		5,243		4,532
Residential Accredit Loans Trust,
Series 2006-QS16, Class A6
6.00%	11/25/36		377,521		354,348
Residential Accredit Loans Trust,
Series 2007-QA3, Class A1
(LIBOR USD 1-Month plus 0.10%)
0.56%	05/25/372		14,281,152		13,694,488
Residential Accredit Loans Trust,
Series 2007-QH6, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.84%	07/25/372		8,592,978		8,439,805
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2AV (IO)
0.17%	01/25/374,5,6		1,734,805		10,063
Residential Asset Securities Corp.,
Series 2005-KS9, Class M4
(LIBOR USD 1-Month plus 0.60%)
1.36%	10/25/352		149,368		149,541
Residential Asset Securitization Trust,
Series 2006-A9CB, Class A9
6.00%	09/25/36		4,941,626		2,121,497
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 1A
3.44%	04/25/374		254,459		164,660
Saxon Asset Securities Trust,
Series 2005-4, Class M1
(LIBOR USD 1-Month plus 0.66%)
1.12%	11/25/372		231,267		231,447
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(LIBOR USD 1-Month plus 0.24%)
0.70%	05/25/472		13,979,947		11,341,646
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/22)
2.91%	01/25/36		3,832,871		3,537,106
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-WM4, Class A1
(LIBOR USD 1-Month plus 0.38%)
0.84%	11/25/361,2		9,428,785		5,397,426
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(LIBOR USD 1-Month plus 0.23%)
0.69%	02/25/372		1,053,366		561,029

See accompanying Notes to Financial Statements.

247 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR4, Class A2B
(LIBOR USD 1-Month plus 0.20%)
0.66%	05/25/372	$	1,949,927	$	1,368,226
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(LIBOR USD 1-Month plus 0.15%)
0.61%	12/25/362		5,923,613		3,937,887
Soundview Home Loan Trust,
Series 2006-WF2, Class M1
(LIBOR USD 1-Month plus 0.33%)
0.79%	12/25/362		2,260,630		2,258,236
Soundview Home Loan Trust,
Series 2007-OPT1, Class 2A3
(LIBOR USD 1-Month plus 0.21%)
0.67%	06/25/372		20,367,386		15,395,467
Soundview Home Loan Trust,
Series 2007-WMC1, Class 3A3
(LIBOR USD 1-Month plus 0.26%)
0.72%	02/25/372		1,016,530		355,935
Specialty Underwriting & Residential Finance Trust,
Series 2007-BC2, Class A1
(LIBOR USD 1-Month plus 0.23%)
0.69%	04/25/372		21,964,350		17,512,220
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
2.68%	09/25/344		450,664		452,291
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-2, Class 4A2
2.71%	03/25/344		863,180		843,295
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
2.34%	06/25/354		510,219		472,661
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-21, Class 2A
2.54%	11/25/354		809,098		694,872
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-7, Class 1A3
2.96%	04/25/354		2,251,478		2,283,588
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-11, Class 1A1
(LIBOR USD 1-Month plus 0.32%)
0.78%	12/25/362		1,161,141		1,131,392
Structured Asset Investment Loan Trust,
Series 2004-6, Class A3
(LIBOR USD 1-Month plus 0.80%)
1.26%	07/25/342		9,667,207		9,067,404
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
2.48%	05/25/364		451,397		283,547
Structured Asset Mortgage Investments II Trust,
Series 2006-AR5, Class 1A1
(LIBOR USD 1-Month plus 0.42%)
0.88%	05/25/362		206,402		198,808

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1BG
(LIBOR USD 1-Month plus 0.12%)
0.58%	08/25/362	$	9,776,356	$	9,243,093
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
1.64%	08/25/472		9,911,713		9,456,738
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-2XS, Class 2A2
(LIBOR USD 1-Month plus 1.50%)
1.73%	02/25/352		65,833		66,313
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-4XS, Class 2A1A
(LIBOR USD 1-Month plus 1.75%)
1.98%	03/25/352		1,111,153		1,133,096
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-34A, Class 3A3
3.03%	11/25/334		19,961		20,454
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-4, Class 3A1
2.66%	10/25/374		996,970		912,064
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-S1, Class 2A1
2.52%	01/25/374		383,018		393,978
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-S1, Class 5A1
2.90%	01/25/374		128,630		127,452
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/22)
2.24%	02/27/511		13,476,935		12,995,453
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(LIBOR USD 1-Month plus 0.11%)
0.57%	01/25/372		5,613,974		3,150,249
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(LIBOR USD 1-Month plus 0.22%)
0.68%	02/25/372		29,289,542		10,864,472
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR13, Class A1A
(LIBOR USD 1-Month plus 0.72%)
1.18%	11/25/342		122,330		119,016
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
2.75%	01/25/354		403,263		403,132
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(LIBOR USD 1-Month plus 0.84%)
1.30%	05/25/442		24,390		24,546
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR12, Class 1A6
2.85%	10/25/354		824,994		816,641

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 248

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
2.86%	12/25/354	$	20,909	$	21,022
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR16, Class 1A3
2.67%	12/25/354		1,000,988		1,010,002
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(LIBOR USD 1-Month plus 0.66%)
1.12%	01/25/452		440,504		435,937
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR9, Class A1A
(LIBOR USD 1-Month plus 0.64%)
1.10%	07/25/452		478,492		467,827
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
1.14%	02/25/462		3,523,518		3,446,362
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		1,472,258		1,446,069
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
1.12%	07/25/462		3,477,090		3,317,102
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY3, Class 1A1
2.92%	03/25/374		1,690,965		1,562,292
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA5, Class 1A
(Federal Reserve US 12-Month Cumulative Average plus 0.75%)
0.89%	06/25/472		1,361,119		1,290,704
WaMu Mortgage Pass-Through Certificates,
Series 2007-OC1, Class A1
(LIBOR USD 1-Month plus 0.24%)
0.70%	01/25/472		5,004,659		4,960,910
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		1,586,289		1,497,515
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2007-1, Class A3
(LIBOR USD 1-Month plus 0.64%)
1.10%	03/25/372		4,690,000		4,342,131
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A1
2.60%	10/25/364		355,979		342,181
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 1A1
2.87%	04/25/364		80,120		76,341
					1,026,018,359

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed — 1.15%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
2.94%		07/25/394	$	18,227,249	$	479,123
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.12%		04/25/364		11,666,036		117,317
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.65%		01/25/394		35,539,516		1,004,286
Fannie Mae-Aces,
Series 2019-M29, Class X4 (IO)
0.70%		03/25/294		117,375,779		4,255,782
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
0.77%		07/25/334		14,520,699		1,391,567
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K021, Class X3 (IO)
1.97%		07/25/404		26,660,903		119,040
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K022, Class X3 (IO)
1.81%		08/25/404		37,280,187		215,802
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K031, Class X1 (IO)
0.18%		04/25/234		354,284,559		621,805
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K043, Class X3 (IO)
1.63%		02/25/434		58,000,000		2,422,614
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K051, Class X3 (IO)
1.61%		10/25/434		44,865,280		2,362,103
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K054, Class X1 (IO)
1.16%		01/25/264		53,035,035		1,997,984
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K055, Class X3 (IO)
1.64%		04/25/444		32,000,000		1,832,282
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K056, Class X1 (IO)
1.26%		05/25/264		59,085,212		2,479,035
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K057, Class X1 (IO)
1.17%		07/25/264		121,723,493		5,029,615
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K726, Class X1 (IO)
0.90%		04/25/244		121,607,266		1,695,521

See accompanying Notes to Financial Statements.

249 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC01, Class X1 (IO)
0.42%		12/25/224	$	31,156,710	$	127,423
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.20%		06/25/274		88,571,524		3,433,883
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC07, Class X1 (IO)
0.73%		09/25/264		84,627,979		1,940,037
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KF31, Class A
(LIBOR USD 1-Month plus 0.37%)
0.61%		04/25/242		2,337,166		2,339,209
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KIR1, Class X (IO)
1.05%		03/25/264		115,095,458		3,995,746
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KL05, Class X1HG (IO)
1.22%		12/25/274		49,531,000		2,708,256
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS06, Class X (IO)
1.05%		08/25/264		66,390,108		2,112,308
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS07, Class X (IO)
0.64%		09/25/254		101,904,872		2,212,054
Ginnie Mae,
Series 2011-152, Class IO (IO)
0.02%		08/16/514		5,839,814		2,653
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.13%		02/16/534		32,551,029		135,009
Ginnie Mae,
Series 2012-78, Class IO (IO)
0.11%		06/16/524		43,682,033		85,232
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.20%		05/16/554		14,651,466		151,999
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.94%		11/16/544		11,024,820		362,885
						45,630,570
U.S. Agency Mortgage-Backed — 12.05%
Fannie Mae REMICS,
Series 2006-11, Class PS
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap)
22.89%		03/25/362		12,940		18,851

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2006-8, Class HJ (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.14%	03/25/362	$	614,599	$	94,261
Fannie Mae REMICS,
Series 2007-52, Class LS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap)
5.59%	06/25/372		28,097		3,111
Fannie Mae REMICS,
Series 2007-77, Class SK (IO)
(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap)
5.41%	08/25/372		59,454		7,659
Fannie Mae REMICS,
Series 2007-88, Class JI (IO)
(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap)
5.99%	04/25/372		660,961		98,974
Fannie Mae REMICS,
Series 2008-18, Class SM (IO)
(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap)
6.54%	03/25/382		39,275		3,958
Fannie Mae REMICS,
Series 2008-62, Class SN (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
5.74%	07/25/382		67,773		7,878
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap)
6.14%	10/25/402		34,292		5,374
Fannie Mae REMICS,
Series 2012-56, Class FK
(LIBOR USD 1-Month plus 0.45%)
0.91%	06/25/422		2,266,232		2,272,515
Fannie Mae REMICS,
Series 2013-5, Class GF
(LIBOR USD 1-Month plus 1.10%)
1.56%	10/25/422		147,389		147,381
Fannie Mae REMICS,
Series 2014-49, Class CF
(LIBOR USD 1-Month plus 1.00%)
1.23%	07/25/432		4,638,826		4,710,024
Fannie Mae REMICS,
Series 2019-33, Class FN
(LIBOR USD 1-Month plus 0.40%)
0.86%	07/25/492		4,458,215		4,464,181
Freddie Mac REMICS,
Series 2711, Class FA
(LIBOR USD 1-Month plus 1.00%)
1.40%	11/15/332		39,215		40,279
Freddie Mac REMICS,
Series 2733, Class FB
(LIBOR USD 1-Month plus 0.60%)
1.00%	10/15/332		158,894		161,057
Freddie Mac REMICS,
Series 3339, Class JS
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap)
40.26%	07/15/372		9,360		16,820

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 250

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3404, Class AS (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
5.50%		01/15/382	$	41,006	$	6,771
Freddie Mac REMICS,
Series 3439, Class SC (IO)
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap)
5.50%		04/15/382		31,536		3,627
Freddie Mac REMICS,
Series 3885, Class PO (PO)
0.00%		11/15/3311		12,324		10,899
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap)
6.21%		04/15/422		80,676		13,678
Freddie Mac REMICS,
Series 4919, Class FP
(LIBOR USD 1-Month plus 0.45%)
0.91%		09/25/492		3,878,068		3,883,686
Freddie Mac REMICS,
Series 4993, Class OP (PO)
0.00%		10/25/5811		2,900,317		2,735,257
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%		11/16/41		73,998		12,927
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap)
0.60%		06/16/372		425,165		3,845
Ginnie Mae,
Series 2011-81, Class IC (IO)
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap)
0.62%		07/20/352		527,744		6,821
Ginnie Mae,
Series 2013-135, Class CS (IO)
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap)
5.77%		09/16/432		1,678,128		251,304
Ginnie Mae,
Series 2017-136, Class IO (IO)
5.00%		09/20/47		339,369		59,003
Ginnie Mae,
Series 2019-86, Class FE
(LIBOR USD 1-Month plus 0.40%)
0.85%		07/20/492		4,690,789		4,689,600
Ginnie Mae,
Series 2020-133, Class FA
0.55%		02/20/494		3,278,503		3,287,246
UMBS (TBA)
2.00%		04/01/52		41,450,000		38,454,795
2.00%		05/01/52		125,300,000		116,105,135
2.50%		05/01/52		189,125,000		180,077,814
3.00%		04/01/52		5,075,000		4,964,777

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
3.00%	05/01/52	$	116,100,000	$	113,342,631
					479,962,139
Total Mortgage-Backed
(Cost $1,982,378,419)					1,836,638,514
MUNICIPAL BONDS — 0.48%*
California — 0.23%
California State University Revenue Bonds, University & College Improvements, Series B
2.37%	11/01/35		1,995,000		1,705,460
Los Angeles Department of Water & Power Water System Revenue Bonds, Water Utility Improvements, Series SY
6.01%	07/01/39		1,950,000		2,434,475
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR
5.76%	07/01/29		2,935,000		3,336,842
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		1,603,505
					9,080,282
Florida — 0.11%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.81%	10/01/34		1,000,000		921,527
2.86%	10/01/35		1,750,000		1,617,892
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.35%	10/01/29		2,000,000		1,996,379
					4,535,798
New York — 0.14%
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2
5.18%	11/15/49		975,000		1,114,944
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
3.95%	08/01/32		1,000,000		1,020,038
New York State Dormitory Authority Revenue Bonds,
University & College Improvements
5.29%	03/15/33		3,100,000		3,460,238
					5,595,220
Total Municipal Bonds
(Cost $20,217,476)					19,211,300
U.S. TREASURY SECURITIES — 1.42%
U.S. Treasury Notes — 1.42%
U.S. Treasury Notes
1.50%	02/29/24		37,631,000		37,087,114

See accompanying Notes to Financial Statements.

251 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
1.75%		03/15/25	$	20,061,000	$	19,646,580
Total U.S. Treasury Securities
(Cost $57,106,216)						56,733,694
Total Bonds — 100.05%
(Cost $4,213,814,528)						3,986,330,212
Issues			Shares		Value
COMMON STOCK — 0.30%
Communications — 0.11%
Intelsat Emergence SA3,5,6,9
(Luxembourg)				141,055		4,231,650
Electric — 0.00%
Homer City Holdings LLC†,5,6,9,10				112,222		—
Financials — 0.19%
AGNC Investment Corp.				582,000		7,624,200
Total Common Stock
(Cost $17,826,353)						11,855,850
RIGHTS — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA, Series A3,5,6,9 (Luxembourg)				14,771		—
Intelsat Jackson Holdings SA, Series B3,5,6,9 (Luxembourg)				14,771		—
						—
Total Rights
(Cost $–)						—
Purchased Options - 0.01%
(Cost $1,664,253)						467,063
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 10.32%
Money Market Funds — 4.78%
Dreyfus Government Cash Management Fund
0.19%12				11,565,000		11,565,000
Fidelity Investments Money Market Funds - Government Portfolio
0.12%12,13				761,390		761,390
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
0.23%12				177,930,000		177,930,000
						190,256,390
U.S. Agency Discount Notes — 0.50%
Federal Home Loan Bank
3.22%		09/04/24		20,435,000		20,081,296
						20,081,296

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 5.04%
U.S. Treasury Bills
0.13%14	04/12/22	$	1,100,000	$	1,099,955
0.05%14	04/21/22		50,000,000		49,995,833
0.18%14	06/23/22		25,000,000		24,973,197
0.37%14	07/28/22		75,000,000		74,815,625
0.61%14	08/25/22		50,000,000		49,823,585
					200,708,195
Total Short-Term Investments
(Cost $411,567,375)					411,045,881
Total Investments Before Written Options - 110.68%
(Cost $4,644,872,509)					4,409,699,006
Written Options - (0.35)%
(Cost $(7,540,049))					(14,047,392	)
Net unrealized depreciation on unfunded commitments - 0.00%					(13,886	)
Liabilities in Excess of Other Assets - (10.33)%					(411,490,226	)
Net Assets - 100.00%				$	3,984,147,502

¹ Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

² Floating rate security. The rate disclosed was in effect at March 31, 2022.

³ Foreign denominated security issued by foreign domiciled entity.

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

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

⁶ Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $18,873,501, which is 0.47% 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 $690,124, at an interest rate of 1.88% and a maturity of July 17, 2028. The investment is not accruing an unused commitment fee.

⁸ Perpetual security with no stated maturity date.

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 March 31, 2022.

¹² Represents the current yield as of March 31, 2022.

¹³ Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $761,390.

¹⁴ Represents annualized yield at date of purchase.

^† Fair valued security. The aggregate value of fair valued securities is $35,599,259, which is 0.89% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. See Notes to Financial Statements.

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 252

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

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

(CAD): Canadian Dollar

(CLO): Collateralized Loan Obligation

(EDC): Economic Development Corporation

(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

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

Currency to be Purchased	Currency to be Sold	Counterparty	SettlementDate	UnrealizedAppreciation(Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
CAD 77,057,000	USD 60,415,540	Citigroup Global Markets, Inc.	04/08/22	$	1,274,458
EUR 2,577,000	USD 2,835,071	Goldman Sachs International	04/08/22		32,906
USD 5,016,355	GBP 3,739,000	Goldman Sachs International	04/08/22		93,645
					1,401,009
GBP 3,739,000	USD 5,020,989	Goldman Sachs International	04/08/22		(98,280)
USD 60,082,494	CAD 77,057,000	Citigroup Global Markets, Inc.	04/08/22		(1,607,503)
USD 2,864,501	EUR 2,577,000	Goldman Sachs International	04/08/22		(3,476)
USD 2,713,853	EUR 2,458,000	Goldman Sachs International	07/08/22		(32,448)
USD 1,798,046	GBP 1,373,000	Goldman Sachs International	07/08/22		(9,293)
					(1,751,000)
NET UNREALIZED DEPRECIATION				$	(349,991)

Description	Number ofContracts		Expiration Date		Notional Amount		Value		UnrealizedAppreciation(Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		3,883		06/30/22	$	445,331,563	$	(11,026,317)	$	(11,026,317)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		3,365		06/21/22		(455,852,344)		15,190,521		15,190,521
U.S. Treasury Ultra Bond		1,038		06/21/22		(183,855,750)		6,267,118		6,267,118
						(639,708,094)		21,457,639		21,457,639
TOTAL FUTURES CONTRACTS					$	(194,376,531)	$	10,431,322	$	10,431,322

Reference Obligation/Index	FinancingRate Paid bythe Fund		PaymentFrequency		ImpliedCreditSpread at 03/31/221		Counterparty		ExpirationDate		NotionalAmount (000’s)2		Value3		PremiumsPaid		UnrealizedAppreciation
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC4
1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/305		5.00%		3 Months		120		Credit Suisse First Boston International		06/20/23	$	9,250	$	438,220	$	372,539	$	65,682
Berry Global, Inc., 5.63%, due 07/15/27		5.00%		3 Months		175		Credit Suisse First Boston International		12/20/23		10,370		578,056		548,572		29,484
TOTAL													$	1,016,276	$	921,111	$	95,166

See accompanying Notes to Financial Statements.

253 / Annual Report March 2022

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

¹ An implied credit spread is the spread in yield between a U.S. Treasury security and the referenced obligation or underlying investment that are identical in all respects except for the quality rating. Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swaps on corporate issues as of year end serve as an indicator of the current status of the payment performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter the agreement. Wider credit spreads, in comparison to narrower credit spreads, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

² The maximum potential amount for the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.

³ The quoted market prices are resulting values for credit default swap agreements on credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of year end. Increasing values (buy protection) or decreasing values (sell protection), when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood of risk of default or other credit event occurring as defined under the terms of the agreement.

⁴ If the Fund is a seller of protection and credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection the amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying investments comprising the referenced index or (ii) pay a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index.

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

Description	Number ofcontracts		ExercisePrice		ExpirationDate		Notional Amount			Value
PURCHASED CALL OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		825		$98.00		12/19/22	$	6,022,913		$	371,250
IMM Eurodollar 1-Year MIDCV Future Options		506		98.38		09/16/22		3,676,596			41,113
IMM Eurodollar 1-Year MIDCV Future Options		1,094		98.75		09/16/22		52,993,360			54,700
TOTAL PURCHASED OPTIONS							$	62,692,869		$	467,063
Description	Number ofcontracts		ExercisePrice		ExpirationDate		Notional Amount			Value
WRITTEN CALL OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		825		$98.25		12/19/22	$	(6,022,913	)	$	(257,812	)
IMM Eurodollar 2-Year MIDCV Future Options		742		97.63		12/16/22		(45,120,556	)		(510,125	)
IMM Eurodollar 2-Year MIDCV Future Options		1,195		97.88		12/16/22		(72,667,203	)		(560,156	)
IMM Eurodollar 1-Year MIDCV Future Options		2,485		99.00		09/16/22		(108,336,060	)		(93,188	)
								(232,146,732	)		(1,421,281	)
WRITTEN PUT OPTIONS EXCHANGE TRADED
90-Day Euro Dollar Futures		825		$97.25		12/19/22	$	(6,022,913	)	$	(814,687	)
IMM Eurodollar 1-Year MIDCV Future Options		2,986		97.63		09/16/22		(14,464,184	)		(6,419,900	)
IMM Eurodollar 2-Year MIDCV Future Options		1,937		97.38		12/16/22		(117,787,759	)		(2,263,869	)
								(138,274,856	)		(9,498,456	)
TOTAL WRITTEN OPTIONS							$	(370,421,588	)	$	(10,919,737	)

Received by theFund

Paid by the Fund

Description

Counterparty

Purchase Date

Maturity Date

Rate

Frequency

Rate

Frequency

NotionalAmount(000’s)

Value

Premiums (Received)

Unrealized (Depreciation)

WRITTEN PUT SWAPTIONS

Option to enter into a 2-year Interest Rate Swap

JPMorgan Chase

03/09/22

06/08/22

1.95%

Semi- annually

3-month USD LIBOR

Quarterly

$

202,250

$

(3,127,655

)

$

(582,480

)

$

(2,545,175)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 254

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2022

			Received by the Fund			Paid by the Fund
Description	Maturity Date		Rate	Frequency		Rate		Frequency		Notional Amount (000’s)		Value		Premiums Paid		Unrealized Appreciation (Depreciation)
SWAPS: INTEREST RATE
Interest Rate Swap1		12/07/53	3-month USD LIBOR		Quarterly		1.74%		Semi-annually	$	10,195	$	1,052,150	$	—	$	1,052,150
Interest Rate Swap1		07/24/53	3-month USD LIBOR		Quarterly		1.81%		Semi-annually		3,625		344,864		—		344,864
Interest Rate Swap1		07/24/53	3-month USD LIBOR		Quarterly		1.77%		Semi-annually		7,250		742,562		—		742,562
Interest Rate Swap1		07/24/53	3-month USD LIBOR		Quarterly		1.79%		Semi-annually		5,370		536,032		—		536,032
Interest Rate Swap1		09/28/53	3-month USD LIBOR		Quarterly		1.87%		Semi-annually		10,130		805,304		—		805,304
Interest Rate Swap1		12/07/25	1.69%		Semi-annually		3-month USD LIBOR		Quarterly		121,935		(2,453,991)		—		(2,453,991)
Interest Rate Swap1		07/24/25	1.07%		Semi-annually		3-month USD LIBOR		Quarterly		43,405		(1,501,644)		—		(1,501,644)
Interest Rate Swap1		07/24/25	1.03%		Semi-annually		3-month USD LIBOR		Quarterly		86,810		(3,079,671)		—		(3,079,671)
Interest Rate Swap1		07/24/25	1.03%		Semi-annually		3-month USD LIBOR		Quarterly		64,210		(2,268,302)		—		(2,268,302)
Interest Rate Swap1		09/28/25	1.39%		Semi-annually		3-month USD LIBOR		Quarterly		118,685		(3,233,763)		—		(3,233,763)
TOTAL SWAPS CONTRACTS										$	471,615	$	(9,056,459)	$	—	$	(9,056,459)

¹ Centrally cleared.

See accompanying Notes to Financial Statements.

255 / Annual Report March 2022

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Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2022

ASSETS:	ALPHATRAK         500 FUND		CORPORATE BOND FUND
Investments, at value - Unaffiliated (Cost $44,016,081, $13,578,996, $12,693,329, $253,410,106, $507,473,767 and $740,547,517, respectively) (Note 2)	$	43,697,150		$	12,423,600
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $0 and $27,171,821, respectively) (Note 5)		—			—
Cash and cash equivalents (Note 2)		44			—
Foreign Currency, at value (Cost $0, $0, $0, $1,096, $10,228 and $17,899, respectively)		—			—
Cash on deposit with brokers for collateral on swaps (Note 2)		—			47,962
Cash on deposit with brokers for collateral on futures (Note 2)		2,708,000			42,000
Receivable for securities sold		1,852,471			78,400
Receivable for capital stock sold		570,851			226
Dividends and interest receivable		161,669			99,659
Due from Adviser (Note 6)		25,763			14,613
Receivable for daily variation margin on futures contracts (Note 3)		17,887			1,547
Unrealized appreciation on foreign currency exchange contracts		—			4,548
Unrealized appreciation on foreign currency transactions		—			—
Net unrealized appreciation on unfunded commitments (Note 8)		—			—
Premiums paid for swap contracts		—			—
Unrealized appreciation on swap contracts		—			11,164
Other assets		14,037			21,673
Total assets		49,047,872			12,745,392
Liabilities:
Options written, at value (Premiums received $0, $1,848, $0, $74,002, $0 and $0, respectively) (Note 3)		—			10,206
Bank overdraft		—			272
Payable for securities purchased		3,285,059			75,053
Payable for daily variation margin on futures contracts (Note 3)		560,475			3,094
Payable for capital stock redeemed		16,921			4,135
Distributions payable		79			226
Unrealized depreciation on foreign currency exchange contracts		—			5,737
Unrealized depreciation on foreign currency transactions		—			—
Unrealized depreciation on swap contracts		—			39,241
Net unrealized depreciation on unfunded commitments (Note 8)		—			—
Advisory fees payable (Note 6)		14,780			4,350
Accrued distribution (12b-1) and service fees payable		—			1,246
Administrative fees payable		21,658			18,064
Custodian fees payable		11,207			17,344
Accrued other expenses		35,225			9,586
Total liabilities		3,945,404			188,554
Net assets	$	45,102,468		$	12,556,838
Class M Shares:
Net assets (Applicable to 3,928,208, 568,258, 1,738, 3,651,661, 1,737,330 and 16,894,728,shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	45,102,468		$	5,621,577
Net asset value, offering and redemption price per Class M share	$	11.48		$	9.89
Class I Shares:
Net assets (Applicable to 0, 701,050, 1,137,535, 20,317,792, 48,557,554 and 54,977,626,shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	6,935,261
Net asset value, offering and redemption price per Class I share		N/A		$	9.89
Plan Class Shares:
Net assets (Applicable to 0, 0, 0, 0, 10 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)	$	44,847,519		$	13,793,344
Accumulated Earnings (Loss)		254,949			(1,236,506	)
Net assets	$	45,102,468		$	12,556,838
1 The net asset values of the Plan Class Shares of the Floating Rate Income Fund were calculated using unrounded net assets of $102.11 divided by the unrounded shares outstanding of 10.44.

See accompanying Notes to Financial Statements.

257 / Annual Report March 2022

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2022

ESG SECURITIZED FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
	$	12,102,806		$	232,585,465		$	500,506,686		$	713,111,119
		—			—			—			—
		—			9,407,444			1,304,084			342,624
		—			1,096			10,228			17,899
		—			—			—			—
		32,000			785,000			—			2,780,000
		908,306			32,378,175			11,715,163			13,463,863
		5,000			570,175			208,572			591,939
		23,172			1,912,708			1,153,545			8,050,748
		978			41,945			2,141			8,135
		1,148			72,559			—			—
		7,845			96,181			20,619			95,427
		—			42			—			—
		—			12			—			—
		—			—			—			291,033
		—			—			—			25,700
		6,620			27,289			15,126			16,964
		13,087,875			277,878,091			514,936,164			738,795,451
		—			81,875			—			—
		—			—			—			—
		2,377,293			66,515,773			21,905,341			14,194,287
		2,609			146,406			—			228,578
		1,371			1,140,071			355,288			1,054,122
		—			52,748			200,026			54,181
		1,715			104,882			7,881			37,530
		3			—			—			26
		—			—			—			—
		—			—			28,828			5,832
		3,664			76,571			228,084			320,356
		2			6,436			3,567			36,297
		14,427			43,525			40,714			24,265
		6,079			26,290			15,104			16,163
		9,547			25,013			42,302			114,602
		2,416,710			68,219,590			22,827,135			16,086,239
	$	10,671,165		$	209,658,501		$	492,109,029		$	722,709,212
	$	16,265		$	31,941,144		$	17,003,497		$	169,940,902
	$	9.36		$	8.75		$	9.79		$	10.06
	$	10,654,900		$	177,717,357		$	475,105,430		$	552,768,310
	$	9.37		$	8.75		$	9.78		$	10.05
		N/A			N/A		$	102			N/A
		N/A			N/A		$	9.781			N/A
	$	11,366,424		$	234,022,666		$	500,587,078		$	804,967,931
		(695,259)			(24,364,165)			(8,478,049)			(82,258,719)
	$	10,671,165		$	209,658,501		$	492,109,029		$	722,709,212

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 258

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2022

ASSETS:	INTERMEDIATE         BOND FUND		INVESTMENT GRADE CREDIT FUND
Investments, at value - Unaffiliated (Cost $875,881,721, $13,482,058, $2,962,013,990, $3,321,170, $34,411,046 and $98,393,222,822, respectively) (Note 2)	$	856,080,080		$	11,718,057
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $0 and $65,187,440, respectively) (Note 5)		—			—
Cash and cash equivalents (Note 2)		—			—
Cash on deposit with brokers for collateral on swaps (Note 2)		36			77,882
Cash on deposit with brokers for collateral on futures (Note 2)		4,044,000			92,000
Receivable for securities sold		51,118,119			1,153,945
Dividends and interest receivable		2,925,762			125,965
Receivable for capital stock sold		848,527			790
Unrealized appreciation on foreign currency exchange contracts		258,747			—
Premiums paid for swap contracts		144,467			—
Receivable for daily variation margin on futures contracts (Note 3)		90,914			2,719
Unrealized appreciation on swap contracts		17,982			15,253
Unrealized appreciation on foreign currency transactions		4			—
Net unrealized appreciation on unfunded commitments (Note 8)		—			—
Due from Adviser (Note 6)		—			20,354
Other assets		12,734			22,102
Total assets		915,541,372			13,229,067
Liabilities:
Options written, at value (Premiums received $1,391,267, $9,237, $5,045,243, $0, $18,699 and $158,157,572, respectively) (Note 3)		2,179,744			18,394
Reverse repurchase agreements (Proceeds $0, $0, $0, $0, $0 and $3,963,750,000, respectively) (Note 3)		—			—
Bank overdraft		4,782,107			2,462
Payable for securities purchased		112,442,047			2,162,787
Payable for capital stock redeemed		2,306,167			17,609
Unrealized depreciation on foreign currency exchange contracts		327,873			—
Payable for daily variation margin on futures contracts (Note 3)		53,250			6,344
Distributions payable		733			702
Unrealized depreciation on foreign currency transactions		—			—
Unrealized depreciation on swap contracts		—			64,334
Net unrealized depreciation on unfunded commitments (Note 8)		—			—
Advisory fees payable (Note 6)		238,190			3,770
Accrued distribution (12b-1) and service fees payable		4,467			488
Administrative fees payable		30,134			23,204
Custodian fees payable		29,928			19,664
Audit fees payable		38,606			6,675
Accrued other expenses		90,947			3,508
Total liabilities		122,524,193			2,329,941
Net assets	$	793,017,179		$	10,899,126
Class M Shares:
Net assets (Applicable to 2,450,422, 259,570, 55,362,416, 7,782, 2,439,193 and 609,964,109, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	24,746,337		$	2,258,949
Net asset value, offering and redemption price per Class M share	$	10.10		$	8.70
Class I Shares:
Net assets (Applicable to 76,102,332, 992,802, 235,428,672, 330,792, 1,351,121 and 4,611,465,986, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	768,270,842		$	8,640,177
Net asset value, offering and redemption price per Class I share	$	10.10		$	8.70
Class I-2 Shares:
Net assets (Applicable to 0, 0, 0, 0, 0 and 16,736,662, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A			N/A
Net asset value, offering and redemption price per Class I-2 share		N/A			N/A
Administrative Class Shares:
Net assets (Applicable to 0, 0, 154,242, 0, 0 and 192,601,234, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A			N/A
Net asset value, offering and redemption price per Administrative Class share		N/A			N/A
Plan Class Shares:
Net assets (Applicable to 0, 0, 0, 0, 0 and 2,324,492,622, 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)	$	835,388,867		$	13,255,121
Accumulated Earnings (Loss)		(42,371,688)			(2,355,995)
Net assets	$	793,017,179		$	10,899,126

See accompanying Notes to Financial Statements.

259 / Annual Report March 2022

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2022

LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC         INCOME FUND			TOTAL RETURN BOND FUND
	$	2,909,842,791		$	3,028,869		$	27,657,133		$	96,192,352,066
		—			—			—			—
		9,700			856			—			450,374,581
		5,309,027			—			107,743			856,638,289
		16,673,000			21,000			351,000			409,415,000
		400,745,519			25,502			2,269,332			17,002,452,683
		7,849,922			50,571			353,870			318,782,585
		2,907,346			—			161,152			172,210,073
		—			—			1,321			29,813,453
		449,987			—			—			4,014,850
		596,537			281			2,531			5,454,762
		58,109			—			24,767			73,085,827
		—			—			6			—
		—			—			—			7,880
		—			2,668			28,297			—
		68,253			6,619			15,003			472,403
		3,344,510,191			3,136,366			30,972,155			115,515,074,452
		7,103,886			—			38,025			290,863,292
		—			—			—			3,963,750,000
		—			—			1,860			—
		835,071,794			64,836			4,274,041			33,126,477,638
		4,840,883			691			320,906			272,848,801
		—			—			3,872			27,578,964
		819,486			—			11,906			14,681,406
		132,291			—			6,126			10,072,103
		—			—			—			87,341
		—			—			90,756			267,502,283
		5,620			—			—			—
		647,479			1,283			14,793			23,401,341
		78,153			15			3,608			1,821,604
		56,092			13,944			23,553			782,690
		47,950			5,772			21,157			1,045,084
		37,715			6,748			32,830			151,813
		351,359			1,733			5,422			7,180,881
		849,192,708			95,022			4,848,855			38,008,245,241
	$	2,495,317,483		$	3,041,344		$	26,123,300		$	77,506,829,211
	$	474,682,347		$	69,966		$	16,813,272		$	6,213,222,891
	$	8.57		$	8.99		$	6.89		$	10.19
	$	2,018,926,338		$	2,971,378		$	9,310,028		$	46,961,971,022
	$	8.58		$	8.98		$	6.89		$	10.18
		N/A			N/A			N/A		$	170,454,863
		N/A			N/A			N/A		$	10.18
	$	1,708,798			N/A			N/A		$	1,963,315,371
	$	11.08			N/A			N/A		$	10.19
		N/A			N/A			N/A		$	22,197,865,064
		N/A			N/A			N/A		$	9.55
	$	2,614,747,095		$	3,377,257		$	33,942,390		$	82,598,655,003
		(119,429,612)			(335,913)			(7,819,090)			(5,091,825,792)
	$	2,495,317,483		$	3,041,344		$	26,123,300		$	77,506,829,211

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 260

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2022

ASSETS:	ULTRA SHORT         BOND FUND		UNCONSTRAINED BOND FUND
Investments, at value - Unaffiliated (Cost $229,947,663 and $4,644,872,509, respectively) (Note 2)	$	227,185,026		$	4,409,699,006
Investments, at value - Affiliated (Cost $0 and $0, respectively) (Note 5)		—			—
Cash and cash equivalents (Note 2)		20,373			1,109,908
Foreign Currency, at value (Cost $0 and $9,132, respectively)		—			9,132
Cash on deposit with brokers for collateral on swaps (Note 2)		—			30,552,139
Cash on deposit with brokers for collateral on futures (Note 2)		1,286,000			28,859,000
Receivable for securities sold		27,922,266			471,613,316
Receivable for capital stock sold		663,317			11,005,559
Dividends and interest receivable		576,016			20,349,000
Due from Adviser (Note 6)		36,768			—
Premiums paid for swap contracts		20,631			921,111
Receivable for daily variation margin on futures contracts (Note 3)		1,312			546,028
Unrealized appreciation on swap contracts		1,109			3,576,078
Unrealized appreciation on foreign currency exchange contracts		—			1,401,009
Unrealized appreciation on foreign currency transactions		—			—
Other assets		13,179			150,962
Total assets		257,725,997			4,979,792,248
Liabilities:
Options written, at value (Premiums received $386,568 and $7,540,049, respectively) (Note 3)		630,775			14,047,392
Payable for securities purchased		57,856,585			948,857,150
Payable for capital stock redeemed		1,279,699			10,746,047
Payable for daily variation margin on futures contracts (Note 3)		53,046			2,471,098
Distributions payable		744			2,400,891
Unrealized depreciation on foreign currency exchange contracts		—			1,751,000
Unrealized depreciation on foreign currency transactions		—			614
Unrealized depreciation on swap contracts		—			12,537,371
Net unrealized depreciation on unfunded commitments (Note 8)		—			13,886
Advisory fees payable (Note 6)		43,565			2,192,384
Accrued distribution (12b-1) and service fees payable		6,064			46,311
Administrative fees payable		25,794			84,577
Custodian fees payable		16,618			84,913
Audit fees payable		32,627			7,342
Accrued other expenses		45,232			403,770
Total liabilities		59,990,749			995,644,746
Net assets	$	197,735,248		$	3,984,147,502
Class M Shares:
Net assets (Applicable to 9,455,483 and 19,230,240, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	39,476,871		$	214,791,825
Net asset value, offering and redemption price per Class M share	$	4.18		$	11.17
Class I Shares:
Net assets (Applicable to 37,852,952 and 326,977,316, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	158,258,377		$	3,648,831,955
Net asset value, offering and redemption price per Class I share	$	4.18		$	11.16
Plan Class Shares:
Net assets (Applicable to 0 and 10,805,285, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	120,523,722
Net asset value, offering and redemption price per Plan Class share		N/A		$	11.15
Net Assets Consist of:
Paid-in Capital (Note 9)	$	207,256,465		$	4,259,718,551
Accumulated Earnings (Loss)		(9,521,217)			(275,571,049)
Net assets	$	197,735,248		$	3,984,147,502

See accompanying Notes to Financial Statements.

261 / Annual Report March 2022

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Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2022

	ALPHATRAK         500 FUND			CORPORATE BOND          FUND
Investment Income:
Interest		$	613,730		$	365,912
Dividends			111,975			156
Total investment income			725,705			366,068
Expenses:
Investment advisory fees (Note 6)			43,827			53,109
Administration fees			95,371			93,239
Distribution (12b-1) and service fees - class specific (Note 7):
Class M			—			16,672
Transfer agent fees			37,590			38,491
Professional fees			36,397			21,674
Registration and filing fees			29,351			51,499
Custodian fees			25,880			40,809
Regulatory administrative expense			18,984			18,984
Reports to shareholders			5,578			1,731
Miscellaneous expenses			3,399			2,578
Listing fees			800			1,600
Trustees’ fees and expenses			574			173
Commitment fee			56			75
Repayment of reimbursed expenses - Class M (Note 6)			75,689			—
Repayment of reimbursed expenses - Class I (Note 6)			—			—
Total operating expenses			373,496			340,634
Expenses waived and reimbursed (Note 6)			—			(257,575)
Net expenses			373,496			83,059
Net investment income			352,209			283,009
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			462,817			(8,971)
Futures contracts			3,179,476			3,104
Foreign currency exchange contracts			27,511			8,101
Foreign currency transactions			(2,499)			699
Options and swaptions written			—			—
Swap contracts			—			(27)
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated			(735,005)			(958,560)
Futures contracts			2,091,652			(8,437)
Foreign currency exchange contracts			(20,568)			(1,189)
Foreign currency transactions			—			—
Options and swaptions written			—			(8,358)
Swap contracts			—			(28,077)
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			5,003,384			(1,001,715)
Net Increase (Decrease) in Net Assets from Operations		$	5,355,593		$	(718,706)

¹ For the period October 1, 2021 (Commencement of Operations) to March 31, 2022.

See accompanying Notes to Financial Statements.

263 / Annual Report March 2022

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2022

ESG SECURITIZED FUND1			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
	$	73,566		$	18,287,961		$	18,969,375		$	35,511,337
		91			8,398			7,239			18,573
		73,657			18,296,359			18,976,614			35,529,910
		20,586			814,868			2,599,287			3,970,632
		35,988			206,779			218,255			139,384
		7			60,875			37,921			496,687
		15,551			204,981			249,391			561,984
		9,926			39,036			34,125			37,300
		1,747			67,794			81,201			89,031
		6,079			69,263			36,223			38,316
		—			18,984			18,984			18,984
		1,015			5,585			19,773			23,083
		326			4,861			9,597			14,893
		1,600			1,600			2,400			1,600
		67			2,327			6,042			10,176
		—			1,101			2,606			4,470
		—			—			—			—
		—			—			8,239			—
		92,892			1,498,054			3,324,044			5,406,540
		(67,666)			(441,229)			(14,896)			(145,095)
		25,226			1,056,825			3,309,148			5,261,445
		48,431			17,239,534			15,667,466			30,268,465
		(178,537)			(2,327,445)			481,354			(1,676,256)
		40,277			(768,323)			—			28,753
		1,849			162,378			523,157			141,516
		(824)			8,409			(26,273)			(42,634)
		—			(41,185)			—			—
		—			—			—			103,924
		(590,523)			(17,854,384)			(8,898,950)			(40,521,550)
		26,379			(549,918)			—			1,656,821
		6,130			(22,005)			(404,486)			57,897
		(3)			(3,964)			(26,829)			(40,820)
		—			(7,873)			—			—
		—			—			—			16,004
		(695,252)			(21,404,310)			(8,352,027)			(40,276,345)
	$	(646,821)		$	(4,164,776)		$	7,315,439		$	(10,007,880)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 264

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2022

	INTERMEDIATE       BOND FUND			INVESTMENT  GRADE     CREDIT FUND
Investment Income:
Interest		$	14,410,496		$	1,007,180
Dividends			15,592			239
Total investment income			14,426,088			1,007,419
Expenses:
Investment advisory fees (Note 6)			2,870,144			66,458
Administration fees			143,931			105,665
Distribution (12b-1) and service fees - class specific (Note 7):			—
Class M			67,760			7,682
Administrative Class			—			—
Transfer agent fees			631,111			41,142
Custodian fees			76,668			44,711
Registration and filing fees			57,110			50,590
Professional fees			44,037			21,688
Regulatory administrative expense			18,984			18,984
Miscellaneous expenses			16,453			2,609
Trustees’ fees and expenses			10,391			249
Reports to shareholders			9,640			2,270
Commitment fee			4,394			112
Listing fees			1,600			1,600
Total operating expenses			3,952,223			363,760
Expenses waived and reimbursed (Note 6)			(62)			(264,265)
Net expenses			3,952,161			99,495
Net investment income			10,473,927			907,924
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			(15,994,313)			(444,321)
Futures contracts			(2,024,938)			(58,093)
Foreign currency exchange contracts			451,123			—
Foreign currency transactions			39,356			—
Options and swaptions written			(1,233,044)			(4,097)
Swap contracts			46,073			(27)
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated			(26,631,047)			(1,341,034)
Futures contracts			(1,048,376)			(22,637)
Foreign currency exchange contracts			(69,126)			—
Foreign currency transactions			4			—
Options and swaptions written			(788,477)			(9,157)
Swap contracts			15,180			(49,081)
Net realized and change in unrealized (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(47,237,585)			(1,928,447)
Net (Decrease) in Net Assets from Operations		$	(36,763,658)		$	(1,020,523)

¹ For the period August 2, 2021 (Commencement of Operations) to March 31, 2022.

See accompanying Notes to Financial Statements.

265 / Annual Report March 2022

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2022

LOW DURATION     BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT  FUND1			STRATEGIC     INCOME FUND			TOTAL RETURN     BOND FUND
	$	39,091,312		$	252,720		$	3,087,102		$	1,582,929,379
		38,145			8,010			1,552			1,086,006
		39,129,457			260,730			3,088,654			1,584,015,385
		7,947,583			9,989			468,065			303,311,997
		287,573			48,655			108,824			4,403,211
		892,906			44			43,829			14,671,855
		6,444			—			—			8,380,709
		2,284,621			20,221			57,356			48,086,596
		119,327			9,649			41,067			2,480,106
		113,406			1,747			49,341			920,967
		46,781			9,919			35,078			363,060
		18,984			—			18,984			18,984
		44,950			163			3,259			1,525,969
		33,718			26			345			1,099,869
		21,993			6,417			9,829			819,167
		14,695			8			126			482,314
		2,400			1,600			1,600			4,000
		11,835,381			108,438			837,703			386,568,804
		—			(96,407)			(566,609)			—
		11,835,381			12,031			271,094			386,568,804
		27,294,076			248,699			2,817,560			1,197,446,581
		(36,485,217)			(9,348)			(1,183,895)			(1,458,293,186)
		5,991,163			(11,230)			(17,595)			25,039,677
		1,443,076			—			4,225			89,284,721
		—			—			(1,474)			(1,921,252)
		(3,988,866)			—			(8,194)			(113,197,139)
		141,728			—			(44)			1,344,382
		(57,844,618)			(292,301)			(2,290,792)			(3,001,495,494)
		1,134,224			(6,598)			(56,303)			(20,208,067)
		(1,422,086)			—			(2,551)			(40,046,116)
		—			—			5			(92,679)
		(2,594,047)			—			(19,326)			(129,106,670)
		49,796			—			(65,989)			(194,563,694)
		(93,574,847)			(319,477)			(3,641,933)			(4,843,255,517)
	$	(66,280,771)		$	(70,778)		$	(824,373)		$	(3,645,808,936)

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 266

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2022

	ULTRA SHORT       BOND FUND			UNCONSTRAINED       BOND FUND
Investment Income:
Interest		$	2,392,172		$	139,620,173
Dividends			5,617			183,592
Total investment income			2,397,789			139,803,765
Expenses:
Investment advisory fees (Note 6)			601,983			25,727,674
Administration fees			128,368			423,222
Distribution (12b-1) and service fees - class specific (Note 7):
Class M			86,465			615,110
Transfer agent fees			254,260			2,617,707
Registration and filing fees			66,618			205,097
Custodian fees			43,551			211,155
Professional fees			35,271			61,742
Regulatory administrative expense			18,984			18,984
Reports to shareholders			12,662			46,827
Miscellaneous expenses			6,738			64,370
Trustees’ fees and expenses			3,105			50,295
Listing fees			1,600			2,400
Commitment fee			1,384			21,218
Total operating expenses			1,260,989			30,065,801
Expenses waived and reimbursed (Note 6)			(355,828)			—
Net expenses			905,161			30,065,801
Net investment income			1,492,628			109,737,964
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			(2,386,197)			(19,332,656)
Futures contracts			1,000,269			(4,472,720)
Foreign currency exchange contracts			334,738			5,097,667
Foreign currency transactions			(24,994)			(19,765)
Options and swaptions written			(351,852)			(6,045,504)
Swap contracts			8,103			308,001
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated			(2,774,008)			(191,824,923)
Futures contracts			612,945			354,297
Foreign currency exchange contracts			(264,437)			(2,502,148)
Foreign currency transactions			—			(615)
Options and swaptions written			(244,207)			(6,507,343)
Swap contracts			163			(8,986,462)
Net realized and change in unrealized (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(4,089,477)			(233,932,171)
Net (Decrease) in Net Assets from Operations		$	(2,596,849)		$	(124,194,207)

See accompanying Notes to Financial Statements.

267 / Annual Report March 2022

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Metropolitan West Funds

Statements of Changes in Net Assets

	ALPHATRAK 500 FUND
		YEAR ENDED     MARCH 31, 2022		YEAR ENDED     MARCH 31, 2021
Operations:
Net investment income		$	352,209	$	527,351
Net realized gain (loss) on investments			462,817		21,713
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			3,204,488		11,470,191
Net change in unrealized appreciation (depreciation) on investments			(735,005)		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			2,071,084		1,813,257
Net increase (decrease) in net assets resulting from operations			5,355,593		15,606,761
Distributions to Shareholders:
Class M			(11,805,983)		(2,562,844)
Class I			—		—
Total Distributions			(11,805,983)		(2,562,844)
Capital Share Transactions:
Class M:
Proceeds from sale of shares			17,532,245		8,125,307
Shares issued in reinvestment of distributions			11,710,130		2,556,028
Cost of shares redeemed			(14,459,312)		(16,021,598)
Total Class M capital share transactions			14,783,063		(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			—		—
Net increase (decrease) in net assets derived from capital share transactions			14,783,063		(5,340,263)
Net increase (decrease) in net assets			8,332,673		7,703,654
Net assets at beginning of period			36,769,795		29,066,141
Net assets at end of period		$	45,102,468	$	36,769,795

¹ For the period October 1, 2021 (Commencement of Operations) to March 31, 2022.

See accompanying Notes to Financial Statements.

269 / Annual Report March 2022

Metropolitan West Funds

Statements of Changes in Net Assets

CORPORATE BOND FUND						ESG SECURITIZED FUND1			FLEXIBLE  INCOME FUND
YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			PERIOD ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021
	$	283,009		$	286,040		$	48,431		$	17,239,534		$	4,908,854
		(8,971)			25,535			(178,537)			(2,327,445)			(450,019)
		11,877			47,444			41,302			(638,721)			827,523
		(958,560)			(242,672)			(590,523)			(17,854,385)			(2,518,196)
		(46,061)			21,784			32,506			(583,759)			382,408
		(718,706)			138,131			(646,821)			(4,164,776)			3,150,570
		(175,170)			(203,386)			(27)			(2,339,927)			(662,014)
		(196,581)			(149,087)			(48,411)			(15,439,721)			(4,457,044)
		(371,751)			(352,473)			(48,438)			(17,779,648)			(5,119,058)
		2,092,063			13,648,657			16,900			34,113,901			32,392,444
		173,672			201,816			27			2,241,577			642,289
		(4,376,008)			(6,263,385)			—			(22,445,482)			(11,600,746)
		(2,110,273)			7,587,088			16,927			13,909,996			21,433,987
		3,935,189			3,272,792			11,304,164			128,698,215			154,410,363
		194,382			147,918			48,411			15,356,960			4,446,944
		(1,292,494)			(1,141,757)			(3,078)			(106,370,251)			(7,249,876)
		2,837,077			2,278,953			11,349,497			37,684,924			151,607,431
		726,804			9,866,041			11,366,424			51,594,920			173,041,418
		(363,653)			9,651,699			10,671,165			29,650,496			171,072,930
		12,920,491			3,268,792			—			180,008,005			8,935,075
	$	12,556,838		$	12,920,491		$	10,671,165		$	209,658,501		$	180,008,005

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 270

Metropolitan West Funds

Statements of Changes in Net Assets

	FLOATING RATE INCOME FUND
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021
Operations:
Net investment income		$	15,667,466	$	10,056,510
Net realized gain (loss) on investments			481,354		861,658
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			496,884		129,471
Net change in unrealized appreciation (depreciation) on investments			(8,898,950)		26,740,238
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(431,315)		444,053
Net increase (decrease) in net assets resulting from operations			7,315,439		38,231,930
Distributions to Shareholders:
Class M			(474,766)		(295,044)
Class I			(15,224,684)		(9,868,566)
Plan Class			(4)		(1)
Total Distributions			(15,699,454)		(10,163,611)
Capital Share Transactions:
Class M:
Proceeds from sale of shares			9,213,283		12,304,196
Shares issued in reinvestment of distributions			438,152		280,843
Cost of shares redeemed			(6,177,939)		(5,625,876)
Total Class M capital share transactions			3,473,496		6,959,163
Class I:
Proceeds from sale of shares			125,936,632		155,690,567
Shares issued in reinvestment of distributions			13,378,948		8,526,760
Cost of shares redeemed			(74,037,959)		(23,773,857)
Total Class I capital share transactions			65,277,621		140,443,470
Plan Class:
Proceeds from sale of shares			—		100
Shares issued in reinvestment of distributions			4		1
Total Plan Class capital share transactions			4		101
Net increase (decrease) in net assets derived from capital share transactions			68,751,121		147,402,734
Net increase (decrease) in net assets			60,367,106		175,471,053
Net assets at beginning of year			431,741,923		256,270,870
Net assets at end of year		$	492,109,029	$	431,741,923

See accompanying Notes to Financial Statements.

271 / Annual Report March 2022

Metropolitan West Funds

Statements of Changes in Net Assets

HIGH YIELD BOND FUND						INTERMEDIATE BOND FUND						INVESTMENT GRADE CREDIT FUND
YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021
	$	30,268,465		$	24,889,710		$	10,473,927		$	11,100,553		$	907,924		$	764,221
		(1,676,256)			31,915,009			(15,994,312)			15,208,540			(444,321)			(52,230)
		231,559			2,999,256			(2,721,431)			3,572,735			(62,217)			127,668
		(40,521,550)			38,931,819			(26,631,047)			7,272,926			(1,341,034)			(58,463)
		1,689,902			(660,307)			(1,890,795)			(2,238,949)			(80,875)			27,307
		(10,007,880)			98,075,487			(36,763,658)			34,915,805			(1,020,523)			808,503
		(7,194,383)			(6,482,162)			(443,189)			(1,392,395)			(149,533)			(144,289)
		(23,164,913)			(18,425,433)			(12,811,756)			(28,359,551)			(781,732)			(764,833)
		—			—			—			—			—			—
		(30,359,296)			(24,907,595)			(13,254,945)			(29,751,946)			(931,265)			(909,122)
		45,528,862			128,950,497			6,888,933			14,300,978			4,340,421			4,313,649
		6,938,480			6,182,278			441,176			1,381,730			147,501			143,142
		(71,472,671)			(84,380,539)			(17,389,296)			(13,231,790)			(4,007,782)			(3,117,649)
		(19,005,329)			50,752,236			(10,059,187)			2,450,918			480,140			1,339,142
		299,304,142			496,253,964			156,352,081			235,831,557			17,529,268			4,570,081
		22,131,407			17,007,731			12,800,407			28,333,173			772,045			761,991
		(309,772,975)			(282,701,987)			(118,572,331)			(196,139,375)			(18,161,123)			(1,607,145)
		11,662,574			230,559,708			50,580,157			68,025,355			140,190			3,724,927
		—			—			—			—			—			—
		—			—			—			—			—			—
		—			—			—			—			—			—
		(7,342,755)			281,311,944			40,520,970			70,476,273			620,330			5,064,069
		(47,709,931)			354,479,836			(9,497,633)			75,640,132			(1,331,458)			4,963,450
		770,419,143			415,939,307			802,514,812			726,874,680			12,230,584			7,267,134
	$	722,709,212		$	770,419,143		$	793,017,179		$	802,514,812		$	10,899,126		$	12,230,584

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 272

Metropolitan West Funds

Statements of Changes in Net Assets

	LOW DURATION BOND FUND
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021
Operations:
Net investment income		$	27,294,076	$	29,411,632
Net realized gain (loss) on investments			(36,485,215)		1,700,514
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			3,587,099		13,241,930
Net change in unrealized appreciation (depreciation) on investments			(57,844,618)		35,458,148
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(2,832,113)		974,839
Net increase (decrease) in net assets resulting from operations			(66,280,771)		80,787,063
Distributions to Shareholders:
Class M			(4,077,753)		(5,196,975)
Class I			(23,238,389)		(24,338,731)
Class I-2			—		—
Administrative Class			(13,227)		(1,056)
Plan Class			—		—
Total Distributions			(27,329,369)		(29,536,762)
Capital Share Transactions:
Class M:
Proceeds from sale of shares			110,632,030		118,060,426
Shares issued in reinvestment of distributions			4,002,713		5,086,410
Cost of shares redeemed			(68,254,259)		(139,138,520)
Total Class M capital share transactions			46,380,484		(15,991,684)
Class I:
Proceeds from sale of shares			901,301,727		933,006,583
Shares issued in reinvestment of distributions			21,716,728		22,805,603
Cost of shares redeemed			(862,338,899)		(417,147,385)
Total Class I capital share transactions			60,679,556		538,664,801
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			2,796,443		8,700
Shares issued in reinvestment of distributions			13,091		683
Cost of shares redeemed			(1,108,347)		(17,573)
Total Administrative Class capital share transactions			1,701,187		(8,190)
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			108,761,227		522,664,927
Net increase (decrease) in net assets			15,151,087		573,915,228
Net assets at beginning of period			2,480,166,396		1,906,251,168
Net assets at end of period		$	2,495,317,483	$	2,480,166,396

¹ For the period August 2, 2021 (Commencement of Operations) to March 31, 2022.

See accompanying Notes to Financial Statements.

273 / Annual Report March 2022

Metropolitan West Funds

Statements of Changes in Net Assets

OPPORTUNISTIC HIGH INCOME CREDIT FUND1			STRATEGIC INCOME FUND					TOTAL RETURN BOND FUND
	PERIOD ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021
	$	248,699		$	2,817,560	$	2,346,661		$	1,197,446,581	$	1,292,401,141
		(9,348)			(1,183,895)		848,648			(1,458,293,186)		452,557,388
		(11,230)			(23,082)		(137,103)			550,389		475,652,006
		(292,301)			(2,290,792)		2,723,287			(3,001,495,494)		719,966,446
		(6,598)			(144,164)		662,178			(384,017,226)		(136,071,576)
		(70,778)			(824,373)		6,443,671			(3,645,808,936)		2,804,505,405
		(2,442)			(1,701,371)		(790,679)			(83,270,314)		(568,049,079)
		(262,705)			(1,116,579)		(1,569,363)			(744,903,628)		(3,188,499,462)
		—			—		—			(2,377,375)		(6,121,053)
		—			—		—			(22,035,853)		(116,011,676)
		—			—		—			(360,557,055)		(1,638,444,684)
		(265,147)			(2,817,950)		(2,360,042)			(1,213,144,225)		(5,517,125,954)
		75,360			9,366,413		12,357,964			1,604,298,220		2,796,785,096
		2,442			1,657,387		777,664			82,422,477		563,596,147
		(2,160)			(7,461,785)		(8,819,965)			(2,239,839,907)		(4,976,311,646)
		75,642			3,562,015		4,315,663			(553,119,210)		(1,615,930,403)
		3,038,921			7,073,460		5,452,200			13,144,834,948		18,725,199,269
		262,706			1,100,021		1,563,564			670,343,885		2,889,943,410
		—			(7,240,177)		(48,809,465)			(16,882,618,501)		(13,078,407,390)
		3,301,627			933,304		(41,793,701)			(3,067,439,668)		8,536,735,289
		—			—		—			130,016,682		130,514,638
		—			—		—			2,376,867		6,121,040
		—			—		—			(66,406,517)		(12,135,534)
		—			—		—			65,987,032		124,500,144
		—			—		—			423,045,579		672,097,128
		—			—		—			21,698,938		114,756,083
		—			—		—			(442,994,344)		(376,823,384)
		—			—		—			1,750,173		410,029,827
		—			—		—			4,844,083,639		7,748,078,022
		—			—		—			336,972,234		1,525,649,602
		—			—		—			(6,203,634,631)		(7,703,153,603)
		—			—		—			(1,022,578,758)		1,570,574,021
		3,377,269			4,495,319		(37,478,038)			(4,575,400,431)		9,025,908,878
		3,041,344			852,996		(33,394,409)			(9,434,353,592)		6,313,288,329
		—			25,270,304		58,664,713			86,941,182,803		80,627,894,474
	$	3,041,344		$	26,123,300	$	25,270,304		$	77,506,829,211	$	86,941,182,803

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 274

Metropolitan West Funds

Statements of Changes in Net Assets

	ULTRA SHORT BOND FUND
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021
Operations:
Net investment income		$	1,492,628	$	1,362,028
Net realized gain (loss) on investments			(2,386,196)		(2,185,391)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			966,263		1,666,277
Net change in unrealized appreciation (depreciation) on investments			(2,774,008)		919,153
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			104,464		396,651
Net increase (decrease) in net assets resulting from operations			(2,596,849)		2,158,718
Distributions to Shareholders:
Class M			(276,449)		(271,401)
Class I			(1,258,061)		(1,091,869)
Plan Class			—		—
Total Distributions			(1,534,510)		(1,363,270)
Capital Share Transactions:
Class M:
Proceeds from sale of shares			17,118,785		93,315,754
Shares issued in reinvestment of distributions			270,415		262,337
Cost of shares redeemed			(38,965,686)		(60,144,904)
Total Class M capital share transactions			(21,576,486)		33,433,187
Class I:
Proceeds from sale of shares			108,718,474		175,164,379
Shares issued in reinvestment of distributions			1,257,404		1,090,987
Cost of shares redeemed			(129,705,501)		(72,005,589)
Total Class I capital share transactions			(19,729,623)		104,249,777
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			(41,306,109)		137,682,964
Net increase (decrease) in net assets			(45,437,468)		138,478,412
Net assets at beginning of year			243,172,716		104,694,304
Net assets at end of year		$	197,735,248	$	243,172,716

See accompanying Notes to Financial Statements.

275 / Annual Report March 2022

Metropolitan West Funds

Statements of Changes in Net Assets

UNCONSTRAINED BOND FUND
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021
	$	109,737,964	$	91,663,110
		(19,332,656)		46,969,957
		(5,132,321)		17,884,589
		(191,824,922)		144,997,021
		(17,642,272)		36,431,263
		(124,194,207)		337,945,940
		(8,753,492)		(8,563,350)
		(143,244,876)		(105,331,786)
		(4,640,426)		(2,741,237)
		(156,638,794)		(116,636,373)
		40,303,523		53,543,701
		8,478,824		8,240,006
		(76,856,029)		(89,674,103)
		(28,073,682)		(27,890,396)
		1,521,241,767		1,145,664,099
		112,760,716		84,772,104
		(999,465,470)		(916,608,246)
		634,537,013		313,827,957
		118,775,444		118,175,282
		4,598,189		2,740,188
		(58,384,079)		(61,961,252)
		64,989,554		58,954,218
		671,452,885		344,891,779
		390,619,884		566,201,346
		3,593,527,618		3,027,326,272
	$	3,984,147,502	$	3,593,527,618

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 276

Metropolitan West Funds

Financial Highlights

	ALPHATRAK 500 FUND CLASS M
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	13.26	$	8.89	$	10.73	$	9.98	$	8.95
Income from Investment Operations:
Net investment income1			0.11		0.18		0.31		0.22		0.09
Net realized and unrealized gain (loss)			1.81		5.14		(1.14)		0.76		1.03
Total Income (Loss) from Investment Operations			1.92		5.32		(0.83)		0.98		1.12
Less Distributions:
From net investment income			(0.12)		(0.20)		(0.30)		(0.23)		(0.09)
From net capital gains			(3.58)		(0.75)		(0.71)		—		—
Total Distributions			(3.70)		(0.95)		(1.01)		(0.23)		(0.09)
Net Asset Value, End of Year		$	11.48	$	13.26	$	8.89	$	10.73	$	9.98
Total Return			13.35%		60.83%		(9.36)%		9.93%		12.52%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	45,102	$	36,770	$	29,066	$	21,202	$	18,149
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.83%2		1.26%		1.04%		1.39%		0.90%3
After expense waivers and reimbursements			0.83%		0.90%		0.90%		0.90%		0.90%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			0.78%		1.57%		2.80%		2.15%		0.90%
Portfolio Turnover Rate			94%		60%		89%		140%		115%

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

² Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.66%.

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

See accompanying Notes to Financial Statements.

277 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS M*
		YEAR ENDED MARCH 31, 2022		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			0.22		0.28		0.88		0.41
Net realized and unrealized gain (loss)			(0.69)		0.50		0.06		0.34
Total Income (Loss) from Investment Operations			(0.47)		0.78		0.94		0.75
Less Distributions:
From net investment income			(0.22)		(0.40)		(0.86)		(0.41)
From net capital gains			(0.07)		(0.05)		(0.07)		(0.03)
Total Distributions			(0.29)		(0.45)		(0.93)		(0.44)
Net Asset Value, End of Period		$	9.89	$	10.65	$	10.32	$	10.31
Total Return			(4.67)%		7.55%		9.19%		7.75%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	5,622	$	8,190	$	876	$	803
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.73%		3.16%		8.55%		9.81%3
After expense waivers and reimbursements			0.75%		0.75%		0.75%		0.75%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.01%		2.54%		8.31%		5.47%3
Portfolio Turnover Rate			148%		84%		65%		159%2

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

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 278

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS  I*
		YEAR ENDED MARCH 31, 2022		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			0.24		0.40		0.91		0.43
Net realized and unrealized gain (loss)			(0.69)		0.41		0.06		0.34
Total Income (Loss) from Investment Operations			(0.45)		0.81		0.97		0.77
Less Distributions:
From net investment income			(0.24)		(0.43)		(0.89)		(0.43)
From net capital gains			(0.07)		(0.05)		(0.07)		(0.03)
Total Distributions			(0.31)		(0.48)		(0.96)		(0.46)
Net Asset Value, End of Period		$	9.89	$	10.65	$	10.32	$	10.31
Total Return			(4.44)%		7.81%		9.46%		7.95%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	6,935	$	4,730	$	2,392	$	1,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.40%		3.54%		8.30%		9.56%3
After expense waivers and reimbursements			0.50%		0.50%		0.50%		0.50%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.25%		3.64%		8.62%		5.72%3
Portfolio Turnover Rate			148%		84%		65%		159%2

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

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

279 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	ESG SECURITIZED   FUND CLASS M*
		PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	10.00
Income from Investment Operations:
Net investment income1			0.05
Net realized and unrealized loss			(0.61)
Total (Loss) from Investment Operations			(0.56)
Less Distributions:
From net investment income			(0.08)
Net Asset Value, End of Period		$	9.36
Total Return			(5.60)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	16
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.15%3
After expense waivers and reimbursements			0.79%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			0.97%3
Portfolio Turnover Rate			276%2

* The ESG Securitized Fund Class M Shares commenced operations on October 1, 2021.

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 280

Metropolitan West Funds

Financial Highlights

	ESG SECURITIZED   FUND CLASS I*
		PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	10.00
Income from Investment Operations:
Net investment income1			0.05
Net realized and unrealized loss			(0.63)
Total (Loss) from Investment Operations			(0.58)
Less Distributions:
From net investment income			(0.05)
Net Asset Value, End of Period		$	9.37
Total Return			(5.87)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	10,655
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.80%3
After expense waivers and reimbursements			0.49%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			0.94%3
Portfolio Turnover Rate			276%2

* The ESG Securitized Fund Class I Shares commenced operations on October 1, 2021.

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

281 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS M*
		YEAR ENDED MARCH 31, 2022		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			0.88		0.69		1.86		0.23
Net realized and unrealized gain (loss)			(1.07)		0.34		(0.85)		0.79
Total Income (Loss) from Investment Operations			(0.19)		1.03		1.01		1.02
Less Distributions:
From net investment income			(0.89)		(0.97)		(1.98)		(0.23)
From net capital gains			(0.03)		(0.02)		—		—
Total Distributions			(0.92)		(0.99)		(1.98)		(0.23)
Net Asset Value, End of Period		$	8.75	$	9.86	$	9.82	$	10.79
Total Return			(2.30)%		10.89%		9.82%		10.25%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	31,941	$	21,174	$	1	$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.04%		1.28%		3.76%		9.18%3
After expense waivers and reimbursements			0.80%		0.80%		0.80%		0.80%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			9.33%		7.01%		17.64%		6.76%3
Portfolio Turnover Rate			210%		177%		122%		80%2

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

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 282

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS I*
		YEAR ENDED MARCH 31, 2022		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			0.91		0.73		1.90		0.24
Net realized and unrealized gain (loss)			(1.08)		0.30		(0.85)		0.78
Total Income (Loss) from Investment Operations			(0.17)		1.03		1.05		1.02
Less Distributions:
From net investment income			(0.91)		(0.97)		(2.01)		(0.24)
From net capital gains			(0.03)		(0.02)		—		—
Total Distributions			(0.94)		(0.99)		(2.01)		(0.24)
Net Asset Value, End of Period		$	8.75	$	9.86	$	9.82	$	10.78
Total Return			(2.05)%		10.83%		10.14%		10.24%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	177,717	$	158,834	$	8,934	$	5,435
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.79%		1.01%		3.51%		8.82%3
After expense waivers and reimbursements			0.55%		0.55%		0.55%		0.55%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			9.55%		7.41%		18.14%		7.16%3
Portfolio Turnover Rate			210%		177%		122%		80%2

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

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

283 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS M
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year	$	9.95	$	8.98	$	9.90	$	10.06	$	10.06
Income from Investment Operations:
Net investment income1		0.31		0.30		0.42		0.42		0.36
Net realized and unrealized gain (loss)		(0.16)		0.97		(0.92)		(0.15)		—
Total Income (Loss) from Investment Operations		0.15		1.27		(0.50)		0.27		0.36
Less Distributions:
From net investment income		(0.31)		(0.30)		(0.42)		(0.43)		(0.36)
Net Asset Value, End of Year	$	9.79	$	9.95	$	8.98	$	9.90	$	10.06
Total Return		1.50%		14.30%		(5.36)%		2.72%		3.61%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	17,003	$	13,815	$	6,084	$	11,229	$	15,802
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.00%		0.99%		1.00%		1.03%		1.04%
After expense waivers and reimbursements		0.90%		0.90%		0.90%		0.90%		0.90%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.12%		3.05%		4.27%		4.23%		3.53%
Portfolio Turnover Rate		49%		38%		51%		52%		71%

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 284

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year	$	9.95	$	8.98	$	9.90	$	10.05	$	10.06
Income from Investment Operations:
Net investment income1		0.33		0.32		0.44		0.45		0.38
Net realized and unrealized gain (loss)		(0.17)		0.97		(0.92)		(0.15)		(0.01)
Total Income (Loss) from Investment Operations		0.16		1.29		(0.48)		0.30		0.37
False
Less Distributions:
From net investment income		(0.33)		(0.32)		(0.44)		(0.45)		(0.38)
Net Asset Value, End of Year	$	9.78	$	9.95	$	8.98	$	9.90	$	10.05
Total Return		1.61%		14.52%		(5.17)%		3.03%		3.72%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	475,105	$	417,927	$	250,187	$	262,407	$	237,759
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.69%2		0.70%3		0.70%		0.71%		0.72%
After expense waivers and reimbursements		0.69%		0.70%		0.70%		0.70%		0.70%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.32%		3.25%		4.47%		4.50%		3.77%
Portfolio Turnover Rate		49%		38%		51%		52%		71%

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

² Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.69%.

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

See accompanying Notes to Financial Statements.

285 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND PLAN CLASS*
		YEAR ENDED MARCH 31, 2022		PERIOD ENDED MARCH 31, 2021
Net Asset Value, Beginning of Period		$	9.95	$	9.97
Income from Investment Operations:
Net investment income1			0.35		0.05
Net realized and unrealized loss			(0.18)		(0.02)
Total Income from Investment Operations			0.17		0.03
Less Distributions:
From net investment income			(0.34)		(0.05)
Net Asset Value, End of Period		$	9.78	$	9.95
Total Return			1.76%		0.31%2
Ratios/Supplemental Data:
Net Assets, end of period		$	1023	$	1003
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.65%		0.62%4
After expense waivers and reimbursements			0.60%		0.56%4
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.53%		3.15%4
Portfolio Turnover Rate			49%		38%2

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

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

² Non-Annualized.

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

⁴ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 286

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 20191		YEAR ENDED MARCH 31, 20181
Net Asset Value, Beginning of Year	$	10.57	$	9.27	$	9.66	$	9.55	$	9.60
Income from Investment Operations:
Net investment income2		0.38		0.36		0.40		0.41		0.34
Net realized and unrealized gain (loss)		(0.51)		1.31		(0.39)		0.11		(0.05)
Total Income (Loss) from Investment Operations		(0.13)		1.67		0.01		0.52		0.29
Less Distributions:
From net investment income		(0.38)		(0.37)		(0.40)		(0.41)		(0.34)
Net Asset Value, End of Year	$	10.06	$	10.57	$	9.27	$	9.66	$	9.55
Total Return		(1.30)%		18.14%		(0.06)%		5.57%		3.01%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	169,941	$	198,337	$	126,587	$	187,339	$	211,021
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.90%		0.91%		0.93%		0.92%		0.91%
After expense waivers and reimbursements		0.85%		0.85%		0.85%		0.85%		0.85%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.61%		3.53%		4.07%		4.33%		3.47%
Portfolio Turnover Rate		117%		108%		181%		120%		167%

¹ Consolidated Financial Highlights.

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

See accompanying Notes to Financial Statements.

287 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 20191		YEAR ENDED MARCH 31, 20181
Net Asset Value, Beginning of Year	$	10.57	$	9.26	$	9.65	$	9.55	$	9.60
Income from Investment Operations:
Net investment income2		0.41		0.39		0.42		0.44		0.36
Net realized and unrealized gain (loss)		(0.52)		1.31		(0.39)		0.09		(0.05)
Total Income (Loss) from Investment Operations		(0.11)		1.70		0.03		0.53		0.31
Less Distributions:
From net investment income		(0.41)		(0.39)		(0.42)		(0.43)		(0.36)
Net Asset Value, End of Year	$	10.05	$	10.57	$	9.26	$	9.65	$	9.55
Total Return		(1.15)%		18.56%		0.19%		5.72%		3.27%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	552,768	$	572,082	$	289,352	$	293,241	$	393,368
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.61%		0.61%		0.62%		0.63%		0.63%
After expense waivers and reimbursements		0.60%		0.60%		0.60%		0.60%		0.60%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		3.88%		3.77%		4.33%		4.58%		3.74%
Portfolio Turnover Rate		117%		108%		181%		120%		167%

¹ Consolidated Financial Highlights.

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 288

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	10.74	$	10.65	$	10.37	$	10.21	$	10.37
Income from Investment Operations:
Net investment income1			0.11		0.13		0.26		0.25		0.18
Net realized and unrealized gain (loss)			(0.61)		0.36		0.28		0.17		(0.16)
Total Income (Loss) from Investment Operations			(0.50)		0.49		0.54		0.42		0.02
Less Distributions:
From net investment income			(0.11)		(0.13)		(0.26)		(0.26)		(0.18)
From net capital gains			(0.03)		(0.27)		—		—		—
Total Distributions			(0.14)		(0.40)		(0.26)		(0.26)		(0.18)
Net Asset Value, End of Year		$	10.10	$	10.74	$	10.65	$	10.37	$	10.21
Total Return			(4.63)%		4.63%		5.27%		4.15%		0.19%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	24,746	$	36,452	$	33,836	$	35,343	$	52,942
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.70%		0.71%		0.71%		0.69%		0.70%2
After expense waivers and reimbursements			0.70%		0.70%		0.70%		0.69%		0.70%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.04%		1.22%		2.49%		2.49%		1.71%
Portfolio Turnover Rate			399%		372%		393%		277%		251%

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

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

See accompanying Notes to Financial Statements.

289 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	10.73	$	10.65	$	10.36	$	10.21	$	10.37
Income from Investment Operations:
Net investment income1			0.14		0.16		0.29		0.28		0.20
Net realized and unrealized gain (loss)			(0.60)		0.35		0.28		0.15		(0.15)
Total Income (Loss) from Investment Operations			(0.46)		0.51		0.57		0.43		0.05
Less Distributions:
From net investment income			(0.14)		(0.16)		(0.28)		(0.28)		(0.21)
From net capital gains			(0.03)		(0.27)		—		—		—
Total Distributions			(0.17)		(0.43)		(0.28)		(0.28)		(0.21)
Net Asset Value, End of Year		$	10.10	$	10.73	$	10.65	$	10.36	$	10.21
Total Return			(4.33)%		4.76%		5.60%		4.29%		0.43%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	768,271	$	766,063	$	693,038	$	708,645	$	768,254
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.47%		0.48%		0.48%		0.47%		0.46%
After expense waivers and reimbursements			0.47%		0.48%		0.48%		0.47%		0.46%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.29%		1.44%		2.69%		2.74%		1.97%
Portfolio Turnover Rate			399%		372%		393%		277%		251%

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 290

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS M*
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	9.67	$	9.65	$	10.31	$	10.00
Income from Investment Operations:
Net investment income1			0.45		0.59		1.05		0.55
Net realized and unrealized gain (loss)			(0.95)		0.17		(0.55)		0.33
Total Income (Loss) from Investment Operations			(0.50)		0.76		0.50		0.88
Less Distributions:
From net investment income			(0.46)		(0.63)		(1.05)		(0.55)
From net capital gains			(0.01)		(0.11)		(0.11)		(0.02)
Total Distributions			(0.47)		(0.74)		(1.16)		(0.57)
Net Asset Value, End of Period		$	8.70	$	9.67	$	9.65	$	10.31
Total Return			(5.42)%		7.97%		4.80%		9.02%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	2,259	$	2,126	$	837	$	799
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.16%		2.93%		3.86%		4.78%3
After expense waivers and reimbursements			0.70%		0.70%		0.70%		0.70%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.75%		6.02%		10.33%		7.20%3
Portfolio Turnover Rate			345%		92%		76%		199%2

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

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

291 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS I*
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		PERIOD ENDED MARCH 31, 2019
Net Asset Value, Beginning of Period		$	9.67	$	9.65	$	10.31	$	10.00
Income from Investment Operations:
Net investment income1			0.45		0.65		1.07		0.55
Net realized and unrealized gain (loss)			(0.93)		0.13		(0.55)		0.34
Total Income (Loss) from Investment Operations			(0.48)		0.78		0.52		0.89
Less Distributions:
From net investment income			(0.48)		(0.65)		(1.07)		(0.56)
From net capital gains			(0.01)		(0.11)		(0.11)		(0.02)
Total Distributions			(0.49)		(0.76)		(1.18)		(0.58)
Net Asset Value, End of Period		$	8.70	$	9.67	$	9.65	$	10.31
Total Return			(5.22)%		8.20%		5.02%		9.20%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	8,640	$	10,105	$	6,431	$	5,081
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.87%		2.68%		3.61%		4.53%3
After expense waivers and reimbursements			0.49%		0.49%		0.49%		0.49%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.79%		6.56%		10.54%		7.29%3
Portfolio Turnover Rate			345%		92%		76%		199%2

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

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 292

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year	$	8.88	$	8.65	$	8.68	$	8.63	$	8.72
Income from Investment Operations:
Net investment income1		0.08		0.11		0.20		0.20		0.13
Net realized and unrealized gain (loss)		(0.31)		0.23		(0.03)		0.05		(0.09)
Total Income (Loss) from Investment Operations		(0.23)		0.34		0.17		0.25		0.04
Less Distributions:
From net investment income		(0.08)		(0.11)		(0.20)		(0.20)		(0.13)
Return of capital		—		—		—		(0.00)2		—
Total Distributions		(0.08)		(0.11)		(0.20)		(0.20)		(0.13)
Net Asset Value, End of Year	$	8.57	$	8.88	$	8.65	$	8.68	$	8.63
Total Return		(2.65)%		3.91%		1.93%		2.93%		0.48%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	474,682	$	445,538	$	449,701	$	580,434	$	975,388
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.62%		0.62%		0.62%		0.62%		0.62%
After expense waivers and reimbursements		0.62%		0.62%		0.62%		0.62%		0.62%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		0.87%		1.22%		2.32%		2.29%		1.45%
Portfolio Turnover Rate		347%		256%		233%		174%		200%

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

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

See accompanying Notes to Financial Statements.

293 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year	$	8.88	$	8.65	$	8.68	$	8.64	$	8.72
Income from Investment Operations:
Net investment income1		0.09		0.12		0.22		0.22		0.15
Net realized and unrealized gain (loss)		(0.30)		0.24		(0.03)		0.04		(0.08)
Total Income (Loss) from Investment Operations		(0.21)		0.36		0.19		0.26		0.07
Less Distributions:
From net investment income		(0.09)		(0.13)		(0.22)		(0.22)		(0.15)
Return of capital		—		—		—		(0.00)2		—
Total Distributions		(0.09)		(0.13)		(0.22)		(0.22)		(0.15)
Net Asset Value, End of Year	$	8.58	$	8.88	$	8.65	$	8.68	$	8.64
Total Return		(2.34)%		4.12%		2.14%		3.03%		0.81%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	2,018,926	$	2,034,540	$	1,456,456	$	1,578,279	$	1,685,415
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.41%		0.42%		0.42%		0.41%		0.40%
After expense waivers and reimbursements		0.41%		0.42%		0.42%		0.41%		0.40%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		1.07%		1.39%		2.51%		2.53%		1.68%
Portfolio Turnover Rate		347%		256%		233%		174%		200%

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 294

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year	$	11.48	$	11.18	$	11.21	$	11.16	$	11.27
Income from Investment Operations:
Net investment income1		0.09		0.13		0.26		0.23		0.15
Net realized and unrealized gain (loss)		(0.40)		0.30		(0.05)		0.06		(0.10)
Total Income (Loss) from Investment Operations		(0.31)		0.43		0.21		0.29		0.05
Less Distributions:
From net investment income		(0.09)		(0.13)		(0.24)		(0.24)		(0.16)
Return of capital		—		—		—		(0.00)2		—
Total Distributions		(0.09)		(0.13)		(0.24)		(0.24)		(0.16)
Net Asset Value, End of Year	$	11.08	$	11.48	$	11.18	$	11.21	$	11.16
Total Return		(2.74)%		3.83%		1.90%		2.68%		0.43%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	1,709	$	88	$	94	$	415	$	5,374
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.72%		0.73%		0.72%		0.72%		0.72%
After expense waivers and reimbursements		0.72%		0.73%		0.72%		0.72%		0.72%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		0.80%		1.11%		2.27%		2.02%		1.35%
Portfolio Turnover Rate		347%		256%		233%		174%		200%

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

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

See accompanying Notes to Financial Statements.

295 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	OPPORTUNISTIC HIGH INCOME CREDIT FUND CLASS M*
	PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	10.00
Income from Investment Operations:
Net investment income1			0.88
Net realized and unrealized loss			(1.07)
Total (Loss) from Investment Operations			(0.19)
Less Distributions:
From net investment income			(0.76)
From net capital gains			(0.06)
Total Distributions			(0.82)
Net Asset Value, End of Period		$	8.99
Total Return			(2.09)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	70
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			5.78%3
After expense waivers and reimbursements			0.85%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			14.30%3
Portfolio Turnover Rate			104%2

^* The Opportunistic High Income Credit Fund Class M Shares commenced operations on August 2, 2021.

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 296

Metropolitan West Funds

Financial Highlights

	OPPORTUNISTIC HIGH INCOME CREDIT FUND CLASS I*
	PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	10.00
Income from Investment Operations:
Net investment income1			0.80
Net realized and unrealized loss			(0.98)
Total (Loss) from Investment Operations			(0.18)
Less Distributions:
From net investment income			(0.78)
From net capital gains			(0.06)
Total Distributions			(0.84)
Net Asset Value, End of Period		$	8.98
Total Return			(2.04)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	2,971
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			5.42%3
After expense waivers and reimbursements			0.60%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			12.43%3
Portfolio Turnover Rate			104%2

^* The Opportunistic High Income Credit Fund Class I Shares commenced operations on August 2, 2021.

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

² Non-Annualized.

³ Annualized.

See accompanying Notes to Financial Statements.

297 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS M
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	7.83	$	7.29	$	7.89	$	7.99	$	8.05
Income from Investment Operations:
Net investment income1			0.73		0.47		0.31		0.32		0.25
Net realized and unrealized gain (loss)			(0.94)		0.54		(0.60)		(0.09)		(0.03)
Total Income (Loss) from Investment Operations			(0.21)		1.01		(0.29)		0.23		0.22
Less Distributions:
From net investment income			(0.73)		(0.47)		(0.31)		(0.33)		(0.28)
Net Asset Value, End of Year		$	6.89	$	7.83	$	7.29	$	7.89	$	7.99
Total Return			(2.99)%		14.14%		(3.86)%		3.01%		2.78%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	16,813	$	15,471	$	10,413	$	17,908	$	26,420
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.02%		2.73%		2.43%		1.84%2		2.45%
After expense waivers and reimbursements			1.04%		2.28%		2.35%		1.84%		2.35%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			9.71%		6.12%		3.95%		4.10%		3.15%
Portfolio Turnover Rate			77%		24%		50%		36%		32%

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 298

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS I
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	7.83	$	7.29	$	7.89	$	7.98	$	8.05
Income from Investment Operations:
Net investment income1			0.76		0.46		0.33		0.35		0.27
Net realized and unrealized gain (loss)			(0.95)		0.56		(0.60)		(0.09)		(0.04)
Total Income (Loss) from Investment Operations			(0.19)		1.02		(0.27)		0.26		0.23
Less Distributions:
From net investment income			(0.75)		(0.48)		(0.33)		(0.35)		(0.30)
Net Asset Value, End of Year		$	6.89	$	7.83	$	7.29	$	7.89	$	7.98
Total Return			(2.76)%		14.19%		(3.61)%		3.41%		2.90%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	9,310	$	9,799	$	48,252	$	67,310	$	69,791
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			2.77%		2.08%2		2.20%		1.53%3		2.22%
After expense waivers and reimbursements			0.80%		2.08%		2.10%		1.53%		2.10%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			10.06%		5.92%		4.23%		4.45%		3.40%
Portfolio Turnover Rate			77%		24%		50%		36%		32%

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

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

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

See accompanying Notes to Financial Statements.

299 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS M
		YEARENDEDMARCH 31,2022		YEARENDEDMARCH 31,2021		YEARENDEDMARCH 31,2020		YEARENDEDMARCH 31,2019		YEARENDEDMARCH 31,2018
Net Asset Value, Beginning of Year		$	10.82	$	11.12	$	10.64	$	10.46	$	10.57
Income from Investment Operations:
Net investment income1			0.13		0.15		0.26		0.28		0.21
Net realized and unrealized gain (loss)			(0.63)		0.24		0.57		0.18		(0.11)
Total Income (Loss) from Investment Operations			(0.50)		0.39		0.83		0.46		0.10
Less Distributions:
From net investment income			(0.13)		(0.15)		(0.26)		(0.28)		(0.21)
From net capital gains			(0.00)2		(0.54)		(0.09)		—		—
Total Distributions			(0.13)		(0.69)		(0.35)		(0.28)		(0.21)
Net Asset Value, End of Year		$	10.19	$	10.82	$	11.12	$	10.64	$	10.46
Total Return			(4.69)%		3.31%		7.93%		4.49%		0.94%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	6,213,223	$	7,154,434	$	8,979,527	$	9,560,056	$	11,617,735
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.65%		0.67%		0.67%		0.67%		0.67%
After expense waivers and reimbursements			0.65%		0.67%		0.67%		0.67%		0.67%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.17%		1.28%		2.38%		2.68%		1.96%
Portfolio Turnover Rate			467%		470%		405%		255%		291%

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 300

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I
		YEAR ENDEDMARCH 31,2022		YEARENDEDMARCH 31,2021		YEARENDEDMARCH 31,2020		YEARENDEDMARCH 31,2019		YEARENDEDMARCH 31,2018
Net Asset Value, Beginning of Year		$	10.82	$	11.12	$	10.64	$	10.46	$	10.57
Income from Investment Operations:
Net investment income1			0.15		0.17		0.28		0.30		0.23
Net realized and unrealized gain (loss)			(0.64)		0.24		0.57		0.18		(0.11)
Total Income (Loss) from Investment Operations			(0.49)		0.41		0.85		0.48		0.12
Less Distributions:
From net investment income			(0.15)		(0.17)		(0.28)		(0.30)		(0.23)
From net capital gains			(0.00)2		(0.54)		(0.09)		—		—
Total Distributions			(0.15)		(0.71)		(0.37)		(0.30)		(0.23)
Net Asset Value, End of Year		$	10.18	$	10.82	$	11.12	$	10.64	$	10.46
Total Return			(4.58)%		3.54%		8.16%		4.72%		1.17%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	46,961,971	$	52,980,073	$	46,086,494	$	40,927,700	$	47,327,297
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.44%		0.45%		0.45%		0.44%		0.44%
After expense waivers and reimbursements			0.44%		0.45%		0.45%		0.44%		0.44%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.38%		1.49%		2.60%		2.91%		2.19%
Portfolio Turnover Rate			467%		470%		405%		255%		291%

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

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

See accompanying Notes to Financial Statements.

301 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I-2*
		YEARENDEDMARCH 31,2022		YEARENDEDMARCH 31,2021		PERIODENDEDMARCH 31,2020
Net Asset Value, Beginning of Period		$	10.82	$	11.12	$	11.48
Income from Investment Operations:
Net investment income1			0.14		0.15		0.02
Net realized and unrealized gain (loss)			(0.64)		0.27		(0.36)
Total Income (Loss) from Investment Operations			(0.50)		0.42		(0.34)
Less Distributions:
From net investment income			(0.14)		(0.18)		(0.02)
From net capital gains			(0.00)2		(0.54)		—
Total Distributions			(0.14)		(0.72)		(0.02)
Net Asset Value, End of Period		$	10.18	$	10.82	$	11.12
Total Return			(4.65)%		3.65%		(2.93)%3
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	170,455	$	116,857	$	974
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.52%		0.52%		0.33%5
After expense waivers and reimbursements			0.52%		0.52%		0.33%5
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.33%		1.32%		3.49%5
Portfolio Turnover Rate			467%		470%		405%3

⁵ Annualized.

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

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

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

³ Non-Annualized.

⁴ Represents the whole number without rounding to the 000s.

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 302

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	10.83	$	11.13	$	10.65	$	10.47	$	10.58
Income from Investment Operations:
Net investment income1			0.12		0.13		0.25		0.27		0.20
Net realized and unrealized gain (loss)			(0.65)		0.24		0.57		0.18		(0.11)
Total Income (Loss) from Investment Operations			(0.53)		0.37		0.82		0.45		0.09
Less Distributions:
From net investment income			(0.11)		(0.13)		(0.25)		(0.27)		(0.20)
From net capital gains			(0.00)2		(0.54)		(0.09)		—		—
Total Distributions			(0.11)		(0.67)		(0.34)		(0.27)		(0.20)
Net Asset Value, End of Year		$	10.19	$	10.83	$	11.13	$	10.65	$	10.47
Total Return			(4.89)%		3.19%		7.80%		4.36%		0.83%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	1,963,315	$	2,083,842	$	1,739,034	$	1,011,637	$	975,897
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.77%		0.78%		0.78%		0.78%		0.78%
After expense waivers and reimbursements			0.77%		0.78%		0.78%		0.78%		0.78%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.06%		1.15%		2.26%		2.58%		1.87%
Portfolio Turnover Rate			467%		470%		405%		255%		291%

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

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

See accompanying Notes to Financial Statements.

303 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND PLAN CLASS
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	10.15	$	10.46	$	10.01	$	9.84	$	9.95
Income from Investment Operations:
Net investment income1			0.15		0.17		0.28		0.29		0.23
Net realized and unrealized gain (loss)			(0.60)		0.23		0.54		0.17		(0.11)
Total Income (Loss) from Investment Operations			(0.45)		0.40		0.82		0.46		0.12
Less Distributions:
From net investment income			(0.15)		(0.17)		(0.28)		(0.29)		(0.23)
From net capital gains			(0.00)2		(0.54)		(0.09)		—		—
Total Distributions			(0.15)		(0.71)		(0.37)		(0.29)		(0.23)
Net Asset Value, End of Year		$	9.55	$	10.15	$	10.46	$	10.01	$	9.84
Total Return			(4.50)%		3.65%		8.29%		4.80%		1.18%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	22,197,865	$	24,605,977	$	23,822,841	$	20,611,577	$	18,363,121
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.36%		0.37%		0.37%		0.37%		0.37%
After expense waivers and reimbursements			0.36%		0.37%		0.37%		0.37%		0.37%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			1.47%		1.57%		2.67%		3.00%		2.28%
Portfolio Turnover Rate			467%		470%		405%		255%		291%

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 304

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	4.25	$	4.23	$	4.26	$	4.25	$	4.27
Income from Investment Operations:
Net investment income1			0.02		0.02		0.11		0.09		0.05
Net realized and unrealized gain (loss)			(0.07)		0.02		(0.03)		0.01		(0.02)
Total Income (Loss) from Investment Operations			(0.05)		0.04		0.08		0.10		0.03
Less Distributions:
From net investment income			(0.02)		(0.02)		(0.11)		(0.09)		(0.05)
Net Asset Value, End of Year		$	4.18	$	4.25	$	4.23	$	4.26	$	4.25
Total Return			(1.14)%		1.03%		1.85%		2.37%		0.68%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	39,477	$	61,925	$	28,355	$	34,376	$	50,777
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.64%		0.65%		0.77%		0.74%		0.69%
After expense waivers and reimbursements			0.50%		0.50%		0.50%		0.50%		0.50%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			0.49%		0.49%		2.53%		2.08%		1.14%
Portfolio Turnover Rate			336%		210%		303%		172%		183%

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

See accompanying Notes to Financial Statements.

305 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	4.26	$	4.23	$	4.27	$	4.26	$	4.27
Income from Investment Operations:
Net investment income1			0.03		0.03		0.12		0.10		0.06
Net realized and unrealized gain (loss)			(0.08)		0.03		(0.04)		0.01		(0.01)
Total Income (Loss) from Investment Operations			(0.05)		0.06		0.08		0.11		0.05
Less Distributions:
From net investment income			(0.03)		(0.03)		(0.12)		(0.10)		(0.06)
Net Asset Value, End of Year		$	4.18	$	4.26	$	4.23	$	4.27	$	4.26
Total Return			(1.21)%		1.43%		1.78%		2.53%		1.08%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	158,258	$	181,248	$	76,340	$	68,020	$	68,698
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.49%		0.48%		0.58%		0.56%		0.52%
After expense waivers and reimbursements			0.34%		0.34%		0.34%		0.34%		0.34%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			0.66%		0.67%		2.70%		2.27%		1.30%
Portfolio Turnover Rate			336%		210%		303%		172%		183%

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 306

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	11.96	$	11.12	$	11.80	$	11.83	$	11.90
Income from Investment Operations:
Net investment income1			0.30		0.30		0.42		0.41		0.29
Net realized and unrealized gain (loss)			(0.66)		0.93		(0.69)		(0.03)		(0.03)
Total Income (Loss) from Investment Operations			(0.36)		1.23		(0.27)		0.38		0.26
Less Distributions:
From net investment income			(0.30)		(0.30)		(0.41)		(0.41)		(0.31)
From net capital gains			(0.13)		(0.09)		—		—		(0.02)
Return of capital			—		—		—		(0.00)2		—
Total Distributions			(0.43)		(0.39)		(0.41)		(0.41)		(0.33)
Net Asset Value, End of Year		$	11.17	$	11.96	$	11.12	$	11.80	$	11.83
Total Return			(3.15)%		11.14%		(2.47)%		3.31%		2.18%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	214,792	$	258,424	$	267,139	$	454,968	$	642,999
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.02%		1.03%		1.03%		1.03%3		1.05%
After expense waivers and reimbursements			1.02%		1.03%		1.03%		1.03%		1.04%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.50%		2.56%		3.49%		3.46%		2.39%
Portfolio Turnover Rate			182%		165%		85%		43%		62%

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

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

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

See accompanying Notes to Financial Statements.

307 / Annual Report March 2022

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020		YEAR ENDED MARCH 31, 2019		YEAR ENDED MARCH 31, 2018
Net Asset Value, Beginning of Year		$	11.95	$	11.12	$	11.79	$	11.82	$	11.89
Income from Investment Operations:
Net investment income1			0.33		0.33		0.44		0.44		0.33
Net realized and unrealized gain (loss)			(0.66)		0.92		(0.67)		(0.02)		(0.04)
Total Income (Loss) from Investment Operations			(0.33)		1.25		(0.23)		0.42		0.29
Less Distributions:
From net investment income			(0.33)		(0.33)		(0.44)		(0.45)		(0.34)
From net capital gains			(0.13)		(0.09)		—		—		(0.02)
Return of capital			—		—		—		(0.00)2		—
Total Distributions			(0.46)		(0.42)		(0.44)		(0.45)		(0.36)
Net Asset Value, End of Year		$	11.16	$	11.95	$	11.12	$	11.79	$	11.82
Total Return			(2.88)%		11.35%		(2.11)%		3.60%		2.49%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	3,648,832	$	3,271,289	$	2,760,187	$	2,651,631	$	2,627,294
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.74%		0.75%		0.75%		0.75%		0.73%
After expense waivers and reimbursements			0.74%		0.75%		0.75%		0.75%		0.73%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.79%		2.82%		3.72%		3.76%		2.77%
Portfolio Turnover Rate			182%		165%		85%		43%		62%

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2022 / 308

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND PLAN CLASS*
		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		PERIOD ENDED MARCH 31, 2020
Net Asset Value, Beginning of Period		$	11.94	$	11.11	$	11.96
Income from Investment Operations:
Net investment income1			0.34		0.34		0.03
Net realized and unrealized gain (loss)			(0.66)		0.92		(0.85)
Total Income (Loss) from Investment Operations			(0.32)		1.26		(0.82)
Less Distributions:
From net investment income			(0.34)		(0.34)		(0.03)
From net capital gains			(0.13)		(0.09)		—
Total Distributions			(0.47)		(0.43)		(0.03)
Net Asset Value, End of Period		$	11.15	$	11.94	$	11.11
Total Return			(2.83)%		11.44%		(6.88)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	120,524	$	63,815	$	933
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.69%		0.69%		0.68%4
After expense waivers and reimbursements			0.69%		0.69%		0.68%4
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			2.87%		2.88%		4.06%4
Portfolio Turnover Rate			182%		165%		85%2

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

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

² Non-Annualized.

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

⁴ Annualized.

See accompanying Notes to Financial Statements.

309 / Annual Report March 2022

Notes to Financial Statements

March 31, 2022

1. SUMMARY OF ORGANIZATION

The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of fourteen 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 ESG Securitized Fund (the “ESG Securitized 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 ESG Securitized Fund commenced investment operations on October 1, 2021 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 ESG Securitized Fund seeks to maximize current income and achieve above average long-term total return by investing, under normal circumstances, at least 80% of its net assets in debt securities issued by securitized vehicles and similar instruments that the Adviser believes satisfy one or more of its positive-screening environmental, social and governance (“ESG”) criteria to support sustainable initiatives. The Fund’s portfolio duration is two to eight years and the Fund’s dollar-weighted average maturity ranges from two to fifteen 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.

Annual Report March 2022 / 310

Notes to Financial Statements (Continued)

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.

311 / Annual Report March 2022

Notes to Financial Statements (Continued)

2. SIGNIFICANT ACCOUNTING POLICIES

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

Net Asset Value:

The Net Asset Value (“NAV”) of each class of a Fund is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the class of the Fund on each business day as of 4 p.m. ET.

Security Valuation:

Fixed income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board” or the “Board of Trustees”). Securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (e.g., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange on which those securities 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.

Foreign Currency Translation:

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.

Foreign Taxes:

The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.

Annual Report March 2022 / 312

Notes to Financial Statements (Continued)

Securities and Derivatives Transactions and Investment Income:

Securities transactions are accounted for no later than the first NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the effective interest method.

Distributions to Shareholders:

Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the 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.

Federal Income Taxation:

It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.

Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.

Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns filed for the prior three and four fiscal years, respectively.

As of and during the year ended March 31, 2022, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.

Cash and Cash Equivalents:

The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.

Use of Estimates:

The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Fair Value Measurements:

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

* Level 1 -	unadjusted quoted prices in active markets for identical securities
* Level 2 -	other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
* Level 3 -	significant unobservable inputs that are not corroborated by observable market data

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

313 / Annual Report March 2022

Notes to Financial Statements (Continued)

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.

Annual Report March 2022 / 314

Notes to Financial Statements (Continued)

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 March 31, 2022, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and credit default swaps.

315 / Annual Report March 2022

Notes to Financial Statements (Continued)

The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of March 31, 2022 is as follows:

ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	3,660,904	$	—	$	—	$	3,660,904
U.S. Agency Discount Notes		—		1,192,777		—		1,192,777
U.S. Treasury Bills		2,117,854		—		—		2,117,854
Long-Term Investments:
Asset-Backed Securities		—		4,892,606		—		4,892,606
Common Stock		—		—		23,160		23,160
Corporates		—		12,798,946		—		12,798,946
Mortgage-Backed Securities		—		9,750,174		42,950		9,793,124
Municipal Bonds		—		904,364		—		904,364
Mutual Funds		8,169,469		—		—		8,169,469
Rights		—		—		—		—
U.S. Treasury Securities		143,946		—		—		143,946
Other Financial Instruments*
Assets:
Equity contracts		2,224,884		—		—		2,224,884
Total	$	16,317,057	$	29,538,867	$	66,110	$	45,922,034
*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	$	355,236	$	—	$	—	$	355,236
Long-Term Investments:
Asset-Backed Securities		—		—		39,936		39,936
Corporates		—		11,219,336		5,355		11,224,691
Mortgage-Backed Securities		—		58,801		12,295		71,096
Municipal Bonds		—		364,007		—		364,007
U.S. Treasury Securities		346,609		22,025		—		368,634
Other Financial Instruments*
Assets:
Foreign currency exchange       contracts		—		4,548		—		4,548
Interest rate contracts		18,676		11,164		—		29,840
Liabilities:
Foreign currency exchange       contracts		—		(5,737)		—		(5,737)
Interest rate contracts		(6,138)		(49,447)		—		(55,585)
Total	$	714,383	$	11,624,697	$	57,586	$	12,396,666

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

Annual Report March 2022 / 316

Notes to Financial Statements (Continued)

ESG SECURITIZED FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	227,640	$	—	$	—	$	227,640
U.S. Agency Discount Notes		—		96,810		—		96,810
Long-Term Investments:
Asset-Backed Securities		—		693,007		—		693,007
Mortgage-Backed Securities		—		9,101,469		—		9,101,469
U.S. Treasury Securities		1,983,880		—		—		1,983,880
Other Financial Instruments*
Assets:
Foreign currency exchange       contracts		—		7,845		—		7,845
Interest rate contracts		41,969		—		—		41,969
Liabilities:
Foreign currency exchange       contracts		—		(1,715)		—		(1,715)
Interest rate contracts		(15,590)		—		—		(15,590)
Total	$	2,237,899	$	9,897,416	$	—	$	12,135,315
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.
FLEXIBLE INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	12,901,658	$	—	$	—	$	12,901,658
U.S. Treasury Bills		9,964,717		—		—		9,964,717
Long-Term Investments:
Asset-Backed Securities		—		14,627,987		488,107		15,116,094
Bank Loans		—		14,400,380		—		14,400,380
Common Stock		334,050		—		330,900		664,950
Corporates		—		73,285,767		531,973		73,817,740
Foreign Government Obligations		—		4,869,898		—		4,869,898
Mortgage-Backed Securities		—		95,001,692		1,948,536		96,950,228
Municipal Bonds		—		1,373,157		—		1,373,157
Rights		—		—		—		—
U.S. Treasury Securities		2,493,467		—		—		2,493,467
Warrant		—		33,176		—		33,176
Other Financial Instruments*
Assets:
Foreign currency exchange       contracts		—		96,181		—		96,181
Interest rate contracts		1,274,283		—		—		1,274,283
Liabilities:
Foreign currency exchange       contracts		—		(104,882)		—		(104,882)
Interest rate contracts		(1,564,435)		—		—		(1,564,435)
Total	$	25,403,740	$	203,583,356	$	3,299,516	$	232,286,612

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

317 / Annual Report March 2022

Notes to Financial Statements (Continued)

FLOATING RATE INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	10,796,915	$	—	$	—	$	10,796,915
U.S. Treasury Bills		23,392,140		—		—		23,392,140
Long-Term Investments:
Bank Loans		—		431,881,233		3,781,017		435,662,250
Common Stock		—		—		289,860		289,860
Corporates		—		30,315,646		—		30,315,646
Rights		—		—		—		—
Warrant		—		49,875		—		49,875
Other Financial Instruments*
Assets:
Foreign currency exchange       contracts		—		20,619		—		20,619
Liabilities:
Foreign currency exchange       contracts		—		(7,881)		—		(7,881)
Total	$	34,189,055	$	462,259,492	$	4,070,877	$	500,519,424
*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	$	31,292,239	$	—	$	—	$	31,292,239
Long-Term Investments:
Bank Loans		—		80,008,408		4,460,910		84,469,318
Common Stock		4,127,671		—		3,763,050		7,890,721
Corporates		—		585,388,272		4,007,877		589,396,149
Rights		—		—		—		—
Warrant		—		62,641		51		62,692
Other Financial Instruments*
Assets:
Credit contracts		—		222,693		94,040		316,733
Foreign currency exchange       contracts		—		95,427		—		95,427
Interest rate contracts		1,711,536		—		—		1,711,536
Liabilities:
Foreign currency exchange       contracts		—		(37,530)		—		(37,530)
Total	$	37,131,446	$	665,739,911	$	12,325,928	$	715,197,285

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

Annual Report March 2022 / 318

Notes to Financial Statements (Continued)

INTERMEDIATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	34,047,208	$	—	$	—	$	34,047,208
Long-Term Investments:
Asset-Backed Securities		—		52,145,385		2,041,174		54,186,559
Bank Loans		—		11,497,475		—		11,497,475
Common Stock		—		—		457,470		457,470
Corporates		—		260,796,096		522,068		261,318,164
Foreign Government Obligations		—		1,164,081		—		1,164,081
Mortgage-Backed Securities		—		125,076,917		—		125,076,917
Municipal Bonds		—		6,262,843		—		6,262,843
Purchased Options		93,306		—		—		93,306
Rights		—		—		—		—
U.S. Treasury Securities		361,976,057		—		—		361,976,057
Other Financial Instruments*
Assets:
Credit contracts		—		64,383		98,067		162,450
Foreign currency exchange contracts		—		258,747		—		258,747
Interest rate contracts		315,375		—		—		315,375
Liabilities:
Foreign currency exchange contracts		—		(327,873)		—		(327,873)
Interest rate contracts		(3,460,788)		—		—		(3,460,788)
Total	$	392,971,158	$	456,938,054	$	3,118,779	$	853,027,991
*Other financial instruments include foreign currency exchange contracts, futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures and written options.
INVESTMENT GRADE CREDIT FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	308,477	$	—	$	—	$	308,477
Long-Term Investments:
Asset-Backed Securities		—		556,856		35,499		592,355
Corporates		—		7,213,940		13,386		7,227,326
Mortgage-Backed Securities		—		2,697,911		37,672		2,735,583
Municipal Bonds		—		596,541		—		596,541
U.S. Treasury Securities		257,775		—		—		257,775
Other Financial Instruments*
Assets:
Interest rate contracts		65,228		15,253		—		80,481
Liabilities:
Interest rate contracts		(58,677)		(74,540)		—		(133,217)
Total	$	572,803	$	11,005,961	$	86,557	$	11,665,321

*Other financial instruments include futures, swaps, written options and written swaptions. Interest rate contracts include futures, swaps, written options and written swaptions.

319 / Annual Report March 2022

Notes to Financial Statements (Continued)

	LOW DURATION BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
	Investments in Securities
	Assets:
	Short-Term Investments:
	Money Market Funds	$	99,499,642	$	—	$	—	$	99,499,642
	U.S. Treasury Bills		69,802,143		—		—		69,802,143
	Long-Term Investments:
	Asset-Backed Securities		—		201,712,769		6,034,776		207,747,545
	Bank Loans		—		67,722,799		—		67,722,799
	Common Stock		—		—		—		—
	Corporates		—		784,267,098		2,096,305		786,363,403
	Mortgage-Backed Securities		—		1,030,065,283		891,424		1,030,956,707
	Municipal Bonds		—		23,091,060		—		23,091,060
	Purchased Options		309,550		—		—		309,550
	Purchased Swaptions		—		11,892		—		11,892
	U.S. Treasury Securities		624,338,050		—		—		624,338,050
	Other Financial Instruments*
	Assets:
	Credit contracts		—		190,920		317,177		508,097
	Interest rate contracts		11,168,335		—		—		11,168,335
	Liabilities:
	Interest rate contracts		(14,970,438)		(3,498)		—		(14,973,936)
	Total	$	790,147,282	$	2,107,058,323	$	9,339,682	$	2,906,545,287
*Other financial instruments include futures, swaps, written options and written swaptions. Credit contracts include swaps. Interest rate contracts include futures, written options and written swaptions.
	OPPORTUNISTIC HIGH INCOME CREDIT FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
	Investments in Securities
	Assets:
	Short-Term Investments:
	Money Market Funds	$	97,209	$	—	$	—	$	97,209
	Long-Term Investments:
	Bank Loans		—		209,857		31,515		241,372
	Common Stock		379,717		—		—		379,717
	Corporates		—		1,906,091		25,166		1,931,257
	Master Limited Partnerships		79,927		—		—		79,927
	Mortgage-Backed Securities		—		269,306		30,081		299,387
	Other Financial Instruments*
	Liabilities:
	Interest rate contracts		(6,598)		—		—		(6,598)
	Total	$	550,255	$	2,385,254	$	86,762	$	3,022,271

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

Annual Report March 2022 / 320

Notes to Financial Statements (Continued)

STRATEGIC INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	773,105	$	—	$	—	$	773,105
Long-Term Investments:
Asset-Backed Securities		—		4,474,423		115,275		4,589,698
Common Stock		58,950		—		31,230		90,180
Corporates		—		9,563,348		32,127		9,595,475
Foreign Government Obligations		—		27,226		—		27,226
Mortgage-Backed Securities		—		12,369,154		85,217		12,454,371
Municipal Bonds		—		127,078		—		127,078
Rights		—		—		—		—
Other Financial Instruments*
Assets:
Foreign currency exchange contracts		—		1,321		—		1,321
Interest rate contracts		93,969		24,767		—		118,736
Liabilities:
Foreign currency exchange contracts		—		(3,872)		—		(3,872)
Interest rate contracts		(62,213)		(112,406)		—		(174,620)
Total	$	863,810	$	26,471,039	$	263,849	$	27,598,698

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

TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	1,846,284,554	$	—	$	—	$	1,846,284,554
U.S. Agency Discount Notes		—		4,759,666,339		—		4,759,666,339
U.S. Treasury Bills		3,618,887,182		—		—		3,618,887,182
Long-Term Investments:
Asset-Backed Securities		—		3,332,733,841		28,567,563		3,361,301,404
Bank Loans		—		1,556,092,594		3,351,078		1,559,443,672
Common Stock		—		—		71,845,770		71,845,770
Corporates		—		22,328,823,045		61,572,896		22,390,395,941
Foreign Government Obligations		—		909,248,705		—		909,248,705
Mortgage-Backed Securities		—		32,145,731,604		155,761,703		32,301,493,307
Municipal Bonds		—		520,502,526		—		520,502,526
Purchased Options		9,464,456		—		—		9,464,456
Rights		—		—		—		—
U.S. Treasury Securities		24,710,503,030		133,315,180		—		24,843,818,210
Other Financial Instruments*
Assets:
Credit contracts		—		3,381,654		947,503		4,329,157
Foreign currency exchange contracts		—		29,813,453		—		29,813,453
Interest rate contracts		286,630		72,771,520		—		73,058,150
Liabilities:
Foreign currency exchange contracts		—		(27,578,964)		—		(27,578,964)
Interest rate contracts		(268,731,067)		(328,699,312)		—		(597,430,379)
Reverse Repurchase Agreements		—		(3,963,750,000)		—		(3,963,750,000)
Total	$	29,916,694,785	$	61,472,052,185	$	322,046,513	$	91,710,793,483

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

321 / Annual Report March 2022

Notes to Financial Statements (Continued)

ULTRA SHORT BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	9,097,000	$	—	$	—	$	9,097,000
U.S. Agency Discount Notes		—		7,133,369		—		7,133,369
U.S. Treasury Bills		18,977,391		—		—		18,977,391
Long-Term Investments:
Asset-Backed Securities		—		14,230,069		—		14,230,069
Corporates		—		51,496,247		—		51,496,247
Mortgage-Backed Securities		—		70,197,416		13,941		70,211,357
Municipal Bonds		—		1,698,134		—		1,698,134
Purchased Options		23,588		—		—		23,588
U.S. Treasury Securities		51,795,947		2,521,924		—		54,317,871
Other Financial Instruments*
Assets:
Credit contracts		—		21,740		—		21,740
Interest rate contracts		765,868		—		—		765,868
Liabilities:
Interest rate contracts		(651,603)		—		—		(651,603)
Total	$	80,008,191	$	147,298,899	$	13,941	$	227,321,031
*Other financial instruments include futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures and written options.
UNCONSTRAINED BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	190,256,390	$	—	$	—	$	190,256,390
U.S. Agency Discount Notes		—		20,081,296		—		20,081,296
U.S. Treasury Bills		200,708,195		—		—		200,708,195
Long-Term Investments:
Asset-Backed Securities		—		553,636,311		9,140,910		562,777,221
Bank Loans		—		157,341,026		1,773,939		159,114,965
Common Stock		7,624,200		—		4,231,650		11,855,850
Corporates		—		1,221,417,317		4,328,214		1,225,745,531
Foreign Government Obligations		—		126,108,987		—		126,108,987
Mortgage-Backed Securities		—		1,836,583,549		54,965		1,836,638,514
Municipal Bonds		—		19,211,300		—		19,211,300
Purchased Options		467,063		—		—		467,063
Rights		—		—		—		—
U.S. Treasury Securities		56,733,694		—		—		56,733,694
Other Financial Instruments*
Assets:
Credit contracts		—		578,056		438,220		1,016,276
Foreign currency exchange contracts		—		1,401,009		—		1,401,009
Interest rate contracts		21,457,639		3,480,912		—		24,938,551
Liabilities:
Foreign currency exchange contracts		—		(1,751,000)		—		(1,751,000)
Interest rate contracts		(21,946,054)		(15,665,026)		—		(37,611,080)
Total	$	455,301,127	$	3,922,423,737	$	19,967,898	$	4,397,692,762

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

Annual Report March 2022 / 322

Notes to Financial Statements (Continued)

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 year ended March 31, 2022, 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	COMMON       STOCK			MORTGAGE- BACKED     SECURITIES
Balance as of     April 1, 2021	$	—		$	62,388
Accrued discounts/premiums		—			(12,814	)
Realized (loss)		(28	)		—
Change in unrealized (depreciation)*		(2,702	)		(6,805	)
Purchases		25,890			—
Sales		—			—
Transfers into Level 3**		—			181
Transfers out of Level 3**		—			—
Balance as of     March 31, 2022	$	23,160		$	42,950

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(9,507) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2021, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2022, the Fund used significant unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $181 transferred from level 2 to level 3 in the disclosure hierarchy.

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		—			(52	)		(1,894	)
Realized (loss)		—			(5	)		—
Change in unrealized appreciation (depreciation)*		(1,701	)		675			(10,825	)
Purchases		—			—			—
Sales		(2,481	)		(530	)		—
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—
Balance as of     March 31, 2022	$	39,936		$	5,355		$	12,295

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(11,852) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

323 / Annual Report March 2022

Notes to Financial Statements (Continued)

FLEXIBLE INCOME        FUND	ASSET-BACKED SECURITIES			COMMON      STOCK			CORPORATES			MORTGAGE- BACKED     SECURITIES
Balance as of     April 1, 2021	$	815,348		$	—		$	213,302		$	2,696,696
Accrued discounts/premiums		—			—			66,687			(139,815	)
Realized gain (loss)		—			(72	)		1,528			(1,962	)
Change in unrealized (depreciation)*		(20,794	)		(38,605	)		(50,465	)		(873,796	)
Purchases		—			369,577			322,398			—
Sales		(30,318	)		—			(21,477	)		(8,716	)
Other**		(276,129	)		—			—			276,129
Transfers into Level 3***		—			—			—			—
Transfers out of Level 3***		—			—			—			—
Balance as of     March 31, 2022	$	488,107		$	330,900		$	531,973		$	1,948,536

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(982,589) 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 year ended March 31, 2022.

FLOATING RATE        INCOME FUND	BANK       LOANS			COMMON       STOCK
Balance as of     April 1, 2021	$	3,008,358		$	—
Accrued discounts/premiums		(80,999	)		—
Realized (loss)		(280,499	)		(7	)
Change in unrealized appreciation (depreciation)*		451,676			(33,817	)
Purchases		2,698,971			323,684
Sales		(2,016,490	)		—
Transfers into Level 3**		—			—
Transfers out of Level 3**		—			—
Balance as of     March 31, 2022	$	3,781,017		$	289,860

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $29,489 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

HIGH YIELD        BOND FUND	BANK LOANS			COMMON     STOCK			CORPORATES			CREDIT     DEFAULT     SWAPS			WARRANT
Balance as of     April 1, 2021	$	2,009,394		$	—		$	1,124,446		$	—		$	—
Accrued discounts/premiums		1,426			—			468,336			(44,416	)		—
Realized gain (loss)		4,041			(35	)		8,056			—			(1	)
Change in unrealized appreciation (depreciation)*		(75,136	)		(439,023	)		(176,950	)		14,342			(9	)
Purchases		2,986,185			4,202,108			2,697,209			124,114			61
Sales		(465,000	)		—			(113,220	)		—			—
Transfers into Level 3**		—			—			—			—			—
Transfers out of Level 3**		—			—			—			—			—
Balance as of     March 31, 2022	$	4,460,910		$	3,763,050		$	4,007,877		$	94,040		$	51

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(675,105) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

Annual Report March 2022 / 324

Notes to Financial Statements (Continued)

INTERMEDIATE        BOND FUND	ASSET-BACKED SECURITIES			COMMON       STOCK			CORPORATES			CREDIT      DEFAULT      SWAPS
Balance as of     April 1, 2021	$	2,254,916		$	—		$	513,506		$	—
Accrued discounts/premiums		—			—			(5,918	)		(47,211	)
Realized (loss)		—			(23	)		(545	)		—
Change in unrealized appreciation (depreciation)*		(86,957	)		(53,372	)		66,730			14,699
Purchases		—			510,865			—			130,579
Sales		(126,785	)		—			(51,705	)		—
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—
Balance as of     March 31, 2022	$	2,041,174		$	457,470		$	522,068		$	98,067

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(62,063) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

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		—			(130	)		(3,085	)
Realized (loss)		—			(12	)		—
Change in unrealized appreciation (depreciation)*		(1,512	)		1,687			(24,640	)
Purchases		—			—			—
Sales		(2,205	)		(1,326	)		—
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—
Balance as of     March 31, 2022	$	35,499		$	13,386		$	37,672

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(24,465) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

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		—			(26,448	)		(149,806	)		(63,325	)
Realized (loss)		—			(2,436	)		—			—
Change in unrealized appreciation (depreciation)*		(257,091	)		270,879			48,371			(388,624	)
Purchases		—			—			418,612			—
Sales		(374,841	)		(207,614	)		—			—
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—
Balance as of     March 31, 2022	$	6,034,776		$	2,096,305		$	317,177		$	891,424

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(336,693) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

325 / Annual Report March 2022

Notes to Financial Statements (Continued)

OPPORTUNISTIC HIGH INCOME        CREDIT FUND	BANK       LOANS			CORPORATES			MORTGAGE- BACKED     SECURITIES
Balance as of     August 2, 2021*	$	—		$	—		$	—
Accrued discounts/premiums		(11	)		1,285			(1,348	)
Realized gain (loss)		—			—			—
Change in unrealized (depreciation)**		(1,639	)		(1,894	)		(6,900	)
Purchases		33,165			25,775			38,329
Sales		—			—			—
Transfers into Level 3***		—			—			—
Transfers out of Level 3***		—			—			—
Balance as of     March 31, 2022	$	31,515		$	25,166		$	30,081

*Commencement of Operations.

**The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(10,434) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

***There were no transfers between level 2 and 3 for the year ended March 31, 2022.

STRATEGIC        INCOME FUND	ASSET-BACKED SECURITIES			COMMON     STOCK			CORPORATES			MORTGAGE- BACKED     SECURITIES
Balance as of     April 1, 2021	$	122,413		$	—		$	31,600		$	159,315
Accrued discounts/premiums		255			—			(469	)		78,888
Realized (loss)		—			(26	)		(43	)		—
Change in unrealized appreciation (depreciation)*		(3,259	)		(3,644	)		4,221			(152,986	)
Purchases		—			34,900			—			—
Sales		(4,134	)		—			(3,182	)		—
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—
Balance as of     March 31, 2022	$	115,275		$	31,230		$	32,127		$	85,217

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(155,669) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

TOTAL RETURN        BOND FUND	ASSET-BACKED SECURITIES			BANK      LOANS			COMMON     STOCK			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		—			49,933			—			(209,358	)		(449,007	)		(1,388,927	)
Realized (loss)		—			(181,197	)		(47	)		(116,642	)		—			—
Change in unrealized appreciation (depreciation)*		(1,217,025	)		(946,302	)		(8,382,006	)		5,997,108			141,825			(1,048,689	)
Purchases		—			1,028,938			80,227,823			7,049,266			1,254,685			150,028,357
Sales		(1,774,432	)		(848,925	)		—			(5,566,032	)		—			(354,738	)
Transfers into Level 3**		—			—			—			—			—			—
Transfers out of Level 3**		—			—			—			—			—			—
Balance as of     March 31, 2022	$	28,567,563		$	3,351,078		$	71,845,770		$	61,572,896		$	947,503		$	155,761,703

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(5,485,643) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

Annual Report March 2022 / 326

Notes to Financial Statements (Continued)

ULTRA SHORT        BOND FUND	MORTGAGE- BACKED     SECURITIES
Balance as of     April 1, 2021	$	18,543
Accrued discounts/premiums		(6,167	)
Realized gain (loss)		—
Change in unrealized appreciation*		1,565
Purchases		—
Sales		—
Transfers into Level 3**		—
Transfers out of Level 3**		—
Balance as of     March 31, 2022	$	13,941

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $1,565 and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

UNCONSTRAINED        BOND FUND	ASSET-BACKED SECURITIES			BANK       LOANS			COMMON      STOCK			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		—			4,414			—			(14,292	)		(210,966	)		38,031
Realized (loss)		—			(16,030	)		(26	)		(5,024	)		—			—
Change in unrealized appreciation (depreciation)*		(389,418	)		(68,706	)		(493,693	)		(1,430,646	)		65,682			(80,129	)
Purchases		—			1,553,521			4,725,369			2,533,725			583,504			—
Sales		(567,774	)		(75,097	)		—			(363,257	)		—			—
Transfers into Level 3**		—			—			—			—			—			—
Transfers out of Level 3**		—			—			—			—			—			—
Balance as of        March 31, 2022	$	9,140,910		$	1,773,939		$	4,231,650		$	4,328,214		$	438,220		$	54,965

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2022 was $(2,411,041) and is included in the related net realized gains (losses) and net change in appreciation (depreciation) in the Statements of Operations.

**There were no transfers between level 2 and 3 for the year ended March 31, 2022.

Significant unobservable valuations inputs for Level 3 investments as of March 31, 2022, are as follows:

ALPHATRAK 500 FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT     INCREASES
Common Stock	$23,160	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Mortgage-Backed Securities- Commercial Mortgage-Backed	$22,848	Third-Party Vendor	Vendor Prices	$0.11 - $2.92	$2.52	Increase
Mortgage-Backed Securities-Non-Agency	$20,102	Third-Party Vendor	Vendor Prices	$1.22	$1.22	Increase
Mortgage-Backed Securities- U.S. Agency Commercial
Mortgage-Backed	$—	Broker Quote	Offered Quote	$—	$—	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase

327 / Annual Report March 2022

Notes to Financial Statements (Continued)

CORPORATE BOND FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$39,936	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Corporate Securities	$5,355	Third-Party Vendor	Vendor Prices	$93.00	$93.00	Increase
Mortgage-Backed Securities-Commercial Mortgage-Backed	$12,295	Third-Party Vendor	Vendor Prices	$0.10 - $1.63	$1.32	Increase
FLEXIBLE INCOME FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$488,107	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Common Stock	$330,900	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$531,973	Third-Party Vendor	Vendor Prices	$17.00 - $93.00	$88.14	Increase
Mortgage-Backed Securities- Commercial Mortgage-Backed	$502,172	Third-Party Vendor	Vendor Prices	$1.63	$1.63	Increase
Mortgage-Backed Securities-Non-Agency	$1,446,364	Third-Party Vendor	Vendor Prices	$2.05 - $20.99	$5.27	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
FLOATING RATE INCOME        FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Bank Loans	$3,781,017	Third-Party Vendor	Vendor Prices	$71.00 - $98.50	$91.83	Increase
Common Stock	$289,860	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
HIGH YIELD BOND FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Bank Loans	$4,460,910	Third-Party Vendor	Vendor Prices	$95.50 - $98.50	$96.96	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$3,763,050	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$4,007,877	Third-Party Vendor	Vendor Prices	$93.00	$93.00	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
Warrant	$51	Third-Party Vendor	Vendor Prices	$3.17	$3.17	Increase
Credit Default Swaps	$94,040	Broker Quote	Offered Quote	$4.58	$4.58	Increase

Annual Report March 2022 / 328

Notes to Financial Statements (Continued)

INTERMEDIATE BOND FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$2,041,174	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$457,470	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$522,068	Third-Party Vendor	Vendor Prices	$93.00	$93.00	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
Credit Default Swaps	$98,067	Broker Quote	Offered Quote	$4.58	$4.58	Increase
INVESTMENT GRADE CREDIT        FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$35,499	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Corporate Securities	$13,386	Third-Party Vendor	Vendor Prices	$93.00	$93.00	Increase
Mortgage-Backed Securities- Commercial Mortgage-Backed	$37,672	Third-Party Vendor	Vendor Prices	$0.11 - $1.63	$1.47	Increase
LOW DURATION BOND FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$6,034,776	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$2,096,305	Third-Party Vendor	Vendor Prices	$93.00	$93.00	Increase
Mortgage-Backed Securities-Non-Agency	$891,424	Third-Party Vendor	Vendor Prices	$1.38	$1.38	Increase
Credit Default Swaps	$317,177	Broker Quote	Offered Quote	$4.58	$4.58	Increase
OPPORTUNISTIC HIGH        INCOME CREDIT FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Bank Loans	$31,515	Third-Party Vendor	Vendor Prices	$95.50	$95.50	Increase
Corporate Securities	$25,166	Third-Party Vendor	Vendor Prices	$93.00	$93.00	Increase
Mortgage-Backed Securities-Non-Agency	$30,081	Third-Party Vendor	Vendor Prices	$13.74	$13.74	Increase

329 / Annual Report March 2022

Notes to Financial Statements (Continued)

STRATEGIC INCOME FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$66,560	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Asset-Backed Securities	$48,715	Third-Party Vendor	Vendor Prices	$11.60	$11.60	Increase
Common Stock	$31,230	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$32,127	Third-Party Vendor	Vendor Prices	$93.00	$93.00	Increase
Mortgage-Backed Securities-Non-Agency	$85,217	Third-Party Vendor	Vendor Prices	$5.02	$5.02	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
TOTAL RETURN BOND FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$28,567,563	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Bank Loans	$3,351,078	Third-Party Vendor	Vendor Prices	$57.50	$57.50	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$71,845,770	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$61,572,896	Third-Party Vendor	Vendor Prices	$93.00 - $109.22	$93.98	Increase
Mortgage-Backed Securities-Non-Agency	$149,346,746	Broker Quote	Offered Quote	$99.98 - $100.03	$100.00	Increase
Mortgage-Backed Securities-Non-Agency	$6,414,957	Third-Party Vendor	Vendor Prices	$0.81 - $99.53	$6.45	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
Credit Default Swaps	$947,503	Broker Quote	Offered Quote	$4.58	$4.58	Increase
ULTRA SHORT BOND FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Mortgage-Backed Securities-Non-Agency	$13,941	Third-Party Vendor	Vendor Prices	$1.22	$1.22	Increase
UNCONSTRAINED BOND         FUND	FAIR VALUE AT 3/31/22	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT INCREASES
Asset-Backed Securities	$9,140,910	Broker Quote	Offered Quote	$94.38	$94.38	Increase
Bank Loans	$1,773,939	Third-Party Vendor	Vendor Prices	$57.50 - $98.50	$91.65	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$4,231,650	Third-Party Vendor	Vendor Prices	$30.00	$30.00	Increase
Corporate Securities	$—	Broker Quote	Offered Quote	$—	$—	Increase
Corporate Securities	$4,328,214	Third-Party Vendor	Vendor Prices	$11.50 - $93.00	$81.14	Increase
Mortgage-Backed Securities-Non-Agency	$54,965	Third-Party Vendor	Vendor Prices	$0.58 - $5.02	$4.20	Increase
Rights	$—	Broker Quote	Offered Quote	$—	$—	Increase
Credit Default Swaps	$438,220	Broker Quote	Offered Quote	$4.58	$4.58	Increase

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

Annual Report March 2022 / 330

Notes to Financial Statements (Continued)

Derivative Instruments Categorized by Risk Exposure:

The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2022:

	LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES
DERIVATIVE TYPE	ASSET DERIVATIVES	LIABILITY DERIVATIVES
Interest rate contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin Investments, at value	Unrealized depreciation on swap contracts Premiums received on swap contracts Payable for daily variation margin Options written
Credit contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts	Unrealized depreciation on swap contracts Premiums received for swap contracts
Equity contracts	Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin —	Unrealized depreciation on swap contracts Premiums received for swap contracts Payable for daily variation margin Options written
Foreign currency exchange contracts	Unrealized appreciation on foreign currency exchange contracts	Unrealized depreciation on foreign currency exchange contracts

The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2022:

	ASSET DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Credit contracts:
Swaps	$	—	$	—	$	—	$	—	$	—	$	316,733
Equity contracts:
Futures1		2,224,884		—		—		—		—		—
Interest contracts:
Futures1		—		18,676		41,969		1,274,283		—		1,711,536
Swaps		—		11,164		—				—		—
Foreign currency exchange contracts:
Forwards		—		4,548		7,845		96,181		20,619		95,427
Total	$	2,224,884	$	34,388	$	49,814	$	1,370,464	$	20,619	$	2,123,696
	ASSET DERIVATIVE INVESTMENTS
	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN  BOND FUND
Credit contracts:
Swaps	$	162,450	$	—	$	508,097	$	—	$	—	$	4,329,157
Interest contracts:
Futures1		315,375		65,228		11,168,335		—		93,969		286,630
Options and swaptions purchased		93,306		—		321,442		—		—		9,464,456
Swaps		—		15,253		—		—		24,767		72,771,520
Foreign currency exchange contracts:
Forwards		258,747		—		—		—		1,321		29,813,453
Total	$	829,878	$	80,481	$	11,997,874	$	—	$	120,057	$	116,665,216

331 / Annual Report March 2022

Notes to Financial Statements (Continued)

	ASSET DERIVATIVE INVESTMENTS
		ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Credit contracts:
Swaps		$	21,740	$	1,016,276
Interest contracts:
Futures1			765,868		21,457,639
Options and swaptions purchased			23,588		467,063
Swaps			—		3,480,912
Foreign currency exchange contracts:
Forwards			—		1,401,009
Total		$	811,196	$	27,822,899

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			ESG SECURITIZED FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
Interest contracts:
Futures1	$	—		$	(6,138	)	$	(15,590	)	$	(1,482,559	)	$	—		$	—
Options and swaptions written		—			(10,206	)		—			(81,875	)		—			—
Swaps		—			(39,241	)		—			—			—			—
Foreign currency exchange contracts:
Forwards		—			(5,737	)		(1,715	)		(104,882	)		(7,881	)		(37,530	)
Total	$	—		$	(61,322	)	$	(17,305	)	$	(1,669,316	)	$	(7,881	)	$	(37,530	)
	LIABILITY DERIVATIVE INVESTMENTS
	INTERMEDIATE BOND FUND			INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			TOTAL RETURN BOND FUND
Interest contracts:
Futures1	$	(1,281,044	)	$	(50,489	)	$	(7,870,050	)	$	(6,598	)	$	(45,838	)	$	(39,064,804	)
Options and swaptions written		(2,179,744	)		(18,394	)		(7,103,886	)		—			(38,025	)		(290,863,292	)
Swaps		—			(64,334	)		—			—			(90,756	)		(267,502,283	)
Foreign currency exchange contracts:
Forwards		(327,873	)		—			—			—			(3,872	)		(27,578,964	)
Total	$	(3,788,661	)	$	(133,217	)	$	(14,973,936	)	$	(6,598	)	$	(178,491	)	$	(625,009,343	)

	LIABILITY DERIVATIVE INVESTMENTS
		ULTRA SHORT			UNCONSTRAINED
		BOND FUND			BOND FUND
Interest contracts:
Futures1		$	(20,828	)	$	(11,026,317	)
Options and swaptions written			(630,775	)		(14,047,392	)
Swaps			—			(12,537,371	)
Foreign currency exchange contracts:
Forwards			—			(1,751,000	)
Total		$	(651,603	)	$	(39,362,080	)

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.

Annual Report March 2022 / 332

Notes to Financial Statements (Continued)

The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2022:

REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK   500 FUND			CORPORATE     BOND FUND			ESG   SECURITIZED   FUND			FLEXIBLE     INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
Credit contracts:
Swaps	$	—		$	—		$	—		$	—		$	—		$	103,924
Equity contracts:
Futures		3,179,476			—			—			—			—			—
Interest contracts:
Futures		—			3,104			40,277			(768,323	)		—			28,753
Options and swaptions purchased1		—			—			—			—			—			—
Options and swaptions written		—			—			—			(41,185	)		—			—
Swaps		—			(27	)		—			—			—			—
Foreign currency exchange contracts:
Forwards		27,511			8,101			1,849			162,378			523,157			141,516
Total	$	3,206,987		$	11,178		$	42,126		$	(647,130	)	$	523,157		$	274,193
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	INTERMEDIATE BOND FUND			INVESTMENT GRADE   CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC  INCOME FUND			TOTAL RETURN BOND FUND
Credit contracts:
Swaps	$	46,073		$	—		$	141,728		$	—		$	—		$	1,469,692
Interest contracts:
Futures		(2,024,938	)		(58,093	)		5,991,163			(11,230	)		(17,595	)		25,039,677
Options and swaptions purchased1		417,991			—			1,371,642			—			—			54,459,939
Options and swaptions written		(1,233,044	)		(4,097	)		(3,988,866	)		—			(8,194	)		(113,197,139	)
Swaps		—			(27	)		—			—			(44	)		(125,310	)
Foreign currency exchange contracts:
Forwards		451,123			—			1,443,076			—			4,225			89,284,721
Total	$	(2,342,795	)	$	(62,217	)	$	4,958,743		$	(11,230	)	$	(21,608	)	$	56,931,580
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
													ULTRA SHORT  BOND FUND			UNCONSTRAINED BOND FUND
Credit contracts:
Swaps													$	8,103		$	314,098
Interest contracts:
Futures														1,000,269			(4,472,720	)
Options and swaptions purchased1														125,971			1,952,076
Options and swaptions written														(351,852	)		(6,045,504	)
Swaps														—			(6,097	)
Foreign currency exchange contracts:
Forwards														334,738			5,097,667
Total													$	1,117,229		$	(3,160,480	)

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

333 / Annual Report March 2022

Notes to Financial Statements (Continued)

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK   500 FUND			CORPORATE  BOND FUND			ESG  SECURITIZED  FUND			FLEXIBLE     INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND
Credit contracts:
Swaps	$	—		$	—		$	—		$	—		$	—		$	16,004
Equity contracts:
Futures		2,091,652			—			—			—			—			—
Interest contracts:
Futures		—			(8,437	)		26,379			(549,918	)		—			1,656,821
Options and swaptions purchased1		—			—			—			—			—			—
Options and swaptions written		—			(8,358	)		—			(7,873	)		—			—
Swaps		—			(28,077	)		—			—			—			—
Foreign currency exchange contracts:
Forwards		(20,568	)		(1,189	)		6,130			(22,005	)		(404,486	)		57,897
Total	$	2,071,084		$	(46,061	)	$	32,509		$	(579,796	)	$	(404,486	)	$	1,730,722
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	INTERMEDIATE BOND FUND			INVESTMENT GRADE  CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC  INCOME FUND			TOTAL RETURN BOND FUND
Credit contracts:
Swaps	$	15,180		$	—		$	49,796		$	—		$	—		$	167,069
Interest contracts:
Futures		(1,048,376	)		(22,637	)		1,134,224			(6,598	)		(56,303	)		(20,208,067	)
Options and swaptions purchased1		(238,284	)		—			(777,283	)		—			—			(34,584,907	)
Options and swaptions written		(788,477	)		(9,157	)		(2,594,047	)		—			(19,326	)		(129,106,670	)
Swaps		—			(49,081	)		—			—			(65,989	)		(194,730,763	)
Foreign currency exchange contracts:
Forwards		(69,126	)		—			(1,422,086	)		—			(2,551	)		(40,046,116	)
Total	$	(2,129,083	)	$	(80,875	)	$	(3,609,396	)	$	(6,598	)	$	(144,169	)	$	(418,509,454	)
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
													ULTRA SHORT  BOND FUND			UNCONSTRAINED BOND FUND
Credit contracts:
Swaps													$	163		$	69,998
Interest contracts:
Futures														612,945			354,297
Options and swaptions purchased1														(65,568	)		(1,197,191	)
Options and swaptions written														(244,207	)		(6,507,343	)
Swaps														—			(9,056,460	)
Foreign currency exchange contracts:
Forwards														(264,437	)		(2,502,148	)
Total													$	38,896		$	(18,838,847	)

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

Annual Report March 2022 / 334

Notes to Financial Statements (Continued)

AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	ALPHATRAK 500 FUND		CORPORATE   BOND FUND		ESG   SECURITIZED   FUND		FLEXIBLE     INCOME FUND		FLOATING RATE  INCOME FUND		HIGH YIELD   BOND FUND
Financial futures contracts:
Average number of contracts purchased		163		8		3		394		—		294
Average number of contracts sold		—		6		6		201		—		183
Average value of contracts purchased	$	1,368,999	$	1,264	$	4,455	$	485,321	$	—	$	144,193
Average value of contracts sold	$	—	$	14,321	$	14,229	$	643,559	$	—	$	607,314
Written options:
Average number of contracts		—		—		—		50		—		—
Average notional value	$	—	$	—	$	—	$	41,347	$	—	$	—
Credit default swaps:
Average number of contracts - sell protection		—		—		—		—		—		2
Average notional value - sell protection	$	—	$	—	$	—	$	—	$	—	$	5,483,750
Interest rate swaps:
Average number of contracts - pays fixed rate		—		1		—		—		—		—
Average number of contracts - receives fixed rate		—		1		—		—		—		—
Average notional - pays fixed rate	$	—	$	976	$	—	$	—	$	—	$	—
Average notional - receives fixed rate	$	—	$	170	$	—	$	—	$	—	$	—
Written swaptions:
Average number of contracts		—		1		—		—		—		—
Average notional value	$	—	$	462	$	—	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		1		1		2		8		3		3
Average value of contracts sold	$	1,168	$	1,519	$	1,829	$	34,088	$	29,117	$	51,678

335 / Annual Report March 2022

Notes to Financial Statements (Continued)

AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	INTERMEDIATE BOND FUND		INVESTMENT GRADE  CREDIT FUND		LOW DURATION  BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND
Financial futures contracts:
Average number of contracts purchased		409		28		1,366		2		15		10,968
Average number of contracts sold		58		17		2,256		—		16		1,592
Average value of contracts purchased	$	392,495	$	20,513	$	2,091,932	$	1,774	$	15,710	$	37,332,715
Average value of contracts sold	$	227,924	$	50,086	$	4,283,019	$	—	$	64,101	$	3,171,280
Purchased options:
Average number of contracts		327		—		1,072		—		—		38,772
Average notional value	$	193,152	$	—	$	633,522	$	—	$	—	$	24,807,277
Written options:
Average number of contracts		1,082		5		3,522		—		10		122,901
Average notional value	$	539,756	$	3,935	$	1,749,532	$	—	$	7,870	$	62,225,051
Credit default swaps:
Average number of contracts - sell protection		2		—		2		—		—		2
Average notional value - sell protection	$	2,707,500	$	—	$	8,446,250	$	—	$	—	$	75,665,000
Interest rate swaps:
Average number of contracts - pays fixed rate		—		4		—		—		4		4
Average number of contracts - receives fixed rate		—		3		—		—		3		3
Average notional - pays fixed rate	$	—	$	1,568	$	—	$	—	$	1,956	$	5,746,465
Average notional - receives fixed rate	$	—	$	101	$	—	$	—	$	353	$	1,012,028
Purchased swaptions:
Average number of contracts		—		—		1		—		—		2
Average notional value	$	—	$	—	$	939,000	$	—	$	—	$	8,172,180
Written swaptions:
Average number of contracts		—		1		1		—		1		1
Average notional value	$	—	$	462	$	540,000	$	—	$	980	$	3,024,870
Foreign currency exchange contracts:
Average number of contracts sold		2		—		—		—		1		8
Average value of contracts sold	$	85,273	$	—	$	—	$	—	$	1,306	$	9,076,028

Annual Report March 2022 / 336

Notes to Financial Statements (Continued)

AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Financial futures contracts:
Average number of contracts purchased		2		4,010
Average number of contracts sold		215		3,291
Average value of contracts purchased	$	5,207	$	4,411,110
Average value of contracts sold	$	289,646	$	11,480,804
Purchased options:
Average number of contracts		95		1,618
Average notional value	$	54,854	$	960,166
Written options:
Average number of contracts		312		5,369
Average notional value	$	152,782	$	2,693,149
Credit default swaps:
Average number of contracts - sell protection		1		2
Average notional value - sell protection	$	390,000	$	17,307,500
Interest rate swaps:
Average number of contracts - pays fixed rate		—		4
Average number of contracts - receives fixed rate		—		3
Average notional - pays fixed rate	$	—	$	268,755
Average notional - receives fixed rate	$	—	$	51,924
Written swaptions:
Average number of contracts		—		1
Average notional value	$	—	$	145,620
Foreign currency exchange contracts:
Average number of contracts sold		1		8
Average value of contracts sold	$	11,675	$	556,952

¹Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2022.

Counterparty Credit Risk:

A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.

A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds to perform, and not the counterparty.

With exchange-traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange-traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.

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

337 / Annual Report March 2022

Notes to Financial Statements (Continued)

provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

Collateral requirements:

For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.

Cash collateral that has been pledged to cover obligations of a Fund, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Portfolio Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically of $250,000 or $500,000 before a transfer is required, which is determined at the close of business of the Fund, and additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards update No. 2011-11, Disclosures about Offsetting Assets and Liabilities that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. Under this guidance the Funds disclose in the Statements of Assets and Liabilities both gross and net information about instruments and transactions eligible for offset such as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the Funds disclose collateral received and posted in connection with master netting agreements or similar arrangements.

The following table presents Corporate Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			CORPORATE 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.
Foreign Currency Exchange Contracts	$	4,548	$	—	$	(4,548)	$	—
Total	$	4,548	$	—	$	(4,548)	$	—

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

Annual Report March 2022 / 338

Notes to Financial Statements (Continued)

The following table presents Corporate Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			CORPORATE BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	5,737	$	—	$	(4,548)	$	1,189
Swaptions	$	10,206	$	—	$	—	$	10,206
Total	$	15,943	$	—	$	(4,548)	$	11,395

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents ESG Securitized Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			ESG SECURITIZED 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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	7,845	$	—	$	(1,715)	$	6,130
Total	$	7,845	$	—	$	(1,715)	$	6,130

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 ESG Securitized Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			ESG SECURITIZED FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Bank of America N.A.
Foreign Currency Exchange Contracts	$	1,715	$	—	$	(1,715)	$	—
Total	$	1,715	$	—	$	(1,715)	$	—

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

339 / Annual Report March 2022

Notes to Financial Statements (Continued)

The following table presents Flexible Income Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			FLEXIBLE INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	53,719	$	—	$	(53,719)	$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	42,462	$	—	$	(19,695)	$	22,767
Total	$	96,181	$	—	$	(73,414)	$	22,767

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 March 31, 2022:

			FLEXIBLE INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	85,187	$	—	$	(53,719)	$	31,468
Goldman Sachs International
Foreign Currency Exchange Contracts	$	19,695	$	—	$	(19,695)	$	—
Total	$	104,882	$	—	$	(73,414)	$	31,468

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Floating Rate Income Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			FLOATING RATE INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Goldman Sachs International
Foreign Currency Exchange Contracts	$	20,619	$	—	$	(7,881)	$	12,738
Total	$	20,619	$	—	$	(7,881)	$	12,738

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

Annual Report March 2022 / 340

Notes to Financial Statements (Continued)

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 March 31, 2022:

			FLOATING RATE INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Goldman Sachs International
Foreign Currency Exchange Contracts	$	7,881	$	—	$	(7,881)	$	—
Total	$	7,881	$	—	$	(7,881)	$	—

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents High Yield Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			HIGH YIELD BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston International
Credit Default Swaps	$	316,733	$	(316,733)	$	—	$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	95,427	$	—	$	(37,530)	$	57,897
Total	$	412,160	$	(316,733)	$	(37,530)	$	57,897

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 March 31, 2022:

			HIGH YIELD BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Goldman Sachs International
Foreign Currency Exchange Contracts	$	37,530	$	—	$	(37,530)	$	—
Total	$	37,530	$	—	$	(37,530)	$	—

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

341 / Annual Report March 2022

Notes to Financial Statements (Continued)

The following table presents Intermediate Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			INTERMEDIATE BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	253,479	$	—	$	(253,479)	$	—
Credit Suisse First Boston International
Credit Default Swaps	$	162,450	$	—	$	—	$	162,450
Goldman Sachs International
Foreign Currency Exchange Contracts	$	5,268	$	—	$	(5,268)	$	—
Total	$	421,197	$	—	$	(258,747)	$	162,450

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 Intermediate Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			INTERMEDIATE BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	319,719	$	—	$	(253,479)	$	66,240
Goldman Sachs International
Foreign Currency Exchange Contracts	$	8,154	$	—	$	(5,268)	$	2,886
Total	$	327,873	$	—	$	(258,747)	$	69,126

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Investment Grade Credit Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			INVESTMENT GRADE CREDIT FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Citigroup Global Markets, Inc.
Swaptions	$	10,206	$	—	$	—	$	10,206
Total	$	10,206	$	—	$	—	$	10,206

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

Annual Report March 2022 / 342

Notes to Financial Statements (Continued)

The following table presents Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			LOW DURATION BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL     RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston International
Credit Default Swaps	$	508,097	$	(508,097)	$	—	$	—
Goldman Sachs International
Swaptions	$	11,892	$	(8,394)	$	(3,498)	$	—
Total	$	519,989	$	(516,491)	$	(3,498)	$	—

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

The following table presents Low Duration Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			LOW DURATION BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL     PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Goldman Sachs International
Swaptions	$	3,498	$	—	$	(3,498)	$	—
Total	$	3,498	$	—	$	(3,498)	$	—

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Strategic Income Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			STRATEGIC INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL     RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	1,321	$	—	$	(1,321)	$	—
Total	$	1,321	$	—	$	(1,321)	$	—

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.

343 / Annual Report March 2022

Notes to Financial Statements (Continued)

The following table presents Strategic 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 March 31, 2022:

			STRATEGIC INCOME FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL     PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET			NET AMOUNT OF DERIVATIVE LIABILITIES2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	3,872	$	—	$	(1,321	)	$	2,551
Swaptions	$	21,650	$	—	$	—		$	21,650
Total	$	25,522	$	—	$	(1,321	)	$	24,201

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Total Return Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			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
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	18,710,809	$	—	$	(18,710,809)	$	—
Credit Suisse First Boston International
Credit Default Swaps	$	4,329,157	$	(4,240,000)	$	—	$	89,157
Goldman Sachs International
Foreign Currency Exchange Contracts	$	11,102,644	$	—	$	(5,803,829)	$	5,298,815
Total	$	34,142,610	$	(4,240,000)	$	(24,514,638)	$	5,387,972

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

Annual Report March 2022 / 344

Notes to Financial Statements (Continued)

The following table presents Total Return Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Bank of America N.A.
Reverse Repurchase Agreements	$	986,250,000	$	(986,250,000)	$	—	$	—
Barclay’s Capital
Reverse Repurchase Agreements	$	1,990,000,000	$	(1,990,000,000)	$	—	$	—
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	21,775,135	$	(3,064,326)	$	(18,710,809)	$	—
Swaptions	$	11,018,468	$	(7,114,674)	$	—	$	3,903,794
	$	32,793,603	$	(10,179,000)	$	(18,710,809)	$	3,903,794
Goldman Sachs International
Foreign Currency Exchange Contracts	$	5,803,829	$	—	$	(5,803,829)	$	—
Swaptions	$	14,610,671	$	(2,910,000)	$	—	$	11,700,671
	$	20,414,500	$	(2,910,000)	$	(5,803,829)	$	11,700,671
JPMorgan Chase
Reverse Repurchase Agreements	$	987,500,000	$	(987,500,000)	$	—	$	—
Swaptions	$	20,103,590	$	(12,520,000)	$	—	$	7,583,590
	$	1,007,603,590	$	(1,000,020,000)	$	—	$	7,583,590
Morgan Stanley
Swaptions	$	15,464,300	$	(3,618,000)	$	—	$	11,846,300
Total	$	4,052,525,993	$	(3,992,977,000)	$	(24,514,638)	$	35,034,355

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

The following table presents Ultra Short Bond Fund’s OTC derivative assets counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			ULTRA SHORT BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Credit Suisse First Boston International
Credit Default Swaps	$	21,740	$	—	$	—	$	21,740
Total	$	21,740	$	—	$	—	$	21,740

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.

345 / Annual Report March 2022

Notes to Financial Statements (Continued)

The following table presents Unconstrained Bond Fund’s OTC derivative assets counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2022:

			UNCONSTRAINED BOND FUND
COUNTERPARTY	GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL     RECEIVED1		DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE ASSETS2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	1,274,458	$	—	$	(1,274,458)	$	—
Credit Suisse First Boston International
Credit Default Swaps	$	1,016,276	$	(1,000,000)	$	—	$	16,276
Goldman Sachs International
Foreign Currency Exchange Contracts	$	126,551	$	—	$	(126,551)	$	—
Total	$	2,417,285	$	(1,000,000)	$	(1,401,009)	$	16,276

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 March 31, 2022:

			UNCONSTRAINED BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES		COLLATERAL     PLEDGED1		DERIVATIVE (ASSETS) LIABILITIES AVAILABLE FOR OFFSET		NET AMOUNT OF DERIVATIVE LIABILITIES2
Citigroup Global Markets, Inc.
Foreign Currency Exchange Contracts	$	1,607,503	$	(333,000)	$	(1,274,458)	$	45
Goldman Sachs International
Foreign Currency Exchange Contracts	$	143,497	$	—	$	(126,551)	$	16,946
JPMorgan Chase
Swaptions	$	3,127,655	$	(1,855,000)	$	—	$	1,272,655
Total	$	4,878,655	$	(2,188,000)	$	(1,401,009)	$	1,289,646

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount payable to the counterparty in the event of default.

3. PORTFOLIO INVESTMENTS

The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.

The Funds may invest in securities issued by 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.

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Notes to Financial Statements (Continued)

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 year ended March 31, 2022, 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, ESG Securitized Fund, Flexible Income Fund, High Yield Bond Fund, Investment Grade Credit Fund, Opportunistic High Income Credit Fund and Strategic

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Notes to Financial Statements (Continued)

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 March 31, 2022, the Funds did not hold any short debt or equity.

A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Funds might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Funds. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.

The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statements of Assets and Liabilities.

For the year ended March 31, 2022, the Funds did not receive any in-kind payments with respect to PIK securities.

The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.

Master Repurchase Agreements (“MRAs”) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of March 31, 2022, 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 year ended March 31, 2022, was $739,588,584 and (0.44)%.

Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under MRAs. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are not permitted to sell, re-pledge, or use the collateral associated with the transaction. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. As of March 31, 2022, the Total Return Bond Fund held reverse repurchase agreements.

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Notes to Financial Statements (Continued)

As of March 31, 2022, the following table is a summary of open reverse repurchase agreements by counterparty which are subject to offset under an MRA on a net basis:

TOTAL RETURN BOND FUND
COUNTERPARTY	REVERSE REPURCHASE AGREEMENTS		FAIR VALUE OF NON-CASH     COLLATERAL  PLEDGED INCLUDING ACCRUED INTEREST1		NET AMOUNT
Bank of America N.A.	$	986,250,000	$	986,250,000	$	—
Barclays Bank PLC		1,990,000,000		1,990,000,000		—
JPMorgan Chase		987,500,000		987,500,000		—
	$	3,963,750,000	$	3,963,750,000	$	—

¹Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.

In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.

Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they may result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.

Derivatives:

The Funds may engage in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing 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

349 / Annual Report March 2022

Notes to Financial Statements (Continued)

offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.

The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of March 31, 2022, the Flexible Income Fund, Intermediate Bond Fund, Investment Grade Credit Fund, Low Duration Bond Fund, Strategic Income Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained 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

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Notes to Financial Statements (Continued)

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 March 31, 2022, High Yield Bond Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund had 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 March 31, 2022, Corporate Bond Fund, Investment Grade Credit Fund, Low Duration Bond Fund, Strategic Income Fund, Total Return Bond Fund and Unconstrained 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

351 / Annual Report March 2022

Notes to Financial Statements (Continued)

in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2022, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.

4. RISK CONSIDERATIONS

Foreign Investing Risk: The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.

Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.

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.

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Notes to Financial Statements (Continued)

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 Offered 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. However, the ICE Benchmark Administration, in its capacity as administrator of USD LIBOR, announced it would extend publication of 1-month, 3-month, and 6-month USD LIBOR by 19 months to June 2023. It is expected that market participants will transition to the use of different alternative reference or benchmark rates. 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

353 / Annual Report March 2022

Notes to Financial Statements (Continued)

may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.

Bank Loan Risk: There is a risk of investing in corporate loans made by commercial banks and other financial institutions or institutional investors to companies that need capital to grow or restructure, which includes interest rate risk, liquidity risk and prepayment risk. The Fund may also be subject to the credit risk of other financial institutions and the risks associated with insufficient collateral securing a bank loan, limited available public information about a bank loan, delayed settlement, and less protection for holders of bank loans as compared to holders of registered securities. Bank loans are not registered and otherwise may not be treated as securities under the federal securities laws, meaning investors in loans have less protection against improper practices than investors in securities that are registered under or are otherwise subject to the protections of the securities laws.

5. SECURITIES TRANSACTIONS

Investment transactions for the year ended March 31, 2022, excluding U.S. government and short-term investments, were as follows:

PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	27,453,488	$	15,571,318
Corporate Bond Fund		7,266,538		5,273,245
ESG Securitized Fund		6,895,070		1,785,261
Flexible Income Fund		119,486,077		81,689,886
Floating Rate Income Fund		295,370,792		216,047,914
High Yield Bond Fund		867,370,242		864,025,049
Intermediate Bond Fund		259,437,190		185,038,169
Investment Grade Credit Fund		16,180,064		13,574,981
Low Duration Bond Fund		1,155,749,685		951,937,413
Opportunistic High Income Credit Fund		6,003,203		2,892,087
Strategic Income Fund		12,847,477		6,241,976
Total Return Bond Fund		22,349,695,062		15,741,261,390
Ultra Short Bond Fund		61,409,695		69,106,753
Unconstrained Bond Fund		2,185,231,970		1,354,234,688
Investment transactions in U.S. government securities for the year ended March 31, 2022 were as follows:
PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	17,379,168	$	16,439,084
Corporate Bond Fund		12,277,563		13,563,157
ESG Securitized Fund		37,295,518		29,735,085
Flexible Income Fund		330,190,133		324,530,155
Intermediate Bond Fund		3,144,699,776		3,198,849,816
Investment Grade Credit Fund		49,685,090		50,664,734
Low Duration Bond Fund		8,719,995,572		8,428,425,281
Opportunistic High Income Credit Fund		164,695		63,563
Strategic Income Fund		16,524,044		13,469,294
Total Return Bond Fund		417,844,557,821		429,265,026,647
Ultra Short Bond Fund		609,729,104		595,169,240
Unconstrained Bond Fund		5,342,148,250		5,400,195,080

Purchases include the Unconstrained Bond Fund purchase of certain securities from affiliated investment accounts for a total of $25,609,609. These trades are settled for cash in accordance with the valuation and other requirements set forth in Rule 17a-7 under the 1940 Act.

Annual Report March 2022 / 354

Notes to Financial Statements (Continued)

Investment transactions in the shares of affiliated issuers for the year ended March 31, 2022 were as follows:

VALUE AT BEGINNING OF YEAR

PURCHASES

SALES

DIVIDEND/ INTEREST

VALUE AT END OF YEAR

REALIZED GAIN (LOSS)

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION)

High Yield Bond Fund

Homer City Holdings LLC

$—

$—

$—

$—

$—

$—

$—

Total Return Bond Fund

Homer City Holdings LLC

$—

$—

$—

$—

$—

$—

$—

6. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

As compensation for advisory services, the Adviser charges the Corporate Bond Fund, the ESG Securitized 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%, 0.40%, 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. Effective February 1, 2022, the Adviser charges the AlphaTrak 500 Fund and the Strategic Income Fund 0.40% and 0.65%, respectively, of each Fund’s average daily net assets. Prior to February 1, 2022, the Adviser charged the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may have been 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, exceeded or was 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 decreased by 0.31% resulting in $15,233 total management fees for the period from April 1, 2021 through January 31, 2022.Prior to February 1, 2022, the Adviser charged the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may have been 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, exceeded or was 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 0.62% resulting in $439,058 of total management fees for the period from April 1, 2021 through January 31, 2022.

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.

355 / Annual Report March 2022

Notes to Financial Statements (Continued)

Investment advisory fees and related contractual expense limitations for the year ended March 31, 2022, were as follows:

PORTFOLIO	INVESTMENT ADVISORY FEE RATE					CONTRACTUAL EXPENSE LIMITATION1
	CLASS M	CLASS I	CLASS I-2	ADMINI- STRATIVE CLASS	PLAN CLASS	CLASS M	CLASS I	CLASS I-2	ADMINI- STRATIVE CLASS	PLAN CLASS
AlphaTrak 500 Fund	0.40%2	N/A	N/A	N/A	N/A	0.45%3	N/A	N/A	N/A	N/A
Corporate Bond Fund	0.40%	0.40%	N/A	N/A	N/A	0.75%	0.50%	N/A	N/A	N/A
ESG Securitized Fund4	0.40%	0.40%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Flexible Income Fund	0.45%	0.45%	N/A	N/A	N/A	0.80%	0.55%	N/A	N/A	N/A
Floating Rate Income Fund	0.55%	0.55%	N/A	N/A	0.55%	0.90%	0.70%	N/A	N/A	0.60%
High Yield Bond Fund	0.50%	0.50%	N/A	N/A	N/A	0.85%	0.60%	N/A	N/A	N/A
Intermediate Bond Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Investment Grade Credit Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Low Duration Bond Fund	0.30%	0.30%	N/A	0.30%	N/A	0.63%	0.44%	N/A	0.83%	N/A
Opportunistic High Income Credit Fund5	0.50%	0.50%	N/A	N/A	N/A	0.85%	0.60%	N/A	N/A	N/A
Strategic Income Fund	0.65%2	0.65%2	N/A	N/A	N/A	1.04%	0.80%	N/A	N/A	N/A
Total Return Bond Fund	0.35%	0.35%	0.35%	0.35%	0.35%	0.70%	0.49%	0.54%	0.90%	0.39%
Ultra Short Bond Fund	0.25%	0.25%	N/A	N/A	N/A	0.50%	0.34%	N/A	N/A	N/A
Unconstrained Bond Fund	0.65%	0.65%	N/A	N/A	0.65%	1.04%	0.80%	N/A	N/A	0.70%

¹ The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2023, unless approved by the Board.

² Effective February 1, 2022.

³ Effective February 1, 2022, the contractual expense limitation is 0.45%. Prior to February 1, 2022, the contractual expense limitation was 0.90%.

⁴ The ESG Securitized Fund commenced operations on October 1, 2021.

⁵ The Opportunistic High Income Credit Fund commenced operations on August 2, 2021.

At March 31, 2022, the balance of recoupable expenses with expiration dates for the Funds were as follows:

PORTFOLIO	2022		2023		2024		2025		TOTAL
AlphaTrak 500 Fund	$	12,433	$	48,578	$	122,267	$	—	$	183,278
Corporate Bond Fund		138,411		179,693		257,070		257,575		832,749
ESG Securitized Fund		—		—		—		67,666		67,666
Flexible Income Fund		84,349		195,102		309,577		441,229		1,030,257
Floating Rate Income Fund		20,804		9,650		8,677		14,896		54,027
High Yield Bond Fund		201,390		195,809		158,414		145,095		700,708
Intermediate Bond Fund		—		5,068		4,895		62		10,025
Investment Grade Credit Fund		142,645		191,069		259,548		264,265		857,527
Opportunistic High Income Credit Fund		—		—		—		96,407		96,407
Strategic Income Fund		—		40,102		58,687		566,609		665,398
Ultra Short Bond Fund		247,985		244,911		310,177		355,828		1,158,901
Total	$	848,017	$	1,109,982	$	1,489,312	$	2,209,632	$	5,656,943

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. For the period from January 1, 2020 to December 31, 2021, each of the independent trustees received an annual retainer of $135,000 and $10,000 for each meeting of the Board attended in person and $2,500 for each meeting attended telephonically. The chairman of the Board received an annual retainer of $55,500. The respective chairman of the Audit Committee and the Nominating and Governance Committee each received an additional annual retainer of $37,000 and $18,500, respectively. Effective January 1, 2022, the annual retainer for each independent trustee is $150,000, and the additional retainer for the chairman of the Board is $60,000. Also effective January 1, 2022, the additional retainer for the chairman of the Audit Committee and the chairman of the Nomination and Governance Committee is $40,000 and $20,000, 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.

Annual Report March 2022 / 356

Notes to Financial Statements (Continued)

7. SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN

The Trust has a Share Marketing Plan (or the “12b-1 Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the ESG Securitized 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, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended March 31, 2022. 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.

8. COMMITMENTS AND CONTINGENCIES

The Flexible Income Fund, Floating Rate Income Fund, High Yield Bond Fund, Low Duration Bond Fund, Total Return Bond Fund and Unconstrained Bond Fund had the following unfunded commitments and unrealized gain (loss) by investment as of March 31, 2022:

FLEXIBLE INCOME FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN (LOSS)
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien	November	2027	$	45,404	$	(1,195)
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July	2028		57,050		(1,148)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February	2029		143,659		2,355
Total Unfunded Commitments			$	246,113	$	12
FLOATING RATE INCOME FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN (LOSS)
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien	November	2027	$	340,529	$	(6,839)
Refficiency Holdings LLC, Delayed-Draw Term Loan	December	2027		312,128		(3,415)
Dessert Holdings, Inc., Delayed-Draw Term Loan	June	2028		310,363		(5,427)
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July	2028		368,066		(7,406)
AI Aqua Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien	July	2028		183,507		(1,678)
Trident TPI Holdings, Inc., Delayed-Draw Term Loan, 1st Lien	September	2028		45,711		(500)
Pacific Bells LLC, Delayed-Draw Term Loan B, 1st Lien	November	2028		5,116		11
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February	2029		287,319		(739)
Dermatology Intermediate Holdings, Inc., Delayed-Draw Term Loan, 1st Lien	April	2029		280,630		(2,835)
Total Unfunded Commitments			$	2,133,369	$	(28,828)
HIGH YIELD BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED (LOSS)
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July	2028	$	289,852	$	(5,832)
Total Unfunded Commitments			$	289,852	$	(5,832)

357 / Annual Report March 2022

Notes to Financial Statements (Continued)

LOW DURATION BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED (LOSS)
AI Aqua Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien	July	2028	$	367,015	$	(3,356)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February	2029		359,149		(2,264)
Total Unfunded Commitments			$	726,164	$	(5,620)
TOTAL RETURN BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED GAIN (LOSS)
AI Aqua Merger Sub, Inc., Delayed-Draw Term Loan, 1st Lien	July	2028	$	247,735	$	(2,265)
AthenaHealth Group, Inc., Delayed-Draw Term Loan B, 1st Lien	February	2029		1,005,616		10,145
Total Unfunded Commitments			$	1,253,351	$	7,880
UNCONSTRAINED BOND FUND     UNFUNDED COMMITMENTS	MATURITY		AMOUNT		UNREALIZED (LOSS)
Aveanna Healthcare LLC, Delayed-Draw Term Loan B, 1st Lien	July	2028	$	690,124	$	(13,886)
Total Unfunded Commitments			$	690,124	$	(13,886)

In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.

9. CAPITAL SHARE TRANSACTIONS

Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:

	ALPHATRAK 500 FUND
	CLASS M		CLASS M
	YEAR ENDED MARCH 31,  2022		YEAR ENDED MARCH 31,  2021
Change in Fund shares:
Shares outstanding at beginning of year		2,773,846		3,268,505
Shares sold		1,298,545		696,121
Shares issued through reinvestment of distributions		971,033		207,881
Shares redeemed		(1,115,216)		(1,398,661)
Net increase (decrease) in fund shares		1,154,362		(494,659)
Shares outstanding at end of year		3,928,208		2,773,846

	CORPORATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		768,830		84,928		444,057		231,865
Shares sold		192,521		1,236,850		360,108		302,004
Shares issued through reinvestment of distributions		16,192		18,359		18,162		13,508
Shares redeemed		(409,285)		(571,307)		(121,277)		(103,320)
Net increase (decrease) in fund shares		(200,572)		683,902		256,993		212,192
Shares outstanding at end of year		568,258		768,830		701,050		444,057

Annual Report March 2022 / 358

Notes to Financial Statements (Continued)

	ESG SECURITIZED FUND
	CLASS M		CLASS I
	PERIOD ENDED MARCH 31, 2022*		PERIOD ENDED MARCH 31, 2022*
Change in Fund shares:
Shares outstanding at beginning of period		—		—
Shares sold		1,735		1,132,869
Shares issued through reinvestment of distributions		3		4,988
Shares redeemed		—		(322)
Net increase in fund shares		1,738		1,137,535
Shares outstanding at end of period		1,738		1,137,535

* The Fund commenced operations on October 1, 2021.

	FLEXIBLE INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		2,147,224		123		16,108,761		909,949
Shares sold		3,650,896		3,246,654		13,905,850		15,480,089
Shares issued through reinvestment of distributions		237,569		64,488		1,621,341		446,626
Shares redeemed		(2,384,028)		(1,164,041)		(11,318,160)		(727,903)
Net increase in fund shares		1,504,437		2,147,101		4,209,031		15,198,812
Shares outstanding at end of year		3,651,661		2,147,224		20,317,792		16,108,761

	FLOATING RATE INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		1,387,808		677,246		41,999,130		27,856,410
Shares sold		927,690		1,261,859		12,676,785		15,726,159
Shares issued through reinvestment of distributions		44,164		28,802		1,348,588		875,259
Shares redeemed		(622,332)		(580,099)		(7,466,949)		(2,458,698)
Net increase in fund shares		349,522		710,562		6,558,424		14,142,720
Shares outstanding at end of year		1,737,330		1,387,808		48,557,554		41,999,130

	FLOATING RATE INCOME FUND
	PLAN CLASS		PLAN CLASS
	YEAR ENDED MARCH 31,  2022		PERIOD ENDED MARCH 31,  2021*
Change in Fund shares:
Shares outstanding at beginning of period		10		—
Shares sold		—		10
Shares issued through reinvestment of distributions		—		—
Net increase in fund shares		—		10
Shares outstanding at end of period		10		10

* The Fund commenced operations on January 29, 2021.

359 / Annual Report March 2022

Notes to Financial Statements (Continued)

	HIGH YIELD BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		18,755,387		13,656,919		54,120,573		31,231,832
Shares sold		4,289,757		12,682,957		28,529,831		48,545,618
Shares issued through reinvestment of distributions		658,585		598,528		2,104,002		1,644,258
Shares redeemed		(6,809,001)		(8,183,017)		(29,776,780)		(27,301,135)
Net increase (decrease) in fund shares		(1,860,659)		5,098,468		857,053		22,888,741
Shares outstanding at end of year		16,894,728		18,755,387		54,977,626		54,120,573

	INTERMEDIATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		3,395,400		3,177,342		71,377,801		65,097,687
Shares sold		645,465		1,297,628		14,653,122		21,529,757
Shares issued through reinvestment of distributions		41,504		126,637		1,206,765		2,595,867
Shares redeemed		(1,631,947)		(1,206,207)		(11,135,356)		(17,845,510)
Net increase (decrease) in fund shares		(944,978)		218,058		4,724,531		6,280,114
Shares outstanding at end of year		2,450,422		3,395,400		76,102,332		71,377,801

	INVESTMENT GRADE CREDIT FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		219,784		86,723		1,044,749		666,665
Shares sold		450,559		432,102		1,818,446		463,146
Shares issued through reinvestment of distributions		15,710		14,422		81,937		76,716
Shares redeemed		(426,483)		(313,463)		(1,952,330)		(161,778)
Net increase (decrease) in fund shares		39,786		133,061		(51,947)		378,084
Shares outstanding at end of year		259,570		219,784		992,802		1,044,749

	LOW DURATION BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		50,165,234		51,991,467		229,018,746		168,341,807
Shares sold		12,487,486		13,288,674		101,789,983		105,146,438
Shares issued through reinvestment of distributions		454,037		574,080		2,460,757		2,570,754
Shares redeemed		(7,744,341)		(15,688,987)		(97,840,814)		(47,040,253)
Net increase (decrease) in fund shares		5,197,182		(1,826,233)		6,409,926		60,676,939
Shares outstanding at end of year		55,362,416		50,165,234		235,428,672		229,018,746

	LOW DURATION BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		7,678		8,384
Shares sold		243,605		763
Shares issued through reinvestment of distributions		1,151		60
Shares redeemed		(98,192)		(1,529)
Net increase (decrease) in fund shares		146,564		(706)
Shares outstanding at end of year		154,242		7,678

Annual Report March 2022 / 360

Notes to Financial Statements (Continued)

	OPPORTUNISTIC HIGH INCOME CREDIT FUND
	CLASS M		CLASS I
	PERIOD ENDED MARCH 31, 2022*		PERIOD ENDED MARCH 31, 2022*
Change in Fund shares:
Shares outstanding at beginning of period		—		—
Shares sold		7,752		303,418
Shares issued through reinvestment of distributions		264		27,374
Shares redeemed		(234)		—
Net increase in fund shares		7,782		330,792
Shares outstanding at end of period		7,782		330,792

* The Fund commenced operations on August 2, 2021.

	STRATEGIC INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2021		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		1,975,844		1,428,333		1,251,843		6,621,937
Shares sold		1,234,339		1,585,527		937,224		712,954
Shares issued through reinvestment of distributions		222,558		99,943		147,770		202,975
Shares redeemed		(993,548)		(1,137,959)		(985,716)		(6,286,023)
Net increase (decrease) in fund shares		463,349		547,511		99,278		(5,370,094)
Shares outstanding at end of year		2,439,193		1,975,844		1,351,121		1,251,843

	TOTAL RETURN BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2021		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		661,139,405		807,293,176		4,897,035,762		4,144,455,446
Shares sold		147,998,834		246,419,869		1,211,638,765		1,648,449,661
Shares issued through reinvestment of distributions		7,623,648		50,332,883		61,975,142		258,093,148
Shares redeemed		(206,797,778)		(442,906,523)		(1,559,183,683)		(1,153,962,493)
Net increase (decrease) in fund shares		(51,175,296)		(146,153,771)		(285,569,776)		752,580,316
Shares outstanding at end of year		609,964,109		661,139,405		4,611,465,986		4,897,035,762

	TOTAL RETURN BOND FUND
	CLASS I-2		CLASS I-2
	YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		10,801,035		9
Shares sold		11,931,840		11,338,778
Shares issued through reinvestment of distributions		219,971		547,958
Shares redeemed		(6,216,184)		(1,085,710)
Net increase in fund shares		5,935,627		10,801,026
Shares outstanding at end of year		16,736,662		10,801,035

361 / Annual Report March 2022

Notes to Financial Statements (Continued)

	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS		PLAN CLASS		PLAN CLASS
	YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2021		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		192,427,211		156,243,805		2,425,345,101		2,277,531,666
Shares sold		39,078,639		59,236,353		475,768,210		725,752,496
Shares issued through reinvestment of distributions		2,008,237		10,248,450		33,232,551		145,266,719
Shares redeemed		(40,912,853)		(33,301,397)		(609,853,240)		(723,205,780)
Net increase (decrease) in fund shares		174,023		36,183,406		(100,852,479)		147,813,435
Shares outstanding at end of year		192,601,234		192,427,211		2,324,492,622		2,425,345,101

	ULTRA SHORT BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH 31, 2021		YEAR ENDED   MARCH 31, 2022		YEAR ENDED   MARCH 31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		14,559,872		6,709,806		42,554,510		18,036,590
Shares sold		4,029,512		21,914,311		25,590,708		41,150,119
Shares issued through reinvestment of distributions		63,776		61,610		296,146		255,902
Shares redeemed		(9,197,677)		(14,125,855)		(30,588,412)		(16,888,101)
Net increase (decrease) in fund shares		(5,104,389)		7,850,066		(4,701,558)		24,517,920
Shares outstanding at end of year		9,455,483		14,559,872		37,852,952		42,554,510

	UNCONSTRAINED BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2021		YEAR ENDED   MARCH  31, 2022		YEAR ENDED   MARCH  31, 2021
Change in Fund shares:
Shares outstanding at beginning of year		21,607,830		24,012,697		273,766,820		248,328,242
Shares sold		3,405,824		4,522,456		128,854,698		96,605,193
Shares issued through reinvestment of distributions		720,405		693,758		9,599,441		7,137,466
Shares redeemed		(6,503,819)		(7,621,081)		(85,243,643)		(78,304,081)
Net increase (decrease) in fund shares		(2,377,590)		(2,404,867)		53,210,496		25,438,578
Shares outstanding at end of year		19,230,240		21,607,830		326,977,316		273,766,820

	UNCONSTRAINED BOND FUND
	PLAN CLASS		PLAN CLASS
	YEAR ENDED MARCH 31,  2022		YEAR ENDED MARCH 31,  2021
Change in Fund shares:
Shares outstanding at beginning of year		5,342,862		8
Shares sold		9,973,405		10,304,063
Shares issued through reinvestment of distributions		391,609		230,276
Shares redeemed		(4,902,591)		(5,191,485)
Net increase in fund shares		5,462,423		5,342,854
Shares outstanding at end of year		10,805,285		5,342,862

Annual Report March 2022 / 362

Notes to Financial Statements (Continued)

10. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2022, the following Funds had available for federal income tax purposes unused capital losses as follows:

FUND	AMOUNT UTILIZED IN     CURRENT YEAR		SHORT-TERM     NON-EXPIRING     AMOUNTS*		LONG-TERM     NON-EXPIRING     AMOUNTS*
ESG Securitized Fund	$	—	$	88,339	$	—
Flexible Income Fund		—		1,750,308		1,632,496
Floating Rate Income Fund		—		—		1,423,408
High Yield Bond Fund		3,413,616		—		26,334,362
Intermediate Bond Fund		—		20,164,497		305,230
Investment Grade Credit Fund		—		475,780		52,035
Low Duration Bond Fund		—		31,748,989		31,112,953
Strategic Income Fund		—		314,298		1,210,552
Total Return Bond Fund		—		57,536,725		—
Ultra Short Bond Fund		—		2,064,104		4,598,352
Unconstrained Bond Fund		—		23,088,513		5,378,232

* Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration.

Tax Basis of Distributable Income:

As of March 31, 2021, the components of accumulated earnings (accumulated losses) on a tax basis were as follows:

	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	39,088	$	222	$	7,148	$	124,156	$	450,209	$	2,345,083
Undistributed long-term gains		537,219		—		—		—		—		—
Other temporary differences		(1,195)		(226)		—		(53,808)		(211,274)		(79,350)
Accumulated capital loss carryforwards and post-October losses		—		(38,248)		(88,339)		(3,382,804)		(1,423,408)		(26,334,362)
Net unrealized appreciation (depreciation)		(320,163)		(1,198,254)		(614,068)		(21,051,709)		(7,293,576)		(58,190,090)
Total accumulated earnings (losses)	$	254,949	$	(1,236,506)	$	(695,259)	$	(24,364,165)	$	(8,478,049)	$	(82,258,719)

363 / Annual Report March 2022

Notes to Financial Statements (Continued)

	INTERMEDIATE   BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	—	$	874	$	369,011	$	3,517	$	559,423	$	—
Undistributed long-term gains		—		—		—		—		—		—
Other temporary differences		(42,335)		(702)		(276,009)		(5,053)		(13,635)		(13,522,698)
Accumulated capital loss carryforwards and post-October losses		(20,471,198)		(527,815)		(62,861,942)		(30,325)		(1,524,850)		(2,233,321,624)
Net unrealized appreciation (depreciation)		(21,858,155)		(1,828,352)		(56,660,672)		(304,052)		(6,840,028)		(2,844,981,470)
Total accumulated earnings (losses)	$	(42,371,688)	$	(2,355,995)	$	(119,429,612)	$	(335,913)	$	(7,819,090)	$	(5,091,825,792)

	ULTRA SHORT BOND FUND		UNCONSTRAINED   BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	76,788	$	2,782,795
Undistributed long-term gains		—		—
Other temporary differences		(9,363)		(2,528,266)
Accumulated capital loss carryforwards and post-October losses		(6,662,456)		(28,466,745)
Net unrealized appreciation (depreciation)		(2,926,186)		(247,358,833)
Total accumulated earnings (losses)	$	(9,521,217)	$	(275,571,049)

Permanent differences incurred during the fiscal year ended March 31, 2022, resulting from differences in book and tax accounting have been reclassified at year-end as follows:

FUND	INCREASE (DECREASE)     ACCUMULATED EARNINGS (LOSS)		INCREASE (DECREASE)     PAID-IN-CAPITAL
Opportunistic High Income Credit Fund	$	12	$	(12)
Total Return Bond Fund		39,047,613		(39,047,613)

The permanent differences are due to non-deductible expenses and taxable overdistribution paid.

Tax Basis of Distributions to Shareholders:

	ALPHATRAK 500  FUND				CORPORATE  BOND FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	4,904,144	$	1,321,651	$	315,930	$	319,404
Net long-term capital gains		6,902,086		1,241,454		55,831		32,833
Total taxable distributions	$	11,806,230	$	2,563,105	$	371,761	$	352,237

Annual Report March 2022 / 364

Notes to Financial Statements (Continued)

			ESG SECURITIZED FUND		FLEXIBLE  INCOME FUND
			MARCH 31, 2022		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)			$	48,438	$	17,192,300	$	5,004,078
Net long-term capital gains				—		540,585		108,995
Total taxable distributions			$	48,438	$	17,732,885	$	5,113,073
	FLOATING RATE INCOME  FUND				HIGH YIELD BOND  FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	15,620,404	$	10,150,408	$	30,481,103	$	24,840,015
Total taxable distributions	$	15,620,404	$	10,150,408	$	30,481,103	$	24,840,015
	INTERMEDIATE BOND  FUND				INVESTMENT GRADE CREDIT  FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	10,530,092	$	24,703,086	$	930,563	$	863,178
Net long-term capital gains		2,724,855		5,051,576		—		45,944
Total taxable distributions	$	13,254,947	$	29,754,662	$	930,563	$	909,122
			LOW DURATION BOND  FUND				OPPORTUNISTIC HIGH INCOME CREDIT FUND
			MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022
Distributions from:
Ordinary income (inclusive of short-term capital gains)			$	27,329,398	$	29,545,421	$	265,147
Total taxable distributions			$	27,329,398	$	29,545,421	$	265,147
	STRATEGIC INCOME  FUND				TOTAL RETURN BOND  FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	2,814,589	$	2,358,251	$	1,211,584,483	$	4,488,711,334
Net long-term capital gains		—		—		—		1,033,756,885
Total taxable distributions	$	2,814,589	$	2,358,251	$	1,211,584,483	$	5,522,468,219
	ULTRA SHORT BOND FUND				UNCONSTRAINED BOND  FUND
	MARCH 31, 2022		MARCH 31, 2021		MARCH 31, 2022		MARCH 31, 2021
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	1,534,325	$	1,364,313	$	135,350,036	$	116,535,196
Net long-term capital gains		—		—		20,305,457		—
Total taxable distributions	$	1,534,325	$	1,364,313	$	155,655,493	$	116,535,196

365 / Annual Report March 2022

Notes to Financial Statements (Continued)

Tax Cost

As of March 31, 2022, gross unrealized appreciation (depreciation) based on cost for federal income tax purposes were as follows:

	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Tax Cost	$	44,017,313	$	13,585,419	$	12,716,871	$	253,637,227	$	507,771,434	$	771,321,051
Gross unrealized appreciation		932,986		40,787		941		1,189,430		1,810,348		7,335,763
Gross unrealized (depreciation)		(1,253,149)		(1,202,606)		(615,006)		(22,241,192)		(9,075,096)		(65,545,695)
Net unrealized appreciation (depreciation)	$	(320,163)	$	(1,161,819)	$	(614,065)	$	(21,051,762)	$	(7,264,748)	$	(58,209,932)
	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN BOND FUND
Tax Cost	$	878,191,184	$	13,488,970	$	2,967,864,533	$	3,332,921	$	34,413,447	$	98,811,177,367
Gross unrealized appreciation		2,877,512		58,513		6,837,369		68,170		315,522		345,422,045
Gross unrealized (depreciation)		(24,988,616)		(1,829,426)		(64,859,111)		(372,222)		(7,071,836)		(2,964,247,346)
Net unrealized appreciation (depreciation)	$	(22,111,104)	$	(1,770,913)	$	(58,021,742)	$	(304,052)	$	(6,756,314)	$	(2,618,825,301)
									ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Tax Cost									$	230,177,834	$	4,646,718,489
Gross unrealized appreciation										397,288		34,002,636
Gross unrealized (depreciation)										(3,390,096)		(271,022,119)
Net unrealized appreciation (depreciation)									$	(2,992,808)	$	(237,019,483)

11. COMMITTED LINE OF CREDIT

The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purposes with an expiration date of October 8, 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 year ended March 31, 2022. The Funds pay the Bank a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount. The commitment fees incurred by the Funds are presented in the Statements of Operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.

12. SECURED BORROWINGS

The contractual maturity of secured borrowings and type of collateral pledged as of March 31, 2022 are summarized in the following table:

			REMAINING CONTRACTUAL MATURITY OF THE AGREEMENTS
SECURED BORROWINGS	COLLATERAL TYPE		OVERNIGHT AND CONTINUOUS		UP TO 30 DAYS		31-90 DAYS		GREATER THAN 90 DAYS		TOTAL
Total Return Bond Fund
Reverse repurchase agreements		U.S. Treasury Obligations	$	3,963,750,000	$	—	$	—	$	—	$	3,963,750,000

13. INDEMNIFICATIONS

Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.

Annual Report March 2022 / 366

Notes to Financial Statements (Continued)

14. NEW ACCOUNTING PRONOUNCEMENT

In January 2021, the Financial Accounting Standards Board issued Accounting Standards Update No. 2021-01 (“ASU 2021-01”), “Reference Rate Reform (Topic 848).” ASU 2021-01 is an update of ASU 2020-04, which is in response to concerns about structural risks of interbank offered rates, and particularly the risk of cessation of LIBOR; regulators have undertaken reference rate reform initiatives to identify alternative reference rates that are more observable or transaction based and less susceptible to manipulation. ASU 2020-04 provides optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. ASU 2020-04 is elective and applies to all entities, subject to meeting certain criteria, that have contracts, hedging relationships, and other transactions that reference LIBOR or another reference rate expected to be discontinued because of reference rate reform. The ASU 2021-01 update clarifies that certain optional expedients and exceptions in Topic 848 for contract modifications and hedge accounting apply to derivatives that are affected by the discounting transition. The amendments in this update are in effect for the Fund. There have been no impacts to date.

367 / Annual Report March 2022

Report of Independent Registered Public Accounting Firm

To the Shareholders and the Board of Trustees of

the Metropolitan West Funds

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying statements of assets and liabilities of Metropolitan West Funds (the “Trust”) comprising the Metropolitan West AlphaTrak 500 Fund, Metropolitan West Corporate Bond Fund, Metropolitan West ESG Securitized Fund, Metropolitan West Flexible Income Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Opportunistic High Income Credit Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Unconstrained Bond Fund (the “Funds”), including the schedules of portfolio investments, as of March 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights (as to Metropolitan West High Yield Bond Fund, consolidated financial highlights for the two years in the period ended March 31, 2019) for each of the five years in the period then ended for the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Flexible Income Fund, Metropolitan West Opportunistic High Income Credit Fund, and Metropolitan West ESG Securitized Fund; the related statements of operations, changes in net assets, and financial highlights for the periods indicated in the table below for Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Flexible Income Fund, Metropolitan West Opportunistic High Income Credit Fund, and Metropolitan West ESG Securitized Fund, and the related notes.

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds listed above constituting Metropolitan West Funds as of March 31, 2022, and the results of their operations for the year then ended (or for the period listed in the table below), the changes in their net assets for each of the two years in the period then ended (or for the period listed in the table below), and the financial highlights for each of the five year years in the period then ended (or for the period listed in the table below), in conformity with accounting principles generally accepted in the United States of America.

Individual Fund Comprising the Metropolitan West Funds	Statement of Operations	Statement of Changes in Net Assets	Financial Highlights
Metropolitan West Corporate Bond Fund	For the year ended March 31, 2022	For the years ended March 31, 2022 and 2021	For the years ended March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019
Metropolitan West Investment Grade Credit Fund	For the year ended March 31, 2022	For the years ended March 31, 2022 and 2021	For the years ended March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019
Metropolitan West Flexible Income Fund	For the year ended March 31, 2022	For the years ended March 31, 2022 and 2021	For the years ended March 31, 2022, March 31, 2021, March 31, 2020, and the period from June 29, 2018 (commencement of operations) through March 31, 2019
Metropolitan West Opportunistic High Income Credit Fund	For the period from August 2, 2021 (commencement of operations) through March 31, 2022
Metropolitan West ESG Securitized Fund	For the period from October 1, 2021 (commencement of operations) through March 31, 2022

Annual Report March 2022 / 368

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2022, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

 

Los Angeles, California

May 25, 2022

We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.

369 / Annual Report March 2022

Metropolitan West Funds

Tax Information Notice

(Unaudited)

For shareholders that do not have a March 31, 2022 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2022 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2022, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

	ALPHATRAK 500 FUND		CORPORATE BOND FUND		ESG SECURITIZED FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND
Net Investment Income Distributions		2.82%		76.46%		100.00%		96.95%		100.00%		100.00%
Short-Term Capital Gain Distributions		38.72%		8.52%		0.00%		0.00%		0.00%		0.00%
Long-Term Capital Gain Distributions		58.46%		15.02%		0.00%		3.05%		0.00%		0.00%
Return of Capital		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
Tax-Exempt Interest		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
Qualifying For Corporate Dividends Rec Deduction (1)		0.00%		0.00%		0.00%		0.00%		0.02%		0.00%
Qualifying Dividend Income (2)		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
U.S. Government Interest (3)		0.64%		2.53%		13.31%		0.35%		0.16%		0.03%
Foreign Tax Credit (4)		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
Qualified Interest Income (5)		0.00%		99.04%		100.00%		10.62%		90.69%		89.49%
Qualified Short-Term Capital Gain (6)		100.00%		100.00%		0.00%		0.00%		0.00%		0.00%
	INTERMEDIATE BOND FUND		INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		TOTAL RETURN  BOND FUND
Net Investment Income Distributions		79.44%		97.49%		100.00%		92.78%		100.00%		100.00%
Short-Term Capital Gain Distributions		0.00%		2.51%		0.00%		7.22%		0.00%		0.00%
Long-Term Capital Gain Distributions		20.56%		0.00%		0.00%		0.00%		0.00%		0.00%
Return of Capital		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
Tax-Exempt Interest		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
Qualifying For Corporate Dividends Rec Deduction (1)		0.00%		0.00%		0.00%		2.57%		0.00%		0.00%
Qualifying Dividend Income (2)		0.00%		0.00%		0.00%		2.53%		0.00%		0.00%
U.S. Government Interest (3)		23.38%		1.20%		5.77%		0.02%		0.43%		20.79%
Foreign Tax Credit (4)		0.00%		0.00%		0.00%		0.00%		0.00%		0.00%
Qualified Interest Income (5)		84.75%		94.85%		81.74%		94.26%		1.85%		92.76%
Qualified Short-Term Capital Gain (6)		0.00%		100.00%		0.00%		100.00%		0.00%		0.00%
	ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Net Investment Income Distributions		100.00%		69.86%
Short-Term Capital Gain Distributions		0.00%		17.09%
Long-Term Capital Gain Distributions		0.00%		13.05%
Return of Capital		0.00%		0.00%
Tax-Exempt Interest		0.00%		0.00%
Qualifying For Corporate Dividends Rec Deduction (1)		0.00%		0.00%
Qualifying Dividend Income (2)		0.00%		0.00%
U.S. Government Interest (3)		6.47%		1.71%
Foreign Tax Credit (4)		0.00%		0.00%
Qualified Interest Income (5)		93.10%		72.24%
Qualified Short-Term Capital Gain (6)		0.00%		100.00%

Annual Report March 2022 / 370

(1) Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions).

(2) The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions).

(3) “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. government obligations is exempt from state income tax. However, for residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income for this fund.

(4) Foreign Tax Credit represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income).

(5) The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of net investment income distributions.

(6) The percentage in this column represents the amount of “Qualifying Short Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of short-term capital gain distributions.

371 / Annual Report March 2022

Liquidity Risk Management Program (Unaudited)

Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Adviser to administer the Funds’ Liquidity Program (the “Program Administrator”).

On March 14, 2022, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2021 (the “Reporting Period”). The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquidity Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.

There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.

Annual Report March 2022 / 372

Metropolitan West Funds

Privacy Policy

The TCW Group, Inc. and Subsidiaries   TCW Investment Management Company LLC   TCW Asset Management Company LLC   Metropolitan West Asset Management, LLC
TCW Funds Inc.	TCW Direct Lending LLC
TCW Strategic Income Fund, Inc.	TCW Direct Lending VII LLC
Metropolitan West Funds	TCW Direct Lending VIII LLC
Sepulveda Management LLC

Effective May 2021

WHAT YOU SHOULD KNOW

At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.

We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.

We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the United States Securities and Exchange Commission.

OUR PRIVACY POLICY

We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, 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.

CATEGORIES OF INFORMATION WE COLLECT

We may collect the following types of nonpublic personal and financial information about you from the following sources:

• Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications.

• Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties.

• Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others.

CATEGORIES OF INFORMATION WE DISCLOSE TO NONAFFILIATED THIRD PARTIES

We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.

We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.

373 / Annual Report March 2022

We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.

CATEGORIES OF INFORMATION WE DISCLOSE TO OUR AFFILIATED ENTITIES

• We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose.

• We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you.

INFORMATION ABOUT FORMER CUSTOMERS

We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.

QUESTIONS

Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.

REMINDER ABOUT TCW’S FINANCIAL PRODUCTS

Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC, TCW Direct Lending VII LLC, and TCW Direct Lending VIII LLC

• Are not guaranteed by a bank;

• Are not obligations of The TCW Group, Inc. or of its subsidiaries;

• Are not insured by the Federal Deposit Insurance Corporation; and

• Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon.

THE TCW GROUP, INC	SEPULVEDA MANAGEMENT LLC
TCW FUNDS, INC.	TCW DIRECT LENDING LLC
TCW STRATEGIC INCOME FUND, INC.	TCW DIRECT LENDING VII LLC
METROPOLITAN WEST FUNDS	TCW DIRECT LENDING VIII LLC
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com

Annual Report March 2022 / 374

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MANAGEMENT INFORMATION

TRUSTEES AND OFFICERS (Unaudited)

The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800) 241-4671.

NAME AND   YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER   DIRECTORSHIPS   HELD   BY TRUSTEE
Independent Trustees of the Trust*
Ronald J. Consiglio (1943)	Trustee	Indefinite term, since 2003	Since 1999, Mr. Consiglio has served as the managing director of Synergy Trading, a securities-trading partnership.	14	Mannkind Corp. (pharmaceutical preparations)
Patrick C. Haden (1953)	Trustee	Indefinite term, since 2010	President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 -June 2017), Athletic Director (2010 - June 2016), University of Southern California.	33	Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); TCW Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund)
Martin Luther King III (1957)	Trustee and Chairman of the Nominating and Governance Committee	Indefinite term, since 1997	Since 1998, Mr. King has served as the President and Chief Executive Officer of The King Center. Since January 2006, he has served as Chief Executive Officer of Realizing the Dream, a non-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980.	14	None
Peter McMillan (1957)	Trustee	Indefinite term, since 2008	Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005 - 2019), KBS Capital Advisors (a manager of real estate investment trusts).	33	Pacific Oak Strategic Opportunity REIT (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW DL VII Financing LLC (business development company)

Annual Report March 2022 / 378

NAME AND   YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER   DIRECTORSHIPS   HELD   BY TRUSTEE
Robert G. Rooney (1957)	Trustee and Chairman of the Audit Committee	Indefinite term, since 2009	Senior Financial Advisor (August 2020 – March 2021) and Chief Financial and Administrative Officer (November 2018 – August 2020), REEF Technology (real estate services and technology company); Chief Financial Officer (January 2018 - November 2018), Citizens Parking Inc. (parking services company); Chief Financial Officer (September 2015 – July 2017), Novitex Enterprise Solutions, Inc. (document management company).	14	None
Andrew Tarica (1959)	Trustee and Chairman of the Board	Indefinite term, since 2002 and 2008, respectively	Chief Executive Officer (since February 2001), Meadowbrook Capital Management (asset management company); Director of Fixed Income (since February 2022), Forest Road Securities (broker-dealer); Employee (2003 – January 2022), Cowen Prime Services (broker-dealer).	33	TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company); TCW Direct Lending VIII, LLC (business development company)
Interested Trustees**
Patrick Moore (1964)	Trustee	Indefinite term, since 2014	Mr. Moore is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since 2000. Mr. Moore is a member of the CFA Institute.	14	None
Laird Landmann (1964)	Trustee and Executive Vice President	Indefinite term, since 2008 and 2007, respectively	Mr. Landmann is President for the Adviser and Group Managing Director of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. Since August 1996, Mr. Landmann has been a Generalist Portfolio Manager with the Adviser and currently serves as the Adviser’s President.	14	None
	Officers of the Trust who are not Trustees
David B. Lippman (1958)	President and Principal Executive Officer	Indefinite term, since November 2008	Mr. Lippman is the Chief Executive Officer of the Adviser (since February 2013), and the Chief Executive Officer and President of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since 2008.	1	TCW Strategic Income Fund, Inc. (closed-end fund)

379 / Annual Report March 2022

NAME AND   YEAR OF BIRTH***	POSITION(S) HELD WITH TRUST	TERM OF OFFICE AND LENGTH OF TIME SERVED	PRINCIPAL OCCUPATIONS DURING PAST FIVE YEARS****	NUMBER OF FUNDS IN FUND COMPLEX OVERSEEN BY TRUSTEE	OTHER   DIRECTORSHIPS   HELD   BY TRUSTEE
Richard Villa (1964)	Treasurer, Principal Financial Officer and Principal Accounting Officer	Indefinite term, since February 2021	Mr. Villa is Executive Vice President, Chief Financial Officer and Assistant Secretary of the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and The TCW Group, Inc. (since 2008); Treasurer and Principal Financial Officer and Accounting Officer of TCW Funds, Inc. and TCW Strategic Income Fund, Inc. (since February 2014); Executive Vice President, Financial Officer and Assistant Secretary of TCW LLC (since 2016).	N/A	N/A
Eric Chan (1978)	Assistant Treasurer	Indefinite term, since 2010	Mr. Chan is Managing Director of Fund Operations for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since November 2006. Mr. Chan is a Certified Public Accountant.	N/A	N/A
Stephen M. Kane (1962)	Executive Vice President	Indefinite term, since 2007	Mr. Kane is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since August 1996.	N/A	N/A
Gladys Xiques (1973)	Chief Compliance Officer and Anti- Money Laundering Officer	Indefinite term, since January 2021	Ms. Xiques is Managing Director and Global Chief Compliance Officer of the Adviser, TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC (since January 2021); Global Chief Compliance Officer of The TCW Group, Inc. (since January 2021); Chief Compliance Officer and AML Officer of TCW Funds, Inc. and TCW Strategic Income Fund, Inc. (since January 2021); Senior Vice President of the Adviser, TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC (February 2015 – December 2020).	N/A	N/A
Meredith Jackson (1959)	Vice President and Secretary	Indefinite term, since 2013	Ms. Jackson is Executive Vice President, General Counsel and Secretary of the Adviser, TCW Investment Management Company LLC, The TCW Group, Inc., TCW Asset Management Company LLC (since February 2013) and TCW LLC (since January 2016), Senior Vice President, General Counsel and Secretary of TCW Funds, Inc. and TCW Strategic Income Fund, Inc. (since February 2013).	N/A	N/A

* Denotes a Trustee who is not an “interested” person of the Trust as defined in the 1940 Act.

** Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser.

*** For purposes of Trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017.

**** Positions with The TCW Group, Inc. and its affiliates may have changed over time.

Annual Report March 2022 / 380

MetWest Funds

865 South Figueroa Street, Suite 1800

Los Angeles, California 90017

800 241 4671

www.TCW.com

Board of Trustees

Ronald J. Consiglio

Patrick C. Haden

Martin Luther King, III

Laird R. Landmann

Peter McMillan

Patrick Moore

Robert G. Rooney

Andrew Tarica

Officers

David Lippman

President and Principal Executive Officer

Richard Villa

Treasurer, Principal Financial Officer and

Principal Accounting Officer

Gladys Xiques

Chief Compliance Officer and

Anti-Money Laundering Officer

Adviser

Metropolitan West Asset Management, LLC

865 South Figueroa Street, Suite 1800

Los Angeles, CA 90017

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Transfer Agent

BNY Mellon Investment Servicing (U.S.) Inc.

760 Moore Road

King of Prussia, PA 19406

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

555 West 5th Street, Suite 2700

Los Angeles, CA 90013

Distributor

TCW Fund Distributors LLC

865 South Figueroa Street, Suite 1800

Los Angeles, CA 90017

Legal Counsel

Paul Hastings LLP

101 California Street, 48th Floor

San Francisco, CA 94111

For Additional Information about the MetWest Funds call:

(213) 244-0000 or (800) 241-4671 (toll-free) www.TCW.com

A description of the Funds’ proxy voting policies, procedures, and how the Funds voted proxies relating to their portfolios’ securities during the most recent 12-month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at www.sec.gov.

In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.

To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.

This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.

FUNDap 5/2022

(b) Not applicable.

Item 2. Code of Ethics.

(a) The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(c) There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description.

(d) The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions.

(f)(1) Pursuant to Item 13(a)(1), the registrant is filing as an exhibit a copy of its code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions.

Item 3. Audit Committee Financial Expert.

As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of Form N-CSR.

Item 4. Principal Accountant Fees and Services.

Audit Fees

(a) The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $592,285 in 2022 and $545,908 in 2021.

Audit-Related Fees

(b) The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2022 and $0 in 2021.

Tax Fees

(c) The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $115,878 in 2022 and $104,680 in 2021.

All Other Fees

(d) The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2022 and $0 in 2021.

(e) Audit Committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(e)(1) Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.

(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:

(b) N/A

(c) 100%

(d) N/A

(f) The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%.

(g) The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $868,519 in 2022 and $751,087 in 2021.

(h) The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

(i) Not applicable.

(j) Not applicable.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Investments.

(a) Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1(a) of this form.

(b) Not applicable.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.

Item 11. Controls and Procedures.

(a) The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13. Exhibits.

(a)(1)	Code of ethics, or any amendments thereto, that is the subject of disclosure required by Item 2 is attached herewith.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
	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.
(b)	Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)                               Metropolitan West Funds                                                                             

By (Signature and Title)*	/s/  David B. Lippman
	David B. Lippman, President and Principal Executive Officer         (principal executive officer)

Date                     June 2, 2022                                                                                                                           

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	/s/  David B. Lippman
	David B. Lippman, President and Principal Executive Officer         (principal executive officer)

Date                     June 2, 2022                                                                                                                            

By (Signature and Title)*	/s/ Richard Villa
	Richard Villa, Treasurer, Principal Financial Officer         and Principal Accounting Officer         (principal financial officer)

Date                     June 2, 2022                                                                                                                    

^* Print the name and title of each signing officer under his or her signature.

EX-99.CODE ETH

Sarbanes-Oxley Act Code of Ethics

This SOX Code for the Funds has been adopted regarding the Covered Officers for the purpose of deterring wrongdoing and promoting:

• honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships,

• full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the SEC and in other public communications made by the Funds,

• compliance with applicable laws and governmental rules and regulations,

• prompt internal reporting of violations of this SOX Code to an appropriate person or persons identified in this SOX Code, and

• accountability for adherence to this SOX Code.

This SOX Code shall be the sole code of ethics adopted by the Funds for the purposes of section 406 of the Sarbanes-Oxley Act and the rules and forms applicable to registered investment companies thereunder. Insofar as other policies or procedures of the Funds, TIMCO, MetWest or TFD govern or purport to govern the behavior or activities of the Covered Officers who are subject to this SOX Code, they are superseded by this SOX Code to the extent that they overlap or conflict with the provisions of this SOX Code. The Funds’, TIMCO’s, MetWest’s and TFD’s codes of ethics under Rule 17j-1 under the 40 Act and TIMCO’s and MetWest’s more detailed policies and procedures set forth in the Code of Ethics are separate requirements that apply to the Covered Officers and others and are not part of this SOX Code.

Each Covered Officer of a Fund must, as applicable:

• upon being named a Covered Officer affirm in writing to the board that he or she has received, read and understands this SOX Code,

• avoid situations when a Covered Officer’s private interest interferes with the interests of, or service to, a Fund,

• not use his or her personal influence or personal relationships improperly to influence investment decisions or financial reporting by a Fund, including where the Covered Officer would benefit personally to the detriment of the Fund,

• not cause a Fund to take action, or fail to take action, for the individual personal benefit of the Covered Officer rather than the benefit of the Fund,

• not use material non-public knowledge of portfolio transactions made or contemplated for a Fund to trade personally or cause others to trade personally in contemplation of the market effect of such transactions,

• report at least annually any directorships or other affiliations with other public companies,

• obtain approval from (i) their supervisor and (ii) any of the Fund Chief Compliance Officer, or General Counsel upon the receipt of any entertainment from any company with which a Fund has current or prospective business dealings unless such entertainment is business-related, reasonable in cost, appropriate with regard to time and place, and not so frequent that questions of impropriety arise. Where the CEO of TCW Group is considered a Covered Person under these policies, and therefore has no direct supervisor, the foregoing approval shall require two of the persons named under (ii) above,

• annually affirm to the relevant board that he or she has complied with the requirements of this SOX Code,

• not retaliate against any Covered Officer or employee of the Funds or their Affiliated Persons for reports of potential violations that are made in good faith, and

• notify the General Counsel promptly if he knows of any violation of this Code. Failure to do so is itself a violation of this SOX Code. The General Counsel will promptly notify the Chief Compliance Officer of the Fund of any reported violations of this SOX Code.

Further, each Covered Officer:

• should refrain from accepting gifts of more than a de minimis value from providers of goods and services to a Fund.

• should be familiar with the disclosure requirements generally applicable to each Fund.

• should not knowingly misrepresent, or cause others to misrepresent, facts about a Fund to others, whether within or outside the Fund, including to a Fund’s board and auditors, or to governmental regulators and self-regulatory organizations.

• should, to the extent appropriate within his or her area of responsibility, consult with other officers and employees of the Funds and TIMCO or MetWest, applicable, with the goal of promoting full, fair, accurate, timely, and understandable disclosure in the reports and documents that the Funds file with, or submit to, the SEC and in other public communications made by the Funds.

• is responsible for promoting compliance with the standards and restrictions imposed by applicable laws, rules, and regulations.

The foregoing requirements shall not prevent the participation of the Covered Officers in activities inherent in the contractual relationship between each fund and TIMCO or MetWest, as applicable, such as contract negotiation, and, if addressed in conformity with the provisions of the 40 Act and the Advisers Act, will be deemed to have been handled ethically.

The following conflicts of interest situations involving a Covered Officer must be approved by (i) the Chief Operating Officer of the Firm and (ii) one of the General Counsel or Chief Compliance Officer of the Fund:

• service as a director on the board of any public company,

• service as an executor, trustee, guardian, conservator, general partner or other fiduciary, or any appointment as a consultant in connection with fiduciary or active money management matters exclusive of appointments involving personal estates or service on the board of a charitable, civic, or nonprofit company where the Covered Officer does not act as an investment advisor for the entity’s assets,

• any ownership interest in, or any consulting or employment relationship with, any service providers of a Fund, as applicable, other than its investment adviser, principal underwriter, or any Affiliated Person thereof, with the exception that nothing herein shall prevent a Covered Officer from acquiring publicly traded securities of a service provider in a market transaction, and

• a direct or indirect financial interest in commissions, transaction charges, or spreads paid by a Fund for effecting portfolio transactions or for selling or redeeming shares other than an interest arising from the Covered Officer’s employment, such as compensation or equity ownership.

Any approvals or waivers sought by a Covered Officer that is not covered above will be submitted for consideration by the Audit Committee of the relevant Fund. In addition, the Funds will follow these procedures in investigating and enforcing this SOX Code.

• The General Counsel will take all appropriate action to investigate any reported violations.

• If, after such investigation, the General Counsel believes that no violation has occurred, the General Counsel is not required to take any further action.

• Any matter that the General Counsel believes is a violation will be reported to the Audit Committee and to the Chief Compliance Officer.

• If the Audit Committee concurs that a violation has occurred, it will inform the board, which will consider appropriate action, which may include (i) review of, and appropriate modifications to, applicable policies and procedures, (ii) notification to appropriate personnel of TIMCO, MetWest or their board, as applicable, or (iii) a recommendation to dismiss the Covered Officer.

• The Audit Committee will be responsible for granting waivers, as appropriate.

• Any changes to, or waivers of, this SOX Code will, to the extent required, be disclosed as provided by SEC rules.

Material amendments to this SOX Code must be in written form and specifically approved or ratified by a majority vote of a Fund’s board, including a majority of independent directors.

All reports and records prepared or maintained pursuant to this SOX Code will be considered confidential and shall be maintained and protected accordingly. Except as otherwise required by law or this SOX Code, such matters shall not be disclosed to anyone other than the appropriate board, their counsel, counsel to the relevant Funds, and such persons at TCW who should know in the reasonable course of their duties.

This SOX Code is intended solely for the internal use by the funds and does not constitute an admission, by or on behalf of any Fund, with regard to any fact, circumstance, or legal conclusion.

EX-99.CERT

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, David B. Lippman, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     June 2, 2022	/s/ David B. Lippman
	David B. Lippman, President and Principal
	Executive Officer
	(principal executive officer)

Certification Pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the

Sarbanes-Oxley Act

I, Richard Villa, certify that:

1. I have reviewed this report on Form N-CSR of Metropolitan West Funds;

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

4. The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

(a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

(b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

(c) Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

(d) Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

5. The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

(a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

(b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

Date:     June 2, 2022	/s/  Richard Villa
	Richard Villa, Treasurer, Principal Financial
	Officer and Principal Accounting Officer
	(principal financial officer)

EX-99.906CERT

Certification Pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley

Act

I, David B. Lippman, President and Principal Executive Officer of Metropolitan West Funds (the “Registrant”), certify that, to my knowledge:

1. The periodic report on Form N-CSR of the Registrant for the period ended March 31, 2022 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:     June 2, 2022	/s/  David B. Lippman
	David B. Lippman, President and Principal
	Executive Officer
	(principal executive officer)

I, Richard Villa, Treasurer, Principal Financial Officer and Principal Accounting Officer of Metropolitan West Funds (the “Registrant”), certify that, to my knowledge:

1. The periodic report on Form N-CSR of the Registrant for the period ended March 31, 2022 (the “Report”) fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as amended; and

2. The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Date:     June 2, 2022	/s/  Richard Villa
	Richard Villa, Treasurer, Principal Financial
	Officer and Principal Accounting Officer
	(principal financial officer)