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)

515 South Flower Street

       Los Angeles, CA 90071        

(Address of principal executive offices) (Zip code)

Peter Davidson, Esq.

Vice President and Secretary

515 South Flower Street

      Los Angeles, CA 90071      

(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, 2024

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, 100 F. Street, NE, Washington, DC 20549-1090. 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
	2024
	ANNUAL REPORT
METWEST FUNDS
AlphaTrak 500 Fund Corporate Bond Fund Flexible Income Fund Floating Rate Income Fund High Yield Bond Fund Intermediate Bond Fund Investment Grade Credit Fund Low Duration Bond Fund Opportunistic High Income Credit Fund Strategic Income Fund Sustainable Securitized Fund  (formerly, ESG Securitized Fund) Total Return Bond Fund Ultra Short Bond Fund Unconstrained Bond Fund

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Metropolitan West Funds
Table of Contents	March 31, 2024

Letter to Shareholders	1
Fund Performance	15
Disclosure of Fund Expenses (Unaudited)	24
Summary of Portfolio Holdings (Unaudited)	27
Schedule of Portfolio Investments	30
AlphaTrak 500 Fund	30
Corporate Bond Fund	38
Flexible Income Fund	45
Floating Rate Income Fund	70
High Yield Bond Fund	84
Intermediate Bond Fund	93
Investment Grade Credit Fund	110
Low Duration Bond Fund	121
Opportunistic High income Credit Fund	136
Strategic Income Fund	142
Sustainable Securitized Fund	158
Total Return Bond Fund	162
Ultra Short Bond Fund	209
Unconstrained Bond Fund	216
Statements of Assets and Liabilities	243
Statements of Operations	250
Statements of Changes in Net Assets	256
Financial Highlights	263
Notes to Financial Statements	296
Report of Independent Registered Public Accounting Firm	353
Tax Information Notice (Unaudited)	355
Liquidity Risk Management Program (Unaudited)	357
Special Meeting of Shareholders - Voting Results (Unaudited)	358
Reorganization of Certain Funds into ETFs (Unaudited)	359
Privacy Policy	360
Management Information	365

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, 2024. The past twelve months have notably included the final interest rate hike of the Federal Reserve’s (Fed) current tightening cycle in July, capping the Fed Fund’s rate increase at 525 basis points (bps), a dovish pivot late in the year, and a significant rate sell-off to start 2024 amid better-than-expected growth, price, and employment data that suggested no urgency to the Fed for a cut. This data did, however, help bolster positive investor sentiment that had been building throughout the period, resulting in outperformance of higher risk segments of the market. Against this backdrop, performance across MetWest Funds was generally positive, though behind benchmark results given overweight duration positions and bias towards higher quality issues. AUM (Assets Under Management) across the MetWest Funds complex ended the period at $58 billion. Looking forward, the return outlook should benefit from the higher yield profile of the Funds, the prospect for interest rate cuts (and thus rising price levels for fixed income assets), and the attendant volatility that will likely present opportunities for our teams to apply their hallmark discipline to find value for client assets across the Fund complex.

The March 31, 2024 Annual Report covers the following Metropolitan West Funds:

Metropolitan West AlphaTrak 500 Fund	M-Class (MWATX)
Metropolitan West Corporate Bond Fund	M-Class (MWCSX), I-Class (MWCBX)
Metropolitan West Flexible Income Fund	M-Class (MWFSX), I-Class (MWFEX)
Metropolitan West Floating Rate Income Fund	M-Class (MWFRX), I-Class (MWFLX), Plan-Class (MWFPX)
Metropolitan West High Yield Bond Fund	M-Class (MWHYX), I-Class (MWHIX)
Metropolitan West Intermediate Bond Fund	M-Class (MWIMX), I-Class (MWIIX)
Metropolitan West Investment Grade Credit Fund	M-Class (MWISX), I-Class (MWIGX)
Metropolitan West Low Duration Bond Fund	M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)
Metropolitan West Opportunistic High Income Credit Fund	M-Class (MWORX), I-Class (MWOPX)
Metropolitan West Strategic Income Fund	M-Class (MWSTX), I-Class (MWSIX)
Metropolitan West Sustainable Securitized Fund	M-Class (MWERX), I-Class (MWESX)
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

The rising rate environment that defined the trailing 12-month period was expected to come with adjacent volatility as higher rates weighed on the consumer, businesses, prices, and growth. However, the economic contraction and related typical fallout did not materialize. In fact, growth remained strong, employment robust, and inflation appeared to come under control with the year-over-year U.S. Core Consumer Price Index (ex. food and energy) falling from 5.6% at the start of the period to 3.8% by the end. Showing a commitment to containing price pressures, the Fed continued hiking in May and July, then paused in September, but left FOMC (Federal Open Market Committee) member predictions elevated versus current levels. Despite the lack of additional rate hikes for the remainder of the year, yields continued to move higher across the curve, peaking in October 2023 at levels more than 100-160 bps above early-year lows that accompanied the regional banking turmoil. However, almost immediately following the moment on October 19 when the entire U.S. Treasury curve breached 5% for the first time since the Global Financial Crisis (GFC), a very sharp rally ensued and lasted through year-end. Yields fell anywhere from 90 to 115 bps in the last two and a half months of 2023, while the December FOMC meeting came with a new “dot plot” that showed no additional hikes for the first time since March 2021, leaving little doubt that the Fed’s tightening cycle was over. Optimism that the Fed was done hiking and that a pivot to easing would happen sooner than later had market participants calling for a March start to rate cuts, but persistently strong data in the first quarter of 2024 caused markets to reassess expectations for the path of Fed policy, with projections of an initial cut moved to June from March and 150 bps of 2024 easing trimmed to 75 bps. The Fed, for its part, maintained its resolve and gave no indication it was inclined to ease prematurely on unsupportive indicators. This shift tempered the rally in rates, with every tenor of the U.S. Treasury curve moving higher, continuing the inversion and delivering a reality check on what was an exuberant end to last year, in terms of hopes for the elusive soft landing and market returns. All together, yields ended the trailing 12-month period 60-70 bps higher across maturities of 2-Years and longer.

1 / Annual Report March 2024

Equity markets seemed unfazed by the potential postponement of a return to an accommodative Fed with the S&P 500 notching a 10%-plus gain for the first quarter of 2024, bringing the total return for the full period to over 30%. Though the bond market bore the brunt of rising rates through October, the 9.3% gain for the Bloomberg U.S. Aggregate Bond Index in late 2023 buoyed returns for the period, bringing the trailing 12-month return for the Index to 1.7%. Investment grade corporate bonds were up 4.4%, while yield premiums relative to U.S. Treasury issues declined to a cycle low, driving over 500 bps of positive relative performance. Financial sectors led, driven by solid returns among REITs (Real Estate Investment Trusts), life insurance companies, brokers, and banks, while tobacco, gaming, and home construction led among industrials. The shorter duration character of high yield corporates, combined with equity-like enthusiasm, brought positive total returns of 11.2%, more than eclipsing the impact of higher rates with +908 bps of outperformance versus duration-matched Treasuries. In the securitized markets, private label (non-agency) commercial mortgage-backed securities (CMBS) outperformed, gaining 6.2%, while non-agency residential MBS backed by legacy (pre-Global Financial Crisis) collateral gained more than 7.5% amid sustained demand and resilient home prices. Agency residential MBS gains were more modest at 1.4% as the sector has been one of the most impacted by rising rates and rate volatility. Finally, asset-backed securities (ABS) managed a 4.3% gain, with the sector benefitting from short durations and strong new-issue sponsorship on attractive yields.

The Economy and Market Ahead

Though the U.S. economy has seemingly defied all expectations throughout the course of this Fed hiking cycle, the impacts of 525 bps of Fed hikes and ongoing inversion of the yield curve cannot be fully discounted, even if they have thus far been held off. Indeed, the well-documented consumer spending of pandemic-era excess savings helped to blunt the initial impact, while 2023’s continuation of the consumer dissaving theme with increased short-term credit utilization, including “buy now, pay later” schemes, helped further propel economic growth from the consumer side. However, credit comes at a cost, and the growing balance on consumer credit cards and other financing options comes at a time where the interest on those balances are at extremely elevated levels. For lenders, this has translated to growing losses on unsecured consumer loans and commensurate tightening of lending standards, which will only serve to further slow the economy once it turns. On the corporate side, businesses are now multiple years into an elevated interest rate regime and have likely exhausted the primary means of protecting margins, including price reductions, hiring freezes, and a furloughing of employees to part-time work, with layoffs the final piece that loosens the labor market and pushes the economy into a recession. In this environment, the yield curve is expected to re-steepen sharply as the Fed steps in to support the economy, shore up markets, and inject liquidity into the system.

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

Fund Performance Commentary

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

Metropolitan West AlphaTrak 500 Fund

M-Class (MWATX)

Against a largely risk-on backdrop, especially in the latter half of the year, the MetWest AlphaTrak 500 Fund –M Class (“Fund”) gained 29.17% (net of fees) for the 12-month period ending March 31, 2024, though this trailed the S&P 500 Index (“Index’) by 71 bps. While the use of S&P 500 Index futures allows the Fund to replicate Index returns, relative underperformance was attributable primarily to the Fund’s short duration fixed income portfolio that collateralizes the futures position. In particular, the positive duration position was the largest headwind given the increase in Treasury yields over the year. However, the allocation to fixed income spread products positively impacted relative returns as improved investor demand across sectors helped drive outperformance relative to U.S. Treasuries for nearly every major component of the market, with the position in securitized products providing the largest positive impact. Investors’ perception of risk associated with securitized products improved over the period alongside growing soft-landing optimism, helping securitized products finish ahead of risk-free assets. Contributions stemmed from the Fund’s ABS exposure, led by AAA-rated CLOs (Collateralized Loan Obligations) and issues backed by auto loans. This improved risk sentiment also benefitted the CMBS sector and resulted in a tailwind to Fund holdings, which were predominantly in high-quality private label deals with strong collateral. In the residential MBS sector, Fund performance benefitted from both legacy and newer issue holdings given steady cash flows and rising price levels over the year, while, away from securitized, corporate credit exposure also drove a positive performance impact. Fund holdings of banking, wireline, healthcare, and pharmaceutical names contributed from an issue selection standpoint, while the focus on the broad financials sector benefitted returns as it was the top-performing major sector among short duration corporates.

Annual Report March 2024 / 2

Duration positioning remains somewhat longer than typical given our view that rates are restrictive and above fair value, especially in a slowing economy where inflation has generally been on a downward trend. Sector positioning currently emphasizes high-quality securitized product opportunities offering attractive risk-adjusted yields, with a focus on agency MBS. Though nominal spreads have come down from the peaks observed last May and October, they remain wide relative to historical averages and other high-quality fixed income products, creating compelling relative value that is further supported by the government guarantee and liquid nature of the sector. Non-agency MBS also offers good yields and solid fundamentals after years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Meanwhile, CMBS represents a smaller and more targeted allocation with a focus on high-quality collateral and sponsors, while ABS exposure emphasizes AAA-rated CLOs and automobile collateral. Turning to corporate credit, current market valuations present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from these levels is small, while the risk of significant widening as the sector reprices to a potentially slowing economy is high. As such, the Fund capitalized on market strength to reduce exposure and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)	5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWATX (Inception: June 29, 1998)		24.31%		29.17%	9.73%	14.00%	13.02%	8.17%
S&P 500 Index		23.48%		29.88%	11.48%	15.03%	12.95%	8.10%

Metropolitan West Corporate Bond Fund

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

The MetWest Corporate Bond Fund – I Class (“Fund”) gained 3.52% (net of fees) for the 12-month period ending March 31, 2024, though this trailed the Bloomberg U.S. Corporate Index (“Index”) by 90 bps. Relative underperformance stemmed largely from the Fund’s duration position, which remained longer than the Index throughout the year while extending in a disciplined fashion alongside the rise in rates. Also weighing on relative returns was the underweight to corporate credit, which was expressed largely via an underweight to industrials, including energy, which was among the strongest performers for the period. The strong market tone and improved investor demand for corporate credit did, however, provide opportunity to trim exposure at favorable levels and shift to a more defensive posture, while select industries like banking remained a targeted overweight throughout the year. The focus on the broader financial sector helped to partially offset the drag from being underweight corporate exposure as it was the best-performing major sector, while favorable issue selection further supported performance, led by banking, midstream energy, and technology names. Finally, the very modest position in municipals and non-agency CMBS interest-only (IO) bonds contributed to performance as price levels on municipals improved and IOs benefitted from steady cash flows.

Given expectations for a normalization in both the level and term structure of interest rates, duration positioning remained longer than the Index, finishing the quarter approximately 0.7 years long with an emphasis on front-end yields. Turning to sector positioning, corporate credit represents an underweight given current market valuations and yield spread levels that, in our view, are overly optimistic. Such tight spreads also present an asymmetrical risk and reward profile; the likelihood of further meaningful compression from these levels is small, while the risk of significant widening as the sector reprices to a potentially slowing economy is high. As such, the Fund capitalized on this market strength to reduce exposure and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility. Finally, very small positions in interest-only (IO) CMBS bonds and agency MBS CMOs (Collateralized Mortgage Obligations) with stable duration profiles are maintained, while a modest position in municipal debt is also held.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCSX (Inception: June 29, 2018)		7.88%		3.15%		-2.60%		1.65%		—		2.75%
Bloomberg U.S. Corporate Index		8.07%		4.43%		-1.87%		1.52%		—		2.35%
MWCBX (Inception: June 29, 2018)		8.14%		3.52%		-2.32%		1.92%		—		3.03%
Bloomberg U.S. Corporate Index		8.07%		4.43%		-1.87%		1.52%		—		2.35%

3 / Annual Report March 2024

Metropolitan West Flexible Income Fund

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

The MetWest Flexible Income Fund – I Class (“Fund”) gained 5.77% (net of fees) for the 12-month period ended March 31, 2024, while the Bloomberg U.S. Aggregate Bond Index (“Index”) gained 1.70%. Outperformance for the period was due in part to the Fund’s shorter-than-Index duration position as Treasury yields marched higher across the curve, with the 10-Year touching 5% in the third quarter. Also significant to outperformance was the off-Index allocation to securitized sectors. Agency MBS was a headwind in the first half of the period given the historically cheap (and cheapening) levels but bounced back in the second half with strong returns in 4Q23 and March 2024. Non-agency MBS generally performed well over the period given improved investor optimism regarding the future trajectory of home prices and increased investor demand in the space. Additionally, their largely floating rate structures and minimal interest rate duration profiles have benefitted performance in the rising rate environment. Similarly, the Fund’s CLO position contributed for the period as their floating rate nature mitigated the impact of rising rates while falling yield premiums helped propel the sector to outperformance relative to duration-matched Treasuries. Finally, private label CMBS performance was also strong, while additional gains came from interest-only CMBS bonds which continued to benefit from strong cash flows. Turning to corporate credit, the rally over the period prompted disciplined trimming of the Fund’s position, with strong valuations across sectors providing opportunities to de-risk and crystalize gains on holdings that had moved above fair value. Industrials represented an underweight throughout the period, weighing on relative returns as the sector outpaced Treasuries by nearly 280 bps, though issue selection contributed, particularly consumer cyclicals and consumer non-cyclicals. The overweight to financials was trimmed late in the period, but the position contributed overall. Additionally, with European corporate markets outperforming robust U.S. corporate markets in the latter part of the period, the small allocation to Euro-denominated bonds contributed.

Duration positioning ended the quarter at approximately 3.8 years, with a continued emphasis on front-end yields given expectations for a reversal in Fed policy. Sector positioning emphasizes high-quality securitized product opportunities offering attractive risk-adjusted yields, particularly residential MBS. Non-agency MBS exhibits good yields and solid fundamentals given years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Agency MBS also represents attractive relative value and represents a sizable position but remains slightly underweight versus the Index. Though nominal spreads for the sector have tightened from the wide levels observed in 2023, they remain cheap relative to both historical standards and other high-quality segments of the market, providing yield pickup without undertaking credit risk given the government guarantee. Meanwhile, CMBS represents a small and targeted allocation, focused on deals backed by trophy collateral and/or strong, experienced sponsors that can withstand any prospective volatility in the sector as it undergoes what is likely a slow-moving correction, while a small position in interest-only bonds is maintained given attractive upside potential. ABS positions similarly reflect targeted allocations given the challenges weaker structures or those backed by unsecured collateral are likely to face in a slowing economy, with CLOs comprising the bulk of the exposure, while smaller positions are maintained in a variety of non-traditional collateral types such as student loans, single family rentals, and shipping containers. Turning to corporate credit, current market valuations present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from these levels is small, while the risk of significant widening as the sector reprices to a slowing economy is high. As such, the Fund capitalized on market strength to reduce exposure and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)			5 Year (Annualized)			10 Year (Annualized)		Since Inception (Annualized)
MWFSX (Inception: November 30, 2018)		6.56%		5.64%		0.55	%		4.36	%		—		6.01%
Bloomberg U.S. Aggregate Bond Index		5.99%		1.70%		-2.45	%		0.36	%		—		1.23%
MWFEX (Inception: November 30, 2018)		6.69%		5.77%		0.77	%		4.55	%		—		6.18%
Bloomberg U.S. Aggregate Bond Index		5.99%		1.70%		-2.45	%		0.36	%		—		1.23%

Annual Report March 2024 / 4

Metropolitan West Floating Rate Income Fund

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

Against a backdrop of higher rates and increased interest income, both the MetWest Floating Rate Income Fund – I Class (“Fund”) and Morningstar LSTA U.S. Leveraged Loan Index (“Index”) posted positive total returns for the 12-month period ending March 31, 2024, though the Fund’s return of 11.58% (net of fees) trailed the Index by 89 bps. Consistent with other segments of markets throughout the period in which riskier assets outperformed, the lowest-rated cohort of the loan universe led performance for the year, with CCC-rated loans gaining nearly 19%. As such, the Fund’s underweight to this cohort weighed on relative returns, while an increased underweight to B-rated loans also produced a drag as they similarly outperformed the broader loan Index, returning over 13%. From an allocation standpoint, underweights to top-performing software, services, consumer durables, and apparel also held back relative returns, though overweights to healthcare and transportation resulted in modestly positive effects. The largest contributions to Fund performance and relative returns, however, was favorable issue selection among loans in the communications, materials, and capital goods industries.

Though challenges certainly loom for borrowers and sponsors in this floating rate segment of the credit markets, the move higher in Treasury yields over the course of the Fed hiking cycle affords investors healthy current yields. After years of “easy money” in the form of low interest rates and covenant-lite loans, the current environment amplifies risks, yes, but is also ripe for disciplined active management. The team continues to emphasize bottom-up, fundamental credit research with the goal of earning compelling risk-adjusted returns, while seeking to avoid defaults and those borrowers with insufficient collateral or residual enterprise values in the event loan repayments stop. In addition, active management looks to capitalize on the value proposition brought forth by ratings-related dislocations in the market, most notably among otherwise-performing, discounted CCC loans that CLOs offload to stay within indenture exposure limits. While this dynamic is set to continue over the coming quarters given the propensity of ratings agencies to issue more downgrades than upgrades, the Fund still maintains an overall bias towards higher-quality loans while the prospective effects of an economy seemingly at an inflection point continue to unfold. Current exposure is focused on industries that traditionally withstand volatility and are less tied to cyclical market patterns, including communications and non-cyclicals (healthcare, pharmaceuticals), with an added focus on borrowers with strong cash flow positions and interest coverage ratios. Meanwhile, higher beta industries or those typically associated with consumer discretionary spending are underweights.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWFRX (Inception: June 28, 2013)		5.44%		11.36%		4.50%		4.30%		3.66%		3.88%
Morningstar LSTA U.S. Leveraged Loan Index		5.39%		12.47%		5.99%		5.47%		4.53%		4.60%
MWFLX (Inception: June 28, 2013)		5.54%		11.58%		4.71%		4.51%		3.86%		4.09%
Morningstar LSTA U.S. Leveraged Loan Index		5.39%		12.47%		5.99%		5.47%		4.53%		4.60%
MWFPX (Inception: January 29, 2021)		5.59%		11.32%		4.59%		—		—		4.45%
Morningstar LSTA U.S. Leveraged Loan Index		5.39%		12.47%		5.99%		—		—		5.87%

Metropolitan West High Yield Bond Fund

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

The MetWest High Yield Bond Fund – I Class (“Fund”) gained 9.03% (net of fees) over the twelve-month period ending March 31, 2024, but trailed the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (“Index”) by approximately 213 bps. Returns were strong across high yield credit sectors, with financials leading with excess returns of 1,169 bps versus duration-matched Treasuries, while industrials posted excess returns of 890 bps and utilities followed with 509 bps. As credit spreads tightened over the period, positions were trimmed across industrials and financials. Early in the period the overweight in industrials turned into an underweight that was extended throughout subsequent quarters and resulted in a sizable drag as the sector performed well. While trimming among financials reduced the overweight, relative positioning remained largely intact – overweight banks and insurance, underweight finance companies. This contributed to relative returns, particularly the overweight in banks and insurance, though the underweight to finance companies detracted. Utilities remained underweight relative to index positions, resulting in a small drag. Turning to issue selection, the higher quality emphasis across holdings in the Fund, particularly in the financial space, weighed on relative performance as lower-quality assets outperformed amid strong demand for risk assets and a relatively shorter duration profile vis-à-vis investment grade credit. Fund holdings lagged index holdings, especially among brokers, insurance, consumer cyclicals, and non-cyclicals. Finally, the allocation to bank loans generally benefitted relative returns as loans outperformed high yield over the past year in all but the third quarter of 2023.

5 / Annual Report March 2024

The ongoing risk-on sentiment and resultant compression of credit spreads across high yield corporates saw the average OAS (option-adjusted spread) move below 300 bps in March, indicating extremely rich valuations and low margin for error across the high yield market in aggregate. These valuations present an asymmetrical risk and reward profile; the likelihood of further meaningful compression from these levels is small, while the risk of significant widening as the sector reprices to a potentially slowing economy is high. As such, the Fund has capitalized on market strength to opportunistically trim exposures, with remaining positions emphasizing higher-quality credits and defensive sectors like communications and non-cyclicals (especially healthcare and food & beverage), while avoiding cyclicals and sectors more closely tied to consumer spending and cyclical volatility. Financials represent a small overweight with an emphasis on insurance credits (notably healthcare given attractive long-term fundamentals) and large money center banks in the U.S. Finally, an allocation to high-quality leveraged loans is maintained as their more senior position in the capital structure relative to bonds provides downside protection, and their floating rate nature offers attractive income potential, though issue selection is particularly important. Looking forward, the potential for elevated volatility presents opportunities to add to the corporate basis at more compelling valuations, likely in the latter half of 2024, with the Fund well positioned to deploy capital given its enhanced liquidity profile and up-in-quality bias.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWHYX (Inception: September 30, 2002)		7.59%		8.64%		0.90%	3.93%	3.40%	7.10%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		8.73%		11.15%		2.19%	4.19%	4.44%	7.74%
MWHIX (Inception: March 31, 2003)		7.84%		8.91%		1.15%	4.22%	3.66%	6.66%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		8.73%		11.15%		2.19%	4.19%	4.44%	7.25%

Metropolitan West Intermediate Bond Fund

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

For the 12-month period ending March 31, 2024, the MetWest Intermediate Bond Fund – I Class (“Fund”) gained 2.12% (net of fees), though this trailed the Bloomberg Intermediate U.S. Government/Credit Index (“Index”) by 57 bps. Relative underperformance stemmed primarily from the Fund’s duration position, which remained longer than the Index throughout the year. Additionally, the Fund benefitted early in the period from an overweight position in corporate credit versus the Index as yield premiums fell, but the continued rally throughout the year prompted disciplined trimming of the Fund’s position, leading to a growing underweight that ultimately weighed on returns for the full-year period. However, this was more than offset by meaningful contributions from issue selection, particularly among banks, consumer non-cyclicals, communications, and REITs, while Euro-denominated issues added modestly later in the period as European corporate markets outpaced robust U.S. corporate markets. Meanwhile, the off-Index allocation to securitized products was a positive, led by residential MBS. Non-agency MBS generally performed well throughout the year as the sector benefitted from robust housing credit fundamentals and increased investor demand across the space, with both legacy (pre-GFC) and newer issued securities contributing, while the agency MBS exposure was a tailwind, driven largely by the strong performance over the fourth quarter of 2023. Finally, ABS and CMBS issues in the Fund performed well given rising prices across both sectors on sustained investor demand and falling yield premiums.

Given expectations for a steeper curve, duration positioning remains overweight relative to the Index, finishing the quarter approximately 0.7 years long with an emphasis on front-end yields. In terms of sector positioning, corporate credit represents an underweight given current market valuations and yield spread levels that, in our view, are overly optimistic. Such tight spreads also present an asymmetrical risk and reward profile; the likelihood of further meaningful compression from these levels is small, while the risk of significant widening as the sector reprices to a potentially slowing economy is high. As such, the Fund capitalized on this market strength to reduce exposure and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility. Offsetting the underweight to corporate credit are off-Index positions in high-quality securitized products offering risk-adjusted yields, with agency MBS the largest securitized exposure. Though nominal spreads for the sector have tightened from the wide levels observed in 2023, they remain cheap relative to both historical standards and other high-quality segments of the market, providing yield pickup without undertaking credit risk given the government guarantee. Non-agency MBS also exhibits good yields and solid fundamentals given years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Meanwhile, CMBS represents a small and targeted allocation, focused on deals backed by trophy collateral and/or strong, experienced sponsors that

Annual Report March 2024 / 6

can withstand any prospective volatility in the sector as it undergoes what is likely a slow-moving correction. ABS positions similarly reflect targeted allocations given the challenges weaker structures or those backed by unsecured collateral are likely to face in a slowing economy, with FFELP student loans and senior CLO tranches comprising the bulk of the exposure.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWIMX (Inception: June 30, 2003)		4.58%		1.80%		-1.76%		0.87%		1.30%		3.35%
Bloomberg Intermediate U.S. Government/Credit Index		4.40%		2.69%		-1.06%		1.09%		1.60%		2.78%
MWIIX (Inception: June 28, 2002)		4.69%		2.12%		-1.51%		1.11%		1.53%		4.12%
Bloomberg Intermediate U.S. Government/Credit Index		4.40%		2.69%		-1.06%		1.09%		1.60%		3.14%

Metropolitan West Investment Grade Credit Fund

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

The MetWest Investment Grade Credit Fund –I Class (“Fund”) gained 4.23% (net of fees) for the 12-month period ended March 31, 2024, while the Bloomberg U.S. Intermediate Credit Index (“Index”) gained 4.56%. Underperformance for the period was partially due to the Fund’s duration position, which remained longer than the Index throughout the year after moving to an overweight position in 2022. The rally in corporate credit over the period prompted disciplined trimming of the Fund’s position, particularly among industrial and financial credit. The underweight to industrial credit was the biggest drag on relative returns for the period as the sector outpaced Treasuries by nearly 280 bps. However, issue selection contributed with the emphasis on communications boosting returns. Financials, meanwhile, had little impact over the period, as favorable issue selection was offset by a drag from the underweight position that resulted after trimming in the latter half of the period. Finally, the overweight to taxable municipal bonds benefitted returns as the sector finished ahead of similar duration Treasuries by nearly 530 bps for the period, while emerging market bonds held in the Fund modestly outpaced those in the Index. Turning to securitized sectors, the off-index allocation to agency MBS was a headwind in the first half of the period given the historically cheap (and cheapening) levels but bounced back in the second half with strong returns in 4Q23 and March 2024. Non-agency MBS generally performed well over the period given improved investor optimism regarding the future trajectory of home prices and increased investor demand in the space. Additionally, their largely floating rate structures and minimal interest rate duration profiles have benefitted performance in the rising rate environment. Similarly, the Fund’s CLO position contributed for the period as their floating rate nature mitigated the impact of rising rates while falling yield premiums helped propel the sector to outperformance relative to duration-matched Treasuries. Finally, private label CMBS performance was also strong, while additional gains came from interest-only CMBS bonds which continued to benefit from strong cash flows.

Given expectations for a steeper curve, duration positioning remains overweight relative to the Index, finishing the quarter approximately 0.8 years long with an emphasis on front-end yields. Turning to sector positioning, current corporate credit market valuations present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from these levels is small, while the risk of significant widening as the sector reprices to a slowing economy is high. As such, the Fund remained underweight corporate credit, with allocations emphasizing defensive sectors like communications, non-cyclicals, and select financials, including large money center banks as well as insurance and REIT credits with attractive long-term fundamentals, while largely avoiding cyclicals and sectors more closely tied with consumer discretionary spending. The underweight to corporate credit is supplemented by an overweight to municipal debt and high-quality securitized product opportunities offering attractive risk-adjusted yields, where agency MBS represents a sizable position. Though nominal spreads for the sector have tightened from the wide levels observed in 2023, they remain cheap relative to both historical standards and other high-quality segments of the market, providing yield pickup without undertaking credit risk given the government guarantee. Non-agency MBS also exhibits good yields and solid fundamentals given years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Meanwhile, CMBS represents a small and targeted allocation, focused on high-quality senior non-agency CMBS and interest-only bonds. ABS positions similarly reflect targeted allocations given the challenges weaker structures or those backed by unsecured collateral are likely to face in a slowing economy, with FFELP student loans and senior CLO tranches comprising the bulk of the exposure.

7 / Annual Report March 2024

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWISX (Inception: June 29, 2018)		5.92%		4.01%		-1.29%		1.70%		—		3.02%
Bloomberg U.S. Intermediate Credit Index		5.81%		4.56%		-0.52%		1.77%		—		2.41%
MWIGX (Inception: June 29, 2018)		6.17%		4.23%		-1.09%		1.92%		—		3.23%
Bloomberg U.S. Intermediate Credit Index		5.81%		4.56%		-0.52%		1.77%		—		2.41%

Metropolitan West Low Duration Bond Fund

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

For the twelve-month period ending March 31, 2024, the MetWest Low Duration Bond Fund – I Class (“Fund”) gained 4.03% (net of fees), outperforming the ICE BofA 1-3 Year U.S. Treasury Index (“Index”) by 106 bps. Relative outperformance was driven by the Fund’s exposure to fixed income credit and yield spread sectors, nearly all of which finished ahead of similar duration Treasuries given the risk-on macro backdrop. The position among securitized products created the largest benefit, led by residential MBS. Non-agency MBS generally performed well throughout the year as the sector benefitted from robust housing credit fundamentals and increased investor demand across the space, with both legacy (pre-GFC) and newer issued securities contributing, while the agency MBS exposure was a tailwind, driven largely by the strong performance over the fourth quarter of 2023. Meanwhile, CMBS issues in the Fund performed well as prices improved later in the period alongside increased investor optimism, while ABS holdings similarly contributed given sustained demand and robust new issue sponsorship by money managers. Turning to the position among short corporates, outright exposure maintained throughout the year rewarded returns, while the ongoing improvement in pricing and valuations across industries provided opportunity to trim exposure and capitalize on holdings that had moved above fair value. From an issue selection standpoint, contributions were led by banks, insurance, pharmaceuticals, healthcare, and select Euro-denominated bonds as European corporate markets outperformed robust U.S. corporate markets late in the period.

Given expectations for a steeper curve, duration positioning remains overweight relative to the Index, finishing the quarter approximately 0.9 years long with an emphasis on front-end yields. Turning to sector positioning, exposures currently emphasize high-quality securitized product opportunities offering attractive risk-adjusted yields, where agency MBS represents the largest outright position. Though nominal spreads for the sector have tightened from the wide levels observed in 2023, they remain cheap relative to both historical standards and other high-quality segments of the market, providing yield pickup without undertaking credit risk given the government guarantee. Non-agency MBS also exhibits good yields and solid fundamentals given years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Meanwhile, CMBS represents a small and targeted allocation, focused on deals backed by trophy collateral and/or strong, experienced sponsors that can withstand any prospective volatility in the sector as it undergoes what is likely a slow-moving correction. ABS positions similarly reflect targeted allocations given the challenges weaker structures or those backed by unsecured collateral are likely to face in a slowing economy, with FFELP student loans and senior CLO tranches comprising the bulk of the exposure. Turning to corporate credit, current market valuations present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from these levels is small, while the risk of significant widening as the sector reprices to a slowing economy is high. As such, the Fund capitalized on market strength to reduce exposure and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWLDX (Inception: March 31, 1997)		4.27%		3.82%		0.20%		1.28%		1.25%		3.18%
ICE BofA 1-3 Year U.S. Treasury Index		2.80%		2.97%		0.08%		1.16%		1.07%		2.81%
MWLIX (Inception: March 31, 2000)		4.37%		4.03%		0.40%		1.49%		1.46%		2.90%
ICE BofA 1-3 Year U.S. Treasury Index		2.80%		2.97%		0.08%		1.16%		1.07%		2.44%
MWLNX (Inception: September 22, 2009)		4.23%		3.77%		0.12%		1.20%		1.15%		2.50%
ICE BofA 1-3 Year U.S. Treasury Index		2.80%		2.97%		0.08%		1.16%		1.07%		1.08%

Annual Report March 2024 / 8

Metropolitan West Opportunistic High Income Credit Fund

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

The MetWest Opportunistic High Income Credit Fund – I Class (“Fund”) gained 9.81% (net of fees) over the twelve-month period ending March 31, 2024, but trailed the Bloomberg U.S. Corporate High Yield 2% Issuer Capped Index (“Index”) by approximately 135 bps. A nearly 30% rise in equity markets benefitted the allocation to equities in the Fund, though the underweight to high yield credit in favor of investment grade positions and an off-index allocation to securitized credit resulted in a sizable drag as high yield led across fixed income sectors due to its relatively shorter duration profile and equity-like enthusiasm. The underweight to below investment grade industrials, particularly consumer cyclicals, was the biggest drag on performance, while exposure to utilities also remained underweight relative to index positions, resulting in a small drag. Financials led in both high yield and investment grade credit markets, rewarding the overweight (for most of the period) to the sector, though the underweight to finance companies detracted. As credit spreads compressed and valuations improved, positions were trimmed opportunistically, taking the overall allocation to financials to a relative underweight versus the Index late in the period. Issue selection across sectors further weighed on returns given the higher quality emphasis, with positions in brokerage, insurance, cyclical, non-cyclical, technology, and energy sectors trailing those in the benchmark. Finally, the small allocation to bank loans generally benefitted relative returns as loans outperformed high yield over the past year in all but the third quarter of 2023, and the position was trimmed late in the period.

The ongoing risk-on sentiment and resultant compression of credit spreads across high yield corporates saw the average OAS move below 300 bps in March, indicating extremely rich valuations and low margin for error across the high yield market in aggregate. These valuations present an asymmetrical risk and reward profile; the likelihood of further meaningful compression from these levels is small, while the risk of significant widening as the sector reprices to a potentially slowing economy is high. As such, the Fund has capitalized on market strength to opportunistically trim exposures, with remaining positions emphasizing higher-quality credits and defensive sectors like communications and non-cyclicals (especially healthcare and food & beverage), while avoiding cyclicals and sectors more closely tied to consumer spending and cyclical volatility. Financials represent a small underweight with an emphasis on insurance credits (notably healthcare given attractive long-term fundamentals) and large money center banks in the U.S. An allocation to high-quality leveraged loans is also maintained as their more senior position in the capital structure relative to bonds provides downside protection, and their floating rate nature offers attractive income potential, though issue selection is particularly important. Additionally, the small equity position will be maintained given upside potential. Looking forward, the potential for elevated volatility presents opportunities to add to the corporate basis at more compelling valuations, likely in the latter half of 2024, with the Fund well positioned to deploy capital given its enhanced liquidity profile and up-in-quality bias. Outside of corporate credit, the team is generally constructive on securitized credit, particularly non-agency MBS, which exhibits good yields and solid fundamentals given years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Finally, CMBS represents a small and targeted allocation, focused on deals backed by trophy collateral and/or strong, experienced sponsors that can withstand any prospective volatility as the sector undergoes what is likely a slow-moving correction, as well as select IO issues where there is attractive upside potential.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWORX (Inception: August 2, 2021)		8.60%		9.55%		—		—		—	-0.39%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		8.73%		11.15%		—		—		—	1.43%
MWOPX (Inception: August 2, 2021)		8.74%		9.66%		—		—		—	-0.20%
Bloomberg U.S. Corporate High Yield Index 2% Issuer Cap		8.73%		11.15%		—		—		—	1.43%

Metropolitan West Strategic Income Fund

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

The MetWest Strategic Income Fund – I Class (“Fund”) returned 7.10% (net of fees) for the 12-month period ending March 31, 2024, finishing behind the ICE BofA U.S. 3-Month Treasury Bill Index + 200 bps (“Index”) by 24 bps. Given the increase in yields across the U.S. Treasury curve during the period, the Fund’s positive duration position was the largest detractor from relative performance. Despite the higher rate environment, investor sentiment remained positive and decidedly risk-on, especially later in the year, helping lead fixed income credit and yield spread sectors to outperformance relative to risk-free Treasuries. As

9 / Annual Report March 2024

such, the Fund’s broad-based fixed income exposure across sectors benefitted relative returns, driven by allocations to securitized products. Non-agency MBS issues contributed the most as continued investor demand and strong fundamentals led to price appreciation, with legacy (pre-GFC) issues and credit risk transfer (CRT) deals in the Fund providing a boost. CMBS and ABS exposure was also additive, with each sector similarly benefitting from increased demand and broader risk-on macro backdrop, while agency MBS holdings had little impact for the full-year period. Turning to the position among corporates, outright exposure maintained throughout the year rewarded returns, while the ongoing improvement in pricing and valuations across industries provided opportunity to trim exposure and capitalize on holdings that had moved above fair value. From an issue selection standpoint, contributions were led by banks, communications, midstream energy, aerospace, and select Euro-denominated bonds as European corporate markets outperformed robust U.S. corporate markets late in the period.

Duration positioning remains longer than typical with an emphasis on the front end of the yield curve given our view that rates are restrictive and above fair value, especially in a slowing economy where inflation has generally been on a downward trend. Sector positioning currently emphasizes high-quality securitized product opportunities offering attractive risk-adjusted yields, where non-agency MBS represents the largest position given good yields and solid fundamentals after years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current on repayments and insulating bondholders from potential losses. Agency MBS also represents a sizable position, and while nominal spreads in the sector have come down from the peaks observed last May and October, they remain wide relative to historical averages and other high-quality fixed income products, creating compelling relative value that is further supported by the government guarantee and liquid nature of the sector. Meanwhile, CMBS represents a smaller and more targeted allocation, focused on select interest-only bonds and deals backed by trophy collateral and/or strong, experienced sponsors that can withstand any prospective volatility in the sector as it undergoes what is likely a slow-moving correction. ABS exposure similarly reflects targeted allocations given the challenges weaker structures or those backed by unsecured collateral are likely to face in a slowing economy, with single family rentals, AAA- and mezzanine CLOs, and FFELP student loans comprising the bulk of the exposure. Finally, market valuations throughout corporate credit present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from current levels is small, while the risk of significant widening as the sector reprices to a potentially slowing economy is high. As such, the Fund capitalized on market strength to reduce exposure across investment grade and high yield corporates and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)	10 Year (Annualized)	Since Inception (Annualized)
MWSTX (Inception: June 30, 2003)		6.06%		6.67%		1.07%	2.53%	2.41%	3.73%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		3.52%		7.16%		4.51%	3.98%	3.36%	3.51%
MWSIX (Inception: March 31, 2004)		6.19%		7.10%		1.31%	2.74%	2.65%	3.35%
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps		3.52%		7.16%		4.51%	3.98%	3.36%	3.53%

Metropolitan West Sustainable Securitized Fund

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

The MetWest Sustainable Securitized Fund – I Class (“Fund”) delivered a total return of 4.67% (net of fees) for the 12-month period ending March 31, 2024, outperforming the Bloomberg U.S. Mortgage-Backed Securities (MBS) Index (“Index”) by 328 bps. Given the increase in yields across the U.S. Treasury curve during the period, the Fund’s positive duration position detracted from relative performance. Despite the higher rate environment, investor sentiment remained positive and decidedly risk-on, especially later in the year, helping lead fixed income credit and yield spread sectors to outperformance relative to risk-free Treasuries. Agency MBS outperformed Treasuries by 100 basis points over the period, despite lagging in the first half of the period given the historically cheap (and cheapening) levels. As a result, the Fund’s structural underweight to this sector reflected a sizable drag on relative returns. However, this drag was sizably offset by the Fund’s exposure to securitized credit, with holdings across non-agency residential and commercial mortgages, and various ABS sectors. Non-agency CMBS holdings, which are concentrated in single asset, single borrower (SASB) properties with sustainable characteristics, represented the largest contributor to performance. Non-agency MBS also continued to provide attractive risk-adjusted returns given the strength of underlying collateral, underpinned by home price appreciation over recent years that has lowered loan-to-value ratios, increased homeowner equity, and effectively de-leveraged many non-agency MBS deals. Fund holdings of re-securitized legacy collateral provided a sizable boost to the Funds outperformance. Elsewhere in securitized, ABS performed well over the period adding to relative returns.

Annual Report March 2024 / 10

Duration positioning remains longer than typical with an emphasis on the front end of the yield curve given our view that rates are restrictive and above fair value, especially in a slowing economy where inflation has generally been on a downward trend. Residential MBS represents the largest exposure, reflected in a market value allocation to agency MBS. This sector also presents the best opportunities to achieve important allocations to affordable housing. Meanwhile, non-agency MBS remains among the best values in fixed income with good yields and solid fundamentals, within select non-agency exposures that are aligned to social objectives, such as the legacy re-performing loans and manufactured housing. Finally, non-agency CMBS is a sector with both prospective volatility and opportunity, where many of the most compelling opportunities are trophy properties that have green attributes. These properties command rental premiums and have seen relatively ‘sticky’ tenant demand. Market liquidity and demand remain plentiful for these trophy properties, while deals backed by weaker collateral are likely to see principal losses and falling prices on continued materialization of commercial market stress, especially in more subordinated tranches.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWERX (Inception: October 1, 2021)		9.15%		4.33%		—		—		—		-3.51%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		6.36%		1.39%		—		—		—		-3.56%
MWESX (Inception: October 1, 2021)		9.25%		4.67%		—		—		—		-3.45%
Bloomberg U.S. Mortgage-Backed Securities (MBS) Index		6.36%		1.39%		—		—		—		-3.56%

Metropolitan West Total Return Bond Fund

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

Plan-Class (MWTSX)

The MetWest Total Return Bond Fund – I Class (“Fund”) gained 1.45% (net of fees) for the 12-month period ended March 31, 2024, while the Bloomberg U.S. Aggregate Bond Index (“Index”) gained 1.70%. Underperformance for the period was largely due to the Fund’s duration position, which remained longer than the Index throughout the year after moving to an overweight position in 2022. Additionally, the Fund benefitted early in the period from an overweight position in corporate credit versus the Index as yield premiums fell, but the continued rally throughout the year prompted disciplined trimming of the Fund’s position, leading to a growing underweight that weighed on returns. This was more than offset by meaningful contributions from issue selection, particularly among communications, consumer non-cyclicals, consumer cyclicals, and REITs, while Euro-denominated issues added modestly later in the period as European corporate markets outpaced robust U.S. corporate markets. Turning to securitized sectors, the overweight to agency MBS was a headwind in the first half of the period given the historically cheap (and cheapening) levels but bounced back in the second half with strong returns in 4Q23 and March 2024. During this period, overweight positioning was extended in a disciplined fashion. Away from agency-backed collateral, non-agency MBS generally performed well over the period given improved investor optimism regarding the future trajectory of home prices and increased investor demand in the space. Additionally, their largely floating rate structures and minimal interest rate duration profiles have benefitted performance in the rising rate environment. Similarly, the Fund’s CLO position contributed for the period as their floating rate nature mitigated the impact of rising rates while falling yield premiums helped propel the sector to outperformance relative to duration-matched Treasuries.

Given expectations for a steeper curve, duration positioning remains overweight relative to the Index, finishing the quarter approximately 0.8 years long with an emphasis on front-end yields. Turning to sector positioning, exposures currently emphasize high-quality securitized product opportunities offering attractive risk-adjusted yields, where agency MBS represents the largest outright and relative position. Though nominal spreads for the sector have tightened from the wide levels observed in 2023, they remain cheap relative to both historical standards and other high-quality segments of the market, providing yield pickup without undertaking credit risk given the government guarantee. Non-agency MBS also exhibits good yields and solid fundamentals given years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Meanwhile, CMBS represents a small and targeted allocation, focused on deals backed by trophy collateral and/or strong, experienced sponsors that can withstand any prospective volatility in the sector as it undergoes what is likely a slow-moving correction. ABS positions similarly reflect targeted allocations given the challenges weaker structures or those backed by unsecured collateral are likely to face in a slowing economy, with FFELP student loans and senior CLO tranches comprising the bulk of the exposure. Turning to corporate credit,

11 / Annual Report March 2024

current market valuations present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from these levels is small, while the risk of significant widening as the sector reprices to a slowing economy is high. As such, the Fund capitalized on market strength to reduce exposure and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility.

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWTRX (Inception: March 31, 1997)		6.44%		1.24%		-3.23%		0.20%		1.33%	4.94%
Bloomberg U.S. Aggregate Bond Index		5.99%		1.70%		-2.45%		0.36%		1.54%	4.23%
MWTIX (Inception: March 31, 2000)		6.55%		1.45%		-3.02%		0.42%		1.56%	4.72%
Bloomberg U.S. Aggregate Bond Index		5.99%		1.70%		-2.45%		0.36%		1.54%	3.92%
MWTTX (Inception: March 6, 2020)		6.52%		1.39%		-3.10%		—		—	-2.14%
Bloomberg U.S. Aggregate Bond Index		5.99%		1.70%		-2.45%		—		—	-1.79%
MWTNX (Inception: December 18, 2009)		6.37%		1.12%		-3.34%		0.09%		1.23%	2.79%
Bloomberg U.S. Aggregate Bond Index		5.99%		1.70%		-2.45%		0.36%		1.54%	2.28%
MWTSX (Inception: July 31, 2011)		6.63%		1.58%		-2.96%		0.51%		1.63%	2.44%
Bloomberg U.S. Aggregate Bond Index		5.99%		1.70%		-2.45%		0.36%		1.54%	1.79%

Metropolitan West Ultra Short Bond Fund

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

For the twelve-month period ending March 31, 2024, the MetWest Ultra Short Bond Fund –I Class (“Fund”) gained 4.31% (net of fees) to finish in line with the ICE BofA 1-Year U.S. Treasury Index (“Index”). With improved investor optimism over the period and accompanying risk-on sentiment resulting in outperformance relative to U.S. Treasuries for nearly every fixed income sector, the Fund’s broad-based exposures contributed favorably to relative returns. Securitized products provided the largest benefit, led by short duration non-agency MBS issues that provided steady cash flows and experienced an increase in prices over the year on heightened demand. Agency MBS holdings also contributed given a sizeable position in floating rate CMOs, which helped to offset some of the negative impacts arising from rate volatility. Similarly, ABS exposure benefitted Fund performance, led by CLOs and single-family rental collateral, while non-agency CMBS issues contributed given strong performance amid the broader risk-on backdrop. Meanwhile, the allocation to short investment grade corporates was beneficial as they bested short-duration Treasuries, with favorable issue selection among banking, REITs and packaging names providing an additional boost. Finally, the Fund’s duration position, which was longer than the Index throughout the period, weighed on relative performance given the increase in Treasury yields over the year.

Duration positioning remains longer than the Index with a focus on front-end yields given our view that rates are restrictive and above fair value, especially in a slowing economy where inflation has generally been on a downward trend. Sector positioning currently emphasizes high-quality securitized product opportunities offering attractive risk-adjusted yields, with a focus on agency MBS. Though nominal spreads have come down from the peaks observed last May and October, they remain wide relative to historical averages and other high-quality fixed income products, creating compelling relative value that is further supported by the government guarantee and liquid nature of the sector. Non-agency MBS also offers good yields and solid fundamentals after years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Meanwhile, CMBS represents a smaller and more targeted allocation with a focus on high-quality collateral and sponsors, while ABS exposure emphasizes AAA-rated CLOs and automobile collateral. Turning to corporate credit, current market valuations present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from these levels is small, while the risk of significant widening as the sector reprices to a potentially slowing economy is high. As such, the Fund capitalized on market strength to reduce exposure and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility.

Annual Report March 2024 / 12

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWUSX (Inception: June 30, 2003)		3.78%		4.14%		1.14%		1.26%		1.11%	1.72%
ICE BofA 1-Year U.S. Treasury Index		2.63%		4.30%		1.44%		1.66%		1.25%	1.63%
MWUIX (Inception: July 31, 2004)		3.86%		4.31%		1.31%		1.42%		1.27%	1.63%
ICE BofA 1-Year U.S. Treasury Index		2.63%		4.30%		1.44%		1.66%		1.25%	1.67%

Metropolitan West Unconstrained Bond Fund

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

The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 5.87% (net of fees) for the 12-month period ended March 31,

2024, while the Bloomberg U.S. Treasury Bills: 1-3 Months Index (“Index”) gained 5.37%. Despite Treasury yields moving higher from the low levels observed following last March’s U.S. banking sector struggles, fixed income spread products posted sizeable excess returns versus duration-matched Treasuries given growing optimism for a soft-landing and persistent risk-on sentiment that helped drive yield spreads tighter. As such, the Fund’s exposure to spread products, including corporate and securitized credit, benefitted relative returns and drove outperformance versus the Index. Broad-based corporate credit provided the largest contribution given a tightening of credit spreads by 48 and 156 bps for investment grade and high yield corporates, respectively, with favorable issue selection among banking, cable satellite, and media names also contributing. Meanwhile, the improved macro tone and risk-on backdrop drove spread compression across securitized products as well, leading to sizeable contributions to Fund performance from the non-agency MBS, ABS and CMBS sectors, with more subordinated tranches providing the largest benefit given outsized spread compression. Non-agency MBS generally performed well over the period given improved investor optimism regarding the future trajectory of home prices and increased investor demand in the space. Additionally, their largely floating rate structures and minimal interest rate duration profiles have benefitted performance in the rising rate environment. Similarly, the Fund’s CLO position contributed for the period as their floating rate nature mitigated the impact of rising rates while falling yield premiums helped propel the sector to outperformance relative to duration-matched Treasuries. Higher rates, however, did weigh on Fund performance given the positive duration position, which was extended modestly throughout the period to 3.2 years.

Duration positioning ended the quarter at approximately 3.2 years given our view that rates are restrictive and above fair value, especially in a slowing economy where inflation has generally been on a downward trend. Sector positioning currently emphasizes high-quality securitized product opportunities offering attractive risk-adjusted yields, where non-agency MBS represents the largest outright position given good yields and solid fundamentals after years of amortization and housing price appreciation that has built up substantial equity in the underlying properties, incentivizing homeowners to remain current and insulating bondholders from potential losses. Agency MBS also represents a sizable position, and while nominal spreads in the sector have come down from the peaks observed last May and October, they remain wide relative to historical averages and other high-quality fixed income products, creating compelling relative value that is further supported by the government guarantee and liquid nature of the sector. Meanwhile, CMBS represents a smaller and more targeted allocation, focused on deals backed by trophy collateral and/or strong, experienced sponsors that can withstand any prospective volatility in the sector as it undergoes what is likely a slow-moving correction. ABS positions similarly reflect targeted allocations given the challenges weaker structures or those backed by unsecured collateral are likely to face in a slowing economy, with FFELP student loans, single family rentals, and senior CLO tranches comprising the bulk of the exposure. Turning to corporate credit, current market valuations present an asymmetrical risk and reward profile; the likelihood of spreads compressing meaningfully from these levels is small, while the risk of significant widening as the sector reprices to a slowing economy is high. As such, the Fund capitalized on market strength to reduce exposure across investment grade and high yield corporates and migrate higher up the quality spectrum, with remaining positions emphasizing defensive sectors like communications, non-cyclicals, and those not typically prone to cyclical volatility.

13 / Annual Report March 2024

	Performance Through March 31, 2024
	6 Months (Cumulative)		1 Year (Annualized)		3 Year (Annualized)		5 Year (Annualized)		10 Year (Annualized)		Since Inception (Annualized)
MWCRX (Inception: September 30, 2011)		5.88%		5.57%		0.09%		1.68%		2.04%	3.84%
Bloomberg U.S. Treasury Bills: 1-3 Months Index		2.72%		5.37%		2.65%		2.02%		1.36%	1.10%
MWCIX (Inception: September 30, 2011)		6.03%		5.87%		0.37%		1.97%		2.33%	4.12%
Bloomberg U.S. Treasury Bills: 1-3 Months Index		2.72%		5.37%		2.65%		2.02%		1.36%	1.10%
MWCPX (Inception: March 6, 2020)		6.06%		5.93%		0.46%		—		—	1.26%
Bloomberg U.S. Treasury Bills: 1-3 Months Index		2.72%		5.37%		2.65%		—		—	2.02%

A Disciplined Value Philosophy

Difficult economic and market conditions, no doubt, test the patience of investors and the discipline of asset managers. The upside, if we can cite one, is that cheaper prices create opportunities for better entry points, and a tendency for excessive risk aversion, that is, panic selling, which amplifies mispricing. This remains especially true in fixed income, as the size, structure and segmentation of the market continue to be a place where active strategy and disciplined implementation can generate outperformance and moderate risk under a value-oriented approach. The Funds and its management are unwavering in that commitment and have been for more than 25 years.

Thank you again for your investment in the Metropolitan West Funds. Our entire team looks forward to continuing to assist you in the fulfillment of your financial goals.

Sincerely,

Megan McClellan

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.

The views and forecasts expressed here are as of May 2024, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.

This report must be preceded or accompanied by a prospectus.

Annual Report March 2024 / 14

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 29.17% and 13.02%, 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 3.15% and 2.75%, 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 3.52% and 3.03%, 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 $11,874.

15 / Annual Report March 2024

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 5.64% and 6.01%, 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 5.77% and 6.18%, 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 $13,768.

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 Morningstar LSTA U.S. Leveraged Loan Index. The one year and average annual 10 year total returns for the Metropolitan West Floating Rate Income Fund Class M were 11.36% and 3.66%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Floating Rate Income Fund Class I, the one year and average 10 year total returns were 11.58% and 3.86%, 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 $14,611.

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 11.32% and 4.45%, 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 $11,477.

Annual Report March 2024 / 16

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 8.64% and 3.40%, 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 8.91% and 3.66%, 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 $14,321.

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 1.80% and 1.30%, 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 2.12% and 1.53%, 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 $11,635.

17 / Annual Report March 2024

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 4.01% and 3.02%, 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 4.23% and 3.23%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $12,007.

Metropolitan West Low Duration Bond Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the ICE BofA 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were 3.82% and 1.25%, respectively. The graph assumes that distributions were reinvested.

For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns were 4.03% and 1.46%, 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 $11,560.

For the Metropolitan West Low Duration Bond Fund Administrative Class, the one year and average annual 10 year total returns were 3.77% and 1.15%, 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 $11,210.

Annual Report March 2024 / 18

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 one year and average annual since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class M were 9.55% and -0.39%, respectively. 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 one year and average annual since inception total return for the Metropolitan Opportunistic High Income Credit Fund Class I were 9.66% and -0.20%, respectively. 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 $9,946.

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 6.67% and 2.41%, 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 7.10% and 2.65%, 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 $12,988.

19 / Annual Report March 2024

Metropolitan West Sustainable Securitized Fund – Class M

Total Return Performance

The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Sustainable Securitized Fund Class M with the performance of the Bloomberg U.S. Mortgage-Backed Securities (MBS) Index. The one year and average annual since inception total return for the Metropolitan West Sustainable Securitized Fund Class M were 4.33% and -3.51%, respectively. The inception date for Class M was October 1, 2021. The graph assumes that distributions were reinvested.

The inception date for the Metropolitan West Sustainable Securitized Fund Class I was October 1, 2021. The one year and average annual since inception total return for the Metropolitan West Sustainable Securitized Fund Class I were 4.67% and -3.45%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Sustainable Securitized Fund Class I shares would have been valued at $9,160.

Annual Report March 2024 / 20

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 1.24% and 1.33%, 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 1.45% and 1.56%, 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 $11,678.

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 1.39% and -2.14%, 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 $9,156.

For the Metropolitan West Total Return Bond Fund Administrative Class, the one year and average annual 10 year total returns were 1.12% and 1.23%, 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 $11,299.

For the Metropolitan West Total Return Bond Fund Plan Class, the one year and average annual 10 year total returns were 1.58% and 1.63%, 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 $11,760.

21 / Annual Report March 2024

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 4.14% and 1.11%, 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 4.31% and 1.27%, 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 $11,346.

Annual Report March 2024 / 22

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 Bloomberg U.S. Treasury Bills: 1-3 Months Index. The one year and average annual 10 year total returns for the Metropolitan West Unconstrained Bond Fund Class M were 5.57% and 2.04%, respectively. The graph assumes that distributions were reinvested.

* Benchmark changed to Bloomberg U.S. Treasury Bills: 1-3 Months Index from ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index effective 7/29/2023, because the Bloomberg U.S. Treasury Bills: 1-3 Months Index is more representative of the fixed income securities market characteristics that the Fund seeks to replicate or exceed.

For the Metropolitan West Unconstrained Bond Fund Class I, the one year and average annual 10 year total returns were 5.87% and 2.33%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $12,591.

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 5.93% and 1.26%, 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 $10,522.

23 / Annual Report March 2024

Metropolitan West Funds

Disclosure of Fund Expenses (Unaudited)

For the Six Months Ended March 31, 2024

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 10/01/23	Ending Account Value 03/31/24	Expense Ratio1	Expenses  Paid  During  Period2
ALPHATRAK 500 FUND
Actual Fund Return	$1,000.00	$1,243.14	0.45%	$2.52
Hypothetical 5% Return	$1,000.00	$1,022.75	0.45%	$2.28
CORPORATE BOND FUND
Actual Fund Return
Class M	$1,000.00	$1,078.82	0.75%	$3.90
Class I	$1,000.00	$1,081.36	0.50%	$2.60
Hypothetical 5% Return
Class M	$1,000.00	$1,021.25	0.75%	$3.79
Class I	$1,000.00	$1,022.50	0.50%	$2.53
FLEXIBLE INCOME FUND
Actual Fund Return
Class M	$1,000.00	$1,065.58	0.80%	$4.13
Class I	$1,000.00	$1,068.31	0.55%	$2.84
Hypothetical 5% Return
Class M	$1,000.00	$1,021.00	0.80%	$4.04
Class I	$1,000.00	$1,022.25	0.55%	$2.78

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 183 days then divided by 366 (to reflect the one-half year period shown).

Annual Report March 2024 / 24

	Beginning Account Value 10/01/23		Ending Account Value 03/31/24		Expense Ratio1		Expenses  Paid  During  Period2
FLOATING RATE INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,054.37		0.90%		$4.62
Class I		$1,000.00		$1,055.40		0.70%		$3.60
Plan Class		$1,000.00		$1,055.93		0.60%		$3.08
Hypothetical 5% Return
Class M		$1,000.00		$1,020.50		0.90%		$4.55
Class I		$1,000.00		$1,021.50		0.70%		$3.54
Plan Class		$1,000.00		$1,022.00		0.60%		$3.03
HIGH YIELD BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,075.85		0.85%		$4.41
Class I		$1,000.00		$1,078.38		0.60%		$3.12
Hypothetical 5% Return
Class M		$1,000.00		$1,020.75		0.85%		$4.29
Class I		$1,000.00		$1,022.00		0.60%		$3.03
INTERMEDIATE BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,045.79		0.70%		$3.58
Class I		$1,000.00		$1,046.90		0.48%		$2.46
Hypothetical 5% Return
Class M		$1,000.00		$1,021.50		0.70%		$3.54
Class I		$1,000.00		$1,022.60		0.48%		$2.43
INVESTMENT GRADE CREDIT FUND
Actual Fund Return
Class M		$1,000.00		$1,059.17		0.70%		$3.60
Class I		$1,000.00		$1,061.69		0.49%		$2.53
Hypothetical 5% Return
Class M		$1,000.00		$1,021.50		0.70%		$3.54
Class I		$1,000.00		$1,022.55		0.49%		$2.48
LOW DURATION BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,042.70		0.61%		$3.12
Class I		$1,000.00		$1,043.72		0.41%		$2.09
Administrative Class		$1,000.00		$1,042.30		0.70%		$3.57
Hypothetical 5% Return
Class M		$1,000.00		$1,021.95		0.61%		$3.08
Class I		$1,000.00		$1,022.95		0.41%		$2.07
Administrative Class		$1,000.00		$1,021.50		0.70%		$3.54
OPPORTUNISTIC HIGH INCOME CREDIT FUND
Actual Fund Return
Class M		$1,000.00		$1,086.03		0.85%		$4.43
Class I		$1,000.00		$1,087.42		0.60%		$3.13
Hypothetical 5% Return
Class M		$1,000.00		$1,020.75		0.85%		$4.29
Class I		$1,000.00		$1,022.00		0.60%		$3.03

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 183 days then divided by 366 (to reflect the one-half year period shown).

25 / Annual Report March 2024

	Beginning Account Value 10/01/23		Ending Account Value 03/31/24		Expense Ratio1		Expenses  Paid  During  Period2
STRATEGIC INCOME FUND
Actual Fund Return
Class M		$1,000.00		$1,060.61		1.03%		$5.31
Class I		$1,000.00		$1,061.90		0.80%		$4.12
Hypothetical 5% Return
Class M		$1,000.00		$1,019.85		1.03%		$5.20
Class I		$1,000.00		$1,021.00		0.80%		$4.04
SUSTAINABLE SECURITIZED FUND
Actual Fund Return
Class M		$1,000.00		$1,091.46		0.70%		$3.66
Class I		$1,000.00		$1,092.51		0.49%		$2.56
Hypothetical 5% Return
Class M		$1,000.00		$1,021.50		0.70%		$3.54
Class I		$1,000.00		$1,022.55		0.49%		$2.48
TOTAL RETURN BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,064.44		0.64%		$3.30
Class I		$1,000.00		$1,065.50		0.44%		$2.27
Class I-2		$1,000.00		$1,065.16		0.51%		$2.63
Administrative Class		$1,000.00		$1,063.68		0.77%		$3.97
Plan Class		$1,000.00		$1,066.30		0.36%		$1.86
Hypothetical 5% Return
Class M		$1,000.00		$1,021.80		0.64%		$3.23
Class I		$1,000.00		$1,022.80		0.44%		$2.23
Class I-2		$1,000.00		$1,022.45		0.51%		$2.58
Administrative Class		$1,000.00		$1,021.15		0.77%		$3.89
Plan Class		$1,000.00		$1,023.20		0.36%		$1.82
ULTRA SHORT BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,037.78		0.50%		$2.55
Class I		$1,000.00		$1,038.58		0.34%		$1.73
Hypothetical 5% Return
Class M		$1,000.00		$1,022.50		0.50%		$2.53
Class I		$1,000.00		$1,023.30		0.34%		$1.72
UNCONSTRAINED BOND FUND
Actual Fund Return
Class M		$1,000.00		$1,059.80		1.03%		$5.30
Class I		$1,000.00		$1,061.36		0.74%		$3.81
Plan Class		$1,000.00		$1,061.66		0.69%		$3.56
Hypothetical 5% Return
Class M		$1,000.00		$1,019.85		1.03%		$5.20
Class I		$1,000.00		$1,021.30		0.74%		$3.74
Plan Class		$1,000.00		$1,021.55		0.69%		$3.49

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 183 days then divided by 366 (to reflect the one-half year period shown).

Annual Report March 2024 / 26

Metropolitan West Funds

Summary of Portfolio Holdings (Unaudited)

March 31, 2024

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	22.85%
Mutual Funds	15.14%
U.S. Agency Mortgage-Backed	14.47%
Asset-Backed Securities	14.07%
U.S. Treasury Bills	13.49%
U.S. Treasury Securities	10.57%
Money Market Funds	8.03%
Non-Agency Mortgage-Backed	5.74%
Non-Agency Commercial Mortgage-Backed	5.58%
U.S. Agency Commercial Mortgage-Backed	1.05%
Municipal Bonds	0.82%
Common Stock	0.07%
Other*	(11.88)%
Total	100.00%
CORPORATE BOND FUND
Sector Diversification
Corporate Bonds	80.42%
U.S. Treasury Securities	13.87%
Money Market Funds	4.74%
Municipal Bonds	2.16%
Asset-Backed Securities	0.64%
U.S. Agency Commercial Mortgage-Backed	0.33%
U.S. Agency Mortgage-Backed	0.15%
Non-Agency Commercial Mortgage-Backed	0.04%
Other*	(2.35)%
Total	100.00%
FLEXIBLE INCOME FUND
Sector Diversification
Corporate Bonds	24.22%
U.S. Agency Mortgage-Backed	22.07%
Non-Agency Mortgage-Backed	20.66%
Asset-Backed Securities	13.69%
U.S. Treasury Bills	12.70%
Money Market Funds	10.16%
Non-Agency Commercial Mortgage-Backed	6.28%
U.S. Treasury Securities	6.12%
Bank Loans	4.75%
Foreign Government Obligations	1.32%
U.S. Agency Commercial Mortgage-Backed	0.67%
Municipal Bonds	0.20%
Common Stock	0.15%
Warrant	0.00%
Other*	(22.99)%
Total	100.00%

FLOATING RATE INCOME FUND
Sector Diversification
Bank Loans	91.58%
Money Market Funds	6.73%
Corporate Bonds	2.58%
U.S. Treasury Bills	1.55%
Asset-Backed Securities	0.97%
Preferred Stock	0.16%
Common Stock	0.08%
Warrant	0.00%
Other*	(3.65)%
Total	100.00%
HIGH YIELD BOND FUND
Sector Diversification
Corporate Bonds	74.22%
Bank Loans	15.41%
U.S. Treasury Bills	6.37%
Money Market Funds	2.20%
Common Stock	0.56%
Warrant	0.00%
Other*	1.24%
Total	100.00%
INTERMEDIATE BOND FUND
Sector Diversification
U.S. Treasury Securities	44.90%
Corporate Bonds	20.15%
U.S. Agency Mortgage-Backed	14.69%
Money Market Funds	11.20%
U.S. Treasury Bills	10.92%
Non-Agency Mortgage-Backed	6.59%
Asset-Backed Securities	5.97%
Non-Agency Commercial Mortgage-Backed	2.99%
Bank Loans	0.95%
Municipal Bonds	0.82%
U.S. Agency Commercial Mortgage-Backed	0.27%
Common Stock	0.04%
Other*	(19.49)%
Total	100.00%

27 / Annual Report March 2024

INVESTMENT GRADE CREDIT FUND
Sector Diversification
Corporate Bonds	45.04%
U.S. Treasury Securities	27.74%
U.S. Agency Mortgage-Backed	13.30%
Money Market Funds	9.25%
Non-Agency Commercial Mortgage-Backed	6.68%
Non-Agency Mortgage-Backed	5.67%
Asset-Backed Securities	4.94%
Municipal Bonds	1.50%
U.S. Agency Commercial Mortgage-Backed	0.09%
Other*	(14.21)%
Total	100.00%
LOW DURATION BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed	28.04%
U.S. Treasury Securities	26.02%
Corporate Bonds	25.96%
Non-Agency Mortgage-Backed	15.99%
Money Market Funds	12.16%
Non-Agency Commercial Mortgage-Backed	10.37%
Asset-Backed Securities	7.82%
U.S. Treasury Bills	4.21%
Bank Loans	1.50%
U.S. Agency Commercial Mortgage-Backed	1.18%
Municipal Bonds	1.10%
Common Stock	0.00%
Other*	(34.35)%
Total	100.00%
OPPORTUNISTIC HIGH INCOME CREDIT FUND
Sector Diversification
Corporate Bonds	39.69%
Money Market Funds	14.16%
Common Stock	12.40%
U.S. Treasury Bills	10.00%
Non-Agency Mortgage-Backed	7.75%
U.S. Treasury Securities	6.48%
Bank Loans	4.92%
Non-Agency Commercial Mortgage-Backed	3.34%
Master Limited Partnerships	3.00%
U.S. Agency Commercial Mortgage-Backed	0.12%
Other*	(1.86)%
Total	100.00%

STRATEGIC INCOME FUND
Sector Diversification
Non-Agency Mortgage-Backed	27.68%
Corporate Bonds	24.67%
U.S. Treasury Bills	19.19%
U.S. Agency Mortgage-Backed	15.97%
Asset-Backed Securities	14.90%
Money Market Funds	5.20%
Non-Agency Commercial Mortgage-Backed	4.15%
U.S. Treasury Securities	3.23%
U.S. Agency Commercial Mortgage-Backed	0.46%
Municipal Bonds	0.13%
Common Stock	0.10%
Other*	(15.68)%
Total	100.00%
SUSTAINABLE SECURITIZED FUND
Sector Diversification
U.S. Agency Mortgage-Backed	50.49%
U.S. Treasury Securities	21.95%
Asset-Backed Securities	15.57%
Non-Agency Commercial Mortgage-Backed	13.28%
Money Market Funds	12.28%
Non-Agency Mortgage-Backed	6.63%
U.S. Agency Commercial Mortgage-Backed	3.25%
Other*	(23.45)%
Total	100.00%
TOTAL RETURN BOND FUND
Sector Diversification
U.S. Agency Mortgage-Backed	38.80%
U.S. Treasury Securities	32.80%
Corporate Bonds	19.18%
Non-Agency Mortgage-Backed	9.61%
Money Market Funds	9.35%
Asset-Backed Securities	5.07%
Non-Agency Commercial Mortgage-Backed	3.93%
U.S. Agency Discount Notes	3.44%
Bank Loans	1.39%
Repurchase Agreements	0.96%
U.S. Treasury Bills	0.92%
U.S. Agency Commercial Mortgage-Backed	0.76%
Foreign Government Obligations	0.61%
Municipal Bonds	0.33%
Common Stock	0.13%
Other*	(27.28)%
Total	100.00%

Annual Report March 2024 / 28

ULTRA SHORT BOND FUND
Sector Diversification
U.S. Treasury Securities	37.52%
U.S. Agency Mortgage-Backed	27.61%
Corporate Bonds	22.32%
Money Market Funds	12.73%
U.S. Treasury Bills	11.79%
Non-Agency Mortgage-Backed	10.53%
Asset-Backed Securities	3.52%
U.S. Agency Commercial Mortgage-Backed	3.35%
Non-Agency Commercial Mortgage-Backed	3.02%
Municipal Bonds	0.36%
Other*	(32.75)%
Total	100.00%

UNCONSTRAINED BOND FUND
Sector Diversification
Non-Agency Mortgage-Backed	32.05%
U.S. Agency Mortgage-Backed	20.81%
Corporate Bonds	20.80%
Asset-Backed Securities	14.00%
Non-Agency Commercial Mortgage-Backed	9.32%
U.S. Treasury Bills	6.71%
Money Market Funds	3.87%
Bank Loans	3.20%
Foreign Government Obligations	1.84%
U.S. Agency Commercial Mortgage-Backed	1.03%
U.S. Treasury Securities	0.81%
U.S. Agency Discount Notes	0.77%
Common Stock	0.37%
Municipal Bonds	0.32%
Other*	(15.90)%
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.

29 / Annual Report March 2024

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 75.15%
ASSET-BACKED SECURITIES — 14.07%**
Access Group, Inc.,
Series 2015-1, Class A
(SOFR30A plus 0.81%)
6.13%		07/25/561,2	$	7,087	$	7,012
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.71%		10/17/341,2,3		100,000		99,981
Apidos CLO XII,
Series 2013-12A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.34%)
6.66%		04/15/311,2,3		106,532		106,599
Apidos CLO XXII,
Series 2015-22A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.32%)
6.64%		04/20/311,2,3		180,321		180,454
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.21%)
6.53%		07/20/291,2,3		18,761		18,776
Barings CLO Ltd.,
Series 2020-4A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.48%)
6.80%		01/20/321,2,3		90,000		90,068
Carvana Auto Receivables Trust,
Series 2022-P3, Class A3
4.61%		11/10/27		165,000		163,324
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.72%		10/25/341,2,3		100,000		100,055
Dryden 58 CLO Ltd.,
Series 2018-58A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.26%)
6.58%		07/17/311,2,3		143,753		143,800
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.16%)
6.48%		04/15/291,2,3		34,120		34,098
Eaton Vance CLO Ltd.,
Series 2020-1A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.43%)
6.75%		10/15/341,2,3		150,000		150,147
Exeter Automobile Receivables Trust,
Series 2021-1A, Class D
1.08%		11/16/26		118,158		115,246

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Exeter Automobile Receivables Trust,
Series 2022-6A, Class C
6.32%		05/15/28	$	130,000	$	130,830
Flagship Credit Auto Trust,
Series 2021-1, Class C
0.91%		03/15/272		116,542		113,790
GLS Auto Receivables Issuer Trust,
Series 2020-4A, Class D
1.64%		10/15/262		128,530		126,216
GoldenTree Loan Management U.S. CLO 4 Ltd.,
Series 2019-4A, Class ARR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.15%)
6.48%		04/24/311,2,3		150,000		150,152
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%		10/20/341,2,3		140,000		140,183
LCM 29 Ltd.,
Series 29A, Class XR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.06%)
6.38%		04/15/311,2,3		11,364		11,362
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class AR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.26%)
6.58%		07/21/301,2,3		159,422		159,562
Navient Student Loan Trust,
Series 2014-1, Class A3
(SOFR30A plus 0.62%)
5.94%		06/25/311		52,246		51,576
Nelnet Student Loan Trust,
Series 2014-3A, Class A
(SOFR30A plus 0.69%)
6.01%		06/25/411,2		7,401		7,303
NYACK Park CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(CME Term SOFR 3-Month plus 0.91%)
6.23%		10/20/341,2,3		35,357		35,329
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%		11/20/301,2,3		60,392		60,469
Octagon Investment Partners 35 Ltd.,
Series 2018-1A, Class A1A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.32%)
6.64%		01/20/311,2,3		137,199		137,323
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
6.61%		02/24/371,2,3		115,000		115,117

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 30

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.71%		01/17/311,2,3	$	44,039	$	44,071
Palmer Square Loan Funding Ltd.,
Series 2022-3A, Class A1BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.40%)
6.72%		04/15/311,2,3		150,000		150,074
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.45%)
6.77%		10/20/301,2,3		98,142		98,383
Rockford Tower CLO Ltd.,
Series 2018-2A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.42%)
6.74%		10/20/311,2,3		140,906		141,109
Santander Drive Auto Receivables Trust,
Series 2022-2, Class C
3.76%		07/16/29		160,000		155,290
Santander Drive Auto Receivables Trust,
Series 2022-4, Class C
5.00%		11/15/29		160,000		158,142
SLM Student Loan Trust,
Series 2008-5, Class A4
(SOFR90A plus 1.96%)
7.32%		07/25/231		55,941		55,905
SLM Student Loan Trust,
Series 2008-6, Class A4
(SOFR90A plus 1.36%)
6.72%		07/25/231		91,915		91,272
SLM Student Loan Trust,
Series 2012-1, Class A3
(SOFR30A plus 1.06%)
6.38%		09/25/281		95,662		92,611
SLM Student Loan Trust,
Series 2012-2, Class A
(SOFR30A plus 0.81%)
6.13%		01/25/291		57,033		55,646
Sofi Professional Loan Program Trust,
Series 2021-B, Class AFX
1.14%		02/15/472		167,667		142,744
Sofi Professional Loan Program, LLC,
Series 2019-A, Class A2FX
3.69%		06/15/482		98,097		94,960
Stratus CLO Ltd.,
Series 2021-2A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.16%)
6.48%		12/28/291,2,3		63,821		63,855
Westlake Automobile Receivables Trust,
Series 2022-2A, Class C
4.85%		09/15/272		150,000		148,569

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Westlake Automobile Receivables Trust,
Series 2023-1A, Class B
5.41%		01/18/282	$	150,000	$	149,328
World Omni Select Auto Trust,
Series 2023-A, Class C
6.00%		01/16/29		150,000		150,351
Total Asset-Backed Securities
(Cost $4,246,939)						4,241,082
CORPORATES — 22.85%*
Banking — 7.38%
Bank of America Corp.
1.73%		07/22/274		250,000		230,635
Bank of America Corp.
(MTN)
2.55%		02/04/284		235,000		218,476
DNB Bank ASA
(Norway)
0.86%		09/30/252,3,4		200,000		195,140
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/253,4		395,000		391,998
ING Groep NV
(Netherlands)
3.87%		03/28/263,4		200,000		196,435
JPMorgan Chase & Co.
0.82%		06/01/254		110,000		109,064
1.04%		02/04/274		25,000		23,135
1.05%		11/19/264		25,000		23,340
2.01%		03/13/264		5,000		4,834
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/273,4		125,000		115,176
3.57%		11/07/283,4		30,000		28,146
PNC Financial Services Group, Inc. (The)
5.58%		06/12/294		15,000		15,192
6.62%		10/20/274		95,000		97,839
U.S. Bancorp
6.79%		10/26/274		135,000		139,892
Wells Fargo & Co.
(MTN)
2.16%		02/11/264		355,000		344,452
2.39%		06/02/284		100,000		91,558
						2,225,312
Communications — 1.14%
AT&T, Inc.
(CME Term SOFR 3-Month plus 1.44%)
6.76%		06/12/241		175,000		175,297
Frontier Communications Holdings LLC
8.63%		03/15/312		22,000		22,484
Qwest Corp.
7.25%		09/15/25		30,000		29,663
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
5.15%		03/20/282		40,000		39,917

See accompanying Notes to Financial Statements.

31 / Annual Report March 2024

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
T-Mobile USA, Inc.
2.63%		04/15/26	$	79,000	$	75,074
						342,435
Consumer Discretionary — 1.06%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/252,3		100,000		98,643
BAT Capital Corp.
3.56%		08/15/27		105,000		99,448
Imperial Brands Finance PLC
(United Kingdom)
6.13%		07/27/272,3		100,000		102,084
Spectrum Brands, Inc.
3.88%		03/15/312		20,000		19,319
						319,494
Diversified REITs — 0.87%
American Tower Corp.
3.60%		01/15/28		115,000		108,649
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32		6,000		5,087
5.75%		06/01/28		95,000		95,145
VICI Properties LP/VICI Note Co., Inc.
4.63%		06/15/252		55,000		54,244
						263,125
Electric — 0.76%
Alliant Energy Finance LLC
5.95%		03/30/292		70,000		72,176
FirstEnergy Pennsylvania Electric Co.
4.15%		04/15/252		50,000		49,158
5.15%		03/30/262		50,000		49,606
FirstEnergy Transmission LLC
2.87%		09/15/282		63,000		57,484
						228,424
Energy — 1.32%
Energy Transfer LP
4.25%		04/01/24		150,000		150,000
5.50%		06/01/27		12,000		12,078
Plains All American Pipeline LP/PAA Finance Corp.
4.65%		10/15/25		125,000		123,388
Southern Co. Gas Capital Corp.
3.88%		11/15/25		100,000		97,500
Venture Global LNG, Inc.
9.50%		02/01/292		15,000		16,182
						399,148
Finance — 3.77%
American Express Co.
6.34%		10/30/264		155,000		157,115
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/272,3		5,000		4,450
Citigroup, Inc.
3.52%		10/27/284		290,000		273,535

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
Goldman Sachs Group, Inc. (The)
1.54%		09/10/274	$	40,000	$	36,554
1.95%		10/21/274		285,000		262,163
Morgan Stanley
(GMTN)
1.51%		07/20/274		320,000		293,802
Nationwide Building Society
(United Kingdom)
2.97%		02/16/282,3,4		115,000		107,327
						1,134,946
Food — 0.28%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
5.13%		02/01/283		85,000		83,801
Health Care — 2.37%
1375209 BC Ltd.
(Canada)
9.00%		01/30/282,3		20,000		19,622
Amgen, Inc.
5.15%		03/02/28		130,000		130,927
Bayer U.S. Finance II LLC
4.25%		12/15/252		165,000		160,936
Embecta Corp.
5.00%		02/15/302		45,000		36,770
Grifols SA
(Spain)
4.75%		10/15/282,3		20,000		16,563
HCA, Inc.
5.25%		06/15/26		155,000		154,591
Humana, Inc.
5.70%		03/13/26		70,000		69,960
IQVIA, Inc.
6.25%		02/01/29		55,000		57,137
Kedrion SpA
(Italy)
6.50%		09/01/292,3		20,000		18,249
ModivCare Escrow Issuer, Inc.
5.00%		10/01/292		15,000		10,895
ModivCare, Inc.
5.88%		11/15/252		5,000		4,874
Prestige Brands, Inc.
3.75%		04/01/312		40,000		34,862
						715,386
Health Care REITs — 0.31%
Healthcare Reality Holdings LP
3.50%		08/01/26		45,000		42,946
Healthcare Realty Holdings LP
3.63%		01/15/28		55,000		50,867
						93,813

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 32

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Industrials — 0.33%
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.64%)
5.91%		05/05/261	$	29,000	$	29,085
(CME Term SOFR 3-Month plus 0.74%)
6.05%		08/15/361		75,000		69,661
						98,746
Information Technology — 0.60%
Open Text Corp.
(Canada)
6.90%		12/01/272,3		70,000		72,268
VMware LLC,
1.00%		08/15/24		110,000		108,092
						180,360
Insurance — 1.50%
Athene Global Funding
(SOFR Index plus 0.70%)
6.06%		05/24/241,2		85,000		85,097
Guardian Life Global Funding
5.74%		10/02/282		125,000		129,711
Nationwide Mutual Insurance Co.
7.88%		12/15/242,4		90,000		90,008
Willis North America, Inc.
4.65%		06/15/27		150,000		147,673
						452,489
Materials — 0.74%
Georgia-Pacific LLC
3.60%		03/01/252		115,000		113,158
International Flavors & Fragrances, Inc.
1.83%		10/15/272		60,000		53,254
2.30%		11/01/302		70,000		58,181
						224,593
Retail — 0.06%
Michaels Cos., Inc. (The)
5.25%		05/01/282		20,000		17,060
Services — 0.04%
Adtalem Global Education, Inc.
5.50%		03/01/282		5,000		4,793
Waste Pro USA, Inc.
5.50%		02/15/262		8,000		7,886
						12,679
Specialized REITs — 0.32%
Extra Space Storage LP
2.20%		10/15/30		110,000		91,253
2.40%		10/15/31		5,000		4,116
						95,369
Total Corporates
(Cost $6,875,850)						6,887,180

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED — 26.84%**
Non-Agency Commercial Mortgage-Backed — 5.58%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%		08/10/352	$	32,780	$	31,258
ACAM Ltd.,
Series 2019-FL1, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.51%)
6.84%		11/17/341,2,3		3,242		3,251
BANK,
Series 2018-BN14, Class A2
4.13%		09/15/60		49,063		48,041
Beast Mortgage Trust,
Series 2021-SSCP, Class A
(CME Term SOFR 1-Month plus 0.86%)
6.19%		04/15/361,2		241,043		239,363
BX Commercial Mortgage Trust,
Series 2021-CIP, Class A
(CME Term SOFR 1-Month plus 1.04%)
6.36%		12/15/381,2		130,000		128,748
BX Trust,
Series 2021-SDMF, Class A
(CME Term SOFR 1-Month plus 0.70%)
6.03%		09/15/341,2		116,070		114,808
Citigroup Commercial Mortgage Trust,
Series 2015-GC29, Class AAB
2.98%		04/10/48		8,696		8,643
Citigroup Commercial Mortgage Trust,
Series 2015-P1, Class AAB
3.47%		09/15/48		13,333		13,151
Cold Storage Trust,
Series 2020-ICE5, Class A
(CME Term SOFR 1-Month plus 1.01%)
6.33%		11/15/371,2		108,129		107,955
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.14%		10/15/454		65,302		7
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%		07/10/50		46,333		45,590
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(CME Term SOFR 1-Month plus 1.03%)
6.35%		05/15/361,2		244,392		244,331
Great Wolf Trust,
Series 2024-WOLF, Class A
(CME Term SOFR 1-Month plus 1.54%)
6.84%		03/15/391,2		91,000		91,228
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.44%		08/10/432,4		1,500,217		1,294
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
0.90%		04/15/464		145,686		684
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2015-JP1, Class XA (IO)
0.88%		01/15/494,5,6		593,207		8,785

See accompanying Notes to Financial Statements.

33 / Annual Report March 2024

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO)
0.43%		09/15/392,4	$	303,520	$	1,240
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
7.14%		11/15/351,2		97,933		98,187
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C26, Class ASB
3.32%		10/15/48		19,728		19,423
One New York Plaza Trust,
Series 2020-1NYP, Class A
(CME Term SOFR 1-Month plus 1.06%)
6.39%		01/15/361,2		94,000		91,637
Queens Center Mortgage Trust,
Series 2013-QCA, Class B
3.38%		01/11/372		150,000		138,120
SREIT Trust,
Series 2021-MFP, Class A
(CME Term SOFR 1-Month plus 0.85%)
6.17%		11/15/381,2		239,216		238,151
TMSQ Mortgage Trust,
Series 2014-1500, Class XA (IO)
0.15%		10/10/362,4		14,000,000		323
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.01%		08/10/492,4,5,6		198,658		35
WF-RBS Commercial Mortgage Trust,
Series 2014-C25, Class XA (IO)
0.78%		11/15/474		4,810,233		8,870
						1,683,123
Non-Agency Mortgage-Backed — 5.74%
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%		09/25/37		190,303		73,247
Asset-Backed Funding Certificates,
Series 2004-OPT4, Class M1
(CME Term SOFR 1-Month plus 1.01%)
6.34%		02/25/341		66,451		66,453
Banc of America Funding Trust,
Series 2015-R7, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 0.92%)
3.32%		09/26/461,2		7,084		7,108
Centex Home Equity Loan Trust,
Series 2005-B, Class M2
(CME Term SOFR 1-Month plus 0.76%)
6.09%		03/25/351		50,538		50,122
CIM Trust,
Series 2019-R1, Class A
3.25%		10/25/582,4		78,072		69,466
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/572,4		93,849		82,981

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-HE4, Class M2
(CME Term SOFR 1-Month plus 0.79%)
6.12%		10/25/351	$	106,638	$	103,433
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class M1
(CME Term SOFR 1-Month plus 0.50%)
5.83%		06/25/371		72,720		72,084
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(CME Term SOFR 1-Month plus 1.01%)
6.34%		10/25/471		55,211		49,890
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(CME Term SOFR 1-Month plus 0.71%)
6.04%		05/25/351		35,529		29,905
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/24)
3.95%		01/25/33		3,386		3,188
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(CME Term SOFR 1-Month plus 0.85%)
6.17%		07/19/441		1,705		1,557
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(CME Term SOFR 1-Month plus 0.67%)
5.02%		03/25/361		10,905		10,816
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.64%		04/19/364		59,325		46,443
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(CME Term SOFR 1-Month plus 0.79%)
6.12%		06/20/351		95,452		88,001
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(CME Term SOFR 1-Month plus 0.43%)
5.76%		05/25/371		12,132		12,114
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1A
(CME Term SOFR 1-Month plus 0.97%)
6.30%		08/25/341		5,845		4,933
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A1A
(CME Term SOFR 1-Month plus 0.53%)
5.86%		05/25/461		64,910		58,537
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 2A1
4.04%		06/25/374		55,977		35,209
JPMorgan Mortgage Acquisition Trust,
Series 2005-WMC1, Class M3
(CME Term SOFR 1-Month plus 0.82%)
6.15%		09/25/351		113,870		111,109

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 34

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Morgan Stanley ABS Capital I, Inc. Trust,
Series 2007-HE7, Class A2B
(CME Term SOFR 1-Month plus 1.11%)
6.44%		07/25/371	$	45,015	$	43,942
Option One Mortgage Loan Trust 2005-4 Asset-Backed Certificates,
Series 2005-4, Class M2
(CME Term SOFR 1-Month plus 0.80%)
6.13%		11/25/351		64,658		60,425
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/24)
1.87%		04/25/262		110,739		108,453
PRPM LLC,
Series 2021-6, Class A1 (STEP-reset date 04/25/24)
1.79%		07/25/262		53,122		51,711
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%		11/25/31		4,078		1,351
Residential Asset Mortgage Products Trust,
Series 2006-NC3, Class M1
(CME Term SOFR 1-Month plus 0.45%)
5.95%		03/25/361		68,765		66,390
Structured Asset Mortgage Investments II Trust,
Series 2006-AR1, Class 3A1
(CME Term SOFR 1-Month plus 0.57%)
5.90%		02/25/361		34,842		29,253
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%		08/25/342,5,6		1,208,532		13,537
VOLT CIII LLC,
Series 2021-CF1, Class A1 (STEP-reset date 04/25/24)
1.99%		08/25/512		77,167		74,557
VOLT XCIX, LLC,
Series 2021-NPL8, Class A1 (STEP-reset date 04/25/24)
5.12%		04/25/512		125,547		122,461
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
6.49%		06/25/421		976		893
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 2AB2
(CME Term SOFR 1-Month plus 0.95%)
6.28%		07/25/451		83,709		78,259
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2005-4, Class M3
(CME Term SOFR 1-Month plus 0.86%)
6.19%		12/25/351		97,287		95,767
Wells Fargo Mortgage-Backed Securities Trust,
Series 2003-I, Class A1
6.17%		09/25/334		5,193		5,117
						1,728,712

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed — 1.05%
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K044, Class X1 (IO)
0.74%		01/25/254	$	1,079,410	$	4,585
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K054, Class X1 (IO)
1.15%		01/25/264		3,382,416		55,125
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K732, Class X3 (IO)
2.17%		05/25/464		250,000		6,389
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.23%		06/25/274		911,403		18,779
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KF88, Class AL
(SOFR30A plus 0.44%)
5.76%		09/25/301		116,071		115,271
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS07, Class X (IO)
0.61%		09/25/254		2,819,473		23,942
Ginnie Mae,
Series 2014-157, Class C
3.15%		10/16/544		96,783		93,121
						317,212
U.S. Agency Mortgage-Backed — 14.47%
Fannie Mae Pool AL0851
6.00%		10/01/40		1,497		1,564
Fannie Mae REMICS,
Series 2002-21, Class FB
(SOFR30A plus 1.01%)
6.33%		04/25/321		10,664		10,708
Fannie Mae REMICS,
Series 2002-53, Class FY
(SOFR30A plus 0.61%)
5.93%		08/25/321		53,668		53,553
Fannie Mae REMICS,
Series 2003-11, Class FA
(SOFR30A plus 1.11%)
6.43%		09/25/321		2,695		2,725
Fannie Mae REMICS,
Series 2003-81, Class FE
(SOFR30A plus 0.61%)
5.93%		09/25/331		20,109		19,997
Fannie Mae REMICS,
Series 2006-48, Class FL
(SOFR30A plus 0.51%)
5.83%		06/25/361		26,509		26,288

See accompanying Notes to Financial Statements.

35 / Annual Report March 2024

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity   Date	Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2006-8, Class NF
(SOFR30A plus 0.48%)
5.80%		03/25/361	$	21,780	$	21,521
Fannie Mae REMICS,
Series 2008-12,Class FA
(SOFR30A plus 0.78%)
6.10%		03/25/381		73,451		73,304
Fannie Mae REMICS,
Series 2010-109, Class PF
(SOFR30A plus 0.51%)
5.83%		10/25/401		2,354		2,327
Fannie Mae REMICS,
Series 2010-74,Class AF
(SOFR30A plus 0.65%)
5.97%		07/25/371		22,786		22,649
Freddie Mac REMICS,
Series 2684, Class F
(SOFR30A plus 1.01%)
6.33%		01/15/331		2,427		2,448
Freddie Mac REMICS,
Series 3231, Class FB
(SOFR30A plus 0.46%)
5.78%		10/15/361		43,351		42,753
Freddie Mac Strips,
Series 263, Class F5
(SOFR30A plus 0.61%)
5.93%		06/15/421		7,145		7,041
Ginnie Mae (TBA)
4.50%		04/20/54		150,000		144,168
5.00%		04/20/54		350,000		344,042
5.50%		04/20/54		150,000		149,894
Ginnie Mae,
Series 2023-113, Class FD
(SOFR30A plus 1.35%)
6.50%		08/20/531		143,830		144,131
Ginnie Mae,
Series 2023-116, Class FL
(SOFR30A plus 1.15%)
6.47%		08/20/531		145,846		146,547
Ginnie Mae,
Series 2024-51,Class F
(SOFR30A plus 1.00%)
6.32%		03/20/541		300,000		300,521
Ginnie Mae,
Series 2024-51,Class PF
(SOFR30A plus 1.00%)
6.32%		03/20/541		150,000		150,239
Ginnie Mae,
Series 2024-51,Class TF
(SOFR30A plus 1.00%)
6.32%		03/20/541		300,000		300,061
UMBS (TBA)
3.50%		04/01/39		175,000		166,270
4.00%		04/01/39		275,000		266,331
4.00%		04/01/54		375,000		347,373

Issues		Maturity   Date		Principal   Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
4.50%			04/01/39	$	275,000	$	270,777
4.50%			04/01/54		425,000		404,829
5.00%			04/01/39		425,000		424,414
5.00%			04/01/54		350,000		341,537
5.50%			04/01/54		175,000		174,149
							4,362,161
Total Mortgage-Backed
(Cost $8,658,211)							8,091,208
MUNICIPAL BONDS — 0.82%*
Maryland — 0.18%
City of Baltimore General Obligation, School Improvements,
Series C
5.00%			10/15/25		55,000		54,815
Massachusetts — 0.16%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%07/15/31					49,457		48,337
New York — 0.48%
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Series A2
2.15%			05/01/25		150,000		145,207
Total Municipal Bonds
(Cost $257,532)							248,359
U.S. TREASURY SECURITIES — 10.57%
U.S. Treasury Notes — 10.57%
U.S. Treasury Notes
4.25%			03/15/27		1,385,000		1,378,886
4.50%			03/31/26		1,810,000		1,805,899
Total U.S. Treasury Securities
(Cost $3,190,061)							3,184,785
Total Bonds — 75.15%
(Cost $23,228,593)							22,652,614
Issues				Shares		Value
COMMON STOCK — 0.07%
Communications — 0.07%
Intelsat Emergence SA3,5,6,7
(Luxembourg)					773		20,774
Total Common Stock
(Cost $25,883)
Issues				Shares		Value
MUTUAL FUNDS — 15.14%
Mutual Funds — 15.14%
iShares Core S&P 500 ETF					8,679		4,562,811
Total Mutual Funds
(Cost $3,833,694)

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 36

AlphaTrak 500 Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity   Date		Principal   Amount/Shares		Value
SHORT-TERM INVESTMENTS — 21.52%
Money Market Funds — 8.03%
Dreyfus Government Cash Management Fund
5.20%8					1,000,000	$	1,000,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%8					20,760		20,760
JPMorgan U.S. Government Money Market Fund
5.16%8					9,000		9,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%8					1,392,000		1,392,000
							2,421,760
U.S. Treasury Bills — 13.49%
U.S. Treasury Bills (WI)
5.32%9			05/30/24	$	1,500,000		1,486,418
5.29%9			07/09/24		500,000		492,653
5.34%9			05/16/24		2,100,000		2,085,384
							4,064,455
Total Short-Term Investments
(Cost $6,488,068)							6,486,215
Total Investments - 111.88%
(Cost $33,576,238)							33,722,414
Liabilities in Excess of Other Assets - (11.88)%							(3,580,743	)
Net Assets - 100.00%						$	30,141,671

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³  Foreign denominated security issued by foreign domiciled entity.

⁴  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 $43,131, which is 0.14% of total net assets.

⁷  Non-income producing security.

⁸  Represents the current yield as of March 31, 2024.

⁹  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

(ETF): Exchange-Traded Fund

(GMTN): Global Medium-Term Note

(IO): Interest Only

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(WI): When Issued

Description	Number of Contracts	Expiration Date	Notional Amount		Value		Unrealized  Appreciation
FUTURES CONTRACTS: LONG POSITIONS
S&P 500 E-mini Index	96	06/21/24	$	25,466,400	$	541,043	$	541,043

See accompanying Notes to Financial Statements.

37 / Annual Report March 2024

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 97.61%
ASSET-BACKED SECURITIES — 0.64%**
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/371,2,3	$	37,109	$	33,144
Total Asset-Backed Securities
(Cost $37,109)
CORPORATES — 80.42%*
Banking — 10.94%
Bank of America Corp.
2.69%		04/22/323		20,000		16,916
Bank of America Corp.
(MTN)
1.92%		10/24/313		20,000		16,335
2.09%		06/14/293		125,000		110,524
Bank of America Corp.,
Series N
1.66%		03/11/273		53,000		49,408
HSBC Holdings PLC
(United Kingdom)
2.80%		05/24/323,4		90,000		75,499
JPMorgan Chase & Co.
2.07%		06/01/293		25,000		22,169
2.55%		11/08/323		40,000		33,315
3.90%		01/23/493		55,000		44,845
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/273,4		10,000		9,214
3.57%		11/07/283,4		35,000		32,837
PNC Financial Services Group, Inc. (The)
5.07%		01/24/343		15,000		14,534
6.88%		10/20/343		5,000		5,479
U.S. Bancorp
4.84%		02/01/343		10,000		9,501
5.85%		10/21/333		15,000		15,328
Wells Fargo & Co.
5.39%		04/24/343		15,000		14,912
Wells Fargo & Co.
(MTN)
2.39%		06/02/283		30,000		27,467
3.35%		03/02/333		80,000		69,396
						567,679
Communications — 6.86%
AT&T, Inc.
3.80%		12/01/57		38,000		27,627
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%		02/01/32		20,000		15,450
3.90%		06/01/52		5,000		3,194
5.38%		05/01/47		37,000		29,916
Cisco Systems, Inc.
5.05%		02/26/34		15,000		15,203
Comcast Corp.
4.00%		11/01/49		15,000		12,150
Cox Communications, Inc.
2.60%		06/15/315		25,000		20,761

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
Fox Corp.
6.50%		10/13/33	$	15,000	$	15,890
Meta Platforms, Inc.
5.60%		05/15/53		15,000		15,872
Qwest Corp.
7.25%		09/15/25		5,000		4,944
SES GLOBAL Americas Holdings, Inc.
5.30%		03/25/445		25,000		19,146
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
5.15%		03/20/285		52,000		51,892
Time Warner Cable LLC
5.50%		09/01/41		33,000		27,498
T-Mobile USA, Inc.
2.55%		02/15/31		93,000		79,255
Vodafone Group PLC
(United Kingdom)
4.25%		09/17/504		21,000		16,982
						355,780
Consumer Discretionary — 3.62%
Altria Group, Inc.
3.70%		02/04/51		5,000		3,502
3.88%		09/16/46		11,000		8,196
5.95%		02/14/49		15,000		15,280
Bacardi Ltd.
(Bermuda)
4.70%		05/15/284,5		20,000		19,525
BAT Capital Corp.
4.39%		08/15/37		35,000		29,439
4.54%		08/15/47		15,000		11,591
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/254,5		35,000		34,389
JDE Peet’s NV
(Netherlands)
2.25%		09/24/314,5		25,000		19,921
WarnerMedia Holdings, Inc.
5.14%		03/15/52		55,000		45,720
						187,563
Diversified REITs — 3.79%
American Assets Trust LP
3.38%		02/01/31		30,000		24,529
American Tower Corp.
2.70%		04/15/31		21,000		17,789
5.55%		07/15/33		20,000		20,170
Crown Castle, Inc.
3.30%		07/01/30		50,000		44,470
Digital Realty Trust LP
3.60%		07/01/29		5,000		4,610
Equinix, Inc.
2.50%		05/15/31		45,000		37,549
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32		2,000		1,695
4.00%		01/15/30		30,000		27,501

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 38

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Diversified REITs (continued)
VICI Properties LP
5.13%		05/15/32	$	10,000	$	9,581
Weyerhaeuser Co.
3.38%		03/09/33		10,000		8,740
						196,634
Electric — 9.17%
AEP Transmission Co. LLC,
Series M
3.65%		04/01/50		5,000		3,799
AEP Transmission Co. LLC,
Series N
2.75%		08/15/51		40,000		25,203
Alabama Power Co.
5.50%		03/15/41		9,000		8,996
Alliant Energy Finance LLC
1.40%		03/15/265		45,000		40,956
Appalachian Power Co.
4.45%		06/01/45		10,000		8,302
Arizona Public Service Co.
3.35%		05/15/50		10,000		6,886
6.35%		12/15/32		15,000		16,027
Baltimore Gas and Electric Co.
2.90%		06/15/50		33,000		21,665
Black Hills Corp.
4.35%		05/01/33		35,000		32,065
Commonwealth Edison Co.
6.45%		01/15/38		10,000		11,012
Consolidated Edison Co. of New York, Inc.,
Series 2017
3.88%		06/15/47		5,000		3,964
Duke Energy Carolinas LLC
3.75%		06/01/45		70,000		54,688
3.88%		03/15/46		10,000		7,934
Evergy, Inc.
2.45%		09/15/24		5,000		4,923
FirstEnergy Pennsylvania Electric Co.
4.00%		04/15/255		19,000		18,539
4.15%		04/15/255		50,000		49,158
FirstEnergy Transmission LLC
5.45%		07/15/445		30,000		28,619
Indianapolis Power & Light Co.
5.70%		04/01/545		10,000		10,042
Interstate Power and Light Co.
2.30%		06/01/30		20,000		17,039
Narragansett Electric Co. (The)
3.40%		04/09/305		10,000		9,136
PacifiCorp.
4.13%		01/15/49		30,000		23,595
Public Service Co. of New Mexico
3.85%		08/01/25		20,000		19,552
Virginia Electric & Power Co.,
Series B
3.80%		09/15/47		10,000		7,750
Virginia Electric and Power Co.
2.45%		12/15/50		12,000		7,067

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Electric (continued)
Xcel Energy, Inc.
4.80%		09/15/41	$	45,000	$	38,900
						475,817
Energy — 4.38%
Aker BP ASA
(Norway)
3.10%		07/15/314,5		30,000		25,678
Boston Gas Co.
3.76%		03/16/325		10,000		8,819
Energy Transfer LP
5.00%		05/15/50		15,000		13,170
6.13%		12/15/45		7,000		7,050
KeySpan Gas East Corp.
5.82%		04/01/415		15,000		14,447
Kinder Morgan Energy Partners LP
(MTN)
6.95%		01/15/38		5,000		5,481
Kinder Morgan, Inc.
(GMTN)
7.80%		08/01/31		5,000		5,680
NGPL Pipe Co. LLC
3.25%		07/15/315		20,000		17,127
4.88%		08/15/275		10,000		9,756
Plains All American Pipeline LP/PAA Finance Corp.
4.50%		12/15/26		13,000		12,771
Rockies Express Pipeline LLC
3.60%		05/15/255		30,000		29,305
Sabine Pass Liquefaction LLC
4.20%		03/15/28		3,000		2,906
Southern Co. Gas Capital Corp.
4.40%		06/01/43		10,000		8,396
5.88%		03/15/41		15,000		15,167
Southern Natural Gas Co. LLC
4.80%		03/15/475		15,000		12,392
TransCanada PipeLines Ltd.
(Canada)
4.63%		03/01/344		25,000		23,640
5.00%		10/16/434		5,000		4,556
Williams Cos., Inc. (The)
3.50%		10/15/51		15,000		10,672
						227,013
Finance — 9.28%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%		10/29/284		15,000		13,580
3.30%		01/30/324		28,000		24,002
3.88%		01/23/284		4,000		3,793
Air Lease Corp.
3.63%		12/01/27		19,000		17,944
4.25%		09/15/24		10,000		9,930
American Express Co.
6.49%		10/30/313		20,000		21,452

See accompanying Notes to Financial Statements.

39 / Annual Report March 2024

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/274,5	$	3,000	$	2,670
2.75%		02/21/284,5		10,000		8,953
4.38%		05/01/264,5		10,000		9,677
Capital One Financial Corp.
3.27%		03/01/303		10,000		9,012
Citigroup, Inc.
2.52%		11/03/323		40,000		32,865
2.57%		06/03/313		60,000		51,287
2.98%		11/05/303		1,000		889
Discover Financial Services
6.70%		11/29/32		20,000		21,183
Goldman Sachs Group, Inc. (The)
1.99%		01/27/323		25,000		20,256
2.60%		02/07/30		80,000		70,114
LSEGA Financing PLC
(United Kingdom)
2.00%		04/06/284,5		30,000		26,796
Morgan Stanley
1.59%		05/04/273		30,000		27,755
Morgan Stanley
(GMTN)
2.24%		07/21/323		45,000		36,747
3.77%		01/24/293		20,000		19,025
Morgan Stanley
(MTN)
1.93%		04/28/323		25,000		20,072
Pipeline Funding Co. LLC
7.50%		01/15/305		24,798		26,027
Raymond James Financial, Inc.
3.75%		04/01/51		10,000		7,594
						481,623
Food — 1.92%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
6.50%		12/01/524		25,000		24,768
Kraft Heinz Foods Co.
4.63%		10/01/39		10,000		9,117
Pilgrim’s Pride Corp.
3.50%		03/01/32		45,000		38,197
Smithfield Foods, Inc.
2.63%		09/13/315		35,000		27,428
						99,510
Health Care — 10.63%
Alcon Finance Corp.
2.60%		05/27/305		30,000		25,927
Amgen, Inc.
4.40%		05/01/45		5,000		4,352
4.88%		03/01/53		10,000		9,115
5.65%		03/02/53		5,000		5,100
5.75%		03/02/63		10,000		10,210

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Barnabas Health, Inc.,
Series 2012
4.00%		07/01/28	$	5,000	$	4,795
Baxter International, Inc.
3.95%		04/01/30		10,000		9,368
Bayer U.S. Finance II LLC
4.38%		12/15/285		15,000		14,126
4.88%		06/25/485		17,000		13,674
Bristol-Myers Squibb Co.
5.20%		02/22/34		30,000		30,491
Centene Corp.
3.00%		10/15/30		11,000		9,441
Children’s Hospital Medical Center
2.82%		11/15/50		20,000		13,374
Cigna Group (The)
5.40%		03/15/33		5,000		5,093
CommonSpirit Health
2.78%		10/01/30		5,000		4,342
CVS Health Corp.
5.05%		03/25/48		18,000		16,363
5.25%		02/21/33		28,000		28,032
Elanco Animal Health, Inc.
6.65%		08/28/28		5,000		5,083
HCA, Inc.
5.25%		06/15/49		30,000		27,403
Humana, Inc.
5.38%		04/15/31		25,000		25,030
Illumina, Inc.
2.55%		03/23/31		20,000		16,556
IQVIA, Inc.
6.25%		02/01/29		10,000		10,389
Mass General Brigham, Inc.,
Series 2020
3.34%		07/01/60		10,000		6,989
Pfizer Investment Enterprises Pte Ltd.
(Slovenia)
4.75%		05/19/334		5,000		4,928
Revvity, Inc.
2.55%		03/15/31		25,000		21,104
Roche Holdings, Inc.
5.59%		11/13/335		15,000		15,783
Royalty Pharma PLC
(United Kingdom)
1.75%		09/02/274		45,000		40,010
Sharp HealthCare,
Series 20B
2.68%		08/01/50		50,000		32,115
Smith & Nephew PLC
(United Kingdom)
2.03%		10/14/304		30,000		24,772
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%		03/15/314		20,000		17,100
Thermo Fisher Scientific, Inc.
5.09%		08/10/33		10,000		10,120

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 40

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
UnitedHealth Group, Inc.
3.70%		08/15/49	$	10,000	$	7,854
4.25%		04/15/47		15,000		13,005
Universal Health Services, Inc.
1.65%		09/01/26		40,000		36,469
West Virginia United Health System Obligated Group,
Series 2020
3.13%		06/01/50		35,000		22,704
Zoetis, Inc.
5.60%		11/16/32		10,000		10,386
						551,603
Health Care REITs — 0.85%
DOC DR LLC
2.63%		11/01/31		20,000		16,492
Healthcare Realty Holdings LP
3.63%		01/15/28		30,000		27,746
						44,238
Hotel & Resort REITs — 0.34%
Host Hotels & Resorts LP,
Series I
3.50%		09/15/30		20,000		17,797
Industrial REITs — 1.11%
LXP Industrial Trust
2.38%		10/01/31		5,000		4,006
2.70%		09/15/30		45,000		37,665
Rexford Industrial Realty LP
2.15%		09/01/31		20,000		16,058
						57,729
Industrials — 2.89%
Amcor Finance USA, Inc.
5.63%		05/26/33		20,000		20,507
Amcor Flexibles North America, Inc.
2.63%		06/19/30		5,000		4,310
BAE Systems Holdings, Inc.
3.85%		12/15/255		20,000		19,527
Berry Global, Inc.
1.57%		01/15/26		28,000		26,223
Boeing Co. (The)
5.81%		05/01/50		10,000		9,470
5.93%		05/01/60		12,000		11,265
CCL Industries, Inc.
(Canada)
3.05%		06/01/304,5		25,000		21,704
Northrop Grumman Corp.
5.15%		05/01/40		5,000		4,908
Sealed Air Corp.
1.57%		10/15/265		20,000		18,086
Sonoco Products Co.
3.13%		05/01/30		10,000		8,943

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	$	4,820
						149,763
Information Technology — 3.55%
Broadcom, Inc.
2.60%		02/15/335		25,000		20,307
CDW LLC/CDW Finance Corp.
3.28%		12/01/28		25,000		22,833
Constellation Software, Inc.
(Canada)
5.46%		02/16/344,5		25,000		25,160
Fiserv, Inc.
2.65%		06/01/30		15,000		13,072
Intel Corp.
3.25%		11/15/49		5,000		3,531
5.70%		02/10/53		5,000		5,187
Micron Technology, Inc.
2.70%		04/15/32		25,000		20,906
Open Text Corp.
(Canada)
6.90%		12/01/274,5		17,000		17,551
Oracle Corp.
3.60%		04/01/50		45,000		32,537
3.95%		03/25/51		12,000		9,163
Take-Two Interactive Software, Inc.
4.00%		04/14/32		15,000		13,864
						184,111
Insurance — 5.00%
Allstate Corp. (The)
3.85%		08/10/49		20,000		15,723
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52		15,000		11,547
Arthur J Gallagher & Co.
3.05%		03/09/52		10,000		6,401
6.50%		02/15/34		10,000		10,765
Athene Global Funding
1.61%		06/29/265		15,000		13,770
1.99%		08/19/285		10,000		8,663
Farmers Insurance Exchange
4.75%		11/01/573,5		35,000		25,984
Guardian Life Insurance Co. of America (The)
3.70%		01/22/705		45,000		29,264
MMI Capital Trust I,
Series B
7.63%		12/15/27		25,000		26,384
Nationwide Mutual Insurance Co.
7.88%		12/15/243,5		45,000		45,004
New York Life Insurance Co.
3.75%		05/15/505		15,000		11,550
Teachers Insurance & Annuity Association of America
4.38%		09/15/543,5		35,000		34,443

See accompanying Notes to Financial Statements.

41 / Annual Report March 2024

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Insurance (continued)
Willis North America, Inc.
5.35%		05/15/33	$	20,000	$	19,916
						259,414
Materials — 0.50%
International Flavors & Fragrances, Inc.
1.23%		10/01/255		5,000		4,684
5.00%		09/26/48		25,000		21,397
						26,081
Office REITs — 1.26%
Boston Properties LP
2.55%		04/01/32		10,000		7,923
3.40%		06/21/29		5,000		4,490
Hudson Pacific Properties LP
3.95%		11/01/27		10,000		8,868
Kilroy Realty LP
2.50%		11/15/32		15,000		11,307
Piedmont Operating Partnership LP
2.75%		04/01/32		45,000		32,564
						65,152
Residential REITs — 0.70%
American Homes 4 Rent LP
2.38%		07/15/31		15,000		12,200
Essex Portfolio LP
2.65%		03/15/32		5,000		4,140
5.50%		04/01/34		15,000		15,015
Invitation Homes Operating Partnership LP
5.50%		08/15/33		5,000		4,983
						36,338
Retail — 0.18%
Lowe’s Cos., Inc.
5.75%		07/01/53		5,000		5,167
McDonald’s Corp.
(MTN)
4.20%		04/01/50		5,000		4,185
						9,352
Services — 0.84%
Global Payments, Inc.
4.45%		06/01/28		30,000		28,975
RELX Capital, Inc.
4.00%		03/18/29		15,000		14,400
						43,375
Specialized REITs — 1.02%
CubeSmart LP
4.38%		02/15/29		5,000		4,802
Extra Space Storage LP
2.20%		10/15/30		40,000		33,183
NNN REIT, Inc.
5.60%		10/15/33		15,000		15,202
						53,187

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Transportation — 1.59%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28	$	19,768	$	17,878
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32		12,257		10,516
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32		24,111		22,284
United Airlines Pass-Through Trust,
Series 2016-2, Class AA
2.88%		10/07/28		6,879		6,220
United Airlines Pass-Through Trust,
Series 2023-1, Class A
5.80%		01/15/36		25,000		25,380
						82,278
Total Corporates
(Cost $4,750,928)						4,172,037
MORTGAGE-BACKED — 0.52%**
Non-Agency Commercial Mortgage-Backed — 0.04%
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.78%		09/10/471,2,3		497,519		492
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.81%		12/10/473		378,072		704
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.44%		08/10/433,5		1,230,734		1,061
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.01%		08/10/491,2,3,5		145,683		26
						2,283
U.S. Agency Commercial Mortgage-Backed — 0.33%
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%		09/16/513		495,285		16,032
Ginnie Mae,
Series 2012-144, Class IO (IO)
0.33%		01/16/533		136,434		943
						16,975
U.S. Agency Mortgage-Backed — 0.15%
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X SOFR30A plus 5.89%, 6.00% Cap)
0.57%		11/25/416		17,929		1,365

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 42

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42	$	6,926	$	6,111
						7,476
Total Mortgage-Backed
(Cost $133,828)						26,734
MUNICIPAL BONDS — 2.16%*
California — 0.84%
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%		05/15/38		15,000		13,657
San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C
3.05%		05/01/34		35,000		30,067
						43,724
Florida — 0.27%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		15,000		13,749
Massachusetts — 0.17%
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%		10/15/32		10,000		8,866
New York — 0.88%
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		4,801
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		20,000		15,903
New York State Urban Development Corp. Revenue Bonds, Transit Improvements,
Series B
2.54%		03/15/34		10,000		8,389
2.59%		03/15/35		20,000		16,770
						45,863
Total Municipal Bonds
(Cost $129,186)						112,202
U.S. TREASURY SECURITIES — 13.87%
U.S. Treasury Bonds — 7.19%
U.S. Treasury Bonds (WI)
4.25%		02/15/54		379,000		372,901
U.S. Treasury Notes — 6.68%
U.S. Treasury Notes (WI)
4.00%		02/15/34		221,000		217,426

Issues		Maturity  Date		Principal  Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
4.25%			03/31/29	$	130,000	$	129,483
							346,909
Total U.S. Treasury Securities
(Cost $714,680)							719,810
Total Bonds — 97.61%
(Cost $5,765,731)							5,063,927
Issues		Maturity  Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 4.74%
Money Market Funds — 4.74%
Fidelity Investments Money Market Funds - Government Portfolio
5.21%7					20,646		20,646
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%7					225,000		225,000
Total Short-Term Investments
(Cost $245,646)							245,646
Total Investments - 102.35%
(Cost $6,011,377)							5,309,573
Liabilities in Excess of Other Assets - (2.35)%							(121,795)
Net Assets - 100.00%						$	5,187,778

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 $33,662, which is 0.65% of total net assets.

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

⁴  Foreign denominated security issued by foreign domiciled entity.

⁵  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

⁶  Floating rate security. The rate disclosed was in effect at March 31, 2024.

⁷  Represents the current yield as of March 31, 2024.

^*  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.

43 / Annual Report March 2024

Corporate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

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

(GMTN): Global Medium-Term Note

(IO): Interest Only

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(WI): When Issued

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		12		06/28/24	$	2,453,813	$	(1,899)	$	(1,899)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		2		06/18/24		(229,219)		(1,311)		(1,311)
U.S. Treasury Five-Year Note		1		06/28/24		(107,016)		(287)		(287)
						(336,235)		(1,598)		(1,598)
TOTAL FUTURES CONTRACTS					$	2,117,578	$	(3,497)	$	(3,497)

		Received by the Fund				Paid by the Fund
Description	Maturity Date	Rate		Frequency		Rate		Frequency		Notional Amount (000’s)		Value		Premiums Paid		Unrealized Appreciation
SWAPS: INTEREST RATE
			USD-SOFR-
Interest Rate Swap1	12/20/53		COMPOUND		Annual		3.52%		Annual	$	77	$	898	$	—	$	898
TOTAL SWAPS CONTRACTS										$	77	$	898	$	—	$	898

¹  Centrally cleared.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 44

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 99.98%
ASSET-BACKED SECURITIES — 13.69%**
AGL CLO 13 Ltd.,
Series 2021-13A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/20/341,2,3	$	600,000	$	600,328
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.71%		10/17/341,2,3		185,000		184,966
Aimco CLO 14 Ltd.,
Series 2021-14A, Class SUB
(Cayman Islands)
0.00%		04/20/341,2,4		700,000		545,809
Allegro CLO XVI Ltd.,
Series 2024-1A, Class C
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.70%)
0.00%		04/25/371,2,3		1,000,000		1,002,845
AMSR Trust,
Series 2020-SFR1, Class I
8.19%		04/17/371		605,000		601,196
AMSR Trust,
Series 2020-SFR3, Class H
6.50%		09/17/371		635,000		619,318
AMSR Trust,
Series 2021-SFR3, Class G
3.80%		10/17/381		600,000		534,690
Barings CLO Ltd.,
Series 2022-2A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.80%)
7.11%		07/15/351,2,3		800,000		801,282
BCRED CLO LLC,
Series 2023-1A, Class A
(CME Term SOFR 3-Month plus 2.30%)
7.66%		01/20/361,3		1,200,000		1,213,740
BMO SBA COOF Trust,
Series 2019-1, Class A (IO)
1.40%		10/25/451,4		2,398,542		78,907
Carvana Auto Receivables Trust,
Series 2020-P1, Class R
0.00%		09/08/271		1,300		114,052
Carvana Auto Receivables Trust,
Series 2021-N3, Class R
0.00%		06/12/281		1,500		158,389
Carvana Auto Receivables Trust,
Series 2022-P2, Class R
1.00%		05/10/291		3,050		426,542
Carvana Auto Receivables Trust,
Series 2023-N3, Class R
0.00%		09/10/301		2,200		562,623
Carvana Auto Receivables Trust,
Series 2023-N3, Class XS (IO)
0.00%		09/10/301		27,286,776		459,591

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Carvana Auto Receivables Trust,
Series 2023-P1, Class R
0.00%		03/11/301	$	3,100	$	434,632
Carvana Auto Receivables Trust,
Series 2023-P2, Class R
0.00%		06/10/301		2,000		420,846
Carvana Auto Receivables Trust,
Series 2023-P3, Class R
0.00%		08/12/301		2,000		427,637
CIFC Funding Ltd.,
Series 2017-4A, Class A2R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.81%)
7.13%		10/24/301,2,3		575,000		575,006
CIFC Funding Ltd.,
Series 2018-1A, Class SUB
(Cayman Islands)
0.00%		04/18/311,2,4		575,000		236,963
CIFC Funding Ltd.,
Series 2022-2A, Class INCB
(Cayman Islands)
0.00%		04/19/351,2,4		475,000		378,490
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.02%		10/15/521,4		435,354		6,057
CoreVest American Finance Trust,
Series 2021-1, Class XB (IO)
1.49%		04/15/531,4		4,459,000		210,522
Dryden 72 CLO Ltd.,
Series 2019-72A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.22%		05/15/321,2,3		860,000		860,069
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.16%)
6.48%		04/15/291,2,3		43,673		43,645
Elmwood CLO VI Ltd.,
Series 2020-3A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/20/341,2,3		440,000		440,661
FirstKey Homes Trust,
Series 2020-SFR1, Class F2
4.28%		08/17/371		1,688,000		1,622,563
FirstKey Homes Trust,
Series 2021-SFR3, Class E1
2.99%		12/17/381		944,000		858,431
FirstKey Homes Trust,
Series 2022-SFR1, Class D
5.20%		05/19/391		1,600,000		1,551,720
Flatiron CLO 21 Ltd.,
Series 2021-1A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.37%)
6.68%		07/19/341,2,3		1,290,360		1,291,070

See accompanying Notes to Financial Statements.

45 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
FRTKL,
Series 2021-SFR1, Class F
3.17%		09/17/381	$	1,779,000	$	1,586,066
Gilbert Park CLO Ltd.,
Series 2017-1A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.45%)
6.77%		10/15/301,2,3		224,735		224,945
GLS Auto Receivables Issuer Trust,
Series 2023-2A, Class D
6.31%		03/15/291		1,110,000		1,120,527
GoldenTree Loan Management U.S. CLO 17 Ltd.,
Series 2023-17A, Class D
(United Kingdom)
(CME Term SOFR 3-Month plus 5.00%)
10.32%		07/20/361,2,3		850,000		864,314
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%		10/20/341,2,3		250,000		250,327
Golub Capital Partners CLO 42M-R,
Series 2019-42RA, Class A2R
(CME Term SOFR 3-Month plus 2.75%)
8.07%		01/20/361,3		800,000		808,124
Golub Capital Partners CLO 69M,
Series 2023-69A, Class B1
(CME Term SOFR 3-Month plus 3.25%)
8.66%		11/09/361,3		1,200,000		1,213,128
HOA Funding, LLC,
Series 2021-1A, Class A2
4.72%		08/20/511		819,000		639,654
HPS Loan Management Ltd.,
Series 2023-18A, Class D
(Cayman Islands)
(CME Term SOFR 3-Month plus 5.75%)
11.07%		07/20/361,2,3		850,000		872,365
HPS Loan Management Ltd.,
Series 2024-19A, Class C2
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.90%)
0.00%		04/15/371,2,3		1,000,000		1,002,679
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/731		36,461		34,181
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/731		36,134		32,421
Madison Park Funding XLVIII Ltd.,
Series 2021-48A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.72%		04/19/331,2,3		1,000,000		1,000,080
Navient Student Loan Trust,
Series 2018-4A, Class B
(SOFR30A plus 1.41%)
6.73%		06/27/671,3		850,000		788,199

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Neuberger Berman CLO XVI-S Ltd.,
Series 2017-16SA, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
6.62%		04/15/341,2,3	$	1,200,000	$	1,200,983
Neuberger Berman Loan Advisers CLO 40 Ltd.,
Series 2021-40A, Class SUB
(Cayman Islands)
0.00%		04/16/331,2,4		275,000		156,849
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%		11/20/301,2,3		230,911		231,206
OCP CLO Ltd.,
Series 2023-28A, Class D
(United Kingdom)
(CME Term SOFR 3-Month plus 5.35%)
10.66%		07/16/361,2,3		900,000		915,773
Octagon Investment Partners 44 Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		10/15/341,2,3		700,000		700,667
Palmer Square CLO Ltd.,
Series 2014-1A, Class A1R2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.71%		01/17/311,2,3		284,959		285,165
Palmer Square CLO Ltd.,
Series 2021-1A, Class SUB
(Cayman Islands)
0.00%		04/20/341,2,4		625,000		390,450
PHEAA Student Loan Trust,
Series 2014-3A, Class A
(SOFR30A plus 0.70%)
6.02%		08/25/401,3		20,678		20,472
Progress Residential Trust,
Series 2020-SFR1, Class G
4.03%		04/17/371		1,400,000		1,353,537
Progress Residential Trust,
Series 2021-SFR11, Class F
4.42%		01/17/391		1,250,000		1,104,716
Progress Residential Trust,
Series 2021-SFR2, Class H
5.00%		04/19/381		819,000		758,745
Progress Residential Trust,
Series 2021-SFR6, Class G
4.00%		07/17/381		1,250,000		1,125,347
Progress Residential Trust,
Series 2021-SFR8, Class G
4.01%		10/17/381		1,488,000		1,327,525
Progress Residential Trust,
Series 2021-SFR9, Class E1
2.81%		11/17/401		1,531,000		1,305,246

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 46

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Progress Residential,
Series 2021-SFR1, Class H
5.00%		04/17/381	$	1,400,000	$	1,274,642
Progress Residential,
Series 2021-SFR3, Class G
4.25%		05/17/261		1,211,000		1,100,540
Progress Residential,
Series 2021-SFR4, Class F
3.41%		05/17/381		1,530,000		1,391,979
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		10/15/321,2,3		750,000		750,485
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.28%)
6.60%		10/15/291,2,3		35,015		35,009
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.45%)
6.77%		10/20/301,2,3		611,499		613,004
Rockford Tower CLO Ltd.,
Series 2023-1A, Class D
(Cayman Islands)
(CME Term SOFR 3-Month plus 5.32%)
10.67%		01/20/361,2,3		850,000		873,359
Santander Consumer Auto Receivables Trust,
Series 2020-BA, Class R
0.00%		08/15/281		2,000		401,531
Santander Consumer Auto Receivables Trust,
Series 2021-CA, Class R
0.00%		06/15/281		5,150		477,361
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/374,5,6		453,550		405,094
SLM Student Loan Trust,
Series 2004-1, Class B
(SOFR90A plus 0.76%)
6.12%		07/25/393		132,718		124,876
SLM Student Loan Trust,
Series 2008-5, Class A4
(SOFR90A plus 1.96%)
7.32%		07/25/233		50,969		50,936
SLM Student Loan Trust,
Series 2008-7, Class A4
(SOFR90A plus 1.16%)
6.52%		07/25/233		10,617		10,464
SLM Student Loan Trust,
Series 2008-7, Class B
(SOFR90A plus 2.11%)
7.47%		07/26/833		10,000		9,385

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Stratus CLO Ltd.,
Series 2021-3A, Class SUB
(Cayman Islands)
0.00%		12/29/291,2,4	$	975,000	$	634,374
Textainer Marine Containers VII Ltd.,
Series 2021-1A, Class B
(Bermuda)
2.52%		02/20/461,2		578,042		500,407
Tricon Residential Trust,
Series 2021-SFR1, Class F
3.69%		07/17/381		900,000		823,456
Voya CLO Ltd.,
Series 2018-4A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		01/15/321,2,3		800,000		799,648
Total Asset-Backed Securities
(Cost $49,313,021)						48,852,831
BANK LOANS — 4.75%*
Automotive — 0.03%
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.26%)
10.57%		03/30/273		95,778		96,042
Communications — 0.33%
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.30%		12/17/273		158,611		157,888
CSC Holdings LLC,
Term Loan B5, 1st Lien
(SOFR plus 2.50%)
7.94%		04/15/273		206,498		187,249
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
8.62%		10/08/273		121,250		121,136
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.76%)
11.07%		12/20/243		152,822		92,219
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.34%		01/25/313		482,491		483,924
Virgin Media Bristol LLC,
Term Loan Y, 1st Lien
(SOFR plus 3.35%)
8.79%		03/31/313		150,000		147,979
						1,190,395

See accompanying Notes to Financial Statements.

47 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Consumer Discretionary — 0.31%
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%		04/05/283	$	433,376	$	340,317
Hanesbrands, Inc.,
Term Loan A, 1st Lien
(SOFR plus 2.60%)
7.93%		11/19/263		196,312		193,613
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.66%		01/24/292,3		245,625		230,357
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%		01/24/303		252,357		206,853
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.51%)
8.23%		03/31/283		142,962		141,640
						1,112,780
Electric — 0.14%
Calpine Corp.,
Term Loan B9, 1st Lien
(SOFR plus 2.00%)
7.33%		01/31/313		500,000		497,760
Energy — 0.13%
Buckeye Partners LP,
Term Loan B1, 1st Lien
(SOFR plus 2.00%)
7.33%		11/01/263		250,000		250,748
NGL Energy Operating LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.83%		02/03/313		203,613		204,376
						455,124
Entertainment — 0.02%
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(SOFR plus 2.86%)
8.19%		05/16/253		72,485		72,524
Finance — 0.10%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B6, 1st Lien
(SOFR plus 2.00%)
7.33%		06/22/283		58,771		58,854
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.06%		04/09/273		10,727		10,687

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Finance (continued)
Jane Street Group LLC,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%		01/26/283	$	280,122	$	280,577
						350,118
Food — 0.04%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		10/01/253		63,672		62,708
H-Food Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.95%)
9.29%		05/23/253		126,777		92,786
						155,494
Gaming — 0.21%
Caesars Entertainment, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 2.75%)
8.04%		02/06/313		344,784		345,484
Fertitta Entertainment LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.43%		01/29/293		211,261		212,010
Ontario Gaming Gta Ltd. Partnership,
Term Loan B, 1st Lien (Canada)
(SOFR plus 4.25%)
9.57%		08/01/302,3		177,588		178,413
						735,907
Health Care — 0.99%
Bausch + Lomb Corp.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.00%)
9.33%		09/29/282,3		341,866		342,295
Carestream Dental Equipment, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.56%		09/01/243		749,726		654,762
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.94%		09/01/243		189,296		165,239
Certara Holdco, Inc.,
Term Loan B, 1st Lien (France)
(SOFR plus 3.76%)
9.10%		08/15/262,3		267,438		268,106
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
7.40%		12/30/263		265,995		266,468
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.15%)
7.46%		11/15/273		278,545		270,310

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 48

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Health Care (continued)
Jazz Financing Lux SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.11%)
8.44%		05/05/282,3	$	628,639	$	632,568
Organon & Co.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
7.75%		06/02/283		400,000		401,918
Pathway Vet Alliance LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		03/31/273		96,507		84,957
Peraton Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		02/01/283		235,696		235,937
Star Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		09/27/303		192,291		191,342
						3,513,902
Health Care REITs — 0.07%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.19%		07/17/283		262,462		253,041
Industrials — 0.52%
Artera Services LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.81%		02/15/313		197,114		198,099
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.56%		10/16/283		197,625		179,246
Berry Global, Inc.,
Term Loan AA, 1st Lien
(SOFR plus 1.86%)
7.18%		07/01/293		228,295		228,460
Filtration Group Corp.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%		10/21/283		109,530		110,003
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(SOFR plus 4.51%)
9.82%		04/15/283		165,325		148,755
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		03/20/253		65,262		63,444
Term Loan, 2nd Lien
(SOFR plus 7.75%)
13.08%		03/20/263		184,665		160,659

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Industrials (continued)
ProAmpac PG Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.80% - 9.82%		09/15/283	$	345,046	$	346,081
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 2.75%)
8.08%		08/24/283		432,604		434,566
						1,869,313
Information Technology — 0.96%
Arches Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.68%		12/06/273		123,721		120,122
Athenahealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.25%		02/15/293		230,810		229,205
Buzz Merger Sub Ltd.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
8.18%		01/29/273		118,290		118,697
Central Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		07/06/293		171,975		172,682
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%		12/16/253		72,750		72,705
EagleView Technology Co.,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
9.06%		08/14/253		842,115		819,933
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
8.72% - 8.99%		10/01/273		242,481		232,388
Magnite, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.60% - 9.82%		02/06/313		79,000		79,231
Match Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.90%)
7.23%		02/13/273		57,653		57,653
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%		05/03/283		32,380		32,225
NortonLifeLock, Inc.,
Term Loan A2, 1st Lien
(SOFR plus 1.85%)
7.18%		09/10/273		224,106		223,802

See accompanying Notes to Financial Statements.

49 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Open Text Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 1.85%)
7.18%		05/30/252,3	$	26,980	$	27,039
(SOFR plus 2.85%)
8.18%		01/31/302,3		49,614		49,755
RealPage, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		04/24/283		248,724		242,316
Renaissance Holding Corp.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.58%		04/05/303		172,462		173,001
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.59%		03/03/283		266,750		247,724
SS&C Technologies Holdings, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 1.86%)
7.19%		04/16/253		194,218		194,458
Xerox Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		11/15/293		314,362		316,230
						3,409,166
Insurance — 0.24%
Acrisure LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.50%)
8.94%		02/15/273		244,275		244,427
Term Loan B2, 1st Lien
(SOFR plus 4.25%)
9.07%		02/15/273		191,980		192,400
Asurion LLC,
Term Loan B8, 1st Lien
(SOFR plus 3.36%)
8.69%		12/23/263		425,709		418,106
						854,933
Materials — 0.08%
Chemours Co. (The),
Term Loan B3, 1st Lien
(SOFR plus 3.50%)
8.83%		08/18/283		66,407		66,307
Mativ Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 2.60%)
7.93%		05/06/273		85,260		83,981
Schweitzer-Mauduit International, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		04/20/283		118,942		119,141
						269,429

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Retail — 0.26%
1011778 BC Unlimited Liability Co.,
Term Loan B5, 1st Lien (Canada)
(SOFR plus 2.25%)
7.58%		09/20/302,3	$	209,673	$	209,804
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.69%		02/19/283		169,315		169,527
U.S. Anesthesia Partners, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.36%)
9.69%		10/01/283		463,125		443,894
Whatabrands LLC,
Term Loan B, 1st Lien
(SOFR plus 3.36%)
8.69%		08/03/283		95,843		96,011
						919,236
Services — 0.22%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
8.63%		01/29/273		114,111		114,539
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		10/08/283		335,847		336,896
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.86%)
9.18%		12/15/283		10,732		10,695
Prime Security Services Borrower, LLC,
Term Loan A, 1st Lien
(SOFR plus 2.35%)
7.50%		03/14/283		155,949		155,429
Trans Union LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%		12/01/283		171,732		171,850
TruGreen LP,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.43%		11/02/273		10,728		10,463
						799,872
Specialized REITs — 0.10%
Greystar Real Estate Partners LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.25%)
8.58%		08/21/303		371,893		372,822
Total Bank Loans
(Cost $16,945,566)						16,927,858

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 50

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES — 24.22%*
Banking — 3.91%
Bank of America Corp.
2.30%		07/21/324	$	65,000	$	53,244
2.59%		04/29/314		270,000		232,674
3.42%		12/20/284		685,000		643,186
Bank of America Corp.
(MTN)
1.32%		06/19/264		165,000		156,843
1.53%		12/06/254		1,100,000		1,069,290
1.92%		10/24/314		385,000		314,453
2.55%		02/04/284		125,000		116,210
2.97%		02/04/334		1,090,000		927,295
Bank of America Corp.,
Series N
1.66%		03/11/274		500,000		466,117
Bank of America Corp.,
Series RR
4.38%4,7				100,000		94,249
Discover Bank
2.45%		09/12/24		230,000		226,583
DNB Bank ASA
(Norway)
0.86%		09/30/251,2,4		220,000		214,654
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/272,4		510,000		469,402
2.10%		06/04/262,4		1,060,000		1,016,932
2.36%		08/18/312,4		60,000		50,026
4.76%		06/09/282,4		255,000		250,124
JPMorgan Chase & Co.
0.97%		06/23/254		280,000		276,795
1.04%		02/04/274		25,000		23,135
1.05%		11/19/264		270,000		252,069
1.56%		12/10/254		710,000		690,398
1.58%		04/22/274		700,000		649,282
2.07%		06/01/294		120,000		106,409
2.58%		04/22/324		760,000		642,337
4.01%		04/23/294		255,000		244,493
JPMorgan Chase & Co.,
Series KK
3.65%4,7				115,000		109,507
Lloyds Banking Group PLC
(United Kingdom)
3.57%		11/07/282,4		420,000		394,041
PNC Financial Services Group, Inc. (The)
5.58%		06/12/294		120,000		121,534
6.04%		10/28/334		150,000		155,247
6.88%		10/20/344		495,000		542,421
Santander UK Group Holdings PLC
(United Kingdom)
1.67%		06/14/272,4		325,000		297,516
U.S. Bancorp
3.70%4,7				105,000		90,986
4.84%		02/01/344		435,000		413,282
5.68%		01/23/354		170,000		171,800
5.84%		06/12/344		5,000		5,102
5.85%		10/21/334		195,000		199,273

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
5.39%		04/24/344	$	550,000	$	546,776
Wells Fargo & Co.
(MTN)
2.39%		06/02/284		560,000		512,722
2.57%		02/11/314		385,000		331,945
3.35%		03/02/334		535,000		464,083
5.57%		07/25/294		410,000		414,979
						13,957,414
Communications — 2.18%
Cable One, Inc.
4.00%		11/15/301		60,000		46,950
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.80%		04/01/31		140,000		114,721
3.70%		04/01/51		530,000		329,167
4.80%		03/01/50		250,000		185,217
5.38%		05/01/47		141,000		114,004
6.65%		02/01/34		246,000		252,253
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%		04/01/53		310,000		245,781
CommScope, Inc.
4.75%		09/01/291		199,000		143,280
CSC Holdings LLC
4.63%		12/01/301		300,000		152,250
5.38%		02/01/281		150,000		129,147
6.50%		02/01/291		12,000		10,178
7.50%		04/01/281		453,000		305,728
11.25%		05/15/281		315,000		312,568
11.75%		01/31/291		15,000		15,019
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%		08/15/271		169,000		160,013
Frontier Communications Holdings LLC
6.75%		05/01/291		775,000		691,521
8.63%		03/15/311		546,000		558,007
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/302		285,000		285,284
Gray Television, Inc.
7.00%		05/15/271		400,000		372,708
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/301,2		115,000		107,241
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%		04/30/271		94,000		96,350
6.00%		02/15/281		250,000		257,500
Scripps Escrow, Inc.
5.88%		07/15/271		400,000		336,000
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
5.15%		03/20/281		396,000		395,175

See accompanying Notes to Financial Statements.

51 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
Tele Columbus AG,
Series REGS
(Georgia)
10.00%		03/19/292,8	$	510,000	$	384,458
Time Warner Cable LLC
5.50%		09/01/41		510,000		424,975
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/321,2		1,400,000		1,203,095
Zayo Group Holdings, Inc.
4.00%		03/01/271		185,000		152,445
						7,781,035
Consumer Discretionary — 1.21%
BAT Capital Corp.
3.56%		08/15/27		44,000		41,674
5.65%		03/16/52		430,000		389,399
BAT International Finance PLC
(United Kingdom)
1.67%		03/25/262		83,000		77,304
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%		09/09/522		570,000		322,987
Central Garden & Pet Co.
4.13%		10/15/30		375,000		336,758
Everi Holdings, Inc.
5.00%		07/15/291		350,000		347,375
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/251,2		160,000		157,208
6.13%		07/27/271,2		195,000		199,063
JDE Peet’s NV
(Netherlands)
2.25%		09/24/311,2		750,000		597,623
Reynolds American, Inc.
5.85%		08/15/45		95,000		88,463
Spectrum Brands, Inc.
5.50%		07/15/301		425,000		416,500
Triton Water Holdings, Inc.
6.25%		04/01/291		450,000		410,859
WarnerMedia Holdings, Inc.
4.28%		03/15/32		190,000		169,918
5.05%		03/15/42		480,000		412,539
5.14%		03/15/52		425,000		353,289
						4,320,959
Diversified REITs — 0.80%
American Assets Trust LP
3.38%		02/01/31		500,000		408,811
American Tower Corp.
2.10%		06/15/30		550,000		457,712
2.70%		04/15/31		80,000		67,768

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Diversified REITs (continued)
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%		06/23/282	$	100,000	$	93,594
Digital Dutch Finco BV
(Netherlands)
1.00%		01/15/322		150,000		128,778
1.25%		02/01/312		220,000		197,597
Digital Intrepid Holding BV
(Netherlands)
0.63%		07/15/312		100,000		84,688
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32		247,000		209,390
4.00%		01/15/30		427,000		391,427
4.00%		01/15/31		73,000		65,297
5.38%		04/15/26		40,000		39,678
5.75%		06/01/28		10,000		10,015
VICI Properties LP
4.95%		02/15/30		64,000		61,892
5.13%		05/15/32		311,000		297,972
5.63%		05/15/52		50,000		46,444
VICI Properties LP/VICI Note Co., Inc.
3.88%		02/15/291		35,000		32,242
4.50%		01/15/281		13,000		12,488
4.63%		06/15/251		10,000		9,862
5.75%		02/01/271		65,000		64,987
Vonovia SE
(Georgia)
1.00%		06/16/332		100,000		81,703
Vonovia SE
(EMTN)
(Georgia)
0.75%		09/01/322		100,000		82,045
						2,844,390
Electric — 1.01%
Alliant Energy Finance LLC
1.40%		03/15/261		245,000		222,980
Alliant Energy Finance, LLC
3.60%		03/01/321		155,000		137,355
Arizona Public Service Co.
6.35%		12/15/32		675,000		721,210
Duke Energy Carolinas LLC
4.00%		09/30/42		250,000		209,274
5.35%		01/15/53		195,000		192,899
Duke Energy Corp.
3.85%		06/15/34		200,000		214,455
FirstEnergy Pennsylvania Electric Co.
4.15%		04/15/251		555,000		545,654
FirstEnergy Transmission LLC
2.87%		09/15/281		418,000		381,400
Public Service Co. of New Mexico
3.85%		08/01/25		40,000		39,104

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 52

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Electric (continued)
TenneT Holding BV
(EMTN)
(Netherlands)
2.75%		05/17/422	$	215,000	$	217,790
4.50%		10/28/342		200,000		237,505
4.75%		10/28/422		140,000		173,958
Tucson Electric Power Co.
5.50%		04/15/53		305,000		303,643
						3,597,227
Energy — 1.76%
CenterPoint Energy Resources Corp.
5.40%		03/01/33		765,000		779,052
Energy Transfer LP
4.90%		03/15/35		20,000		18,912
5.00%		05/15/50		445,000		390,700
Energy Transfer LP,
Series B
6.63%4,7				733,000		687,299
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%		03/31/341,2		169,888		146,444
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29		430,000		426,936
8.25%		01/15/321		250,000		259,832
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%		04/14/331,2		200,000		166,780
KeySpan Gas East Corp.
5.99%		03/06/331		385,000		390,951
National Gas Transmission PLC,
(EMTN)
(United Kingdom)
4.25%		04/05/302		100,000		111,209
NGL Energy Operating LLC/NGL Energy Finance Corp.
8.38%		02/15/321		275,000		282,232
NGPL Pipe Co. LLC
4.88%		08/15/271		40,000		39,024
Petroleos Mexicanos
(Mexico)
6.35%		02/12/482		5,000		3,194
Rockies Express Pipeline LLC
4.80%		05/15/301		234,000		217,386
Southern Natural Gas Co. LLC
4.80%		03/15/471		65,000		53,700
TMS Issuer SARL,
Series REGS
(Luxembourg)
5.78%		08/23/322		200,000		205,940
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26		725,000		693,281
USA Compression Partners LP/USA Compression Finance Corp.
7.13%		03/15/291		375,000		379,437
Venture Global Calcasieu Pass LLC
4.13%		08/15/311		580,000		516,925

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Energy (continued)
Venture Global LNG, Inc.
9.50%		02/01/291	$	336,000	$	362,469
9.88%		02/01/321		150,000		161,813
						6,293,516
Entertainment — 0.10%
Banijay Entertainment SASTerm Loan B, 1st Lien
(France)
8.13%		05/01/291,2		350,000		361,267
Finance — 3.21%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/262		123,000		114,311
3.30%		01/30/322		185,000		158,583
3.88%		01/23/282		5,000		4,741
4.45%		10/01/252		110,000		108,361
Air Lease Corp.
(MTN)
2.88%		01/15/26		380,000		363,593
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/271,2		583,000		518,820
Charles Schwab Corp. (The)
Series K
5.00%4,7				200,000		191,712
Citigroup, Inc.
0.98%		05/01/254		695,000		691,972
2.52%		11/03/324		725,000		595,689
2.98%		11/05/304		145,000		128,855
3.52%		10/27/284		435,000		410,303
Discover Financial Services
3.95%		11/06/24		105,000		103,880
Gaci First Investment Co.
(Cayman Islands)
5.25%		10/13/322		300,000		303,431
GGAM Finance Ltd.
(Cayman Islands)
8.00%		02/15/271,2		115,000		118,812
8.00%		06/15/281,2		520,000		542,750
Goldman Sachs Group, Inc. (The)
1.54%		09/10/274		5,000		4,569
1.95%		10/21/274		325,000		298,958
3.81%		04/23/294		575,000		545,959
(SOFR Rate plus 0.49%)
5.84%		10/21/243		130,000		130,088
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%		12/09/264		2,910,000		2,702,747
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%		02/01/29		184,000		157,285
5.25%		05/15/27		451,000		419,430
9.75%		01/15/291		285,000		297,462
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/291		575,000		533,489
Morgan Stanley
0.99%		12/10/264		145,000		134,421

See accompanying Notes to Financial Statements.

53 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
(GMTN)
2.24%		07/21/324	$	425,000	$	347,056
2.95%		05/07/324		155,000		161,008
Morgan Stanley
(MTN)
1.16%		10/21/254		595,000		579,534
1.93%		04/28/324		575,000		461,650
Nationwide Building Society
(United Kingdom)
2.97%		02/16/281,2,4		200,000		186,656
Pipeline Funding Co. LLC
7.50%		01/15/301		144,655		151,825
						11,467,950
Food — 0.73%
B&G Foods, Inc.
5.25%		04/01/25		122,000		122,000
ELO SACA
(EMTN)
(France)
6.00%		03/22/292		600,000		657,732
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/261		932,000		69,900
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl
(Canada)
6.75%		03/15/341,2		185,000		194,565
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/312		385,000		333,840
6.50%		12/01/522		437,000		432,939
Pilgrim’s Pride Corp.
4.25%		04/15/31		180,000		162,588
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/291		700,000		619,939
Smithfield Foods, Inc.
5.20%		04/01/291		5,000		4,819
						2,598,322
Health Care — 1.88%
1375209 BC Ltd.
(Canada)
9.00%		01/30/281,2		1,000,000		981,088
AbbVie, Inc.
3.85%		06/15/24		10,000		9,962
Amgen, Inc.
3.15%		02/21/40		100,000		77,116
Bayer U.S. Finance II LLC
4.25%		12/15/251		255,000		248,720
4.38%		12/15/281		210,000		197,766
4.40%		07/15/441		245,000		187,767
4.88%		06/25/481		80,000		64,349
Bayer U.S. Finance LLC
6.50%		11/21/331		500,000		508,873

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Becton Dickinson & Co.
3.73%		12/15/24	$	3,000	$	2,962
CAB SELAS,
Series REGS
(France)
3.38%		02/01/282		385,000		377,151
Cano Health LLC
6.25%		10/01/281,5,6,9,10		118,000		103
Catalent Pharma Solutions, Inc.
3.13%		02/15/291		475,000		454,351
Centene Corp.
3.00%		10/15/30		323,000		277,227
Embecta Corp.
6.75%		02/15/301		525,000		459,328
Ephios Subco 3 SARL
(Luxembourg)
7.88%		01/31/311,2		150,000		170,497
Grifols SA
(Spain)
4.75%		10/15/281,2		835,000		691,516
HCA, Inc.
5.38%		09/01/26		10,000		9,994
5.63%		09/01/28		275,000		278,265
Kedrion SpA
(Italy)
6.50%		09/01/291,2		800,000		729,938
ModivCare Escrow Issuer, Inc.
5.00%		10/01/291		709,000		514,992
Prime Healthcare Services, Inc.
7.25%		11/01/251		450,000		451,125
						6,693,090
Health Care REITs — 0.16%
Healthcare Reality Holdings LP
2.00%		03/15/31		65,000		51,728
3.10%		02/15/30		115,000		100,022
Healthcare Realty Holdings LP
2.05%		03/15/31		37,000		28,713
2.40%		03/15/30		325,000		266,329
3.63%		01/15/28		150,000		138,728
Healthpeak OP LLC,
3.40%		02/01/25		2,000		1,963
						587,483
Industrial REITs — 0.07%
LXP Industrial Trust
2.70%		09/15/30		160,000		133,919
Prologis Euro Finance LLC,
(EMTN)
4.25%		01/31/43		100,000		109,035
						242,954
Industrials — 1.76%
Advanced Drainage Systems, Inc.
6.38%		06/15/301		335,000		337,045

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 54

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Industrials (continued)
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
4.13%		08/15/261,2	$	1,107,000	$	1,005,504
5.25%		08/15/271,2		815,000		513,999
BAE Systems Holdings, Inc.
3.85%		12/15/251		250,000		244,082
Berry Global, Inc.
1.65%		01/15/27		40,000		36,337
5.50%		04/15/28		255,000		256,864
5.65%		01/15/341		150,000		149,355
Boeing Co. (The)
5.81%		05/01/50		370,000		350,411
Energizer Holdings, Inc.
4.38%		03/31/291		925,000		833,656
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.64%)
5.91%		05/05/263		57,000		57,168
(CME Term SOFR 3-Month plus 0.74%)
6.05%		08/15/363		52,000		48,298
Honeywell International, Inc.
3.75%		03/01/36		160,000		174,639
OT Merger Corp.
7.88%		10/15/291		1,350,000		973,907
TransDigm, Inc.
6.75%		08/15/281		1,115,000		1,132,210
Trivium Packaging Finance BV
(Netherlands)
8.50%		08/15/271,2		175,000		173,250
						6,286,725
Information Technology — 0.64%
Gen Digital, Inc.
6.75%		09/30/271		328,000		333,193
NCR Voyix Corp.
5.00%		10/01/281		550,000		513,969
Netflix, Inc.
5.88%		02/15/25		310,000		311,261
Open Text Corp.
(Canada)
6.90%		12/01/271,2		760,000		784,624
RingCentral, Inc.
8.50%		08/15/301		325,000		338,190
						2,281,237
Insurance — 0.51%
Acrisure LLC/Acrisure Finance, Inc.
4.25%		02/15/291		175,000		158,201
6.00%		08/01/291		400,000		368,000
Athene Global Funding
1.99%		08/19/281		370,000		320,530
2.72%		01/07/291		95,000		83,904
3.21%		03/08/271		130,000		121,553
Farmers Exchange Capital II
6.15%		11/01/531,4		150,000		133,975

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Insurance (continued)
Farmers Exchange Capital III
5.45%		10/15/541,4	$	85,000	$	70,364
Farmers Insurance Exchange
4.75%		11/01/571,4		135,000		100,225
Metropolitan Life Global Funding I
2.95%		04/09/301		15,000		13,321
Nationwide Mutual Insurance Co.
7.88%		12/15/241,4		375,000		375,035
Teachers Insurance & Annuity Association of America
4.38%		09/15/541,4		65,000		63,966
						1,809,074
Materials — 1.01%
ASP Unifrax Holdings, Inc.
5.25%		09/30/281		265,000		171,318
Clearwater Paper Corp.
4.75%		08/15/281		600,000		558,619
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
5.13%		02/02/332		200,000		190,280
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/281,2		450,000		393,980
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT,
Series REGS
(Indonesia)
5.45%		05/15/302		200,000		197,920
International Flavors & Fragrances, Inc.
1.83%		10/15/271		405,000		359,466
2.30%		11/01/301		965,000		802,066
3.27%		11/15/401		55,000		39,195
3.47%		12/01/501		45,000		30,015
4.38%		06/01/47		115,000		89,164
5.00%		09/26/48		65,000		55,634
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%		10/30/291,2		250,000		223,097
Valvoline, Inc.
3.63%		06/15/311		550,000		474,584
						3,585,338
Office REITs — 0.16%
Boston Properties LP
2.75%		10/01/26		10,000		9,317
Hudson Pacific Properties LP
3.25%		01/15/30		510,000		393,613
3.95%		11/01/27		123,000		109,080
4.65%		04/01/29		25,000		21,323
Kilroy Realty LP
2.50%		11/15/32		50,000		37,690
						571,023
Residential REITs — 0.25%
American Homes 4 Rent LP
3.38%		07/15/51		675,000		450,571

See accompanying Notes to Financial Statements.

55 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Residential REITs (continued)
Invitation Homes Operating Partnership LP
2.00%		08/15/31	$	305,000	$	242,740
2.70%		01/15/34		190,000		150,643
5.50%		08/15/33		60,000		59,800
						903,754
Retail — 0.91%
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/291		743,000		692,848
Ferrellgas LP/Ferrellgas Finance Corp.
5.88%		04/01/291		769,000		733,664
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%		01/15/301		53,000		47,832
FirstCash, Inc.
6.88%		03/01/321		195,000		195,218
LCM Investments Holdings II LLC
8.25%		08/01/311		480,000		501,600
Lithia Motors, Inc.
3.88%		06/01/291		200,000		180,850
Michaels Cos., Inc. (The)
7.88%		05/01/291		745,000		559,639
Raising Cane’s Restaurants LLC
9.38%		05/01/291		320,000		346,401
						3,258,052
Services — 0.98%
Adtalem Global Education, Inc.
5.50%		03/01/281		992,000		950,964
Global Payments, Inc.
4.88%		03/17/31		200,000		228,059
Hertz Corp. (The)
4.63%		12/01/261		50,000		45,532
5.00%		12/01/291		380,000		294,500
Upbound Group, Inc.
6.38%		02/15/291		300,000		291,750
VT Topco, Inc.
8.50%		08/15/301		560,000		591,535
WASH Multifamily Acquisition, Inc.
5.75%		04/15/261		140,000		136,905
Waste Pro USA, Inc.
5.50%		02/15/261		680,000		670,302
Worldline SA
(France)
0.00%		07/30/262,11		2,800		273,963
						3,483,510
Specialized REITs — 0.87%
Add Hero Holdings Ltd.,
Series IAI
(United Kingdom)
8.50%		09/30/292,12		30,944		869
9.00%		09/30/302,13		23,803		595
9.80%		09/30/312,14		30,944		700

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Specialized REITs (continued)
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/322	$	100,000	$	99,378
3.18%		07/12/292		100,000		113,433
Annington Funding PLC,
(EMTN)
(United Kingdom)
3.69%		07/12/342		100,000		107,733
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%		05/04/282		195,000		182,192
1.63%		04/20/302		170,000		153,222
1.75%		03/12/292		200,000		188,407
China Aoyuan Group Ltd.,
Series IAI
(Cayman Islands)
0.00%		09/30/282,11		4,396		88
5.50%		09/30/312,8		18,038		274
China Aoyuan Group Ltd.,
Series IAI (STEP-reset date 09/30/24)
(Cayman Islands)
0.00%2,7				49,185		984
Extra Space Storage LP
2.35%		03/15/32		360,000		288,263
2.40%		10/15/31		71,000		58,442
Greystar Real Estate Partners LLC
7.75%		09/01/301		350,000		364,000
Iron Mountain, Inc.
5.63%		07/15/321		1,240,000		1,173,970
Realty Income Corp.
5.13%		07/06/34		285,000		336,303
Sunac China Holdings Ltd.
(Cayman Islands)
1.00%		09/30/321,2,5,6,8		22,940		1,491
6.00%		09/30/251,2,5,6,15		19,019		2,235
6.25%		09/30/261,2,5,6,16		19,042		1,990
6.50%		09/30/271,2,5,6,17		38,131		3,508
6.75%		09/30/281,2,5,6,18		57,267		4,696
7.00%		09/30/291,2,5,6,19		57,336		4,157
7.25%		09/30/301,2,5,6,20		26,970		1,739
						3,088,669
Transportation — 0.03%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28		19,768		17,878
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%		05/15/32		24,513		21,032
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32		60,277		55,710

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 56

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

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	$	10,196	$	10,196
						104,816
Water — 0.08%
Thames Water Utilities Finance PLC
(EMTN)
(United Kingdom)
4.38%		01/18/312		300,000		302,143
Total Corporates
(Cost $88,433,906)						86,419,948
FOREIGN GOVERNMENT OBLIGATIONS — 1.32%
Foreign Government Obligations — 1.32%
Brazilian Government International Bond
(Brazil)
6.13%		03/15/342		400,000		396,280
Colombia Government International Bond
(Colombia)
8.00%		04/20/332		400,000		423,440
Costa Rica Government International Bond,
Series REGS
(Costa Rica)
6.55%		04/03/342		200,000		207,240
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.50%		01/30/302		200,000		182,500
4.88%		09/23/322		200,000		179,655
Finance Department Government of Sharjah
(United Arab Emirates)
6.50%		11/23/321,2		200,000		208,020
Guatemala Government Bond,
Series REGS
(Guam)
3.70%		10/07/332		200,000		165,675
5.25%		08/10/292		300,000		291,054
Hungary Government International Bond
(Hungary)
2.13%		09/22/311,2		400,000		318,160
Mexico Government International Bond
(Mexico)
6.35%		02/09/352		600,000		619,860
Oman Government International Bond,
Series REGS
(Oman)
6.75%		10/28/272		200,000		208,400
Panama Government International Bond
(Panama)
2.25%		09/29/322		200,000		143,290
3.16%		01/23/302		200,000		166,688
Paraguay Government International Bond,
Series REGS
(Papua New Guinea)
4.95%		04/28/312		400,000		386,520

Issues		Maturity  Date	Principal  Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Republic of South Africa Government International Bond
(South Africa)
5.88%		04/20/322	$	400,000	$	361,024
Romanian Government International Bond
(Romania)
6.63%		02/17/281,2		200,000		206,500
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/312		300,000		252,270
Total Foreign Government Obligations
(Cost $4,805,432)						4,716,576
MORTGAGE-BACKED — 49.68%**
Non-Agency Commercial Mortgage-Backed — 6.28%
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XA (IO)
0.74%		09/15/484		5,697,141		42,566
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/481,4		500,000		6,856
BB-UBS Trust,
Series 2012-SHOW, Class XA (IO)
0.60%		11/05/361,4		3,109,000		6,706
BB-UBS Trust,
Series 2012-SHOW, Class XB (IO)
0.14%		11/05/361,4		1,395,000		957
Benchmark Mortgage Trust,
Series 2020-B18, Class AGNF
4.14%		07/15/531		529,000		481,707
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%		04/09/254,5,6		196,053		191,544
BX Trust,
Series 2024-BIO, Class D
(CME Term SOFR 1-Month plus 3.64%)
8.96%		02/15/411,3		530,000		531,516
BX,
Series 2021-MFM1, Class B
(CME Term SOFR 1-Month plus 1.06%)
6.39%		01/15/341,3		996,140		988,059
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class B
(CME Term SOFR 1-Month plus 1.55%)
6.87%		12/15/371,3		1,050,000		1,050,329
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.36%		08/10/494		8,895,580		206,341
Century Plaza Towers,
Series 2019-CPT, Class F
3.00%		11/13/391,4		450,000		271,040
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.94%		10/10/474		13,428,335		34,935
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.30%		02/10/484		1,489,106		7,503

See accompanying Notes to Financial Statements.

57 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class XA (IO)
1.21%		02/10/494	$	5,365,370	$	88,605
Citigroup Commercial Mortgage Trust,
Series 2017-B1, Class XF (IO)
0.81%		08/15/501,4		11,628,000		281,121
Citigroup Commercial Mortgage Trust,
Series 2020-555, Class A
2.65%		12/10/411		1,450,000		1,236,083
Commercial Mortgage Lease-Backed Certificates-1,
Series 2001-CMLB, Class X (IO)
1.57%		06/20/311,4		517,277		1,841
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.14%		10/15/454		160,043		17
Commercial Mortgage Trust,
Series 2012-LC4, Class XB (IO)
0.44%		12/10/441,4		1,404,407		50
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.79%		08/10/474		700,782		959
Commercial Mortgage Trust,
Series 2014-CR19, Class XC (IO)
0.75%		08/10/471,4		1,200,000		3,097
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
0.99%		06/10/474		1,850,457		162
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.78%		09/10/474,5,6		25,625,157		25,320
Commercial Mortgage Trust,
Series 2014-UBS6, Class XA (IO)
0.81%		12/10/474		10,712,766		19,945
Commercial Mortgage Trust,
Series 2015-CR22, Class XA (IO)
0.81%		03/10/484		9,713,210		40,414
Commercial Mortgage Trust,
Series 2015-CR25, Class XA (IO)
0.79%		08/10/484		7,586,975		59,798
Commercial Mortgage Trust,
Series 2015-LC21, Class XE (IO)
1.07%		07/10/481,4		10,015,000		125,032
Commercial Mortgage Trust,
Series 2016-CR28, Class XA (IO)
0.67%		02/10/494		13,864,972		125,780
Credit Suisse Mortgage Capital Trust,
Series 2021-980M, Class A
2.39%		07/15/311		1,550,000		1,418,053
CSAIL Commercial Mortgage Trust,
Series 2015-C2, Class XA (IO)
0.71%		06/15/574		16,087,427		90,461
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.54%		06/15/524		558,488		32,539

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
DBJPM 16-C1 Mortgage Trust,
Series 2016-C1, Class XA (IO)
1.36%		05/10/494	$	8,594,473	$	163,709
DBUBS Mortgage Trust,
Series 2017-BRBK, Class F
3.53%		10/10/341,4		380,000		296,217
Extended Stay America Trust,
Series 2021-ESH, Class F
(CME Term SOFR 1-Month plus 3.81%)
9.14%		07/15/381,3		548,553		548,917
Great Wolf Trust,
Series 2019-WOLF, Class C
(CME Term SOFR 1-Month plus 1.95%)
7.27%		12/15/361,3		675,529		672,857
Great Wolf Trust,
Series 2019-WOLF, Class E
(CME Term SOFR 1-Month plus 3.05%)
8.37%		12/15/361,3		732,335		730,915
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.44%		08/10/431,4		5,178,802		4,466
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.09%		08/10/441,4		482,271		3
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.68%		07/10/484		30,446,717		198,717
GS Mortgage Securities Trust,
Series 2015-GC34, Class XA (IO)
1.19%		10/10/484		5,061,318		67,463
GS Mortgage Securities Trust,
Series 2015-GS1, Class XA (IO)
0.75%		11/10/484		9,017,204		86,113
GS Mortgage Securities Trust,
Series 2016-GS2, Class XA (IO)
1.73%		05/10/494		247,313		6,284
GS Mortgage Securities Trust,
Series 2016-GS4, Class XA (IO)
0.56%		11/10/494		14,552,956		166,062
GSCG Trust,
Series 2019-600C, Class G
3.99%		09/06/341,4		285,000		5,732
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C19, Class XA (IO)
0.47%		04/15/474		2,425,836		630
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XA (IO)
0.42%		07/15/484		22,311,108		92,881
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C30, Class XNR (IO)
0.25%		07/15/481,4		44,724,406		111,909
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C31, Class XA (IO)
0.80%		08/15/484		5,933,609		49,779

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 58

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMCC Commercial Mortgage Securities Trust,
Series 2017-JP5, Class XA (IO)
0.81%			03/15/50	4	$	4,149,528	$	71,899
JPMDB Commercial Mortgage Securities Trust,
Series 2016-C2, Class XA (IO)
1.48%			06/15/49	4		240,083		5,224
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2012-CBX, Class XB (IO)
0.46%			06/15/45	1,4		52,057,999		958,487
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
0.90%			04/15/46	4		122,144		574
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-COR4, Class A3
3.76%			03/10/52			500,000		471,963
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-ACE, Class XA (IO)
0.34%			01/10/37	1,4		2,000,000		3,953
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-LOOP, Class XB (IO)
0.25%			12/05/38	1,4		2,010,000		12,517
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XAFX (IO)
1.88%			01/16/37	1,4		450,000		4,782
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2020-NNN, Class XBFX (IO)
0.57%			01/16/37	1,4		1,450,000		11,788
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class F
(Ireland)
(3-Month Euribor plus 3.65%)
7.57%			08/17/33	1,2,3		490,928		503,520
Med Trust,
Series 2021-MDLN, Class G
(CME Term SOFR 1-Month plus 5.36%)
10.69%			11/15/38	1,3		417,994		418,419
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-C5, Class XC (IO)
0.06%			08/15/45	1,4		24,069,383		100,219
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2012-CKSV, Class XA (IO)
1.01%			10/15/30	1,4		972,574		10,765
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C12, Class XC (IO)
2.34%			10/15/46	1,4		19,087,479		34,941
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C18, Class XA (IO)
0.56%			10/15/47	4		83,686		24
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.83%			03/15/48	4		3,032,943		10,407
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
0.99%			04/15/48	4		1,028,502		5,227

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-C24, Class XA (IO)
0.68%			05/15/48	4	$	6,696,656	$	40,829
Morgan Stanley Capital I Trust,
Series 2011-C2, Class XB (IO)
0.46%			06/15/44	1,4		10,808,573		37,912
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%			01/15/43	1,4		100,000		54,099
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class D
4.40%			08/15/36	1,4		665,000		407,312
Natixis Commercial Mortgage Securities Trust,
Series 2019-FAME, Class E
4.40%			08/15/36	1,4		395,000		202,417
NRTH Mortgage Trust,
Series 2024-PARK, Class A
(CME Term SOFR 1-Month plus 1.64%)
6.94%			03/15/41	1,3		701,000		703,497
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2A
3.66%			01/05/43	1,4		400,000		291,971
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%			01/05/43	1,4		460,000		339,051
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%			01/05/43	1,4		925,000		536,904
SMRT,
Series 2022-MINI, Class F
(CME Term SOFR 1-Month plus 3.35%)
8.68%			01/15/39	1,3		570,000		544,192
SREIT Trust,
Series 2021-MFP2, Class C
(CME Term SOFR 1-Month plus 1.49%)
6.81%			11/15/36	1,3		1,060,000		1,052,325
Taurus UK DAC,
Series 2021-UK1A, Class D
(Ireland)
(SONIA plus 2.60%)
7.82%			05/17/31	1,2,3		471,537		586,112
TPGI Trust,
Series 2021-DGWD, Class E
(CME Term SOFR 1-Month plus 2.46%)
7.79%			06/15/26	1,3		1,056,000		1,054,713
UBS Commercial Mortgage Trust,
Series 2017-C4, Class XA (IO)
1.09%			10/15/50	4		8,088,616		237,411
WB Commercial Mortgage Trust,
Series 2024-HQ, Class B
6.63%			03/15/40	1,4		1,049,000		1,055,177
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
0.97%			08/15/50	4		6,141,213		4,585

See accompanying Notes to Financial Statements.

59 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.01%			12/15/47	4	$	1,244,424	$	5,169
Wells Fargo Commercial Mortgage Trust,
Series 2015-C27, Class XA (IO)
0.81%			02/15/48	4		15,586,935		61,194
Wells Fargo Commercial Mortgage Trust,
Series 2015-C31, Class XA (IO)
0.95%			11/15/48	4		16,807,349		179,825
Wells Fargo Commercial Mortgage Trust,
Series 2015-LC20, Class XF (IO)
1.74%			04/15/50	1,4		415,000		8,157
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS3, Class XA (IO)
0.87%			09/15/57	4		9,074,592		88,497
Wells Fargo Commercial Mortgage Trust,
Series 2016-C34, Class XA (IO)
2.06%			06/15/49	4		5,880,366		150,128
Wells Fargo Commercial Mortgage Trust,
Series 2018-C47, Class AS
4.67%			09/15/61	4		1,100,000		1,062,153
Westfield Galleria at Roseville
8.40%			03/29/25	5,6		495,000		494,505
WF-RBS Commercial Mortgage Trust,
Series 2012-C10, Class XB (IO)
0.40%			12/15/45	1,4		46,428,757		1,811
WF-RBS Commercial Mortgage Trust,
Series 2014-C20, Class XA (IO)
0.78%			05/15/47	4		4,730,175		2,653
WF-RBS Commercial Mortgage Trust,
Series 2014-C22, Class XA (IO)
0.76%			09/15/57	4		1,648,372		1,221
WF-RBS Commercial Mortgage Trust,
Series 2014-C24, Class XA (IO)
0.83%			11/15/47	4		5,917,326		11,135
								22,411,654
Non-Agency Mortgage-Backed — 20.66%
Alternative Loan Trust,
Series 2004-30CB, Class 1A6
5.50%			02/25/35			943,927		881,763
Alternative Loan Trust,
Series 2005-10CB, Class 1A8
5.50%			05/25/35			1,484,738		1,216,142
Alternative Loan Trust,
Series 2005-46CB, Class A3
5.50%			10/25/35			242,113		174,486
Alternative Loan Trust,
Series 2005-46CB, Class A4
5.25%			10/25/35			182,950		129,271
Alternative Loan Trust,
Series 2005-46CB, Class A7
5.50%			10/25/35			516,089		371,935
Alternative Loan Trust,
Series 2005-55CB, Class 1A1
5.50%			11/25/35			186,847		124,562

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2005-64CB, Class 2A1
6.00%			11/25/35		$	2,988,508	$	455,777
Alternative Loan Trust,
Series 2005-65CB, Class 2A4
5.50%			12/25/35			309,731		217,913
Alternative Loan Trust,
Series 2005-67CB, Class A1
5.50%			01/25/36			60,280		46,413
Alternative Loan Trust,
Series 2005-74T1, Class A5
6.00%			01/25/36			482,767		274,362
Alternative Loan Trust,
Series 2005-7CB, Class 2A2 (IO)
(-1.00 X CME Term SOFR 1-Month plus 4.94%, 5.05% Cap)
0.20%			03/01/38	3,5,6		1,304,773		43,858
Alternative Loan Trust,
Series 2005-86CB, Class A1
5.50%			02/25/36			524,713		324,388
Alternative Loan Trust,
Series 2005-86CB, Class A8
5.50%			02/25/36			239,869		148,292
Alternative Loan Trust,
Series 2006-19CB, Class A15
6.00%			08/25/36			117,463		67,924
Alternative Loan Trust,
Series 2006-19CB, Class A17
(CME Term SOFR 1-Month plus 0.51%)
5.84%			08/25/36	3		3,895,002		1,795,216
Alternative Loan Trust,
Series 2006-19CB, Class A18 (IO)
(-1.00 X CME Term SOFR 1-Month plus 5.49%, 5.60% Cap)
0.16%			08/25/36	3,5,6		3,759,972		342,271
Alternative Loan Trust,
Series 2006-32CB, Class A18
6.00%			11/25/36			132,818		79,051
Alternative Loan Trust,
Series 2006-34, Class A5
6.25%			11/25/46			1,254,330		613,792
Alternative Loan Trust,
Series 2006-J1, Class 1A11
5.50%			02/25/36			187,174		129,079
Alternative Loan Trust,
Series 2007-13, Class A1
6.00%			06/25/47			270,422		139,882
Alternative Loan Trust,
Series 2007-15CB, Class A6
5.75%			07/25/37			538,121		314,057
Alternative Loan Trust,
Series 2007-15CB, Class A7
6.00%			07/25/37			1,916,614		1,160,633
Alternative Loan Trust,
Series 2007-16CB, Class 1A7
6.00%			08/25/37			6,728		5,113

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 60

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

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		$	311,014	$	191,791
Alternative Loan Trust,
Series 2007-22, Class 2A16
6.50%			09/25/37			237,879		91,558
Alternative Loan Trust,
Series 2007-5CB, Class 1A3
6.00%			04/25/37			175,186		95,408
Alternative Loan Trust,
Series 2007-5CB, Class 1A4
6.00%			04/25/37			516,831		281,498
American Home Mortgage Assets Trust,
Series 2006-6, Class XP (IO) (PO)
0.05%			12/25/46	4,5,6		20,730,521		137,197
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
5.79%			02/25/47	3		2,237,178		869,300
American Home Mortgage Assets Trust,
Series 2007-5, Class XP (IO) (PO)
0.07%			06/25/47	4,5,6		12,543		127
Banc of America Alternative Loan Trust,
Series 2006-5, Class CB8
(CME Term SOFR 1-Month plus 0.42%)
5.75%			06/25/46	3		1,654,366		1,312,040
Banc of America Alternative Loan Trust,
Series 2006-5, Class CB9 (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.58%, 6.69% Cap)
1.25%			06/25/46	3,5,6		1,654,376		129,319
Banc of America Funding Trust,
Series 2006-3, Class 5A3
5.50%			03/25/36			4,667		4,065
Banc of America Funding Trust,
Series 2006-7, Class T2A5 (STEP-reset date 05/25/24)
6.54%			10/25/36			677,172		574,355
Banc of America Funding Trust,
Series 2014-R5, Class 1A2
(TSFR6M plus 1.93%)
3.99%			09/26/45	1,3		1,100,496		793,313
Banc of America Funding Trust,
Series 2015-R4, Class 5A1
(CME Term SOFR 1-Month plus 0.26%)
5.59%			10/25/36	1,3		3,159		3,144
BCAP LLC Trust,
Series 2007-AA2, Class 2A12
5.50%			04/25/37			2,431,642		1,073,280
Bear Stearns ALT-A Trust,
Series 2005-7, Class 22A1
4.87%			09/25/35	4		132,721		78,734
Bear Stearns ARM Trust,
Series 2004-3, Class 2A
4.23%			07/25/34	4		5,423		5,095

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ARM Trust,
Series 2005-10, Class A3
5.80%			10/25/35	4	$	115,241	$	109,564
Bombardier Capital Mortgage Securitization Corp.,
Series 1999-B, Class A2
6.98%			12/15/29	4		997,492		101,907
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A3
7.83%			06/15/30	4		1,658,345		169,287
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A4
8.29%			06/15/30	4		142,144		16,983
BRAVO Residential Funding Trust,
Series 2021-A, Class A1 (STEP-reset date 04/25/24)
4.99%			10/25/59	1		1,467,276		1,447,917
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 05/25/24)
4.25%			08/25/54	1		1,197,431		1,089,228
CHNGE Mortgage Trust,
Series 2023-1, Class M1
8.30%			03/25/58	1,4		580,000		595,355
CIM Trust,
Series 2021-NR2, Class A1 (STEP-reset date 05/25/24)
5.57%			07/25/59	1		330,152		327,107
CIM Trust,
Series 2021-NR4, Class A1 (STEP-reset date 05/25/24)
2.82%			10/25/61	1		815,424		791,574
CIM Trust,
Series 2021-R5, Class A1B
2.00%			08/25/61	1,4		681,000		444,144
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/24)
5.00%			07/25/62	1		298,855		290,928
CIM Trust,
Series 2023-NR1, Class A1 (STEP-reset date 05/25/24)
6.00%			06/25/62	1		1,531,257		1,510,221
CIT Mortgage Loan Trust,
Series 2007-1, Class 1M2
(CME Term SOFR 1-Month plus 1.86%)
7.19%			10/25/37	1,3		1,046,000		964,523
Citigroup Mortgage Loan Trust,
Series 2006-WF1, Class A2C (STEP-reset date 05/25/24)
4.57%			03/25/36			29,261		13,965
Citigroup Mortgage Loan Trust,
Series 2009-10, Class 2A2
7.00%			12/25/35	1,4		516,029		359,748
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-WF2, Class AF6A (STEP-reset date 05/25/24)
6.13%			08/25/35			1,541,673		1,381,137
CitiMortgage Alternative Loan Trust,
Series 2005-A1, Class 1A5
5.50%			07/25/35			1,501,622		1,353,074
CitiMortgage Alternative Loan Trust,
Series 2006-A1, Class 1A5
5.50%			04/25/36			242,880		217,687

See accompanying Notes to Financial Statements.

61 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A1
6.00%			01/25/37		$	101,371	$	88,857
CitiMortgage Alternative Loan Trust,
Series 2007-A1, Class 1A5
6.00%			01/25/37			193,500		169,613
CitiMortgage Alternative Loan Trust,
Series 2007-A2, Class 1A13
5.75%			02/25/37			223,271		196,708
CitiMortgage Alternative Loan Trust,
Series 2007-A3, Class 1A7
5.75%			03/25/37			190,684		165,813
CitiMortgage Alternative Loan Trust,
Series 2007-A5, Class 1A1
6.00%			05/25/37			801,177		700,163
Conseco Finance Securitizations Corp.,
Series 2000-1, Class A5
8.06%			09/01/29	4		3,422,743		617,588
Conseco Finance Securitizations Corp.,
Series 2000-4, Class A5
7.97%			05/01/32			1,992,158		360,204
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-20, Class A1
6.50%			01/25/38			203,518		100,777
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-7, Class A9
5.50%			06/25/37			601,870		291,780
Credit Suisse Mortgage Capital Trust
Series 2022-RPL3, Class A1
3.78%			03/25/61	1,4		1,354,332		1,344,262
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL6, Class A1
3.40%			03/25/59	1,4		1,344,055		1,335,166
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A4
(CME Term SOFR 1-Month plus 0.43%)
5.76%			10/25/36	3		34,998		22,800
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-MH1, Class B1 (STEP-reset date 05/25/24)
6.75%			10/25/36	1		36,645		36,782
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF3 (STEP-reset date 05/25/24)
3.19%			01/25/37			966,352		287,576
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF6 (STEP-reset date 05/25/24)
3.19%			01/25/37			1,706,018		524,715
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/24)
3.57%			02/25/37			875,365		530,546
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 10A6
6.50%			08/25/36			1,085,988		547,180
CSMC Mortgage-Backed Trust,
Series 2006-7, Class 8A11
6.50%			08/25/36			404,675		173,765

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
6.59%			08/25/37	4	$	724,308	$	418,341
CSMC Trust,
Series 2020-RPL5, Class A1
4.68%			08/25/60	1,4		172,965		174,495
CSMC,
Series 2014-8R, Class 3A2
5.10%			02/27/36	1,4		990,461		779,585
Deutsche ALT-B Securities, Inc., Mortgage Loan Trust,
Series 2006-AB2, Class A2
4.79%			06/25/36	4		209,055		184,108
Deutsche Mortgage & Asset Receiving Corp.,
Series 2014-RS1, Class 1A2
6.50%			07/27/37	1,4		313,966		257,257
Fannie Mae Connecticut Avenue Securities,
Series 2019-R04, Class 2B1
(SOFR30A plus 5.36%)
10.68%			06/25/39	1,3		853,460		905,984
Fannie Mae Connecticut Avenue Securities,
Series 2019-R06, Class 2B1
(SOFR30A plus 3.86%)
9.18%			09/25/39	1,3		970,698		1,010,281
Fannie Mae Connecticut Avenue Securities,
Series 2019-R07, Class 1B1
(SOFR30A plus 3.51%)
8.83%			10/25/39	1,3		982,007		1,011,458
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(CME Term SOFR 1-Month plus 0.43%)
5.76%			10/25/36	3		359,949		231,538
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(CME Term SOFR 1-Month plus 0.55%)
5.88%			03/25/37	3		672,426		330,519
First Horizon Alternative Mortgage Securities Trust,
Series 2006-FA6, Class 2A3
6.25%			11/25/36			693,037		205,186
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA1, Class A4
6.25%			03/25/37			555,329		217,387
First Horizon Alternative Mortgage Securities Trust,
Series 2007-FA2, Class 1A4
5.75%			04/25/37			705,792		237,299
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA1, Class M2
(SOFR30A plus 2.25%)
7.57%			08/25/33	1,3		857,905		878,554
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
7.37%			12/25/33	1,3		810,266		821,602
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M2
(SOFR30A plus 2.50%)
7.82%			01/25/42	1,3		1,000,000		1,020,939

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 62

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Home Equity Trust,
Series 2007-5, Class 1F3B
6.00%			05/25/37	4	$	4,300,000	$	261,018
GSAA Home Equity Trust,
Series 2007-5, Class 1F5B (STEP-reset date 05/25/24)
6.44%			05/25/37			1,987,261		132,816
GSAA Home Equity Trust,
Series 2007-5, Class 2A2A
(CME Term SOFR 1-Month plus 0.57%)
5.90%			04/25/47	3		785,457		361,805
GSAA Trust,
Series 2006-7, Class AF3 (STEP-reset date 05/25/24)
6.72%			03/25/46			2,856,648		1,086,414
GSAA Trust,
Series 2007-3, Class 2A1B
(CME Term SOFR 1-Month plus 0.31%)
5.64%			03/25/47	3		166,316		9,028
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
5.06%			09/25/35	4		3,198		2,982
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2A1A
(CME Term SOFR 1-Month plus 0.79%)
6.12%			06/20/35	3		14,081		12,982
HarborView Mortgage Loan Trust,
Series 2005-9, Class 2X (IO)
0.00%			06/20/35	1,4,5,6		1,032,580		162
HarborView Mortgage Loan Trust,
Series 2006-4, Class 1A1A
(CME Term SOFR 1-Month plus 0.47%)
5.80%			05/19/46	3		2,418,922		1,278,913
HarborView Mortgage Loan Trust,
Series 2006-5, Class X2 (IO)
0.07%			07/19/46	4,5,6		2,598,376		26
HSI Asset Loan Obligation Trust,
Series 2007-WF1, Class A5 (STEP-reset date 05/25/24)
4.49%			12/25/36			248,932		83,750
IndyMac Index Mortgage Loan Trust,
Series 2006-AR3, Class 2A1A
3.92%			03/25/36	4		74,874		53,488
JPMorgan Alternative Loan Trust,
Series 2006-S1, Class 3A4
6.18%			03/25/36	4		884,609		744,672
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH2, Class AF3 (STEP-reset date 05/25/24)
5.46%			09/25/29			448,525		272,333
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF4 (STEP-reset date 05/25/24)
6.08%			08/25/36			1,399,901		848,827
JPMorgan Mortgage Acquisition Trust,
Series 2006-CW2, Class AF5 (STEP-reset date 05/25/24)
6.34%			08/25/36			266,025		165,476
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A5 (STEP-reset date 05/25/24)
6.91%			07/25/36			1,650,649		448,222

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class AF6 (STEP-reset date 05/25/24)
4.55%			11/25/36		$	2,298	$	2,262
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF2 (STEP-reset date 05/25/24)
4.46%			01/25/37			392,465		203,307
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH2, Class AF3 (STEP-reset date 05/25/24)
4.46%			10/25/30			602,537		314,240
JPMorgan Mortgage Trust,
Series 2007-S1, Class 2A11
6.00%			03/25/37			356,526		144,492
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class M1
6.63%			04/15/40	4		488,268		489,826
Lehman Mortgage Trust,
Series 2006-1, Class 1A5
5.50%			02/25/36			131,733		64,062
Lehman Mortgage Trust,
Series 2006-7, Class 2A5 (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.44%, 6.55% Cap)
1.11%			11/25/36	3,5,6		182,721		17,579
Lehman Mortgage Trust,
Series 2006-9, Class 3A2 (IO)
(-1.00 X CME Term SOFR 1-Month plus 7.12%, 7.23% Cap)
1.79%			01/25/37	3,5,6		5,583,133		363,575
Lehman Mortgage Trust,
Series 2007-5, Class 10A2 (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.23%, 6.34% Cap)
0.90%			06/25/37	3,5,6		8,359,105		831,264
Lehman Mortgage Trust,
Series 2007-5, Class 7A3
7.50%			10/25/36			491,615		188,480
Lehman XS Trust,
Series 2005-1, Class 3A4 (STEP-reset date 05/25/24)
5.37%			07/25/35			31,728		31,728
Lehman XS Trust,
Series 2006-17, Class 1A3
(CME Term SOFR 1-Month plus 0.61%)
5.94%			08/25/46	3		182,962		158,849
Lehman XS Trust,
Series 2006-17, Class 1AIO (IO)
0.60%			08/25/46	5,6		7,368,951		146,261
MASTR Alternative Loan Trust,
Series 2005-2, Class 4A3
(CME Term SOFR 1-Month plus 0.51%)
5.50%			03/25/35	3		9,796		9,616
MASTR Asset-Backed Securities Trust,
Series 2006-NC2, Class A3
(CME Term SOFR 1-Month plus 0.33%)
5.66%			08/25/36	3		697,032		271,295
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A1, Class A3
(CME Term SOFR 1-Month plus 0.43%)
5.76%			01/25/37	3		639,916		202,888

See accompanying Notes to Financial Statements.

63 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A3
(CME Term SOFR 1-Month plus 0.63%)
5.96%			04/25/37	3	$	1,961,965	$	211,373
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2B
(CME Term SOFR 1-Month plus 0.37%)
5.70%			06/25/37	3		222,009		213,238
Merrill Lynch Mortgage Investors Trust,
Series 2004-B, Class A1
(CME Term SOFR 1-Month plus 0.61%)
5.94%			05/25/29	3		3,920		3,801
Merrill Lynch Mortgage Investors Trust,
Series 2006-HE6, Class A2B
(CME Term SOFR 1-Month plus 0.41%)
4.70%			11/25/37	3		763,066		236,190
Merrill Lynch Mortgage Investors Trust,
Series 2006-RM2, Class A1A
(CME Term SOFR 1-Month plus 0.48%)
5.81%			05/25/37	3		3,477,251		943,281
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%			01/15/40			3,277		3,226
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%			10/15/40	1		30,016		29,488
Mid-State Trust XI,
Series 11, Class A1
4.86%			07/15/38			1,618		1,586
Morgan Stanley Mortgage Loan Trust,
Series 2007-13, Class 6A1
6.00%			10/25/37			174,001		95,328
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(CME Term SOFR 1-Month plus 0.36%)
5.69%			06/25/37	3		16,515		15,749
Oakwood Mortgage Investors, Inc.,
Series 1999-C, Class A2
7.48%			08/15/27			272,262		214,655
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-WCH1, Class M4
(CME Term SOFR 1-Month plus 1.36%)
6.69%			01/25/36	3		3,925		3,866
PRET LLC,
Series 2021-RN2, Class A1 (STEP-reset date 04/25/24)
1.74%			07/25/51	1		633,921		614,529
PRET LLC,
Series 2022-RN2, Class A1 (STEP-reset date 04/25/24)
5.00%			06/25/52	1		626,101		612,216
PRPM LLC,
Series 2021-11, Class A1 (STEP-reset date 04/25/24)
2.49%			11/25/26	1		294,690		289,515
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/24)
1.87%			04/25/26	1		622,909		610,049

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
PRPM LLC,
Series 2021-4, Class A1 (STEP-reset date 04/25/24)
1.87%			04/25/26	1	$	1,879,600	$	1,837,389
PRPM LLC,
Series 2021-9, Class A1 (STEP-reset date 04/25/24)
2.36%			10/25/26	1		939,662		917,900
PRPM LLC,
Series 2022-1, Class A1 (STEP-reset date 04/25/24)
3.72%			02/25/27	1		993,798		967,881
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/24)
5.56%			06/25/27	1		918,897		907,990
PRPM LLC,
Series 2022-4, Class A1 (STEP-reset date 04/25/24)
5.00%			08/25/27	1		238,241		233,286
PRPM, LLC,
Series 2021-10, Class A1 (STEP-reset date 04/25/24)
2.49%			10/25/26	1		354,584		349,455
PRPM, LLC,
Series 2021-8, Class A1
1.74%			09/25/26	1,4		539,761		520,236
Residential Accredit Loans Trust,
Series 2005-QS14, Class 3A3
6.00%			09/25/35			117,959		97,418
Residential Accredit Loans Trust,
Series 2005-QS16, Class A7
5.50%			11/25/35			375,118		313,745
Residential Accredit Loans Trust,
Series 2006-QS15, Class A3
6.50%			10/25/36			766,423		654,282
Residential Accredit Loans Trust,
Series 2006-QS18, Class 2A2 (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.44%, 6.55% Cap)
1.11%			12/25/36	3,5,6		3,977,577		397,341
Residential Accredit Loans Trust,
Series 2006-QS4, Class A2
6.00%			04/25/36			274,488		217,499
Residential Accredit Loans Trust,
Series 2006-QS4, Class A4
6.00%			04/25/36			340,031		269,434
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A15
6.00%			06/25/36			136,152		106,746
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A2
6.00%			06/25/36			534,854		419,337
Residential Accredit Loans Trust,
Series 2006-QS6, Class 1A4
6.00%			06/25/36			892,636		699,845
Residential Accredit Loans Trust,
Series 2007-QH9, Class X (IO) (PO)
0.71%			11/25/37	4,5,6		10,106,615		286,244
Residential Accredit Loans Trust,
Series 2007-QO2, Class A1
(CME Term SOFR 1-Month plus 0.26%)
5.59%			02/25/47	3		511,708		177,614

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 64

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A4
6.00%		01/25/37	$	432,241	$	330,833
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2A1 (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.53%, 6.64% Cap)
1.20%		01/25/373,5,6		6,057,046		559,962
Residential Accredit Loans Trust,
Series 2007-QS3, Class A1
6.50%		02/25/37		405,929		317,447
Residential Accredit Loans Trust,
Series 2007-QS7, Class 1A1
6.00%		05/25/37		45,487		34,593
Residential Asset Mortgage Products Trust,
Series 2006-EFC2, Class A4
(CME Term SOFR 1-Month plus 0.55%)
5.88%		12/25/363		26,418		25,871
Residential Asset Securitization Trust,
Series 2003-A15, Class 1A3 (IO)
(-1.00 X CME Term SOFR 1-Month plus 7.44%, 7.55% Cap)
2.11%		02/25/343,5,6		383,419		27,260
Residential Asset Securitization Trust,
Series 2005-A8CB, Class A9
5.38%		07/25/35		230,189		132,564
Residential Asset Securitization Trust,
Series 2006-A12, Class A1
6.25%		11/25/36		502,765		185,398
Residential Asset Securitization Trust,
Series 2006-A15, Class A2
6.25%		01/25/37		506,394		180,776
Residential Asset Securitization Trust,
Series 2006-A16, Class 1A3
6.00%		02/25/37		331,293		133,249
Residential Asset Securitization Trust,
Series 2006-A5CB, Class A4
6.00%		06/25/36		208,339		81,847
Residential Asset Securitization Trust,
Series 2007-A1, Class A1
6.00%		03/25/37		325,319		106,589
Residential Asset Securitization Trust,
Series 2007-A3, Class 1A4
5.75%		04/25/37		472,279		217,437
Residential Asset Securitization Trust,
Series 2007-A6, Class 1A3
6.00%		06/25/37		141,261		77,454
Residential Funding Mortgage Securities Trust,
Series 2006-S10, Class 1A1
6.00%		10/25/36		672,926		505,707
Residential Funding Mortgage Securities Trust,
Series 2006-S3, Class A7
5.50%		03/25/36		435,156		349,186
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A10
6.00%		07/25/36		213,027		182,725

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Funding Mortgage Securities Trust,
Series 2006-S6, Class A14
6.00%			07/25/36		$	68,307	$	56,937
Residential Funding Mortgage Securities Trust,
Series 2007-S8, Class 1A1
6.00%			09/25/37			137,417		91,578
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/24)
2.84%			01/25/36			243,481		197,619
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(CME Term SOFR 1-Month plus 0.41%)
5.74%			12/25/36	3		868,051		420,260
Soundview Home Loan Trust,
Series 2007-OPT2, Class 2A4
(CME Term SOFR 1-Month plus 0.36%)
5.69%			07/25/37	3		253,904		193,276
Soundview Home Loan Trust,
Series 2007-OPT4, Class 1A1
(CME Term SOFR 1-Month plus 1.11%)
6.44%			09/25/37	3		378,244		260,104
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 4A1
7.02%			02/25/34	4		839		799
Structured Asset Mortgage Investments II Trust,
Series 2006-AR2, Class A1
(CME Term SOFR 1-Month plus 0.57%)
5.90%			02/25/36	3		9,009		8,009
VOLT CIII LLC,
Series 2021-CF1, Class A1 (STEP-reset date 04/25/24)
1.99%			08/25/51	1		651,031		629,013
VOLT XCII LLC,
Series 2021-NPL1, Class A1 (STEP-reset date 04/25/24)
4.89%			02/27/51	1		696,552		680,978
VOLT XCVI LLC,
Series 2021-NPL5, Class A2 (STEP-reset date 04/25/24)
4.83%			03/27/51	1		937,496		847,603
WaMu Mortgage Pass-Through Certificates,
Series 2006-2, Class 1A6
6.00%			03/25/36			20,125		18,686
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class X3 (IO)
1.15%			05/25/46	5,6		6,129,047		287,518
Wells Fargo Alternative Loan Trust,
Series 2007-PA2, Class 1A1
6.00%			06/25/37			168,988		146,501
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%			11/25/37			296,528		253,232
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A3
6.37%			10/25/36	4		28,609		26,890
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 2A1
6.18%			04/25/36	4		6,073		5,766

See accompanying Notes to Financial Statements.

65 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Wells Fargo Mortgage-Backed Securities Trust,
Series 2007-7, Class A1
6.00%			06/25/37		$	1,570,697	$	1,400,245
								73,707,863
U.S. Agency Commercial Mortgage-Backed — 0.67%
Fannie Mae Pool 462209
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.18%)
6.94%			04/01/36	3		44,842		44,339
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
3.05%			07/25/39	4		244,933		3,593
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.04%			04/25/36	4		64,139		570
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.68%			01/25/39	4		496,268		2,690
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K037, Class X3 (IO)
5.02%			01/25/42	4		42,941		2
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K043, Class X1 (IO)
0.50%			12/25/24	4		22,346,371		58,173
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K044, Class X3 (IO)
1.50%			01/25/43	4		4,900,000		52,881
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K045, Class X1 (IO)
0.41%			01/25/25	4		26,140,397		57,185
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X1 (IO)
0.54%			07/25/25	4		12,041,139		66,401
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K049, Class X3 (IO)
1.55%			10/25/43	4		2,925,000		54,667
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K050, Class X1 (IO)
0.29%			08/25/25	4		21,124,650		68,938
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K056, Class X3 (IO)
2.12%			06/25/44	4		6,243,936		262,395
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K062, Class X3 (IO)
2.08%			01/25/45	4		3,000,000		155,144

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K106, Class X1 (IO)
1.32%			01/25/30	4	$	9,236,427	$	586,870
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K732, Class X3 (IO)
2.17%			05/25/46	4		4,850,000		123,944
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K735, Class X3 (IO)
2.15%			05/25/47	4		3,160,000		133,100
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series K736, Class X3 (IO)
2.01%			09/25/47	4		2,495,000		98,806
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KC05, Class X1 (IO)
1.23%			06/25/27	4		637,982		13,145
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KLU1, Class X3 (IO)
4.11%			01/25/31	4		253,606		23,334
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT1 (IO)
1.66%			05/25/25	4		3,078,013		40,530
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q013, Class XPT2 (IO)
1.81%			05/25/27	4		3,606,785		95,245
Ginnie Mae,
Series 2009-111, Class IO (IO)
0.19%			09/16/51	4		880,507		28,502
Ginnie Mae,
Series 2010-159, Class D
4.56%			09/16/44	4		100,366		98,933
Ginnie Mae,
Series 2011-119, Class IO (IO)
0.18%			08/16/51	4		1,102,322		1,787
Ginnie Mae,
Series 2011-86, Class C
3.64%			09/16/51	4		203,917		193,838
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.62%			12/16/51	4		1,461,733		17,421
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.34%			01/16/53	4		256,784		2,412
Ginnie Mae,
Series 2013-33, Class IO (IO)
0.21%			04/16/54	4		335,357		769

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 66

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2014-126, Class IO (IO)
0.71%			02/16/55	4	$	4,704,484	$	104,878
								2,390,492
U.S. Agency Mortgage-Backed — 22.07%
Fannie Mae Pool BV8515
3.00%			05/01/52			2,400,414		2,069,347
Fannie Mae Pool FS6943
3.00%			06/01/52			3,894,149		3,354,810
Fannie Mae REMICS,
Series 2005-56, Class SP
(-6.00 X SOFR30A plus 41.61%, 6.00% Cap)
6.00%			08/25/33	3		1,477		1,467
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X SOFR30A plus 5.89%, 6.00% Cap)
0.57%			11/25/41	3		53,786		4,095
Fannie Mae REMICS,
Series 2012-139, Class AI (IO)
3.00%			12/25/27			109,589		4,034
Freddie Mac Pool SD8199
2.00%			03/01/52			6,262,069		4,959,096
Freddie Mac Pool SD8245
4.50%			09/01/52			2,759,104		2,628,378
Freddie Mac Pool SD8275
4.50%			12/01/52			2,031,085		1,935,442
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%			07/15/36			198,873		39,276
Ginnie Mae (TBA)
4.50%			04/20/54			4,725,000		4,541,298
5.00%			04/20/54			4,050,000		3,981,050
5.50%			05/20/54			2,575,000		2,571,777
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.49%, 6.60% Cap)
1.16%			10/20/33	3		231,442		14,863
Ginnie Mae,
Series 2018-124, Class NW
3.50%			09/20/48			24,305		21,719
Ginnie Mae,
Series 2018-154, Class BP
3.50%			11/20/48			2,423		2,244
Ginnie Mae,
Series 2023-111, Class FN
(SOFR30A plus 1.20%)
6.52%			08/20/53	3		2,050,060		2,061,706
UMBS (TBA)
2.00%			04/01/54			7,825,000		6,198,059
2.50%			04/01/54			12,650,000		10,466,117
3.00%			04/01/54			5,200,000		4,477,360
4.00%			04/01/54			14,275,000		13,223,333
4.50%			04/01/54			7,325,000		6,977,349
5.00%			04/01/54			6,425,000		6,269,640

Issues		Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
5.50%			04/01/54	$	2,925,000	$	2,910,778
							78,713,238
Total Mortgage-Backed
(Cost $209,600,307)							177,223,247
MUNICIPAL BONDS — 0.20%*
California — 0.03%
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
3.89%			05/15/38		100,000		91,047
Florida — 0.02%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.61%			10/01/32		100,000		84,648
New York — 0.12%
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%			04/01/31		155,000		145,578
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3
1.85%			08/01/32		75,000		60,144
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%			03/15/33		100,000		80,615
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.54%			03/15/34		175,000		146,132
							432,469
Ohio — 0.03%
Ohio, Taxable Revenue Bonds, Advanced Refunding, Cleveland Clinic
2.89%			01/01/32		100,000		88,067
Total Municipal Bonds
(Cost $824,709)							696,231
U.S. TREASURY SECURITIES — 6.12%
U.S. Treasury Bonds — 0.03%
U.S. Treasury Bonds (WI)
4.25%			02/15/54		105,000		103,310
U.S. Treasury Notes — 6.09%
U.S. Treasury Notes
4.25%			03/15/27		11,900,000		11,847,473
4.50%			03/31/26		3,540,000		3,531,978
U.S. Treasury Notes (WI)
4.00%			02/15/34		310,000		304,987

See accompanying Notes to Financial Statements.

67 / Annual Report March 2024

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date		Principal  Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
4.25%			03/31/29	$	6,075,000	$	6,050,850
							21,735,288
Total U.S. Treasury Securities
(Cost $21,875,252)							21,838,598
Total Bonds — 99.98%
(Cost $391,798,193)							356,675,289
Issues				Shares		Value
COMMON STOCK — 0.15%
Communications — 0.08%
Intelsat Emergence SA2,5,6,9
(Luxembourg)					11,053		297,049
Finance — 0.07%
AGNC Investment Corp.					25,500		252,450
Specialized REITs — 0.00%
Aoyuan New Shares2,9
(Cayman Islands)					30,741		621
China Aoyuan Group Ltd.2,9
(Cayman Islands)					12,296		248
							869
Total Common Stock
(Cost $683,385)							550,368
WARRANT — 0.00%
Entertainment — 0.00%
Cineworld Group PLC2,5,6,9
(United Kingdom)					152,713		—
Total Warrant
(Cost $–)
Issues		Maturity  Date		Principal  Amount/Shares		Value
SHORT-TERM INVESTMENTS — 22.86%
Money Market Funds — 10.16%
Dreyfus Government Cash Management Fund
5.20%21					15,526,000		15,526,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%21					95,686		95,686
JPMorgan U.S. Government Money Market Fund
5.16%21					3,212,000		3,212,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%21					17,407,000		17,407,000
							36,240,686
U.S. Treasury Bills — 12.70%
U.S. Treasury Bills (WI)
5.29%22			07/09/24		10,000,000		9,853,048
5.30%22			05/16/24		14,000,000		13,902,560

Issues		Maturity  Date		Principal  Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
5.37%22			04/18/24	$	10,000,000	$	9,975,167
5.46%22			04/04/24		11,592,500		11,582,359
							45,313,134
Total Short-Term Investments
(Cost $81,569,758)							81,553,820
Total Investments - 122.99%
(Cost $474,051,336)							438,779,477
Liabilities in Excess of Other Assets - (22.99)%							(82,024,008	)
Net Assets - 100.00%						$	356,755,469

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  Foreign denominated security issued by foreign domiciled entity.

³  Floating rate security. The rate disclosed was in effect at March 31, 2024.

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 $5,003,395, which is 1.40% of total net assets.

⁷  Perpetual security with no stated maturity date.

⁸  Payment-in-kind (“PIK”) security.

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, 2024.

¹²  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -7.50% cash or 8.50% payment-in-kind interest.

¹³  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -8.00% cash or 9.00% payment-in-kind interest.

¹⁴  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -8.80% cash or 9.80% payment-in-kind interest.

¹⁵  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -5.00% cash or 6.00% payment-in-kind interest.

¹⁶  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -5.25% cash or 6.25% payment-in-kind interest.

¹⁷  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -5.50% cash or 6.50% payment-in-kind interest.

¹⁸  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -5.75% cash or 6.75% payment-in-kind interest.

¹⁹  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -6.00% cash or 7.00% payment-in-kind interest.

²⁰  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -6.25% cash or 7.25% payment-in-kind interest.

²¹  Represents the current yield as of March 31, 2024.

²²  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.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 68

Flexible Income Fund

Schedule of Portfolio Investments

March 31, 2024

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

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(TSFR): Term Secured overnight financing rate

(WI): When Issued

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement   Date		Unrealized  Appreciation  (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 8,116,160	EUR 7,380,000	Citibank N.A.		04/12/24	$	141,121
USD 542,618	EUR 501,000	Bank of America N.A.		04/12/24		1,223
USD 169,800	EUR 154,000	Citibank N.A.		04/12/24		3,383
USD 11,942	EUR 11,000	Goldman Sachs International		04/12/24		55
USD 1,236,875	GBP 969,000	Citibank N.A.		04/12/24		12,688
						158,470
EUR 531,000	USD 577,755	Bank of America N.A.		04/12/24		(3,941)
EUR 1,808,000	USD 1,964,926	Citibank N.A.		04/12/24		(11,149)
EUR 174,000	USD 189,036	The Bank of New York Mellon		04/12/24		(1,007)
						(16,097)
NET UNREALIZED APPRECIATION					$	142,373

Description	Number of Contracts	Expiration Date		Notional Amount		Value		Unrealized  Appreciation  (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note	1,292		06/28/24	$	138,264,194	$	125,829	$	125,829
U.S. Treasury Two-Year Note	171		06/28/24		34,966,828		(25,635)		(25,635)
					173,231,022		100,194		100,194
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond	276		06/18/24		(31,632,189)		(197,832)		(197,832)
U.S. Treasury Ultra Bond	91		06/18/24		(11,739,000)		(104,682)		(104,682)
Euro-Bobl Future	16		06/06/24		(2,043,360)		(8,692)		(8,692)
Euro-Bund Future	12		06/06/24		(1,728,605)		(12,068)		(12,068)
Long Gilt Future	4		06/26/24		(504,997)		(12,941)		(12,941)
Euro-Buxl 30 Year	3		06/06/24		(439,992)		(8,881)		(8,881)
Euro-Schatz Future	3		06/06/24		(342,468)		(64)		(64)
					(48,430,611)		(345,160)		(345,160)
TOTAL FUTURES CONTRACTS				$	124,800,411	$	(244,966)	$	(244,966)

See accompanying Notes to Financial Statements.

69 / Annual Report March 2024

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 95.13%
ASSET-BACKED SECURITIES — 0.97%**
AMMC CLO 18 Ltd.,
Series 2016-18A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.19%		05/26/311,2,3	$	915,000	$	915,911
AMMC CLO 30 Ltd.,
Series 2024-30A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.68%)
6.97%		01/15/371,2,3		750,000		753,337
CIFC Funding Ltd.,
Series 2022-2A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.32%)
6.63%		04/19/351,2,3		500,000		500,362
Elmwood CLO 15 Ltd.,
Series 2022-2A, Class A1
(United Kingdom)
(CME Term SOFR 3-Month plus 1.34%)
6.66%		04/22/351,2,3		250,000		250,148
Golub Capital Partners CLO 69M,
Series 2023-69A, Class B1
(CME Term SOFR 3-Month plus 3.25%)
8.66%		11/09/361,3		500,000		505,470
Total Asset-Backed Securities
(Cost $2,885,172)						2,925,228
BANK LOANS — 91.58%*
Automotive — 0.77%
Clarios Global LP,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.00%)
8.33%		05/06/302,3		1,000,000		1,003,750
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.26%)
10.57%		03/30/273		1,332,525		1,336,190
						2,339,940
Communications — 5.21%
Altice Financing SA,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 5.00%)
9.56%		10/28/272,3		1,430,090		1,347,417
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.30%		12/17/273		1,088,539		1,083,581
Ciena Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%		10/24/303		1,240,641		1,244,908
Consolidated Communications, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 3.61%)
8.94%		10/02/273		750,000		713,723

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Communications (continued)
CSC Holdings LLC,
Term Loan B5, 1st Lien
(SOFR plus 2.50%)
7.94%		04/15/273	$	1,670,675	$	1,514,943
Cyxtera DC Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
5.07%		05/01/243		350,844		18,011
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
8.62%		10/08/273		723,250		722,573
GoTo Group, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.85%)
10.17%		04/28/283		168,066		129,495
10.17%		04/30/283		121,703		116,353
NEP Group, Inc.,
Term Loan
(SOFR plus 4.11%)
10.94%		08/19/263		502,610		481,249
Term Loan B, 1st Lien
(SOFR plus 3.36%)
8.69%		08/19/263,4		986,228		942,775
NEP/NCP Holdco, Inc.,
Term Loan, 2nd Lien
(SOFR plus 7.11%)
12.44%		10/19/263		440,000		359,058
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.76%)
11.07%		12/20/243		1,620,678		977,982
Numericable U.S. LLC,
Term Loan B14, 1st Lien
(SOFR plus 5.50%)
10.81%		08/16/283		1,488,750		1,191,469
Planet U.S. Buyer LLC,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.81%		02/07/313		368,421		370,057
Radiate Holdco LLC,
Term Loan B, 1st Lien
(SOFR plus 3.36%)
8.69%		09/25/263		246,843		207,348
Red Ventures LLC,
Term Loan B4, 1st Lien
(SOFR plus 3.00%)
8.33%		03/03/303		491,259		489,768
United Talent Agency LLC,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
9.44%		07/07/283		987,342		990,427
Virgin Media Bristol LLC,
Term Loan Y, 1st Lien
(SOFR plus 3.35%)
8.79%		03/31/313		1,200,000		1,183,830

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 70

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Communications (continued)
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		03/09/273	$	1,385,276	$	1,219,438
(SOFR plus 4.33%)
9.66%		03/09/273		490,000		440,760
						15,745,165
Consumer Discretionary — 3.98%
Arterra Wines Canada, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 3.76%)
9.07%		11/24/273		518,799		482,319
BRE/Everbright M6 Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 5.10%)
10.42%		09/09/263		1,000,000		1,000,420
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%		04/05/283		1,967,332		1,544,887
Crocs, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.25%)
7.55% - 7.58%		02/20/293		451,740		453,355
Hanesbrands, Inc.,
Term Loan A, 1st Lien
(SOFR plus 2.60%)
7.93%		11/19/263		973,684		960,296
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.66%		01/24/292,3		491,250		460,714
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%		01/24/303		2,100,000		1,721,338
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		07/31/283		1,866,920		1,872,372
(SOFR plus 4.25%)
9.57% - 9.58%		07/31/283,5		358,957		361,014
Pegasus Bidco BV,
Term Loan B, 1st Lien (Netherlands)
(SOFR plus 3.75%)
9.06%		07/12/292,3		1,360,645		1,362,918
Tecta America Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.36%)
9.69%		04/10/283		859,697		862,989
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.51%)
8.23%		03/31/283		959,418		950,548
						12,033,170

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Electric — 1.65%
Calpine Construction Finance Co. LP,
Term Loan B, 1st Lien
(SOFR plus 2.25%)
7.58%		07/31/303	$	646,750	$	646,792
Calpine Corp.,
Term Loan B10, 1st Lien
(SOFR plus 2.00%)
7.33%		01/31/313		185,504		184,585
Term Loan B5, 1st Lien
(SOFR plus 2.00%)
7.33%		12/16/273		714,286		714,429
CommScope, Inc.,
Term Loan B2, 1st Lien (France)
(SOFR plus 3.36%)
8.69%		04/06/262,3		427,859		389,352
Edgewater Generation LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		12/13/253		734,433		733,097
Generation Bridge Northeast LLC,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.83%		08/22/293		524,983		525,967
Hamilton Projects Acquiror LLC,
Term Loan B, 1st Lien
(SOFR plus 4.61%)
9.94%		06/17/273		430,080		432,063
Lackawanna Energy Center LLC,
Term Loan B2, 1st Lien
(SOFR plus 5.00%)
10.33%		08/06/293		704,177		701,536
Term Loan C, 1st Lien
(SOFR plus 5.00%)
10.33%		07/20/293		153,102		152,528
Talen Energy Supply, LLC,
Term Loan TLB, 1st Lien
(SOFR plus 4.50%)
9.83%		05/17/303		274,119		275,466
Term Loan TLC, 1st Lien
(SOFR plus 4.50%)
9.83%		05/17/303		223,810		224,910
						4,980,725
Energy — 1.70%
Apro LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		11/14/263		1,057,831		1,061,269
Bip Pipeco Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.58%		12/05/303		580,000		581,633
ChampionX Corp.,
Term Loan B2, 1st Lien
(SOFR plus 2.85%)
8.18%		06/07/293		497,500		500,423

See accompanying Notes to Financial Statements.

71 / Annual Report March 2024

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Energy (continued)
ITT Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.68%		10/05/303	$	1,310,488	$	1,313,928
NGL Energy Operating LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.83%		02/03/313		750,000		752,812
Parkway Generation LLC,
Term Loan B, 1st Lien
(SOFR plus 5.01%)
10.32%		02/18/293		472,145		471,673
Term Loan C, 1st Lien
(SOFR plus 5.01%)
10.32%		02/18/293		62,722		62,659
TMS International Corp.,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 4.25%)
9.58% - 9.59%		03/02/302,3		397,000		399,731
						5,144,128
Entertainment — 2.31%
Banijay Group U.S. Holding, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.57%		03/01/283		678,727		680,777
Formula One Management Ltd.,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 2.25%)
7.56%		01/15/302,3		2,211,392		2,216,367
NAI Entertainment Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 5.50%)
10.83%		05/08/253,6		713		710
SMG US Midco 2, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.76%)
8.07%		01/23/253		974,561		975,428
WildBrain Ltd.,
Term Loan B, 1st Lien
(SOFR plus 4.25%)
9.58%		03/24/283		1,455,000		1,411,648
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(SOFR plus 2.86%)
8.19%		05/16/253		1,696,817		1,697,725
						6,982,655
Finance — 2.84%
Auris Lux III SA,
Term Loan B2, 1st Lien (Luxembourg)
(SOFR plus 3.75%)
9.62%		02/27/262,3		1,187,509		1,191,594

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Finance (continued)
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B6, 1st Lien
(SOFR plus 2.00%)
7.33%		06/22/283	$	997,500	$	998,906
Blackhawk Network Holdings, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 5.00%)
10.33%		02/27/293		750,000		752,153
Cushman & Wakefield U.S. Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.15%		01/31/303		422,232		421,573
DCG Acquisition Corp.,
Term Loan, 1st Lien
(SOFR plus 4.60%)
9.93%		09/30/263		1,030,670		1,032,927
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.06%		04/09/273		973,299		969,717
Term Loan B, 2nd Lien
(SOFR plus 7.01%)
8.65%		04/07/283		250,000		250,469
Finco I LLC,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
8.31%		06/27/293		516,100		517,659
Guardian U.S. Holdco,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.81%		01/31/303		389,083		390,590
Guggenheim Partners Investment Management Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.55%		12/12/293		740,625		744,484
Jane Street Group LLC,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%		01/26/283		946,340		947,878
WEC U.S. Holdings Ltd.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
8.08%		01/27/313		355,263		355,263
						8,573,213
Food — 3.34%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		10/01/253		487,016		479,643
(SOFR plus 4.86%)
10.19%		10/01/253		487,500		480,594
Term Loan, 2nd Lien
(SOFR plus 7.86%)
13.19%		10/01/263		870,000		796,050

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 72

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Food (continued)
Aramark Services, Inc.,
Term Loan B7, 1st Lien
(SOFR plus 2.00%)
7.33%		04/06/283	$	1,000,000	$	1,001,565
Chobani LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.42%		10/25/273		716,396		719,082
Dessert Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.11%)
9.44%		06/09/283		852,276		798,480
Fiesta Purchaser, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		02/12/313		845,610		848,016
Froneri U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.68%		01/29/273		639,132		640,196
H-Food Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.95%)
9.29%		05/23/253		245,443		179,635
Matterhorn Merger Sub LLC,
Term Loan B2, 1st Lien
(SOFR plus 4.26%)
9.60%		05/23/253		1,446,974		1,059,011
Sigma Holdco BV,
Term Loan B7, 1st Lien
(SOFR plus 4.91%)
10.31%		01/02/283		515,037		513,348
Simply Good Foods USA, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.60%)
7.93%		03/17/273		171,429		171,697
Snacking Investments Bidco,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		12/18/263		1,212,824		1,216,105
Solina Group Services,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		02/28/293		477,273		478,767
Utz Quality Foods LLC,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
7.92%		01/20/283		696,896		699,011
						10,081,200
Gaming — 3.02%
Bally’s Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.51%)
8.83%		10/02/283		240,675		226,585

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Gaming (continued)
Caesars Entertainment, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.15%		02/06/303	$	445,500	$	447,326
Term Loan B1, 1st Lien
(SOFR plus 2.75%)
8.04%		02/06/313		520,000		521,056
Entain PLC,
Term Loan B2, 1st Lien
(SOFR plus 3.60%)
8.91%		10/31/293		395,003		397,101
Flutter Entertainment PLC,
Term Loan B, 1st Lien (Ireland)
(SOFR plus 2.25%)
7.56%		11/25/302,3		1,267,170		1,269,996
GVC Holdings Gibraltar Ltd.,
Term Loan B4, 1st Lien
(SOFR plus 2.60%)
7.91%		03/29/273		1,701,875		1,706,308
J&J Ventures Gaming LLC,
Delayed-Draw Term Loan B, 1st Lien
(SOFR plus 4.36%)
9.69%		04/26/283		500,000		496,250
Ontario Gaming Gta Ltd. Partnership,
Term Loan B, 1st Lien (Canada)
(SOFR plus 4.25%)
9.57%		08/01/302,3		1,018,003		1,022,731
PCI Gaming Authority,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%		05/29/263		1,250,000		1,254,050
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%		05/03/293		982,500		984,652
Scientific Games International, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
8.08%		04/14/293		783,559		786,223
						9,112,278
Health Care — 13.43%
Accent Care,
Term Loan
(SOFR plus 5.50%)
10.69%		06/20/283		616,653		626,288
ADMI Corp.,
Term Loan B1, 1st Lien
(SOFR plus 5.75%)
11.08%		12/23/273		748,125		749,763
Bausch + Lomb Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.35%)
8.68%		05/10/272,3		1,256,276		1,244,655

See accompanying Notes to Financial Statements.

73 / Annual Report March 2024

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Health Care (continued)
Term Loan, 1st Lien (Canada)
(SOFR plus 4.00%)
9.33%		09/29/282,3	$	497,500	$	498,125
Bella Holding Co. LLC,
Term Loan, 1st Lien
(SOFR plus 3.85%)
9.18%		05/10/283		477,551		477,417
Carestream Dental Equipment, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.56%		09/01/243		250,000		218,334
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.94%		09/01/243		1,564,013		1,365,250
Catalent Pharma Solutions, Inc.,
Term Loan B3, 1st Lien
(SOFR plus 2.11%)
7.44%		02/22/283		991,062		991,681
Term Loan B4, 1st Lien
(SOFR plus 3.00%)
8.33%		02/22/283		1,037,499		1,041,390
Certara Holdco, Inc.,
Term Loan B, 1st Lien (France)
(SOFR plus 3.76%)
9.10%		08/15/262,3		1,945,000		1,949,862
Charlotte Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.25%)
10.57%		02/11/283		1,567,064		1,574,101
Curia Global, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.16%		08/30/263		1,102,577		1,053,132
Curium Bidco SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 4.50%)
9.81%		07/31/292,3		994,987		1,001,206
CVET Midco 2 LP,
Term Loan, 1st Lien
(SOFR plus 5.00%)
10.31%		10/13/293		542,639		543,958
eResearchTechnology, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.61%)
9.94%		02/04/273		1,478,134		1,484,269
Financiere Mendel,
Term Loan B, 1st Lien (France)
(SOFR plus 4.25%)
9.56%		11/12/302,3		530,121		531,976
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
7.40%		12/30/263		496,124		497,007

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Health Care (continued)
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.15%)
7.46%		11/15/273	$	498,698	$	483,954
Heartland Dental LLC,
Term Loan B, 1st Lien
(SOFR plus 5.00%)
10.33%		04/28/283		976,811		980,049
Inception Finco SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 4.50%)
9.82%		03/17/312,3		333,333		333,542
IVC Acquisition Ltd.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 5.50%)
10.81%		12/12/282,3		1,072,313		1,076,334
Jazz Financing Lux SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.11%)
8.44%		05/05/282,3		1,800,746		1,812,000
National Seating & Mobility,
Term Loan, 1st Lien
(SOFR plus 5.35%)
10.66%		11/16/263		1,431,005		1,423,406
NMN Holdings III Corp.,
Term Loan, 1st Lien
(SOFR plus 3.61%)
8.94%		11/13/253		1,382,287		1,362,707
Option Care Health, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
8.19%		10/27/283		1,955,000		1,963,308
Organon & Co.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
7.75%		06/02/283		1,301,675		1,307,917
Pacific Dental Services LLC,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.57%		03/17/313		975,000		976,423
Parexel International, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.36%)
8.69%		11/15/283		1,956,297		1,962,968
Peraton Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		02/01/283		1,139,304		1,140,466
Perrigo Investments LLC,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.15%		04/20/293		1,471,266		1,468,816
Pluto Acquisition I, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.32%		09/20/283		1,225,653		1,078,575

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 74

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Health Care (continued)
Prestige Brands, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 2.11%)
7.44%		07/03/283	$	536,932	$	540,288
Resonetics LLC,
Term Loan, 1st Lien
(SOFR plus 4.26%)
9.60%		04/28/283		1,707,472		1,713,568
RXB Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.61%)
9.94%		12/20/273		496,173		498,654
(SOFR plus 5.25%)
10.58%		12/20/273		701,068		702,821
Sharp Services LLC,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.41%		12/31/283		974,446		975,060
(SOFR plus 4.50%)
9.81%		12/31/283		250,000		250,470
Star Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		09/27/303		1,514,644		1,507,169
Surgery Center Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.50%)
8.83%		12/19/303		500,000		502,952
U.S. Renal Care, Inc.,
Term Loan, 1st Lien
(SOFR plus 5.11%)
10.44%		06/20/283		183,389		159,854
Vizient, Inc.,
Term Loan B7, 1st Lien
(SOFR plus 2.35%)
7.68%		05/16/293		494,962		497,561
						40,567,276
Industrial REITs — 0.56%
Avison Second Out,
Term Loan
(SOFR plus 8.26%)
13.58%		03/12/293		465,771		372,617
Avison Third Out,
Term Loan
(SOFR plus 8.26%)
13.58%		03/12/293		156,390		93,443
Avison Young USA, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.75%)
4.75%		05/17/283		1,242,139		1,229,332
						1,695,392

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Industrials — 14.27%
Alliance Laundry Systems, LLC,
Term Loan B, 1st Lien
(SOFR plus 3.60%)
8.93%		10/08/273	$	1,317,834	$	1,323,685
Arcline FM Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
10.33%		06/23/283		748,082		749,485
Artera Services LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.81%		02/15/313		1,218,750		1,224,844
AZZ, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.91% - 9.33%		05/14/293		1,484,531		1,493,252
BCPE Empire Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.00%)
9.33%		12/11/283		1,286,209		1,289,103
Bleriot U.S. Bidco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.57%		10/31/283		964,193		969,014
Brown Group Holding LLC,
Term Loan B2, 1st Lien
(SOFR plus 3.00%)
8.31% - 8.34%		07/02/293		563,138		563,808
Coherent Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.50%)
7.82%		07/02/293		1,111,594		1,111,594
(SOFR plus 2.86%)
7.38% - 7.67%		07/02/293		434,933		436,347
Compass Power Generation LLC,
Term Loan B, 1st Lien
(SOFR plus 4.36%)
9.69%		04/14/293		779,843		785,582
Conserve Merger Sub, Inc.,
Term Loan, 1st Lien (France)
(SOFR plus 3.60%)
8.93%		08/08/252,3		1,890,000		1,892,655
Convergint Technologies,
Term Loan, 1st Lien
(SOFR plus 3.86%)
9.19%		03/31/283		486,266		486,786
Dermatology Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.56%		03/30/293		773,038		756,611
DG Investment Intermediate Holdings 2, Inc.,
Term Loan, 2nd Lien
(SOFR plus 6.86%)
12.19%		03/30/293		250,000		234,688

See accompanying Notes to Financial Statements.

75 / Annual Report March 2024

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Industrials (continued)
DTI Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.75%)
10.06%		04/26/293	$	1,475,025	$	1,476,869
Eagle 4 Ltd.,
Term Loan B, 1st Lien
(SOFR plus 4.01%)
9.32%		07/12/283		488,508		489,527
Filtration Group Corp.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%		10/21/283		1,008,614		1,012,966
Gates Global LLC,
Term Loan B4, 1st Lien
(SOFR plus 3.00%)
8.33%		11/16/293		492,500		494,699
Gopher Resource LLC,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.69%		03/06/253		991,924		890,098
Graham Packaging Co., Inc.,
Term Loan, 1st Lien
(SOFR plus 3.11%)
8.44%		08/04/273		500,000		500,470
Innio Group Holding GmbH,
Term Loan B, 1st Lien
(SOFR plus 4.25%)
9.56%		11/02/283		750,000		754,845
KAMC Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.26%)
9.60%		08/14/263,7,8		1,538,660		1,527,120
MI Windows and Doors LLC,
Term Loan B2, 1st Lien
(SOFR plus 3.50%)
8.83%		03/20/313		750,000		754,455
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(SOFR plus 4.51%)
9.82%		04/15/283		1,219,327		1,097,120
Minimax Viking GmbH - MX Holdings U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
8.19%		07/31/283		473,232		474,514
NMN Holdings III Corp.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 3.61%)
8.94%		11/13/253		296,657		292,455
Osmose Utilities Services, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.36%)
7.88%		06/23/283		115,123		113,756
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		03/20/253		1,977,897		1,922,792

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Industrials (continued)
Term Loan, 2nd Lien
(SOFR plus 7.75%)
13.08%		03/20/263	$	500,000	$	435,000
Peacock Merger Corp.,
Term Loan, 1st Lien
(SOFR plus 4.51%)
9.81%		12/29/283		478,876		446,454
Plaze, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		08/03/263		483,750		477,703
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.61%)
8.94%		08/03/262,3		1,728,698		1,707,089
Pretium PKG Holdings, Inc.,
Term Loan A, 1st Lien
(SOFR plus 7.50%)
12.81%		10/02/283,6		446,648		453,626
Term Loan A1, 1st Lien
(SOFR plus 4.60%)
9.91%		10/02/283,6		365,746		328,715
ProAmpac PG Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.80% - 9.82%		09/15/283		1,815,867		1,821,314
Protective Industrial Products, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
9.44%		12/29/273		1,345,832		1,345,833
Rockwood Service Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.36%)
9.69%		01/23/273		177,649		178,538
SPX Flow, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.60%)
9.41% - 9.58%		04/05/293		1,121,413		1,127,429
Standard Industries, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.69%		09/22/283		485,227		485,996
Titan Acquisition, Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		03/28/253		497,355		497,561
TK Elevator Midco Gmbh,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.82%		04/30/303		665,000		668,002
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(PRIME plus 2.50%)
11.00%		05/30/243		2,372,239		1,766,951

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 76

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Industrials (continued)
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 2.75%)
8.08%		08/24/283	$	1,738,119	$	1,746,001
Vantage Elevator Solutions,
Term Loan, 1st Lien
(SOFR plus 4.01%)
9.34%		11/19/283		1,956,297		1,863,373
Verde Purchaser, LLC,
Term Loan B, 1st Lien
(SOFR plus 5.00%)
10.31%		11/30/303		450,000		448,034
Windsor Holdings III LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		08/01/303		658,855		662,255
Wrench Group LLC,
Term Loan, 1st Lien
(SOFR plus 4.00%)
9.44%		04/30/263		1,504,835		1,511,893
						43,090,907
Information Technology — 16.50%
Applovin Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.50%)
7.83%		08/16/303		1,582,433		1,583,422
AQAAcquisition Holding, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.51%)
9.82%		03/03/283		684,481		685,771
Arches Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.68%		12/06/273		588,276		571,160
Azalea Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		07/24/263		490,000		488,162
BMC Software (Boxer/Bladelogic),
Term Loan B, 1st Lien
(SOFR plus 4.25%)
9.58%		12/29/283		997,500		1,005,086
Buzz Merger Sub Ltd.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
8.18%		01/29/273		1,490,943		1,496,072
Castle U.S. Holding Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.01%)
9.35%		01/29/273		966,667		684,434
Central Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		07/06/293		1,637,625		1,644,356

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%		12/16/253	$	1,841,752	$	1,840,601
Delivery Hero SE,
Term Loan B, 1st Lien
(SOFR plus 5.00%)
10.33%		12/12/293		851,064		846,809
Dodge Data & Analytics, LLC,
Term Loan, 1st Lien
(SOFR plus 4.75%)
9.78%		02/23/293		486,288		402,403
EagleView Technology Co.,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
9.06%		08/14/253		2,645,461		2,575,779
ECI Macola/Max Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.08%		05/28/303		1,000,000		1,004,400
Electron Bidco, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.11%)
8.44%		11/01/283		980,000		983,136
Emerald Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.94%		07/24/263		1,293,334		1,288,212
Epicor Software Corp.,
Term Loan D, 1st Lien
(SOFR plus 3.75%)
9.08%		07/30/273		748,125		752,868
EQT Box Merger Sub, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.68% - 8.83%		04/17/283		1,470,550		1,473,925
Evertec Group LLC,
Term Loan B, 1st Lien (Puerto Rico)
(SOFR plus 3.50%)
8.83%		10/30/302,3		353,571		354,897
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
8.72% - 8.99%		10/01/273		1,454,887		1,394,328
Genesys Cloud Services Holdings II LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		12/01/273		750,000		753,754
Go Daddy Operating Co., LLC,
Term Loan B6, 1st Lien
(SOFR plus 2.00%)
7.33%		11/09/293		746,250		746,642
Helios Software Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		07/18/303		1,154,207		1,146,278

See accompanying Notes to Financial Statements.

77 / Annual Report March 2024

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Idemia America Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.25%)
9.56%		09/30/283	$	441,997	$	445,035
Instructure Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.01%)
8.35%		10/30/283		249,364		249,676
Iron Mountain Information Management LLC,
Term Loan B, 1st Lien
(SOFR plus 2.25%)
7.58%		01/31/313		766,372		761,900
Magenta Buyer LLC,
Term Loan, 1st Lien
(SOFR plus 5.26%)
10.57%		07/27/283		965,127		579,076
Term Loan, 2nd Lien
(SOFR plus 8.51%)
13.82%		07/27/293		446,493		134,691
Magnite, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.60% - 9.82%		02/06/313		2,437,500		2,444,618
(SOFR plus 5.26%)
10.33%		04/28/283		488,550		489,160
Match Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.90%)
7.23%		02/13/273		1,000,000		1,000,000
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%		05/03/283		1,295,149		1,288,965
Mitchell International, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		10/15/283		1,154,640		1,156,419
Term Loan, 2nd Lien
(SOFR plus 6.50%)
11.82%		10/15/293		500,000		500,312
Open Text Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 2.85%)
8.18%		01/31/302,3		1,148,359		1,151,626
Pactiv Evergreen Group Holdings, Inc.,
Term Loan B3, 1st Lien
(SOFR plus 3.36%)
8.69%		09/22/283		1,211,326		1,216,929
Peraton Corp.,
Term Loan, 2nd Lien
(SOFR plus 7.85%)
13.18%		02/01/293		248,837		250,019
Playtika Holding Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
8.19%		03/13/283		1,477,291		1,480,630

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Plusgrade, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 4.50%)
9.84%		03/03/312,3	$	914,634	$	916,921
Project Boost Purchaser, LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.94%		06/01/263		1,465,473		1,470,185
Project Ruby Ultimate Parent Corp.,
Term Loan B1, 1st Lien
(SOFR plus 3.61%)
8.94%		03/10/283		500,000		501,250
Proofpoint, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.36%)
8.69%		08/31/282,3		925,650		927,164
Quartz AcquireCo LLC,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.81%		06/28/303		906,697		910,949
Renaissance Holding Corp.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.58%		04/05/303		1,368,757		1,373,034
Severin Acquisition, LLC,
Term Loan, 1st Lien
(SOFR plus 3.25%)
8.56%		08/01/273		748,125		750,541
Sophia LP,
Term Loan B, 1st Lien
(SOFR plus 3.60%)
8.93%		10/07/293		1,085,463		1,091,433
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.59%		03/03/283		446,407		414,567
StubHub Holdco Sub LLC,
Term Loan B, 1st Lien
(SOFR plus 4.75%)
10.08%		03/12/303		233,333		233,964
TIBCO Software, Inc.,
Term Loan A, 1st Lien
(SOFR plus 4.50%)
9.50%		09/29/283		489,332		488,006
Ultra Clean Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.19%		08/27/253		1,500,000		1,503,757
Waystar Technologies, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		10/22/293		507,962		509,867
Xerox Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		11/15/293		1,209,688		1,216,873

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 78

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Zoominfo LLC,
Term Loan B, 1st Lien
(SOFR plus 2.25%)
7.58%		02/28/303	$	668,603	$	669,439
						49,849,501
Insurance — 2.12%
Acrisure LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.50%)
8.94%		02/15/273		1,425,941		1,426,832
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
8.19%		02/19/283		497,481		499,001
AssuredPartners, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.50%)
8.83%		02/12/273		1,854		1,858
Asurion LLC,
Term Loan B10, 1st Lien
(SOFR plus 4.10%)
8.91%		08/19/283		1,757,705		1,697,284
Term Loan B8, 1st Lien
(SOFR plus 3.36%)
8.69%		12/23/263		994,859		977,090
Term Loan B9, 1st Lien
(SOFR plus 3.36%)
8.69%		07/31/273		319,593		307,894
Truist Insurance Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.57%		03/24/313		1,500,000		1,499,370
						6,409,329
Materials — 3.87%
Archroma Finance Sarl,
Term Loan B, 1st Lien
(SOFR plus 5.50%)
10.97%		06/30/273		496,250		486,017
Arsenal Aic Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.08%		08/19/303		801,272		804,978
Chariot Buyer LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.08%		11/03/283		548,780		550,611
Cyanco Intermediate 2 Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.75%)
10.08%		07/10/283		553,893		556,895
HB Fuller Co.,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%		02/15/303		788,186		790,944

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Materials (continued)
Herens U.S. Holdco Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.03%)
9.33%		07/03/283	$	415,184	$	391,923
Loparex Midco BV,
Term Loan, 1st Lien (Netherlands)
(SOFR plus 6.00%)
11.34%		02/01/272,3		1,206,882		1,200,847
Loparex New Second Out,
Term Loan B, 1st Lien (Netherlands)
(SOFR plus 4.50%)
10.74%		02/01/272,3		82,901		72,331
LSF11 A5 HoldCo LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.94%		10/15/283		724,437		725,614
Lummus Technology Holdings V LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.94%		12/31/293		503,128		504,336
Mativ Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 2.60%)
7.93%		05/06/273		1,125,000		1,108,125
Nouryon Finance BV,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.42%		04/03/283		1,116,563		1,121,448
Plaskolite PPC Intermediate II LLC,
Term Loan, 1st Lien
(SOFR plus 4.11%)
9.44%		12/15/253		1,439,161		1,415,774
Potters Borrower LP,
Term Loan, 1st Lien
(SOFR plus 4.10%)
9.41%		12/14/273		1,448,768		1,455,106
SCIH Salt Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.32%		03/16/273		498,436		499,909
						11,684,858
Retail — 2.66%
BJ’s Wholesale Club, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%		02/03/293		400,000		402,084
EG America LLC,
Term Loan BC, 1st Lien
(SOFR plus 5.50%)
10.82%		02/07/283		195,103		193,640
KFC Holding Co.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		03/15/283		1,230,306		1,231,130

See accompanying Notes to Financial Statements.

79 / Annual Report March 2024

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Retail (continued)
MIC Glen LLC,
Term Loan B2, 1st Lien
(SOFR plus 3.25%)
9.58%		07/21/283	$	500,000	$	502,293
Term Loan, 1st Lien
(SOFR plus 3.36%)
8.69%		07/21/283		710,958		710,901
Pacific Bells LLC,
Term Loan B, 1st Lien
(SOFR plus 4.76%)
10.06%		11/10/283		498,725		496,480
Peer Holding III BV,
Term Loan B4, 1st Lien (Netherlands)
(SOFR plus 3.25%)
8.58%		10/28/302,3		1,475,904		1,480,287
Tacala Investment Corp.,
Term Loan, 1st Lien
(SOFR plus 4.00%)
9.33%		01/31/313		1,000,000		1,002,190
U.S. Anesthesia Partners, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.36%)
9.69%		10/01/283		586,558		562,201
Whatabrands LLC,
Term Loan B, 1st Lien
(SOFR plus 3.36%)
8.69%		08/03/283		1,463,794		1,466,363
						8,047,569
Services — 12.05%
Action Environmental Group, Inc. (The),
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.82%		10/24/303,9		953,363		955,746
AlixPartners LLP,
Term Loan B, 1st Lien
(SOFR plus 2.50%)
7.83%		02/04/283		967,236		969,533
Allied Universal Holdco LLC,
Term Loan B, 1st Lien
(SOFR plus 4.75%)
10.08%		05/12/283		248,750		249,771
Alterra Mountain Co.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.58%		08/17/283		250,000		251,355
(SOFR plus 3.85%)
9.18%		05/31/303		467,057		469,976
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
8.82% - 9.03%		02/15/293		1,714,438		1,720,507
API Group DE, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%		01/03/293		500,000		501,667

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Services (continued)
ArchKey Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 5.36%)
10.69%		06/29/283	$	240,665	$	240,965
Arcis Golf LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		11/24/283		982,538		987,450
Belron Finance U.S. LLC,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 2.35%)
7.66%		04/18/292,3		1,000,000		1,002,085
Bifm CA Buyer, Inc.,
Term Loan, 1st Lien (Canada)
(SOFR plus 4.50%)
9.82%		05/31/282,3		500,000		502,812
Camelot U.S. Acquisition I Co.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
8.08%		01/31/313		1,263,929		1,264,877
CCRR Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		03/06/283		493,639		447,153
CH Gunther PPC Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		12/08/283		979,869		982,319
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		10/08/283		498,724		500,283
Confluent Medical Technologies, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.06%		02/16/293		733,163		733,163
Corp. Service Co.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
8.08%		11/02/293		1,331,151		1,335,590
Covanta Holding Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.50%)
7.83%		11/30/283		449,402		448,982
(SOFR plus 2.75%)
8.07%		11/30/283		143,826		143,966
Term Loan C, 1st Lien
(SOFR plus 2.50%)
7.83%		11/30/283		34,350		34,318
(SOFR plus 2.75%)
8.07%		11/30/283		10,814		10,825
CRCI Longhorn Holdings, Inc.,
Term Loan, 2nd Lien
(SOFR plus 7.35%)
12.68%		08/10/263		505,676		494,930

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 80

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Services (continued)
Creative Artists Agency LLC,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.83%		11/27/283	$	956,984	$	959,975
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 4.35%)
9.66%		07/06/293		576,908		578,111
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.66%		07/06/293		1,249,967		1,252,573
Ensemble RCM LLC,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
8.32%		08/01/293		507,652		509,378
Garda World Security Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 4.25%)
9.58%		02/01/292,3		750,000		752,347
GFL Environmental, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 2.50%)
7.82%		05/31/272,3		497,500		499,990
HomeServe USA Holding Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
8.33%		10/21/303		674,699		677,145
Kuehg Corp.,
Term Loan, 1st Lien
(SOFR plus 5.00%)
10.30%		06/12/303		995,000		998,985
Lakeland Holdings LLC,
Term Loan, 1st Lien
(LIBOR plus 8.00%)
8.00%		09/25/273,6,7,8		677,334		372,534
Mavenir Systems, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.01%)
10.34%		08/18/283		637,000		455,723
Neptune Bidco U.S., Inc.,
Term Loan A, 1st Lien
(SOFR plus 4.85%)
10.17%		10/11/283		570,688		524,219
Nielsen Consumer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 6.25%)
11.58%		03/06/283		1,141,051		1,137,486
Omnia Partners, LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		07/25/303		2,001,895		2,013,466
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.86%)
9.18%		12/15/283		1,419,447		1,414,500

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Services (continued)
Prime Security Services Borrower, LLC,
Term Loan A, 1st Lien
(SOFR plus 2.35%)
7.50%		03/14/283	$	1,496,876	$	1,491,884
Term Loan B1, 1st Lien
(SOFR plus 2.50%)
7.83%		10/11/303		169,312		169,611
Prometric Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.36%)
10.69%		01/31/283		748,125		748,907
R1 RCM, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
8.33%		06/21/293		1,000,000		1,004,065
Ryan LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.83%		11/14/303,10		904,762		910,421
Sabert Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.18%		12/10/263		320,600		322,003
Signal Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.60%)
8.93%		04/03/283		494,911		470,165
Trans Union LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%		12/01/283		1,450,606		1,451,607
TruGreen LP,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.43%		11/02/273		1,212,789		1,182,851
Term Loan B, 2nd Lien
(SOFR plus 8.76%)
14.07%		11/02/283		500,000		395,418
Verscend Holding Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
9.44%		08/27/253		972,417		973,632
VT Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.50%)
8.82%		08/12/303		147,243		147,822
(SOFR plus 4.25%)
9.58%		08/09/303		522,500		524,553
WW International, Inc.,
Term Loan B, 1st Lien (France)
(SOFR plus 3.61%)
8.94%		04/13/282,3		445,000		198,581
						36,386,225

See accompanying Notes to Financial Statements.

81 / Annual Report March 2024

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Specialized REITs — 0.45%
Greystar Real Estate Partners LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.25%)
8.58%		08/21/303	$	1,343,508	$	1,346,867
Transportation — 0.85%
Air Canada,
Term Loan B, 1st Lien (Canada)
(SOFR plus 2.50%)
7.83%		03/14/312,3		512,195		513,798
Kenan Advantage Group, Inc. (The),
Term Loan B3, 1st Lien
(SOFR plus 3.75%)
9.08%		01/25/293		744,246		745,875
United AirLines, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
8.08%		02/24/313		1,292,818		1,296,451
						2,556,124
Total Bank Loans
(Cost $279,098,143)						276,626,522
CORPORATES — 2.58%*
Communications — 0.14%
Vmed O2 UK Financing I PLC
(United Kingdom)
4.75%		07/15/311,2		500,000		432,505
Consumer Discretionary — 0.15%
Spectrum Brands, Inc.
3.88%		03/15/311		460,000		444,345
Entertainment — 0.15%
WMGAcquisition Corp.
3.88%		07/15/301		500,000		444,375
Finance — 0.15%
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
5.25%		05/15/27		500,000		465,000
Health Care — 1.00%
Bayer U.S. Finance LLC
6.50%		11/21/331		500,000		508,873
Bristol-Myers Squibb Co.
5.20%		02/22/34		500,000		508,184
Grifols SA
(Spain)
4.75%		10/15/281,2		50,000		41,408
Grifols SA,
Series REGS
(Spain)
3.20%		05/01/252		1,500,000		1,496,566
ModivCare Escrow Issuer, Inc.
5.00%		10/01/291		500,000		363,182
Prime Healthcare Services, Inc.
7.25%		11/01/251		100,000		100,250
						3,018,463

Issues		Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Industrials — 0.24%
Berry Global, Inc.
5.65%			01/15/341	$	500,000	$	497,849
OT Merger Corp.
7.88%			10/15/291		250,000		180,353
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%			04/15/261,2		50,000		50,025
							728,227
Information Technology — 0.51%
Constellation Software, Inc.
(Canada)
5.46%			02/16/341,2		1,000,000		1,006,380
Open Text Corp.
(Canada)
6.90%			12/01/271,2		500,000		516,200
							1,522,580
Retail — 0.21%
1011778 BC Unlimited Liability Co./New Red Finance, Inc.
(Canada)
3.50%			02/15/291,2		500,000		457,500
Michaels Cos., Inc. (The)
7.88%			05/01/291		250,000		187,798
							645,298
Services — 0.03%
Waste Pro USA, Inc.
5.50%			02/15/261		75,000		73,930
Total Corporates
(Cost $7,854,277)							7,774,723
Total Bonds — 95.13%
(Cost $289,837,592)							287,326,473
Issues				Shares		Value
COMMON STOCK — 0.08%
Communications — 0.08%
Intelsat Emergence SA2,7,8,11
(Luxembourg)					9,683		260,230
Industrial REITs — 0.00%
Avison Young2,7,8,11
(Canada)					370		—
Total Common Stock
(Cost $324,132)							260,230
PREFERRED STOCK — 0.16%
Industrial REITs — 0.16%
Avison Young2,7,8,11
(Canada)					1,054,697		474,614
Total Preferred Stock
(Cost $697,797)

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 82

Floating Rate Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues				Shares		Value
WARRANT — 0.00%
Entertainment — 0.00%
Cineworld Group PLC2,7,8,11
(United Kingdom)					229,579	$	—
Total Warrant
(Cost $–)
Issues		Maturity  Date		Principal  Amount/Shares		Value
SHORT-TERM INVESTMENTS — 8.28%
Money Market Funds — 6.73%
Dreyfus Government Cash Management Fund
5.20%12					3,588,000		3,588,000
Fidelity Investments Money Market Funds - Government
Portfolio
5.21%12					2,072,056		2,072,056
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
5.22%12					14,670,000		14,670,000
							20,330,056
U.S. Treasury Bills — 1.55%
U.S. Treasury Bills (WI)
5.28%13			05/02/24	$	4,695,000		4,673,676
Total Short-Term Investments
(Cost $25,004,005)							25,003,732
Total Investments - 103.65%
(Cost $315,863,526)							313,065,049
Net unrealized appreciation on unfunded commitments - 0.00%							1,817
Liabilities in Excess of Other Assets - (3.65)%							(11,016,194	)
Net Assets - 100.00%						$	302,050,672

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  Foreign denominated security issued by foreign domiciled entity.

³  Floating rate security. The rate disclosed was in effect at March 31, 2024.

⁴  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 7.19% cash or 1.50% payment-in-kind interest.

⁵  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $41,278, at an interest rate of 9.58% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁶  Payment-in-kind (“PIK”) security.

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

⁸  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,634,498, which is 0.87% 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 $102,855, at an interest rate of 9.83% and a maturity of October 24, 2030. The investment is accruing an unused commitment fee of 0.75% per annum.

¹⁰  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $95,834, at an interest rate of 9.82% and a maturity of November 14, 2030. The investment is not accruing an unused commitment fee.

¹¹  Non-income producing security.

¹²  Represents the current yield as of March 31, 2024.

¹³  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

(EUR): Euro

(LIBOR): London InterBank Offer Rate

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(WI): When Issued

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 767,196	EUR 703,000	Bank of America N.A.		04/12/24	$	7,514
USD 781,334	EUR 716,000	The Bank of New York Mellon		04/12/24		7,603
NET UNREALIZED APPRECIATION					$	15,117

Description	Number of Contracts	Expiration Date	Notional Amount		Value		Unrealized (Depreciation)
FUTURES CONTRACTS: SHORT POSITIONS
Euro-Schatz Future	4	06/06/24	$	(456,624)	$	(350)	$	(350)

See accompanying Notes to Financial Statements.

83 / Annual Report March 2024

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 89.63%
BANK LOANS — 15.41%*
Automotive — 0.37%
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.26%)
10.57%		03/30/271	$	1,728,046	$	1,732,798
Communications — 1.34%
Cyxtera DC Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
5.07%		05/01/241		355,886		18,270
NEP Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.36%)
8.69%		08/19/261,2		1,008,639		964,198
NEP/NCP Holdco, Inc.,
Term Loan, 2nd Lien
(SOFR plus 7.11%)
12.44%		10/19/261		875,000		714,035
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.76%)
11.07%		12/20/241		2,895,756		1,747,415
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.34%		01/25/311		1,243,404		1,247,097
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		03/09/271		1,800,000		1,584,513
						6,275,528
Consumer Discretionary — 1.29%
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%		04/05/281		2,038,573		1,600,830
Naked Juice, LLC,
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%		01/24/301		2,891,000		2,369,709
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 4.25%)
9.57% -9.58%		07/31/281,3		1,346,087		1,353,800
Pegasus Bidco BV,
Term Loan B, 1st Lien (Netherlands)
(SOFR plus 3.75%)
9.06%		07/12/291,4		725,681		726,893
						6,051,232

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Energy — 0.26%
NGL Energy Operating LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.83%		02/03/311	$	1,212,500	$	1,217,047
Entertainment — 0.47%
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.85%)
7.18%		08/01/271		2,204,805		2,199,469
Finance — 0.46%
Auris Lux III SA,
Term Loan B2, 1st Lien (Luxembourg)
(SOFR plus 3.75%)
9.62%		02/27/261,4		453,496		455,056
Jane Street Group LLC,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%		01/26/281		1,693,125		1,695,877
						2,150,933
Food — 1.25%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		10/01/251		1,491,472		1,468,891
(SOFR plus 4.86%)
10.19%		10/01/251		742,386		731,870
Term Loan, 2nd Lien
(SOFR plus 7.86%)
13.19%		10/01/261		250,000		228,750
B&G Foods, Inc.,
Term Loan B4, 1st Lien
(SOFR plus 2.50%)
7.83%		10/10/261		744,035		744,310
Chobani LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.08%		10/25/271		1,122,188		1,129,667
Fiesta Purchaser, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		02/12/311		1,192,500		1,195,893
H-Food Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.95%)
9.29%		05/23/251		494,751		362,098
						5,861,479
Gaming — 1.17%
Caesars Entertainment, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 2.75%)
8.04%		02/06/311		2,400,000		2,404,872

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 84

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Gaming (continued)
Ontario Gaming Gta Ltd. Partnership,
Term Loan B, 1st Lien (Canada)
(SOFR plus 4.25%)
9.57%		08/01/301,4	$	1,837,395	$	1,845,930
Scientific Games International, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.75%)
8.08%		04/14/291		1,212,500		1,216,622
						5,467,424
Health Care — 1.25%
Auris Luxembourg III SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 4.25%)
9.58%		02/27/291,4		905,917		909,033
Carestream Dental Equipment, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.56%		09/01/241		715,500		624,871
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.94%		09/01/241		1,145,864		1,000,242
Catalent Pharma Solutions, Inc.,
Term Loan B3, 1st Lien
(SOFR plus 2.11%)
7.44%		02/22/281		1,243,590		1,244,367
eResearchTechnology, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.61%)
9.94%		02/04/271		841,583		845,075
Jazz Financing Lux SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.11%)
8.44%		05/05/281,4		1,209,048		1,216,605
						5,840,193
Health Care REITs — 0.08%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.19%		07/17/281		385,904		372,052
Industrials — 2.32%
Artera Services LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.81%		02/15/311		1,192,500		1,198,463
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		03/20/251		1,724,998		1,676,939
Term Loan, 2nd Lien
(SOFR plus 7.75%)
13.08%		03/20/261		242,500		210,975

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Industrials (continued)
Plaze, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		08/03/261	$	2,254,795	$	2,226,610
Pretium PKG Holdings, Inc.,
Term Loan A, 1st Lien
(SOFR plus 7.50%)
12.81%		10/02/281,5		505,915		513,820
ProAmpac PG Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.80% - 9.82%		09/15/281		2,493,750		2,501,231
SPX Flow, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.60%)
9.41% - 9.58%		04/05/291		429,171		431,474
Titan Acquisition, Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		03/28/251		894,555		894,926
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(PRIME plus 2.50%)
11.00%		05/30/241		1,577,248		1,174,805
						10,829,243
Information Technology — 2.73%
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%		12/16/251		1,018,500		1,017,863
EagleView Technology Co.,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
9.06%		08/14/251		1,728,153		1,682,634
Magnite, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.60% - 9.82%		02/06/311		3,395,000		3,404,913
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%		05/03/281		742,745		739,198
Open Text Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 1.85%)
7.18%		05/30/251,4		2,486,772		2,492,219
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.59%		03/03/281		636,048		590,682
SS&C Technologies Holdings, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 1.86%)
7.19%		04/16/251		1,339,142		1,340,803

See accompanying Notes to Financial Statements.

85 / Annual Report March 2024

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Xerox Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%		11/15/291	$	1,481,250	$	1,490,049
						12,758,361
Insurance — 0.74%
Acrisure LLC,
Term Loan B2, 1st Lien
(SOFR plus 4.25%)
9.07%		02/15/271		713,670		715,230
Asurion LLC,
Term Loan B4, 2nd Lien
(SOFR plus 5.25%)
10.58%		01/20/291		195,000		175,394
Term Loan B8, 1st Lien
(SOFR plus 3.36%)
8.69%		12/23/261		1,517,865		1,490,755
HUB International Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.57%		06/20/301		1,060,514		1,062,100
						3,443,479
Materials — 0.16%
Arsenal Aic Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.08%		08/19/301		746,255		749,706
Chemours Co. (The),
Term Loan B3, 1st Lien
(SOFR plus 3.50%)
8.83%		08/18/281		17,955		17,928
						767,634
Retail — 0.26%
Tacala Investment Corp.,
Term Loan, 1st Lien
(SOFR plus 4.00%)
9.33%		01/31/311		1,212,500		1,215,155
Services — 1.05%
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		10/08/281		1,243,639		1,247,525
Fugue Finance LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		02/26/311		500,000		501,875
Neptune Bidco U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.10%)
10.42%		04/11/291		889,988		822,629

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Services (continued)
Nielsen Consumer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 6.25%)
11.58%		03/06/281	$	748,116	$	745,778
Ryan LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.83%		11/14/301,6		904,762		910,421
VT Topco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.25%)
9.58%		08/09/301		673,313		675,958
						4,904,186
Specialized REITs — 0.21%
Greystar Real Estate Partners LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.25%)
8.58%		08/21/301		995,006		997,494
Total Bank Loans
(Cost $72,245,460)						72,083,707
CORPORATES — 74.22%*
Automobile Components — 0.18%
Allison Transmission, Inc.
3.75%		01/30/317		930,000		814,913
Banking — 1.72%
Bank of America Corp.,
Series RR
4.38%8,9				2,040,000		1,922,689
Bank of New York Mellon Corp. (The),
Series I
3.75%8,9				2,515,000		2,316,944
JPMorgan Chase & Co.,
Series KK
3.65%8,9				805,000		766,551
U.S. Bancorp
3.70%8,9				3,515,000		3,045,852
						8,052,036
Communications — 12.01%
Altice France Holding SA
(Luxembourg)
10.50%		05/15/274,7		1,562,000		595,513
Altice France SA
(France)
5.13%		01/15/294,7		1,628,000		1,131,460
5.50%		10/15/294,7		3,700,000		2,495,188
8.13%		02/01/274,7		1,537,000		1,210,387
Cable One, Inc.
4.00%		11/15/307		3,802,000		2,975,065
CCO Holdings LLC/CCO Holdings Capital Corp.
5.13%		05/01/277		3,025,000		2,890,478
5.50%		05/01/267		10,999,000		10,889,010

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 86

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
Cogent Communications Group, Inc.
7.00%		06/15/277	$	790,000	$	787,095
CommScope, Inc.
4.75%		09/01/297		931,000		670,320
Consolidated Communications, Inc.
6.50%		10/01/287		850,000		744,618
CSC Holdings LLC
6.50%		02/01/297		6,958,000		5,901,467
7.50%		04/01/287		4,075,000		2,750,202
11.75%		01/31/297		23,000		23,029
DISH DBS Corp.
5.25%		12/01/267		2,790,000		2,202,101
7.38%		07/01/28		2,365,000		1,137,386
Frontier Communications Holdings LLC
5.00%		05/01/287		24,000		22,326
6.75%		05/01/297		1,922,000		1,714,972
8.63%		03/15/317		1,000,000		1,021,992
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/304		975,000		975,973
Gray Television, Inc.
5.38%		11/15/317		1,055,000		693,157
Nexstar Media, Inc.
4.75%		11/01/287		450,000		410,651
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%		04/30/277		1,725,000		1,768,125
6.00%		02/15/287		1,770,000		1,823,100
Scripps Escrow, Inc.
5.88%		07/15/277		587,000		493,080
SES GLOBALAmericas Holdings, Inc.
5.30%		03/25/447		1,680,000		1,286,629
Sirius XM Radio, Inc.
3.88%		09/01/317		1,657,000		1,382,756
Tele Columbus AG,
Series REGS
(Georgia)
10.00%		03/19/294,5		1,500,000		1,130,760
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/324,7		4,237,000		3,641,082
VZ Secured Financing BV,
Series REGS
(Netherlands)
3.50%		01/15/324		1,260,000		1,196,449
Zayo Group Holdings, Inc.
4.00%		03/01/277		2,683,000		2,210,867
						56,175,238
Consumer Discretionary — 4.25%
BAT Capital Corp.
5.28%		04/02/50		1,517,000		1,304,412
Central Garden & Pet Co.
4.13%		04/30/317		1,015,000		895,596
Everi Holdings, Inc.
5.00%		07/15/297		1,833,000		1,819,252

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Hilton Domestic Operating Co., Inc.
3.63%		02/15/327	$	2,673,000	$	2,304,051
Imperial Brands Finance Netherlands BV
(EMTN)
(Netherlands)
1.75%		03/18/334		770,000		674,236
Primo Water Holdings, Inc.
4.38%		04/30/297		2,600,000		2,393,393
Spectrum Brands, Inc.
3.88%		03/15/317		2,105,000		2,033,361
5.00%		10/01/297		270,000		265,950
Triton Water Holdings, Inc.
6.25%		04/01/297		1,240,000		1,132,145
WarnerMedia Holdings, Inc.
5.14%		03/15/52		5,810,000		4,829,667
Wyndham Hotels & Resorts, Inc.
4.38%		08/15/287		2,399,000		2,231,428
						19,883,491
Consumer Products — 1.14%
Newell Brands, Inc.
4.88%		06/01/25		3,921,000		3,871,987
7.00%		04/01/46		1,779,000		1,438,447
						5,310,434
Diversified REITs — 3.83%
American Assets Trust LP
3.38%		02/01/31		3,170,000		2,591,860
GLP Capital LP/GLP Financing II, Inc.
5.25%		06/01/25		3,490,000		3,483,613
5.75%		06/01/28		1,820,000		1,822,783
6.75%		12/01/33		750,000		791,609
VICI Properties LP
4.95%		02/15/30		5,650,000		5,463,889
VICI Properties LP/VICI Note Co., Inc.
4.63%		06/15/257		3,820,000		3,767,506
						17,921,260
Electric — 0.38%
Pike Corp.
8.63%		01/31/317		1,680,000		1,787,607
Energy — 4.07%
Energy Transfer LP,
Series B
6.63%8,9				2,457,000		2,303,811
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29		904,000		897,559
NGL Energy Operating LLC/NGL Energy Finance Corp.
8.38%		02/15/327		190,000		194,997
Petroleos Mexicanos
(Mexico)
5.95%		01/28/314		524,000		420,578
Rockies Express Pipeline LLC
4.80%		05/15/307		650,000		603,850
6.88%		04/15/407		1,043,000		1,028,659

See accompanying Notes to Financial Statements.

87 / Annual Report March 2024

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Energy (continued)
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26	$	3,139,000	$	3,001,669
Transocean Titan Financing Ltd.
(Cayman Islands)
8.38%		02/01/284,7		700,000		726,250
USACompression Partners LP/USACompression Finance
Corp.
6.88%		09/01/27		1,170,000		1,173,515
7.13%		03/15/297		1,785,000		1,806,120
Venture Global Calcasieu Pass LLC
4.13%		08/15/317		2,300,000		2,049,872
6.25%		01/15/307		395,000		397,469
Venture Global LNG, Inc.
9.50%		02/01/297		3,221,000		3,474,736
9.88%		02/01/327		900,000		970,882
						19,049,967
Entertainment — 0.51%
Banijay Entertainment SASTerm Loan B, 1st Lien
(France)
8.13%		05/01/294,7		1,040,000		1,073,478
WMGAcquisition Corp.
3.75%		12/01/297		1,476,000		1,326,555
						2,400,033
Finance — 6.53%
American Express Co.,
Series D
3.55%8,9				2,150,000		1,995,469
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/274,7		2,083,000		1,853,693
Charles Schwab Corp. (The)
Series K
5.00%8,9				2,430,000		2,329,301
Citigroup, Inc.
2.56%		05/01/329		1,545,000		1,289,022
Cushman & Wakefield U.S. Borrower LLC
8.88%		09/01/317		1,622,000		1,721,282
Ford Motor Credit Co. LLC
2.30%		02/10/25		2,150,000		2,085,500
3.66%		09/08/24		6,634,000		6,585,572
4.06%		11/01/24		6,083,000		6,023,386
GGAM Finance Ltd.
(Cayman Islands)
8.00%		02/15/274,7		775,000		800,687
8.00%		06/15/284,7		352,000		367,400
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%		02/01/29		2,145,000		1,833,568
5.25%		05/15/27		761,000		707,730
9.75%		01/15/297		970,000		1,012,413
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/297		780,000		723,690

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
Macquarie Airfinance Holdings Ltd.
(United Kingdom)
6.40%		03/26/294,7	$	1,200,000	$	1,218,876
						30,547,589
Food — 4.12%
B&G Foods, Inc.
5.25%		04/01/25		668,000		668,000
Chobani LLC/Chobani Finance Corp, Inc.
4.63%		11/15/287		290,000		270,766
ELO SACA
(EMTN)
(France)
6.00%		03/22/294		1,500,000		1,644,329
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/267		1,387,000		104,025
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance,
Inc.
(Canada)
5.75%		04/01/334		3,728,000		3,677,353
Nathan’s Famous, Inc.
6.63%		11/01/257		278,000		279,043
Pilgrim’s Pride Corp.
3.50%		03/01/32		6,356,000		5,395,145
6.25%		07/01/33		700,000		717,214
Post Holdings, Inc.
5.63%		01/15/287		1,750,000		1,720,759
6.25%		02/15/327		2,400,000		2,419,387
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/297		2,659,000		2,354,884
						19,250,905
Gaming — 1.37%
Churchill Downs, Inc.
5.75%		04/01/307		1,700,000		1,642,177
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.25%		05/15/277		4,854,000		4,761,095
						6,403,272
Health Care — 10.72%
1375209 BC Ltd.
(Canada)
9.00%		01/30/284,7		3,504,000		3,437,731
Bausch Health Cos., Inc.
(Canada)
14.00%		10/15/304,7		192,000		111,416
CAB SELAS,
Series REGS
(France)
3.38%		02/01/284		800,000		783,691
Cano Health LLC
6.25%		10/01/287,10,11,12,13		1,563,000		1,360
Catalent Pharma Solutions, Inc.
3.50%		04/01/307		1,845,000		1,758,783

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 88

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Centene Corp.
2.45%		07/15/28	$	2,404,000	$	2,134,647
2.63%		08/01/31		1,219,000		1,004,907
3.00%		10/15/30		865,000		742,418
4.25%		12/15/27		8,170,000		7,796,054
Embecta Corp.
6.75%		02/15/307		1,060,000		927,405
Ephios Subco 3 SARL
(Luxembourg)
7.88%		01/31/314,7		790,000		897,950
Grifols SA
(Spain)
4.75%		10/15/284,7		1,171,000		969,780
Grifols SA,
Series REGS
(Spain)
3.20%		05/01/254		1,575,000		1,571,394
3.88%		10/15/284		1,965,000		1,682,125
Heartland Dental LLC/Heartland Dental Finance Corp.
10.50%		04/30/287		791,000		841,290
Kedrion SpA
(Italy)
6.50%		09/01/294,7		2,470,000		2,253,685
ModivCare Escrow Issuer, Inc.
5.00%		10/01/297		3,795,000		2,756,549
ModivCare, Inc.
5.88%		11/15/257		1,415,000		1,379,309
Molina Healthcare, Inc.
4.38%		06/15/287		900,000		846,706
Option Care Health, Inc.
4.38%		10/31/297		1,000,000		919,334
Prestige Brands, Inc.
3.75%		04/01/317		1,847,000		1,609,757
Star Parent, Inc.
9.00%		10/01/307		700,000		742,332
Teleflex, Inc.
4.25%		06/01/287		1,729,000		1,623,851
Tenet Healthcare Corp.
4.63%		06/15/28		4,350,000		4,148,081
5.13%		11/01/27		7,993,000		7,824,210
Teva Pharmaceutical Finance Netherlands III BV
(Netherlands)
8.13%		09/15/314		1,257,000		1,378,550
						50,143,315
Industrials — 7.07%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
4.13%		08/15/264,7		1,536,000		1,395,171
5.25%		08/15/274,7		2,447,000		1,543,015
Artera Services LLC
8.50%		02/15/317		1,145,000		1,174,739
Ball Corp.
5.25%		07/01/25		5,000,000		5,006,250
Berry Global, Inc.
4.88%		07/15/267		1,525,000		1,495,619

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Industrials (continued)
5.65%		01/15/347	$	1,205,000	$	1,199,816
Clydesdale Acquisition Holdings, Inc.
6.63%		04/15/297		150,000		150,033
Energizer Holdings, Inc.
4.38%		03/31/297		1,120,000		1,009,400
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.74%)
6.05%		08/15/361		1,300,000		1,207,452
Graham Packaging Co., Inc.
7.13%		08/15/287		2,012,000		1,828,081
Graphic Packaging International LLC
4.13%		08/15/24		3,745,000		3,731,892
II-VI, Inc.
5.00%		12/15/297		566,000		533,555
Madison IAQ LLC
4.13%		06/30/287		1,000,000		927,500
OT Merger Corp.
7.88%		10/15/297		2,808,000		2,025,726
Paprec Holding SA
(France)
7.25%		11/17/294,7		900,000		1,038,874
Rolls-Royce PLC
(EMTN)
(United Kingdom)
1.63%		05/09/284		400,000		396,427
TransDigm, Inc.
6.38%		03/01/297		6,578,000		6,599,839
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/264,7		506,000		499,352
Verde Purchaser LLC
10.50%		11/30/307		1,245,000		1,313,150
						33,075,891
Information Technology — 4.40%
Booz Allen Hamilton, Inc.
4.00%		07/01/297		2,816,000		2,625,983
MSCI, Inc.
3.63%		09/01/307		2,270,000		2,016,431
3.63%		11/01/317		1,266,000		1,099,957
NCR Voyix Corp.
5.25%		10/01/307		3,875,000		3,509,795
Open Text Corp.
(Canada)
6.90%		12/01/274,7		752,000		776,365
RingCentral, Inc.
8.50%		08/15/307		1,516,000		1,577,525
Science Applications International Corp.
4.88%		04/01/287		2,023,000		1,933,570
Uber Technologies, Inc.
7.50%		09/15/277		4,600,000		4,715,323
ZoomInfo Technologies LLC/ZoomInfo Finance Corp.
3.88%		02/01/297		2,575,000		2,323,938
						20,578,887

See accompanying Notes to Financial Statements.

89 / Annual Report March 2024

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Insurance — 0.72%
Acrisure LLC/Acrisure Finance, Inc.
6.00%		08/01/297	$	3,678,000	$	3,383,760
Materials — 3.61%
ASP Unifrax Holdings, Inc.
5.25%		09/30/287		1,566,000		1,012,391
ATI, Inc.
5.13%		10/01/31		857,000		799,153
7.25%		08/15/30		550,000		570,790
Axalta Coating Systems, LLC
3.38%		02/15/297		3,523,000		3,158,964
Clearwater Paper Corp.
4.75%		08/15/287		3,233,000		3,010,025
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/284,7		2,896,000		2,535,482
International Flavors & Fragrances, Inc.
2.30%		11/01/307		1,655,000		1,375,564
5.00%		09/26/48		230,000		196,857
SCIH Salt Holdings, Inc.
4.88%		05/01/287		272,000		254,660
SK Invictus Intermediate II SARL
(Luxembourg)
5.00%		10/30/294,7		1,168,000		1,042,311
Valvoline, Inc.
3.63%		06/15/317		2,112,000		1,822,402
WR Grace Holdings, LLC
5.63%		08/15/297		1,234,000		1,105,577
						16,884,176
Office REITs — 0.47%
Hudson Pacific Properties LP
3.25%		01/15/30		1,188,000		916,888
4.65%		04/01/29		1,160,000		989,382
Piedmont Operating Partnership LP
2.75%		04/01/32		418,000		302,480
						2,208,750
Retail — 2.74%
Bloomin’ Brands, Inc./OSI Restaurant Partners LLC
5.13%		04/15/297		267,000		248,977
Ferrellgas LP/Ferrellgas Finance Corp.
5.88%		04/01/297		3,552,000		3,388,786
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/307		1,641,000		1,481,002
FirstCash, Inc.
5.63%		01/01/307		2,071,000		1,972,188
LCM Investments Holdings II LLC
8.25%		08/01/317		1,500,000		1,567,500
Lithia Motors, Inc.
3.88%		06/01/297		875,000		791,219
Michaels Cos., Inc. (The)
7.88%		05/01/297		3,428,000		2,575,091

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Retail (continued)
Papa John’s International, Inc.
3.88%		09/15/297	$	900,000	$	799,589
						12,824,352
Services — 3.70%
Adtalem Global Education, Inc.
5.50%		03/01/287		2,036,000		1,951,776
Block, Inc.
3.50%		06/01/31		1,095,000		958,125
Carriage Services, Inc.
4.25%		05/15/297		1,400,000		1,244,088
HealthEquity, Inc.
4.50%		10/01/297		1,204,000		1,114,127
Hertz Corp. (The)
5.00%		12/01/297		987,000		764,925
Prime Security Services Borrower LLC/Prime Finance, Inc.
3.38%		08/31/277		300,000		276,043
5.25%		04/15/247		720,000		719,826
5.75%		04/15/267		2,460,000		2,454,509
Upbound Group, Inc.
6.38%		02/15/297		1,770,000		1,721,325
VT Topco, Inc.
8.50%		08/15/307		689,000		727,800
WASH Multifamily Acquisition, Inc.
5.75%		04/15/267		2,625,000		2,566,963
Waste Pro USA, Inc.
5.50%		02/15/267		2,455,000		2,419,988
Worldline SA
(France)
0.00%		07/30/254,14		150		17,928
0.00%		07/30/264,14		3,800		371,807
						17,309,230
Specialized REITs — 0.39%
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.75%		03/12/294		635,000		598,192
Greystar Real Estate Partners LLC
7.75%		09/01/307		1,150,000		1,196,000
						1,794,192
Transportation — 0.23%
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		1,087,561		1,087,561

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 90

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Water — 0.06%
Thames Water Utilities Finance PLC
(EMTN)
(United Kingdom)
4.38%		01/18/314	$	255,000	$	256,821
Total Corporates
(Cost $356,143,813)						347,143,680
Total Bonds — 89.63%
(Cost $428,389,273)						419,227,387
Issues			Shares		Value
COMMON STOCK — 0.56%
Communications — 0.43%
Intelsat Emergence SA4,10,12,13
(Luxembourg)				75,716		2,034,867
Electric — 0.00%
Homer City Holdings LLC10,12,13,15				502,908		—
Services — 0.13%
Hertz Global Holdings, Inc.12				75,000		587,250
Total Common Stock
(Cost $30,687,379)						2,622,117
WARRANT — 0.00%
Communications — 0.00%
Intelsat Jackson Holdings SA,4,10,12,13
(Luxembourg)				16		16
Entertainment — 0.00%
Cineworld Group PLC4,10,12,13
(United Kingdom)				288,340		—
Total Warrant
(Cost $60)						16
Issues		Maturity  Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 8.57%
Money Market Funds — 2.20%
Fidelity Investments Money Market Funds -Government Portfolio
5.21%16				178,330		178,330
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%16				10,100,000		10,100,000
						10,278,330
U.S. Treasury Bills — 6.37%
U.S. Treasury Bills (WI)
5.32%17		05/30/24		5,000,000		4,954,727
5.35%17		05/16/24		15,000,000		14,895,600

Issues		Maturity  Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
5.29%17		04/18/24	$	10,000,000	$	9,975,167
						29,825,494
Total Short-Term Investments
(Cost $40,113,123)						40,103,824
Total Investments - 98.76%
(Cost $499,189,835)						461,953,344
Net unrealized appreciation on unfunded commitments - 0.00%						1,478
Cash and Other Assets, Less Liabilities - 1.24%						5,755,248
Net Assets - 100.00%					$	467,710,070

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer -7.19% cash or 1.50% payment-in-kind interest.

³  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $154,795, at an interest rate of 9.58% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁴  Foreign denominated security issued by foreign domiciled entity.

⁵  Payment-in-kind (“PIK”) security.

⁶  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $95,834, at an interest rate of 9.82% and a maturity of November 14, 2030. The investment is not accruing an unused commitment fee.

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

⁸  Perpetual security with no stated maturity date.

⁹  Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions.

¹⁰  Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy.

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

¹²  Non-income producing security.

¹³  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,036,243, which is 0.44% of total net assets.

¹⁴  Zero coupon bond. The rate shown is the effective yield as of March 31, 2024.

¹⁵  Affiliated investment.

¹⁶  Represents the current yield as of March 31, 2024.

¹⁷  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.

(EMTN): Euro Medium-Term Note

(EUR): Euro

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(WI): When Issued

See accompanying Notes to Financial Statements.

91 / Annual Report March 2024

High Yield Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement  Date	Unrealized Appreciation  (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 1,659,442	EUR 1,531,000	Bank of America N.A.	04/12/24	$	5,000
USD 12,008,807	EUR 10,919,000	Citibank N.A.	04/12/24		209,423
USD 909,351	EUR 836,000	The Bank of New York Mellon	04/12/24		5,945
					220,368
EUR 671,000	USD 725,882	Citibank N.A.	04/12/24		(780)
EUR 245,000	USD 267,088	Bank of America N.A.	04/12/24		(2,334)
					(3,114)
NET UNREALIZED APPRECIATION				$	217,254

Description	Number of  Contracts	Expiration Date		Notional Amount		Value			Unrealized Appreciation  (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note	626		06/28/24	$	66,991,784	$	54,027		$	54,027
U.S. Treasury Two-Year Note	204		06/28/24		41,714,813		(46,364	)		(46,364	)
					108,706,597		7,663			7,663
FUTURES CONTRACTS: SHORT POSITIONS
Euro-Bobl Future	51		06/06/24		(6,513,210)		(29,254)			(29,254)
Euro-Schatz Future	22		06/06/24		(2,511,432)		(542)			(542)
U.S. Treasury Ten-Year Ultra Bond	12		06/18/24		(1,375,312)		(8,435)			(8,435)
Euro-Bund Future	12		06/06/24		(1,728,605)		(12,068)			(12,068)
					(12,128,559)		(50,299)			(50,299)
TOTAL FUTURES CONTRACTS				$	96,578,038	$	(42,636)		$	(42,636)

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 92

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 97.33%
ASSET-BACKED SECURITIES — 5.97%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(SOFR30A plus 1.21%)
6.53%		12/27/441,2	$	355,803	$	351,558
Allegro CLO VI Ltd.,
Series 2017-2A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.08%		01/17/311,2,3		1,750,000		1,749,300
Allegro CLO VIII Ltd.,
Series 2018-2A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.36%)
6.68%		07/15/311,2,3		2,241,664		2,243,121
AMMC CLO 30 Ltd.,
Series 2024-30A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.68%)
6.97%		01/15/371,2,3		2,000,000		2,008,900
Apidos CLO Xxv,
Series 2016-25A, Class A1R2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.15%)
6.46%		10/20/311,2,3		2,625,000		2,627,431
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.72%		10/25/341,2,3		2,000,000		2,001,100
CIT Education Loan Trust,
Series 2007-1, Class A
(SOFR90A plus 0.35%)
5.70%		03/25/421,2		122,220		116,598
Clover CLO Ltd.,
Series 2019-2A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.19%		10/25/331,2,3		2,100,000		2,100,210
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.16%)
6.48%		04/15/291,2,3		1,218,078		1,217,286
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%		07/17/292,3		55,610		55,023
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/732		305,364		286,264
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/732		554,061		497,122

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Madison Park Funding XXV Ltd.,
Series 2017-25A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.23%)
6.56%		04/25/291,2,3	$	1,787,061	$	1,787,867
Navient Student Loan Trust,
Series 2014-1, Class A3
(SOFR30A plus 0.62%)
5.94%		06/25/311		348,306		343,839
Navient Student Loan Trust,
Series 2014-3, Class A
(SOFR30A plus 0.73%)
6.05%		03/25/831		1,092,682		1,092,495
Navient Student Loan Trust,
Series 2016-2A, Class A3
(SOFR30A plus 1.61%)
6.93%		06/25/651,2		1,179,762		1,197,487
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(SOFR30A plus 1.06%)
6.38%		11/25/481,2		1,115,083		1,112,034
Neuberger Berman CLO XX Ltd.,
Series 2015-20A, Class ARR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.42%)
6.74%		07/15/341,2,3		1,915,000		1,916,653
OCP CLO Ltd.,
Series 2020-19A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%		10/20/341,2,3		1,750,000		1,751,074
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.42%)
6.74%		07/15/361,2,3		2,000,000		2,000,500
Palmer Square Loan Funding Ltd.,
Series 2022-3A, Class A1BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.40%)
6.72%		04/15/311,2,3		2,500,000		2,501,227
Progress Residential Trust,
Series 2021-SFR8, Class D
2.08%		10/17/382		1,150,000		1,043,736
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.34%)
6.66%		04/20/341,2,3		1,875,000		1,875,847
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		10/15/321,2,3		2,100,000		2,101,359

See accompanying Notes to Financial Statements.

93 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Rockford Tower CLO Ltd.,
Series 2019-2A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.36%)
6.68%		08/20/321,2,3	$	2,000,000	$	2,001,194
SBNAAuto Receivables Trust,
Series 2024-A, Class A3
5.32%		12/15/282		2,450,000		2,450,794
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/374,5,6		1,896,663		1,694,031
SLC Student Loan Trust,
Series 2004-1, Class B
(SOFR90A plus 0.55%)
5.91%		08/15/311		73,166		62,370
SLC Student Loan Trust,
Series 2008-1, Class A4A
(SOFR90A plus 1.86%)
7.22%		12/15/321		124,670		126,597
SLM Student Loan Trust,
Series 2004-2, Class B
(SOFR90A plus 0.73%)
6.09%		07/25/391		96,181		90,329
SLM Student Loan Trust,
Series 2006-8, Class A6
(SOFR90A plus 0.42%)
5.78%		01/25/411		680,813		659,480
SLM Student Loan Trust,
Series 2008-2, Class B
(SOFR90A plus 1.46%)
6.82%		01/25/831		185,000		177,742
SLM Student Loan Trust,
Series 2008-3, Class B
(SOFR90A plus 1.46%)
6.82%		04/26/831		185,000		176,502
SLM Student Loan Trust,
Series 2008-4, Class B
(SOFR90A plus 2.11%)
7.47%		04/25/731		185,000		186,498
SLM Student Loan Trust,
Series 2008-5, Class B
(SOFR90A plus 2.11%)
7.47%		07/25/731		2,235,000		2,224,454
SLM Student Loan Trust,
Series 2008-6, Class A4
(SOFR90A plus 1.36%)
6.72%		07/25/231		1,122,135		1,114,282
SLM Student Loan Trust,
Series 2008-6, Class B
(SOFR90A plus 2.11%)
7.47%		07/26/831		185,000		175,961
SLM Student Loan Trust,
Series 2008-7, Class B
(SOFR90A plus 2.11%)
7.47%		07/26/831		185,000		173,626

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2012-7, Class A3
(SOFR30A plus 0.76%)
6.08%		05/26/261	$	397,462	$	385,254
Stack Infrastructure Issuer LLC,
Series 2024-1A, Class A2
5.90%		03/25/492		2,100,000		2,111,356
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%		01/16/462		388,714		388,714
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		450,000		415,866
Taco Bell Funding LLC,
Series 2016-1A, Class A23
4.97%		05/25/462		3,093,750		3,050,710
Vantage Data Centers Issuer LLC,
Series 2020-1A, Class A2
1.65%		09/15/452		3,500,000		3,280,602
Velocity Commercial Capital Loan Trust,
Series 2019-1, Class A
3.76%		03/25/492,6		1,459,771		1,358,140
Voya CLO Ltd.,
Series 2014-4A, Class A2RA
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		07/14/311,2,3		1,650,000		1,650,841
Total Asset-Backed Securities
(Cost $58,104,679)						57,933,374
BANK LOANS — 0.95%*
Automotive — 0.00%
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.26%)
10.57%		03/30/271		37,129		37,231
Communications —0.11%
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.30%		12/17/271		60,296		60,021
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(SOFR plus 1.75%)
7.08%		02/01/271		95,739		95,825
CSC Holdings LLC,
Term Loan B5, 1st Lien
(SOFR plus 2.50%)
7.94%		04/15/271		96,725		87,709
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
8.62%		10/08/271		46,167		46,123

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 94

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Communications (continued)
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.76%)
11.07%		12/20/241	$	58,230	$	35,138
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.34%		01/25/311		184,618		185,166
Virgin Media Bristol LLC,
Term Loan Y, 1st Lien
(SOFR plus 3.35%)
8.79%		03/31/311		150,000		147,979
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		03/09/271		400,395		352,461
(SOFR plus 4.33%)
9.66%		03/09/271		62,674		56,376
						1,066,798
Consumer Discretionary — 0.04%
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%		04/05/281		105,915		83,172
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.66%		01/24/291,3		187,041		175,414
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%		01/24/301		57,817		47,392
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		07/31/281		71,459		71,668
						377,646
Entertainment — 0.07%
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.85%)
7.18%		08/01/271		612,925		611,442
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(SOFR plus 2.86%)
8.19%		05/16/251		61,042		61,075
						672,517
Finance — 0.07%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B6, 1st Lien
(SOFR plus 2.00%)
7.33%		06/22/281		173,578		173,823

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Finance (continued)
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.06%		04/09/271	$	128,523	$	128,050
Jane Street Group LLC,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%		01/26/281		105,013		105,183
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(SOFR plus 2.26%)
7.56%		11/06/281		275,000		275,878
						682,934
Food — 0.01%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		10/01/251		14,597		14,376
Froneri U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.68%		01/29/271		41,279		41,348
H-Food Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.95%)
9.29%		05/23/251		38,693		28,318
						84,042
Gaming — 0.00%
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%		05/03/291		46,649		46,751
Health Care — 0.14%
Bausch + Lomb Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.35%)
8.68%		05/10/271,3		57,477		56,945
Carestream Dental Equipment, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.56%		09/01/241		104,376		91,155
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.94%		09/01/241		31,664		27,640
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
7.40%		12/30/261		26,166		26,212
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.15%)
7.46%		11/15/271		348,182		337,888

See accompanying Notes to Financial Statements.

95 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Health Care (continued)
Jazz Financing Lux SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.11%)
8.44%		05/05/281,3	$	322,629	$	324,645
Medline Borrower LP,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
8.20%		10/23/281		89,266		89,592
Organon & Co.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
7.75%		06/02/281		200,000		200,959
Peraton Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		02/01/281		182,271		182,457
Star Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		09/27/301		47,650		47,415
						1,384,908
Industrials — 0.11%
Artera Services LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.81%		02/15/311		74,906		75,281
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.56%		10/16/281		49,406		44,811
Berry Global, Inc.,
Term Loan AA, 1st Lien
(SOFR plus 1.86%)
7.18%		07/01/291		671,118		671,602
Coherent Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% -7.67%		07/02/291		31,030		31,131
Filtration Group Corp.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%		10/21/281		28,835		28,959
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		03/20/251		29,698		28,870
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 2.75%)
8.08%		08/24/281		161,568		162,300
						1,042,954

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology — 0.23%
Arches Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.68%		12/06/271	$	51,675	$	50,171
Athenahealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.25%		02/15/291		33,920		33,684
Buzz Merger Sub Ltd.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
8.18%		01/29/271		54,323		54,510
Central Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		07/06/291		78,323		78,645
EagleView Technology Co.,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
9.06%		08/14/251		162,663		158,379
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
8.72% - 8.99%		10/01/271		195,949		187,793
Magnite, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.60% - 9.82%		02/06/311		30,154		30,242
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%		05/03/281		36,920		36,744
NortonLifeLock, Inc.,
Term Loan A2, 1st Lien
(SOFR plus 1.85%)
7.18%		09/10/271		150,605		150,401
Open Text Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 1.85%)
7.18%		05/30/251,3		72,893		73,053
(SOFR plus 2.85%)
8.18%		01/31/301,3		153,855		154,293
Oracle Corp.,
Term Loan A1, 1st Lien
(SOFR plus 0.60%)
6.46%		08/16/271		556,429		557,124
Proofpoint, Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.36%)
8.69%		08/31/281,3		22,074		22,110
Renaissance Holding Corp.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.58%		04/05/301		65,579		65,784

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 96

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.59%		03/03/281	$	225,906	$	209,793
SS&C Technologies Holdings, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 1.86%)
7.19%		04/16/251		362,941		363,391
						2,226,117
Insurance — 0.04%
Acrisure LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.50%)
8.94%		02/15/271		244,275		244,428
Asurion LLC,
Term Loan B8, 1st Lien
(SOFR plus 3.36%)
8.69%		12/23/261		159,629		156,778
						401,206
Materials — 0.02%
Chemours Co. (The),
Term Loan B3, 1st Lien
(SOFR plus 3.50%)
8.83%		08/18/281		187,204		186,923
Retail — 0.02%
1011778 BC Unlimited Liability Co.,
Term Loan B5, 1st Lien (Canada)
(SOFR plus 2.25%)
7.58%		09/20/301,3		95,312		95,372
KFC Holding Co.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		03/15/281		80,914		80,968
						176,340
Services — 0.09%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
8.63%		01/29/271		281,810		282,867
Boost Newco Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
8.31%		01/31/311		145,743		146,442
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		10/08/281		62,790		62,987
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 4.35%)
9.66%		07/06/291		19,442		19,482

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Services (continued)
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.66%		07/06/291	$	42,123	$	42,211
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.86%)
9.18%		12/15/281		62,048		61,832
Trans Union LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%		12/01/281		65,562		65,607
TruGreen LP,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.43%		11/02/271		184,763		180,202
						861,630
Total Bank Loans
(Cost $9,228,896)						9,247,997
CORPORATES — 20.15%*
Banking — 4.07%
Bank of America Corp.
2.69%		04/22/326		990,000		837,368
3.42%		12/20/286		860,000		807,503
Bank of America Corp.
(MTN)
1.92%		10/24/316		1,135,000		927,024
2.09%		06/14/296		3,895,000		3,443,914
2.55%		02/04/286		160,000		148,749
2.97%		02/04/336		690,000		587,003
3.09%		10/01/256		93,000		91,783
3.82%		01/20/286		605,000		582,865
Bank of America Corp.,
Series N
1.66%		03/11/276		3,725,000		3,472,574
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/273,6		1,730,000		1,592,284
2.01%		09/22/283,6		725,000		648,429
2.21%		08/17/293,6		60,000		52,617
4.76%		06/09/283,6		1,240,000		1,216,287
JPMorgan Chase & Co.
0.97%		06/23/256		755,000		746,357
1.04%		02/04/276		1,465,000		1,355,714
1.56%		12/10/256		2,280,000		2,217,054
1.58%		04/22/276		1,035,000		960,010
1.95%		02/04/326		615,000		501,291
2.07%		06/01/296		30,000		26,602
2.58%		04/22/326		630,000		532,463
4.01%		04/23/296		3,055,000		2,929,122
Lloyds Banking Group PLC
(United Kingdom)
3.57%		11/07/283,6		475,000		445,641
4.72%		08/11/263,6		1,036,000		1,023,595

See accompanying Notes to Financial Statements.

97 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Banking (continued)
PNC Financial Services Group, Inc. (The)
5.07%		01/24/346	$	105,000	$	101,736
5.68%		01/22/356		320,000		323,316
6.88%		10/20/346		2,010,000		2,202,558
Santander UK Group Holdings PLC
(United Kingdom)
1.67%		06/14/273,6		435,000		398,214
2.47%		01/11/283,6		1,245,000		1,144,213
U.S. Bancorp
4.84%		02/01/346		1,845,000		1,752,887
5.68%		01/23/356		485,000		490,137
5.84%		06/12/346		495,000		505,062
Wells Fargo & Co.
5.39%		04/24/346		335,000		333,036
Wells Fargo & Co.
(MTN)
2.39%		06/02/286		4,555,000		4,170,442
2.57%		02/11/316		495,000		426,786
3.35%		03/02/336		1,875,000		1,626,460
5.57%		07/25/296		895,000		905,870
						39,526,966
Communications —1.45%
Cable One, Inc.
4.00%		11/15/302		480,000		375,600
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%		02/01/32		2,325,000		1,796,105
2.80%		04/01/31		1,825,000		1,495,466
6.65%		02/01/34		700,000		717,793
CSC Holdings LLC
4.50%		11/15/312		500,000		354,359
5.38%		02/01/282		275,000		236,770
6.50%		02/01/292		880,000		746,377
7.50%		04/01/282		90,000		60,741
11.75%		01/31/292		560,000		560,700
Frontier Communications Holdings LLC
8.63%		03/15/312		700,000		715,394
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%		10/07/303		925,000		925,923
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
6.00%		02/15/282		218,000		224,540
SES GLOBALAmericas Holdings, Inc.
5.30%		03/25/442		750,000		574,388
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/252		45,500		45,257
5.15%		03/20/282		1,428,000		1,425,025
TDC Net A/S,
(EMTN)
(Germany)
6.50%		06/01/313		200,000		233,287
T-Mobile USA, Inc.
2.25%		02/15/26		700,000		662,542

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
3.75%		04/15/27	$	2,275,000	$	2,191,588
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/322,3		300,000		257,806
VZ Secured Financing BV,
Series REGS
(Netherlands)
3.50%		01/15/323		500,000		474,782
						14,074,443
Consumer Discretionary — 1.11%
Bacardi Ltd.
(Bermuda)
4.45%		05/15/252,3		1,045,000		1,030,818
BAT Capital Corp.
2.73%		03/25/31		555,000		467,516
3.46%		09/06/29		1,570,000		1,434,179
3.56%		08/15/27		145,000		137,333
BAT International Finance PLC
(United Kingdom)
1.67%		03/25/263		330,000		307,354
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/242,3		1,000,000		991,452
6.13%		07/27/272,3		385,000		393,022
JDE Peet’s NV
(Netherlands)
0.80%		09/24/242,3		1,650,000		1,609,333
Philip Morris International, Inc.
2.00%		05/09/36		250,000		221,004
Spectrum Brands, Inc.
3.88%		03/15/312		310,000		299,450
WarnerMedia Holdings, Inc.
4.28%		03/15/32		4,320,000		3,863,399
						10,754,860
Diversified REITs — 0.93%
American Tower Corp.
1.00%		01/15/32		510,000		451,005
2.30%		09/15/31		745,000		608,481
5.25%		07/15/28		400,000		400,398
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%		06/23/283		375,000		350,979
Crown Castle, Inc.
2.50%		07/15/31		1,333,000		1,104,714
Digital Dutch Finco BV
(Netherlands)
1.25%		02/01/313		1,185,000		1,064,327
Digital Intrepid Holding BV
(Netherlands)
0.63%		07/15/313		245,000		207,486
GLP Capital LP/GLP Financing II, Inc.
4.00%		01/15/30		180,000		165,004
4.00%		01/15/31		505,000		451,713

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 98

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Diversified REITs (continued)
5.38%		04/15/26	$	153,000	$	151,769
5.75%		06/01/28		1,465,000		1,467,240
VICI Properties LP
4.95%		02/15/30		165,000		159,565
VICI Properties LP/VICI Note Co., Inc.
3.88%		02/15/292		940,000		865,936
4.13%		08/15/302		20,000		18,196
4.50%		01/15/282		605,000		581,159
5.75%		02/01/272		540,000		539,890
Vonovia SE
(Georgia)
1.00%		06/16/333		300,000		245,108
2.25%		04/07/303		100,000		98,096
Vonovia SE,
(EMTN)
(Georgia)
5.00%		11/23/303		100,000		113,642
						9,044,708
Electric — 1.31%
Alliant Energy Finance LLC
5.95%		03/30/292		1,085,000		1,118,737
Alliant Energy Finance, LLC
3.60%		03/01/322		1,625,000		1,440,014
Appalachian Power Co.,
Series H
5.95%		05/15/33		350,000		359,506
Appalachian Power Co.,
Series X
3.30%		06/01/27		410,000		387,485
Duke Energy Corp.
2.65%		09/01/26		30,000		28,336
Duke Energy Florida LLC
5.88%		11/15/33		245,000		259,345
Eversource Energy
4.60%		07/01/27		1,295,000		1,274,767
FirstEnergy Pennsylvania Electric Co.
4.00%		04/15/252		770,000		751,335
4.30%		01/15/292		550,000		531,896
5.15%		03/30/262		500,000		496,061
FirstEnergy Transmission LLC
2.87%		09/15/282		853,000		778,311
Jersey Central Power & Light Co.
4.70%		04/01/242		995,000		995,000
Public Service Co. of New Mexico
3.85%		08/01/25		1,405,000		1,373,542
Southwestern Electric Power Co.
5.30%		04/01/33		1,030,000		1,017,989
TenneT Holding BV
(EMTN)
(Netherlands)
4.50%		10/28/343		1,565,000		1,858,476
						12,670,800

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Energy — 0.78%
Boston Gas Co.
3.76%		03/16/322	$	2,400,000	$	2,116,650
East Ohio Gas Co. (The)
2.00%		06/15/302		1,020,000		840,403
Energy Transfer LP
4.95%		05/15/28		750,000		744,125
Energy Transfer Operating LP
5.25%		04/15/29		1,145,000		1,148,246
National Gas Transmission PLC,
(EMTN)
(United Kingdom)
4.25%		04/05/303		455,000		506,001
Petroleos Mexicanos
(Mexico)
6.35%		02/12/483		125,000		79,858
Southern Co. Gas Capital Corp.
5.75%		09/15/33		560,000		581,258
TransCanada PipeLines Ltd.
(Canada)
2.50%		10/12/313		445,000		370,340
4.63%		03/01/343		745,000		704,478
Venture Global LNG, Inc.
9.50%		02/01/292		484,000		522,128
						7,613,487
Finance — 2.75%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/263		2,045,000		1,900,535
3.00%		10/29/283		421,000		381,152
Air Lease Corp.
3.25%		03/01/25		820,000		800,708
3.25%		10/01/29		525,000		475,881
3.63%		12/01/27		355,000		335,274
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/272,3		1,558,000		1,386,487
2.88%		02/15/252,3		1,160,000		1,129,316
Citigroup, Inc.
2.52%		11/03/326		2,610,000		2,144,481
2.67%		01/29/316		115,000		99,776
2.98%		11/05/306		290,000		257,710
3.52%		10/27/286		1,505,000		1,419,554
Durrah MSN 35603
(Cayman Islands)
1.68%		01/22/253		580,145		568,493
EverBank Financial Corp.
5.75%		07/02/25		1,150,000		1,079,975
Goldman Sachs Group, Inc. (The)
2.65%		10/21/326		14,000		11,652
3.75%		02/25/26		20,000		19,536
3.81%		04/23/296		2,480,000		2,354,746
(SOFR Rate plus 0.49%)
5.84%		10/21/241		840,000		840,565
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%		02/01/29		97,000		82,916

See accompanying Notes to Financial Statements.

99 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
5.25%		05/15/27	$	486,000	$	451,980
9.75%		01/15/292		205,000		213,964
Morgan Stanley
2.19%		04/28/266		860,000		829,959
Morgan Stanley
(GMTN)
2.95%		05/07/326		415,000		431,087
Morgan Stanley
(MTN)
1.16%		10/21/256		4,790,000		4,665,489
1.79%		02/13/326		2,000,000		1,599,310
1.93%		04/28/326		765,000		614,196
Nationwide Building Society
(United Kingdom)
2.97%		02/16/282,3,6		2,250,000		2,099,880
Sandalwood 2013 LLC
2.90%		07/10/25		479,246		470,052
						26,664,674
Food — 0.67%
ELO SACA
(EMTN)
(France)
6.00%		03/22/293		700,000		767,353
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl
(Canada)
6.75%		03/15/342,3		2,030,000		2,134,962
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%		02/02/293		1,435,000		1,271,144
3.00%		05/15/323		1,185,000		963,407
Pilgrim’s Pride Corp.
3.50%		03/01/32		925,000		785,165
6.25%		07/01/33		580,000		594,263
						6,516,294
Health Care — 2.67%
1375209 BC Ltd.
(Canada)
9.00%		01/30/282,3		645,000		632,802
AbbVie, Inc.
3.60%		05/14/25		1,152,000		1,131,008
3.85%		06/15/24		1,342,000		1,336,872
Aetna, Inc.
3.50%		11/15/24		1,250,000		1,233,516
Alcon Finance Corp.
2.75%		09/23/262		2,300,000		2,171,810
Bayer U.S. Finance II LLC
4.38%		12/15/282		2,914,000		2,744,240
5.50%		08/15/252		1,100,000		1,091,867
Bayer U.S. Finance LLC
3.38%		10/08/242		1,020,000		1,006,236
6.50%		11/21/332		520,000		529,228
Baylor Scott & White Holdings
2.65%		11/15/26		1,530,000		1,428,197

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Becton Dickinson & Co.
3.36%		06/06/24	$	589,000	$	586,501
Catalent Pharma Solutions, Inc.,
Series REGS
2.38%		03/01/28		365,000		375,119
Centene Corp.
3.00%		10/15/30		1,710,000		1,467,670
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%		10/01/313		550,000		483,434
Grifols SA,
Series REGS
(Spain)
3.20%		05/01/253		100,000		99,771
3.88%		10/15/283		825,000		706,236
HCA, Inc.
5.25%		04/15/25		865,000		861,593
5.88%		02/15/26		2,530,000		2,540,762
5.88%		02/01/29		1,000,000		1,022,194
7.05%		12/01/27		80,000		84,361
Humana, Inc.
3.85%		10/01/24		860,000		851,890
IQVIA, Inc.
5.70%		05/15/28		1,725,000		1,751,080
6.25%		02/01/29		120,000		124,662
Kedrion SpA
(Italy)
6.50%		09/01/292,3		695,000		634,134
Medtronic Global Holdings SCA
(Luxembourg)
3.38%		10/15/343		300,000		324,923
ModivCare Escrow Issuer, Inc.
5.00%		10/01/292		775,000		562,932
ModivCare, Inc.
5.88%		11/15/252		95,000		92,604
						25,875,642
Health Care REITs — 0.42%
DOC DR LLC
3.95%		01/15/28		1,223,000		1,169,224
4.30%		03/15/27		590,000		577,801
Healthcare Reality Holdings LP
3.50%		08/01/26		225,000		214,732
Healthcare Realty Holdings LP
3.63%		01/15/28		911,000		842,540
3.88%		05/01/25		1,255,000		1,227,609
						4,031,906
Hotel & Resort REITs — 0.07%
Host Hotels & Resorts LP,
Series H
3.38%		12/15/29		758,000		675,872
Industrial REITs — 0.12%
LXP Industrial Trust
6.75%		11/15/28		975,000		1,017,926

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 100

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Industrial REITs (continued)
Rexford Industrial Realty LP
2.15%		09/01/31	$	135,000	$	108,392
						1,126,318
Industrials — 0.61%
Amcor Finance USA, Inc.
3.63%		04/28/26		1,950,000		1,881,108
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,
Series REGS
(Canada)
2.13%		08/15/263		230,000		214,302
BAE Systems Holdings, Inc.
3.80%		10/07/242		630,000		623,768
Berry Global, Inc.
1.65%		01/15/27		95,000		86,301
4.88%		07/15/262		1,055,000		1,034,674
5.65%		01/15/342		25,000		24,893
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.74%)
6.05%		08/15/361		1,115,000		1,035,622
Honeywell International, Inc.
3.75%		03/01/36		555,000		605,780
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.38%		04/30/252,3		410,000		400,195
						5,906,643
Information Technology — 0.31%
Apple, Inc.
3.25%		02/23/26		20,000		19,449
Open Text Corp.
(Canada)
6.90%		12/01/272,3		2,130,000		2,199,012
VMware LLC,
1.00%		08/15/24		815,000		800,866
						3,019,327
Insurance — 0.81%
Athene Global Funding
1.99%		08/19/282		2,555,000		2,213,389
3.21%		03/08/272		530,000		495,563
Equitable Financial Life Global Funding
1.30%		07/12/262		1,190,000		1,080,968
Metropolitan Life Global Funding I
3.30%		03/21/292		1,200,000		1,112,418
Nationwide Mutual Insurance Co.
7.88%		12/15/242,6		1,212,000		1,212,112
Trinity Acquisition PLC
(United Kingdom)
4.40%		03/15/263		1,385,000		1,359,165
Willis North America, Inc.
2.95%		09/15/29		395,000		354,198
						7,827,813

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Materials — 0.30%
International Flavors & Fragrances, Inc.
1.23%		10/01/252	$	950,000	$	889,896
1.83%		10/15/272		605,000		536,981
2.30%		11/01/302		1,805,000		1,500,238
						2,927,115
Office REITs — 0.22%
Hudson Pacific Properties LP
3.25%		01/15/30		310,000		239,255
3.95%		11/01/27		108,000		95,778
4.65%		04/01/29		1,325,000		1,130,113
Kilroy Realty LP
4.25%		08/15/29		721,000		663,272
						2,128,418
Residential REITs — 0.20%
American Homes 4 Rent LP
3.63%		04/15/32		650,000		572,261
Invitation Homes Operating Partnership LP
2.00%		08/15/31		975,000		775,971
4.15%		04/15/32		535,000		489,943
5.50%		08/15/33		149,000		148,505
						1,986,680
Retail — 0.05%
Ferrellgas LP/Ferrellgas Finance Corp.
5.88%		04/01/292		180,000		171,729
Michaels Cos., Inc. (The)
5.25%		05/01/282		405,000		345,461
						517,190
Services — 0.23%
Adtalem Global Education, Inc.
5.50%		03/01/282		215,000		206,106
Global Payments, Inc.
4.88%		03/17/31		200,000		228,059
5.30%		08/15/29		1,240,000		1,236,041
Worldline SA
(France)
0.00%		07/30/263,7		6,100		596,848
						2,267,054
Specialized REITs — 0.77%
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/323		560,000		556,515
3.18%		07/12/293		200,000		226,866
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%		05/04/283		425,000		397,084
1.63%		04/20/303		455,000		410,096
1.75%		03/12/293		415,000		390,945
CubeSmart LP
3.00%		02/15/30		220,000		194,656
4.38%		02/15/29		673,000		646,328

See accompanying Notes to Financial Statements.

101 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Specialized REITs (continued)
Extra Space Storage LP
2.20%		10/15/30	$	1,149,000	$	953,177
2.55%		06/01/31		163,000		135,764
3.88%		12/15/27		915,000		869,680
3.90%		04/01/29		1,650,000		1,555,513
LEG Immobilien SE
(EMTN)
(Georgia)
0.88%		03/30/333		200,000		165,148
Realty Income Corp.
5.13%		07/06/34		820,000		967,608
						7,469,380
Transportation — 0.25%
Canadian Pacific Railway Co.
(Canada)
1.35%		12/02/243		490,000		476,810
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		212,414		212,414
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25		206,681		203,174
United Airlines Pass-Through Trust,
Series 2023-1, Class A
5.80%		01/15/36		1,500,000		1,522,822
						2,415,220
Water — 0.05%
Thames Water Utilities Finance PLC
(EMTN)
(United Kingdom)
4.38%		01/18/313		490,000		493,500
Total Corporates
(Cost $198,259,501)						195,534,310
MORTGAGE-BACKED — 24.54%**
Non-Agency Commercial Mortgage-Backed — 2.99%
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2021-FL2, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.21%)
6.54%		05/15/361,2,3		1,350,038		1,347,140
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%		08/10/382,6		1,095,000		1,015,799
BX Trust,
Series 2019-OC11, Class A
3.20%		12/09/412		375,000		334,045
BXSC Commercial Mortgage Trust,
Series 2022-WSS, Class D
(CME Term SOFR 1-Month plus 3.19%)
8.51%		03/15/351,2		1,550,000		1,541,824
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%		11/13/392		715,000		617,558

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Citigroup Commercial Mortgage Trust,
Series 2016-GC36, Class A5
3.62%		02/10/49	$	3,250,000	$	3,106,804
Citigroup Commercial Mortgage Trust,
Series 2016-GC37, Class A4
3.31%		04/10/49		1,000,000		953,049
Credit Suisse Mortgage Capital Trust,
Series 2019-ICE4, Class E
(CME Term SOFR 1-Month plus 2.20%)
7.52%		05/15/361,2		1,820,471		1,819,039
DC Office Trust,
Series 2019-MTC, Class A
2.97%		09/15/452		765,000		653,635
Frost CMBS DAC,
Series 2021-1X, Class EUA
(Ireland)
(3-Month Euribor plus 1.15%)
5.08%		11/20/331,3		1,327,667		1,385,999
GPMT Ltd.,
Series 2021-FL4, Class AS
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.81%)
7.14%		12/15/361,2,3		2,380,000		2,247,561
Houston Galleria Mall Trust,
Series 2015-HGLR, Class A1A2
3.09%		03/05/372		3,000,000		2,907,584
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%		07/10/392		760,000		681,215
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%		12/10/412,6		765,000		671,425
JPMBB Commercial Mortgage Securities Trust,
Series 2015-C29, Class XA (IO)
0.54%		05/15/486		19,427,579		82,272
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2016-NINE, Class A
2.85%		09/06/382,6		2,280,000		2,134,427
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-OSB, Class A
3.40%		06/05/392		740,000		666,520
Last Mile Logistics Pan Euro Finance DAC,
Series 1A, Class A
(Ireland)
(3-Month Euribor plus 0.75%)
4.67%		08/17/331,2,3		2,338,773		2,486,814
Last Mile Securities PE 2021 DAC,
Series 2021-1A, Class A1
(Ireland)
(3-Month Euribor plus 0.90%)
4.82%		08/17/311,2,3		2,172,553		2,322,824
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%		02/12/402		520,000		424,570

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 102

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/542	$	960,000	$	821,211
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/432,6		45,000		33,168
Taurus UK DAC,
Series 2021-UK4X, Class D
(Ireland)
(SONIA plus 2.10%)
7.32%		08/17/311,3		447,596		564,494
Wells Fargo Commercial Mortgage Trust,
Series 2015-C26, Class XA (IO)
1.15%		02/15/486		27,082,734		156,387
						28,975,364
Non-Agency Mortgage-Backed — 6.59%
ACE Securities Corp. Home Equity Loan Trust,
Series 2005-HE2, Class M5
(CME Term SOFR 1-Month plus 1.13%)
6.46%		04/25/351		1,723,479		1,685,836
Argent Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2005-W3, Class M1
(CME Term SOFR 1-Month plus 0.77%)
6.10%		11/25/351		3,985,717		3,838,885
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(CME Term SOFR 1-Month plus 1.09%)
6.42%		12/25/341		287,119		259,672
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32		3,346		3,303
Banc of America Funding Trust,
Series 2014-R6, Class 2A11
5.70%		07/26/362,6		1,700,000		1,377,800
Bear Stearns ALT-A Trust,
Series 2004-12, Class 1M1
(CME Term SOFR 1-Month plus 1.04%)
6.37%		01/25/351		873,367		877,072
Chase Mortgage Finance Trust,
Series 2024-3, Class A4
6.00%		02/25/552,6		4,900,000		4,891,450
Chevy Chase Mortgage Funding LLC, Mortgage-Backed
Certificates,
Series 2005-2A, Class A1
(CME Term SOFR 1-Month plus 0.29%)
5.62%		05/25/361,2		32,514		29,097
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/572,6		1,975,768		1,746,974
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-OPT1, Class M1
(CME Term SOFR 1-Month plus 0.74%)
6.07%		02/25/351		3,206,284		2,945,426

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH1, Class M5
(CME Term SOFR 1-Month plus 0.89%)
6.22%		01/25/361	$	761,076	$	757,567
Countrywide Asset-Backed Certificates Trust,
Series 2005-7, Class MV5
(CME Term SOFR 1-Month plus 1.24%)
6.57%		11/25/351		3,740,078		3,661,027
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
5.36%		08/25/346		49,080		43,982
Credit Suisse Mortgage Capital Trust
Series 2022-RPL3, Class A1
3.78%		03/25/612,6		3,584,996		3,558,341
Credit Suisse Mortgage Capital Trust,
Series 2022-ATH2, Class A1
4.55%		05/25/672,6		1,669,237		1,624,200
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB3, Class AF1 (STEP-reset date 05/25/24)
3.38%		12/25/32		407,728		384,843
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF4 (STEP-reset date 05/25/24)
3.05%		12/25/36		327,654		251,414
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(CME Term SOFR 1-Month plus 0.17%)
3.39%		04/25/371		93,154		57,100
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A3
(CME Term SOFR 1-Month plus 0.36%)
3.39%		04/25/371		1,106,911		621,071
Fannie Mae Connecticut Avenue Securities,
Series 2022-R01, Class 1M1
(SOFR30A plus 1.00%)
6.32%		12/25/411,2		781,285		780,349
Fannie Mae Connecticut Avenue Securities,
Series 2023-R08, Class 1M1
(SOFR30A plus 1.50%)
6.82%		10/25/431,2		3,785,475		3,803,718
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.82%		09/25/346		24,369		23,983
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M1A
(SOFR30A plus 1.00%)
6.32%		01/25/421,2		1,351,452		1,352,696
GCAT Trust,
Series 2021-NQM5, Class A1
1.26%		07/25/662,6		3,779,569		3,031,307
GSAA Home Equity Trust,
Series 2005-9, Class M2
(CME Term SOFR 1-Month plus 0.86%)
6.19%		08/25/351		1,727,087		1,710,053
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
4.61%		08/25/346		4,754		4,727

See accompanying Notes to Financial Statements.

103 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(CME Term SOFR 1-Month plus 2.11%)
6.44%		10/25/371	$	1,347,290	$	1,268,165
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(CME Term SOFR 1-Month plus 0.74%)
6.07%		11/25/351		72,534		71,205
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(CME Term SOFR 1-Month plus 0.97%)
6.30%		09/25/341		6,482		5,578
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(CME Term SOFR 1-Month plus 0.91%)
6.24%		11/25/341		18,680		16,497
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
3.11%		06/25/376		461,469		399,373
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A3
6.61%		02/25/28		16,441		16,295
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A4
6.75%		02/25/28		4,377		4,339
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A4
6.49%		09/25/28		26,737		26,703
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(CME Term SOFR 1-Month plus 0.55%)
5.88%		07/25/361		55,589		55,517
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
4.43%		05/25/376		84,857		73,923
MASTRAdjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.37%		01/25/346		21,940		20,980
MASTRAdjustable Rate Mortgages Trust,
Series 2007-HF2, Class A1
(CME Term SOFR 1-Month plus 0.73%)
6.06%		09/25/371		79,771		79,664
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
6.22%		10/25/326		3,948		3,811
MASTR Seasoned Securitization Trust,
Series 2005-1, Class 4A1
6.27%		10/25/326		7,763		7,312
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(CME Term SOFR 1-Month plus 0.47%)
5.80%		06/25/371		138,081		132,919

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 A2D
(CME Term SOFR 1-Month plus 0.61%)
5.94%		06/25/371	$	255,170	$	246,254
Mid-State Trust XI,
Series 11, Class A1
4.86%		07/15/38		222,858		218,428
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(CME Term SOFR 1-Month plus 1.04%)
6.37%		07/25/341		105,498		105,509
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2005-HE3, Class M5
(CME Term SOFR 1-Month plus 1.15%)
6.48%		07/25/351		2,646,328		2,568,446
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(CME Term SOFR 1-Month plus 0.33%)
5.66%		04/25/371		452,842		450,450
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(CME Term SOFR 1-Month plus 0.79%)
6.12%		03/25/351		685,269		691,953
New York Mortgage Trust,
Series 2005-3, Class A1
(CME Term SOFR 1-Month plus 0.59%)
5.92%		02/25/361		222,209		217,841
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 04/25/24)
5.61%		10/25/252		1,953,704		1,951,248
PRPM LLC,
Series 2021-11, Class A1 (STEP-reset date 04/25/24)
2.49%		11/25/262		1,127,591		1,107,789
PRPM LLC,
Series 2021-6, Class A1 (STEP-reset date 04/25/24)
1.79%		07/25/262		1,490,080		1,450,486
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/24)
5.56%		06/25/272		1,914,369		1,891,646
RBSSP Resecuritization Trust,
Series 2009-12, Class 17A2
5.60%		10/25/352,6		838,326		812,858
Residential Asset Mortgage Products Trust,
Series 2003-SL1, Class A41
8.00%		04/25/31		15,201		12,361
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A7
7.00%		11/25/31		5,707		4,835
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
4.09%		12/25/346		11,067		9,897
Saxon Asset Securities Trust,
Series 2007-1, Class A2D
(CME Term SOFR 1-Month plus 0.35%)
5.68%		01/25/471		3,955,019		3,668,576

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 104

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Loan Trust,
Series 2005-OPT4, Class M1
(CME Term SOFR 1-Month plus 0.80%)
6.13%		12/25/351	$	4,500,000	$	3,911,962
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
5.58%		10/25/346		503,126		482,370
Structured Asset Mortgage Investments II Trust,
Series 2005-AR1, Class A1
(CME Term SOFR 1-Month plus 0.59%)
5.92%		04/19/351		250,865		235,642
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A2
(Federal Reserve US 12-Month Cumulative Average plus
1.48%)
6.54%		02/25/361		203,413		169,632
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
4.37%		05/25/366		1,440,753		719,042
VOLT XCIX, LLC,
Series 2021-NPL8, Class A1 (STEP-reset date 04/25/24)
5.12%		04/25/512		818,221		798,111
VOLT XCVI LLC,
Series 2021-NPL5, Class A1 (STEP-reset date 04/25/24)
5.12%		03/27/512		425,138		416,798
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A3
(CME Term SOFR 1-Month plus 1.67%)
7.00%		10/25/451		323,030		312,382
						63,958,690
U.S. Agency Commercial Mortgage-Backed — 0.27%
Fannie Mae Pool AN2786
2.76%		09/01/36		46,080		38,129
Fannie Mae Pool BL6060
2.46%		04/01/40		1,160,000		837,350
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ42, Class A1
3.90%		07/25/29		1,831,653		1,764,606
						2,640,085
U.S. Agency Mortgage-Backed — 14.69%
Fannie Mae Pool 253974
7.00%		08/01/31		456		455
Fannie Mae Pool 527247
7.00%		09/01/26		3		3
Fannie Mae Pool 545191
7.00%		09/01/31		343		349
Fannie Mae Pool 545646
7.00%		09/01/26		2		2
Fannie Mae Pool 549740
6.50%		10/01/27		823		842
Fannie Mae Pool 630599
7.00%		05/01/32		1,659		1,711

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 655928
7.00%		08/01/32	$	1,065	$	1,103
Fannie Mae Pool 735207
7.00%		04/01/34		561		574
Fannie Mae Pool 735861
6.50%		09/01/33		24,748		25,077
Fannie Mae Pool 764388
(RFUCCT6M plus 1.38%)
5.76%		03/01/341		6,059		6,004
Fannie Mae Pool 776708
5.00%		05/01/34		53,679		53,981
Fannie Mae Pool 844773
(RFUCCT1Y plus 1.56%)
5.81%		12/01/351		2,543		2,536
Fannie Mae Pool 889184
5.50%		09/01/36		41,201		42,072
Fannie Mae Pool 890221
5.50%		12/01/33		57,037		58,016
Fannie Mae Pool 939419
(RFUCCT1Y plus 1.27%)
4.64%		05/01/371		18,662		18,465
Fannie Mae Pool AL0209
4.50%		05/01/41		169,217		165,715
Fannie Mae Pool CA1710
4.50%		05/01/48		7,221		6,982
Fannie Mae Pool CA1711
4.50%		05/01/48		495,994		479,552
Fannie Mae Pool CA2208
4.50%		08/01/48		6,520		6,304
Fannie Mae Pool CB2430
3.00%		12/01/51		2,246,308		1,933,841
Fannie Mae Pool FM2318
3.50%		09/01/49		851,248		776,757
Fannie Mae Pool FS1598
2.00%		04/01/52		2,958,945		2,343,266
Fannie Mae Pool FS2646
3.00%		06/01/52		3,127,259		2,705,962
Fannie Mae Pool MA1527
3.00%		08/01/33		10,893		10,221
Fannie Mae Pool MA1561
3.00%		09/01/33		609,814		572,050
Fannie Mae Pool MA1608
3.50%		10/01/33		525,863		503,320
Fannie Mae Pool MA3427
4.00%		07/01/33		5,015		4,895
Fannie Mae Pool MA3537
4.50%		12/01/48		448,615		433,779
Fannie Mae Pool MA3811
3.00%		10/01/49		401,560		345,522
Fannie Mae Pool MA4333
2.00%		05/01/41		618,978		519,494
Fannie Mae Pool MA4512
2.50%		01/01/52		2,016,219		1,668,158
Fannie Mae Pool MA4548
2.50%		02/01/52		2,456,148		2,035,250

See accompanying Notes to Financial Statements.

105 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA4733
4.50%		09/01/52	$	8,868,546	$	8,450,928
Fannie Mae Pool MA5008
4.50%		05/01/53		1,092,900		1,041,115
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%		10/25/31		60,410		61,560
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X SOFR30A plus 99.20%, 9.80% Cap)
9.80%		01/25/341		1,844		1,847
Fannie Mae REMICS,
Series 2007-64, Class FA
(SOFR30A plus 0.58%)
5.90%		07/25/371		26,184		26,058
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X SOFR30A plus 5.94%, 6.05% Cap)
0.62%		11/25/361		431,780		29,699
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%		06/25/47		2,748		2,590
Fannie Mae REMICS,
Series 2018-43, Class CT
3.00%		06/25/48		170,545		150,031
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%		05/25/47		117,333		113,931
Fannie Mae Trust,
Series 2003-W6, Class 5T (IO)
(-1.00 X SOFR30A plus 8.04%, 0.55% Cap)
0.55%		09/25/421		5,499,360		102,162
Freddie Mac Gold Pool A25162
5.50%		05/01/34		45,940		46,955
Freddie Mac Gold Pool A33262
5.50%		02/01/35		20,738		21,203
Freddie Mac Gold Pool A68781
5.50%		10/01/37		2,735		2,797
Freddie Mac Gold Pool C03813
3.50%		04/01/42		466,393		434,037
Freddie Mac Gold Pool G01548
7.50%		07/01/32		132,537		139,211
Freddie Mac Gold Pool G01644
5.50%		02/01/34		29,436		30,095
Freddie Mac Gold Pool G02366
6.50%		10/01/36		23,209		24,431
Freddie Mac Gold Pool G08844
5.00%		10/01/48		129,342		128,494
Freddie Mac Gold Pool G15897
2.50%		09/01/31		14,199		13,348
Freddie Mac Gold Pool G16085
2.50%		02/01/32		875,429		819,223
Freddie Mac Gold Pool G16524
3.50%		05/01/33		31,925		30,744
Freddie Mac Gold Pool G16756
3.50%		01/01/34		537,182		516,397

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G18581
2.50%		01/01/31	$	13,806	$	12,960
Freddie Mac Pool SD7503
3.50%		08/01/49		2,279,676		2,077,941
Freddie Mac Pool SD8199
2.00%		03/01/52		1,598,156		1,265,621
Freddie Mac Pool SD8347
4.50%		08/01/53		2,558,089		2,436,669
Freddie Mac REMICS,
Series 2174, Class PN
6.00%		07/15/29		9,670		9,631
Freddie Mac REMICS,
Series 3460, Class SA (IO)
(-1.00 X SOFR30A plus 6.09%, 6.20% Cap)
0.77%		06/15/381		407,521		26,225
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X SOFR30A plus 6.50%, 6.61% Cap)
1.18%		04/15/421		366,904		35,412
Ginnie Mae (TBA)
2.50%		04/20/54		3,900,000		3,324,141
4.50%		04/20/54		13,900,000		13,359,585
5.00%		04/20/54		11,875,000		11,672,833
5.50%		04/20/54		5,100,000		5,096,401
Ginnie Mae I Pool 782810
4.50%		11/15/39		301,465		294,085
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.63%		07/20/341		8,073		7,944
Ginnie Mae II Pool MA4454
5.00%		05/20/47		11,821		11,900
Ginnie Mae II Pool MA4511
4.00%		06/20/47		2,994		2,845
Ginnie Mae II Pool MA4588
4.50%		07/20/47		104,341		102,100
Ginnie Mae II Pool MA4589
5.00%		07/20/47		587,007		590,364
Ginnie Mae II Pool MA4838
4.00%		11/20/47		272,213		258,297
Ginnie Mae II Pool MA4901
4.00%		12/20/47		221,390		210,072
Ginnie Mae II Pool MA5399
4.50%		08/20/48		270,573		263,464
Ginnie Mae II Pool MA5530
5.00%		10/20/48		3,251		3,231
Ginnie Mae II Pool MA6030
3.50%		07/20/49		37,306		33,439
Ginnie Mae II Pool MA6080
3.00%		08/20/49		19,877		17,202
Ginnie Mae II Pool MA6209
3.00%		10/20/49		350,154		303,028
Ginnie Mae,
Series 2023-134, Class F
(SOFR30A plus 1.00%)
6.32%		08/20/531		965,795		963,314

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 106

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2024-30, Class AF
(SOFR30A plus 1.25%)
6.50%		02/20/541	$	652,640	$	652,774
Ginnie Mae,
Series 2024-30, Class CF
(SOFR30A plus 1.25%)
6.50%		02/20/541		1,591,229		1,593,603
UMBS (TBA)
2.00%		04/01/54		1,725,000		1,366,345
2.50%		04/01/54		5,975,000		4,943,482
3.00%		04/01/54		8,775,000		7,555,545
3.50%		04/01/54		4,500,000		4,029,874
4.00%		04/01/54		23,125,000		21,421,337
4.50%		04/01/54		15,625,000		14,883,423
5.00%		04/01/54		11,425,000		11,148,737
5.50%		04/01/54		5,725,000		5,697,164
						142,580,102
Total Mortgage-Backed
(Cost $245,600,907)						238,154,241
MUNICIPAL BONDS — 0.82%*
California — 0.01%
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements,
Series C
5.52%		07/01/27		50,000		51,186
Florida — 0.05%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series C
4.06%		10/01/31		280,000		268,046
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31		245,000		224,561
						492,607
Massachusetts — 0.15%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%		07/15/31		1,513,386		1,479,116
Michigan — 0.07%
University of Michigan Revenue Bonds, Series C
3.48%		04/01/33		750,000		697,128
New York — 0.53%
City of New York General Obligation, Public Improvements, Series 2
1.70%		03/01/29		250,000		218,815
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		1,465,000		1,481,527
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3
5.13%		02/01/35		718,000		732,080
5.15%		02/01/36		718,000		730,667

Issues		Maturity Date	Principal Amount		Value
MUNICIPAL BONDS (continued)
New York (continued)
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29	$	590,000	$	519,807
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D
5.50%		03/15/30		70,000		70,618
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.01%		03/15/30		1,630,000		1,409,160
						5,162,674
Pennsylvania — 0.01%
Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center,
Series B
3.20%		11/15/27		40,000		37,873
Total Municipal Bonds
(Cost $8,193,159)						7,920,584
U.S. TREASURY SECURITIES — 44.90%
U.S. Treasury Notes — 44.90%
U.S. Treasury Notes
4.25%		03/15/27		47,990,000		47,778,169
4.50%		03/31/26		9,160,000		9,139,244
U.S. Treasury Notes (WI)
4.00%		02/15/34		79,331,000		78,048,035
4.25%		02/28/29		95,063,000		95,226,390
4.25%		03/31/29		206,285,000		205,464,951
Total U.S. Treasury Securities
(Cost $435,374,392)						435,656,789
Total Bonds — 97.33%
(Cost $954,761,534)						944,447,295

Issues			Shares		Value
COMMON STOCK — 0.04%
Communications — 0.04%
Intelsat Emergence SA3,4,5,8
(Luxembourg)				15,282		410,704
Electric — 0.00%
Homer City Holdings LLC4,5,8				8,014		—
Total Common Stock
(Cost $968,945)						410,704
Issues		Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 22.12%
Money Market Funds — 11.20%
Dreyfus Government Cash Management Fund
5.20%9				41,065,000		41,065,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%9,10				61,917		61,917

See accompanying Notes to Financial Statements.

107 / Annual Report March 2024

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
JPMorgan U.S. Government Money Market Fund
5.16%9				19,913,000	$	19,913,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%9				47,633,000		47,633,000
						108,672,917
U.S. Treasury Bills — 10.92%
U.S. Treasury Bills
5.49%11		04/11/24	$	15,000,000		14,978,191
U.S. Treasury Bills (WI)
5.32%11		05/30/24		40,000,000		39,637,816
5.31%11		04/16/24		50,000,000		49,868,500
5.33%11		04/04/24		1,500,000		1,498,688
						105,983,195
Total Short-Term Investments
(Cost $214,697,359)						214,656,112
Total Investments - 119.49%
(Cost $1,170,427,838)						1,159,514,111
Liabilities in Excess of Other Assets - (19.49)%						(189,145,616	)
Net Assets - 100.00%					$	970,368,495

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³  Foreign denominated security issued by foreign domiciled entity.

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

⁵  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $2,104,735, which is 0.22% of total net assets.

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

⁷  Zero coupon bond. The rate shown is the effective yield as of March 31, 2024.

⁸  Non-income producing security.

⁹  Represents the current yield as of March 31, 2024.

¹⁰  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $3,381.

¹¹  Represents annualized yield at date of purchase.

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

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

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

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(WI): When Issued

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 24,719,435		EUR 22,484,000		Citibank N.A.		04/12/24	$	422,580
USD 486,683		EUR 448,000		The Bank of New York Mellon		04/12/24		2,562
USD 1,586,621		GBP 1,243,000		Citibank N.A.		04/12/24		16,275
								441,417
EUR 1,567,000		USD 1,703,959		Bank of America N.A.		04/12/24		(10,614)
EUR 577,000		USD 624,664		The Bank of New York Mellon		04/12/24		(1,141)
EUR 1,984,000		USD 2,158,147		Citibank N.A.		04/12/24		(14,180)
EUR 193,000		USD 208,744		Goldman Sachs International		04/12/24		(183)
GBP 200,000		USD 252,949		Citibank N.A.		04/12/24		(278)
USD 222,410		EUR 206,000		Bank of America N.A.		04/12/24		(199)
								(26,595)
NET UNREALIZED APPRECIATION							$	414,822

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 108

Intermediate Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		1,468		06/28/24	$	300,183,064	$	(230,540)	$	(230,540)
U.S. Treasury Five-Year Note		257		06/28/24		27,503,017		26,322		26,322
U.S. Treasury Ten-Year Ultra Bond		170		06/18/24		19,483,595		112,600		112,600
Euro-Schatz Future		3		06/06/24		342,468		547		547
						347,512,144		(91,071)		(91,071)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ultra Bond		97		06/18/24		(12,513,000)		(124,524)		(124,524)
Euro-Bund Future		56		06/06/24		(8,066,823)		(56,318)		(56,318)
Euro-Bobl Future		48		06/06/24		(6,130,080)		(27,533)		(27,533)
U.S. Treasury Ten-Year Note		15		06/18/24		(1,661,953)		11,597		11,597
						(28,371,856)		(196,778)		(196,778)
TOTAL FUTURES CONTRACTS					$	319,140,288	$	(287,849)	$	(287,849)

See accompanying Notes to Financial Statements.

109 / Annual Report March 2024

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BONDS – 104.96%
ASSET-BACKED SECURITIES — 4.94%**
Aimco CLO,
Series 2015-AA, Class BR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%	10/17/341,2,3	$	70,000	$	70,038
Allegro CLO VIII Ltd.,
Series 2018-2A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.36%)
6.68%	07/15/311,2,3		26,900		26,917
AMMC CLO 30 Ltd.,
Series 2024-30A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.68%)
6.97%	01/15/371,2,3		70,000		70,312
Barings CLO Ltd.,
Series 2018-2A, Class A1B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.48%)
6.80%	04/15/301,2,3		110,000		109,979
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.21%)
6.53%	07/20/291,2,3		71,734		71,789
FirstKey Homes Trust,
Series 2021-SFR2, Class E2
2.36%	09/17/383		100,000		90,057
FirstKey Homes Trust,
Series 2022-SFR1, Class D
5.20%	05/19/393		70,000		67,888
GoldenTree Loan Management U.S. CLO 4 Ltd.,
Series 2019-4A, Class ARR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.15%)
6.48%	04/24/311,2,3		100,000		100,101
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/733		27,346		25,636
Madison Park Funding XXXIX Ltd.,
Series 2021-39A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%	10/22/341,2,3		70,000		70,069
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.42%)
6.74%	07/15/361,2,3		70,000		70,018
Palmer Square Loan Funding Ltd.,
Series 2022-3A, Class A1BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.40%)
6.72%	04/15/311,2,3		115,000		115,056

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Progress Residential Trust,
Series 2021-SFR11, Class E2
3.53%	01/17/393	$	80,000	$	69,817
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		32,985		29,461
SLM Student Loan Trust,
Series 2008-2, Class B
(SOFR90A plus 1.46%)
6.82%	01/25/832		20,000		19,215
SLM Student Loan Trust,
Series 2008-3, Class B
(SOFR90A plus 1.46%)
6.82%	04/26/832		20,000		19,081
SLM Student Loan Trust,
Series 2008-5, Class B
(SOFR90A plus 2.11%)
7.47%	07/25/732		35,000		34,835
SLM Student Loan Trust,
Series 2008-6, Class A4
(SOFR90A plus 1.36%)
6.72%	07/25/232		19,149		19,015
SLM Student Loan Trust,
Series 2008-6, Class B
(SOFR90A plus 2.11%)
7.47%	07/26/832		20,000		19,023
SLM Student Loan Trust,
Series 2008-7, Class B
(SOFR90A plus 2.11%)
7.47%	07/26/832		20,000		18,770
Stack Infrastructure Issuer LLC,
Series 2023-2A, Class A2
5.90%	07/25/483		100,000		99,777
Vantage Data Centers Issuer LLC,
Series 2020-1A, Class A2
1.65%	09/15/453		85,000		79,672
Wachovia Student Loan Trust,
Series 2006-1, Class A6
(SOFR90A plus 0.43%)
5.79%	04/25/402,3		19,697		19,233
Total Asset-Backed Securities
(Cost $1,317,769)					1,315,759
CORPORATES — 45.04%*
Banking — 8.03%
Bank of America Corp.
2.30%	07/21/325		407,000		333,390
2.59%	04/29/315		210,000		180,969
Bank of America Corp.,
Series N
1.66%	03/11/275		40,000		37,289
Bank of New York Mellon Corp. (The)
(MTN)
5.83%	10/25/335		170,000		177,598
HSBC Holdings PLC
(United Kingdom)
2.80%	05/24/321,5		155,000		130,026

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 110

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Banking (continued)
JPMorgan Chase & Co.
1.58%		04/22/275	$	205,000	$	190,147
1.95%		02/04/325		365,000		297,514
2.96%		01/25/335		65,000		55,555
PNC Financial Services Group, Inc. (The)
5.07%		01/24/345		170,000		164,715
5.68%		01/22/355		5,000		5,052
6.04%		10/28/335		10,000		10,350
6.88%		10/20/345		15,000		16,437
Santander UK Group Holdings PLC
(United Kingdom)
2.47%		01/11/281,5		40,000		36,762
U.S. Bancorp
4.84%		02/01/345		190,000		180,514
5.68%		01/23/355		5,000		5,053
Wells Fargo & Co.
(MTN)
2.57%		02/11/315		80,000		68,975
3.35%		03/02/335		285,000		247,222
						2,137,568
Communications — 2.88%
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%		02/01/32		270,000		208,580
Cisco Systems, Inc.
5.05%		02/26/34		60,000		60,812
Comcast Corp.
1.95%		01/15/31		10,000		8,311
Discovery Communications LLC
3.63%		05/15/30		35,000		31,350
Fox Corp.
6.50%		10/13/33		65,000		68,857
Sprint Capital Corp.
8.75%		03/15/32		85,000		103,127
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
4.74%		03/20/253		18,750		18,650
5.15%		03/20/283		100,000		99,791
T-Mobile USA, Inc.
2.55%		02/15/31		154,000		131,239
5.05%		07/15/33		35,000		34,649
						765,366
Consumer Discretionary — 2.54%
Bacardi Ltd.
(Bermuda)
4.70%		05/15/281,3		90,000		87,862
BAT Capital Corp.
4.39%		08/15/37		95,000		79,905
Church & Dwight Co., Inc.
5.60%		11/15/32		20,000		20,946
Constellation Brands, Inc.
2.88%		05/01/30		30,000		26,556
Hyatt Hotels Corp.
1.80%		10/01/24		35,000		34,291

Issues	Maturity Date		Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Imperial Brands Finance PLC
(United Kingdom)
4.25%		07/21/251,3	$	30,000	$	29,476
JDE Peet’s NV
(Netherlands)
2.25%		09/24/311,3		120,000		95,620
Kenvue, Inc.
4.90%		03/22/33		15,000		15,008
Philip Morris International, Inc.
5.75%		11/17/32		60,000		61,986
Reynolds American, Inc.
5.70%		08/15/35		50,000		48,754
WarnerMedia Holdings, Inc.
4.28%		03/15/32		195,000		174,389
						674,793
Diversified REITs — 1.80%
American Assets Trust LP
3.38%		02/01/31		25,000		20,440
American Tower Corp.
2.30%		09/15/31		148,000		120,879
2.90%		01/15/30		15,000		13,224
5.65%		03/15/33		15,000		15,257
Crown Castle, Inc.
2.25%		01/15/31		120,000		98,723
3.30%		07/01/30		25,000		22,235
Digital Realty Trust LP
3.60%		07/01/29		10,000		9,220
Equinix, Inc.
2.50%		05/15/31		35,000		29,205
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32		14,000		11,868
4.00%		01/15/30		35,000		32,084
5.30%		01/15/29		20,000		19,760
VICI Properties LP
5.13%		05/15/32		62,000		59,403
VICI Properties LP/VICI Note Co., Inc.
4.63%		06/15/253		15,000		14,794
Weyerhaeuser Co.
3.38%		03/09/33		15,000		13,110
						480,202
Electric — 4.14%
Alliant Energy Finance LLC
1.40%		03/15/263		90,000		81,911
5.95%		03/30/293		35,000		36,088
Ameren Corp.
3.50%		01/15/31		50,000		45,203
Appalachian Power Co.,
Series X
3.30%		06/01/27		20,000		18,902
Arizona Public Service Co.
6.35%		12/15/32		125,000		133,557
Berkshire Hathaway Energy Co.
1.65%		05/15/31		25,000		20,039

See accompanying Notes to Financial Statements.

111 / Annual Report March 2024

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Black Hills Corp.
4.35%	05/01/33	$	36,000	$	32,981
Commonwealth Edison Co.
6.45%	01/15/38		20,000		22,023
Duke Energy Corp.
2.55%	06/15/31		35,000		29,521
Duke Energy Florida LLC
5.88%	11/15/33		110,000		116,441
Eversource Energy
4.60%	07/01/27		30,000		29,531
5.13%	05/15/33		70,000		68,677
Exelon Corp.
5.30%	03/15/33		35,000		35,124
FirstEnergy Pennsylvania Electric Co.
4.00%	04/15/253		75,000		73,182
ITC Holdings Corp.
4.95%	09/22/273		20,000		19,889
Jersey Central Power & Light Co.
2.75%	03/01/323		90,000		75,225
Narragansett Electric Co. (The)
3.40%	04/09/303		35,000		31,975
Oklahoma Gas and Electric Co.
5.40%	01/15/33		15,000		15,336
Public Service Co. of New Mexico
3.85%	08/01/25		40,000		39,104
Southwestern Electric Power Co.
5.30%	04/01/33		155,000		153,193
Southwestern Electric Power Co.,
Series M
4.10%	09/15/28		15,000		14,392
Xcel Energy, Inc.
3.40%	06/01/30		10,000		8,943
					1,101,237
Energy — 2.68%
Aker BP ASA
(Norway)
3.10%	07/15/311,3		67,000		57,348
Boston Gas Co.
3.76%	03/16/323		25,000		22,049
CenterPoint Energy Resources Corp.
5.40%	03/01/33		115,000		117,112
East Ohio Gas Co. (The)
2.00%	06/15/303		15,000		12,359
KeySpan Gas East Corp.
5.99%	03/06/333		85,000		86,314
NiSource, Inc.
5.40%	06/30/33		75,000		75,726
Piedmont Natural Gas Co., Inc.
2.50%	03/15/31		10,000		8,453
5.40%	06/15/33		65,000		65,715
Plains All American Pipeline LP/PAA Finance Corp.
4.65%	10/15/25		30,000		29,613
Rockies Express Pipeline LLC
3.60%	05/15/253		20,000		19,537
4.95%	07/15/293		5,000		4,683

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
Southern Co. Gas Capital Corp.
5.15%	09/15/32	$	20,000	$	20,109
5.75%	09/15/33		102,000		105,872
Southern Natural Gas Co. LLC
4.80%	03/15/473		30,000		24,785
TransCanada PipeLines Ltd.
(Canada)
4.63%	03/01/341		30,000		28,368
5.60%	03/31/341		35,000		35,508
					713,551
Finance — 4.82%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%	10/29/281		80,000		72,428
3.30%	01/30/321		60,000		51,432
3.88%	01/23/281		16,000		15,172
Air Lease Corp.
3.63%	12/01/27		26,000		24,556
4.63%	10/01/28		15,000		14,606
American Express Co.
6.49%	10/30/315		100,000		107,261
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		46,000		40,936
2.75%	02/21/281,3		10,000		8,953
4.38%	05/01/261,3		5,000		4,838
Citigroup, Inc.
2.52%	11/03/325		200,000		164,328
2.56%	05/01/325		70,000		58,403
3.06%	01/25/335		32,000		27,203
Discover Financial Services
6.70%	11/29/32		25,000		26,479
Goldman Sachs Group, Inc. (The)
1.95%	10/21/275		50,000		45,994
2.65%	10/21/325		212,000		176,454
Intercontinental Exchange, Inc.
1.85%	09/15/32		50,000		39,145
Morgan Stanley
(MTN)
1.79%	02/13/325		240,000		191,917
1.93%	04/28/325		215,000		172,617
Nationwide Building Society
(United Kingdom)
1.50%	10/13/261,3		25,000		22,821
Pipeline Funding Co. LLC
7.50%	01/15/303		16,532		17,351
					1,282,894
Food — 1.05%
General Mills, Inc.
4.95%	03/29/33		50,000		49,517
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl
(Canada)
6.75%	03/15/341,3		85,000		89,395

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 112

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Food (continued)
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%	12/01/311	$	32,000	$	27,748
Kellanova
5.25%	03/01/33		30,000		30,087
Pilgrim’s Pride Corp.
3.50%	03/01/32		60,000		50,930
Smithfield Foods, Inc.
2.63%	09/13/313		40,000		31,346
					279,023
Health Care — 6.55%
Alcon Finance Corp.
2.75%	09/23/263		40,000		37,771
Amgen, Inc.
5.25%	03/02/33		165,000		166,467
Ascension Health,
Series B
2.53%	11/15/29		20,000		17,844
Barnabas Health, Inc.,
Series 2012
4.00%	07/01/28		15,000		14,386
Baxter International, Inc.
3.95%	04/01/30		10,000		9,368
Bayer U.S. Finance II LLC
4.38%	12/15/283		45,000		42,379
Bayer U.S. Finance LLC
6.50%	11/21/333		95,000		96,686
Becton Dickinson & Co.
3.70%	06/06/27		20,000		19,220
Bristol-Myers Squibb Co.
5.20%	02/22/34		135,000		137,210
Centene Corp.
3.00%	10/15/30		85,000		72,954
Cigna Group (The)
2.40%	03/15/30		105,000		90,725
CVS Health Corp.
3.25%	08/15/29		40,000		36,706
5.25%	02/21/33		150,000		150,171
DENTSPLY SIRONA, Inc.
3.25%	06/01/30		35,000		31,036
Elanco Animal Health, Inc.
6.65%	08/28/28		15,000		15,247
Elevance Health, Inc.
5.50%	10/15/32		45,000		46,168
Fresenius Medical Care U.S. Finance III, Inc.
1.88%	12/01/263		20,000		18,107
HCA, Inc.
3.63%	03/15/32		75,000		66,425
4.13%	06/15/29		65,000		61,557
Humana, Inc.
3.70%	03/23/29		10,000		9,418
5.38%	04/15/31		150,000		150,182
Illumina, Inc.
2.55%	03/23/31		25,000		20,695

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
5.75%	12/13/27	$	15,000	$	15,191
IQVIA, Inc.
6.25%	02/01/29		35,000		36,360
Medtronic Global Holdings SCA
(Luxembourg)
4.50%	03/30/331		20,000		19,424
Pfizer Investment Enterprises Pte Ltd.
(Slovenia)
4.75%	05/19/331		35,000		34,498
Premier Health Partners,
Series G
2.91%	11/15/26		15,000		13,793
Providence St. Joseph Health Obligated Group,
Series H
2.75%	10/01/26		20,000		18,738
Regeneron Pharmaceuticals, Inc.
1.75%	09/15/30		20,000		16,378
Revvity, Inc.
2.55%	03/15/31		35,000		29,545
Roche Holdings, Inc.
5.59%	11/13/333		85,000		89,439
Royalty Pharma PLC
(United Kingdom)
1.75%	09/02/271		25,000		22,228
Smith & Nephew PLC
(United Kingdom)
2.03%	10/14/301		30,000		24,772
STERIS Irish FinCo UnLtd Co.
(Ireland)
2.70%	03/15/311		30,000		25,651
Thermo Fisher Scientific, Inc.
5.09%	08/10/33		34,000		34,406
Universal Health Services, Inc.
1.65%	09/01/26		35,000		31,910
Zoetis, Inc.
5.60%	11/16/32		20,000		20,772
					1,743,827
Health Care REITs — 0.30%
DOC DR LLC
2.63%	11/01/31		5,000		4,123
4.30%	03/15/27		26,000		25,462
Healthcare Reality Holdings LP
2.00%	03/15/31		30,000		23,874
3.10%	02/15/30		15,000		13,047
Healthcare Realty Holdings LP
3.88%	05/01/25		4,000		3,913
Ventas Realty LP
4.13%	01/15/26		10,000		9,773
					80,192
Hotel & Resort REITs — 0.10%
Host Hotels & Resorts LP,
Series I
3.50%	09/15/30		30,000		26,695

See accompanying Notes to Financial Statements.

113 / Annual Report March 2024

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrial REITs — 0.26%
LXP Industrial Trust
2.38%	10/01/31	$	25,000	$	20,033
2.70%	09/15/30		25,000		20,925
Rexford Industrial Realty LP
2.13%	12/01/30		5,000		4,088
2.15%	09/01/31		30,000		24,087
					69,133
Industrials — 1.78%
Amcor Finance USA, Inc.
3.63%	04/28/26		25,000		24,117
5.63%	05/26/33		15,000		15,380
BAE Systems Holdings, Inc.
3.80%	10/07/243		15,000		14,852
3.85%	12/15/253		10,000		9,763
Berry Global, Inc.
1.57%	01/15/26		20,000		18,730
1.65%	01/15/27		20,000		18,169
5.65%	01/15/343		85,000		84,634
Boeing Co. (The)
4.88%	05/01/25		15,000		14,836
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.64%)
5.91%	05/05/262		10,000		10,029
Sealed Air Corp.
1.57%	10/15/263		30,000		27,129
Smurfit Kappa Treasury ULC
(Ireland)
5.44%	04/03/341,3		200,000		200,401
Sonoco Products Co.
3.13%	05/01/30		25,000		22,358
Sydney Airport Finance Co. Pty Ltd.
(Australia)
3.63%	04/28/261,3		15,000		14,460
					474,858
Information Technology — 1.92%
Broadcom, Inc.
2.60%	02/15/333		50,000		40,614
3.42%	04/15/333		20,000		17,333
Constellation Software, Inc.
(Canada)
5.46%	02/16/341,3		100,000		100,638
Fiserv, Inc.
2.65%	06/01/30		20,000		17,429
5.63%	08/21/33		20,000		20,448
Micron Technology, Inc.
2.70%	04/15/32		15,000		12,544
Netflix, Inc.
3.63%	06/15/253		20,000		19,583
Open Text Corp.
(Canada)
6.90%	12/01/271,3		72,000		74,333
Oracle Corp.
2.88%	03/25/31		70,000		60,911

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Information Technology (continued)
6.25%	11/09/32	$	90,000	$	96,375
Take-Two Interactive Software, Inc.
4.00%	04/14/32		55,000		50,833
					511,041
Insurance — 3.24%
Aon Corp.
2.80%	05/15/30		40,000		35,291
Aon Corp./Aon Global Holdings PLC
2.60%	12/02/31		60,000		50,594
Athene Global Funding
1.61%	06/29/263		5,000		4,590
(SOFR Index plus 0.70%)
6.06%	05/24/242,3		30,000		30,034
Brown & Brown, Inc.
4.20%	03/17/32		30,000		27,755
Equitable Financial Life Global Funding
1.30%	07/12/263		25,000		22,709
Farmers Exchange Capital
7.05%	07/15/283		5,000		5,054
Farmers Insurance Exchange
4.75%	11/01/573,5		65,000		48,257
Marsh & McLennan Cos., Inc.
2.25%	11/15/30		30,000		25,530
Metropolitan Life Global Funding I
2.95%	04/09/303		220,000		195,375
MMI Capital Trust I,
Series B
7.63%	12/15/27		50,000		52,768
Nationwide Mutual Insurance Co.
7.88%	12/15/243,5		50,000		50,005
New York Life Global Funding
5.00%	01/09/343		160,000		158,377
New York Life Insurance Co.
5.88%	05/15/333		65,000		67,683
Progressive Corp. (The)
3.20%	03/26/30		10,000		9,142
Teachers Insurance & Annuity Association of America
4.38%	09/15/543,5		55,000		54,125
Willis North America, Inc.
5.35%	05/15/33		25,000		24,896
					862,185
Materials — 0.48%
Georgia-Pacific LLC
2.30%	04/30/303		20,000		17,209
International Flavors & Fragrances, Inc.
1.83%	10/15/273		20,000		17,751
2.30%	11/01/303		95,000		78,960
3.27%	11/15/403		20,000		14,253
					128,173
Office REITs — 0.31%
Hudson Pacific Properties LP
3.95%	11/01/27		25,000		22,171
Kilroy Realty LP
2.50%	11/15/32		40,000		30,152

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 114

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Office REITs (continued)
3.05%	02/15/30	$	5,000	$	4,260
Piedmont Operating Partnership LP
2.75%	04/01/32		35,000		25,327
					81,910
Residential REITs — 0.74%
American Homes 4 Rent LP
2.38%	07/15/31		30,000		24,399
Essex Portfolio LP
2.65%	03/15/32		10,000		8,279
5.50%	04/01/34		70,000		70,072
Invitation Homes Operating Partnership LP
5.50%	08/15/33		70,000		69,768
Mid-America Apartments LP
1.70%	02/15/31		20,000		16,140
UDR, Inc.
(MTN)
4.40%	01/26/29		10,000		9,658
					198,316
Retail — 0.07%
Starbucks Corp.
2.55%	11/15/30		20,000		17,359
Services — 0.55%
Global Payments, Inc.
5.30%	08/15/29		60,000		59,809
5.95%	08/15/52		10,000		10,000
Moody’s Corp.
4.25%	08/08/32		20,000		19,046
Northwestern University
3.69%	12/01/38		20,000		17,910
RELX Capital, Inc.
3.00%	05/22/30		20,000		17,978
Republic Services, Inc.
2.90%	07/01/26		5,000		4,793
S&P Global, Inc.
2.90%	03/01/32		10,000		8,717
Worldline SA
(France)
0.00%	07/30/251,7		75		8,964
					147,217
Specialized REITs — 0.33%
CubeSmart LP
4.38%	02/15/29		15,000		14,405
Extra Space Storage LP
2.20%	10/15/30		40,000		33,183
NNN REIT, Inc.
5.60%	10/15/33		40,000		40,541
					88,129
Transportation — 0.47%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%	06/10/28		19,768		17,878

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Transportation (continued)
JetBlue Airways Pass-Through Trust,
Series 2019-1, Class AA
2.75%	05/15/32	$	26,965	$	23,136
Norfolk Southern Corp.
3.00%	03/15/32		15,000		13,046
Union Pacific Corp.
2.89%	04/06/36		20,000		16,322
United Airlines Pass-Through Trust,
Series 2023-1, Class A
5.80%	01/15/36		55,000		55,837
					126,219
Total Corporates
(Cost $12,301,468)					11,989,888
MORTGAGE-BACKED — 25.74%**
Non-Agency Commercial Mortgage-Backed — 6.68%
1211 Avenue of the Americas Trust,
Series 2015-1211, Class A1A2
3.90%	08/10/353		36,000		34,704
BPR Trust,
Series 2022-OANA, Class A
(CME Term SOFR 1-Month plus 1.90%)
7.22%	04/15/372,3		50,000		50,241
BX Trust,
Series 2019-OC11, Class C
3.86%	12/09/413		79,000		70,301
BX Trust,
Series 2021-LBA, Class DV
(CME Term SOFR 1-Month plus 1.71%)
7.04%	02/15/362,3		33,214		32,739
BX Trust,
Series 2021- VIEW, Class A
(CME Term SOFR 1-Month plus 1.39%)
6.72%	06/15/362,3		50,000		48,593
BX Trust,
Series 2023-DELC, Class B
(CME Term SOFR 1-Month plus 3.34%)
8.66%	05/15/382,3		32,000		32,298
CAMB Commercial Mortgage Trust,
Series 2019- LIFE, Class B
(CME Term SOFR 1-Month plus 1.55%)
6.87%	12/15/372,3		67,000		67,021
CAMB Commercial Mortgage Trust,
Series 2019- LIFE, Class D
(CME Term SOFR 1-Month plus 2.05%)
7.37%	12/15/372,3		33,000		33,046
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.94%	10/10/475		542,371		1,411
Citigroup Commercial Mortgage Trust,
Series 2020-555, Class A
2.65%	12/10/413		100,000		85,247
Commercial Mortgage Trust,
Series 2014-CR19, Class XA (IO)
0.79%	08/10/475		442,972		606

See accompanying Notes to Financial Statements.

115 / Annual Report March 2024

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Commercial Mortgage Trust,
Series 2014-UBS3, Class XA (IO)
0.99%	06/10/475	$	1,047,015	$	92
Commercial Mortgage Trust,
Series 2014-UBS5, Class XA (IO)
0.78%	09/10/474,5,6		1,714,977		1,695
Commercial Mortgage Trust,
Series 2016-787S, Class A
3.55%	02/10/363		35,000		33,074
Credit Suisse Mortgage Capital Trust,
Series 2021-B33, Class A2
3.17%	10/10/433		100,000		84,339
CSAIL Commercial Mortgage Trust,
Series 2015-C4, Class AS
4.17%	11/15/485		50,000		48,192
CSAIL Commercial Mortgage Trust,
Series 2019-C18, Class A2
2.84%	12/15/52		39,467		38,575
Great Wolf Trust,
Series 2019-WOLF, Class C
(CME Term SOFR 1-Month plus 1.95%)
7.27%	12/15/362,3		76,765		76,461
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/373,5		375,000		727
GS Mortgage Securities Corp. Trust,
Series 2023-FUN, Class B
(CME Term SOFR 1-Month plus 2.79%)
8.12%	03/15/282,3		100,000		100,509
GS Mortgage Securities Trust,
Series 2010-C1, Class X (IO)
0.44%	08/10/433,5		2,381,297		2,054
GS Mortgage Securities Trust,
Series 2011-GC5, Class XA (IO)
0.09%	08/10/443,5		175,125		1
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
0.79%	04/10/475		89,395		48
Houston Galleria Mall Trust,
Series 2015-HGLR, Class A1A2
3.09%	03/05/373		50,000		48,460
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.77%	09/15/475		1,480,248		4,250
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.79%	11/15/475		1,345,043		2,542
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2010-C2, Class XB (IO)
1.30%	11/15/433,5		425,656		2,726
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2016-NINE, Class A
2.85%	09/06/383,5		70,000		65,531

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2022-ACB, Class A
(SOFR30A plus 1.40%)
6.72%	03/15/392,3	$	100,000	$	99,361
Manhattan West Mortgage Trust,
Series 2020-1MW, Class B
2.33%	09/10/393,5		100,000		88,236
Med Trust,
Series 2021-MDLN, Class D
(CME Term SOFR 1-Month plus 2.11%)
7.44%	11/15/382,3		84,594		84,390
MHC Commercial Mortgage Trust,
Series 2021-MHC, Class B
(CME Term SOFR 1-Month plus 1.22%)
6.54%	04/15/382,3		37,749		37,526
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
0.95%	12/15/475		1,558,332		2,410
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
0.99%	04/15/485		628,093		3,192
SCOTT Trust,
Series 2023-SFS, Class A
5.91%	03/15/403		110,000		110,766
SMRT,
Series 2022-MINI, Class B
(CME Term SOFR 1-Month plus 1.35%)
6.68%	01/15/392,3		33,000		32,547
SREIT Trust,
Series 2021-MFP, Class B
(CME Term SOFR 1-Month plus 1.19%)
6.52%	11/15/382,3		47,843		47,548
SREIT Trust,
Series 2021-MFP2, Class C
(CME Term SOFR 1-Month plus 1.49%)
6.81%	11/15/362,3		100,000		99,276
SREIT Trust,
Series 2021-PALM, Class C
(CME Term SOFR 1-Month plus 1.07%)
6.40%	10/15/342,3		50,000		49,138
UBS-Barclays Commercial Mortgage Trust,
Series 2012-C3, Class XB (IO)
0.01%	08/10/493,4,5,6		245,012		43
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
0.97%	08/15/505		118,100		88
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC18, Class XA (IO)
1.01%	12/15/475		4,002,689		16,624
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.58%	07/15/585		1,988,007		11,161
Wells Fargo Commercial Mortgage Trust,
Series 2016-LC25, Class AS
3.86%	12/15/595		52,000		49,421

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 116

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
WMRK Commercial Mortgage Trust,
Series 2022-WMRK, Class A
(CME Term SOFR 1-Month plus 2.79%)
8.11%		11/15/272,3	$	80,000	$	80,363
						1,777,573
Non-Agency Mortgage-Backed — 5.67%
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-R11, Class M3
(CME Term SOFR 1-Month plus 0.86%)
6.19%		01/25/362		95,736		92,754
Asset-Backed Funding Certificates,
Series 2006-OPT1, Class A3D
(CME Term SOFR 1-Month plus 0.59%)
5.92%		09/25/362		55,000		53,413
Banc of America Funding Trust,
Series 2014-R7, Class 2A1
(CME Term SOFR 1-Month plus 0.25%)
5.58%		09/26/362,3		1,810		1,813
Bear Stearns ARM Trust,
Series 2004-1, Class 12A5
5.01%		04/25/345		5,471		4,786
Bombardier Capital Mortgage Securitization Corp.,
Series 2000-A, Class A2
7.58%		06/15/305		19,426		2,114
Carrington Mortgage Loan Trust,
Series 2006-FRE1, Class A3
(CME Term SOFR 1-Month plus 0.26%)
5.59%		04/25/362		74,671		72,299
Carrington Mortgage Loan Trust,
Series 2007-HE1, Class A4
(CME Term SOFR 1-Month plus 0.40%)
5.73%		06/25/372		85,000		79,002
CIM Trust,
Series 2021-R4, Class A1A
2.00%		05/01/613,5		55,928		48,983
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-OPT1, Class M1
(CME Term SOFR 1-Month plus 0.74%)
6.07%		02/25/352		34,501		31,694
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A1
(CME Term SOFR 1-Month plus 1.01%)
6.34%		10/25/472		17,108		15,459
Fannie Mae Connecticut Avenue Securities,
Series 2022-R01, Class 1M2
(SOFR30A plus 1.90%)
7.22%		12/25/412,3		50,000		50,410
Fannie Mae Connecticut Avenue Securities,
Series 2024-R01, Class 1M2
(SOFR30A plus 1.80%)
7.12%		01/25/442,3		50,000		50,276

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA6, Class M2
(SOFR30A plus 1.50%)
6.82%	10/25/412,3	$	50,000	$	50,113
GCAT Trust,
Series 2023-INV1, Class A7
6.00%	08/25/533,5		91,987		91,963
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
5.06%	09/25/355		7,994		7,455
Home Equity Asset Trust,
Series 2005-4, Class M6
(CME Term SOFR 1-Month plus 1.19%)
4.95%	10/25/352		80,000		80,272
HSI Asset Securitization Corp. Trust,
Series 2007-WF1, Class 1A1
(CME Term SOFR 1-Month plus 0.43%)
5.76%	05/25/372		2,855		2,850
Impac CMB Trust,
Series 2007-A, Class A
(CME Term SOFR 1-Month plus 0.61%)
5.94%	05/25/372,3		74,424		72,199
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX3, Class A1
(CME Term SOFR 1-Month plus 0.59%)
5.92%	06/25/372		117,674		103,834
Long Beach Mortgage Loan Trust,
Series 2006-1, Class 1A
(CME Term SOFR 1-Month plus 0.55%)
5.88%	02/25/362		2,985		2,904
MFATrust,
Series 2021-INV1, Class A3
1.26%	01/25/563,5		94,881		88,103
Morgan Stanley Mortgage Loan Trust,
Series 2004-5AR, Class 3A1
5.57%	07/25/345		8,456		8,256
New Residential Mortgage Loan Trust,
Series 2022-NQM4, Class A1 (STEP-reset date 05/25/24)
5.00%	06/25/623		86,077		86,923
OBX Trust,
Series 2024-HYB1, Class A1
3.53%	03/25/533,5		83,194		79,066
Saxon Asset Securities Trust,
Series 2007-2, Class A2A
(CME Term SOFR 1-Month plus 0.21%)
5.54%	05/25/472		61,028		42,116
Structured Asset Mortgage Investments II Trust,
Series 2004-AR1, Class 1A2
(CME Term SOFR 1-Month plus 0.81%)
6.14%	03/19/342		1,107		1,046
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-BC6, Class A1
(CME Term SOFR 1-Month plus 0.27%)
5.60%	01/25/372		112,292		105,675

See accompanying Notes to Financial Statements.

117 / Annual Report March 2024

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp.,
Series 2005-WF1, Class M4
(CME Term SOFR 1-Month plus 1.24%)
6.57%		02/25/352	$	66,010	$	64,813
Verus Securitization Trust,
Series 2023-4, Class A1 (STEP-reset date 05/25/24)
5.81%		05/25/683		108,331		107,695
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates,
Series 2004-1, Class 2A1
(CME Term SOFR 1-Month plus 0.71%)
6.04%		04/25/342		9,712		9,404
						1,507,690
U.S. Agency Commercial Mortgage-Backed — 0.09%
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.04%		04/25/365		42,760		380
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.68%		01/25/395		281,455		1,526
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K049, Class X3 (IO)
1.55%		10/25/435		250,000		4,673
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.11%		02/16/535		1,704,599		3,359
Ginnie Mae,
Series 2013-1, Class IO (IO)
0.58%		02/16/545		457,085		5,223
Ginnie Mae,
Series 2013-125, Class IO (IO)
0.23%		10/16/545		658,528		8,733
						23,894
U.S. Agency Mortgage-Backed — 13.30%
Fannie Mae Pool BW9897
4.50%		10/01/52		22,839		21,764
Fannie Mae REMICS,
Series 2011-116, Class SA (IO)
(-1.00 X SOFR30A plus 5.89%, 6.00% Cap)
0.57%		11/25/412		44,822		3,412
Fannie Mae REMICS,
Series 2012-128, Class UA
2.50%		06/25/42		18,228		16,082
Fannie Mae REMICS,
Series 2013-5, Class GF
(SOFR30A plus 1.21%)
5.00%		10/25/422		27,673		26,738
Freddie Mac Pool SD8189
2.50%		01/01/52		43,104		35,692
Freddie Mac Pool SD8199
2.00%		03/01/52		45,018		35,651

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4064, Class TB
3.50%		06/15/42	$	98,618	$	91,579
Freddie Mac Strips,
Series 240, Class IO (IO)
5.50%		07/15/36		124,296		24,547
Ginnie Mae (TBA)
4.50%		04/20/54		375,000		360,421
5.00%		04/20/54		300,000		294,893
5.50%		04/20/54		100,000		99,929
Ginnie Mae,
Series 2003-110, Class S (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.49%, 6.60% Cap)
1.16%		10/20/332		148,784		9,555
Ginnie Mae,
Series 2018-124, Class NW
3.50%		09/20/48		20,254		18,099
Ginnie Mae,
Series 2018-154, Class BP
3.50%		11/20/48		2,100		1,944
Ginnie Mae,
Series 2019-15, Class GT
3.50%		02/20/49		17,319		15,695
Ginnie Mae,
Series 2023-113, Class FD
(SOFR30A plus 1.35%)
6.50%		08/20/532		47,943		48,044
Ginnie Mae,
Series 2023-116, Class FL
(SOFR30A plus 1.15%)
6.47%		08/20/532		48,615		48,849
UMBS (TBA)
2.00%		04/01/54		225,000		178,219
2.50%		04/01/54		250,000		206,840
3.00%		04/01/54		300,000		258,309
3.50%		04/01/54		275,000		246,270
4.00%		04/01/54		500,000		463,164
4.50%		04/01/54		700,000		666,778
5.00%		04/01/54		250,000		243,955
5.50%		04/01/54		125,000		124,392
						3,540,821
Total Mortgage-Backed
(Cost $7,807,957)						6,849,978
MUNICIPAL BONDS — 1.50%*
California — 0.13%
San Francisco City & County Airport Commercial-San Francisco International Airport Revenue Bonds, Series C
3.05%		05/01/34		20,000		17,181
Santa Monica Community College District General Obligation Bonds
2.05%		08/01/33		20,000		16,237
						33,418

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 118

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date		Principal Amount		Value
MUNICIPAL BONDS (continued)
Florida — 0.05%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D
3.50%		10/01/31	$	15,000	$	13,749
Maryland — 0.04%
City of Baltimore Revenue Bonds, Series B
2.13%		07/01/33		15,000		11,955
Massachusetts — 0.11%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%		07/15/31		16,486		16,112
Massachusetts School Building Authority Revenue Bonds, Series B
2.97%		10/15/32		15,000		13,299
						29,411
Michigan — 0.09%
University of Michigan Revenue Bonds, Series C
3.44%		04/01/31		25,000		23,665
New York — 1.08%
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
3.73%		08/01/29		5,000		4,801
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.50%		11/01/33		50,000		41,127
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E
1.97%		02/01/33		100,000		79,514
New York State Dormitory Authority Revenue Bonds, Series C
1.95%		03/15/29		75,000		66,077
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%		03/15/33		50,000		50,343
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B
2.97%		03/15/34		15,000		12,986
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F
2.00%		03/15/33		15,000		12,092
New York State Urban Development Corp. Revenue Bonds, Transit Improvements, Series B
2.59%		03/15/35		25,000		20,963
						287,903
Total Municipal Bonds
(Cost $472,019)						400,101
U.S. TREASURY SECURITIES — 27.74%
U.S. Treasury Notes — 27.74%
U.S. Treasury Notes
4.25%		03/15/27		485,000		482,859
4.50%		03/31/26		3,160,000		3,152,840
U.S. Treasury Notes (WI)
4.00%		02/15/34		300,000		295,148

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
4.25%		02/28/29	$	927,000	$	928,593
4.25%		03/31/29		2,535,000		2,524,923
Total U.S. Treasury Securities
(Cost $7,385,584)						7,384,363
Total Bonds — 104.96%
(Cost $29,284,797)						27,940,089
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 9.25%
Money Market Funds — 9.25%
Dreyfus Government Cash Management Fund
5.20%8				700,000		700,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%8				19,979		19,979
JPMorgan U.S. Government Money Market Fund
5.16%8				991,000		991,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%8				751,000		751,000
Total Short-Term Investments
(Cost $2,461,979)						2,461,979
Total Investments - 114.21%
(Cost $31,746,776)						30,402,068
Liabilities in Excess of Other Assets - (14.21)%						(3,783,247	)
Net Assets - 100.00%					$	26,618,821

¹  Foreign denominated security issued by foreign domiciled entity.

²  Floating rate security. The rate disclosed was in effect at March 31, 2024.

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

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

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  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $31,199, which is 0.12% of total net assets.

⁷  Zero coupon bond. The rate shown is the effective yield as of March 31, 2024.

⁸  Represents the current yield as of March 31, 2024.

* 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.

119 / Annual Report March 2024

Investment Grade Credit Fund

Schedule of Portfolio Investments

March 31, 2024

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

(EUR): Euro

(IO): Interest Only

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(S&P): Standard & Poor’s

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(WI): When Issued

Currency to be Purchased	Currency to be Sold	Counterparty	Settlement Date		Unrealized Appreciation
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 8,803	EUR 8,000	Bank of America N.A.		04/12/24	$	158

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		33		06/28/24	$	6,747,984	$	(4,773)	$	(4,773)
U.S. Treasury Five-Year Note		24		06/28/24		2,568,375		2,265		2,265
						9,316,359		(2,508)		(2,508)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		17		06/18/24		(1,948,359)		(8,048)		(8,048)
U.S. Treasury Ultra Bond		2		06/18/24		(258,000)		(4,308)		(4,308)
						(2,206,359)		(12,356)		(12,356)
TOTAL FUTURES CONTRACTS					$	7,110,000	$	(14,864)	$	(14,864)

		Received by the Fund		Paid by the Fund
Description	Maturity Date	Rate	Frequency	Rate		Frequency		Notional   Amount  (000’s)		Value		Premiums Paid		Unrealized Appreciation
SWAPS: INTEREST RATE
Interest Rate Swap1	12/20/53	USD-SOFR- COMPOUND	Annual		3.52%		Annual	$	69	$	805	$	—	$	805
TOTAL SWAPS CONTRACTS								$	69	$	805	$	—	$	805

¹ Centrally cleared.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 120

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BONDS – 117.98%
ASSET-BACKED SECURITIES — 7.82%**
Access Group, Inc.,
Series 2015-1, Class A
(SOFR30A plus 0.81%)
6.13%	07/25/561,2	$	738,799	$	730,964
AmeriCredit Automobile Receivables Trust,
Series 2020-1, Class D
1.80%	12/18/25		6,065,000		5,995,905
AmeriCredit Automobile Receivables Trust,
Series 2020-3, Class D
1.49%	09/18/26		2,587,000		2,476,860
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.21%)
6.53%	07/20/291,2,3		855,731		856,390
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(CME Term SOFR 1-Month plus 0.56%)
5.89%	04/25/351,2		78,622		75,112
Carvana Auto Receivables Trust,
Series 2021-N2, Class D
1.27%	03/10/28		1,112,823		1,046,826
Domino’s Pizza Master Issuer LLC,
Series 2015-1A, Class A2II
4.47%	10/25/452		3,617,250		3,551,841
Flagship Credit Auto Trust,
Series 2019-4, Class D
3.12%	01/15/262		2,111,449		2,085,900
GLS Auto Receivables Issuer Trust,
Series 2020-3A, Class D
2.27%	05/15/262		1,631,298		1,617,906
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD3-Month plus 0.45%)
6.04%	08/25/421		1,094,368		1,030,785
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%	01/17/732		2,586,481		2,424,695
JPMorgan Chase Bank N.A. - CACLN,
Series 2021-1, Class C
1.02%	09/25/282		142,273		140,780
LCM XXIV Ltd.,
Series 24A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.24%)
6.56%	03/20/301,2,3		2,609,513		2,611,418
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class AR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.26%)
6.58%	07/21/301,2,3		10,062,342		10,071,197
Navient Private Education Refi Loan Trust,
Series 2021-CA, Class A
1.06%	10/15/692		812,139		714,393

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Private Education Refi Loan Trust,
Series 2021-FA, Class A
1.11%02/18/702		$	2,606,632	$	2,232,255
Nelnet Student Loan Trust,
Series 2013-1A, Class A
(SOFR30A plus 0.71%)
6.03%	06/25/411,2		1,041,322		1,024,326
NYACK Park CLO Ltd.,
Series 2021-1A, Class X
(Cayman Islands)
(CME Term SOFR 3-Month plus 0.91%)
6.23%	10/20/341,2,3		920,759		920,014
OCP CLO Ltd.,
Series 2017-14A, Class A1A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%	11/20/301,2,3		1,420,990		1,422,809
Octagon Investment Partners XVII Ltd.,
Series 2013-1A, Class BR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.99%	01/25/311,2,3		1,310,000		1,311,237
Palmer Square Loan Funding Ltd.,
Series 2021-2A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.06%)
6.38%	05/20/291,2,3		534,773		535,057
Palmer Square Loan Funding Ltd.,
Series 2022-3A, Class A1BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.40%)
6.72%	04/15/311,2,3		6,060,000		6,062,975
Progress Residential Trust,
Series 2020-SFR3, Class F
2.80%	10/17/272		6,980,000		6,555,516
ReadyCap Commercial Mortgage Trust,
Series 2019-6, Class A
2.83%	10/25/522		2,084,001		2,013,767
Reese Park CLO Ltd.,
Series 2020-1A, Class XR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.16%)
6.48%	10/15/341,2,3		1,108,333		1,107,479
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.45%)
6.77%	10/20/301,2,3		1,321,141		1,324,391
Rockford Tower CLO Ltd.,
Series 2018-1A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.36%)
6.68%	05/20/311,2,3		1,062,141		1,062,561
Santander Bank Auto Credit-Linked Notes,
Series 2022-B, Class E
8.68%	08/16/322		1,397,547		1,388,045

See accompanying Notes to Financial Statements.

121 / Annual Report March 2024

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Santander Drive Auto Receivables Trust,
Series 2021-3, Class C
0.95%	09/15/27	$	313,589	$	312,367
Santander Drive Auto Receivables Trust,
Series 2021-3, Class D
1.33%	09/15/27		6,260,000		6,030,211
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		5,607,527		5,008,441
SLC Student Loan Trust,
Series 2007-1, Class A4
(SOFR90A plus 0.32%)
5.68%	05/15/291		882,284		880,016
SLM Student Loan Trust,
Series 2008-4, Class A4
(SOFR90A plus 1.91%)
7.27%	07/25/221		2,086,348		2,108,680
SLM Student Loan Trust,
Series 2008-6, Class A4
(SOFR90A plus 1.36%)
6.72%	07/25/231		1,597,032		1,585,855
SLM Student Loan Trust,
Series 2012-2, Class A
(SOFR30A plus 0.81%)
6.13%	01/25/291		1,467,657		1,431,951
SLM Student Loan Trust,
Series 2014-1, Class A3
(SOFR30A plus 0.71%)
6.03%	02/26/291		2,711,194		2,611,470
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		2,800,000		2,587,612
Vantage Data Centers Issuer LLC,
Series 2019-1A, Class A2
3.19%	07/15/442		3,646,943		3,613,328
Voya CLO,
Series 2017-2A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.24%)
6.56%	06/07/301,2,3		5,275,743		5,279,594
World Omni Auto Receivables Trust,
Series 2021-D, Class B
1.52%	11/15/27		5,325,000		4,987,966
Total Asset-Backed Securities
(Cost $99,819,397)					98,828,895
BANK LOANS — 1.50%*
Automotive — 0.00%
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.26%)
10.57%	03/30/271		43,761		43,881

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Communications — 0.25%
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.30%		12/17/271	$	67,230	$	66,923
Charter Communications Operating LLC,
Term Loan B2, 1st Lien
(SOFR plus 1.75%)
7.08%		02/01/271		2,234,126		2,236,115
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
8.62%		10/08/271		109,317		109,215
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.76%)
11.07%		12/20/241		65,893		39,763
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		03/09/271		836,172		736,069
						3,188,085
Consumer Discretionary — 0.08%
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%		04/05/281		147,127		115,534
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.66%		01/24/291,3		687,588		644,848
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%		01/24/301		136,414		111,816
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		07/31/281		80,041		80,275
						952,473
Entertainment — 0.06%
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.85%)
7.18%		08/01/271		504,313		503,093
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(SOFR plus 2.86%)
8.19%		05/16/251		305,379		305,542
						808,635
Finance — 0.08%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B6, 1st Lien
(SOFR plus 2.00%)
7.33%		06/22/281		235,695		236,027

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 122

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Finance (continued)
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.06%	04/09/271	$	172,968	$	172,331
Jane Street Group LLC,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%	01/26/281		115,842		116,031
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(SOFR plus 2.26%)
7.56%	11/06/281		515,000		516,645
					1,041,034
Food — 0.01%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%	10/01/251		24,146		23,780
H-Food Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.95%)
9.29%	05/23/251		45,231		33,104
					56,884
Health Care — 0.17%
Carestream Dental Equipment, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.56%	09/01/241		117,441		102,566
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.94%	09/01/241		35,849		31,293
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
7.40%	12/30/261		190,717		191,057
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.15%)
7.46%	11/15/271		504,042		489,140
Jazz Financing Lux SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.11%)
8.44%	05/05/281,3		386,453		388,869
Medline Borrower LP,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
8.20%	10/23/281		260,372		261,321
Peraton Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%	02/01/281		119,326		119,447

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Perrigo Investments LLC,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.15%	04/20/291	$	492,500	$	491,680
Star Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%	09/27/301		96,700		96,222
					2,171,595
Industrials — 0.13%
Artera Services LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.81%	02/15/311		83,481		83,898
Berry Global, Inc.,
Term Loan AA, 1st Lien
(SOFR plus 1.86%)
7.18%	07/01/291		1,143,030		1,143,853
Coherent Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% -7.67%	07/02/291		130,085		130,508
Filtration Group Corp.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%	10/21/281		79,043		79,384
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%	03/20/251		38,950		37,865
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 2.75%)
8.08%	08/24/281		178,495		179,304
					1,654,812
Information Technology — 0.25%
Arches Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.68%	12/06/271		124,376		120,758
Athenahealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.25%	02/15/291		241,713		240,034
Buzz Merger Sub Ltd.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
8.18%	01/29/271		69,742		69,982
Central Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%	07/06/291		100,706		101,120

See accompanying Notes to Financial Statements.

123 / Annual Report March 2024

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date		Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
EagleView Technology Co.,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
9.06%		08/14/251	$	189,412	$	184,423
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
8.72% -8.99%		10/01/271		636,835		610,327
Magnite, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.60% -9.82%		02/06/311		34,455		34,555
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%		05/03/281		44,697		44,484
Open Text Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 1.85%)
7.18%		05/30/251,3		134,414		134,708
(SOFR plus 2.85%)
8.18%		01/31/301,3		221,016		221,645
Oracle Corp.,
Term Loan A1, 1st Lien
(SOFR plus 0.60%)
6.46%		08/16/271		913,972		915,114
Renaissance Holding Corp.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.58%		04/05/301		74,451		74,684
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.59%		03/03/281		166,377		154,511
SS&C Technologies Holdings, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 1.86%)
7.19%		04/16/251		192,270		192,509
						3,098,854
Insurance — 0.08%
Acrisure LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.50%)
8.94%		02/15/271		454,717		455,002
Asurion LLC,
Term Loan B10, 1st Lien
(SOFR plus 4.10%)
8.91%		08/19/281		492,500		475,570
Term Loan B8, 1st Lien
(SOFR plus 3.36%)
8.69%		12/23/261		124,678		122,451
						1,053,023

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Materials — 0.02%
Chemours Co. (The),
Term Loan B3, 1st Lien
(SOFR plus 3.50%)
8.83%	08/18/281	$	262,467	$	262,073
Mativ Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 2.60%)
7.93%	05/06/271		38,921		38,337
					300,410
Residential REITs — 0.20%
Invitation Homes Operating Partnership LP,
Term Loan A, 1st Lien
(SOFR plus 1.00%)
6.42%	01/31/251		2,500,000		2,484,375
Retail — 0.05%
1011778 BC Unlimited Liability Co.,
Term Loan B5, 1st Lien (Canada)
(SOFR plus 2.25%)
7.58%	09/20/301,3		188,533		188,651
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.69%	02/19/281		192,082		192,322
KFC Holding Co.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%	03/15/281		194,752		194,883
					575,856
Services — 0.12%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
8.63%	01/29/271		154,251		154,829
Boost Newco Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
8.31%	01/31/311		187,111		188,008
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%	10/08/281		69,846		70,064
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 4.35%)
9.66%	07/06/291		263,935		264,485
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.66%	07/06/291		571,858		573,050
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.86%)
9.18%	12/15/281		80,334		80,054

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 124

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
BANK LOANS (continued)
Services (continued)
TruGreen LP,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.43%		11/02/271	$	167,806	$	163,664
						1,494,154
Total Bank Loans
(Cost $18,839,270)						18,924,071
CORPORATES — 25.96%*
Banking — 6.72%
Bank of America Corp.
3.71%		04/24/286		944,000		903,808
Bank of America Corp.
(MTN)
0.98%		09/25/256		4,891,000		4,780,065
1.32%		06/19/266		7,263,000		6,903,926
2.09%		06/14/296		4,535,000		4,009,794
2.55%		02/04/286		4,275,000		3,974,402
HSBC Holdings PLC
(United Kingdom)
2.01%		09/22/283,6		13,695,000		12,248,603
ING Groep NV
(Netherlands)
3.87%		03/28/263,6		645,000		633,504
JPMorgan Chase & Co.
0.82%		06/01/256		185,000		183,427
0.97%		06/23/256		16,520,000		16,330,879
1.04%		02/04/276		4,710,000		4,358,642
2.18%		06/01/286		879,000		804,314
Lloyds Banking Group PLC
(United Kingdom)
1.63%		05/11/273,6		2,175,000		2,004,058
3.57%		11/07/283,6		175,000		164,183
PNC Financial Services Group, Inc. (The)
5.58%		06/12/296		830,000		840,613
Santander UK Group Holdings PLC
(United Kingdom)
1.67%		06/14/273,6		3,007,000		2,752,713
U.S. Bancorp
4.65%		02/01/296		5,365,000		5,258,953
Wells Fargo & Co.
(MTN)
2.39%		06/02/286		1,275,000		1,167,358
5.57%		07/25/296		17,460,000		17,672,048
						84,991,290
Communications — 1.06%
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.91%		07/23/25		1,720,000		1,700,132
Cox Communications, Inc.
3.15%		08/15/242		1,199,000		1,186,544
7.63%		06/15/25		900,000		916,683
CSC Holdings LLC
6.50%		02/01/292		84,000		71,245

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
11.75%		01/31/292	$	930,000	$	931,163
Frontier Communications Holdings LLC
8.63%		03/15/312		12,000		12,264
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
6.00%		02/15/282		341,000		351,230
Qwest Corp.
7.25%		09/15/25		4,590,000		4,538,362
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint
Spectrum Co. III LLC
5.15%		03/20/282		828,000		826,275
T-Mobile USA, Inc.
3.75%		04/15/27		3,015,000		2,904,456
						13,438,354
Consumer Discretionary — 1.33%
BAT Capital Corp.
3.56%		08/15/27		2,440,000		2,310,987
Everi Holdings, Inc.
5.00%		07/15/292		250,000		248,125
Imperial Brands Finance PLC
(United Kingdom)
3.50%		07/26/262,3		5,205,000		4,969,517
JDE Peet’s NV
(Netherlands)
0.80%		09/24/242,3		935,000		911,955
Spectrum Brands, Inc.
3.88%		03/15/312		410,000		396,046
WarnerMedia Holdings, Inc.
3.76%		03/15/27		8,400,000		8,016,599
						16,853,229
Diversified REITs — 1.61%
American Tower Corp.
5.25%		07/15/28		4,445,000		4,449,420
Digital Euro Finco LLC
2.63%		04/15/24		7,715,000		8,327,131
GLP Capital LP/GLP Financing II, Inc.
3.35%		09/01/24		1,197,000		1,189,100
4.00%		01/15/30		1,750,000		1,604,208
5.30%		01/15/29		2,179,000		2,152,830
VICI Properties LP
4.95%		02/15/30		40,000		38,682
VICI Properties LP/VICI Note Co., Inc.
5.75%		02/01/272		2,590,000		2,589,473
						20,350,844
Electric — 2.19%
Alliant Energy Finance LLC
1.40%		03/15/262		6,540,000		5,952,213
5.95%		03/30/292		805,000		830,031
Duke Energy Corp.
4.30%		03/15/28		1,835,000		1,793,561
Eversource Energy
2.90%		03/01/27		5,425,000		5,105,473
FirstEnergy Pennsylvania Electric Co.
4.00%		04/15/252		1,467,000		1,431,439
4.15%		04/15/252		500,000		491,580

See accompanying Notes to Financial Statements.

125 / Annual Report March 2024

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Electric (continued)
ITC Holdings Corp.
4.95%		09/22/272	$	4,960,000	$	4,932,348
Jersey Central Power & Light Co.
4.30%		01/15/262		1,868,000		1,826,531
4.70%		04/01/242		5,348,000		5,348,000
						27,711,176
Energy — 0.24%
Energy Transfer LP
4.95%		05/15/28		1,150,000		1,140,992
Southern Co. Gas Capital Corp.
3.88%		11/15/25		1,950,000		1,901,250
						3,042,242
Finance — 3.73%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%		10/29/263		500,000		464,678
Air Lease Corp.
3.63%		04/01/27		4,835,000		4,609,038
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/272,3		5,905,000		5,254,948
2.75%		02/21/282,3		1,350,000		1,208,620
Capital One Financial Corp.
2.64%		03/03/266		2,685,000		2,609,738
Citigroup, Inc.
1.46%		06/09/276		5,000,000		4,592,181
3.52%		10/27/286		4,987,000		4,703,864
6.04%		10/30/246		3,023,000		3,027,320
Goldman Sachs Group, Inc. (The)
1.95%		10/21/276		10,000,000		9,198,700
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%		02/01/29		76,000		64,966
4.75%		09/15/24		750,000		746,844
9.75%		01/15/292		540,000		563,611
Morgan Stanley
0.99%		12/10/266		5,000,000		4,635,207
1.59%		05/04/276		5,855,000		5,416,832
						47,096,547
Food — 0.56%
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%		02/02/293		5,590,000		4,951,704
5.13%		02/01/283		2,205,000		2,173,909
						7,125,613
Health Care — 2.15%
1375209 BC Ltd.
(Canada)
9.00%		01/30/282,3		850,000		833,925
Amgen, Inc.
5.15%		03/02/28		4,405,000		4,436,421
Bayer U.S. Finance II LLC
2.85%		04/15/252		385,000		372,053

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Bayer U.S. Finance LLC
6.25%		01/21/292	$	6,230,000	$	6,338,433
Grifols SA
(Spain)
4.75%		10/15/282,3		445,000		368,533
Grifols SA,
Series REGS
(Spain)
3.20%		05/01/253		200,000		199,542
3.88%		10/15/283		300,000		256,813
HCA, Inc.
3.13%		03/15/27		2,510,000		2,374,482
5.38%		09/01/26		2,520,000		2,518,617
5.88%		02/15/26		1,980,000		1,988,422
HCA, Inc.
(MTN)
7.58%		09/15/25		1,100,000		1,129,852
Illumina, Inc.
5.75%		12/13/27		2,275,000		2,304,029
Kedrion SpA
(Italy)
6.50%		09/01/292,3		920,000		839,429
Premier Health Partners,
Series G
2.91%		11/15/26		3,500,000		3,218,359
						27,178,910
Health Care REITs — 0.66%
DOC DR LLC
4.30%		03/15/27		3,995,000		3,912,400
Healthcare Reality Holdings LP
3.50%		08/01/26		1,451,000		1,384,780
Healthcare Realty Holdings LP
3.63%		01/15/28		3,255,000		3,010,395
						8,307,575
Industrial REITs — 0.27%
LXP Industrial Trust
6.75%		11/15/28		3,325,000		3,471,391
Industrials — 0.93%
Amcor Flexibles North America, Inc.
4.00%		05/17/25		4,125,000		4,051,352
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,
Series REGS
(Canada)
2.13%		08/15/263		300,000		279,524
Berry Global, Inc.
1.65%		01/15/27		2,000,000		1,816,869
4.88%		07/15/262		1,365,000		1,338,702
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.64%)
5.91%		05/05/261		2,235,000		2,241,568

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 126

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Industrials (continued)
(CME Term SOFR 3-Month plus 0.74%)
6.05%		08/15/361	$	2,182,000	$	2,026,661
						11,754,676
Information Technology — 0.48%
Netflix, Inc.
3.63%		06/15/252		3,207,000		3,140,142
Open Text Corp.
(Canada)
6.90%		12/01/272,3		2,635,000		2,720,374
Uber Technologies, Inc.
7.50%		09/15/272		155,000		158,886
						6,019,402
Insurance — 2.06%
Aon Corp.
4.50%		12/15/28		1,442,000		1,416,829
Athene Global Funding
(SOFR Index plus 0.70%)
6.06%		05/24/241,2		5,005,000		5,010,733
Farmers Insurance Exchange
8.63%		05/01/242		5,000,000		5,005,410
MMI Capital Trust I,
Series B
7.63%		12/15/27		2,000,000		2,110,722
Nationwide Mutual Insurance Co.
7.88%		12/15/242,6		5,550,000		5,550,515
Teachers Insurance & Annuity Association of America
4.38%		09/15/542,6		2,800,000		2,755,455
Willis North America, Inc.
2.95%		09/15/29		35,000		31,384
4.65%		06/15/27		4,202,000		4,136,811
						26,017,859
Materials — 0.40%
International Flavors & Fragrances, Inc.
1.83%		10/15/272		4,970,000		4,411,227
2.30%		11/01/302		745,000		619,212
						5,030,439
Office REITs — 0.15%
Hudson Pacific Properties LP
3.25%		01/15/30		614,000		473,880
4.65%		04/01/29		1,715,000		1,462,750
						1,936,630
Retail REITs — 0.15%
Federal Realty OP LP
7.48%		08/15/26		1,850,000		1,908,439
Services — 0.55%
Adtalem Global Education, Inc.
5.50%		03/01/282		280,000		268,417
Global Payments, Inc.
2.15%		01/15/27		7,201,000		6,646,075
						6,914,492

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Specialized REITs — 0.63%
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%		05/04/283	$	1,700,000	$	1,588,338
Extra Space Storage LP
3.88%		12/15/27		6,745,000		6,410,919
						7,999,257
Transportation — 0.09%
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28		1,241,432		1,122,736
Total Corporates
(Cost $329,964,080)						328,271,101
MORTGAGE-BACKED — 55.58%**
Non-Agency Commercial Mortgage-Backed — 10.37%
Arbor Realty Commercial Real Estate Notes Ltd.,
Series 2021-FL3, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.18%)
6.51%		08/15/341,2,3		5,000,000		4,959,158
Ashford Hospitality Trust,
Series 2018-KEYS, Class A
(CME Term SOFR 1-Month plus 1.17%)
6.50%		06/15/351,2		602,965		598,404
BANK,
Series 2018-BN14, Class A2
4.13%		09/15/60		3,736,622		3,658,832
Benchmark Mortgage Trust,
Series 2020-B17, Class A2
2.21%		03/15/53		7,590,000		7,197,171
BX Commercial Mortgage Trust,
Series 2020-VKNG, Class A
(CME Term SOFR 1-Month plus 1.04%)
6.37%		10/15/371,2		4,627,225		4,618,426
BX Commercial Mortgage Trust,
Series 2021-CIP, Class A
(CME Term SOFR 1-Month plus 1.04%)
6.36%		12/15/381,2		4,245,000		4,204,124
BX Commercial Mortgage Trust,
Series 2021-VINO, Class A
(CME Term SOFR 1-Month plus 0.77%)
6.09%		05/15/381,2		4,046,705		4,017,007
BX,
Series 2021-MFM1, Class B
(CME Term SOFR 1-Month plus 1.06%)
6.39%		01/15/341,2		1,482,717		1,470,687
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class B
(CME Term SOFR 1-Month plus 1.55%)
6.87%		12/15/371,2		3,128,000		3,128,981
CFCRE Commercial Mortgage Trust,
Series 2016-C4, Class ASB
3.09%		05/10/58		859,564		842,031

See accompanying Notes to Financial Statements.

127 / Annual Report March 2024

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Cold Storage Trust,
Series 2020-ICE5, Class A
(CME Term SOFR 1-Month plus 1.01%)
6.33%	11/15/371,2	$	8,456,667	$	8,443,075
Commercial Mortgage Trust,
Series 2015-PC1, Class A4
3.62%	07/10/50		2,621,647		2,579,662
Commercial Mortgage Trust,
Series 2016-DC2, Class ASB
3.55%	02/10/49		83,872		82,539
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(CME Term SOFR 1-Month plus 1.03%)
6.35%	05/15/361,2		11,067,266		11,064,489
DBGS Mortgage Trust,
Series 2018-BIOD, Class A
(CME Term SOFR 1-Month plus 1.10%)
6.42%	05/15/351,2		9,082,801		9,061,846
Extended Stay America Trust,
Series 2021-ESH, Class A
(CME Term SOFR 1-Month plus 1.19%)
6.52%	07/15/381,2		2,038,790		2,039,414
Great Wolf Trust,
Series 2019-WOLF, Class A
(CME Term SOFR 1-Month plus 1.35%)
6.67%	12/15/361,2		2,819,427		2,819,224
Great Wolf Trust,
Series 2019-WOLF, Class C
(CME Term SOFR 1-Month plus 1.95%)
7.27%	12/15/361,2		2,874,838		2,863,465
Great Wolf Trust,
Series 2019-WOLF, Class F
(CME Term SOFR 1-Month plus 3.45%)
8.77%	12/15/361,2		3,293,206		3,267,907
GS Mortgage Securities Trust,
Series 2011-GC5, Class AS
5.15%	08/10/442,6		2,335,096		2,263,272
GS Mortgage Securities Trust,
Series 2014-GC20, Class AS
4.26%	04/10/47		1,117,838		1,113,523
Houston Galleria Mall Trust,
Series 2015-HGLR, Class A1A1
3.09%	03/05/372		3,750,000		3,633,411
Houston Galleria Mall Trust,
Series 2015-HGLR, Class A1A2
3.09%	03/05/372		5,050,000		4,894,434
Independence Plaza Trust,
Series 2018-INDP, Class A
3.76%	07/10/352		3,294,364		3,154,662
Independence Plaza Trust,
Series 2018-INDP, Class B
3.91%	07/10/352		10,000,000		9,514,498
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2013-LC11, Class XA (IO)
0.90%	04/15/466		1,352,676		6,353

Issues	Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2021-MHC, Class A
(CME Term SOFR 1-Month plus 0.91%)
6.24%		04/15/381,2	$	4,932,362	$	4,926,904
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
7.14%		11/15/351,2		5,185,106		5,198,567
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C21, Class XA (IO)
0.83%		03/15/486		30,490,263		104,623
One New York Plaza Trust,
Series 2020-1NYP, Class A
(CME Term SOFR 1-Month plus 1.06%)
6.39%		01/15/361,2		2,000,000		1,949,715
Shelter Growth CRE Issuer Ltd.,
Series 2021-FL3, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.19%)
6.52%		09/15/361,2,3		1,987,493		1,984,313
SMRT,
Series 2022-MINI, Class A
(CME Term SOFR 1-Month plus 1.00%)
6.33%		01/15/391,2		2,885,000		2,876,295
SREIT Trust,
Series 2021-MFP2, Class A
(CME Term SOFR 1-Month plus 0.94%)
6.26%		11/15/361,2		3,640,000		3,621,227
SREIT Trust,
Series 2021-PALM, Class E
(CME Term SOFR 1-Month plus 2.02%)
7.35%		10/15/341,2		2,500,000		2,453,978
UBS Commercial Mortgage Trust,
Series 2018-C12, Class A2
4.15%		08/15/51		979,370		964,530
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(CME Term SOFR 1-Month plus 0.92%)
6.25%		12/15/341,2		3,000,000		2,844,420
Westfield Galleria at Roseville
8.40%		03/29/254,5		2,700,000		2,697,300
						131,118,467
Non-Agency Mortgage-Backed — 15.99%
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-OP1, Class A2D
(CME Term SOFR 1-Month plus 0.59%)
5.92%		04/25/361		6,142,351		5,429,420
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-R9, Class M1
(CME Term SOFR 1-Month plus 0.82%)
5.91%		11/25/351		5,609,861		5,463,196

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 128

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W2, Class M1
(CME Term SOFR 1-Month plus 0.85%)
6.18%	10/25/351	$	3,533,232	$	3,450,571
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A5
(CME Term SOFR 1-Month plus 0.65%)
2.89%	03/25/361		2,033,740		1,960,699
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		2,765,494		2,672,776
Bear Stearns ALT-A Trust,
Series 2004-10, Class M1
(CME Term SOFR 1-Month plus 1.01%)
6.34%	09/25/341		608,733		609,247
Bear Stearns ARM Trust,
Series 2004-3, Class 4A
5.09%	07/25/346		186,305		176,810
BNC Mortgage Loan Trust,
Series 2007-1, Class A4
(CME Term SOFR 1-Month plus 0.27%)
5.60%	03/25/371		3,817,059		3,564,044
Chase Funding Trust,
Series 2002-2, Class 2A1
(CME Term SOFR 1-Month plus 0.61%)
5.94%	05/25/321		962,726		951,935
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
5.81%	02/25/376		2,152,377		2,068,870
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
5.81%	06/25/356		417,947		408,893
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates,
Series 2005-2A, Class A1
(CME Term SOFR 1-Month plus 0.29%)
5.62%	05/25/361,2		322,185		288,331
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/572,6		6,119,941		5,411,251
CIM Trust,
Series 2022-I1, Class A1
4.35%	02/25/672,6		4,830,071		4,700,501
Citigroup Mortgage Loan Trust,
Series 2006-AMC1, Class A1
(CME Term SOFR 1-Month plus 0.40%)
5.73%	09/25/361,2		5,644,500		5,405,138
Countrywide Asset-Backed Certificates Trust,
Series 2006-14, Class 2A3
(CME Term SOFR 1-Month plus 0.59%)
5.92%	02/25/371		2,161,485		2,069,422
Countrywide Asset-Backed Certificates Trust,
Series 2006-4, Class M1
(CME Term SOFR 1-Month plus 0.64%)
5.97%	07/25/361		2,670,891		2,622,194

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Asset-Backed Certificates Trust,
Series 2007-7, Class 1A
(CME Term SOFR 1-Month plus 0.31%)
5.64%	10/25/471	$	6,991,707	$	6,520,017
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
5.36%	08/25/346		6,722		6,024
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2004-AR1, Class 5A1
5.80%	02/25/346		76,934		75,174
Credit Suisse Mortgage Capital Trust
Series 2022-RPL3, Class A1
3.78%	03/25/612,6		7,169,991		7,116,681
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(CME Term SOFR 1-Month plus 0.20%)
3.17%	04/25/371		354,238		348,506
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(CME Term SOFR 1-Month plus 0.17%)
3.39%	04/25/371		1,867,978		1,145,000
DSLA Mortgage Loan Trust,
Series 2005-AR2, Class 2A1A
(CME Term SOFR 1-Month plus 0.53%)
5.86%	03/19/451		217,889		204,235
Fannie Mae Connecticut Avenue Securities,
Series 2022-R03, Class 1M1
(SOFR30A plus 2.10%)
7.42%	03/25/421,2		4,057,940		4,120,456
Fannie Mae Connecticut Avenue Securities,
Series 2023-R01, Class 1M1
(SOFR30A plus 2.40%)
7.72%	12/25/421,2		2,737,734		2,813,092
First Franklin Mortgage Loan Trust,
Series 2004-FF5, Class A3C
(CME Term SOFR 1-Month plus 1.11%)
6.44%	08/25/341		332,108		298,556
First Franklin Mortgage Loan Trust,
Series 2005-FF8, Class M2
(CME Term SOFR 1-Month plus 0.89%)
6.22%	09/25/351		1,151,903		1,146,138
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.82%	09/25/346		899		885
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA6, Class M1A
(SOFR30A plus 2.15%)
7.47%	09/25/421,2		1,437,454		1,458,243
Fremont Home Loan Trust,
Series 2005-E, Class 2A4
(CME Term SOFR 1-Month plus 0.77%)
6.10%	01/25/361		5,256,861		4,976,845
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(CME Term SOFR 1-Month plus 0.55%)
4.64%	06/25/301		51,079		46,962

See accompanying Notes to Financial Statements.

129 / Annual Report March 2024

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAMP Trust,
Series 2005-HE4, Class M3
(CME Term SOFR 1-Month plus 0.89%)
6.22%	07/25/451	$	1,196,249	$	1,161,421
GSAMP Trust,
Series 2006-HE2, Class M1
(CME Term SOFR 1-Month plus 0.59%)
5.92%	03/25/461		2,784,411		2,707,801
GSR Mortgage Loan Trust,
Series 2005-AR7, Class 2A1
4.70%	11/25/356		63,687		57,401
Impac CMB Trust,
Series 2005-5, Class A1
(CME Term SOFR 1-Month plus 0.43%)
6.08%	08/25/351		832,816		775,596
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A
(CME Term SOFR 1-Month plus 0.91%)
6.24%	11/25/341		416,794		368,082
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		121,800		121,646
JPMorgan Mortgage Acquisition Trust,
Series 2005-FRE1, Class M1
(CME Term SOFR 1-Month plus 0.73%)
3.18%	10/25/351		2,949,802		2,854,987
JPMorgan Mortgage Acquisition Trust,
Series 2006-NC1, Class M1
(CME Term SOFR 1-Month plus 0.59%)
5.92%	04/25/361		3,926,679		3,767,739
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH4, Class M1
(CME Term SOFR 1-Month plus 0.34%)
5.67%	05/25/371		7,750,000		7,443,854
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A1
(CME Term SOFR 1-Month plus 0.27%)
5.60%	06/25/371		7,965,447		7,886,640
JPMorgan Mortgage Trust,
Series 2007-A1, Class 1A1
5.66%	07/25/356		156,858		155,761
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
5.52%	07/25/356		63,529		61,993
Lehman ABS Manufactured Housing Contract Trust,
Series 2001-B, Class AIOC (IO)
0.55%	04/15/404,5,6		42,478,871		478,117
Long Beach Mortgage Loan Trust,
Series 2005-WL3, Class M1
(CME Term SOFR 1-Month plus 0.76%)
6.09%	11/25/351		150,112		149,931
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.37%	01/25/346		1,927		1,843

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTRAdjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
5.37%	11/21/346	$	277,150	$	260,250
MASTRAdjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
5.19%	04/25/346		37,418		34,261
MASTRAlternative Loan Trust,
Series 2003-1, Class 1A1
6.25%	12/25/32		581,580		577,680
MASTRAlternative Loan Trust,
Series 2003-5, Class 4A1
5.50%	07/25/33		1,388,817		1,360,338
MASTRAlternative Loan Trust,
Series 2003-9, Class 4A1
5.25%	11/25/33		1,536,653		1,481,242
MASTRAlternative Loan Trust,
Series 2004-7, Class 1A1
5.50%	07/25/34		1,341,724		1,293,330
MASTR Asset-Backed Securities Trust,
Series 2006-HE1, Class M1
(CME Term SOFR 1-Month plus 0.67%)
6.00%	01/25/361		4,651,026		4,488,155
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
6.22%	10/25/326		78,199		75,491
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(CME Term SOFR 1-Month plus 0.47%)
5.80%	06/25/371		3,241,889		3,120,686
Merrill Lynch Mortgage Investors Trust,
Series 2004- A4, Class A1
4.92%	08/25/346		396,847		375,107
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%	10/15/402		2,247,127		2,207,616
Mid-State Trust,
Series 10W, Class A2
5.82%	02/15/36		210,374		205,438
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2
(CME Term SOFR 1-Month plus 1.04%)
6.37%	07/25/341		685,734		685,810
MortgageIT Trust,
Series 2005-3, Class A1
(CME Term SOFR 1-Month plus 0.71%)
6.04%	08/25/351		80,629		76,420
MortgageIT Trust,
Series 2005-4, Class A1
(CME Term SOFR 1-Month plus 0.67%)
6.00%	10/25/351		1,831,688		1,823,588
Nationstar Home Equity Loan Trust,
Series 2007-B, Class 1AV1
(CME Term SOFR 1-Month plus 0.33%)
5.66%	04/25/371		1,309,077		1,302,161

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 130

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
New Century Home Equity Loan Trust,
Series 2005-D, Class M1
(CME Term SOFR 1-Month plus 0.79%)
6.12%	02/25/361	$	4,304,219	$	4,102,415
NLT Trust,
Series 2021-INV2, Class A1
1.16%	08/25/562,6		5,663,873		4,660,991
Opteum Mortgage Acceptance Corp. Asset-Backed
Pass-Through Certificates,
Series 2005-5, Class 1APT
(CME Term SOFR 1-Month plus 0.67%)
6.00%	12/25/351		2,583,198		2,504,422
Park Place Securities, Inc., Asset-Backed Pass- Through Certificates,
Series 2005-WCW3, Class M2
(CME Term SOFR 1-Month plus 0.85%)
6.18%	08/25/351		1,829,191		1,764,395
PHH Alternative Mortgage Trust,
Series 2007-3, Class A3
(CME Term SOFR 1-Month plus 0.71%)
6.04%	07/25/371		4,102,695		3,955,363
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 04/25/24)
5.61%	10/25/252		5,469,793		5,462,915
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/24)
1.87%	04/25/262		6,524,400		6,389,701
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/24)
5.56%	06/25/272		9,188,970		9,079,902
PRPM, LLC,
Series 2021-10, Class A1 (STEP-reset date 04/25/24)
2.49%	10/25/262		4,837,169		4,767,195
PRPM, LLC,
Series 2021-7, Class A1 (STEP-reset date 04/25/24)
1.87%	08/25/262		9,240,248		8,964,620
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.63%	03/25/356		861,242		458,720
Residential Asset Mortgage Products Trust,
Series 2005-EFC1, Class M5
(CME Term SOFR 1-Month plus 0.76%)
6.42%	05/25/351		1,479,949		1,466,200
Residential Asset Securities Corp.,
Series 2005-KS11, Class M2
(CME Term SOFR 1-Month plus 0.74%)
6.07%	12/25/351		882,631		879,558
Saxon Asset Securities Trust,
Series 2006-2, Class M1
(CME Term SOFR 1-Month plus 0.55%)
5.88%	09/25/361		11,000,000		10,383,367
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/24)
2.84%	01/25/36		1,367,026		1,109,738

Issues	Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Loan Trust,
Series 2006-OPT4, Class 2A4
(CME Term SOFR 1-Month plus 0.57%)
5.90%		06/25/361	$	3,160,639	$	3,002,960
Specialty Underwriting & Residential Finance Trust,
Series 2005-BC2, Class M3
(CME Term SOFR 1-Month plus 1.09%)
6.42%		12/25/351		997,475		991,876
Structured Asset Securities Corp. Mortgage Loan
Trust, Series 2006-BC6, Class A4
(CME Term SOFR 1-Month plus 0.28%)
5.61%		01/25/371		859,704		844,381
Structured Asset Securities Corp. Mortgage Pass-
Through Certificates,
Series 2003-26A, Class 3A5
6.51%		09/25/336		169,304		162,313
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(CME Term SOFR 1-Month plus 1.21%)
6.54%		07/25/341,2		59,991		56,732
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/24)
5.24%		02/27/512		4,825,491		4,725,312
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
5.31%		01/25/356		252,862		240,042
WaMu Mortgage Pass-Through Certificates,
Series 2004-CB2, Class 2A
5.50%		07/25/34		471,275		448,271
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(CME Term SOFR 1-Month plus 0.69%)
6.02%		10/25/451		750,410		719,133
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(CME Term SOFR 1-Month plus 0.77%)
6.10%		01/25/451		104,332		101,929
						202,132,948
U.S. Agency Commercial Mortgage-Backed — 1.18%
Fannie Mae-Aces,
Series 2021-M1, Class A1
0.87%		11/25/30		1,813,510		1,618,833
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ34, Class A1
0.68%		06/25/26		1,459,944		1,397,972
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KJ37, Class A1
1.68%		12/25/27		10,864,967		9,975,712

See accompanying Notes to Financial Statements.

131 / Annual Report March 2024

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
5.83%		05/25/441	$	993,724	$	987,929
Ginnie Mae,
Series 2008-92, Class E
5.56%		03/16/446		1,010,532		1,003,999
						14,984,445
U.S. Agency Mortgage-Backed — 28.04%
Fannie Mae Pool 735861
6.50%		09/01/33		4,269		4,326
Fannie Mae Pool 770900
(RFUCCT1Y plus 1.56%)
4.94%		04/01/341		66,955		66,977
Fannie Mae Pool AD0538
6.00%		05/01/24		1,312		1,308
Fannie Mae Pool AE0083
6.00%		01/01/40		389,731		403,920
Fannie Mae Pool AL0851
6.00%		10/01/40		478,143		499,793
Fannie Mae REMICS,
Series 1997-76, Class FS
(SOFR30A plus 0.56%)
5.88%		09/17/271		2,836		2,801
Fannie Mae REMICS,
Series 2001-60, Class OF
(SOFR30A plus 1.06%)
6.38%		10/25/311		249,332		251,957
Fannie Mae REMICS,
Series 2007-64, Class FA
(SOFR30A plus 0.58%)
5.90%		07/25/371		137,785		137,126
Fannie Mae REMICS,
Series 2009-85, Class LF
(SOFR30A plus 1.31%)
6.63%		10/25/491		1,430,574		1,450,078
Fannie Mae REMICS,
Series 2009-96, Class FA
(SOFR30A plus 1.01%)
6.33%		11/25/491		862,468		869,624
Fannie Mae REMICS,
Series 2010-109, Class PF
(SOFR30A plus 0.51%)
5.83%		10/25/401		453,346		448,225
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X SOFR30A plus 6.12%, 6.23% Cap)
0.80%		11/25/361		2,970,004		266,602
Fannie Mae REMICS,
Series 2010-43, Class DP
5.00%		05/25/40		356,536		354,152

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2010-6, Class BF
(SOFR30A plus 0.87%)
6.19%	02/25/401	$	790,101	$	790,930
Fannie Mae REMICS,
Series 2010-95, Class S (IO)
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap)
1.17%	09/25/401		2,404,027		242,767
Fannie Mae REMICS,
Series 2019-79, Class FA
(SOFR30A plus 0.61%)
5.93%	01/25/501		2,809,032		2,772,258
Fannie Mae REMICS,
Series 2020-10, Class FA
(SOFR30A plus 0.61%)
5.93%	03/25/501		5,020,790		4,888,139
Freddie Mac Gold Pool A45796
7.00%	01/01/33		743		767
Freddie Mac Gold Pool C46104
6.50%	09/01/29		1,844		1,893
Freddie Mac REMICS,
Series 2174, Class PN
6.00%	07/15/29		134,188		133,659
Freddie Mac REMICS,
Series 2454, Class FQ
(SOFR30A plus 1.11%)
6.43%	06/15/311		2,180		2,199
Freddie Mac REMICS,
Series 2733, Class FB
(SOFR30A plus 0.71%)
6.03%	10/15/331		1,026,326		1,019,300
Freddie Mac REMICS,
Series 3071, Class TF
(SOFR30A plus 0.41%)
5.73%	04/15/351		269,179		268,873
Freddie Mac REMICS,
Series 3294, Class CB
5.50%	03/15/37		145,285		147,823
Freddie Mac REMICS,
Series 3300, Class FA
(SOFR30A plus 0.41%)
5.73%	08/15/351		291,043		286,673
Freddie Mac REMICS,
Series 3325, Class NF
(SOFR30A plus 0.41%)
5.73%	08/15/351		750,555		739,286
Freddie Mac REMICS,
Series 3524, Class FC
(SOFR30A plus 1.05%)
6.37%	06/15/381		181,837		182,330
Freddie Mac REMICS,
Series 3531, Class FM
(SOFR30A plus 1.01%)
6.33%	05/15/391		102,377		102,445

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 132

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4959, Class JF
(SOFR30A plus 0.56%)
5.88%	03/25/501	$	4,551,459	$	4,477,077
Freddie Mac Strips,
Series 240, Class F30
(SOFR30A plus 0.41%)
5.73%	07/15/361		870,071		858,961
Freddie Mac Strips,
Series 263, Class F5
(SOFR30A plus 0.61%)
5.93%	06/15/421		1,005,028		990,323
Freddie Mac Strips,
Series 319, Class F2
(SOFR30A plus 0.61%)
5.93%	11/15/431		4,587,987		4,491,843
Ginnie Mae (TBA)
4.50%	04/20/54		19,300,000		18,549,639
5.00%	04/20/54		17,850,000		17,546,112
5.50%	04/20/54		7,125,000		7,119,972
Ginnie Mae II Pool 2020
8.50%	06/20/25		56		56
Ginnie Mae II Pool 2286
8.50%	09/20/26		23		23
Ginnie Mae II Pool 2487
8.50%	09/20/27		692		693
Ginnie Mae II Pool 80059
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.88%	04/20/271		3,889		3,841
Ginnie Mae II Pool 80589
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.63%	03/20/321		7,689		7,455
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.88%	06/20/321		3,996		3,971
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.63%	07/20/341		113,146		111,348
Ginnie Mae II Pool 81201
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 2.00%)
4.13%	01/20/351		3,400		3,331
Ginnie Mae II Pool 8599
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
4.00%	02/20/251		1,112		1,099
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.69%, 6.80% Cap)
1.36%	05/20/371		1,913,219		81,751

Issues	Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2013-53, Class AD
1.50%		12/20/26	$	203,056	$	196,943
Ginnie Mae,
Series 2023-111, Class FN
(SOFR30A plus 1.20%)
6.52%		08/20/531		8,369,069		8,416,611
Ginnie Mae,
Series 2023-113, Class FD
(SOFR30A plus 1.35%)
6.50%		08/20/531		7,455,203		7,470,796
Ginnie Mae,
Series 2023-116, Class FL
(SOFR30A plus 1.15%)
6.47%		08/20/531		7,389,510		7,425,058
Ginnie Mae,
Series 2024-51, Class F
(SOFR30A plus 1.00%)
6.32%		03/20/541		16,350,000		16,378,385
Ginnie Mae,
Series 2024-51, Class PF
(SOFR30A plus 1.00%)
6.32%		03/20/541		15,525,000		15,549,744
Ginnie Mae,
Series 2024-51, Class TF
(SOFR30A plus 1.00%)
6.32%		03/20/541		12,575,000		12,577,575
UMBS (TBA)
3.50%		04/01/39		17,550,000		16,674,557
4.00%		04/01/39		31,075,000		30,095,410
4.00%		04/01/54		21,125,000		19,568,681
4.50%		04/01/39		50,200,000		49,429,093
4.50%		04/01/54		25,900,000		24,670,763
5.00%		04/01/39		50,900,000		50,829,782
5.00%		04/01/54		17,125,000		16,710,908
5.50%		04/01/54		8,075,000		8,035,738
						354,613,770
Total Mortgage-Backed
(Cost $715,561,162)						702,849,630
MUNICIPAL BONDS — 1.10%*
California — 0.26%
Campbell Union School District General Obligation, School Improvements, Series B
5.41%		08/01/27		3,295,000		3,316,799
Florida — 0.10%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.14%		10/01/28		445,000		398,937
2.29%		10/01/29		985,000		869,959
						1,268,896

See accompanying Notes to Financial Statements.

133 / Annual Report March 2024

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
MUNICIPAL BONDS (continued)
Maryland — 0.08%
City of Baltimore General Obligation, School Improvements, Series C
5.00%		10/15/25	$	1,035,000	$	1,031,514
Massachusetts — 0.27%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%		07/15/31		3,452,103		3,373,930
New York — 0.39%
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements
3.19%		08/01/25		1,110,000		1,083,761
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries B2
2.31%		11/01/26		4, 060,000		3,825,186
						4,908,947
Total Municipal Bonds
(Cost $14,714,171)						13,900,086
U.S. TREASURY SECURITIES — 26.02%
U.S. Treasury Notes — 26.02%
U.S. Treasury Notes
4.25%		03/15/27		67,450,000		67,152,272
4.50%		03/31/26		190,510,000		190,078,304
U.S. Treasury Notes (WI)
4.25%		03/31/29		72,045,000		71,758,598
Total U.S. Treasury Securities
(Cost $329,311,123)						328,989,174
Total Bonds — 117.98%
(Cost $1,508,209,203)						1,491,762,957
Issues			Shares		Value
COMMON STOCK — 0.00%
Electric — 0.00%
Homer City Holdings LLC4,5,7				106,501		—
Total Common Stock
(Cost $6,078,660)
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 16.37%
Money Market Funds — 12.16%
Dreyfus Government Cash Management Fund
5.20%8				51,769,000		51,769,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%8,9				96,800		96,800
JPMorgan U.S. Government Money Market Fund
5.16%8				39,421,000		39,421,000

Issues	Maturity  Date		Principal  Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
Money Market Funds (continued)
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%8				62,531,000	$	62,531,000
						153,817,800
U.S. Treasury Bills — 4.21%
U.S. Treasury Bills (WI)
5.32%10		05/30/24	$	30,000,000		29,728,362
5.33%10		05/16/24		23,620,000		23,455,605
						53,183,967
Total Short-Term Investments
(Cost $207,026,719)						207,001,767
Total Investments - 134.35%
(Cost $1,721,314,582)						1,698,764,724
Liabilities in Excess of Other Assets - (34.35)%						(434,288,976	)
Net Assets - 100.00%					$	1,264,475,748

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³  Foreign denominated security issued by foreign domiciled entity.

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

⁵  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $8,183,858, which is 0.65% of total net assets.

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

⁷  Non-income producing security.

⁸  Represents the current yield as of March 31, 2024.

⁹  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $3,929.

¹⁰  Represents annualized yield at date of purchase.

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

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 134

Low Duration Bond Fund

Schedule of Portfolio Investments

March 31, 2024

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

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(GBP): British Pound

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized  Appreciation  (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
GBP 3,283,000		USD 4,132,629		Citibank N.A.		04/12/24	$	14,954
USD 736,132		EUR 678,000		The Bank of New York Mellon		04/12/24		3,466
USD 13,863,792		EUR 12,595,000		Citibank N.A.		04/12/24		253,275
USD 4,190,569		GBP 3,283,000		Citibank N.A.		04/12/24		42,986
								314,681
EUR 3,278,000		USD 3,567,169		Bank of America N.A.		04/12/24		(24,869)
NET UNREALIZED APPRECIATION							$	289,812

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized  Appreciation  (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		4,997		06/28/24	$	1,021,808,427	$	(879,951)	$	(879,951)
Euro-Schatz Future		11		06/06/24		1,255,716		283		283
Euro-Bobl Future		7		06/06/24		893,970		3,394		3,394
						1,023,958,113		(876,274)		(876,274)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note		2,624		06/28/24		(280,809,013)		(754,033)		(754,033)
U.S. Treasury Ten-Year Ultra Bond		446		06/18/24		(51,115,784)		(324,406)		(324,406)
U.S. Treasury Ultra Bond		67		06/18/24		(8,643,000)		(85,396)		(85,396)
Euro-Schatz Future		45		06/06/24		(5,137,020)		(952)		(952)
Euro-Bobl Future		10		06/06/24		(1,277,100)		(5,736)		(5,736)
						(346,981,917)		(1,170,523)		(1,170,523)
TOTAL FUTURES CONTRACTS					$	676,976,196	$	(2,046,797)	$	(2,046,797)

See accompanying Notes to Financial Statements.

135 / Annual Report March 2024

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
BONDS – 62.30%
BANK LOANS — 4.92%*
Consumer Discretionary — 1.31%
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%		04/05/281	$	12,354	$	9,702
Naked Juice, LLC,
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%		01/24/301		12,000		9,836
						19,538
Industrials — 2.41%
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		03/20/251		4,441		4,317
Protective Industrial Products, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
9.44%		12/29/271		12,674		12,674
SPX Flow, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.60%)
9.41% -9.58%		04/05/291		6,536		6,571
Transcendia Holdings, Inc.,
Term Loan B, 1st Lien
(PRIME plus 2.50%)
11.00%		05/30/241		16,558		12,333
						35,895
Information Technology — 0.71%
Magenta Buyer LLC,
Term Loan, 1st Lien
(SOFR plus 5.26%)
10.57%		07/27/281		12,708		7,624
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%		05/03/281		3,059		3,045
						10,669
Services — 0.49%
Neptune Bidco U.S., Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.10%)
10.42%		04/11/291		7,940		7,339
Total Bank Loans (Cost $ 80,673)						73,441
CORPORATES — 39.69%*
Banking — 1.52%
Bank of America Corp.,
Series RR
4.38%2,3				5,000		4,713

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Banking (continued)
Bank of New York Mellon Corp. (The),
Series I
3.75%2,3			$	5,000	$	4,606
JPMorgan Chase & Co.,
Series KK
3.65%2,3				5,000		4,761
U.S. Bancorp
3.70%2,3				10,000		8,665
						22,745
Communications — 7.28%
Altice France Holding SA
(Luxembourg)
10.50%		05/15/274,5		4,000		1,525
Altice France SA
(France)
5.13%		01/15/294,5		5,000		3,475
5.50%		10/15/294,5		11,000		7,418
Cable One, Inc.
4.00%		11/15/304		10,000		7,825
CommScope, Inc.
4.75%		09/01/294		3,000		2,160
Consolidated Communications, Inc.
6.50%		10/01/284		3,000		2,628
CSC Holdings LLC
6.50%		02/01/294		17,000		14,418
7.50%		04/01/284		12,000		8,099
11.75%		01/31/294		3,000		3,004
DISH DBS Corp.
5.13%		06/01/29		7,000		2,923
5.25%		12/01/264		8,000		6,314
Frontier Communications Holdings LLC
6.75%		05/01/294		4,000		3,569
8.63%		03/15/314		4,000		4,088
Gray Television, Inc.
5.38%		11/15/314		5,000		3,285
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%		04/30/274		5,000		5,125
6.00%		02/15/284		5,000		5,150
Scripps Escrow, Inc.
5.88%		07/15/274		3,000		2,520
Sirius XM Radio, Inc.
3.88%		09/01/314		9,000		7,511
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/324,5		9,000		7,734
Zayo Group Holdings, Inc.
4.00%		03/01/274		12,000		9,888
						108,659
Consumer Discretionary — 2.74%
Everi Holdings, Inc.
5.00%		07/15/294		8,000		7,940
Spectrum Brands, Inc.
3.88%		03/15/314		8,000		7,728

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 136

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Triton Water Holdings, Inc.
6.25%		04/01/294	$	5,000	$	4,565
WarnerMedia Holdings, Inc.
5.14%		03/15/52		17,000		14,131
Wyndham Hotels & Resorts, Inc.
4.38%		08/15/284		7,000		6,511
						40,875
Consumer Products — 0.32%
Newell Brands, Inc.
7.00%		04/01/46		6,000		4,851
Electric — 0.13%
Pike Corp.
5.50%		09/01/284		2,000		1,916
Energy — 3.52%
Energy Transfer LP,
Series B
6.63%2,3				14,000		13,127
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29		10,000		9,929
SM Energy Co.
6.50%		07/15/28		7,000		7,036
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26		8,000		7,650
USA Compression Partners LP/USA Compression Finance Corp.
7.13%		03/15/294		5,000		5,059
Venture Global LNG, Inc.
9.50%		02/01/294		8,000		8,630
9.88%		02/01/324		1,000		1,079
						52,510
Finance — 5.07%
American Express Co.,
Series D
3.55%2,3				5,000		4,641
Charles Schwab Corp. (The)
Series K
5.00%2,3				5,000		4,793
Cushman & Wakefield U.S. Borrower LLC
8.88%		09/01/314		6,000		6,367
Ford Motor Credit Co. LLC
4.06%		11/01/24		35,000		34,657
GGAM Finance Ltd.
(Cayman Islands)
8.00%		02/15/274,5		3,000		3,099
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%		02/01/29		9,000		7,693
5.25%		05/15/27		2,000		1,860
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/294		8,000		7,423

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
Macquarie Airfinance Holdings Ltd.
(United Kingdom)
6.40%		03/26/294,5	$	5,000	$	5,079
						75,612
Food — 3.04%
B&G Foods, Inc.
5.25%		04/01/25		3,000		3,000
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/264		6,000		450
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/315		14,000		12,140
5.75%		04/01/335		5,000		4,932
Pilgrim’s Pride Corp.
3.50%		03/01/32		9,000		7,640
6.25%		07/01/33		9,000		9,221
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/294		9,000		7,970
						45,353
Gaming — 1.31%
Churchill Downs, Inc.
5.75%		04/01/304		7,000		6,762
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.
5.25%		05/15/274		13,000		12,751
						19,513
Health Care — 3.72%
1375209 BC Ltd.
(Canada)
9.00%		01/30/284,5		10,000		9,811
Bausch Health Cos., Inc.
(Canada)
14.00%		10/15/304,5		1,000		580
Cano Health LLC
6.25%		10/01/284,6,7,8,9		4,000		4
Centene Corp.
2.63%		08/01/31		4,000		3,298
3.00%		10/15/30		5,000		4,291
Grifols SA
(Spain)
4.75%		10/15/284,5		8,000		6,625
Heartland Dental LLC/Heartland Dental Finance Corp.
10.50%		04/30/284		2,000		2,127
Kedrion SpA
(Italy)
6.50%		09/01/294,5		9,000		8,212
ModivCare Escrow Issuer, Inc.
5.00%		10/01/294		13,000		9,443
ModivCare, Inc.
5.88%		11/15/254		5,000		4,874
Option Care Health, Inc.
4.38%		10/31/294		1,000		919

See accompanying Notes to Financial Statements.

137 / Annual Report March 2024

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Star Parent, Inc.
9.00%		10/01/304	$	5,000	$	5,302
						55,486
Industrials — 2.21%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
5.25%		08/15/274,5		9,000		5,680
Artera Services LLC
8.50%		02/15/314		7,000		7,182
Graham Packaging Co., Inc.
7.13%		08/15/284		5,000		4,543
OT Merger Corp.
7.88%		10/15/294		9,000		6,493
Titan Acquisition Ltd./Titan Co-Borrower LLC
(Canada)
7.75%		04/15/264,5		3,000		3,001
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/264,5		3,000		2,961
Verde Purchaser LLC
10.50%		11/30/304		3,000		3,164
						33,024
Information Technology — 2.61%
MSCI, Inc.
3.63%11/01/314				25,000		21,721
NCR Voyix Corp.
5.25%		10/01/304		4,000		3,623
Open Text Corp.
(Canada)
6.90%		12/01/274,5		3,000		3,097
RingCentral, Inc.
8.50%		08/15/304		4,000		4,162
ZoomInfo Technologies LLC/ZoomInfo Finance Corp.
3.88%		02/01/294		7,000		6,318
						38,921
Insurance — 0.25%
Acrisure LLC/Acrisure Finance, Inc.
6.00%		08/01/294		4,000		3,680
Materials — 1.88%
Clearwater Paper Corp.
4.75%		08/15/284		8,000		7,448
Herens Holdco SARL
(Luxembourg)
4.75%		05/15/284,5		9,000		7,880
International Flavors & Fragrances, Inc.
2.30%		11/01/304		9,000		7,481
Valvoline, Inc.
3.63%		06/15/314		6,000		5,177
						27,986
Office REITs — 0.37%
Hudson Pacific Properties LP
3.25%		01/15/30		2,000		1,544

Issues	Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Office REITs (continued)
4.65%		04/01/29	$	3,000	$	2,559
Piedmont Operating Partnership LP
2.75%		04/01/32		2,000		1,447
						5,550
Retail — 1.92%
Ferrellgas LP/Ferrellgas Finance Corp.
5.88%		04/01/294		11,000		10,495
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc.
6.75%		01/15/304		6,000		5,415
LCM Investments Holdings II LLC
8.25%		08/01/314		3,000		3,135
Michaels Cos., Inc. (The)
7.88%		05/01/294		10,000		7,512
Raising Cane’s Restaurants LLC
9.38%		05/01/294		2,000		2,165
						28,722
Services — 1.66%
Adtalem Global Education, Inc.
5.50%		03/01/284		2,000		1,917
HealthEquity, Inc.
4.50%		10/01/294		3,000		2,776
Upbound Group, Inc.
6.38%		02/15/294		2,000		1,945
VT Topco, Inc.
8.50%		08/15/304		5,000		5,282
WASH Multifamily Acquisition, Inc.
5.75%		04/15/264		5,000		4,889
Waste Pro USA, Inc.
5.50%		02/15/264		8,000		7,886
						24,695
Specialized REITs — 0.14%
Greystar Real Estate Partners LLC
7.75%		09/01/304		2,000		2,080
Total Corporates (Cost $608,517)						592,178
MORTGAGE-BACKED — 11.21%**
Non-Agency Commercial Mortgage-Backed — 3.34%
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-PWR6, Class X1 (IO)
0.87%		11/11/413,4		1,304,577		2,940
Commercial Mortgage Trust, Series 2004-LB2A,Class X1 (IO)
1.75%		03/10/393,4		218,516		2,686
Credit Suisse Mortgage Capital Trust, Series 2006-C4, Class AX (IO)
0.86%		09/15/393,4		438,588		2,113
Impact Funding Affordable Multifamily Housing Mortgage Loan Trust, Series 2010-1, Class A1
5.31%		01/25/514		2,785		2,745

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 138

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.79%		11/15/473	$	145,768	$	276
MKT Mortgage Trust,
Series 2020-525M, Class D
2.94%		02/12/403,4		25,000		15,939
Queens Center Mortgage Trust,
Series 2013-QCA, Class B
3.38%		01/11/374		25,000		23,020
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.35%		06/15/463		33,291		66
						49,785
Non-Agency Mortgage-Backed — 7.75%
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
5.79%		02/25/471		24,642		9,575
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/24)
5.00%		07/25/624		27,395		26,668
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
3.50%		11/25/373		8,134		6,645
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
4.64%		06/25/363		18,966		13,741
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
5.37%		11/21/343		30,487		28,628
MASTR Alternative Loan Trust,
Series 2006-2, Class 2A2 (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.99%, 7.10% Cap)
1.66%		03/25/361,6,9		218,152		12,869
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(CME Term SOFR 1-Month plus 0.30%)
5.63%		04/25/371		46,017		17,541
						115,667
U.S. Agency Commercial Mortgage-Backed — 0.12%
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.23%		04/16/533		235,779		505
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.01%		02/16/463		101,916		1,197
						1,702
Total Mortgage-Backed (Cost $220,466)						167,154

Issues	Maturity  Date		Principal  Amount		Value
U.S. TREASURY SECURITIES — 6.48%
U.S. Treasury Notes — 6.48%
U.S. Treasury Notes (WI)
4.00%		02/15/34	$	73,000	$	71,819
4.25%		03/31/29		25,000		24,901
Total U.S. Treasury Securities (Cost $96,330)						96,720
Total Bonds — 62.30% (Cost $1,005,986)						929,493
Issues			Shares		Value
COMMON STOCK — 12.40%
Banking — 0.79%
Wells Fargo & Co.				203		11,766
Communications — 2.85%
Altice USA, Inc., Class A8				1,736		4,531
AT&T, Inc.				372		6,547
CommScope Holding Co., Inc.8				818		1,072
Nexstar Media Group, Inc., Class A				48		8,270
T-Mobile U.S., Inc.				117		19,097
Warner Bros. Discovery, Inc.8				340		2,968
						42,485
Consumer Discretionary — 0.66%
Qurate Retail, Inc.8				3,324		4,088
Spectrum Brands Holdings, Inc.				64		5,697
						9,785
Consumer Products — 0.22%
Newell Brands, Inc.				416		3,341
Diversified REITs — 0.94%
Gaming and Leisure Properties, Inc.				306		14,098
Electric — 0.33%
FirstEnergy Corp.				127		4,905
Gaming — 0.37%
Penn Entertainment, Inc.8				300		5,463
Health Care —1.74%
Bausch + Lomb Escrow Corp.5,8 (Canada)				365		6,315
Bausch Health Cos., Inc.5,8 (Canada)				940		9,973
Centene Corp.8				123		9,653
						25,941
Industrials — 0.82%
TransDigm Group, Inc.				10		12,316
Information Technology — 0.51%
NCR Voyix Corp.8				239		3,018
SS&C Technologies Holdings, Inc.				72		4,635
						7,653
Office REITs — 0.21%
Hudson Pacific Properties, Inc.				492		3,173

See accompanying Notes to Financial Statements.

139 / Annual Report March 2024

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Shares		Value
COMMON STOCK — 12.40% (continued)
Retail — 1.37%
FirstCash Holdings, Inc.			160	$	20,406
Services —1.59%
Hertz Global Holdings, Inc.8			844		6,608
Upbound Group, Inc.			485		17,077
					23,685
Total Common Stock (Cost $289,986)					185,017
MASTER LIMITED PARTNERSHIPS — 3.00%
Energy — 3.00%
Enterprise Products Partners LP			531		15,495
NGL Energy Partners LP8			2,525		14,544
Sunoco LP			128		7,717
USACompression Partners LP			260		6,934
					44,690
Total Master Limited Partnerships (Cost $19,138)					44,690
Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 24.16%
Money Market Funds —14.16%
Fidelity Investments Money Market Funds - Government Portfolio
5.21%10			147,191		147,191
Morgan Stanley Institutional Liquidity Funds -Government Portfolio
5.22%10			64,000		64,000
					211,191
U.S. Treasury Bills — 10.00%
U.S. Treasury Bills (WI)
5.28%11	05/02/24	$	50,000		49,773
5.31%11	04/16/24		50,000		49,868
5.32%11	05/16/24		50,000		49,652
					149,293
Total Short-Term Investments (Cost $360,534)					360,484
Total Investments - 101.86% (Cost $1,675,644)					1,519,684
Liabilities in Excess of Other Assets - (1.86)%					(27,796	)
Net Assets - 100.00%				$	1,491,888

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Perpetual security with no stated maturity date.

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

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

⁸  Non-income producing security.

⁹  Illiquid security as determined under procedures approved by the Board of Trustees.The aggregate value of illiquid securities is $12,873, which is 0.86% of total net assets.

¹⁰  Represents the current yield as of March 31, 2024.

¹¹  Represents annualized yield at date of purchase.

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

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

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

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(WI): When Issued

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 140

Opportunistic High Income Credit Fund

Schedule of Portfolio Investments

March 31, 2024

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		3		06/28/24	$	321,047	$	208	$	208
U.S. Treasury Two-Year Note		3		06/28/24		613,453		(381)		(381)
						934,500		(173)		(173)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		1		06/18/24		(114,609)		(533)		(533)
TOTAL FUTURES CONTRACTS					$	819,891	$	(706)	$	(706)

See accompanying Notes to Financial Statements.

141 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
BONDS – 91.19%
ASSET-BACKED SECURITIES — 14.90%**
AGL CLO 12 Ltd.,
Series 2021-12A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%			07/20/341,2,3		$	125,000	$	125,067
Aimco CLO,
Series 2015-AA, Class BR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%			10/17/341,2,3			70,000		70,038
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%			01/21/321,2,3			45,000		45,025
AMSR Trust,
Series 2020-SFR1, Class H
5.30%			04/17/373			200,000		194,065
AMSR Trust,
Series 2020-SFR1, Class I
8.19%			04/17/373			100,000		99,371
BCRED CLO LLC,
Series 2023-1A, Class A
(CME Term SOFR 3-Month plus 2.30%)
7.66%			01/20/361,3			250,000		252,863
Carvana Auto Receivables Trust,
Series 2022-P3, Class R
0.00%			09/10/293			1,750		224,870
Cedar Funding II CLO Ltd.,
Series 2013-1A, Class BRR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.61%)
6.93%			04/20/341,2,3			75,000		74,026
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.72%			10/25/341,2,3			180,000		180,099
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%			03/15/503			140,000		127,833
Crystal River CDO,
Series 2005-1A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 0.62%)
5.96%			03/02/46	1,2,3,4,5		419,900		42,831
Diamond Infrastructure Funding LLC,
Series 2021-1A, Class C
3.48%			04/15/49	3		215,000		192,818
Dryden 85 CLO Ltd.,
Series 2020-85A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%			10/15/35	1,2,3		150,000		150,063

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Eaton Vance CLO Ltd.,
Series 2020-1A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.43%)
6.75%		10/15/341,2,3	$	90,000	$	90,088
FirstKey Homes Trust,
Series 2020-SFR1, Class F2
4.28%		08/17/373		162,000		155,720
FirstKey Homes Trust,
Series 2020-SFR1, Class G
4.78%		08/17/373		265,000		254,158
FirstKey Homes Trust,
Series 2021-SFR2, Class C
1.71%		09/17/383		250,000		225,665
FirstKey Homes Trust,
Series 2022-SFR1, Class D
5.20%		05/19/393		350,000		339,439
Flatiron RR CLO 22 LLC,
Series 2021-2A, Class B
(CME Term SOFR 3-Month plus 1.86%)
7.18%		10/15/341,3		250,000		250,221
FRTKL,
Series 2021-SFR1, Class G
4.11%		09/17/383		300,000		266,887
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%		07/17/292,3		10,126		10,019
GLS Auto Receivables Issuer Trust,
Series 2023-2A, Class D
6.31%		03/15/293		220,000		222,086
GoldenTree Loan Management U.S. CLO 1 Ltd.,
Series 2021-9A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.08%		01/20/331,2,3		325,000		324,522
GoldenTree Loan Management U.S. CLO 17 Ltd.,
Series 2023-17A, Class D
(United Kingdom)
(CME Term SOFR 3-Month plus 5.00%)
10.32%		07/20/361,2,3		175,000		177,947
Golub Capital Partners CLO 42M-R,
Series 2019-42RA, Class A2R
(CME Term SOFR 3-Month plus 2.75%)
8.07%		01/20/361,3		175,000		176,777
Golub Capital Partners CLO 54M L.P,
Series 2021-54A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.79%)
7.06%		08/05/331,2,3		90,000		89,955
Golub Capital Partners CLO 66B Ltd.,
Series 2023-66A, Class A
(United Kingdom)
(CME Term SOFR 3-Month plus 1.95%)
7.27%		04/25/361,2,3		250,000		251,512

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 142

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Golub Capital Partners CLO 69M,
Series 2023-69A, Class B1
(CME Term SOFR 3-Month plus 3.25%)
8.66%		11/09/361,3	$	250,000	$	252,735
Harvest Commercial Capital Loan Trust,
Series 2019-1, Class A
3.29%		09/25/463,6		13,968		13,605
HPS Loan Management Ltd.
Series 10A-16, Class A1RR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.40%)
6.72%		04/20/341,2,3		85,000		85,022
HPS Loan Management Ltd.,
Series 2023-18A, Class D
(Cayman Islands)
(CME Term SOFR 3-Month plus 5.75%)
11.07%		07/20/361,2,3		175,000		179,605
HPS Loan Management Ltd.,
Series 2024-19A, Class C2
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.90%)
0.00%		04/15/371,2,3		250,000		250,670
KGS-Alpha SBA COOF Trust,
Series 2015-1, Class A (IO)
1.57%		10/25/353,6		726,592		25,452
Neuberger Berman Loan Advisers CLO 43 Ltd.,
Series 2021-43A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.71%		07/17/351,2,3		85,000		85,083
OCP CLO Ltd.,
Series 2021-21A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		07/20/341,2,3		50,000		50,004
OCP CLO Ltd.,
Series 2023-28A, Class D
(United Kingdom)
(CME Term SOFR 3-Month plus 5.35%)
10.66%		07/16/361,2,3		250,000		254,382
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		07/15/361,2,3		125,000		124,881
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
6.61%		02/24/371,2,3		150,000		150,153
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.01%)
7.33%		01/20/341,2,3		40,000		40,004

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Progress Residential Trust,
Series 2020-SFR3, Class G
4.11%		10/17/273	$	280,000	$	265,991
Progress Residential Trust,
Series 2021-SFR6, Class G
4.00%		07/17/383		250,000		225,069
Progress Residential Trust,
Series 2021-SFR7, Class F
3.83%		08/17/403		220,000		190,253
Progress Residential,
Series 2021-SFR1, Class F
2.76%		04/17/383		292,000		265,152
Progress Residential,
Series 2021-SFR3, Class E1
2.54%		05/17/263		225,000		206,448
Progress Residential,
Series 2021-SFR3, Class F
3.44%		05/17/263		200,000		183,308
Progress Residential,
Series 2021-SFR4, Class F
3.41%		05/17/383		320,000		291,133
Rad CLO 22 Ltd.,
Series 2023-22A, Class D
(Cayman Islands)
(CME Term SOFR 3-Month plus 5.00%)
10.37%		01/20/371,2,3		100,000		102,003
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.45%)
6.77%		10/20/301,2,3		90,593		90,815
Rockford Tower CLO Ltd.,
Series 2021-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		07/20/341,2,3		75,000		74,965
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/374,5,6		61,848		55,240
SLC Student Loan Trust,
Series 2004-1, Class B
(SOFR90A plus 0.55%)
5.91%		08/15/311		83,735		71,380
SLM Student Loan Trust,
Series 2007-7, Class B
(SOFR90A plus 1.01%)
6.37%		10/27/701		215,000		199,555
SLM Student Loan Trust,
Series 2008-2, Class B
(SOFR90A plus 1.46%)
6.82%		01/25/831		340,000		326,661
SLM Student Loan Trust,
Series 2008-3, Class B
(SOFR90A plus 1.46%)
6.82%		04/26/831		340,000		324,382

See accompanying Notes to Financial Statements.

143 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-4, Class B
(SOFR90A plus 2.11%)
7.47%			04/25/731		$	340,000	$	342,753
SLM Student Loan Trust,
Series 2008-5, Class B
(SOFR90A plus 2.11%)
7.47%			07/25/731			235,000		233,891
Stratus CLO Ltd.,
Series 2021-3A, Class SUB
(Cayman Islands)
0.00%			12/29/292,3,6			250,000		162,660
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%			01/16/463			233,229		233,229
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%			08/15/363			267,210		273,853
Textainer Marine Containers VII Ltd.,
Series 2021-2A, Class A
(Bermuda)
2.23%			04/20/462,3			191,667		172,028
TIF Funding II LLC,
Series 2021-1A, Class A
1.65%			02/20/463			400,581		348,484
Trestles CLO V Ltd.,
Series 2021-5A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.43%)
6.75%			10/20/341,2,3			90,000		90,039
Tricon American Homes,
Series 2020-SFR1, Class D
2.55%			07/17/383			133,000		123,639
Tricon American Homes,
Series 2020-SFR1, Class F
4.88%			07/17/383			244,000		236,001
Total Asset-Backed Securities
(Cost $11,402,336)								11,214,493
CORPORATES — 24.67%*
Banking — 4.33%
Bank of America Corp.
3.42%			12/20/28	6		35,000		32,864
Bank of America Corp.
(MTN)
1.32%			06/19/26	6		100,000		95,056
1.53%			12/06/25	6		165,000		160,394
1.92%			10/24/31	6		585,000		477,805
3.82%			01/20/28	6		110,000		105,975
Bank of America Corp.,
Series N
1.66%			03/11/27	6		80,000		74,579
Bank of America Corp.,
Series RR
4.38%6,7						15,000		14,137

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Banking (continued)
HSBC Holdings PLC
(United Kingdom)
0.98%		05/24/252,6	$	10,000	$	9,924
1.59%		05/24/272,6		25,000		23,010
2.10%		06/04/262,6		330,000		316,592
2.36%		08/18/312,6		50,000		41,689
JPMorgan Chase & Co.
1.04%		02/04/276		175,000		161,945
1.56%		12/10/256		505,000		491,058
1.58%		04/22/276		55,000		51,015
2.07%		06/01/296		25,000		22,169
2.58%		04/22/326		180,000		152,132
PNC Financial Services Group, Inc. (The)
6.04%		10/28/336		10,000		10,350
6.88%		10/20/346		140,000		153,412
Santander UK Group Holdings PLC
(United Kingdom)
1.67%		06/14/272,6		50,000		45,772
U.S. Bancorp
3.70%6,7				15,000		12,998
4.84%		02/01/346		100,000		95,007
5.84%		06/12/346		40,000		40,813
5.85%		10/21/336		35,000		35,767
Wells Fargo & Co.
(MTN)
2.16%		02/11/266		240,000		232,869
2.39%		06/02/286		45,000		41,201
2.57%		02/11/316		95,000		81,908
3.35%		03/02/336		275,000		238,548
5.57%		07/25/296		40,000		40,486
						3,259,475
Communications — 2.69%
Cable One, Inc.
4.00%		11/15/303		115,000		89,988
CCO Holdings, LLC/CCO Holdings Capital Corp.
4.50%		06/01/333		75,000		58,860
Charter Communications Operating LLC/Charter
Communications Operating Capital
3.70%		04/01/51		54,000		33,538
3.90%		06/01/52		60,000		38,326
4.80%		03/01/50		50,000		37,043
6.65%		02/01/34		50,000		51,271
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%		04/01/53		75,000		59,463
Cogent Communications Group, Inc.
7.00%		06/15/273		38,000		37,860
CommScope, Inc.
4.75%		09/01/293		44,000		31,680
CSC Holdings LLC
6.50%		02/01/293		97,000		82,271
7.50%		04/01/283		48,000		32,395
11.75%		01/31/293		69,000		69,086

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 144

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
DIRECTV Financing LLC/DIRECTV Financing Co. Obligor, Inc.
5.88%		08/15/273	$	30,000	$	28,405
Frontier Communications Holdings LLC
6.75%		05/01/293		50,000		44,614
8.63%		03/15/313		111,000		113,441
Intelsat Jackson Holdings SA
(Luxembourg)
6.50%		03/15/302,3		28,000		26,111
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%		04/30/273		39,000		39,975
6.00%		02/15/283		15,000		15,450
Qwest Corp.
7.25%		09/15/25		70,000		69,213
Scripps Escrow, Inc.
5.88%		07/15/273		66,000		55,440
SES GLOBAL Americas Holdings, Inc.
5.30%		03/25/443		200,000		153,170
Sirius XM Radio, Inc.
3.88%		09/01/313		55,000		45,897
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%		03/20/253		45,000		44,760
5.15%		03/20/283		420,000		419,125
Time Warner Cable LLC
5.50%		09/01/41		154,000		128,326
5.88%		11/15/40		10,000		8,739
T-Mobile USA, Inc.
2.25%		02/15/26		66,000		62,468
VZ Secured Financing BV
(Netherlands)
5.00%		01/15/322,3		175,000		150,387
						2,027,302
Consumer Discretionary — 1.45%
BAT Capital Corp.
2.73%		03/25/31		25,000		21,059
4.54%		08/15/47		175,000		135,235
5.65%		03/16/52		125,000		113,197
Central Garden & Pet Co.
4.13%		10/15/30		40,000		35,921
Edgewell Personal Care Co.
5.50%		06/01/283		32,000		31,448
Everi Holdings, Inc.
5.00%		07/15/293		73,000		72,452
Imperial Brands Finance PLC
(United Kingdom)
3.13%		07/26/242,3		25,000		24,786
6.13%		07/27/272,3		70,000		71,459
JDE Peet’s NV
(Netherlands)
2.25%		09/24/312,3		200,000		159,366
Spectrum Brands, Inc.
3.88%		03/15/313		35,000		33,809
5.50%		07/15/303		10,000		9,800

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Triton Water Holdings, Inc.
6.25%		04/01/293	$	39,000	$	35,608
WarnerMedia Holdings, Inc.
4.28%		03/15/32		40,000		35,772
5.05%		03/15/42		70,000		60,162
5.14%		03/15/52		300,000		249,381
						1,089,455
Consumer Products — 0.12%
Newell Brands, Inc.
7.00%		04/01/46		112,000		90,560
Diversified REITs — 0.84%
American Assets Trust LP
3.38%		02/01/31		30,000		24,529
American Tower Corp.
1.00%		01/15/32		100,000		88,432
Crown Castle, Inc.
3.80%		02/15/28		160,000		151,683
Digital Intrepid Holding BV
(Netherlands)
0.63%		07/15/312		100,000		84,688
GLP Capital LP/GLP Financing II, Inc.
3.25%		01/15/32		64,000		54,255
4.00%		01/15/30		10,000		9,167
4.00%		01/15/31		50,000		44,724
5.38%		04/15/26		25,000		24,799
5.75%		06/01/28		25,000		25,038
VICI Properties LP
4.95%		02/15/30		10,000		9,671
5.13%		05/15/32		96,000		91,978
VICI Properties LP/VICI Note Co., Inc.
4.13%		08/15/303		12,000		10,918
4.50%		01/15/283		9,000		8,645
						628,527
Electric — 1.61%
Alliant Energy Finance, LLC
3.60%		03/01/323		55,000		48,739
American Electric Power Co., Inc.
5.63%		03/01/33		60,000		61,032
Arizona Public Service Co.
6.35%		12/15/32		245,000		261,772
Commonwealth Edison Co.
5.30%		02/01/53		130,000		127,219
Duke Energy Carolinas LLC
5.35%		01/15/53		30,000		29,677
Duke Energy Corp.
3.85%		06/15/34		100,000		107,227
Entergy Texas, Inc.
3.45%		12/01/27		150,000		141,102
FirstEnergy Pennsylvania Electric Co.
4.00%		04/15/253		75,000		73,182
FirstEnergy Transmission LLC
2.87%		09/15/283		39,000		35,585
Jersey Central Power & Light Co.
4.30%		01/15/263		100,000		97,780

See accompanying Notes to Financial Statements.

145 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Electric (continued)
4.70%		04/01/243	$	55,000	$	55,000
TenneT Holding BV
(EMTN)
(Netherlands)
2.75%		05/17/422		105,000		106,363
Tucson Electric Power Co.
5.50%		04/15/53		65,000		64,711
						1,209,389
Energy — 1.10%
Energy Transfer LP
5.00%		05/15/50		65,000		57,068
5.40%		10/01/47		49,000		45,299
5.50%		06/01/27		3,000		3,020
Global Partners LP/GLP Finance Corp.
6.88%		01/15/29		41,000		40,708
8.25%		01/15/323		75,000		77,949
KeySpan Gas East Corp.
5.99%		03/06/333		65,000		66,005
Kinder Morgan Energy Partners LP
5.00%		08/15/42		45,000		40,144
NGL Energy Operating LLC/NGL Energy Finance Corp.
8.38%		02/15/323		30,000		30,789
Petroleos Mexicanos
(Mexico)
6.35%		02/12/482		5,000		3,194
Rockies Express Pipeline LLC
4.80%		05/15/303		100,000		92,900
Southern Co. Gas Capital Corp.
3.88%		11/15/25		70,000		68,250
Sunoco LP/Sunoco Finance Corp.
4.50%		05/15/29		56,000		52,150
4.50%		04/30/30		9,000		8,250
TransCanada PipeLines Ltd.
(Canada)
4.63%		03/01/342		5,000		4,728
TransMontaigne Partners LP/TLP Finance Corp.
6.13%		02/15/26		73,000		69,806
USA Compression Partners LP/USA Compression Finance Corp.
7.13%		03/15/293		40,000		40,473
Venture Global Calcasieu Pass LLC
3.88%		08/15/293		60,000		54,099
Venture Global LNG, Inc.
9.50%		02/01/293		35,000		37,757
9.88%		02/01/323		35,000		37,757
						830,346
Finance — 3.51%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland)
2.45%		10/29/262		75,000		69,702
3.30%		01/30/322		125,000		107,150
Air Lease Corp.
(MTN)
2.30%		02/01/25		75,000		72,856

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
American Express Co.,
Series D
3.55%6,7			$	15,000	$	13,922
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%		11/18/272,3		185,000		164,634
3.25%		02/15/272,3		15,000		13,967
Charles Schwab Corp. (The)
Series K
5.00%6,7				15,000		14,378
Citigroup, Inc.
0.98%		05/01/256		305,000		303,671
2.52%		11/03/326		185,000		152,004
2.98%		11/05/306		20,000		17,773
3.52%		10/27/286		5,000		4,716
GGAM Finance Ltd.
(Cayman Islands)
8.00%		02/15/272,3		35,000		36,160
8.00%		06/15/282,3		68,000		70,975
Goldman Sachs Group, Inc. (The)
1.54%		09/10/276		235,000		214,758
1.95%		10/21/276		10,000		9,199
(SOFR Rate plus 0.49%)
5.84%		10/21/241		30,000		30,020
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%		12/09/266		625,000		580,487
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%		02/01/29		38,000		32,483
5.25%		05/15/27		67,000		62,310
9.75%		01/15/293		15,000		15,656
Jane Street Group/JSG Finance, Inc.
4.50%		11/15/293		74,000		68,658
Morgan Stanley
0.79%		05/30/256		120,000		118,893
2.19%		04/28/266		180,000		173,712
Morgan Stanley
(GMTN)
2.24%		07/21/326		90,000		73,494
Morgan Stanley
(MTN)
1.16%		10/21/256		65,000		63,310
1.93%		04/28/326		135,000		108,388
Nationwide Building Society
(United Kingdom)
2.97%		02/16/282,3,6		50,000		46,664
						2,639,940
Food — 0.86%
B&G Foods, Inc.
5.25%		04/01/25		11,000		11,000
ELO SACA
(EMTN)
(France)
6.00%		03/22/292		100,000		109,622

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 146

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Food (continued)
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%		06/01/263	$	66,000	$	4,950
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl
(Canada)
6.75%		03/15/342,3		135,000		141,980
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.75%		12/01/312		52,000		45,090
5.50%		01/15/302		25,000		24,654
6.50%		12/01/522		10,000		9,907
Pilgrim’s Pride Corp.
3.50%		03/01/32		36,000		30,558
4.25%		04/15/31		25,000		22,581
6.25%		07/01/33		135,000		138,320
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ Simmons Pet Food, Inc./Simmons Feed
4.63%		03/01/293		85,000		75,278
Smithfield Foods, Inc.
2.63%		09/13/313		45,000		35,265
						649,205
Gaming — 0.14%
Penn Entertainment, Inc.
4.13%		07/01/293		79,000		68,533
5.63%		01/15/273		36,000		34,765
						103,298
Health Care — 1.93%
1375209 BC Ltd.
(Canada)
9.00%		01/30/282,3		69,000		67,695
AbbVie, Inc.
3.60%		05/14/25		50,000		49,089
Amgen, Inc.
4.20%		02/22/52		25,000		20,597
Bayer U.S. Finance II LLC
2.85%		04/15/253		20,000		19,327
4.63%		06/25/383		156,000		129,960
4.88%		06/25/483		50,000		40,218
Bayer U.S. Finance LLC
6.88%		11/21/533		70,000		71,946
Cano Health LLC
6.25%		10/01/283,4,5,8,9		26,000		23
Catalent Pharma Solutions, Inc.
3.13%		02/15/293		115,000		110,001
Centene Corp.
3.00%		10/15/30		129,000		110,719
CommonSpirit Health
2.78%		10/01/30		40,000		34,738
DENTSPLY SIRONA, Inc.
3.25%		06/01/30		45,000		39,904
Embecta Corp.
5.00%		02/15/303		28,000		22,880
6.75%		02/15/303		53,000		46,370

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Encompass Health Corp.
4.50%		02/01/28	$	20,000	$	19,145
Fortrea Holdings, Inc.
7.50%		07/01/303		35,000		36,186
Fresenius Medical Care U.S. Finance III, Inc.
1.88%		12/01/263		30,000		27,160
Grifols SA
(Spain)
4.75%		10/15/282,3		124,000		102,692
HCA, Inc.
5.25%		04/15/25		12,000		11,953
5.63%		09/01/28		14,000		14,166
Kedrion SpA
(Italy)
6.50%		09/01/292,3		105,000		95,804
ModivCare Escrow Issuer, Inc.
5.00%		10/01/293		149,000		108,228
Option Care Health, Inc.
4.38%		10/31/293		72,000		66,192
Prestige Brands, Inc.
3.75%		04/01/313		116,000		101,100
Prime Healthcare Services, Inc.
7.25%		11/01/253		90,000		90,225
Universal Health Services, Inc.
1.65%		09/01/26		15,000		13,676
						1,449,994
Health Care REITs — 0.16%
Healthcare Reality Holdings LP
2.00%		03/15/31		25,000		19,895
3.10%		02/15/30		30,000		26,093
Healthcare Realty Holdings LP
2.05%		03/15/31		10,000		7,760
3.63%		01/15/28		70,000		64,740
						118,488
Industrial REITs — 0.10%
LXP Industrial Trust
2.38%		10/01/31		55,000		44,074
2.70%		09/15/30		35,000		29,295
Rexford Industrial Realty LP
2.15%		09/01/31		5,000		4,014
						77,383
Industrials — 1.36%
Advanced Drainage Systems, Inc.
6.38%		06/15/303		14,000		14,085
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
4.13%		08/15/262,3		25,000		22,708
5.25%		08/15/272,3		90,000		56,792
Artera Services LLC
8.50%		02/15/313		45,000		46,169
Ball Corp.
6.88%		03/15/28		91,000		93,566
Berry Global, Inc.
1.65%		01/15/27		5,000		4,542

See accompanying Notes to Financial Statements.

147 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Industrials (continued)
4.88%		07/15/263	$	50,000	$	49,037
5.50%		04/15/28		115,000		115,841
5.65%		01/15/343		20,000		19,914
Boeing Co. (The)
4.88%		05/01/25		10,000		9,891
5.81%		05/01/50		80,000		75,764
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.74%)
6.05%		08/15/361		325,000		301,863
OT Merger Corp.
7.88%		10/15/293		123,000		88,734
TransDigm, Inc.
6.75%		08/15/283		97,000		98,497
Trivium Packaging Finance BV
(Netherlands)
5.50%		08/15/262,3		30,000		29,606
						1,027,009
Information Technology — 0.67%
Gen Digital, Inc.
6.75%		09/30/273		65,000		66,029
NCR Voyix Corp.
5.13%		04/15/293		42,000		38,987
Netflix, Inc.
5.88%		02/15/25		50,000		50,203
Open Text Corp.
(Canada)
6.90%		12/01/272,3		178,000		183,767
Oracle Corp.
3.95%		03/25/51		68,000		51,922
6.50%		04/15/38		70,000		76,142
RingCentral, Inc.
8.50%		08/15/303		35,000		36,421
						503,471
Insurance — 0.91%
Acrisure LLC/Acrisure Finance, Inc.
6.00%		08/01/293		77,000		70,840
Alliant Holdings Intermediate LLC/Alliant Holdings
Co.-Issuer
6.75%		10/15/273		66,000		65,175
Aon Corp./Aon Global Holdings PLC
3.90%		02/28/52		55,000		42,338
Athene Global Funding
1.61%		06/29/263		30,000		27,540
1.99%		08/19/283		100,000		86,630
3.21%		03/08/273		25,000		23,375
(SOFR Index plus 0.70%)
6.06%		05/24/241,3		30,000		30,035
Farmers Exchange Capital II
6.15%		11/01/533,6		50,000		44,658
Farmers Insurance Exchange
4.75%		11/01/573,6		25,000		18,560
Metropolitan Life Global Funding I
4.30%		08/25/293		150,000		144,691

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Insurance (continued)
Nationwide Mutual Insurance Co.
7.88%		12/15/243,6	$	75,000	$	75,007
Teachers Insurance & Annuity Association of America
4.27%		05/15/473		65,000		54,032
						682,881
Materials — 0.80%
ASP Unifrax Holdings, Inc.
5.25%		09/30/283		30,000		19,394
ATI, Inc.
7.25%		08/15/30		35,000		36,323
Axalta Coating Systems, LLC
3.38%		02/15/293		76,000		68,147
Clearwater Paper Corp.
4.75%		08/15/283		112,000		104,276
International Flavors & Fragrances, Inc.
1.83%		10/15/273		110,000		97,633
2.30%		11/01/303		201,000		167,063
3.27%		11/15/403		5,000		3,563
3.47%		12/01/503		15,000		10,005
4.38%		06/01/47		20,000		15,507
5.00%		09/26/48		15,000		12,838
Valvoline, Inc.
3.63%		06/15/313		80,000		69,030
						603,779
Office REITs — 0.15%
Hudson Pacific Properties LP
3.25%		01/15/30		105,000		81,038
3.95%		11/01/27		10,000		8,868
4.65%		04/01/29		25,000		21,323
						111,229
Residential REITs — 0.32%
American Homes 4 Rent LP
3.38%		07/15/51		40,000		26,700
4.30%		04/15/52		50,000		39,460
Invitation Homes Operating Partnership LP
2.00%		08/15/31		170,000		135,298
5.50%		08/15/33		40,000		39,867
						241,325
Retail — 0.38%
Ferrellgas LP/Ferrellgas Finance Corp.
5.88%		04/01/293		80,000		76,324
Fertitta Entertainment, LLC/Fertitta Entertainment Finance
Co., Inc.
6.75%		01/15/303		26,000		23,465
FirstCash, Inc.
6.88%		03/01/323		40,000		40,045
LCM Investments Holdings II LLC
8.25%		08/01/313		35,000		36,575
Michaels Cos., Inc. (The)
7.88%		05/01/293		93,000		69,861

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 148

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Retail (continued)
Raising Cane’s Restaurants LLC
9.38%		05/01/293	$	35,000	$	37,887
						284,157
Services — 0.54%
Adtalem Global Education, Inc.
5.50%		03/01/283		76,000		72,856
HealthEquity, Inc.
4.50%		10/01/293		75,000		69,402
Hertz Corp. (The)
4.63%		12/01/263		3,000		2,732
5.00%		12/01/293		89,000		68,975
VT Topco, Inc.
8.50%		08/15/303		70,000		73,942
WASH Multifamily Acquisition, Inc.
5.75%		04/15/263		30,000		29,337
Waste Pro USA, Inc.
5.50%		02/15/263		17,000		16,757
Worldline SA
(France)
0.00%		07/30/252,10		300		35,857
0.00%		07/30/262,10		400		39,137
						408,995
Specialized REITs — 0.42%
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.63%		04/20/302		100,000		90,131
Extra Space Storage LP
2.35%		03/15/32		25,000		20,018
2.40%		10/15/31		50,000		41,157
2.55%		06/01/31		15,000		12,494
Greystar Real Estate Partners LLC
7.75%		09/01/303		35,000		36,400
Realty Income Corp.
4.88%		07/06/30		100,000		114,537
						314,737
Transportation — 0.28%
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32		80,369		74,280
United Airlines Pass-Through Trust,
Series 2023-1, Class A
5.80%		01/15/36		135,000		137,054
						211,334
Total Corporates
(Cost $18,767,479)						18,562,279
MORTGAGE-BACKED — 48.26%**
Non-Agency Commercial Mortgage-Backed — 4.15%
1211 Avenue of the Americas Trust,
Series 2015-1211, Class B
4.09%		08/10/353,6		150,000		143,146

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Banc of America Commercial Mortgage Trust,
Series 2015-UBS7, Class XE (IO)
1.25%		09/15/483,6	$	1,500,000	$	20,569
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2019-BPR, Class AMP
3.29%		11/05/323		100,000		96,914
BX Commercial Mortgage Trust,
Series 2021-VOLT, Class F
(CME Term SOFR 1-Month plus 2.51%)
7.84%		09/15/361,3		100,000		99,159
BXHPP Trust,
Series 2021-FILM, Class C
(CME Term SOFR 1-Month plus 1.21%)
6.54%		08/15/361,3		120,000		112,434
BXHPP Trust,
Series 2021-FILM, Class D
(CME Term SOFR 1-Month plus 1.61%)
6.94%		08/15/361,3		100,000		92,809
Citigroup Commercial Mortgage Trust,
Series 2014-GC25, Class XA (IO)
0.94%		10/10/476		3,843,862		10,000
Citigroup Commercial Mortgage Trust,
Series 2016-P4, Class XA (IO)
1.88%		07/10/496		1,932,397		59,272
Citigroup Commercial Mortgage Trust,
Series 2020-555, Class G
3.50%		12/10/413,6		200,000		139,299
COBALT CMBS Commercial Mortgage Trust,
Series 2007-C2, Class X (IO)
0.45%		04/15/473,6		1,007,857		4,510
Commercial Mortgage Trust,
Series 2013-CR12, Class XA (IO)
0.56%		10/10/466		178,210		12
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.60%		02/10/373,6		1,667,987		5,374
Credit Suisse Mortgage Capital Trust,
Series 2014-USA, Class X1 (IO)
0.54%		09/15/373,6		9,783,817		46,599
CSAIL Commercial Mortgage Trust,
Series 2015-C1, Class XA (IO)
0.80%		04/15/506		1,601,880		4,213
DROP Mortgage Trust,
Series 2021-FILE, Class D
(CME Term SOFR 1-Month plus 2.86%)
8.19%		10/15/431,3		150,000		116,616
FREMF Mortgage Trust,
Series 2017-K66, Class X2A (IO)
0.10%		06/25/273		42,283,457		100,402
FREMF Mortgage Trust,
Series 2017-K726, Class X2B (IO)
0.10%		07/25/493		25,000,000		320

See accompanying Notes to Financial Statements.

149 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Frost CMBS DAC,
Series 2021-1X, Class EUA
(Ireland)
(3-Month Euribor plus 1.15%)
5.08%		11/20/331,2	$	98,346	$	102,667
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%		02/10/373,6		940,000		1,822
GS Mortgage Securities Corp. Trust,
Series 2021-STAR, Class B
(CME Term SOFR 1-Month plus 1.51%)
6.84%		12/15/361,3		150,000		148,813
GS Mortgage Securities Trust,
Series 2014-GC24, Class XA (IO)
0.67%		09/10/476		2,362,591		1,483
GS Mortgage Securities Trust,
Series 2015-GC32, Class XA (IO)
0.68%		07/10/486		4,360,269		28,458
Impact Funding Affordable Multifamily Housing Mortgage
Loan Trust,
Series 2010-1, Class A1
5.31%		01/25/513		27,657		27,254
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C22, Class XA (IO)
0.77%		09/15/476		6,111,484		17,547
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C25, Class XA (IO)
0.79%		11/15/476		4,341,904		8,207
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class XA (IO)
0.91%		01/15/486		2,366,926		5,025
JPMDB Commercial Mortgage Securities Trust,
Series 2018-C8, Class XEF (IO)
1.76%		06/15/513,6		1,157,000		69,516
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2016-NINE, Class A
2.85%		09/06/383,6		225,000		210,634
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-ICON, Class C
4.54%		01/05/343		72,000		68,596
Ladder Capital Commercial Mortgage Trust,
Series 2013-GCP, Class XA (IO)
1.15%		02/15/363,6		1,382,176		49,603
Med Trust,
Series 2021-MDLN, Class G
(CME Term SOFR 1-Month plus 5.36%)
10.69%		11/15/381,3		99,522		99,624
MKT Mortgage Trust,
Series 2020-525M, Class D
2.94%		02/12/403,6		286,000		182,345
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2013-C9, Class XB (IO)
0.10%		05/15/463,6		8,987,355		5,378
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2014-C19, Class XA (IO)
0.95%		12/15/476		2,358,016		3,647

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%		01/15/433,6	$	180,000	$	97,378
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A1
3.87%		01/05/433,6		220,000		166,401
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class D
4.39%		01/05/433,6		200,000		94,602
SMRT,
Series 2022-MINI, Class E
(CME Term SOFR 1-Month plus 2.70%)
8.03%		01/15/391,3		100,000		97,117
SREIT Trust,
Series 2021-PALM, Class C
(CME Term SOFR 1-Month plus 1.07%)
6.40%		10/15/341,3		230,000		226,036
VASA Trust,
Series 2021-VASA, Class B
(CME Term SOFR 1-Month plus 1.36%)
6.69%		07/15/391,3		300,000		252,090
Wells Fargo Commercial Mortgage Trust,
Series 2015-NXS2, Class XA (IO)
0.58%		07/15/586		3,007,480		16,885
Wells Fargo Commercial Mortgage Trust,
Series 2016-NXS6, Class XA (IO)
1.59%		11/15/496		3,229,425		84,837
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.35%		06/15/466		77,678		155
WF-RBS Commercial Mortgage Trust,
Series 2014-C21, Class XA (IO)
0.97%		08/15/476		2,809,845		2,927
						3,120,695
Non-Agency Mortgage-Backed — 27.68%
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A2D
(CME Term SOFR 1-Month plus 0.87%)
6.20%		03/25/371		365,587		143,021
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-HE1, Class A1
(CME Term SOFR 1-Month plus 0.41%)
5.74%		01/25/371		570,457		306,664
Ajax Mortgage Loan Trust,
Series 2021-C, Class A (STEP-reset date 04/25/24)
2.12%		01/25/613		262,547		255,341
Alternative Loan Trust,
Series 2005-10CB, Class 1A8
5.50%		05/25/35		302,447		247,733
Alternative Loan Trust,
Series 2005-59, Class 1A1
(CME Term SOFR 1-Month plus 0.77%)
6.10%		11/20/351		314,129		285,772

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 150

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2007-15CB, Class A7
6.00%		07/25/37	$	462,322	$	279,966
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus
0.70%)
5.79%		02/25/471		702,308		272,896
APS Resecuritization Trust,
Series 2016-3, Class 3MZ
1.12%		09/27/463,6		391,281		209,978
Banc of America Funding Trust,
Series 2006-7, Class T2A3
5.69%		10/25/366		214,762		182,209
Banc of America Funding Trust,
Series 2014-R5, Class 1A2
(TSFR6M plus 1.93%)
3.99%		09/26/451,3		244,555		176,292
Banc of America Funding Trust,
Series 2015-R3, Class 1A2
1.29%		03/27/363,6		379,537		298,693
BRAVO Residential Funding Trust,
Series 2021-A, Class A1 (STEP-reset date 04/25/24)
4.99%		10/25/593		261,430		257,981
Carrington Mortgage Loan Trust,
Series 2006-NC4, Class A4
(CME Term SOFR 1-Month plus 0.35%)
5.68%		10/25/361		175,000		156,778
Carrington Mortgage Loan Trust,
Series 2007-RFC1, Class A3
(CME Term SOFR 1-Month plus 0.25%)
5.58%		12/25/361		94,051		90,941
CIM Trust,
Series 2020-R6, Class A1
2.25%		12/25/603,6		302,985		259,345
CIM Trust,
Series 2021-NR1, Class A1 (STEP-reset date 05/25/24)
5.57%		07/25/553		150,170		148,759
CIM Trust,
Series 2021-NR2, Class A1 (STEP-reset date 05/25/24)
5.57%		07/25/593		89,335		88,511
CIM Trust,
Series 2021-R1, Class A2
2.40%		08/25/563,6		338,628		297,197
CIM Trust,
Series 2021-R3, Class A1A
1.95%		06/25/573,6		59,273		52,409
CIM Trust,
Series 2021-R5, Class A1B
2.00%		08/25/613,6		115,000		75,002
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/24)
5.00%		07/25/623		83,015		80,813
CIM Trust,
Series 2023-NR1, Class A1 (STEP-reset date 05/25/24)
6.00%		06/25/623		260,094		256,521

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2023-NR2, Class A1 (STEP-reset date 05/25/24)
6.00%		06/25/623	$	294,387	$	289,336
CIM Trust,
Series 2023-R3, Class A1A
4.50%		01/25/633,6		234,085		216,317
CIT Mortgage Loan Trust,
Series 2007-1, Class 1M2
(CME Term SOFR 1-Month plus 1.86%)
7.19%		10/25/371,3		240,000		221,305
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-WF2, Class AF6A (STEP-reset date 05/25/24)
6.13%		08/25/35		308,335		276,227
COLT Mortgage Loan Trust,
Series 2021-2, Class A1
0.92%		08/25/663,6		99,505		80,563
COLT Mortgage Loan Trust,
Series 2021-HX1, Class A1
1.11%		10/25/663,6		315,117		260,436
Conseco Finance Corp.,
Series 1999-5, Class A5
7.86%		03/01/306		70,482		23,478
Credit Suisse Mortgage Capital Trust,
Series 2015-12R, Class 2A2
3.29%		11/30/373,6		88,660		78,639
Credit Suisse Mortgage Capital Trust,
Series 2021-RPL4, Class A1
1.80%		12/27/603,6		202,397		195,588
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/24)
3.57%		02/25/37		218,854		131,513
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/24)
3.32%		03/25/37		799,953		290,972
CSMC Mortgage-Backed Trust,
Series 2007-5, Class 1A9
6.59%		08/25/376		427,156		246,714
CSMC Trust,
Series 2021-RPL7, Class A1
1.93%		07/27/613,6		331,430		318,462
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-AR3, Class 2A5
(CME Term SOFR 1-Month plus 0.51%)
5.84%		06/25/371		289,019		248,821
Ellington Financial Mortgage Trust,
Series 2021-3, Class A1
1.24%		09/25/663,6		81,559		65,286
Fannie Mae Connecticut Avenue Securities,
Series 2019-R04, Class 2B1
(SOFR30A plus 5.36%)
10.68%		06/25/391,3		166,981		177,258

See accompanying Notes to Financial Statements.

151 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Fannie Mae Connecticut Avenue Securities,
Series 2019-R06, Class 2B1
(SOFR30A plus 3.86%)
9.18%		09/25/391,3	$	66,184	$	68,883
Fannie Mae Connecticut Avenue Securities,
Series 2021-R03, Class 1B1
(SOFR30A plus 2.75%)
8.07%		12/25/411,3		150,000		153,946
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(CME Term SOFR 1-Month plus 0.33%)
5.66%		12/25/371		265,715		236,814
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(CME Term SOFR 1-Month plus 0.55%)
5.88%		01/25/381		716,766		375,261
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(CME Term SOFR 1-Month plus 0.31%)
5.64%		03/25/371		515,226		251,706
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
7.37%		12/25/331,3		119,303		120,972
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M1B
(SOFR30A plus 1.85%)
7.17%		01/25/421,3		150,000		151,057
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M2
(SOFR30A plus 2.50%)
7.82%		01/25/421,3		200,000		204,188
Fremont Home Loan Trust,
Series 2005-A, Class M4
(CME Term SOFR 1-Month plus 1.13%)
6.46%		01/25/351		286,455		246,967
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.64%		04/19/366		178,566		139,790
GreenPoint Mortgage Funding Trust,
Series 2005-AR1, Class A2
(CME Term SOFR 1-Month plus 0.55%)
5.88%		06/25/451		58,702		52,784
GSAA Home Equity Trust,
Series 2006-1, Class A3
(CME Term SOFR 1-Month plus 0.77%)
6.10%		01/25/361		677,563		286,359
GSAA Home Equity Trust,
Series 2006-10, Class AF3
5.98%		06/25/366		573,054		141,311
GSAA Home Equity Trust,
Series 2006-6, Class AF3
5.73%		03/25/366		526,829		150,719

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSAA Home Equity Trust,
Series 2007-4, Class A2
(CME Term SOFR 1-Month plus 0.51%)
5.84%		03/25/371	$	1,016,661	$	277,822
GSAA Home Equity Trust,
Series 2007-5, Class 1AF6 (STEP-reset date 05/25/24)
5.91%		05/25/37		679,830		234,877
GSAA Home Equity Trust,
Series 2007-5, Class 2A1B
(CME Term SOFR 1-Month plus 0.39%)
5.72%		04/25/471		1,739,354		329,360
GSAA Trust,
Series 2006-7, Class AF3 (STEP-reset date 05/25/24)
6.72%		03/25/46		680,154		258,670
GSAMP Trust,
Series 2007-NC1, Class A2C
(CME Term SOFR 1-Month plus 0.26%)
5.59%		12/25/461		246,790		120,790
HarborView Mortgage Loan Trust,
Series 2005-3, Class 1A
(CME Term SOFR 1-Month plus 0.63%)
5.96%		06/19/351		294,578		163,989
HarborView Mortgage Loan Trust,
Series 2006-4, Class 1A1A
(CME Term SOFR 1-Month plus 0.47%)
5.80%		05/19/461		590,208		312,050
HarborView Mortgage Loan Trust,
Series 2006-5, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.91%)
6.00%		07/19/471		309,395		116,991
HSI Asset Loan Obligation Trust,
Series 2007-2, Class 2A12
6.00%		09/25/37		211,567		160,181
HSI Asset Securitization Corp. Trust,
Series 2007-OPT1, Class 1A
(CME Term SOFR 1-Month plus 0.25%)
5.58%		12/25/361		195,097		164,418
Impac CMB Trust,
Series 2004-4, Class 1A2
(CME Term SOFR 1-Month plus 0.73%)
6.06%		09/25/341		33,223		33,181
Impac CMB Trust,
Series 2004-6, Class 1A2
(CME Term SOFR 1-Month plus 0.89%)
6.22%		10/25/341		59,188		58,600
IndyMac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1
3.68%		12/25/356		206,819		167,945
IndyMac Index Mortgage Loan Trust,
Series 2007-AR5, Class 2A1
3.37%		05/25/376		196,622		152,837
IndyMac Manufactured Housing Contract Pass-Through Certificates,
Series 1997-1, Class A3
6.61%		02/25/28		21,906		21,712

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 152

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

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 A4
6.75%		02/25/28	$	9,222	$	9,142
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A4
6.49%		09/25/28		20,799		20,772
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A5
6.96%		09/25/286		50,132		49,843
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6 (STEP-reset date 05/25/24)
4.29%		03/25/47		586,944		379,310
Long Beach Mortgage Loan Trust,
Series 2006-9, Class 2A3
(CME Term SOFR 1-Month plus 0.43%)
5.76%		10/25/361		388,813		120,508
Luminent Mortgage Trust,
Series 2006-5, Class A1A
(CME Term SOFR 1-Month plus 0.49%)
5.82%		07/25/361		255,860		163,280
MASTR Adjustable Rate Mortgages Trust,
Series 2007-1, Class I1A
(CME Term SOFR 1-Month plus 0.50%)
5.83%		01/25/471		431,220		181,501
MASTR Adjustable Rate Mortgages Trust,
Series 2007-2, Class A1
(CME Term SOFR 1-Month plus 0.41%)
5.74%		03/25/471		217,717		199,481
MASTR Alternative Loan Trust,
Series 2006-2, Class 2A1
(CME Term SOFR 1-Month plus 0.51%)
5.84%		03/25/361,4,5		2,399,670		256,801
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(CME Term SOFR 1-Month plus 0.32%)
5.65%		05/25/371		119,155		113,690
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(CME Term SOFR 1-Month plus 0.39%)
5.72%		05/25/371		300,000		236,380
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(CME Term SOFR 1-Month plus 0.77%)
6.10%		04/25/371,4,5		1,696,107		78,853
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2B
(CME Term SOFR 1-Month plus 0.45%)
5.78%		05/25/371		352,298		247,456
Merrill Lynch Mortgage Investors Trust,
Series 2006-RM2, Class A1A
(CME Term SOFR 1-Month plus 0.48%)
5.81%		05/25/371		434,656		117,910

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%		01/15/40	$	49,153	$	48,383
Mid-State Trust XI,
Series 11, Class B
8.22%		07/15/38		2,993		3,002
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A3
(CME Term SOFR 1-Month plus 0.41%)
5.74%		06/25/361		597,912		313,860
Morgan Stanley Home Equity Loan Trust,
Series 2007-1, Class A3
(CME Term SOFR 1-Month plus 0.25%)
5.58%		12/25/361		594,898		290,924
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
5.39%		09/25/346		72,776		70,194
Morgan Stanley Mortgage Loan Trust,
Series 2006-15XS, Class A4A (STEP-reset date 05/25/24)
6.70%		11/25/36		418,862		95,776
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%		06/25/366		887,797		251,333
Morgan Stanley Mortgage Loan Trust,
Series 2007-11AR, Class 2A3
2.86%		06/25/376		295,876		157,135
New Residential Mortgage Loan Trust,
Series 2022-NQM2, Class A2
3.70%		03/27/623,6		250,000		193,224
Nomura Resecuritization Trust,
Series 2015-4R, Class 2A2
(CME Term SOFR 1-Month plus 0.42%)
3.44%		10/26/361,3		326,746		283,451
OBX Trust,
Series 2022-NQM1, Class A1
2.31%		11/25/613,6		233,714		201,037
Option One Mortgage Loan Trust,
Series 2006-3, Class 1A1
(CME Term SOFR 1-Month plus 0.25%)
5.58%		02/25/371		179,388		111,869
PRET LLC,
Series 2022-RN2, Class A2 (STEP-reset date 04/25/24)
6.50%		06/25/523		197,000		186,713
PRPM LLC,
Series 2020-4, Class A1 (STEP-reset date 04/25/24)
5.61%		10/25/253		64,351		64,270
PRPM LLC,
Series 2021-4, Class A1 (STEP-reset date 04/25/24)
1.87%		04/25/263		171,429		167,579
PRPM LLC,
Series 2021-5, Class A1 (STEP-reset date 04/25/24)
1.79%		06/25/263		82,850		81,182
PRPM LLC,
Series 2021-9, Class A1 (STEP-reset date 04/25/24)
2.36%		10/25/263		112,287		109,686

See accompanying Notes to Financial Statements.

153 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
PRPM LLC,
Series 2022-1, Class A1 (STEP-reset date 04/25/24)
3.72%		02/25/273	$	169,314	$	164,898
PRPM LLC,
Series 2022-4, Class A2 (STEP-reset date 04/25/24)
5.00%		08/25/273		170,000		162,455
PRPM, LLC,
Series 2021-8, Class A1
1.74%		09/25/263,6		69,005		66,509
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1
3.63%		03/25/356		110,453		58,830
Residential Accredit Loans Trust,
Series 2006-QS5, Class A6
6.00%		05/25/36		250,427		206,018
Residential Accredit Loans Trust,
Series 2007-QS1, Class 1A5
(CME Term SOFR 1-Month plus 0.66%)
5.99%		01/25/371		295,734		210,142
Residential Asset Securities Corp.,
Series 2005-KS11, Class M3
(CME Term SOFR 1-Month plus 0.77%)
6.10%		12/25/351		164,736		160,144
Residential Asset Securitization Trust,
Series 2005-A5, Class A8
5.50%		05/25/35		362,680		261,055
SG Mortgage Securities Trust,
Series 2006-OPT2, Class A3D
(CME Term SOFR 1-Month plus 0.32%)
5.65%		10/25/361		250,000		187,222
Starwood Mortgage Residential Trust,
Series 2021-6, Class A1
1.92%		11/25/663,6		193,847		162,806
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
5.59%		09/25/346		69,685		67,061
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A1B
(CME Term SOFR 1-Month plus 0.28%)
5.61%		02/25/361		298,111		258,671
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1A
(CME Term SOFR 1-Month plus 0.53%)
5.86%		08/25/361		362,772		286,825
Terwin Mortgage Trust,
Series 2004-7HE, Class A1
(CME Term SOFR 1-Month plus 1.21%)
6.54%		07/25/341,3		51,421		48,628
Towd Point Mortgage Trust,
Series 2017-4, Class A2
3.00%		06/25/573,6		350,000		318,577
Towd Point Mortgage Trust,
Series 2019-HY2, Class M2
(CME Term SOFR 1-Month plus 2.01%)
7.34%		05/25/581,3		210,000		221,170

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
TRK Trust,
Series 2021-INV2, Class A1
1.97%		11/25/563,6	$	241,190	$	197,939
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/24)
5.24%		02/27/513		63,655		62,334
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(CME Term SOFR 1-Month plus 0.34%)
5.67%		01/25/371		518,377		224,367
						20,828,113
U.S. Agency Commercial Mortgage-Backed — 0.46%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
3.05%		07/25/396		244,933		3,593
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
0.89%		07/25/336		535,000		39,888
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K040, Class X3 (IO)
2.03%		11/25/426		1,100,000		9,576
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K047, Class X3 (IO)
1.49%		06/25/436		1,676,868		25,891
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC04, Class X1 (IO)
1.25%		12/25/266		2,219,980		34,033
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.23%		06/25/276		1,822,805		37,557
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series Q010, Class XPT2 (IO)
0.36%		08/25/24		595,429		662
Ginnie Mae,
Series 2009-114, Class IO (IO)
0.00%		10/16/496		4,074,773		62
Ginnie Mae,
Series 2010-148, Class IO (IO)
0.30%		09/16/506		1,347,599		13,623
Ginnie Mae,
Series 2012-123, Class IO (IO)
0.62%		12/16/516		1,996,064		23,789
Ginnie Mae,
Series 2012-125, Class IO (IO)
0.17%		02/16/536		6,329,207		28,159
Ginnie Mae,
Series 2012-27, Class IO (IO)
0.23%		04/16/536		2,609,829		5,589

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 154

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2013-156, Class IO (IO)
0.24%		06/16/556	$	3,462,969	$	15,526
Ginnie Mae,
Series 2013-163, Class IO (IO)
1.01%		02/16/466		1,139,989		13,385
Ginnie Mae,
Series 2013-63, Class IO (IO)
0.78%		09/16/516		3,529,334		68,054
Ginnie Mae,
Series 2013-74, Class IO (IO)
0.51%		12/16/536		620,113		4,694
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.19%		05/16/556		844,754		5,303
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.90%		11/16/546		497,098		10,489
Ginnie Mae,
Series 2015-47, Class IO (IO)
0.37%		10/16/566		520,045		6,628
						346,501
U.S. Agency Mortgage-Backed — 15.97%
Fannie Mae REMICS,
Series 2000-45, Class SA (IO)
(-1.00 X SOFR30A plus 7.84%, 7.95% Cap)
2.52%		12/18/301		10,745		436
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X SOFR30A plus 126.17%, 8.50% Cap)
8.50%		09/25/311		182		180
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X SOFR30A plus 99.20%, 9.80% Cap)
9.80%		01/25/341		2,049		2,053
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X SOFR30A plus 5.99%, 6.10% Cap)
0.67%		10/25/251		24,887		67
Fannie Mae REMICS,
Series 2006-125, Class SM (IO)
(-1.00 X SOFR30A plus 7.09%, 7.20% Cap)
1.77%		01/25/371		393,688		35,102
Fannie Mae REMICS,
Series 2008-50, Class SA (IO)
(-1.00 X SOFR30A plus 5.94%, 6.05% Cap)
0.62%		11/25/361		444,117		30,547
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X SOFR30A plus 6.31%, 6.42% Cap)
0.99%		05/25/401		442,754		41,071
Freddie Mac Pool SD8245
4.50%		09/01/52		593,847		565,711
Freddie Mac Pool SD8275
4.50%		12/01/52		933,832		889,858

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3247, Class SI (IO)
(-1.00 X SOFR30A plus 6.54%, 0.15% Cap)
0.15%		08/15/361	$	5,760,065	$	24,932
Freddie Mac REMICS,
Series 3289, Class SD (IO)
(-1.00 X SOFR30A plus 6.01%, 6.12% Cap)
0.69%		03/15/371		455,309		26,348
Ginnie Mae (TBA)
4.50%		04/20/54		1,050,000		1,009,177
5.00%		04/20/54		850,000		835,529
5.50%		04/20/54		375,000		374,736
Ginnie Mae,
Series 2013-25, Class SA (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.09%, 6.20% Cap)
0.76%		02/20/431		1,156,109		117,022
UMBS (TBA)
2.00%		04/01/54		1,425,000		1,128,720
2.50%		04/01/54		800,000		661,889
3.00%		04/01/54		1,000,000		861,031
4.00%		04/01/54		2,900,000		2,686,351
4.50%		04/01/54		1,575,000		1,500,249
5.00%		04/01/54		825,000		805,051
5.50%		04/01/54		425,000		422,934
						12,018,994
Total Mortgage-Backed
(Cost $42,663,338)						36,314,303
MUNICIPAL BONDS — 0.13%*
California — 0.03%
California Health Facilities Financing Authority Revenue Bonds, Series A
3.00%		08/15/51		20,000		15,998
California State University Revenue Bonds, University & College Improvements, Series B
2.37%		11/01/35		10,000		7,960
						23,958
Florida — 0.02%
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series B
2.86%		10/01/35		15,000		12,241
New York — 0.08%
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries B3
1.85%		08/01/32		75,000		60,144
Total Municipal Bonds
(Cost $114,754)						96,343

See accompanying Notes to Financial Statements.

155 / Annual Report March 2024

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
U.S. TREASURY SECURITIES — 3.23%
U.S. Treasury Notes — 3.23%
U.S. Treasury Notes
4.25%		03/15/27	$	2,440,000	$	2,429,230
Total U.S. Treasury Securities
(Cost $2,438,444)
Total Bonds — 91.19%
(Cost $75,386,351)						68,616,648
Issues			Shares		Value
COMMON STOCK — 0.10%
Communications — 0.04%
Intelsat Emergence SA2,4,5,8
(Luxembourg)				1,042		28,004
Finance — 0.06%
AGNC Investment Corp.				4,500		44,550
Total Common Stock
(Cost $90,045)						72,554
Issues		Maturity  Date	Principal  Amount/Shares		Value
SHORT-TERM INVESTMENTS — 24.39%
Money Market Funds — 5.20%
Dreyfus Government Cash Management Fund
5.20%11				439,000		439,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%11				24,346		24,346
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%11				3,451,000		3,451,000
						3,914,346
U.S. Treasury Bills — 19.19%
U.S. Treasury Bills
5.49%12		04/11/24		10,000,000		9,985,461
U.S. Treasury Bills (WI)
5.38%12		04/25/24		1,000,000		996,499
5.29%12		07/09/24		3,000,000		2,955,914
5.46%12		04/04/24		500,000		499,563
						14,437,437
Total Short-Term Investments
(Cost $18,352,899)						18,351,783
Total Investments - 115.68%
(Cost $93,829,295)						87,040,985
Liabilities in Excess of Other Assets - (15.68)%						(11,798,994	)
Net Assets - 100.00%					$	75,241,991

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Foreign denominated security issued by foreign domiciled entity.

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

⁴  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 $461,752, which is 0.61% 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  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, 2024.

¹¹  Represents the current yield as of March 31, 2024.

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.

(CDO): Collateralized Debt Obligation

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GMTN): Global Medium-Term Note

(IO): Interest Only

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(TSFR): Term Secured overnight financing rate

(WI): When Issued

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 156

Strategic Income Fund

Schedule of Portfolio Investments

March 31, 2024

Currency to be Purchased	Currency to be Sold		Counterparty				Settlement   Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 895,929		EUR 814,000		Citibank N.A.				04/12/24	$	16,298
USD 187,151		EUR 172,000		Bank of America N.A.				04/12/24		1,284
USD 87,105		EUR 79,000		Citibank N.A.				04/12/24		1,735
										19,317
EUR 75,000		USD 81,616		Bank of America N.A.				04/12/24		(569)
EUR 177,000		USD 191,609		Citibank N.A.				04/12/24		(338)
										(907)
NET UNREALIZED APPRECIATION									$	18,410
Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		133		06/28/24	$	14,233,079	$	19,105	$	19,105
U.S. Treasury Two-Year Note		58		06/28/24		11,860,094		(9,122)		(9,122)
						26,093,173		9,983		9,983
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		20		06/18/24		(2,292,188)		(14,484)		(14,484)
U.S. Treasury Ultra Bond		14		06/18/24		(1,806,000)		(17,844)		(17,844)
Euro-Bund Future		4		06/06/24		(576,202)		(3,180)		(3,180)
Euro-Bobl Future		2		06/06/24		(255,420)		(1,147)		(1,147)
						(4,929,810)		(36,655)		(36,655)
TOTAL FUTURES CONTRACTS					$	21,163,363	$	(26,672)	$	(26,672)

		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	12/20/53		USD-SOFR- COMPOUND		Annual		3.52%		Annual	$	157	$	1,830	$	—	$	1,830
TOTAL SWAPS CONTRACTS										$	157	$	1,830	$	—	$	1,830

¹  Centrally cleared.

See accompanying Notes to Financial Statements.

157 / Annual Report March 2024

Sustainable Securitized Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 111.17%
ASSET-BACKED SECURITIES — 15.57%**
Aligned Data Centers Issuer LLC,
Series 2021-1A, Class A2
1.94%		08/15/461	$	150,000	$	136,522
Cedar Funding VIII CLO Ltd.,
Series 2017-8A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/17/341,2,3		50,000		49,879
CIFC Funding Ltd.,
Series 2018-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.96%		04/18/311,2,3		50,000		49,972
CIFC Funding Ltd.,
Series 2022-1A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.32%)
6.64%		04/17/351,2,3		50,000		50,024
GoodLeap Sustainable Home Solutions Trust,
Series 2022-1GS, Class A
2.70%		01/20/491		75,904		62,985
GoodLeap Sustainable Home Solutions Trust,
Series 2023-1GS, Class A
5.52%		02/22/551		90,023		87,249
GoodLeap Sustainable Home Solutions Trust,
Series 2023-2GS, Class A
5.70%		05/20/551		47,511		47,084
Loanpal Solar Loan Ltd.,
Series 2021-1GS, Class A
2.29%		01/20/481		146,813		117,365
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class AR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.26%)
6.58%		07/21/301,2,3		51,578		51,623
Madison Park Funding XXV Ltd.,
Series 2017-25A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.23%)
6.56%		04/25/291,2,3		50,534		50,557
Madison Park Funding XXVII Ltd.,
Series 2018-27A, Class A2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.61%)
6.93%		04/20/301,2,3		50,000		49,895
Magnetite Xxix Ltd.,
Series 2021-29A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.25%)
6.57%		01/15/341,2,3		50,000		50,027
OCP CLO Ltd.,
Series 2017-13A, Class A2R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.81%)
7.13%		07/15/301,2,3		50,000		50,025

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
OSD CLO Ltd.,
Series 2021-23A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.13%)
6.45%		04/17/311,2,3	$	41,007	$	41,009
SLM Student Loan Trust,
Series 2012-2, Class A
(SOFR30A plus 0.81%)
6.13%		01/25/292		34,220		33,387
Sofi Professional Loan Program Trust,
Series 2021-B, Class AFX
1.14%		02/15/471		37,259		31,721
Sunnova Helios VII Issuer LLC,
Series 2021-C, Class A
2.03%		10/20/481		169,696		148,677
Symphony CLO XIX Ltd.,
Series 2018-19A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.61%)
6.93%		04/16/311,2,3		50,000		49,957
Voya CLO Ltd.,
Series 2014-4A, Class A2RA
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		07/14/311,2,3		50,000		50,026
Total Asset-Backed Securities
(Cost $1,251,788)						1,207,984
MORTGAGE-BACKED — 73.65%**
Non-Agency Commercial Mortgage-Backed — 13.28%
BXHPP Trust,
Series 2021-FILM, Class C
(CME Term SOFR 1-Month plus 1.21%)
6.54%		08/15/361,2		30,000		28,108
Commercial Mortgage Trust,
Series 2017-PANW, Class E
3.81%		10/10/291,4		130,000		113,535
DBUBS Mortgage Trust,
Series 2017-BRBK, Class F
3.53%		10/10/341,4		150,000		116,928
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
2.94%		12/10/411,4		100,000		73,441
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2019-ICON, Class XB (IO)
0.62%		01/05/341,4		29,539,000		19,370
KREST Commercial Mortgage Securities Trust,
Series 2021-CHIP, Class C
2.93%		11/05/441,4		125,000		82,847
Life Mortgage Trust,
Series 2021-BMR, Class C
(CME Term SOFR 1-Month plus 1.21%)
6.54%		03/15/381,2		98,297		96,878
MFT Mortgage Trust,
Series 2020-B6, Class B
3.28%		08/10/401,4		150,000		93,185

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 158

Sustainable Securitized Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
NYC Commercial Mortgage Trust,
Series 2021-909, Class A
2.94%		04/10/431	$	100,000	$	76,377
One New York Plaza Trust,
Series 2020-1NYP, Class AJ
(CME Term SOFR 1-Month plus 1.36%)
6.69%		01/15/361,2		150,000		142,921
VASA Trust,
Series 2021-VASA, Class B
(CME Term SOFR 1-Month plus 1.36%)
6.69%		07/15/391,2		145,000		121,844
VASA Trust,
Series 2021-VASA, Class D
(CME Term SOFR 1-Month plus 2.21%)
7.54%		07/15/391,2		100,000		65,153
						1,030,587
Non-Agency Mortgage-Backed — 6.63%
BINOM Securitization Trust,
Series 2022-RPL1, Class M1
3.00%		02/25/611,4		50,000		39,332
Cascade MH Asset Trust,
Series 2021-MH1, Class A1
1.75%		02/25/461		65,705		56,819
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 05/25/24)
4.25%		08/25/541		92,110		83,787
Credit Suisse Mortgage Capital Trust,
Series 2021-RPL3, Class M3
3.96%		01/25/601,4		90,000		72,990
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2B
(CME Term SOFR 1-Month plus 0.45%)
5.78%		05/25/372		22,144		15,554
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(CME Term SOFR 1-Month plus 0.61%)
5.94%		06/25/372		51,034		49,251
Soundview Home Loan Trust,
Series 2007-OPT2, Class 2A4
(CME Term SOFR 1-Month plus 0.36%)
5.69%		07/25/372		144,325		109,862
Towd Point Mortgage Trust,
Series 2019-2, Class M1
3.75%		12/25/581,4		100,000		87,091
						514,686
U.S. Agency Commercial Mortgage-Backed — 3.25%
Freddie Mac Multifamily ML Certificates,
Series 2021-ML12, Class XUS (IO)
1.22%		07/25/414		1,075,034		100,507
Ginnie Mae,
Series 2021-17, Class IO (IO)
1.05%		01/16/614		711,211		53,109

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2021-36, Class IO (IO)
1.29%		03/16/634	$	615,518	$	50,217
Ginnie Mae,
Series 2023-127, Class IO (IO)
0.42%		07/16/574		2,847,771		48,186
						252,019
U.S. Agency Mortgage-Backed — 50.49%
Fannie Mae Pool AL9266
3.00%		10/01/46		116,763		103,127
Fannie Mae Pool BQ1226
2.00%		09/01/50		124,902		99,722
Fannie Mae Pool BV9977
3.50%		06/01/52		91,738		82,178
Fannie Mae Pool BW0000
4.00%		07/01/52		90,753		84,188
Fannie Mae Pool CB2074
2.50%		11/01/51		150,585		125,555
Fannie Mae Pool CB4211
4.50%		07/01/52		117,293		111,901
Fannie Mae Pool FM5254
2.00%		12/01/50		149,244		118,728
Fannie Mae Pool FM6400
2.00%		03/01/51		97,693		78,404
Fannie Mae Pool FS1334
2.00%		11/01/51		153,087		121,737
Fannie Mae Pool FS1598
2.00%		04/01/52		113,806		90,126
Fannie Mae Pool MA4398
2.00%		08/01/51		159,426		126,691
Fannie Mae REMICS,
Series 2019-25, Class PA
3.00%		05/25/48		188,612		170,492
Freddie Mac Gold Pool G67708
3.50%		03/01/48		36,377		33,291
Freddie Mac Pool QA7550
3.00%		03/01/50		62,743		54,879
Freddie Mac Pool QA8518
3.00%		04/01/50		75,423		65,969
Freddie Mac Pool QC8921
2.50%		10/01/51		135,576		113,211
Freddie Mac Pool QD1841
2.00%		11/01/51		130,474		103,494
Freddie Mac Pool RA4201
2.00%		12/01/50		90,824		72,253
Freddie Mac Pool RA5552
3.00%		07/01/51		217,376		188,499
Freddie Mac Pool RA5855
2.50%		09/01/51		188,157		156,286
Freddie Mac Pool RA6071
2.00%		10/01/51		135,593		108,038
Freddie Mac Pool RA6528
2.50%		02/01/52		22,029		18,254
Freddie Mac Pool RA7091
2.50%		03/01/52		134,995		111,720

See accompanying Notes to Financial Statements.

159 / Annual Report March 2024

Sustainable Securitized Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool RA7543
4.00%		06/01/52	$	112,524	$	104,294
Freddie Mac Pool SD7511
3.50%		01/01/50		32,708		29,793
Freddie Mac Pool SD7549
2.00%		01/01/52		134,895		108,619
Freddie Mac Pool SD8222
4.00%		06/01/52		89,925		83,288
Freddie Mac REMICS,
Series 3067, Class FA
(SOFR30A plus 0.46%)
5.78%		11/15/352		52,045		51,435
Freddie Mac REMICS,
Series 3071, Class TF
(SOFR30A plus 0.41%)
5.73%		04/15/352		6,224		6,217
Freddie Mac REMICS,
Series 4139, Class DA
1.25%		12/15/27		16,157		15,205
Ginnie Mae (TBA)
2.50%		04/20/54		150,000		127,852
4.50%		04/20/54		200,000		192,224
5.00%		04/20/54		100,000		98,298
5.50%		04/20/54		25,000		24,982
Ginnie Mae,
Series 2023-113, Class FD
(SOFR30A plus 1.35%)
6.50%		08/20/532		71,915		72,066
Ginnie Mae,
Series 2023-116, Class FL
(SOFR30A plus 1.15%)
6.47%		08/20/532		24,308		24,425
UMBS (TBA)
3.00%		04/01/54		75,000		64,577
4.00%		04/01/54		175,000		162,108
4.50%		04/01/54		175,000		166,694
5.00%		04/01/54		125,000		121,978
5.50%		04/01/54		125,000		124,392
						3,917,190
Total Mortgage-Backed
(Cost $6,066,613)						5,714,482
U.S. TREASURY SECURITIES — 21.95%
U.S. Treasury Bonds — 2.00%
U.S. Treasury Bonds (WI)
4.25%		02/15/54		158,000		155,457
U.S. Treasury Notes — 19.95%
U.S. Treasury Notes
4.25%		03/15/27		94,000		93,585
4.50%		03/31/26		256,000		255,420

Issues		Maturity  Date	Principal  Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
U.S. Treasury Notes (WI)
4.00%		02/15/34	$	387,000	$	380,741
4.25%		02/28/29		349,000		349,600
4.25%		03/31/29		470,000		468,132
						1,547,478
Total U.S. Treasury Securities
(Cost $1,701,110)						1,702,935
Total Bonds — 111.17%
(Cost $9,019,511)						8,625,401
Issues		Maturity  Date	Principal  Amount/Shares		Value
SHORT-TERM INVESTMENTS — 12.28%
Money Market Funds — 12.28%
Dreyfus Government Cash Management Fund
5.20%5				241,000		241,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%5				507,061		507,061
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%5				205,000		205,000
Total Short-Term Investments
(Cost $953,061)						953,061
Total Investments - 123.45%
(Cost $9,972,572)						9,578,462
Liabilities in Excess of Other Assets - (23.45)%						(1,819,258	)
Net Assets - 100.00%					$	7,759,204

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, 2024.

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  Represents the current yield as of March 31, 2024.

** 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 2024 / 160

Sustainable Securitized Fund

Schedule of Portfolio Investments

March 31, 2024

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

(CLO): Collateralized Loan Obligation

(IO): Interest Only

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(WI): When Issued

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation  (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		9		06/28/24	$	1,840,359	$	(1,361)	$	(1,361)
U.S. Treasury Ten-Year Ultra Bond		6		06/18/24		687,656		3,974		3,974
U.S. Treasury Ultra Bond		1		06/18/24		129,000		2,482		2,482
						2,657,015		5,095		5,095
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note		1		06/28/24		(107,015)		(287)		(287)
TOTAL FUTURES CONTRACTS					$	2,550,000	$	4,808	$	4,808

See accompanying Notes to Financial Statements.

161 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BONDS – 112.48%
ASSET-BACKED SECURITIES — 5.07%**
Academic Loan Funding Trust,
Series 2012-1A, Class A2
(SOFR30A plus 1.21%)
6.53%		12/27/441,2	$	11,675,943	$	11,536,655
AGL CLO 1 Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/20/341,2,3		24,800,000		24,812,698
AGL CLO 17 Ltd.,
Series 2022-17A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.33%)
6.65%		01/21/351,2,3		30,520,000		30,533,734
Aimco CLO 11 Ltd.,
Series 2020-11A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.71%		10/17/341,2,3		6,805,000		6,803,734
Allegro CLO XIII Ltd.,
Series 2021-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		07/20/341,2,3		15,610,000		15,625,126
AMMC CLO 15 Ltd.,
Series 2014-15A, Class AR3
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.38%)
6.70%		01/15/321,2,3		27,712,848		27,761,346
AMMC CLO 22 Ltd.,
Series 2018-22A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.71%)
7.04%		04/25/311,2,3		19,750,000		19,748,815
AMMC CLO 26 Ltd.,
Series 2023-26A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.95%)
7.26%		04/15/361,2,3		8,250,000		8,295,457
AMMC CLO 30 Ltd.,
Series 2024-30A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.68%)
6.97%		01/15/371,2,3		24,070,000		24,177,111
AMSR Trust,
Series 2021-SFR1, Class G
4.61%		06/17/382		15,250,000		13,138,137
Apidos CLO XV,
Series 2013-15A, Class BRR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.81%)
7.13%		04/20/311,2,3		10,000,000		10,009,650

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Apidos CLO XVIII,
Series 2018-18A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/22/301,2,3	$	11,200,000	$	11,216,352
Apidos CLO Xxv,
Series 2016-25A, Class A1R2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.15%)
6.46%		10/20/311,2,3		50,000,000		50,046,300
Barings CLO Ltd.,
Series 2018-3A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.21%)
6.53%		07/20/291,2,3		7,847,913		7,853,956
Barings CLO Ltd.,
Series 2020-4A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.48%)
6.80%		01/20/321,2,3		19,110,000		19,124,390
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(CME Term SOFR 1-Month plus 0.56%)
5.89%		04/25/351,2		1,173,977		1,121,577
BCRED MML CLO, LLC,
Series 2022-1A, Class A1
(CME Term SOFR 3-Month plus 1.65%)
6.97%		04/20/351,2		48,400,000		48,199,237
BlueMountain CLO XXXII Ltd.,
Series 2021-32A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		10/15/341,2,3		15,000,000		15,009,000
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.24%)
6.56%		07/20/291,2,3		10,548,530		10,554,817
Brazos Education Loan Authority, Inc.,
Series 2012-1, Class A1
(SOFR30A plus 0.81%)
6.13%		12/26/351		9,267		9,234
Carvana Auto Receivables Trust,
Series 2021-N1, Class R
0.00%		01/10/282		53,821		4,866,606
Carvana Auto Receivables Trust,
Series 2021-P4, Class R
0.00%		09/11/282		43,250		10,643,501
Carvana Auto Receivables Trust,
Series 2023-N1, Class R
0.00%		04/10/302		30,000		11,924,246
Carvana Auto Receivables Trust,
Series 2023-N1, Class XS
0.00%		04/10/302,4,5		378,802,018		6,040,756
Carvana Auto Receivables Trust,
Series 2023-N3, Class R
0.00%		09/10/302		30,900		7,902,298

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 162

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Catskill Park CLO Ltd.,
Series 2017-1A, Class A2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		04/20/291,2,3	$	6,000,000	$	6,003,150
Cedar Funding II CLO Ltd.,
Series 2013-1A, Class BRR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.61%)
6.93%		04/20/341,2,3		4,800,000		4,737,643
Cedar Funding V CLO Ltd.,
Series 2016-5A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.01%)
7.33%		07/17/311,2,3		7,000,000		7,004,354
Cedar Funding VIII CLO Ltd.,
Series 2017-8A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/17/341,2,3		9,550,000		9,526,822
CIFC Funding 2014 Ltd.,
Series 2014-1A, Class BR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.96%		01/18/311,2,3		8,000,000		7,991,936
CIFC Funding Ltd.,
Series 2013-2A, Class A2L2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.06%		10/18/301,2,3		10,500,000		10,514,385
CIFC Funding Ltd.,
Series 2014-5A, Class BR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.06%)
7.38%		10/17/311,2,3		3,990,000		3,994,317
CIFC Funding Ltd.,
Series 2017-4A, Class A2R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.81%)
7.13%		10/24/301,2,3		3,475,000		3,475,035
CIFC Funding Ltd.,
Series 2018-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.96%		04/18/311,2,3		9,950,000		9,944,428
CIFC Funding Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		10/20/341,2,3		9,000,000		8,998,110
CIFC Funding Ltd.,
Series 2021-6A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/15/341,2,3		20,000,000		20,046,200

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%)
6.64%		04/17/351,2,3	$	25,000,000	$	25,012,000
CIFC Funding Ltd.,
Series 2023-2A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.75%)
7.08%		01/21/371,2,3		14,000,000		14,077,700
CIT Education Loan Trust,
Series 2007-1, Class B
(SOFR90A plus 0.56%)
5.91%		06/25/421,2		6,262,828		5,501,903
Clear Creek CLO LTD.
Series 2015-1A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.46%)
6.78%		10/20/301,2,3		13,135,140		13,157,864
Clover CLO LLC,
Series 2020-1A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.42%)
6.74%		04/15/341,2,3		38,800,000		38,835,618
College Loan Corp. Trust,
Series 2005-2, Class B
(SOFR90A plus 0.75%)
6.11%		01/15/371		1,238,124		1,142,630
CVC Cordatus Loan Fund VIII DAC,
Series 8X, Class BRR
(Ireland)
(3-Month Euribor plus 1.40%)
5.34%		07/15/341,3		8,200,000		8,633,952
CyrusOne Data Centers Issuer I LLC,
Series 2023-2A, Class A2
5.56%		11/20/482		22,650,000		22,217,630
Dryden 30 Senior Loan Fund,
Series 2013-30A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.51%)
6.82%		11/15/281,2,3		1,500,000		1,496,978
Dryden 61 CLO Ltd.,
Series 2018-61A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.98%		01/17/321,2,3		3,000,000		2,992,095
Dryden 65 CLO Ltd.,
Series 2018-65A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.16%		07/18/301,2,3		3,500,000		3,500,070
Dryden 83 CLO Ltd.,
Series 2020-83A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.48%)
6.78%		01/18/321,2,3		29,220,000		29,239,051

See accompanying Notes to Financial Statements.

163 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Dryden 92 CLO Ltd.,
Series 2021-92A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		11/20/341,2,3	$	22,500,000	$	22,512,510
Dryden XXVI Senior Loan Fund,
Series 2013-26A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.16%)
6.48%		04/15/291,2,3		15,567,516		15,557,397
Eaton Vance CLO Ltd.,
Series 2013-1A, Class A13R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.51%)
6.83%		01/15/341,2,3		23,850,000		23,862,641
Eaton Vance CLO Ltd.,
Series 2018-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.01%)
7.33%		10/15/301,2,3		5,000,000		5,003,045
Eaton Vance CLO Ltd.,
Series 2020-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/15/341,2,3		25,000,000		25,000,500
ECMC Group Student Loan Trust,
Series 2016-1A, Class A
(SOFR30A plus 1.46%)
6.78%		07/26/661,2		26,795,996		26,929,843
Elmwood CLO XI Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		10/20/341,2,3		16,000,000		16,023,568
Fillmore Park CLO Ltd.,
Series 2018-1A, Class B1B2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.81%)
7.13%		07/15/301,2,3		8,000,000		8,000,160
FirstKey Homes Trust,
Series 2021-SFR1, Class F1
3.24%		08/17/382		12,416,000		11,268,012
FirstKey Homes Trust,
Series 2021-SFR2, Class F1
2.91%		09/17/382		12,677,000		11,342,867
Flatiron CLO 21 Ltd.,
Series 2021-1A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.37%)
6.68%		07/19/341,2,3		52,500,000		52,528,875
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%		07/17/292,3		2,956,294		2,925,078

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
6.04%		08/25/421	$	1,144,568	$	1,078,069
GoldenTree Loan Management U.S. CLO 8 Ltd.,
Series 2020-8A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.73%		10/20/341,2,3		36,180,000		36,227,287
Golub Capital Partners CLO 64B Ltd.,
Series 2022-64A, Class B
(United Kingdom)
(CME Term SOFR 3-Month plus 3.30%)
8.62%		10/25/351,2,3		8,800,000		8,875,328
Golub Capital Partners CLO 66B Ltd.,
Series 2023-66A, Class A
(United Kingdom)
(CME Term SOFR 3-Month plus 1.95%)
7.27%		04/25/361,2,3		20,000,000		20,121,000
Greenwood Park CLO Ltd.,
Series 2018-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.98%		04/15/311,2,3		10,000,000		10,001,030
Highbridge Loan Management Ltd.,
Series 12A-18, Class A2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.06%		07/18/311,2,3		7,000,000		6,997,900
HPS Loan Management Ltd.
Series 15A-19, Class A1R
(United Kingdom)
(CME Term SOFR 3-Month plus 1.32%)
6.64%		01/22/351,2,3		35,720,000		35,722,536
HPS Loan Management Ltd.,
Series 2021-16A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		01/23/351,2,3		19,250,000		19,249,365
HPS Loan Management Ltd.,
Series 2023-17A, Class A
(United Kingdom)
(CME Term SOFR 3-Month plus 1.90%)
7.22%		04/23/361,2,3		17,400,000		17,488,392
HPS Loan Management Ltd.,
Series 2023-18A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.95%)
8.27%		07/20/361,2,3		10,000,000		10,124,250
Invesco U.S. CLO Ltd.,
Series 2023-2A, Class A
(United Kingdom)
(CME Term SOFR 3-Month plus 1.80%)
7.12%		04/21/361,2,3		12,600,000		12,669,035
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A
4.08%		01/17/732		476,277		446,486

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 164

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
J.G. Wentworth XXXII LLC,
Series 2014-2A, Class A
3.61%		01/17/732	$	30,042,151	$	26,954,834
LCM Loan Income Fund I Ltd.,
Series 1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.71%)
7.03%		04/20/311,2,3		7,710,000		7,692,205
LCM XIV LP,
Series 14A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
6.62%		07/20/311,2,3		9,642,504		9,649,254
LCM XIV LP,
Series 14A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.84%)
7.16%		07/20/311,2,3		3,385,000		3,379,821
Madison Park Funding XLVIII Ltd.,
Series 2021-48A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.41%)
6.72%		04/19/331,2,3		30,635,000		30,637,451
Madison Park Funding XVII Ltd.,
Series 2015-17A, Class BR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.08%		07/21/301,2,3		10,000,000		9,996,500
Madison Park Funding XXIX Ltd.,
Series 2018-29A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.18%)
0.00%		10/18/301,2,3		50,000,000		50,046,450
Madison Park Funding XXXVIII Ltd.,
Series 2021-38A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.38%)
6.70%		07/17/341,2,3		10,500,000		10,508,957
Magnetite XII Ltd.,
Series 2015-12A, Class AR4
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.15%)
6.47%		10/15/311,2,3		50,000,000		50,046,400
Magnetite XXIII Ltd.,
Series 2019-23A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.24%		01/25/351,2,3		20,000,000		20,031,820
Magnetite XXV Ltd.,
Series 2020-25A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.46%)
6.79%		01/25/321,2,3		27,025,000		27,072,564
MetroNet,
Series 2023-3, Class A
7.95%		04/20/532,4,5		24,026,000		24,163,960

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Navient Student Loan Trust,
Series 2014-1, Class A3
(SOFR30A plus 0.62%)
5.94%		06/25/311	$	409,260	$	404,010
Navient Student Loan Trust,
Series 2014-3, Class A
(SOFR30A plus 0.73%)
6.05%		03/25/831		31,889,206		31,883,736
Navient Student Loan Trust,
Series 2014-4, Class A
(SOFR30A plus 0.73%)
6.05%		03/25/831		56,017,809		55,925,844
Navient Student Loan Trust,
Series 2015-1, Class A2
(SOFR30A plus 0.71%)
6.03%		04/25/401		39,695,223		38,971,793
Navient Student Loan Trust,
Series 2016-7A, Class A
(SOFR30A plus 1.26%)
6.58%		03/25/661,2		43,397,047		43,620,100
Nelnet Student Loan Trust,
Series 2006-1, Class A6
(CME Term SOFR 3-Month plus 0.71%)
6.03%		08/23/361,2		5,897,419		5,861,265
Nelnet Student Loan Trust,
Series 2014-4A, Class A2
(SOFR30A plus 1.06%)
6.38%		11/25/481,2		9,465,993		9,440,110
Neuberger Berman Loan Advisers CLO 33 Ltd.,
Series 2019-33A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		10/16/331,2,3		23,000,000		23,022,149
Neuberger Berman Loan Advisers CLO 47 Ltd.,
Series 2022-47A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
6.62%		04/14/351,2,3		32,050,000		32,071,474
NYACK Park CLO Ltd.,
Series 2021-1A, Class B1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%		10/20/341,2,3		20,000,000		20,012,500
OCP CLO Ltd.,
Series 2014-6A, Class A2R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.98%)
7.30%		10/17/301,2,3		4,000,000		4,002,264
OCP CLO Ltd.,
Series 2017-13A, Class A2R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.81%)
7.13%		07/15/301,2,3		5,675,000		5,677,872

See accompanying Notes to Financial Statements.

165 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
OCP CLO Ltd.,
Series 2020-19A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		10/20/341,2,3	$	15,500,000	$	15,515,128
Octagon 52 Ltd.,
Series 2021-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.71%)
7.03%		04/20/341,2,3		10,955,000		10,904,629
Octagon 67 Ltd.,
Series 2023-1A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.80%)
7.12%		04/25/361,2,3		21,210,000		21,296,113
Octagon Investment Partners 20-R Ltd.,
Series 2019-4A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.26%		05/12/311,2,3		17,500,000		17,473,645
Octagon Investment Partners 27 Ltd.,
Series 2016-1A, Class A2R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.61%)
6.93%		07/15/301,2,3		10,000,000		10,000,700
Octagon Investment Partners 44 Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		10/15/341,2,3		18,800,000		18,817,916
Octagon Investment Partners 46 Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		07/15/361,2,3		7,250,000		7,243,113
Octagon Investment Partners XXI Ltd.,
Series 2014-1A, Class A2R3
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.97%		02/14/311,2,3		1,470,000		1,465,796
OHA Credit Funding 3 Ltd.,
Series 2019-3A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.40%)
6.72%		07/02/351,2,3		33,250,000		33,274,938
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
6.61%		02/24/371,2,3		6,960,000		6,967,092
Palmer Square CLO Ltd.,
Series 2018-1A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.52%)
6.84%		04/18/371,2,3		23,000,000		23,021,850

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Palmer Square CLO Ltd.,
Series 2021-4A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/15/341,2,3	$	19,500,000	$	19,491,030
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A1A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.65%)
6.97%		01/20/341,2,3		32,000,000		32,032,736
Progress Residential Trust,
Series 2021-SFR2, Class H
5.00%		04/19/382		21,439,000		19,861,699
Progress Residential Trust,
Series 2021-SFR6, Class E2
2.53%		07/17/382		3,973,000		3,596,544
Progress Residential Trust,
Series 2021-SFR6, Class F
3.42%		07/17/382		10,437,000		9,487,657
Progress Residential Trust,
Series 2021-SFR6, Class G
4.00%		07/17/382		8,896,000		8,008,868
Progress Residential Trust,
Series 2021-SFR7, Class F
3.83%		08/17/402		23,777,000		20,562,079
Progress Residential Trust,
Series 2021-SFR8, Class E1
2.38%		10/17/382		17,400,000		15,703,130
Progress Residential Trust,
Series 2021-SFR8, Class E2
2.53%		10/17/382		13,425,000		12,044,871
Progress Residential Trust,
Series 2021-SFR8, Class F
3.18%		10/17/382		61,665,000		55,379,878
Progress Residential Trust,
Series 2021-SFR8, Class G
4.01%		10/17/382		19,482,000		17,380,940
Progress Residential,
Series 2021-SFR1, Class E
2.11%		04/17/382		3,000,000		2,738,813
Progress Residential,
Series 2021-SFR3, Class E1
2.54%		05/17/262		3,055,000		2,803,108
Progress Residential,
Series 2021-SFR3, Class G
4.25%		05/17/262		3,190,000		2,899,029
Rad CLO 18 Ltd.,
Series 2023-18A, Class A1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.95%)
7.26%		04/15/361,2,3		29,590,000		29,771,150
Recette CLO Ltd.,
Series 2015-1A, Class ARR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.34%)
6.66%		04/20/341,2,3		32,680,000		32,694,771

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 166

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Regatta XIV Funding Ltd.,
Series 2018-3A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.11%)
7.44%		10/25/311,2,3	$	1,900,000	$	1,901,197
Regatta XX Funding Ltd.,
Series 2021-2A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%		10/15/341,2,3		17,000,000		17,000,850
Rockford Tower CLO Ltd.,
Series 2017-2A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.28%)
6.60%		10/15/291,2,3		7,436,016		7,434,752
Rockford Tower CLO Ltd.,
Series 2017-3A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.45%)
6.77%		10/20/301,2,3		3,385,895		3,394,224
Rockford Tower CLO Ltd.,
Series 2019-2A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		08/20/321,2,3		20,000,000		19,996,860
Rockford Tower CLO Ltd.,
Series 2020-1A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.52%)
6.84%		01/20/361,2,3		22,730,000		22,743,411
RRE 15 Loan Management DAC,
Series 15X, Class A1
(Ireland)
(3-Month Euribor plus 1.75%)
5.69%		10/15/351,3		5,000,000		5,418,306
Sixth Street CLO XVII Ltd.,
Series 2021-17A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.50%)
6.82%		01/20/341,2,3		12,975,000		12,989,130
Sixth Street CLO XX Ltd.,
Series 2021-20A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		10/20/341,2,3		25,000,000		25,000,250
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%		05/10/374,5,6		26,545,041		23,709,075
SLC Student Loan Trust,
Series 2004-1, Class B
(SOFR90A plus 0.55%)
5.91%		08/15/311		160,966		137,215
SLC Student Loan Trust,
Series 2008-1, Class A4A
(SOFR90A plus 1.86%)
7.22%		12/15/321		5,691,326		5,779,327

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2003-12, Class B
(SOFR90A plus 0.85%)
6.21%		12/15/681	$	31,252	$	30,003
SLM Student Loan Trust,
Series 2005-9, Class A7A
(SOFR90A plus 0.86%)
6.22%		01/25/411		35,089,119		34,870,416
SLM Student Loan Trust,
Series 2006-2, Class A6
(SOFR90A plus 0.43%)
5.79%		01/25/411		19,707,679		19,228,379
SLM Student Loan Trust,
Series 2006-8, Class A6
(SOFR90A plus 0.42%)
5.78%		01/25/411		21,911,540		21,224,957
SLM Student Loan Trust,
Series 2007-1, Class A6
(SOFR90A plus 0.40%)
5.76%		01/27/421		21,444,919		20,837,656
SLM Student Loan Trust,
Series 2007-1, Class B
(SOFR90A plus 0.48%)
5.84%		01/27/421		2,506,702		2,285,455
SLM Student Loan Trust,
Series 2007-6, Class B
(SOFR90A plus 1.11%)
6.47%		04/27/431		3,157,817		2,987,926
SLM Student Loan Trust,
Series 2007-7, Class A4
(SOFR90A plus 0.59%)
5.95%		01/25/221		145,429		142,216
SLM Student Loan Trust,
Series 2008-2, Class B
(SOFR90A plus 1.46%)
6.82%		01/25/831		38,874,000		37,348,895
SLM Student Loan Trust,
Series 2008-3, Class A3
(SOFR90A plus 1.26%)
6.62%		10/25/211		9,524		9,458
SLM Student Loan Trust,
Series 2008-3, Class B
(SOFR90A plus 1.46%)
6.82%		04/26/831		2,260,000		2,156,188
SLM Student Loan Trust,
Series 2008-4, Class A4
(SOFR90A plus 1.91%)
7.27%		07/25/221		1,077,528		1,089,061
SLM Student Loan Trust,
Series 2008-4, Class B
(SOFR90A plus 2.11%)
7.47%		04/25/731		8,849,000		8,920,645
SLM Student Loan Trust,
Series 2008-5, Class A4
(SOFR90A plus 1.96%)
7.32%		07/25/231		14,981,941		14,972,248

See accompanying Notes to Financial Statements.

167 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-5, Class B
(SOFR90A plus 2.11%)
7.47%		07/25/731	$	37,199,000	$	37,023,480
SLM Student Loan Trust,
Series 2008-6, Class A4
(SOFR90A plus 1.36%)
6.72%		07/25/231		7,517,921		7,465,309
SLM Student Loan Trust,
Series 2008-6, Class B
(SOFR90A plus 2.11%)
7.47%		07/26/831		31,424,000		29,888,661
SLM Student Loan Trust,
Series 2008-7, Class B
(SOFR90A plus 2.11%)
7.47%		07/26/831		17,206,000		16,148,174
SLM Student Loan Trust,
Series 2011-1, Class A2
(SOFR30A plus 1.26%)
6.58%		10/25/341		1,177,387		1,181,520
SLM Student Loan Trust,
Series 2012-1, Class A3
(SOFR30A plus 1.06%)
6.38%		09/25/281		378,822		366,738
SLM Student Loan Trust,
Series 2012-2, Class A
(SOFR30A plus 0.81%)
6.13%		01/25/291		8,238,458		8,038,032
SLM Student Loan Trust,
Series 2012-7, Class A3
(SOFR30A plus 0.76%)
6.08%		05/26/261		14,396,949		13,954,739
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		17,000,000		15,710,499
Symphony CLO XXIX Ltd.,
Series 2021-29A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.91%)
7.23%		01/15/341,2,3		14,500,000		14,509,092
Trestles CLO IV Ltd.,
Series 2021-4A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.43%)
6.75%		07/21/341,2,3		40,000,000		40,014,160
U.S. Small Business Administration,
Series 2022-25F, Class 1
4.01%		06/01/47		66,698,155		62,680,425
United Auto Credit Securitization Trust,
Series 2022-2, Class R1
0.00%		04/10/292		33,600		3
Voya CLO Ltd.,
Series 2019-4A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.01%)
7.33%		01/15/351,2,3		17,500,000		17,517,028

Issues		Maturity  Date	Principal  Amount		Value
ASSET-BACKED SECURITIES (continued)
Voya CLO Ltd.,
Series 2020-2A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.27%		07/19/341,2,3	$	11,825,000	$	11,830,558
Total Asset-Backed Securities
(Cost $2,606,427,973)						2,634,400,852
BANK LOANS — 1.39%*
Automotive — 0.01%
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.26%)
10.57%		03/30/271		3,164,136		3,172,837
Communications — 0.17%
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.30%		12/17/271		4,923,233		4,900,807
CSC Holdings LLC,
Term Loan B5, 1st Lien
(SOFR plus 2.50%)
7.94%		04/15/271		6,257,196		5,673,931
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
8.62%		10/08/271		18,246,305		18,229,245
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.76%)
11.07%		12/20/241		4,796,664		2,894,499
SBA Senior Finance II LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.34%		01/25/311		15,549,685		15,595,868
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		03/09/271		42,781,678		37,660,069
(SOFR plus 4.33%)
9.66%		03/09/271		4,159,948		3,741,915
						88,696,334
Consumer Discretionary — 0.10%
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%		04/05/281		8,632,967		6,779,211
Naked Juice, LLC,
Term Loan, 1st Lien (Luxembourg)
(SOFR plus 3.35%)
8.66%		01/24/291,3		41,927,959		39,321,717
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%		01/24/301		4,735,415		3,881,549

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 168

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Consumer Discretionary (continued)
Osmosis Buyer Ltd.,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.07%		07/31/281	$	1,329,954	$	1,333,838
(SOFR plus 4.25%)
9.57% - 9.58%		07/31/281,7		448,696		451,267
						51,767,582
Entertainment — 0.06%
Elanco Animal Health, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.85%)
7.18%		08/01/271		31,468,829		31,392,675
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(SOFR plus 2.86%)
8.19%		05/16/251		2,881,106		2,882,647
						34,275,322
Finance — 0.09%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B6, 1st Lien
(SOFR plus 2.00%)
7.33%		06/22/281		9,881,149		9,895,082
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.06%		04/09/271		8,327,093		8,296,449
Jane Street Group LLC,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%		01/26/281		8,356,660		8,370,240
Setanta Aircraft Leasing DAC,
Term Loan B, 1st Lien
(SOFR plus 2.26%)
7.56%		11/06/281		16,790,000		16,843,644
Telenet Financing USD LLC,
Term Loan AR, 1st Lien
(SOFR plus 2.11%)
7.44%		04/30/281		4,630,109		4,512,411
						47,917,826
Food — 0.01%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%		10/01/251		1,101,546		1,084,869
H-Food Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.95%)
9.29%		05/23/251		3,235,874		2,368,271
						3,453,140

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Gaming — 0.04%
Caesars Entertainment, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 2.75%)
8.04%		02/06/311	$	8,265,738	$	8,282,518
Churchill Downs, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 2.10%)
7.43%		03/17/281		10,620,256		10,636,877
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%		05/03/291		3,407,972		3,415,435
						22,334,830
Health Care — 0.19%
Avantor Funding, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 2.35%)
7.68%		11/08/271		13,028,188		13,062,973
Bausch + Lomb Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.35%)
8.68%		05/10/271,3		3,727,318		3,692,840
Term Loan, 1st Lien (Canada)
(SOFR plus 4.00%)
9.33%		09/29/281,3		1,841,247		1,843,557
Carestream Dental Equipment, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.56%		09/01/241		8,423,903		7,356,890
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.94%		09/01/241		2,572,162		2,245,279
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
7.40%		12/30/261		2,606,006		2,610,644
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.15%)
7.46%		11/15/271		12,488,206		12,118,992
Jazz Financing Lux SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.11%)
8.44%		05/05/281,3		20,268,122		20,394,798
Medline Borrower LP,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%		10/23/281		13,314,583		13,358,455
Organon & Co.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
7.75%		06/02/281		9,592,323		9,638,318

See accompanying Notes to Financial Statements.

169 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Health Care (continued)
Peraton Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		02/01/281	$	4,354,045	$	4,358,486
Perrigo Investments LLC,
Term Loan B, 1st Lien
(SOFR plus 2.35%)
7.15%		04/20/291		738,750		737,520
Prestige Brands, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 2.11%)
7.44%		07/03/281		122,727		123,494
Star Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		09/27/301		6,358,307		6,326,929
						97,869,175
Industrials — 0.17%
Artera Services LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.81%		02/15/311		6,131,010		6,161,665
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.56%		10/16/281		670,144		607,821
Berry Global, Inc.,
Term Loan AA, 1st Lien
(SOFR plus 1.86%)
7.18%		07/01/291		38,292,845		38,320,415
Coherent Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% - 7.67%		07/02/291		2,163,891		2,170,924
Filtration Group Corp.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%		10/21/281		2,957,188		2,969,948
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(SOFR plus 4.51%)
9.82%		04/15/281		27,463,400		24,710,881
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%		03/20/251		2,557,854		2,486,592
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 2.75%)
8.08%		08/24/281		12,791,451		12,849,460
						90,277,706

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology — 0.25%
Arches Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.68%		12/06/271	$	5,482,597	$	5,323,081
Athenahealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.25%		02/15/291		7,037,978		6,989,064
Buzz Merger Sub Ltd.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
8.18%		01/29/271		4,567,151		4,582,862
Central Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%		07/06/291		6,640,922		6,668,216
EagleView Technology Co.,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
9.06%		08/14/251		13,768,884		13,406,212
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
8.72% - 8.99%		10/01/271		17,761,932		17,022,592
Magnite, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.60% - 9.82%		02/06/311		2,488,979		2,496,247
Match Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.90%)
7.23%		02/13/271		1,793,280		1,793,280
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%		05/03/281		3,009,283		2,994,913
NortonLifeLock, Inc.,
Term Loan A2, 1st Lien
(SOFR plus 1.85%)
7.18%		09/10/271		6,059,921		6,051,710
Open Text Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 1.85%)
7.18%		05/30/251,3		6,669,740		6,684,347
(SOFR plus 2.85%)
8.18%		01/31/301,3		7,726,243		7,748,224
Oracle Corp.,
Term Loan A1, 1st Lien
(SOFR plus 0.60%)
6.46%		08/16/271		36,838,700		36,884,748
Proofpoint,Inc.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.36%)
8.69%		08/31/281,3		925,271		926,784

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 170

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Renaissance Holding Corp.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.58%		04/05/301	$	5,419,566	$	5,436,502
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.59%		03/03/281		3,167,687		2,941,751
SS&C Technologies Holdings, Inc.,
Term Loan B5, 1st Lien
(SOFR plus 1.86%)
7.19%		04/16/251		2,356,477		2,359,399
						130,309,932
Insurance — 0.06%
Acrisure LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.50%)
8.94%		02/15/271		19,618,245		19,630,506
Asurion LLC,
Term Loan B4, 2nd Lien
(SOFR plus 5.25%)
10.58%		01/20/291		3,290,000		2,959,207
Term Loan B8, 1st Lien
(SOFR plus 3.36%)
8.69%		12/23/261		7,618,534		7,482,467
						30,072,180
Materials — 0.03%
Chemours Co. (The),
Term Loan B3, 1st Lien
(SOFR plus 3.50%)
8.83%		08/18/281		11,215,072		11,198,249
Mativ Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 2.60%)
7.93%		05/06/271		3,157,435		3,110,074
						14,308,323
Residential REITs — 0.03%
Invitation Homes Operating Partnership LP,
Term Loan A, 1st Lien
(SOFR plus 1.00%)
6.42%		01/31/251		17,500,000		17,390,625
Retail — 0.10%
1011778 BC Unlimited Liability Co.,
Term Loan B5, 1st Lien (Canada)
(SOFR plus 2.25%)
7.58%		09/20/301,3		8,287,917		8,293,097
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.69%		02/19/281		30,438,907		30,476,956

Issues		Maturity  Date	Principal  Amount		Value
BANK LOANS (continued)
Retail (continued)
KFC Holding Co.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		03/15/281	$	8,584,806	$	8,590,558
Whatabrands LLC,
Term Loan B, 1st Lien
(SOFR plus 3.36%)
8.69%		08/03/281		2,981,176		2,986,408
						50,347,019
Services — 0.08%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
8.63%		01/29/271		3,320,170		3,332,620
Boost Newco Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 3.00%)
8.31%		01/31/311		7,253,153		7,287,931
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%		10/08/281		5,047,701		5,063,475
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 4.35%)
9.66%		07/06/291		2,056,490		2,060,777
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.66%		07/06/291		4,455,727		4,465,018
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.86%)
9.18%		12/15/281		4,938,516		4,921,305
Prime Security Services Borrower, LLC,
Term Loan A, 1st Lien
(SOFR plus 2.35%)
7.50%		03/14/281		2,909,430		2,899,727
Trans Union LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%		12/01/281		5,548,510		5,552,339
TruGreen LP,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.43%		11/02/271		4,055,323		3,955,218
						39,538,410
Total Bank Loans
(Cost $728,081,617)						721,731,241
CORPORATES — 19.18%*
Banking — 3.92%
Bank of America Corp.
1.73%		07/22/276		82,743,000		76,333,588
2.30%		07/21/326		2,000		1,638
2.59%		04/29/316		1,736,000		1,496,008

See accompanying Notes to Financial Statements.

171 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Banking (continued)
2.69%		04/22/326	$	12,409,000	$	10,495,862
3.42%		12/20/286		1,587,000		1,490,124
Bank of America Corp.
(MTN)
1.92%		10/24/316		18,688,000		15,263,627
2.09%		06/14/296		241,298,000		213,352,880
2.50%		02/13/316		201,000		173,223
3.97%		03/05/296		336,000		321,739
(CME Term SOFR 3-Month plus 0.91%)
6.25%		12/01/261		50,000,000		48,715,030
Bank of America Corp.,
Series N
1.66%		03/11/276		166,038,000		154,786,385
2.65%		03/11/326		3,841,000		3,248,026
DNB Bank ASA
(Norway)
0.86%		09/30/252,3,6		54,865,000		53,531,868
HSBC Holdings PLC
(United Kingdom)
1.59%		05/24/273,6		14,609,000		13,446,058
2.01%		09/22/283,6		77,459,000		69,278,170
2.21%		08/17/293,6		109,557,000		96,075,166
3.97%		05/22/303,6		2,650,000		2,476,617
4.76%		06/09/283,6		3,116,000		3,056,411
6.33%		03/09/443,6		1,000		1,074
JPMorgan Chase & Co.
0.77%		08/09/256		41,694,000		40,925,236
0.82%		06/01/256		30,872,000		30,609,412
0.97%		06/23/256		179,824,000		177,765,371
1.04%		02/04/276		6,590,000		6,098,398
1.56%		12/10/256		163,875,000		159,350,741
1.58%		04/22/276		19,179,000		17,789,412
1.95%		02/04/326		48,035,000		39,153,678
2.01%		03/13/266		2,732,000		2,641,315
2.07%		06/01/296		1,295,000		1,148,335
2.18%		06/01/286		2,490,000		2,278,433
2.55%		11/08/326		19,314,000		16,086,043
2.58%		04/22/326		31,454,000		26,584,287
2.95%		02/24/286		30,236,000		28,429,169
2.96%		01/25/336		12,277,000		10,492,931
3.70%		05/06/306		2,876,000		2,695,499
4.01%		04/23/296		2,671,000		2,560,945
4.45%		12/05/296		8,325,000		8,113,018
5.01%		01/23/306		10,505,000		10,466,103
Lloyds Banking Group PLC
(United Kingdom)
3.87%		07/09/253,6		27,225,000		27,084,199
PNC Financial Services Group, Inc. (The)
5.07%		01/24/346		76,598,000		74,216,878
5.68%		01/22/356		20,690,000		20,904,440
6.88%		10/20/346		14,075,000		15,423,382
Santander UK Group Holdings PLC
(United Kingdom)
1.53%		08/21/263,6		6,354,000		5,987,337
1.67%		06/14/273,6		42,806,000		39,186,115
2.47%		01/11/283,6		20,406,000		18,754,060

Issues		Maturity  Date		Principal  Amount		Value
CORPORATES (continued)
Banking (continued)
3.82%			11/03/283,6	$	2,200,000	$	2,068,653
U.S. Bancorp
4.65%			02/01/296		70,000		68,616
4.84%			02/01/346		66,902,000		63,561,858
5.68%			01/23/356		17,365,000		17,548,913
5.84%			06/12/346		1,735,000		1,770,269
5.85%			10/21/336		32,895,000		33,615,780
Wells Fargo & Co.
(MTN)
2.16%			02/11/266		16,673,000		16,177,620
2.39%			06/02/286		74,765,000		68,452,929
2.88%			10/30/306		161,948,000		143,254,337
3.35%			03/02/336		99,716,000		86,498,195
3.53%			03/24/286		40,965,000		39,004,232
4.90%			07/25/336		4,193,000		4,041,972
5.57%			07/25/296		11,374,000		11,512,135
							2,035,863,740
Communications — 1.82%
C&W Senior Finance Ltd.
(Cayman Islands)
6.88%			09/15/272,3		2,200,000		2,081,640
Cable One, Inc.
4.00%			11/15/302		20,620,000		16,135,150
Charter Communications Operating LLC/Charter
Communications Operating Capital
2.30%			02/01/32		10,000,000		7,725,181
3.70%			04/01/51		3,627,000		2,252,621
3.90%			06/01/52		12,000,000		7,665,240
4.80%			03/01/50		122,389,000		90,674,091
5.38%			04/01/38		2,030,000		1,768,867
5.38%			05/01/47		116,802,000		94,438,818
5.75%			04/01/48		33,533,000		28,259,669
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.13%			07/01/49		14,837,000		11,536,954
5.25%			04/01/53		6,547,000		5,190,737
CommScope, Inc.
4.75%			09/01/292		29,008,000		20,885,760
CSC Holdings LLC
4.50%			11/15/312		835,000		591,780
4.63%			12/01/302		4,879,000		2,476,092
5.38%			02/01/282		22,749,000		19,586,495
5.75%			01/15/302		21,758,000		11,535,400
6.50%			02/01/292		62,590,000		53,086,065
7.50%			04/01/282		5,318,000		3,589,097
11.25%			05/15/282		3,010,000		2,986,759
11.75%			01/31/292		4,625,000		4,630,781
Frontier Communications Holdings LLC
8.63%			03/15/312		22,571,000		23,067,377
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%			10/07/303		63,777,000		63,840,650

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 172

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Communications (continued)
Intelsat Jackson Holdings SA (Luxembourg)
6.50%			03/15/30	2,3	$	7,044,000	$	6,568,715
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%			04/30/27	2		5,597,000		5,736,925
6.00%			02/15/28	2		9,286,000		9,564,580
Qwest Corp.
7.25%			09/15/25			4,044,000		3,998,505
SES GLOBALAmericas Holdings, Inc.
5.30%			03/25/44	2		55,170,000		42,251,984
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC
4.74%			03/20/25	2		23,502,250		23,376,735
5.15%			03/20/28	2		240,876,000		240,374,255
TDC Net A/S,
(EMTN)
(Germany)
6.50%			06/01/31	3		11,800,000		13,763,923
Time Warner Cable LLC
4.50%			09/15/42			18,977,000		14,054,990
5.50%			09/01/41			37,297,000		31,078,994
VZ Secured Financing BV
(Netherlands)
5.00%			01/15/32	2,3		38,556,000		33,133,242
VZ Secured Financing BV,
Series REGS
(Netherlands)
3.50%			01/15/32	3		30,755,000		29,203,810
Zayo Group Holdings, Inc.
4.00%			03/01/27	2		3,817,000		3,145,315
Ziggo BV
(Netherlands)
4.88%			01/15/30	2,3		15,255,000		13,734,687
								943,991,884
Consumer Discretionary — 1.12%
Altria Group, Inc.
3.70%			02/04/51			995,000		696,834
Bacardi Ltd.
(Bermuda)
5.15%			05/15/38	2,3		12,881,000		12,310,379
5.30%			05/15/48	2,3		3,831,000		3,622,932
BAT Capital Corp.
3.73%			09/25/40			3,182,000		2,365,310
4.39%			08/15/37			16,468,000		13,851,360
4.54%			08/15/47			60,885,000		47,050,061
4.76%			09/06/49			25,502,000		20,318,153
BAT International Finance PLC
(EMTN)
(United Kingdom)
2.25%			09/09/52	3		47,526,000		26,930,295
4.00%			11/23/55	3		8,700,000		7,128,044
Everi Holdings, Inc.
5.00%			07/15/29	2		3,500,000		3,473,750

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
Imperial Brands Finance PLC
(United Kingdom)
3.13%			07/26/24	2,3	$	15,312,000	$	15,181,118
3.50%			07/26/26	2,3		40,000,000		38,190,331
Philip Morris International, Inc.
1.88%			11/06/37			12,495,000		10,384,634
Reynolds American, Inc.
5.85%			08/15/45			63,022,000		58,685,599
Spectrum Brands, Inc.
3.88%			03/15/31	2		14,712,000		14,211,307
Triton Water Holdings, Inc.
6.25%			04/01/29	2		8,390,000		7,660,238
WarnerMedia Holdings, Inc.
5.05%			03/15/42			6,935,000		5,960,333
5.14%			03/15/52			304,615,000		253,216,711
5.39%			03/15/62			52,245,000		43,367,566
								584,604,955
Consumer Products — 0.01%
Newell Brands, Inc.
7.00%			04/01/46			3,935,000		3,181,725
Diversified REITs — 0.82%
American Tower Corp.
0.95%			10/05/30			22,201,000		20,285,305
1.00%			01/15/32			4,658,000		4,119,179
1.88%			10/15/30			13,336,000		10,823,398
2.70%			04/15/31			42,899,000		36,339,432
5.55%			07/15/33			20,425,000		20,599,292
5.65%			03/15/33			4,974,000		5,059,213
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%			06/23/28	3		10,032,000		9,389,378
Crown Castle, Inc.
2.10%			04/01/31			23,220,000		18,813,603
Digital Dutch Finco BV
(Netherlands)
1.00%			01/15/32	3		5,000,000		4,292,617
1.25%			02/01/31	3		26,308,000		23,628,966
Digital Intrepid Holding BV
(Netherlands)
0.63%			07/15/31	3		26,530,000		22,467,779
1.38%			07/18/32	3		22,395,000		19,623,579
GLP Capital LP/GLP Financing II, Inc.
3.25%			01/15/32			8,388,000		7,110,759
4.00%			01/15/30			33,680,000		30,874,119
4.00%			01/15/31			7,310,000		6,538,659
5.30%			01/15/29			30,710,000		30,341,173
5.38%			04/15/26			20,098,000		19,936,310
5.75%			06/01/28			24,498,000		24,535,458
VICI Properties LP
4.95%			02/15/30			9,655,000		9,336,964
5.13%			05/15/32			41,147,000		39,423,291
VICI Properties LP/VICI Note Co., Inc.
3.88%			02/15/29	2		15,043,000		13,857,738
4.13%			08/15/30	2		3,627,000		3,299,845

See accompanying Notes to Financial Statements.

173 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Diversified REITs (continued)
4.50%			01/15/28	2	$	19,194,000	$	18,437,624
Vonovia SE
(Georgia)
1.00%			06/16/33	3		3,300,000		2,696,185
2.25%			04/07/30	3		4,500,000		4,414,309
Vonovia SE
(EMTN)
(Georgia)
0.75%			09/01/32	3		6,600,000		5,414,962
Vonovia SE,
(EMTN)
(Georgia)
5.00%			11/23/30	3		11,700,000		13,296,105
								424,955,242
Electric — 1.61%
Alliant Energy Finance LLC
5.95%			03/30/29	2		4,120,000		4,248,108
Alliant Energy Finance, LLC
3.60%			03/01/32	2		4,515,000		4,001,023
American Electric Power Co., Inc.
5.75%			11/01/27			7,930,000		8,116,411
Appalachian Power Co.
4.45%			06/01/45			100,000		83,020
5.65%			04/01/34			18,900,000		19,082,584
Appalachian Power Co.,
Series Z
3.70%			05/01/50			9,450,000		6,730,530
Arizona Public Service Co.
6.35%			12/15/32			20,904,000		22,335,072
Black Hills Corp.
4.35%			05/01/33			2,785,000		2,551,450
6.15%			05/15/34			8,020,000		8,280,344
Comision Federal de Electricidad,
Series REGS
(Mexico)
3.88%			07/26/33	3		4,340,000		3,532,760
Duke Energy Carolinas LLC
4.00%			09/30/42			11,040,000		9,241,521
4.25%			12/15/41			14,683,000		12,660,987
5.35%			01/15/53			8,611,000		8,518,240
5.40%			01/15/54			25,000,000		24,897,463
Duke Energy Corp.
3.85%			06/15/34			86,657,000		92,919,935
Duke Energy Florida LLC
5.88%			11/15/33			17,960,000		19,011,594
6.20%			11/15/53			35,000,000		38,687,831
Duke Energy Progress LLC
5.35%			03/15/53			5,000,000		4,893,207
Eversource Energy
5.95%			02/01/29			8,980,000		9,276,459
FirstEnergy Pennsylvania Electric Co.
3.25%			03/15/28	2		125,000		115,801
4.00%			04/15/25	2		35,719,000		34,853,147
4.15%			04/15/25	2		28,335,000		27,857,834
4.30%			01/15/29	2		18,381,000		17,775,951

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Electric (continued)
5.15%			03/30/26	2	$	3,000,000	$	2,976,370
FirstEnergy Transmission LLC
2.87%			09/15/28	2		50,514,000		46,090,945
4.35%			01/15/25	2		23,330,000		23,051,238
4.55%			04/01/49	2		5,175,000		4,383,450
5.45%			07/15/44	2		24,625,000		23,491,505
Interstate Power and Light Co.
5.70%			10/15/33			15,980,000		16,388,586
Jersey Central Power & Light Co.
2.75%			03/01/32	2		820,000		685,384
4.30%			01/15/26	2		8,645,000		8,453,084
4.70%			04/01/24	2		49,765,000		49,765,000
6.40%			05/15/36			10,780,000		11,309,387
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%			05/07/29	3		1,683,180		1,610,425
New England Power Co.
5.94%			11/25/52	2		20,670,000		21,516,168
Niagara Mohawk Power Corp.
3.03%			06/27/50	2		3,543,000		2,273,720
4.28%			10/01/34	2		4,375,000		3,925,292
Public Service Co. of New Mexico
3.85%			08/01/25			14,390,000		14,067,806
Southwestern Electric Power Co.
3.25%			11/01/51			6,519,000		4,332,223
5.30%			04/01/33			47,200,000		46,649,594
Southwestern Electric Power Co.,
Series K
2.75%			10/01/26			26,488,000		24,843,787
Southwestern Electric Power Co.,
Series L
3.85%			02/01/48			19,395,000		14,284,355
TenneT Holding BV
(EMTN)
(Netherlands)
2.75%			05/17/42	3		38,400,000		38,898,345
4.50%			10/28/34	3		18,555,000		22,034,523
4.75%			10/28/42	3		61,891,000		76,902,995
								837,605,454
Energy — 0.74%
Boston Gas Co.
3.76%			03/16/32	2		25,917,000		22,857,173
6.12%			07/20/53	2		13,275,000		13,587,242
Brooklyn Union Gas Co. (The)
6.39%			09/15/33	2		35,000,000		36,320,245
Ecopetrol SA
(Colombia)
8.88%			01/13/33	3		5,000,000		5,291,785
Energy Transfer LP
5.00%			05/15/50			390,000		342,411
5.40%			10/01/47			10,088,000		9,326,102
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%			03/31/34	2,3		16,812,966		14,492,782

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 174

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Energy (continued)
KazMunayGas National Co. JSC
(Kazakhstan)
3.50%			04/14/33	2,3	$	1,800,000	$	1,501,020
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%			04/14/33	3		15,883,000		13,244,834
4.75%			04/19/27	3		3,195,000		3,113,527
KazMunayGas National Co. JSC,
Series REGS (EMTN)
(Kazakhstan)
5.38%			04/24/30	3		6,856,000		6,739,119
KeySpan Gas East Corp.
5.99%			03/06/33	2		5,530,000		5,615,478
Kinder Morgan, Inc.
(GMTN)
7.80%			08/01/31			150,000		170,395
National Gas Transmission PLC,
(EMTN)
(United Kingdom)
4.25%			04/05/30	3		26,895,000		29,909,656
Pertamina Persero PT
(Indonesia)
3.10%			08/27/30	2,3		34,071,000		30,169,871
Petroleos Mexicanos
(Mexico)
6.35%			02/12/48	3		9,556,000		6,104,982
6.75%			09/21/47	3		35,807,000		23,740,041
Piedmont Natural Gas Co., Inc.
2.50%			03/15/31			7,272,000		6,146,996
5.40%			06/15/33			10,545,000		10,661,053
QazaqGaz NC JSC,
Series REGS
(Kazakhstan)
4.38%			09/26/27	3		6,350,000		5,988,685
Rockies Express Pipeline LLC
4.80%			05/15/30	2		1,905,000		1,769,745
6.88%			04/15/40	2		15,140,000		14,931,825
Southern Co. Gas Capital Corp.
4.40%			05/30/47			50,000		41,623
5.15%			09/15/32			6,370,000		6,404,538
5.75%			09/15/33			20,800,000		21,589,584
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%			03/24/26	3		16,442,000		16,639,304
TC PipeLines LP
4.38%			03/13/25			2,198,000		2,170,461
TransCanada PipeLines Ltd.
(Canada)
4.63%			03/01/34	3		13,715,000		12,969,009
5.85%			03/15/36	3		2,878,000		2,962,457
TransMontaigne Partners LP/TLP Finance Corp.
6.13%			02/15/26			34,635,000		33,119,719
Venture Global LNG, Inc.
9.50%			02/01/29	2		18,223,000		19,658,529

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Energy (continued)
9.88%			02/01/32	2	$	8,298,000	$	8,951,527
								386,531,718
Finance — 2.66%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%			10/29/26	3		21,203,000		19,705,160
3.00%			10/29/28	3		63,242,000		57,256,049
3.30%			01/30/32	3		105,825,000		90,713,719
Air Lease Corp.
2.20%			01/15/27			23,695,000		21,816,938
3.25%			03/01/25			19,930,000		19,461,104
3.25%			10/01/29			5,000,000		4,532,197
4.25%			09/15/24			5,554,000		5,515,108
4.63%			10/01/28			2,000,000		1,947,501
Air Lease Corp.
(MTN)
2.30%			02/01/25			35,195,000		34,188,812
2.88%			01/15/26			10,055,000		9,620,856
3.00%			02/01/30			2,000,000		1,770,170
Alta Wind Holdings LLC
7.00%			06/30/35	2,4,5		2,963,214		3,030,429
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%			11/18/27	2,3		171,755,000		152,847,347
2.88%			02/15/25	2,3		20,755,000		20,205,989
3.25%			02/15/27	2,3		12,880,000		11,993,212
3.95%			07/01/24	2,3		35,499,000		35,305,082
4.38%			05/01/26	2,3		7,405,000		7,165,981
Citigroup, Inc.
1.46%			06/09/27	6		28,281,000		25,974,294
2.52%			11/03/32	6		25,568,000		21,007,700
2.57%			06/03/31	6		868,000		741,951
2.67%			01/29/31	6		3,838,000		3,329,917
2.98%			11/05/30	6		5,739,000		5,099,989
3.06%			01/25/33	6		53,760,000		45,701,171
3.98%			03/20/30	6		3,965,000		3,738,685
6.04%			10/30/24	6		672,000		672,960
EverBank Financial Corp.
5.75%			07/02/25			4,045,000		3,798,694
Gaci First Investment Co.
(Cayman Islands)
5.25%			10/13/32	3		6,400,000		6,473,190
GGAM Finance Ltd.
(Cayman Islands)
8.00%			06/15/28	2,3		12,949,000		13,515,519
Goldman Sachs Group, Inc. (The)
1.43%			03/09/27	6		97,484,000		90,308,604
1.54%			09/10/27	6		97,458,000		89,063,321
1.95%			10/21/27	6		1,337,000		1,229,866
2.38%			07/21/32	6		449,000		368,367
3.27%			09/29/25	6		27,707,000		27,378,344
3.50%			04/01/25			31,914,000		31,321,514
(SOFR Rate plus 0.49%)
5.84%			10/21/24	1		77,465,000		77,517,105

See accompanying Notes to Financial Statements.

175 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Finance (continued)
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%			02/01/29		$	18,068,000	$	15,444,707
9.75%			01/15/29	2		17,562,000		18,329,898
Morgan Stanley
0.79%			05/30/25	6		64,230,000		63,637,403
0.99%			12/10/26	6		15,176,000		14,068,780
1.59%			05/04/27	6		4,653,000		4,304,785
2.48%			09/16/36	6		35,169,000		27,810,630
5.30%			04/20/37	6		1,801,000		1,731,659
Morgan Stanley
(GMTN)
1.51%			07/20/27	6		1,000,000		918,130
2.24%			07/21/32	6		52,964,000		43,250,543
Morgan Stanley
(MTN)
1.16%			10/21/25	6		162,926,000		158,690,928
1.79%			02/13/32	6		6,428,000		5,140,181
1.93%			04/28/32	6		2,890,000		2,320,296
2.63%			02/18/26	6		11,200,000		10,903,222
Nationwide Building Society
(United Kingdom)
2.97%			02/16/28	2,3,6		64,520,000		60,215,221
4.30%			03/08/29	2,3,6		13,000,000		12,466,073
								1,383,549,301
Food — 0.83%
ELO SACA
(EMTN)
(France)
6.00%			03/22/29	3		30,500,000		33,434,697
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl
(Canada)
6.75%			03/15/34	2,3		111,146,000		116,892,836
7.25%			11/15/53	2,3		5,461,000		5,873,405
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%			05/15/32	3		5,000,000		4,065,008
3.75%			12/01/31	3		22,699,000		19,682,672
4.38%			02/02/52	3		69,462,000		50,363,954
5.50%			01/15/30	3		16,622,000		16,391,629
6.50%			12/01/52	3		7,475,000		7,405,546
Pilgrim’s Pride Corp.
3.50%			03/01/32			85,672,000		72,720,717
4.25%			04/15/31			1,429,000		1,290,764
6.25%			07/01/33			44,546,000		45,641,439
6.88%			05/15/34			6,810,000		7,269,720
Simmons Foods, Inc./Simmons Prepared Foods, Inc./
Simmons Pet Food, Inc./Simmons Feed
4.63%			03/01/29	2		10,731,000		9,503,672
Smithfield Foods, Inc.
2.63%			09/13/31	2		14,435,000		11,312,163
3.00%			10/15/30	2		8,890,000		7,383,836
4.25%			02/01/27	2		24,855,000		23,901,918
								433,133,976

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Health Care — 1.56%
1375209 BC Ltd.
(Canada)
9.00%			01/30/28	2,3	$	35,559,000	$	34,886,499
Bayer U.S. Finance II LLC
2.85%			04/15/25	2		2,805,000		2,710,676
3.95%			04/15/45	2		17,489,000		12,421,232
4.38%			12/15/28	2		84,521,000		79,597,092
4.40%			07/15/44	2		69,196,000		53,031,464
4.63%			06/25/38	2		46,534,000		38,766,289
4.88%			06/25/48	2		44,314,000		35,644,682
5.50%			08/15/25	2		13,932,000		13,828,990
5.50%			07/30/35	2		3,820,000		3,594,203
Bayer U.S. Finance LLC
6.50%			11/21/33	2		17,750,000		18,064,991
6.88%			11/21/53	2		28,175,000		28,958,416
Becton Dickinson & Co.
3.36%			06/06/24			1,013,000		1,008,702
Catalent Pharma Solutions, Inc.
3.50%			04/01/30	2		17,205,000		16,401,005
Catalent Pharma Solutions, Inc.,
Series REGS
2.38%			03/01/28			16,070,000		16,515,529
Centene Corp.
3.00%			10/15/30			90,980,000		78,086,933
Embecta Corp.
6.75%			02/15/30	2		20,239,000		17,707,314
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%			10/01/31	3		7,910,000		6,952,658
Fresenius Medical Care U.S. Finance III, Inc.
1.88%			12/01/26	2		67,592,000		61,193,898
Grifols SA,
Series REGS
(Spain)
1.63%			02/15/25	3		1,900,000		1,959,088
3.20%			05/01/25	3		33,210,000		33,133,965
3.88%			10/15/28	3		48,610,000		41,612,255
HCA, Inc.
2.38%			07/15/31			563,000		463,690
5.25%			06/15/26			20,209,000		20,155,637
5.25%			06/15/49			66,501,000		60,745,067
5.88%			02/15/26			3,915,000		3,931,654
Illumina, Inc.
2.55%			03/23/31			200,000		165,560
5.75%			12/13/27			4,480,000		4,537,164
Kedrion SpA
(Italy)
6.50%			09/01/29	2,3		36,805,000		33,581,729
Medtronic Global Holdings SCA
(Luxembourg)
3.38%			10/15/34	3		195,000		211,200
ModivCare Escrow Issuer, Inc.
5.00%			10/01/29	2		40,661,000		29,534,661
ModivCare, Inc.
5.88%			11/15/25	2		5,835,000		5,687,824

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 176

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Health Care (continued)
Premier Health Partners,
Series G
2.91%			11/15/26		$	2,229,000	$	2,049,635
Revvity, Inc.
0.85%			09/15/24			12,935,000		12,640,578
Royalty Pharma PLC
(United Kingdom)
1.75%			09/02/27	3		1,295,000		1,151,407
Sartorius Finance BV
(Netherlands)
4.88%			09/14/35	3		1,200,000		1,399,466
Universal Health Services, Inc.
1.65%			09/01/26			45,000,000		41,027,456
								813,358,609
Health Care REITs — 0.22%
DOC DR LLC
2.63%			11/01/31			4,632,000		3,819,629
3.95%			01/15/28			1,245,000		1,190,256
4.30%			03/15/27			8,717,000		8,536,769
Healthcare Reality Holdings LP
2.00%			03/15/31			767,000		610,387
3.10%			02/15/30			35,467,000		30,847,773
Healthcare Realty Holdings LP
2.05%			03/15/31			20,129,000		15,620,915
2.40%			03/15/30			29,082,000		23,831,937
3.63%			01/15/28			25,359,000		23,453,329
3.88%			05/01/25			9,381,000		9,176,255
								117,087,250
Industrial REITs — 0.10%
LXP Industrial Trust
6.75%			11/15/28			4,015,000		4,191,769
Prologis Euro Finance LLC
0.50%			02/16/32			11,611,000		9,827,978
1.00%			02/16/41			5,698,000		3,909,948
Prologis Euro Finance LLC,
(EMTN)
4.25%			01/31/43			30,738,000		33,514,985
								51,444,680
Industrials — 0.70%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
4.13%			08/15/26	2,3		4,950,000		4,496,156
5.25%			08/15/27	2,3		66,603,000		42,009,623
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.,
Series REGS
(Canada)
2.13%			08/15/26	3		3,470,000		3,233,167
Berry Global, Inc.
1.57%			01/15/26			42,992,000		40,262,950
1.65%			01/15/27			16,949,000		15,397,059
4.88%			07/15/26	2		82,131,000		80,548,648
5.65%			01/15/34	2		1,570,000		1,563,246
Boeing Co. (The)
4.88%			05/01/25			19,940,000		19,721,835

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Industrials (continued)
5.81%			05/01/50		$	35,720,000	$	33,828,877
5.93%			05/01/60			15,000,000		14,081,035
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.64%)
5.91%			05/05/26	1		1,785,000		1,790,246
(CME Term SOFR 3-Month plus 0.74%)
6.05%			08/15/36	1		11,550,000		10,727,743
Honeywell International, Inc.
3.75%			03/01/36			47,920,000		52,304,446
L3Harris Technologies, Inc.
3.95%			05/28/24			12,890,000		12,855,257
OT Merger Corp.
7.88%			10/15/29	2		30,592,000		22,069,449
Trivium Packaging Finance BV
(Netherlands)
8.50%			08/15/27	2,3		7,578,000		7,502,220
								362,391,957
Information Technology — 0.01%
Open Text Corp.
(Canada)
6.90%			12/01/27	2,3		3,061,000		3,160,176
Insurance — 1.07%
Athene Global Funding
1.61%			06/29/26	2		61,330,000		56,300,770
1.99%			08/19/28	2		11,040,000		9,563,921
(SOFR Index plus 0.70%)
6.06%			05/24/24	1,2		120,615,000		120,753,164
Farmers Exchange Capital
7.05%			07/15/28	2		13,283,000		13,427,195
7.20%			07/15/48	2		18,415,000		17,015,697
Farmers Exchange Capital II
6.15%			11/01/53	2,6		59,331,000		52,992,390
Farmers Exchange Capital III
5.45%			10/15/54	2,6		80,605,000		66,726,020
Farmers Insurance Exchange
4.75%			11/01/57	2,6		23,060,000		17,119,986
Metropolitan Life Global Funding I
3.30%			03/21/29	2		16,005,000		14,836,875
4.30%			08/25/29	2		6,940,000		6,694,377
Nationwide Mutual Insurance Co.
7.88%			12/15/24	2,6		42,571,000		42,574,948
Protective Life Global Funding
1.90%			07/06/28	2		47,980,000		42,693,125
Teachers Insurance & Annuity Association of America
3.30%			05/15/50	2		82,665,000		58,026,051
4.27%			05/15/47	2		3,496,000		2,906,059
4.38%			09/15/54	2,6		35,635,000		35,068,088
								556,698,666
Materials — 0.36%
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
5.13%			02/02/33	3		11,110,000		10,570,054

See accompanying Notes to Financial Statements.

177 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Materials (continued)
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia Persero PT,
Series REGS
(Indonesia)
5.45%			05/15/30	3	$	14,861,000	$	14,706,446
International Flavors & Fragrances, Inc.
1.83%			10/15/27	2		1,615,000		1,433,427
2.30%			11/01/30	2		68,565,000		56,988,268
3.27%			11/15/40	2		10,351,000		7,376,526
3.47%			12/01/50	2		9,947,000		6,634,665
5.00%			09/26/48			104,037,000		89,045,228
								186,754,614
Office REITs — 0.19%
Hudson Pacific Properties LP
3.25%			01/15/30			58,668,000		45,279,435
3.95%			11/01/27			17,035,000		15,107,103
4.65%			04/01/29			21,870,000		18,653,264
Kilroy Realty LP
2.50%			11/15/32			3,705,000		2,792,838
2.65%			11/15/33			25,004,000		18,545,171
								100,377,811
Residential REITs — 0.16%
American Homes 4 Rent LP
3.38%			07/15/51			17,118,000		11,426,480
Invitation Homes Operating Partnership LP
2.00%			08/15/31			30,593,000		24,347,981
2.70%			01/15/34			40,308,000		31,958,589
4.15%			04/15/32			4,798,000		4,393,921
5.50%			08/15/33			13,766,000		13,720,221
								85,847,192
Retail — 0.14%
Ferrellgas LP/Ferrellgas Finance Corp.
5.88%			04/01/29	2		9,650,000		9,206,582
Michaels Cos., Inc. (The)
7.88%			05/01/29	2		83,531,000		62,747,928
								71,954,510
Retail REITs — 0.04%
Federal Realty OP LP
7.48%			08/15/26			18,825,000		19,419,656
Services — 0.14%
Adtalem Global Education, Inc.
5.50%			03/01/28	2		11,557,000		11,078,918
Global Payments, Inc.
4.88%			03/17/31			6,568,000		7,489,464
WASH Multifamily Acquisition, Inc.
5.75%			04/15/26	2		1,791,000		1,751,402
Waste Pro USA, Inc.
5.50%			02/15/26	2		12,536,000		12,357,215
Worldline SA
(France)
0.00%			07/30/25	3,8		104,010		12,431,628

Issues		Maturity  Date	Principal  Amount		Value
CORPORATES (continued)
Services (continued)
0.00%		07/30/263,8	$	259,400	$	25,380,703
						70,489,330
Specialized REITs — 0.50%
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%		10/06/323		45,583,000		45,299,319
3.18%		07/12/293		10,509,000		11,920,675
3.94%		07/12/473		6,700,000		6,496,328
Annington Funding PLC,
(EMTN)
(United Kingdom)
3.69%		07/12/343		1,100,000		1,185,064
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%		05/04/283		20,141,000		18,818,071
1.63%		04/20/303		13,650,000		12,302,872
1.75%		03/12/293		42,369,000		39,913,098
Extra Space Storage LP
2.20%		10/15/30		1,090,000		904,233
2.35%		03/15/32		34,221,000		27,401,765
2.40%		10/15/31		14,348,000		11,810,316
2.55%		06/01/31		4,000,000		3,331,630
3.88%		12/15/27		10,980,000		10,436,158
3.90%		04/01/29		1,430,000		1,348,111
LEG Immobilien SE
(EMTN)
(Georgia)
0.88%		03/30/333		8,100,000		6,688,492
1.50%		01/17/343		3,800,000		3,248,700
Realty Income Corp.
5.13%		07/06/34		49,085,000		57,920,795
						259,025,627
Transportation — 0.39%
American Airlines Pass-Through Trust,
Series 2017-2, Class AA
3.35%		10/15/29		14,007,925		12,922,311
Delta Air Lines Pass-Through Trust,
Series 2020-1, Class AA
2.00%		06/10/28		71,280,357		64,465,095
JetBlue Airways Pass-Through Trust,
Series 2020-1, Class A
4.00%		11/15/32		8,559,289		7,910,808
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%		10/01/24		20,626,610		20,626,610
U.S. Airways Pass-Through Trust,
Series 2012-2, Class A
4.63%		06/03/25		5,795		5,697
United Airlines Pass-Through Trust,
Series 2013-1, Class A
4.30%		08/15/25		9,953,579		9,770,182

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 178

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
CORPORATES (continued)
Transportation (continued)
United Airlines Pass-Through Trust,
Series 2018-1, Class AA
3.50%			03/01/30		$	25,661,694	$	23,608,759
United Airlines Pass-Through Trust,
Series 2023-1, Class A
5.80%			01/15/36			62,905,000		63,862,089
								203,171,551
Water — 0.07%
Suez SACA
(EMTN)
(France)
2.88%			05/24/34	3		3,200,000		3,220,059
Thames Water Utilities Finance PLC
(EMTN)
(United Kingdom)
4.38%			01/18/31	3		33,525,000		33,764,469
								36,984,528
Total Corporates
(Cost $10,542,851,485)								9,971,584,152
FOREIGN GOVERNMENT OBLIGATIONS — 0.61%
Foreign Government Obligations — 0.61%
Brazilian Government International Bond
(Brazil)
6.00%			10/20/333			20,120,000		19,965,076
6.13%			03/15/343			17,393,000		17,231,245
Colombia Government International Bond
(Colombia)
3.00%			01/30/303			5,971,000		4,951,153
3.13%			04/15/313			15,729,000		12,597,356
8.00%			04/20/333			1,670,000		1,767,862
Costa Rica Government International Bond,
Series REGS
(Costa Rica)
6.55%			04/03/343			5,000,000		5,181,000
Dominican Republic International Bond
(Dominican Republic)
4.50%			01/30/302,3			25,047,000		22,855,388
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%			09/23/323			8,500,000		7,635,347
Finance Department Government of Sharjah
(United Arab Emirates)
6.50%			11/23/322,3			6,705,000		6,973,871
Guatemala Government Bond,
Series REGS
(Guam)
5.25%			08/10/293			19,100,000		18,530,407
Hungary Government International Bond
(Hungary)
2.13%			09/22/312,3			17,300,000		13,760,420
Mexico Government International Bond
(Mexico)
2.66%			05/24/313			17,589,000		14,716,892

Issues		Maturity  Date	Principal  Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
3.50%		02/12/343	$	14,767,000	$	12,318,876
4.75%		04/27/323		2,350,000		2,232,376
6.35%		02/09/353		11,940,000		12,335,214
Oman Government International Bond,
Series REGS
(Oman)
5.63%		01/17/283		10,500,000		10,567,200
6.75%		10/28/273		2,800,000		2,917,600
Panama Government International Bond
(Panama)
2.25%		09/29/323		10,887,000		7,800,016
3.16%		01/23/303		18,249,000		15,209,401
Paraguay Government International Bond,
Series REGS
(Papua New Guinea)
4.95%		04/28/313		14,150,000		13,673,145
Peruvian Government International Bond
(Peru)
2.78%		01/23/313		27,300,000		23,472,540
Republic of Poland Government International Bond
(Poland)
4.88%		10/04/333		18,565,000		18,308,803
Republic of South Africa Government International Bond
(South Africa)
4.30%		10/12/283		1,556,000		1,400,244
4.85%		09/30/293		9,814,000		8,819,881
5.88%		06/22/303		5,535,000		5,140,908
5.88%		04/20/323		10,600,000		9,567,136
Romanian Government International Bond
(Romania)
6.63%		02/17/282,3		2,840,000		2,932,300
Romanian Government International Bond,
Series REGS
(Romania)
3.00%		02/14/313		26,000,000		21,863,400
Total Foreign Government Obligations
(Cost $336,235,197)						314,725,057
MORTGAGE-BACKED — 53.10%**
Non-Agency Commercial Mortgage-Backed — 3.93%
1301 Properties Owner LP
2.08%		09/07/254,5		47,327,027		47,019,401
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%		08/10/382,6		122,930,000		114,038,485
BGME Trust,
Series 2021-VR, Class A
2.99%		01/10/432,6		20,000,000		15,491,030
BGME Trust,
Series 2021-VR, Class B
2.99%		01/10/432,6		32,137,000		23,702,628
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%		04/09/254,5,6		78,837,983		77,024,709
BMO Mortgage Trust,
Series 2022-C2, Class A5
4.81%		07/15/546		21,624,000		21,448,421

See accompanying Notes to Financial Statements.

179 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
BX Commercial Mortgage Trust,
Series 2020-VIV4, Class A
2.84%			03/09/44	2	$	180,165,000	$	155,868,872
BX Commercial Mortgage Trust,
Series 2022-CSMO, Class A
(CME Term SOFR 1-Month plus 2.11%)
7.44%			06/15/27	1,2		132,924,000		133,458,763
BX Commercial Mortgage Trust,
Series 2022-CSMO, Class B
(CME Term SOFR 1-Month plus 3.14%)
8.47%			06/15/27	1,2		90,170,000		90,612,266
BX Trust,
Series 2019-OC11, Class A
3.20%			12/09/41	2		42,270,000		37,653,607
BXHPP Trust,
Series 2021-FILM, Class A
(CME Term SOFR 1-Month plus 0.76%)
6.09%			08/15/36	1,2		57,000,000		55,054,334
BXHPP Trust,
Series 2021-FILM, Class B
(CME Term SOFR 1-Month plus 1.01%)
6.34%			08/15/36	1,2		16,602,000		15,671,341
BXHPP Trust,
Series 2021-FILM, Class C
(CME Term SOFR 1-Month plus 1.21%)
6.54%			08/15/36	1,2		15,057,000		14,107,685
BXHPP Trust,
Series 2021-FILM, Class D
(CME Term SOFR 1-Month plus 1.61%)
6.94%			08/15/36	1,2		11,500,000		10,672,986
CALI Mortgage Trust,
Series 2019-101C, Class XA (IO)
0.30%			03/10/39	2,6		272,551,000		3,746,868
Capital Funding Mortgage Trust,
Series 2021-M01, Class A
(LIBOR USD 1-Month plus 2.25%)
7.69%			12/19/24	1,2		90,174,649		83,981,278
CENT Trust,
Series 2023-CITY, Class A
(CME Term SOFR 1-Month plus 2.62%)
7.95%			09/15/38	1,2		88,590,000		89,784,905
Century Plaza Towers,
Series 2019-CPT, Class A
2.87%			11/13/39	2		27,645,000		23,877,476
Citigroup Commercial Mortgage Trust,
Series 2020-555, Class A
2.65%			12/10/41	2		5,000,000		4,262,356
Citigroup Commercial Mortgage Trust,
Series 2022-GC48, Class A5
4.58%			05/15/54	6		26,458,000		25,790,106
Commercial Mortgage Pass-Through Certificates,
Series 2023-BRND, Class A
7.12%			07/10/40	2,6		46,000,000		48,263,476

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
Credit Suisse Mortgage Capital Certificates,
Series 2019-ICE4, Class A
(CME Term SOFR 1-Month plus 1.03%)
6.35%			05/15/36	1,2	$	16,359,300	$	16,355,195
Credit Suisse Mortgage Capital Trust,
Series 2019-ICE4, Class D
(CME Term SOFR 1-Month plus 1.65%)
6.97%			05/15/36	1,2		9,975,183		9,969,930
Credit Suisse Mortgage Capital Trust,
Series 2022-MDR, Class A
(CME Term SOFR 1-Month plus 4.81%)
10.14%			08/15/25	1,2		85,000,000		84,639,158
DC Office Trust,
Series 2019-MTC, Class A
2.97%			09/15/45	2		31,135,000		26,602,527
Fontainebleau Miami Beach Trust,
Series 2019-FBLU, Class A
3.14%			12/10/36	2		20,000,000		19,536,721
Frost CMBS DAC,
Series 2021-1X, Class EUA
(Ireland)
(3-Month Euribor plus 1.15%)
5.08%			11/20/33	1,3		2,999,545		3,131,331
Hudson Yards Mortgage Trust,
Series 2019-30HY, Class A
3.23%			07/10/39	2		84,915,000		76,112,321
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%			12/10/41	2,6		81,025,000		71,113,965
Last Mile Logistics Pan Euro Finance DAC,
Series 1X, Class A
(Ireland)
(3-Month Euribor plus 0.75%)
4.67%			08/17/33	1,3		5,917,625		6,292,202
Last Mile Securities PE 2021 DAC,
Series 2021-1X, Class A1
(Ireland)
(3-Month Euribor plus 0.90%)
4.82%			08/17/31	1,3		5,361,896		5,732,769
LoanCore Issuer Ltd.,
Series 2021-CRE5, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.41%)
6.74%			07/15/36	1,2,3		22,461,272		22,364,029
MF1 Ltd.,
Series 2022-FL8, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.35%)
6.68%			02/19/37	1,2,3		24,295,160		24,156,231
MKT Mortgage Trust,
Series 2020-525M, Class A
2.69%			02/12/40	2		8,500,000		6,940,083
NRTH Mortgage Trust,
Series 2024-PARK, Class A
(CME Term SOFR 1-Month plus 1.64%)
6.94%			03/15/41	1,2		21,267,000		21,342,758

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 180

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
One Bryant Park Trust,
Series 2019-OBP, Class A
2.52%		09/15/542	$	147,667,000	$	126,318,546
Project Colt (Acquired 03/08/2022, cost $100,000,000)
7.05%		03/10/274,5,6		100,000,000		99,310,000
Queens Center Mortgage Trust,
Series 2013-QCA, Class A
3.28%		01/11/372		9,170,000		8,674,007
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A1
3.87%		01/05/432,6		56,465,000		42,708,443
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%		01/05/432,6		8,710,000		6,419,857
SHOW 2022-BIZ A
Series 2022-BIZ, Class A
(CME Term SOFR 1-Month plus 2.98%)
8.30%		01/15/271,2		68,000,000		64,227,425
SREIT Trust,
Series 2021-PALM, Class G
(CME Term SOFR 1-Month plus 3.73%)
9.06%		10/15/341,2		40,000,000		39,147,836
Taurus UK DAC,
Series 2021-UK1A, Class A
(Ireland)
(SONIA plus 0.85%)
6.07%		05/17/311,2,3		4,765,002		5,972,234
Taurus UK DAC,
Series 2021-UK1X, Class C
(Ireland)
(SONIA plus 1.65%)
6.87%		05/17/311,3		975,833		1,204,925
Taurus UK DAC,
Series 2021-UK1X, Class D
(Ireland)
(SONIA plus 2.60%)
7.82%		05/17/311,3		5,618,732		6,983,988
Taurus UK DAC,
Series 2021-UK1X, Class E
(Ireland)
(SONIA plus 3.65%)
8.87%		05/17/311,3		5,761,682		7,063,880
Taurus UK DAC,
Series 2021-UK4X, Class D
(Ireland)
(SONIA plus 2.10%)
7.32%		08/17/311,3		2,795,554		3,525,666
Taurus UK DAC,
Series 2021-UK5, Class B
(Ireland)
(SONIA plus 1.65%)
6.87%		05/17/311,3		3,094,000		3,885,953
Westfield Galleria at Roseville
8.40%		03/29/254,5		141,900,000		141,758,100
						2,043,021,073

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed — 9.61%
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/24)
7.40%		06/25/32	$	16,066	$	15,621
ACE Securities Corp. Home Equity Loan Trust,
Series 2004-IN1, Class A1
(CME Term SOFR 1-Month plus 0.75%)
6.08%		05/25/341		119,285		110,650
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(CME Term SOFR 1-Month plus 0.41%)
5.74%		06/25/361		2,312,500		1,679,935
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP2, Class A1
(CME Term SOFR 1-Month plus 0.49%)
5.82%		06/25/371		25,108,599		18,121,240
Adjustable Rate Mortgage Trust,
Series 2005-10, Class 6A1
(CME Term SOFR 1-Month plus 0.65%)
5.98%		01/25/361		131,551		119,023
Adjustable Rate Mortgage Trust,
Series 2007-3, Class 2A1
6.27%		11/25/372,6		25,008,442		17,091,202
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/24)
2.86%		07/25/592		94,627		89,251
Alternative Loan Trust,
Series 2004-30CB, Class 1A6
5.50%		02/25/35		23,422,649		21,880,120
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%		11/25/31		1,895		1,844
Alternative Loan Trust,
Series 2005-76, Class 2A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
6.09%		02/25/361		29,200,339		26,181,989
Alternative Loan Trust,
Series 2005-84, Class 1A1
4.76%		02/25/366		24,648		22,655
Alternative Loan Trust,
Series 2006-HY13, Class 4A1
4.77%		02/25/376		666,319		572,380
Alternative Loan Trust,
Series 2007-J1, Class 2A1
(CME Term SOFR 1-Month plus 0.31%)
5.64%		03/25/371		529,574		135,678
American Home Mortgage Assets Trust,
Series 2006-3, Class 2A12
(Federal Reserve US 12-Month Cumulative Average plus 1.15%)
6.24%		10/25/461		29,701,401		20,274,034
American Home Mortgage Assets Trust,
Series 2007-1, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
5.79%		02/25/471		43,546,615		16,920,908

See accompanying Notes to Financial Statements.

181 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
American Home Mortgage Assets Trust,
Series 2007-2, Class A1
(CME Term SOFR 1-Month plus 0.24%)
5.57%		03/25/471	$	22,694,898	$	20,778,477
American Home Mortgage Investment Trust,
Series 2004-3, Class 2A
(TSFR6M plus 1.93%)
4.64%		10/25/341		2,791,833		2,721,993
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W2, Class M1
(CME Term SOFR 1-Month plus 0.85%)
6.18%		10/25/351		66,665		65,105
Argent Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-W3, Class M1
(CME Term SOFR 1-Month plus 0.77%)
6.10%		11/25/351		10,832,414		10,433,353
Asset-Backed Funding Certificates,
Series 2006-OPT3, Class A3B
(CME Term SOFR 1-Month plus 0.43%)
5.76%		11/25/361		39,256,932		15,940,909
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2A
(CME Term SOFR 1-Month plus 0.86%)
6.19%		06/25/371		20,168,067		15,784,386
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(CME Term SOFR 1-Month plus 1.11%)
6.44%		06/25/371		14,733,479		12,213,929
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE6, Class A5
(CME Term SOFR 1-Month plus 0.57%)
5.90%		11/25/361		12,282,114		11,786,026
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%		06/25/32		10,130		10,001
Banc of America Funding Trust,
Series 2006-D, Class 3A1
4.42%		05/20/366		2,341,983		2,174,557
Banc of America Funding Trust,
Series 2006-E, Class 2A1
4.98%		06/20/366		28,082		25,069
Banc of America Funding Trust,
Series 2006-H, Class 3A1
4.48%		09/20/466		507,349		406,482
Banc of America Mortgage Trust,
Series 2004-F, Class 1A1
5.21%		07/25/346		12,854		12,144
Banc of America Mortgage Trust,
Series 2005-C, Class 2A2
4.68%		04/25/356		75,295		76,747
Banc of America Mortgage Trust,
Series 2007-1, Class 1A24
6.00%		03/25/37		323,253		260,059

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Banc of America Mortgage Trust,
Series 2007-3, Class 1A1
6.00%		09/25/37	$	140,431	$	112,997
BCAP LLC Trust,
Series 2007-AA2, Class 2A5
6.00%		04/25/37		208,156		94,923
BCAP LLC Trust,
Series 2007-AA5, Class A1
(CME Term SOFR 1-Month plus 1.41%)
6.74%		09/25/471		11,859,540		10,333,961
Bear Stearns ALT-ATrust,
Series 2005-4, Class 22A2
4.70%		05/25/356		7,178		6,478
Bear Stearns ALT-A Trust,
Series 2006-4, Class 32A1
4.27%		07/25/366		1,265,416		628,211
Bear Stearns ARM Trust,
Series 2004-1, Class 13A2
4.93%		04/25/346		3,928		3,722
Bear Stearns ARM Trust,
Series 2004-10, Class 14A1
4.78%		01/25/356		1,614,766		1,528,975
Bear Stearns ARM Trust,
Series 2006-4, Class 2A1
4.34%		10/25/366		176,473		153,727
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC5, Class 2A3
(CME Term SOFR 1-Month plus 0.36%)
5.69%		08/25/201		894,817		533,221
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%		03/25/36		55,663		55,000
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-HE9, Class 3A
(CME Term SOFR 1-Month plus 0.39%)
5.72%		11/25/361		2,427,057		2,367,316
Bear Stearns Asset-Backed Securities I Trust,
Series 2007-AC1, Class A3 (STEP-reset date 05/25/24)
6.55%		02/25/37		24,123,794		21,383,693
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A1 (STEP-reset date 05/25/24)
5.50%		01/25/34		415,476		353,434
Bear Stearns Asset-Backed Securities Trust,
Series 2003-AC7, Class A2 (STEP-reset date 05/25/24)
5.75%		01/25/34		374,580		318,574
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1
(CME Term SOFR 1-Month plus 0.47%)
5.80%		10/25/361		882,724		776,427
Bear Stearns Mortgage Funding Trust,
Series 2006-AR5, Class 1A1
(CME Term SOFR 1-Month plus 0.27%)
5.60%		12/25/461		12,339,279		10,845,764

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 182

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns Mortgage Funding Trust,
Series 2007-AR5, Class 1A1A
(CME Term SOFR 1-Month plus 0.45%)
5.78%	06/25/471	$	1,986,785	$	1,645,088
Carrington Mortgage Loan Trust,
Series 2006-NC3, Class A4
(CME Term SOFR 1-Month plus 0.35%)
5.68%	08/25/361		46,429,000		35,550,990
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(CME Term SOFR 1-Month plus 0.64%)
5.97%	02/25/361		27,951		27,536
Carrington Mortgage Loan Trust,
Series 2007-RFC1, Class A4
(CME Term SOFR 1-Month plus 0.33%)
5.66%	10/25/361		22,415,000		19,202,085
Chase Funding Trust,
Series 2003-5, Class 2A2
(CME Term SOFR 1-Month plus 0.71%)
6.04%	07/25/331		3,059		2,939
Chase Funding Trust,
Series 2004-2, Class 2A2
(CME Term SOFR 1-Month plus 0.61%)
5.94%	02/26/351		3,388		3,291
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2
4.34%	09/25/366		331,036		296,051
Chase Mortgage Finance Trust,
Series 2006-S3, Class 2A1
5.50%	11/25/21		1,302,896		406,105
Chase Mortgage Finance Trust,
Series 2007-A2, Class 2A3
5.81%	06/25/356		634,286		620,545
ChaseFlex Trust,
Series 2005-2, Class 4A2
5.50%	06/25/36		290,121		120,527
ChaseFlex Trust,
Series 2006-2, Class A2B
(CME Term SOFR 1-Month plus 0.31%)
4.70%	09/25/361		3,948,790		3,222,710
CIM Trust,
Series 2019-R1, Class A
3.25%	10/25/582,6		38,083,805		33,885,949
CIM Trust,
Series 2019-R3, Class A
2.63%	06/25/582,6		80,130,296		72,383,119
CIM Trust,
Series 2019-R4, Class A1
3.00%	10/25/592,6		80,907,201		73,964,206
CIM Trust,
Series 2020-R1, Class A1
2.85%	10/27/592,6		124,216,770		108,181,093
CIM Trust,
Series 2020-R3, Class A1A
4.00%	01/26/602,6		97,395,563		91,683,800

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2020-R6, Class A1
2.25%	12/25/602,6	$	73,595,778	$	62,995,528
CIM Trust,
Series 2020-R6, Class A1A
2.25%	12/25/602,6		45,452,197		39,644,197
CIM Trust,
Series 2020-R7, Class A1A
2.25%	12/27/612,6		187,895,215		163,997,142
CIM Trust,
Series 2021-R1, Class A2
2.40%	08/25/562,6		69,118,237		60,661,787
CIM Trust,
Series 2021-R2, Class A2
2.50%	01/25/572,6		62,685,281		55,990,869
CIM Trust,
Series 2021-R3, Class A1A
1.95%	06/25/572,6		222,569,249		196,795,730
CIM Trust,
Series 2021-R4, Class A1A
2.00%	05/01/612,6		171,813,216		150,476,557
CIM Trust,
Series 2021-R5, Class A1
2.00%	08/25/612,6		38,395,584		31,418,681
CIM Trust,
Series 2021-R5, Class A1A
2.00%	08/25/612,6		153,918,608		128,116,801
CIM Trust,
Series 2022-I1, Class A1
4.35%	02/25/672,6		36,408,266		35,431,596
CIM Trust,
Series 2022-NR1, Class A1 (STEP-reset date 05/25/24)
5.00%	07/25/622		82,098,721		79,921,192
CIM Trust,
Series 2023-R1,Class A1A
5.40%	04/25/622,6		275,359,701		264,468,371
CIM Trust,
Series 2023-R3, Class A1
4.50%	01/25/632,6		38,514,199		35,267,633
CIM Trust,
Series 2023-R3, Class A1A
4.50%	01/25/632,6		218,666,172		202,067,792
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12
5.00%	02/25/35		70,781		66,528
Citicorp Residential Mortgage Trust,
Series 2007-1, Class A5 (STEP-reset date 05/25/24)
4.79%	03/25/37		118,504		117,120
Citigroup Mortgage Loan Trust,
Series 2005-9, Class 1A1
(CME Term SOFR 1-Month plus 0.37%)
5.70%	11/25/351		89,936		73,863
Citigroup Mortgage Loan Trust,
Series 2006-AR2, Class 1A1
5.49%	03/25/366		6,330,187		4,819,897

See accompanying Notes to Financial Statements.

183 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
4.28%	06/25/366	$	790,457	$	715,760
Citigroup Mortgage Loan Trust,
Series 2006-WF2, Class A1 (STEP-reset date 05/25/24)
7.25%	05/25/36		28,505,357		14,853,751
Citigroup Mortgage Loan Trust,
Series 2007-6, Class 1A4A
4.44%	03/25/376		118,137		102,853
Citigroup Mortgage Loan Trust,
Series 2007-AR5, Class 1A1A
5.21%	04/25/376		46,663		40,381
Citigroup Mortgage Loan Trust,
Series 2014-5, Class 2A2
(LIBOR USD 1-Month plus 1.75%)
4.93%	02/20/361,2		5,239,039		4,488,831
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A
5.15%	10/25/356		309,789		259,380
Countrywide Asset-Backed Certificates Trust,
Series 2005-13, Class AF4
5.81%	04/25/366		113,696		100,772
Countrywide Asset-Backed Certificates Trust,
Series 2007-13, Class 2A2
(CME Term SOFR 1-Month plus 0.91%)
6.24%	10/25/471		6,326,301		5,685,457
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2001-HYB1, Class 1A1
5.26%	06/19/316		5,296		5,112
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2003-J8, Class 1A4
5.25%	09/25/23		20,352		19,340
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-14, Class 4A1
5.36%	08/25/346		543,385		486,936
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-25, Class 1A1
(CME Term SOFR 1-Month plus 0.77%)
6.10%	02/25/351		59,774		57,836
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-7, Class 2A1
4.24%	06/25/346		41,035		37,411
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB3, Class 1A
5.32%	06/20/346		8,298		7,963
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2004-HYB4, Class 2A1
5.25%	09/20/346		403,910		380,208
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-11, Class 1A2
4.49%	04/25/356		448,074		384,337
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(CME Term SOFR 1-Month plus 0.71%)
6.04%	05/25/351		2,015,921		1,696,833

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HY5, Class 1A1
4.75%	09/25/476	$	469,911	$	354,232
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2007-HYB1, Class 1A1
3.73%	03/25/376		895,697		697,031
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR20, Class 2A4
4.95%	08/25/336		5,182		4,985
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-6, Class 8A1
4.50%	07/25/20		2,664		2,372
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-1, Class 2A1
6.50%	02/25/34		7,008		6,913
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates,
Series 2004-AR5, Class 6A1
5.49%	06/25/346		40,818		40,041
Credit Suisse Mortgage Capital Certificates,
Series 2021-RP11, Class CERT
3.78%	10/27/612		9,161,542		7,191,157
Credit Suisse Mortgage Capital Certificates,
Series 2022-RPL1, Class CERT
4.23%	04/25/612		9,330,483		7,928,172
Credit Suisse Mortgage Capital Trust,
Series 2006-2, Class 5A1
(CME Term SOFR 1-Month plus 0.81%)
6.00%	03/25/361		3,037,125		1,033,813
Credit Suisse Mortgage Capital Trust,
Series 2015-6R, Class 2A1
(CME Term SOFR 1-Month plus 0.31%)
7.30%	11/27/461,2		1,124,019		1,115,230
Credit Suisse Mortgage Capital Trust,
Series 2021-NQM6, Class A1
1.17%	07/25/662,6		6,494,857		5,299,672
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class PT
3.76%	10/25/612,6		218,095,425		174,462,774
Credit Suisse Mortgage Capital Trust,
Series 2021-RP11, Class SA (IO)
0.00%	10/25/612,4,5,6		186,220		180,048
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class PT
4.64%	04/25/612,6		224,083,976		193,234,066
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class SA (IO)
0.00%	04/25/612,4,5,6		508,843		492,629
Credit-Based Asset Servicing and Securitization LLC,
Series 2003-CB1, Class AF (STEP-reset date 05/25/24)
3.95%	01/25/33		3,954		3,723
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB7, Class A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%	10/25/361		33,360,305		23,644,126

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 184

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB8, Class A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%	10/25/361	$	8,467,387	$	7,680,306
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A3
(CME Term SOFR 1-Month plus 0.41%)
5.74%	11/25/361		22,212,765		9,756,493
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF4 (STEP-reset date 05/25/24)
3.19%	01/25/37		5,968,643		1,778,274
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF5 (STEP-reset date 05/25/24)
3.19%	01/25/37		11,216,502		3,344,231
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A2
(CME Term SOFR 1-Month plus 0.28%)
3.39%	04/25/371		19,427,036		12,292,113
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/24)
3.57%	02/25/37		22,686,017		13,632,457
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2D (STEP-reset date 05/25/24)
3.57%	02/25/37		16,609,542		9,992,741
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2E (STEP-reset date 05/25/24)
3.57%	02/25/37		3,020,419		1,815,520
CSAB Mortgage-Backed Trust,
Series 2006-4, Class A6B (STEP-reset date 05/25/24)
6.28%	12/25/36		5,268,016		234,783
Deephaven Residential Mortgage Trust,
Series 2021-4, Class A1
1.93%	11/25/662,6		21,799,633		18,716,940
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR3, Class A1
(CME Term SOFR 1-Month plus 0.49%)
5.82%	08/25/361		1,771,760		1,642,351
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR4, Class A1
(CME Term SOFR 1-Month plus 0.37%)
5.70%	12/25/361		1,370,631		457,378
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR4, Class A2
(CME Term SOFR 1-Month plus 0.49%)
5.82%	12/25/361		25,157,719		8,377,941
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2006-AR6, Class A6
(CME Term SOFR 1-Month plus 0.49%)
5.82%	02/25/371		330,226		280,944
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-3, Class 1A1
(CME Term SOFR 1-Month plus 1.81%)
7.14%	10/25/471		17,263,229		12,602,117

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-AR3, Class 2A4
(CME Term SOFR 1-Month plus 0.81%)
6.14%	06/25/371	$	16,010,210	$	13,524,160
Deutsche ALT-A Securities Mortgage Loan Trust,
Series 2007-OA3, Class A1
(CME Term SOFR 1-Month plus 0.25%)
5.58%	07/25/471		26,651,857		24,338,041
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2005-6, Class 1A7
5.50%	12/25/35		227,268		182,636
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust,
Series 2006-AR1, Class 2A1
3.87%	02/25/366		479,521		323,596
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(CME Term SOFR 1-Month plus 0.83%)
6.16%	01/19/451		1,041,424		832,199
DSLA Mortgage Loan Trust,
Series 2005-AR1, Class 2A1A
(CME Term SOFR 1-Month plus 0.61%)
5.94%	02/19/451		56,896		55,211
DSLA Mortgage Loan Trust,
Series 2005-AR3, Class 2A1A
(CME Term SOFR 1-Month plus 0.59%)
5.92%	07/19/451		62,010		57,215
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(CME Term SOFR 1-Month plus 0.31%)
5.64%	10/19/361		13,071,319		8,343,582
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(CME Term SOFR 1-Month plus 0.25%)
5.58%	03/19/371		5,238,253		4,382,818
Equity One Mortgage Pass-Through Trust,
Series 2002-4, Class M1
5.22%	02/25/336		5,654		5,420
Equity One Mortgage Pass-Through Trust,
Series 2002-5, Class M1 (STEP-reset date 05/25/24)
5.80%	11/25/32		28,245		27,463
Fannie Mae Connecticut Avenue Securities,
Series 2019-R07, Class 1B1
(SOFR30A plus 3.51%)
8.83%	10/25/391,2		11,882,286		12,238,645
Fannie Mae Connecticut Avenue Securities,
Series 2021-R01, Class 1B1
(SOFR30A plus 3.10%)
8.42%	10/25/411,2		5,660,000		5,831,644
Fannie Mae Connecticut Avenue Securities,
Series 2022-R01, Class 1M2
(SOFR30A plus 1.90%)
7.22%	12/25/411,2		28,907,099		29,143,886
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(CME Term SOFR 1-Month plus 0.43%)
5.76%	10/25/361		9,052,001		5,822,706

See accompanying Notes to Financial Statements.

185 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2D
(CME Term SOFR 1-Month plus 0.59%)
5.92%	10/25/361	$	570,797	$	367,759
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B
(CME Term SOFR 1-Month plus 0.33%)
5.66%	12/25/371		4,637,056		4,132,696
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2C
(CME Term SOFR 1-Month plus 0.43%)
5.76%	12/25/371		12,752,320		11,369,245
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(CME Term SOFR 1-Month plus 0.53%)
5.86%	12/25/371		9,242,466		8,241,305
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class 1A
(CME Term SOFR 1-Month plus 0.41%)
5.74%	04/25/361		3,995,227		3,997,073
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2C
(CME Term SOFR 1-Month plus 0.39%)
5.72%	01/25/381		49,947,268		26,150,072
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%	03/25/371		45,043,100		23,244,505
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(CME Term SOFR 1-Month plus 0.31%)
5.64%	03/25/371		19,910,619		9,727,054
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2C
(CME Term SOFR 1-Month plus 0.41%)
5.74%	03/25/371		11,414,439		5,593,227
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2D
(CME Term SOFR 1-Month plus 0.55%)
5.88%	03/25/371		33,765,223		16,596,705
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA2, Class 1A1
6.52%	08/25/346		2,498,659		2,443,740
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.82%	09/25/346		5,725		5,634
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA4, Class A1
6.09%	10/25/346		377,758		368,996
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
6.19%	12/25/356		6,413,465		5,314,377
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
5.72%	02/25/366		6,466,412		4,295,450

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA4, Class 2A1
5.82%	06/25/356	$	6,674,916	$	6,056,173
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
6.08%	09/25/356		4,930,613		4,301,487
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
5.87%	10/25/356		7,309,385		4,546,462
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
6.16%	11/25/356		6,491,300		5,535,224
First Horizon Mortgage Pass-Through Trust,
Series 2004-AR6, Class 2A1
4.73%	12/25/346		67,728		64,261
First Horizon Mortgage Pass-Through Trust,
Series 2006-AR4, Class 1A2
5.15%	01/25/376		40,902		22,088
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR3, Class 1A1
4.82%	11/25/376		71,393		32,454
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA3, Class M2
(SOFR30A plus 2.10%)
7.42%	10/25/331,2		23,022,000		23,470,405
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA1, Class M2
(SOFR30A plus 2.25%)
7.57%	08/25/331,2		10,931,425		11,194,540
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA2, Class M1B
(SOFR30A plus 2.40%)
7.72%	02/25/421,2		18,930,000		19,294,668
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA3, Class M1B
(SOFR30A plus 2.90%)
8.22%	04/25/421,2		7,000,000		7,251,731
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1
(CME Term SOFR 1-Month plus 0.55%)
4.64%	06/25/301		7,720		7,098
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR6, Class 3A1
4.25%	11/19/356		172,652		144,461
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR2, Class 1A1
0.00%	05/19/366		1,539,215		887,863
GreenPoint Mortgage Funding Trust,
Series 2005-AR4, Class G41B
(CME Term SOFR 1-Month plus 0.31%)
5.64%	10/25/451		10,203,844		9,714,777
GreenPoint Mortgage Funding Trust,
Series 2006-OH1, Class A1
(CME Term SOFR 1-Month plus 0.47%)
5.80%	01/25/371		9,014,790		7,901,030

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 186

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GS Mortgage-Backed Securities Corp. Trust,
Series 2022-PJ2, Class A4
2.50%	06/25/522,6	$	27,813,028	$	22,445,982
GS Mortgage-Backed Securities Corp. Trust,
Series 2022-PJ4, Class A4
2.50%	09/25/522,6		64,615,706		52,146,890
GS Mortgage-Backed Securities Trust,
Series 2018-RPL1, Class A1A
3.75%	10/25/572		15,987,839		15,374,109
GS Mortgage-Backed Securities Trust,
Series 2021-PJ9, Class A2
2.50%	02/26/522,6		8,241,739		6,646,190
GS Mortgage-Backed Securities Trust,
Series 2022-PJ5, Class A4
2.50%	10/25/522,6		73,072,409		58,971,714
GS Mortgage-Backed Securities Trust,
Series 2022-PJ6, Class A3
2.50%	01/25/532,6		95,671,324		77,209,743
GS Mortgage-Backed Securities Trust,
Series 2023-PJ1, Class A3
3.00%	02/25/532,6		93,836,796		78,790,845
GSAA Home Equity Trust,
Series 2005-11, Class 2A2
(CME Term SOFR 1-Month plus 0.75%)
6.08%	10/25/351		55,191		54,872
GSAA Home Equity Trust,
Series 2005-11, Class 3A2
(CME Term SOFR 1-Month plus 0.75%)
6.08%	10/25/351		10,948		11,238
GSAA Home Equity Trust,
Series 2005-6, Class M1
(CME Term SOFR 1-Month plus 0.76%)
6.09%	06/25/351		21,320		21,243
GSAMP Trust,
Series 2005-AHL2, Class A2D
(CME Term SOFR 1-Month plus 0.81%)
6.14%	12/25/351		15,931,498		14,949,802
GSAMP Trust,
Series 2007-HE2, Class A1
(CME Term SOFR 1-Month plus 0.35%)
5.68%	03/25/471		63,226,372		52,222,827
GSMSC Resecuritization Trust,
Series 2015-3R, Class 1B
(CME Term SOFR 1-Month plus 0.39%)
5.72%	01/26/371,2		13,563,350		12,219,433
GSR Mortgage Loan Trust,
Series 2004-9, Class 3A1
4.94%	08/25/346		1,695		1,589
GSR Mortgage Loan Trust,
Series 2004-9, Class 5A7
4.61%	08/25/346		25,395		25,250
GSR Mortgage Loan Trust,
Series 2005-AR5, Class 2A3
4.76%	10/25/356		1,730,617		950,056

Issues	Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GSR Mortgage Loan Trust,
Series 2005-AR6, Class 4A5
5.47%	09/25/356	$	40,789	$	38,739
GSR Mortgage Loan Trust,
Series 2007-AR2, Class 2A1
5.04%	05/25/376		1,161,754		658,624
HarborView Mortgage Loan Trust,
Series 2004-1, Class 2A
6.02%	04/19/346		3,163		3,035
HarborView Mortgage Loan Trust,
Series 2004-11, Class 3A2A
(CME Term SOFR 1-Month plus 0.79%)
6.12%	01/19/351		150,345		141,242
HarborView Mortgage Loan Trust,
Series 2004-3, Class 1A
5.64%	05/19/346		28,434		27,187
HarborView Mortgage Loan Trust,
Series 2004-5, Class 2A6
4.58%	06/19/346		1,123		1,056
HarborView Mortgage Loan Trust,
Series 2005-3, Class 2A1A
(CME Term SOFR 1-Month plus 0.59%)
5.92%	06/19/351		136,812		129,184
HarborView Mortgage Loan Trust,
Series 2006-1, Class 2A1A
(CME Term SOFR 1-Month plus 0.59%)
5.92%	03/19/361		9,845,938		9,022,727
HarborView Mortgage Loan Trust,
Series 2006-10, Class 1A1A
(CME Term SOFR 1-Month plus 0.51%)
5.83%	11/19/361		47,966,283		37,969,290
HarborView Mortgage Loan Trust,
Series 2006-4, Class 1A1A
(CME Term SOFR 1-Month plus 0.47%)
5.80%	05/19/461		29,001,012		15,333,183
HarborView Mortgage Loan Trust,
Series 2006-5, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.91%)
6.00%	07/19/471		33,258,468		12,575,958
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(CME Term SOFR 1-Month plus 0.53%)
5.86%	09/19/461		49,335,275		42,013,377
HarborView Mortgage Loan Trust,
Series 2007-7, Class 1A1
(CME Term SOFR 1-Month plus 2.11%)
6.44%	10/25/371		15,517,882		12,401,317
HarborView Mortgage Loan Trust,
Series 2007-7, Class 2A1A
(CME Term SOFR 1-Month plus 2.11%)
6.44%	10/25/371		11,863,036		11,166,328
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%	10/25/361		51,282,910		16,655,212

See accompanying Notes to Financial Statements.

187 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Impac CMB Trust,
Series 2004-8, Class 2A1
(CME Term SOFR 1-Month plus 0.81%)
6.14%		10/25/341	$	42,083	$	41,424
Impac CMB Trust,
Series 2005-1, Class 1A1
(CME Term SOFR 1-Month plus 0.63%)
5.96%		04/25/351		1,493,588		1,411,741
Impac Secured Assets Trust,
Series 2006-3, Class A1
(CME Term SOFR 1-Month plus 0.45%)
5.78%		11/25/361		3,588,865		3,213,659
Impac Secured Assets Trust,
Series 2006-5, Class 1A1C
(CME Term SOFR 1-Month plus 0.65%)
5.98%		02/25/371		6,143,441		5,479,512
Impac Secured Assets Trust,
Series 2007-2, Class 1A1B
(CME Term SOFR 1-Month plus 0.61%)
5.94%		05/25/371		28,645,615		23,455,758
IndyMac Index Mortgage Loan Trust,
Series 2004-AR4, Class 1A
4.67%		08/25/346		568,282		534,667
IndyMac Index Mortgage Loan Trust,
Series 2004-AR7, Class A2
(CME Term SOFR 1-Month plus 0.97%)
6.30%		09/25/341		33,381		28,729
IndyMac Index Mortgage Loan Trust,
Series 2005-AR1, Class 4A1
4.50%		03/25/356		33,115		32,745
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
3.71%		10/25/356		16,907,905		13,415,248
IndyMac Index Mortgage Loan Trust,
Series 2005-AR6, Class 2A1
(CME Term SOFR 1-Month plus 0.59%)
5.92%		04/25/351		324,225		268,302
IndyMac Index Mortgage Loan Trust,
Series 2006-AR19, Class 1A2
3.86%		08/25/366		10,136,726		6,851,192
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 2A2
(CME Term SOFR 1-Month plus 0.51%)
5.84%		10/25/361		10,756,089		9,434,555
IndyMac Index Mortgage Loan Trust,
Series 2006-AR35, Class 2A3A
(CME Term SOFR 1-Month plus 0.51%)
5.84%		01/25/371		25,375,836		22,494,646
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 1A1
3.82%		05/25/366		2,531,743		2,108,667
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 2A1
3.76%		05/25/366		17,497,631		12,066,539

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
IndyMac Index Mortgage Loan Trust,
Series 2007-AR1, Class 1A2
4.02%		03/25/376	$	283,185	$	213,029
IndyMac Index Mortgage Loan Trust,
Series 2007-AR11, Class 1A1
3.11%		06/25/376		2,272,004		1,966,276
IndyMac Index Mortgage Loan Trust,
Series 2007-AR7, Class 1A1
3.50%		11/25/376		1,416,246		1,157,012
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1997-1, Class A3
6.61%		02/25/28		13,566		13,446
JPMorgan Alternative Loan Trust,
Series 2006-A2, Class 5A1
4.02%		05/25/366		3,843,947		2,231,586
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A3A (STEP-reset date 05/25/24)
6.33%		07/25/36		27,542,600		7,479,446
JPMorgan Mortgage Acquisition Trust,
Series 2006-WF1, Class A6 (STEP-reset date 05/25/24)
6.50%		07/25/36		3,840,749		1,102,994
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A5
(CME Term SOFR 1-Month plus 0.37%)
5.70%		06/25/371		3,296		3,293
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF1
(CME Term SOFR 1-Month plus 0.21%)
4.59%		03/25/471		99,385		64,826
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF2 (STEP-reset date 05/25/24)
4.29%		03/25/47		6,501,595		4,201,693
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF3 (STEP-reset date 05/25/24)
4.29%		05/25/35		5,471,885		3,536,216
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF4 (STEP-reset date 05/25/24)
4.29%		03/25/47		2,487,221		1,607,350
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4
(CME Term SOFR 1-Month plus 0.39%)
5.72%		03/25/471		240,000		219,080
JPMorgan Mortgage Trust,
Series 2003-A2, Class 2A3
4.91%		11/25/336		39,626		38,059
JPMorgan Mortgage Trust,
Series 2004-A4, Class 1A3
5.96%		09/25/346		91,880		85,414
JPMorgan Mortgage Trust,
Series 2005-A5, Class TA1
5.94%		08/25/356		39,147		36,313
JPMorgan Mortgage Trust,
Series 2005-S2, Class 4A3
5.50%		09/25/20		1,603,731		1,058,215

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 188

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2006-A2, Class 5A3
6.09%		11/25/336	$	966	$	963
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
4.91%		05/25/366		435,401		364,989
JPMorgan Mortgage Trust,
Series 2006-A3, Class 3A3
4.29%		05/25/366		281,583		226,838
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A1
4.64%		06/25/366		244,851		177,393
JPMorgan Mortgage Trust,
Series 2006-A4, Class 1A4
4.64%		06/25/366		789,322		571,860
JPMorgan Mortgage Trust,
Series 2006-A5, Class 2A4
5.07%		08/25/366		215,543		173,865
JPMorgan Mortgage Trust,
Series 2007-A1, Class 5A2
5.52%		07/25/356		489,321		477,488
JPMorgan Mortgage Trust,
Series 2007-A3, Class 2A3
4.90%		05/25/376		1,079,012		882,639
JPMorgan Mortgage Trust,
Series 2007-A3, Class 3A2
4.43%		05/25/376		182,443		158,935
JPMorgan Mortgage Trust,
Series 2007-A4, Class 1A1
4.49%		06/25/376		1,589,712		1,228,903
JPMorgan Mortgage Trust,
Series 2007-A4, Class 2A3
4.63%		06/25/376		223,994		173,584
JPMorgan Mortgage Trust,
Series 2021-13, Class A3A
2.00%		04/25/522,6		46,074,897		35,488,715
JPMorgan Mortgage Trust,
Series 2021-14, Class A3A
2.00%		05/25/522,6		35,065,044		26,946,947
JPMorgan Mortgage Trust,
Series 2021-INV8, Class A2
3.00%		05/25/522,6		41,189,358		34,644,114
Lehman ABS Mortgage Loan Trust,
Series 2007-1, Class 2A2
(CME Term SOFR 1-Month plus 0.31%)
5.64%		06/25/371,2		168,867		110,984
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(CME Term SOFR 1-Month plus 0.41%)
5.74%		11/25/351		1,104,662		1,086,003
Lehman XS Trust,
Series 2005-7N, Class 1A1A
(CME Term SOFR 1-Month plus 0.65%)
5.98%		12/25/351		229,216		212,390

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Lehman XS Trust,
Series 2006-12N, Class A31A
(CME Term SOFR 1-Month plus 0.51%)
5.84%		08/25/461	$	6,849,029	$	6,777,814
Lehman XS Trust,
Series 2006-14N, Class 3A2
(CME Term SOFR 1-Month plus 0.35%)
5.68%		08/25/361		22,466		22,864
Lehman XS Trust,
Series 2006-5, Class 1A1A
(CME Term SOFR 1-Month plus 0.53%)
5.86%		04/25/361		17,488,664		14,854,406
Lehman XS Trust,
Series 2006-8, Class 1A1A
(CME Term SOFR 1-Month plus 0.27%)
5.38%		06/25/361		22,156,630		19,445,326
Lehman XS Trust,
Series 2007-4N, Class 1A3
(CME Term SOFR 1-Month plus 0.59%)
5.92%		03/25/471		14,257,994		12,232,158
Long Beach Mortgage Loan Trust,
Series 2004-4, Class M1
(CME Term SOFR 1-Month plus 1.01%)
6.34%		10/25/341		47,781		45,985
Luminent Mortgage Trust,
Series 2006-5, Class A1A
(CME Term SOFR 1-Month plus 0.49%)
5.82%		07/25/361		26,525,932		16,927,807
Luminent Mortgage Trust,
Series 2006-6, Class A1
(CME Term SOFR 1-Month plus 0.51%)
5.84%		10/25/461		8,879,044		7,747,737
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2
4.37%		01/25/346		10,216		9,769
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
5.81%		11/25/336		246,362		237,265
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1
5.37%		11/21/346		1,447,208		1,358,963
MASTR Adjustable Rate Mortgages Trust,
Series 2004-8, Class 2A1
5.11%		09/25/346		1,167,420		1,104,667
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 5A1
4.36%		05/25/366		5,131,015		2,064,261
MASTR Adjustable Rate Mortgages Trust,
Series 2007-1, Class I1A
(CME Term SOFR 1-Month plus 0.50%)
5.83%		01/25/471		79,808,457		33,591,547
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A3
(CME Term SOFR 1-Month plus 0.41%)
5.74%		11/25/361		12,152,323		3,877,892

See accompanying Notes to Financial Statements.

189 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MASTR Asset-Backed Securities Trust,
Series 2006-HE4, Class A4
(CME Term SOFR 1-Month plus 0.53%)
5.86%		11/25/361	$	3,375,645	$	1,046,731
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A3
(CME Term SOFR 1-Month plus 0.32%)
5.65%		05/25/371		11,962,305		11,413,614
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
6.22%		10/25/326		6,857		6,620
Mellon Residential Funding Corp. Mortgage Pass-Through Certificates,
Series 2001-TBC1, Class A1
(CME Term SOFR 1-Month plus 0.81%)
6.14%		11/15/311		330,334		312,057
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%		04/25/371		125,033,470		55,002,886
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2B
(CME Term SOFR 1-Month plus 0.45%)
5.78%		04/25/371		25,104,300		9,832,586
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(CME Term SOFR 1-Month plus 0.61%)
5.94%		04/25/371		52,589,540		20,774,283
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2C
(CME Term SOFR 1-Month plus 0.59%)
5.92%		05/25/371		25,879,291		19,280,202
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-2, Class A2D
(CME Term SOFR 1-Month plus 0.75%)
6.08%		05/25/371		12,780,317		9,554,034
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2C
(CME Term SOFR 1-Month plus 0.47%)
5.80%		06/25/371		4,423,753		4,258,365
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-3, Class A2D
(CME Term SOFR 1-Month plus 0.61%)
5.94%		06/25/371		6,592,923		6,362,559
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A2
(CME Term SOFR 1-Month plus 0.35%)
5.68%		07/25/371		10,583,639		9,290,508
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A3
(CME Term SOFR 1-Month plus 0.43%)
5.76%		07/25/371		7,758,071		6,837,005
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
6.30%		10/25/336		130,802		129,947

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1
4.92%		08/25/346	$	576,718	$	545,124
Merrill Lynch Mortgage Investors Trust,
Series 2005-A10, Class A
(CME Term SOFR 1-Month plus 0.53%)
5.86%		02/25/361		3,976		3,790
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2B (STEP-reset date 05/25/24)
3.95%		03/25/37		26,911,880		5,694,137
Merrill Lynch Mortgage Investors Trust,
Series 2006-WMC2, Class A2D (STEP-reset date 05/25/24)
3.95%		03/25/37		21,063,003		4,276,961
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.40%)
7.40%		08/25/361		1,478,524		1,279,571
Mid-State Capital Corp. Trust,
Series 2005-1, Class A
5.75%		01/15/40		4,460,098		4,390,250
Mid-State Capital Corp. Trust,
Series 2006-1, Class A
5.79%		10/15/402		5,256,818		5,164,387
Mid-State Trust XI,
Series 11, Class A1
4.86%		07/15/38		80,488		78,888
Morgan Stanley Mortgage Loan Trust,
Series 2004-11AR, Class 1A1
(CME Term SOFR 1-Month plus 0.43%)
5.76%		01/25/351		59,447		55,400
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
5.39%		09/25/346		245,620		236,905
Morgan Stanley Mortgage Loan Trust,
Series 2005-2AR, Class A
(CME Term SOFR 1-Month plus 0.37%)
5.70%		04/25/351		612,707		605,585
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2
5.96%		06/25/366		654,332		185,240
Morgan Stanley Mortgage Loan Trust,
Series 2007-7AX, Class 2A1
(CME Term SOFR 1-Month plus 0.35%)
5.68%		04/25/371		4,070,919		1,116,152
Mortgage Funding PLC,
Series 2008-1, Class A3
(United Kingdom)
(SONIA plus 1.22%)
6.44%		03/13/461,3		9,900,000		12,458,608
Mortgage IT Trust,
Series 2005-1, Class 1A1
(CME Term SOFR 1-Month plus 0.75%)
6.08%		02/25/351		1,436,692		1,432,324

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 190

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MortgageIT Trust,
Series 2005-4, Class A1
(CME Term SOFR 1-Month plus 0.67%)
6.00%		10/25/351	$	1,486,422	$	1,479,848
MortgageIT Trust,
Series 2005-5, Class A1
(CME Term SOFR 1-Month plus 0.63%)
5.96%		12/25/351		311,963		301,372
Nationstar Home Equity Loan Trust,
Series 2007-C, Class 2AV4
(CME Term SOFR 1-Month plus 0.36%)
5.69%		06/25/371		3,899,920		3,718,930
New Century Home Equity Loan Trust,
Series 2005-1, Class M1
(CME Term SOFR 1-Month plus 0.79%)
6.12%		03/25/351		70,447		71,134
NLT Trust,
Series 2021-INV3, Class PT
0.00%		11/25/562,6		154,230,430		141,129,774
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/24)
7.00%		07/25/592		37,525,961		37,858,396
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%		09/15/296		20,571,005		4,181,182
Onslow Bay Mortgage Loan Trust,
Series 2021-NQM4, Class A1
1.96%		10/25/612,6		4,801,466		4,002,097
Ownit Mortgage Loan Trust,
Series 2006-4, Class A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%		05/25/371		4,568,202		4,430,071
Ownit Mortgage Loan Trust,
Series 2006-4, Class A2D
(CME Term SOFR 1-Month plus 0.59%)
5.92%		05/25/371		14,615,107		11,453,860
Popular ABS Mortgage Pass-Through Trust,
Series 2005-6, Class A5 (STEP-reset date 05/25/24)
3.34%		01/25/36		17,581,726		15,647,592
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(CME Term SOFR 1-Month plus 0.42%)
5.75%		06/25/471		19,761,559		17,930,943
Popular ABS, Inc.,
Series 1998-1, Class A2 (STEP-reset date 05/25/24)
7.48%		11/25/29		44,896		42,424
PRET LLC,
Series 2022-RN2, Class A1 (STEP-reset date 04/25/24)
5.00%		06/25/522		191,690,539		187,439,361
PRPM LLC,
Series 2022-3, Class A1 (STEP-reset date 04/25/24)
5.56%		06/25/272		28,868,680		28,526,026
PRPM LLC,
Series 2022-4, Class A1 (STEP-reset date 04/25/24)
5.00%		08/25/272		54,690,688		53,553,313

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
4.41%		04/25/356	$	16,795	$	16,673
Residential Accredit Loans Trust,
Series 2005-QA7, Class A1
4.63%		07/25/356		1,978,836		1,534,573
Residential Accredit Loans Trust,
Series 2005-QO5, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
6.09%		01/25/461		3,407,346		2,674,792
Residential Accredit Loans Trust,
Series 2006-QA1, Class A11
5.28%		01/25/366		95,611		73,569
Residential Accredit Loans Trust,
Series 2006-QA1, Class A21
5.26%		01/25/366		7,885,956		5,691,744
Residential Accredit Loans Trust,
Series 2006-QA7, Class 2A1
(CME Term SOFR 1-Month plus 0.48%)
5.81%		08/25/361		12,971,820		11,701,900
Residential Accredit Loans Trust,
Series 2006-QS10, Class AV (IO)
0.55%		08/25/364,5,6		12,157,336		215,060
Residential Accredit Loans Trust,
Series 2006-QS12, Class 2A9
(CME Term SOFR 1-Month plus 0.49%)
5.82%		09/25/361		120,705		88,648
Residential Accredit Loans Trust,
Series 2006-QS2, Class 1AV (IO)
0.48%		02/25/364,5,6		43,741,156		569,125
Residential Accredit Loans Trust,
Series 2006-QS7, Class AV (IO)
0.72%		06/25/364,5,6		20,048,242		343,197
Residential Accredit Loans Trust,
Series 2006-QS8, Class AV (IO)
0.79%		08/25/364,5,6		49,281,825		1,110,650
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2A4
(CME Term SOFR 1-Month plus 0.66%)
5.99%		01/25/371		9,128,288		6,212,438
Residential Accredit Loans Trust,
Series 2007-QS10, Class AV (IO)
0.48%		09/25/374,5,6		37,425,934		680,269
Residential Accredit Loans Trust,
Series 2007-QS4, Class 3AV (IO)
0.36%		03/25/374,5,6		23,641,197		263,718
Residential Accredit Loans Trust,
Series 2007-QS5, Class AV (IO)
0.29%		03/25/374,5,6		25,839,577		308,307
Residential Accredit Loans Trust,
Series 2007-QS6, Class AV (IO)
0.33%		04/25/374,5,6		56,183,330		478,794
Residential Accredit Loans Trust,
Series 2007-QS7, Class 2AV (IO)
0.38%		06/25/374,5,6		21,579,998		224,784

See accompanying Notes to Financial Statements.

191 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2007-QS8, Class AV (IO)
0.43%		06/25/374,5,6	$	50,640,246	$	887,754
Residential Asset Mortgage Products Trust,
Series 2004-SL3, Class A4
8.50%		12/25/31		11,719		5,629
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(CME Term SOFR 1-Month plus 0.44%)
5.94%		04/25/361		212,670		209,813
Residential Asset Securitization Trust,
Series 2004-IP2, Class 1A1
5.96%		12/25/346		122,079		121,218
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
4.09%		12/25/346		10,439		9,335
Residential Asset Securitization Trust,
Series 2004-IP2, Class 3A1
6.07%		12/25/346		240,180		228,133
Residential Asset Securitization Trust,
Series 2006-A7CB, Class 1A3
6.25%		07/25/36		1,506,242		1,157,614
Residential Funding Mortgage Securities Trust,
Series 2005-SA5, Class 1A
4.03%		11/25/356		2,069,282		1,244,573
Residential Funding Mortgage Securities Trust,
Series 2006-SA3, Class 3A1
5.65%		09/25/366		119,234		105,899
Residential Funding Mortgage Securities Trust,
Series 2006-SA4, Class 2A1
5.55%		11/25/366		31,991		27,633
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 2A2
5.39%		04/25/376		768,857		634,162
Saxon Asset Securities Trust,
Series 2001-2, Class AF6 (STEP-reset date 05/25/24)
6.81%		06/25/16		5		9
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(CME Term SOFR 1-Month plus 0.35%)
5.68%		05/25/471		151,923		106,216
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/24)
2.84%		01/25/36		5,389,648		4,375,265
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB5, Class A3
(CME Term SOFR 1-Month plus 0.39%)
5.72%		06/25/361		188,112		124,336
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2A
(CME Term SOFR 1-Month plus 0.33%)
5.66%		02/25/371		5,110,607		2,166,224
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR1, Class A2B
(CME Term SOFR 1-Month plus 0.65%)
5.98%		02/25/371		25,299,102		10,748,121

Issues		Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(CME Term SOFR 1-Month plus 0.57%)
5.90%		02/25/371	$	33,215,532	$	14,668,013
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2A
(CME Term SOFR 1-Month plus 0.24%)
5.57%		05/25/371		10,809,322		8,072,717
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR5, Class A2C
(CME Term SOFR 1-Month plus 0.46%)
5.79%		05/25/371		8,152,297		6,087,975
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(CME Term SOFR 1-Month plus 0.41%)
5.74%		12/25/361		25,118,020		12,160,701
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC2, Class A2B
(CME Term SOFR 1-Month plus 0.39%)
5.72%		01/25/371		12,301,795		9,710,568
Sequoia Mortgage Trust,
Series 2003-2, Class A1
(CME Term SOFR 1-Month plus 0.77%)
6.10%		06/20/331		12,593		12,190
Sequoia Mortgage Trust,
Series 2003-8, Class A1
(CME Term SOFR 1-Month plus 0.75%)
6.08%		01/20/341		458		440
Sequoia Mortgage Trust,
Series 2004-3, Class A
(TSFR6M plus 0.93%)
6.42%		05/20/341		35,038		34,988
Sequoia Mortgage Trust,
Series 2004-4, Class A
(TSFR6M plus 0.95%)
6.44%		05/20/341		46,779		44,626
SG Mortgage Securities Trust,
Series 2007-NC1, Class A2
(CME Term SOFR 1-Month plus 0.35%)
5.68%		12/25/361,2		11,586,234		6,839,504
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(CME Term SOFR 1-Month plus 0.79%)
6.12%		06/25/351		4,288,343		4,187,021
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-1, Class 3A3
6.42%		02/25/346		5,257		4,881
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
5.59%		09/25/346		1,580,715		1,521,202
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 1A
6.01%		10/25/346		23,172		23,142
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-14, Class 2A
6.43%		10/25/346		2,327,918		2,267,699

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 192

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-15, Class A
5.58%		10/25/346	$	1,123,087	$	1,076,756
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-17, Class A1
4.18%		11/25/346		20,790		18,309
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-20, Class 1A2
5.35%		01/25/356		250,907		230,939
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
5.69%		06/25/356		278,217		239,781
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-18, Class 7A3
4.31%		09/25/356		8,765,885		4,703,543
Structured Adjustable Rate Mortgage Loan Trust,
Series 2006-12, Class 1A1
(CME Term SOFR 1-Month plus 0.43%)
5.76%		01/25/371		13,021,184		11,461,670
Structured Adjustable Rate Mortgage Loan Trust,
Series 2007-9, Class 2A1
4.43%		10/25/476		439,515		282,923
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A1A
(CME Term SOFR 1-Month plus 0.67%)
6.00%		02/25/361		226,420		187,041
Structured Asset Mortgage Investments II Trust,
Series 2005-AR8, Class A3
(Federal Reserve US 12-Month Cumulative Average plus 2.00%)
7.06%		02/25/361		7,303,881		6,086,027
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1A
(CME Term SOFR 1-Month plus 0.53%)
5.86%		08/25/361		9,307,971		7,359,323
Structured Asset Mortgage Investments II Trust,
Series 2006-AR8, Class A1BG
(CME Term SOFR 1-Month plus 0.23%)
5.56%		10/25/361		7,892,042		6,755,588
Structured Asset Mortgage Investments II Trust,
Series 2007-AR6, Class A1
(Federal Reserve US 12-Month Cumulative Average plus 1.50%)
6.59%		08/25/471		79,145,413		66,244,679
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 1997-2, Class 2A4
7.25%		03/28/30		219		212
Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
Series 2003-26A, Class 3A5
6.51%		09/25/336		68,120		65,307
Structured Asset Securities Corp. Trust,
Series 2005-5, Class 2A4
5.50%		04/25/35		760,594		699,873

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-3, Class 1A1
5.03%		06/25/376	$	1,304,959	$	823,521
Thornburg Mortgage Securities Trust,
Series 2004-4, Class 2A
5.01%		12/25/446		55,776		51,100
Wachovia Mortgage Loan Trust,
Series 2006-ALT1, Class A3
(CME Term SOFR 1-Month plus 0.57%)
2.02%		01/25/371		9,524,155		3,561,832
Wachovia Mortgage Loan Trust,
Series 2006-AMN1, Class A3
(CME Term SOFR 1-Month plus 0.59%)
1.90%		08/25/361		14,927,677		5,146,178
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(CME Term SOFR 1-Month plus 0.22%)
5.55%		01/25/371		2,831,005		1,324,631
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A4
(CME Term SOFR 1-Month plus 0.34%)
5.67%		01/25/371		8,772,526		3,796,975
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
5.39%		06/25/336		1,237,760		1,190,697
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR3, Class A2
4.65%		06/25/346		12,615		11,454
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(CME Term SOFR 1-Month plus 0.95%)
6.28%		05/25/441		4,542		4,543
WaMu Mortgage Pass-Through Certificates,
Series 2005-3, Class 2A3
(CME Term SOFR 1-Month plus 0.66%)
5.50%		05/25/351		1,225,476		951,807
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(CME Term SOFR 1-Month plus 0.61%)
5.50%		06/25/351		2,451,383		2,071,326
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR1, Class A1A
(CME Term SOFR 1-Month plus 0.75%)
6.08%		01/25/451		290,873		273,175
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR13, Class A1A1
(CME Term SOFR 1-Month plus 0.69%)
6.02%		10/25/451		1,927,469		1,847,133
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
4.72%		12/25/356		1,199,698		1,068,321
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR15, Class A1A1
(CME Term SOFR 1-Month plus 0.63%)
5.96%		11/25/451		13,796,424		12,609,717

See accompanying Notes to Financial Statements.

193 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR17, Class A1A1
(CME Term SOFR 1-Month plus 0.65%)
5.98%		12/25/451	$	6,314,817	$	5,555,169
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR19, Class A1A2
(CME Term SOFR 1-Month plus 0.69%)
6.02%		12/25/451		5,643,692		5,461,816
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A1A
(CME Term SOFR 1-Month plus 0.73%)
6.06%		01/25/451		346,217		338,236
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(CME Term SOFR 1-Month plus 0.77%)
6.10%		01/25/451		29,444		28,765
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A23
(CME Term SOFR 1-Month plus 0.87%)
6.20%		01/25/451		1,229,415		1,201,127
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR6, Class 2A1A
(CME Term SOFR 1-Month plus 0.57%)
5.90%		04/25/451		54,614		53,154
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR8, Class 1A1A
(CME Term SOFR 1-Month plus 0.65%)
5.98%		07/25/451		58,451		55,398
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR10, Class 1A4
4.44%		09/25/366		6,002,269		5,346,834
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR16, Class 3A1
4.06%		12/25/366		349,099		299,813
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 1.00%)
6.09%		02/25/461		7,582,540		6,641,174
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.94%)
4.49%		05/25/461		2,641,256		2,383,900
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus 0.98%)
6.07%		07/25/461		4,665,662		4,027,193
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY7, Class 4A2
4.54%		07/25/376		139,068		115,235

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2007-OA1, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus 0.70%)
5.79%		02/25/471	$	7,409,161	$	6,161,458
WaMu MSC Mortgage Pass-Through Certificates,
Series 2002-AR1, Class 1A1
6.57%		11/25/306		48,983		48,715
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%		11/25/37		68,201		58,243
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR1, Class 1A1
6.45%		03/25/366		1,129,536		1,066,458
						4,995,538,922
U.S. Agency Commercial Mortgage-Backed — 0.76%
Fannie Mae Pool AM4869
4.07%		12/01/25		1,626,589		1,601,038
Fannie Mae Pool AM6770
3.77%		09/01/29		150,484		144,517
Fannie Mae Pool BL6060
2.46%		04/01/40		125,360,000		90,491,521
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K157, Class A3
3.99%		08/25/336		300,000		281,671
Ginnie Mae,
Series 2020-193, Class AC
1.25%		09/16/62		33,055,429		23,365,669
Ginnie Mae,
Series 2020-193, Class IO (IO)
0.78%		09/16/626		553,699,302		30,596,316
Ginnie Mae,
Series 2021-10, Class IO (IO)
0.99%		05/16/636		60,463,002		4,216,575
Ginnie Mae,
Series 2021-14, Class AB
1.34%		06/16/63		42,181,201		31,494,758
Ginnie Mae,
Series 2021-150, Class IO (IO)
1.03%		11/16/636		33,397,066		2,230,750
Ginnie Mae,
Series 2021-17, Class IO (IO)
1.05%		01/16/616		133,352,039		9,957,937
Ginnie Mae,
Series 2021-2, Class AH
1.50%		06/16/63		98,112,553		73,875,063
Ginnie Mae,
Series 2021-21, Class AH
1.40%		06/16/63		67,668,900		51,464,333
Ginnie Mae,
Series 2021-31, Class B
1.25%		01/16/61		73,536,083		55,673,475

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 194

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2021-31, Class IO (IO)
0.94%		01/16/616	$	112,454,822	$	7,487,658
Ginnie Mae,
Series 2022-32, Class IO (IO)
0.53%		02/01/626		272,080,457		11,645,479
						394,526,760
U.S. Agency Mortgage-Backed — 38.80%
Fannie Mae Pool 190375
5.50%		11/01/36		300,545		306,913
Fannie Mae Pool 190396
4.50%		06/01/39		4,220		4,127
Fannie Mae Pool 313182
7.50%		10/01/26		255		255
Fannie Mae Pool 394854
6.50%		05/01/27		143		146
Fannie Mae Pool 545191
7.00%		09/01/31		1,159		1,179
Fannie Mae Pool 545756
7.00%		06/01/32		243		254
Fannie Mae Pool 613142
7.00%		11/01/31		4,881		5,034
Fannie Mae Pool 625666
7.00%		01/01/32		2,309		2,381
Fannie Mae Pool 633698
7.50%		02/01/31		16,764		17,166
Fannie Mae Pool 655928
7.00%		08/01/32		51,246		53,094
Fannie Mae Pool 725257
5.50%		02/01/34		394,528		402,858
Fannie Mae Pool 734830
4.50%		08/01/33		5,477		5,353
Fannie Mae Pool 734922
4.50%		09/01/33		646,759		632,192
Fannie Mae Pool 735207
7.00%		04/01/34		9,258		9,473
Fannie Mae Pool 735224
5.50%		02/01/35		1,399,417		1,429,013
Fannie Mae Pool 735651
4.50%		06/01/35		1,637,030		1,618,543
Fannie Mae Pool 740297
5.50%		10/01/33		819		837
Fannie Mae Pool 745147
4.50%		12/01/35		10,027		9,801
Fannie Mae Pool 753168
4.50%		12/01/33		3,410		3,333
Fannie Mae Pool 815422
4.50%		02/01/35		17,669		17,270
Fannie Mae Pool 839109
(RFUCCT1Y plus 1.91%)
6.16%		11/01/351		3,090		3,084
Fannie Mae Pool 844773
(RFUCCT1Y plus 1.56%)
5.81%		12/01/351		1,439		1,435

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool 888412
7.00%		04/01/37	$	63,757	$	64,047
Fannie Mae Pool 889184
5.50%		09/01/36		1,464,450		1,495,422
Fannie Mae Pool AB1613
4.00%		10/01/40		13,936,351		13,276,143
Fannie Mae Pool AB1803
4.00%		11/01/40		16,748,777		16,006,171
Fannie Mae Pool AB2127
3.50%		01/01/26		1,939,779		1,905,813
Fannie Mae Pool AB3679
3.50%		10/01/41		5,810,478		5,376,520
Fannie Mae Pool AB3864
3.50%		11/01/41		4,327,873		3,997,293
Fannie Mae Pool AB4045
3.50%		12/01/41		5,626,732		5,232,893
Fannie Mae Pool AB4262
3.50%		01/01/32		2,583,653		2,485,068
Fannie Mae Pool AB6385
3.00%		10/01/42		197,266		176,880
Fannie Mae Pool AB9703
3.50%		06/01/43		10,295,877		9,432,541
Fannie Mae Pool AC8279
4.50%		08/01/39		5,987		5,823
Fannie Mae Pool AE0138
4.50%		03/01/40		24,867		24,397
Fannie Mae Pool AE0482
5.50%		01/01/38		3,401,327		3,459,704
Fannie Mae Pool AH3780
4.00%		02/01/41		6,623,531		6,313,962
Fannie Mae Pool AJ1404
4.00%		09/01/41		8,581,276		8,134,018
Fannie Mae Pool AL0209
4.50%		05/01/41		10,158,458		9,948,261
Fannie Mae Pool AL0851
6.00%		10/01/40		5,776,628		6,038,192
Fannie Mae Pool AL2521
3.50%		09/01/42		65,283		60,544
Fannie Mae Pool AL4597
4.00%		01/01/44		26,381,882		25,072,761
Fannie Mae Pool AL6348
3.50%		02/01/45		22,910		21,023
Fannie Mae Pool AL7092
3.00%		07/01/45		36,705		32,648
Fannie Mae Pool AL8037
4.50%		07/01/34		77,194		75,906
Fannie Mae Pool AL8256
3.00%		08/01/43		332,048		297,824
Fannie Mae Pool AL8356
4.50%		07/01/34		179,693		176,751
Fannie Mae Pool AL8960
4.50%		05/01/46		15,621,442		15,265,552
Fannie Mae Pool AL9106
4.50%		02/01/46		19,554,679		19,109,180
Fannie Mae Pool AL9217
3.50%		10/01/46		13,850,787		12,724,641

See accompanying Notes to Financial Statements.

195 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool AL9472
4.00%		10/01/43	$	3,255,424	$	3,085,833
Fannie Mae Pool AL9722
4.50%		08/01/46		64,452,518		62,984,147
Fannie Mae Pool AL9846
4.50%		02/01/47		67,907,391		66,360,310
Fannie Mae Pool AS8605
3.00%		01/01/32		89,335		84,656
Fannie Mae Pool AS8663
4.50%		01/01/47		11,730,784		11,398,336
Fannie Mae Pool AS9830
4.00%		06/01/47		21,548,459		20,379,977
Fannie Mae Pool AS9972
4.00%		07/01/47		19,465,282		18,344,028
Fannie Mae Pool AT9649
4.00%		07/01/43		114,690		109,836
Fannie Mae Pool AU3739
3.50%		08/01/43		19,060,392		17,544,747
Fannie Mae Pool BD2450
3.50%		01/01/47		39,498		36,092
Fannie Mae Pool BM4299
3.00%		03/01/30		11,064,593		10,741,602
Fannie Mae Pool BM4304
3.00%		02/01/30		13,337,973		12,965,360
Fannie Mae Pool BM5164
4.00%		11/01/48		23,900,815		22,566,452
Fannie Mae Pool BM5507
3.00%		09/01/48		5,266,393		4,651,155
Fannie Mae Pool BN4316
4.00%		01/01/49		16,183		15,294
Fannie Mae Pool BQ6913
2.00%		12/01/51		429,272,446		340,424,919
Fannie Mae Pool BQ7006
2.00%		01/01/52		102,788,297		81,513,962
Fannie Mae Pool BT6823
2.50%		10/01/51		104,177,209		86,495,026
Fannie Mae Pool BU1450
2.00%		01/01/52		172,121,108		136,496,797
Fannie Mae Pool BU1452
2.00%		01/01/52		259,286,996		205,509,924
Fannie Mae Pool BV2994
2.50%		04/01/52		2,590,728		2,143,634
Fannie Mae Pool BV7773
2.50%		04/01/52		93,911,083		77,763,115
Fannie Mae Pool BV8459
3.00%		04/01/52		135,324,019		116,571,942
Fannie Mae Pool BW9897
4.50%		10/01/52		89,414,683		85,205,533
Fannie Mae Pool CA0862
3.50%		09/01/47		2,077,651		1,892,494
Fannie Mae Pool CA0996
3.50%		01/01/48		28,623		26,162
Fannie Mae Pool CA1187
3.50%		02/01/48		32,004,463		29,166,814
Fannie Mae Pool CA1191
3.50%		11/01/47		2,404,922		2,189,849

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool CA1710
4.50%		05/01/48	$	72,213	$	69,819
Fannie Mae Pool CA1711
4.50%		05/01/48		7,157,269		6,920,002
Fannie Mae Pool CA2208
4.50%		08/01/48		15,640,479		15,121,990
Fannie Mae Pool CA2327
4.00%		09/01/48		22,174,367		21,007,518
Fannie Mae Pool CA2493
4.50%		10/01/48		4,167,696		4,026,141
Fannie Mae Pool CA3633
3.50%		06/01/49		16,132,849		14,754,759
Fannie Mae Pool CA4011
3.50%		08/01/49		14,834,237		13,210,918
Fannie Mae Pool CA5689
3.00%		05/01/50		54,700,292		47,929,481
Fannie Mae Pool CA8513
2.50%		01/01/51		49,879,479		41,255,963
Fannie Mae Pool CB0610
2.50%		05/01/51		57,746,955		48,268,540
Fannie Mae Pool CB2313
2.50%		12/01/51		145,542,749		121,443,629
Fannie Mae Pool CB2365
2.00%		09/01/51		155,097,316		123,170,326
Fannie Mae Pool CB2767
2.00%		01/01/52		68,625,995		54,741,158
Fannie Mae Pool CB3582
3.00%		05/01/52		15,880,491		13,724,441
Fannie Mae Pool CB5675
4.50%		02/01/53		48,555,882		46,283,630
Fannie Mae Pool CB6854
4.50%		08/01/53		35,336,971		33,673,602
Fannie Mae Pool FM2310
3.00%		01/01/48		8,283,566		7,306,574
Fannie Mae Pool FM2318
3.50%		09/01/49		140,278,637		128,003,040
Fannie Mae Pool FM2388
3.50%		04/01/48		14,420,459		13,229,970
Fannie Mae Pool FM9672
2.50%		12/01/51		118,001,342		97,657,380
Fannie Mae Pool FS1571
2.00%		04/01/52		36,007,270		28,532,256
Fannie Mae Pool FS1598
2.00%		04/01/52		96,553,389		76,463,155
Fannie Mae Pool FS1622
2.00%		03/01/52		189,579,332		150,341,652
Fannie Mae Pool FS2536
2.50%		02/01/52		3,595,214		2,982,811
Fannie Mae Pool FS2943
2.00%		02/01/51		39,809,297		31,669,397
Fannie Mae Pool FS3275
3.00%		04/01/52		19,721,259		17,039,806
Fannie Mae Pool FS5494
3.00%		07/01/52		154,142,270		132,882,853
Fannie Mae Pool FS5635
4.00%		11/01/52		69,227,163		64,117,678

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 196

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool FS6789
3.00%		12/01/52	$	73,966,026	$	63,716,429
Fannie Mae Pool MA1146
4.00%		08/01/42		16,270,741		15,461,743
Fannie Mae Pool MA1177
3.50%		09/01/42		21,753,982		20,067,047
Fannie Mae Pool MA1404
3.50%		04/01/43		45,055		41,277
Fannie Mae Pool MA1432
3.00%		05/01/33		33,483		31,444
Fannie Mae Pool MA1459
3.00%		06/01/33		15,852		14,875
Fannie Mae Pool MA1527
3.00%		08/01/33		23,199,129		21,767,285
Fannie Mae Pool MA1561
3.00%		09/01/33		14,717,888		13,806,460
Fannie Mae Pool MA1582
3.50%		09/01/43		7,578,648		6,943,184
Fannie Mae Pool MA1584
3.50%		09/01/33		22,318,335		21,299,114
Fannie Mae Pool MA1608
3.50%		10/01/33		15,402,412		14,742,141
Fannie Mae Pool MA1982
3.50%		08/01/34		30,956		29,382
Fannie Mae Pool MA2895
3.00%		02/01/47		37,443		33,069
Fannie Mae Pool MA2960
4.00%		04/01/47		18,269,444		17,216,604
Fannie Mae Pool MA3027
4.00%		06/01/47		13,717,344		12,926,834
Fannie Mae Pool MA3029
3.00%		06/01/32		14,179,673		13,453,307
Fannie Mae Pool MA3060
3.00%		07/01/32		6,374		6,034
Fannie Mae Pool MA3120
3.50%		09/01/47		1,064,255		969,411
Fannie Mae Pool MA3182
3.50%		11/01/47		22,577,830		20,574,846
Fannie Mae Pool MA3210
3.50%		12/01/47		39,122,103		35,687,574
Fannie Mae Pool MA3238
3.50%		01/01/48		33,882,554		30,876,676
Fannie Mae Pool MA3276
3.50%		02/01/48		13,280,021		12,101,889
Fannie Mae Pool MA3305
3.50%		03/01/48		17,742,109		16,155,544
Fannie Mae Pool MA3332
3.50%		04/01/48		48,857,588		44,488,563
Fannie Mae Pool MA3364
3.50%		05/01/33		5,383,510		5,177,985
Fannie Mae Pool MA3537
4.50%		12/01/48		9,340,038		9,031,149
Fannie Mae Pool MA3811
3.00%		10/01/49		5,473,107		4,709,326
Fannie Mae Pool MA3846
3.00%		11/01/49		29,780		25,624

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae Pool MA3942
3.00%		02/01/50	$	10,663,918	$	9,032,216
Fannie Mae Pool MA3997
3.00%		04/01/50		13,152,927		11,265,908
Fannie Mae Pool MA4128
2.00%		09/01/40		117,184,248		99,045,902
Fannie Mae Pool MA4158
2.00%		10/01/50		165,470,609		132,104,261
Fannie Mae Pool MA4237
2.00%		01/01/51		2,247,520		1,790,211
Fannie Mae Pool MA4281
2.00%		03/01/51		36,491,504		29,030,000
Fannie Mae Pool MA4305
2.00%		04/01/51		81,941,164		65,160,855
Fannie Mae Pool MA4333
2.00%		05/01/41		67,952,129		57,030,703
Fannie Mae Pool MA4492
2.00%		12/01/51		90,367,076		71,703,107
Fannie Mae Pool MA4493
2.50%		12/01/51		145,847,545		120,944,894
Fannie Mae Pool MA4547
2.00%		02/01/52		17,948,210		14,225,686
Fannie Mae Pool MA4548
2.50%		02/01/52		171,722,043		142,294,914
Fannie Mae Pool MA4562
2.00%		03/01/52		141,706,930		112,288,947
Fannie Mae Pool MA4563
2.50%		03/01/52		209,868,091		173,764,918
Fannie Mae Pool MA4577
2.00%		04/01/52		126,045,351		99,846,935
Fannie Mae Pool MA4578
2.50%		04/01/52		340,786,969		282,162,092
Fannie Mae Pool MA4733
4.50%		09/01/52		316,564,744		301,657,757
Fannie Mae REMICS,
Series 1999-11, Class Z
5.50%		03/25/29		7,158		6,870
Fannie Mae REMICS,
Series 2001-52, Class YZ
6.50%		10/25/31		48,708		49,636
Fannie Mae REMICS,
Series 2005-122, Class SG (IO)
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap)
1.17%		11/25/351		12,022		141
Fannie Mae REMICS,
Series 2005-92, Class US (IO)
(-1.00 X SOFR30A plus 5.99%, 6.10% Cap)
0.67%		10/25/251		118,481		320
Fannie Mae REMICS,
Series 2006-4, Class WE
4.50%		02/25/36		20,918		20,373
Fannie Mae REMICS,
Series 2006-49, Class SE
(-4.00 X SOFR30A plus 28.54%, 29.00% Cap)
7.26%		04/25/361		583,413		603,039

See accompanying Notes to Financial Statements.

197 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2007-17, Class SI (IO)
(-1.00 X SOFR30A plus 6.29%, 6.40% Cap)
0.97%		03/25/371	$	598,052	$	48,916
Fannie Mae REMICS,
Series 2007-34, Class SB (IO)
(-1.00 X SOFR30A plus 6.00%, 6.11% Cap)
0.68%		04/25/371		1,284,729		88,813
Fannie Mae REMICS,
Series 2007-64, Class FA
(SOFR30A plus 0.58%)
5.90%		07/25/371		1,828		1,819
Fannie Mae REMICS,
Series 2008-24, Class NA
6.75%		06/25/37		131,917		136,929
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap)
1.17%		10/25/401		1,706,023		164,541
Fannie Mae REMICS,
Series 2010-17, Class SB (IO)
(-1.00 X SOFR30A plus 6.24%, 6.35% Cap)
0.92%		03/25/401		3,528,862		317,569
Fannie Mae REMICS,
Series 2010-43, Class KS (IO)
(-1.00 X SOFR30A plus 6.31%, 6.42% Cap)
0.99%		05/25/401		6,240,550		578,891
Fannie Mae REMICS,
Series 2011-101, Class HE
4.00%		10/25/41		7,217,331		6,895,849
Fannie Mae REMICS,
Series 2011-111, Class DB
4.00%		11/25/41		6,600,356		6,277,832
Fannie Mae REMICS,
Series 2012-84, Class VZ
3.50%		08/25/42		5,555,957		5,166,122
Fannie Mae REMICS,
Series 2013-101, Class BO (PO)
0.00%		10/25/438		8,848,438		6,536,022
Fannie Mae REMICS,
Series 2013-101, Class CO (PO)
0.00%		10/25/438		5,079,480		3,745,533
Fannie Mae REMICS,
Series 2016-45, Class AF
(SOFR30A plus 0.61%)
5.93%		07/25/461		6,455,295		6,317,772
Fannie Mae REMICS,
Series 2016-72, Class FA
(SOFR30A plus 0.61%)
5.93%		10/25/461		13,194,802		12,907,516
Fannie Mae REMICS,
Series 2016-74, Class GF
(SOFR30A plus 0.61%)
5.93%		10/25/461		10,412,904		10,249,331

Issues		Maturity  Date	Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2016-75, Class FL
(SOFR30A plus 0.61%)
5.93%		10/25/461	$	10,387,945	$	10,225,295
Fannie Mae REMICS,
Series 2018-29, Class AP
3.50%		11/25/46		18,749,976		18,186,302
Fannie Mae REMICS,
Series 2018-38, Class LA
3.00%		06/25/48		12,778,072		11,269,500
Fannie Mae REMICS,
Series 2018-38, Class PA
3.50%		06/25/47		15,936		15,021
Fannie Mae REMICS,
Series 2018-45, Class GA
3.00%		06/25/48		14,283,931		12,402,472
Fannie Mae REMICS,
Series 2018-57, Class QA
3.50%		05/25/46		9,934		9,758
Fannie Mae REMICS,
Series 2018-86, Class JA
4.00%		05/25/47		533,671		518,199
Fannie Mae REMICS,
Series 2018-94, Class KD
3.50%		12/25/48		3,095,100		2,779,557
Fannie Mae REMICS,
Series 2019-1, Class AB
3.50%		02/25/49		1,239,633		1,131,850
Fannie Mae REMICS,
Series 2019-1, Class KP
3.25%		02/25/49		1,253,273		1,128,279
Fannie Mae REMICS,
Series 2019-26, Class JE
3.00%		06/25/49		3,696,273		3,212,312
Fannie Mae REMICS,
Series 2019-45, Class PA
3.00%		08/25/49		13,555,635		11,958,107
Fannie Mae REMICS,
Series 2019-52, Class PA
3.00%		09/25/49		3,913,623		3,425,687
Fannie Mae REMICS,
Series 2019-67, Class FE
(SOFR30A plus 0.56%)
5.88%		11/25/491		25,691,067		25,075,426
Fannie Mae REMICS,
Series 2019-79, Class FA
(SOFR30A plus 0.61%)
5.93%		01/25/501		71,609		70,672
Fannie Mae Trust,
Series 2003-W2, Class 2A9
5.90%		07/25/42		14,725		14,601
Freddie Mac Gold Pool A24156
6.50%		10/01/31		31,600		32,370
Freddie Mac Gold Pool A25162
5.50%		05/01/34		701,140		716,633

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 198

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool A39012
5.50%			06/01/35	$	17,058	$	17,481
Freddie Mac Gold Pool A54856
5.00%			01/01/34		1,439,521		1,432,585
Freddie Mac Gold Pool A61164
5.00%			04/01/36		4,560		4,576
Freddie Mac Gold Pool A97038
4.00%			02/01/41		5,150,420		4,941,089
Freddie Mac Gold Pool C01492
5.00%			02/01/33		176,335		176,764
Freddie Mac Gold Pool C04546
3.00%			02/01/43		9,616,291		8,600,987
Freddie Mac Gold Pool C04573
3.00%			03/01/43		11,841,123		10,591,275
Freddie Mac Gold Pool C46104
6.50%			09/01/29		3,991		4,098
Freddie Mac Gold Pool C55789
7.50%			10/01/27		505		504
Freddie Mac Gold Pool G00992
7.00%			11/01/28		219		226
Freddie Mac Gold Pool G01515
5.00%			02/01/33		221,410		221,739
Freddie Mac Gold Pool G02579
5.00%			12/01/34		333,393		335,692
Freddie Mac Gold Pool G02884
6.00%			04/01/37		1,041,487		1,089,973
Freddie Mac Gold Pool G02955
5.50%			03/01/37		1,542,196		1,580,039
Freddie Mac Gold Pool G03357
5.50%			08/01/37		445,152		457,318
Freddie Mac Gold Pool G03676
5.50%			12/01/37		1,004,323		1,028,576
Freddie Mac Gold Pool G03783
5.50%			01/01/38		844,523		864,917
Freddie Mac Gold Pool G03985
6.00%			03/01/38		5,282		5,501
Freddie Mac Gold Pool G04438
5.50%			05/01/38		2,290,319		2,349,066
Freddie Mac Gold Pool G04703
5.50%			08/01/38		1,783,459		1,829,259
Freddie Mac Gold Pool G04706
5.50%			09/01/38		74,487		76,395
Freddie Mac Gold Pool G05866
4.50%			02/01/40		7,432,600		7,302,504
Freddie Mac Gold Pool G06361
4.00%			03/01/41		10,319		9,844
Freddie Mac Gold Pool G06498
4.00%			04/01/41		9,993,879		9,522,940
Freddie Mac Gold Pool G06499
4.00%			03/01/41		4,351,814		4,163,987
Freddie Mac Gold Pool G07408
3.50%			06/01/43		10,971,051		10,193,990
Freddie Mac Gold Pool G07786
4.00%			08/01/44		84,322,615		80,558,103
Freddie Mac Gold Pool G07848
3.50%			04/01/44		52,660,555		48,853,242

Issues		Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G07849
3.50%			05/01/44	$	6,954,894	$	6,453,583
Freddie Mac Gold Pool G07924
3.50%			01/01/45		7,739,175		7,116,520
Freddie Mac Gold Pool G07925
4.00%			02/01/45		5,548,213		5,271,268
Freddie Mac Gold Pool G08676
3.50%			11/01/45		18,844,915		17,282,263
Freddie Mac Gold Pool G08681
3.50%			12/01/45		12,654,982		11,605,609
Freddie Mac Gold Pool G08698
3.50%			03/01/46		651		597
Freddie Mac Gold Pool G08710
3.00%			06/01/46		76,195,368		67,383,168
Freddie Mac Gold Pool G08711
3.50%			06/01/46		5,360,562		4,902,938
Freddie Mac Gold Pool G08715
3.00%			08/01/46		104,260,435		92,202,434
Freddie Mac Gold Pool G08721
3.00%			09/01/46		10,550,281		9,332,311
Freddie Mac Gold Pool G08722
3.50%			09/01/46		23,985,972		21,938,324
Freddie Mac Gold Pool G08726
3.00%			10/01/46		113,122,972		99,957,523
Freddie Mac Gold Pool G08727
3.50%			10/01/46		21,130,795		19,326,889
Freddie Mac Gold Pool G08732
3.00%			11/01/46		69,717,600		61,603,744
Freddie Mac Gold Pool G08741
3.00%			01/01/47		44,463,555		39,288,808
Freddie Mac Gold Pool G08742
3.50%			01/01/47		33,933,532		31,036,674
Freddie Mac Gold Pool G08747
3.00%			02/01/47		15,635,816		13,816,092
Freddie Mac Gold Pool G08757
3.50%			04/01/47		12,343,655		11,262,823
Freddie Mac Gold Pool G08758
4.00%			04/01/47		9,498		9,001
Freddie Mac Gold Pool G08762
4.00%			05/01/47		9,532,150		9,032,305
Freddie Mac Gold Pool G08779
3.50%			09/01/47		47,729		43,531
Freddie Mac Gold Pool G08784
3.50%			10/01/47		42,168		38,476
Freddie Mac Gold Pool G08792
3.50%			12/01/47		36,204		33,034
Freddie Mac Gold Pool G08826
5.00%			06/01/48		6,942,714		6,897,181
Freddie Mac Gold Pool G08833
5.00%			07/01/48		3,897,082		3,874,281
Freddie Mac Gold Pool G08838
5.00%			09/01/48		2,099,374		2,084,769
Freddie Mac Gold Pool G08840
5.00%			08/01/48		604,941		601,427
Freddie Mac Gold Pool G08843
4.50%			10/01/48		4,907,793		4,747,166

See accompanying Notes to Financial Statements.

199 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G08844
5.00%			10/01/48	$	5,487,712	$	5,451,721
Freddie Mac Gold Pool G08848
4.50%			11/01/48		863,298		837,172
Freddie Mac Gold Pool G08849
5.00%			11/01/48		1,948,033		1,933,446
Freddie Mac Gold Pool G16085
2.50%			02/01/32		1,973,671		1,846,953
Freddie Mac Gold Pool G16502
3.50%			05/01/33		36,581		35,228
Freddie Mac Gold Pool G16524
3.50%			05/01/33		14,567,468		14,028,613
Freddie Mac Gold Pool G16584
3.50%			08/01/33		2,127,941		2,046,568
Freddie Mac Gold Pool G16607
3.50%			09/01/33		20,938,583		20,128,015
Freddie Mac Gold Pool G16623
2.50%			09/01/32		15,696,993		14,709,512
Freddie Mac Gold Pool G16755
3.50%			02/01/34		20,506,859		19,719,773
Freddie Mac Gold Pool G16756
3.50%			01/01/34		1,900,701		1,827,159
Freddie Mac Gold Pool G18592
3.00%			03/01/31		13,889		13,243
Freddie Mac Gold Pool G18596
3.00%			04/01/31		16,218,527		15,524,291
Freddie Mac Gold Pool G18691
3.00%			06/01/33		6,013,347		5,685,453
Freddie Mac Gold Pool G18692
3.50%			06/01/33		8,130,859		7,818,924
Freddie Mac Gold Pool G18713
3.50%			11/01/33		9,839,505		9,447,866
Freddie Mac Gold Pool G18716
3.50%			12/01/33		27,729		26,623
Freddie Mac Gold Pool G60023
3.50%			04/01/45		8,290,765		7,660,004
Freddie Mac Gold Pool G60080
3.50%			06/01/45		87,178,868		80,219,384
Freddie Mac Gold Pool G60138
3.50%			08/01/45		69,319,192		64,045,391
Freddie Mac Gold Pool G60238
3.50%			10/01/45		26,763,861		24,535,555
Freddie Mac Gold Pool G60344
4.00%			12/01/45		64,419		61,207
Freddie Mac Gold Pool G67700
3.50%			08/01/46		20,413,871		18,716,242
Freddie Mac Gold Pool G67703
3.50%			04/01/47		146,927,985		134,643,670
Freddie Mac Gold Pool G67707
3.50%			01/01/48		76,287,045		69,791,582
Freddie Mac Gold Pool G67711
4.00%			03/01/48		43,485,525		41,222,036
Freddie Mac Gold Pool G67713
4.00%			06/01/48		388,385		367,319
Freddie Mac Gold Pool G67714
4.00%			07/01/48		63,485		60,161

Issues		Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Gold Pool G67717
4.00%			11/01/48	$	53,479,963	$	50,679,536
Freddie Mac Gold Pool H00790
5.50%			05/01/37		3,876		3,918
Freddie Mac Gold Pool H05069
5.50%			05/01/37		61,010		61,656
Freddie Mac Gold Pool Q05804
4.00%			01/01/42		17,367,576		16,597,434
Freddie Mac Gold Pool U99097
3.50%			07/01/43		25,098,263		23,023,756
Freddie Mac Gold Pool V62078
3.50%			08/01/33		2,211,428		2,126,588
Freddie Mac Gold Pool V62129
3.50%			08/01/33		5,099,455		4,903,750
Freddie Mac Gold Pool V80356
3.50%			08/01/43		18,065,494		16,613,548
Freddie Mac Pool QD3162
2.00%			12/01/51		134,397,952		106,648,502
Freddie Mac Pool QD7213
2.00%			02/01/52		92,234,564		73,042,964
Freddie Mac Pool QE0312
2.00%			04/01/52		6,366,580		5,041,861
Freddie Mac Pool QE0521
2.50%			04/01/52		2,895,850		2,397,683
Freddie Mac Pool RA4201
2.00%			12/01/50		8,320,288		6,619,019
Freddie Mac Pool RA4398
2.00%			01/01/51		71,247,826		56,755,041
Freddie Mac Pool RA4542
2.50%			02/01/51		43,572,616		36,120,132
Freddie Mac Pool RA5285
2.50%			05/01/51		108,538,059		90,665,113
Freddie Mac Pool RA6507
2.00%			12/01/51		122,668,342		97,514,080
Freddie Mac Pool RB5077
2.00%			10/01/40		88,453,877		74,569,064
Freddie Mac Pool RE6029
3.00%			02/01/50		3,636,629		3,114,890
Freddie Mac Pool SD1178
2.00%			03/01/52		15,823,779		12,541,869
Freddie Mac Pool SD2148
4.50%			01/01/53		48,795,447		46,539,242
Freddie Mac Pool SD2322
4.50%			09/01/52		142,194,941		135,579,023
Freddie Mac Pool SD3302
2.00%			10/01/51		59,149,265		46,991,674
Freddie Mac Pool SD3631
3.00%			07/01/52		74,432,099		64,119,848
Freddie Mac Pool SD3890
3.00%			08/01/52		96,164,969		82,854,402
Freddie Mac Pool SD4636
3.00%			01/01/53		107,801,162		92,893,092
Freddie Mac Pool SD7502
3.50%			07/01/49		6,383,100		5,817,820
Freddie Mac Pool SD7503
3.50%			08/01/49		13,940,229		12,706,616

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 200

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac Pool SD7511
3.50%			01/01/50		$	14,340,815	$	13,062,789
Freddie Mac Pool SD8121
2.00%			01/01/51			112,194		89,496
Freddie Mac Pool SD8182
2.00%			12/01/51			25,842,327		20,498,580
Freddie Mac Pool SD8188
2.00%			01/01/52			40,909,602		32,474,864
Freddie Mac Pool SD8189
2.50%			01/01/52			343,816,890		284,697,731
Freddie Mac Pool SD8193
2.00%			02/01/52			76,742,756		60,826,028
Freddie Mac Pool SD8199
2.00%			03/01/52			128,926,892		102,100,579
Freddie Mac Pool SD8204
2.00%			04/01/52			11,901,637		9,432,803
Freddie Mac Pool SD8205
2.50%			04/01/52			295,471,525		244,642,170
Freddie Mac Pool SD8211
2.00%			05/01/52			11,530,110		9,136,490
Freddie Mac Pool SD8266
4.50%			11/01/52			300,998,484		286,733,458
Freddie Mac Pool ZA5103
3.50%			12/01/47			110,596		100,790
Freddie Mac Pool ZA5128
3.50%			12/01/47			354,799		323,069
Freddie Mac Pool ZM1779
3.00%			09/01/46			11,533,958		10,189,183
Freddie Mac Pool ZM2285
3.00%			12/01/46			13,516,045		11,937,056
Freddie Mac Pool ZS4693
3.00%			12/01/46			13,537,278		11,955,809
Freddie Mac Pool ZS4768
3.50%			05/01/48			925,712		842,347
Freddie Mac Pool ZT0277
3.50%			10/01/46			1,356,429		1,241,481
Freddie Mac Pool ZT1403
3.50%			11/01/33			10,793,736		10,368,173
Freddie Mac REMICS,
Series 1980, Class Z
7.00%			07/15/27			16,714		16,710
Freddie Mac REMICS,
Series 2098, Class TZ
6.00%			01/15/28			72,680		72,534
Freddie Mac REMICS,
Series 2174, Class PN
6.00%			07/15/29			5,517		5,495
Freddie Mac REMICS,
Series 2313, Class LA
6.50%			05/15/31			2,002		2,028
Freddie Mac REMICS,
Series 2433, Class SA
(-2.60 X SOFR30A plus 20.63%, 20.93% Cap)
6.80%			02/15/32	1		3,670		4,035

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 2481, Class AW
6.50%			08/15/32		$	5,639	$	5,686
Freddie Mac REMICS,
Series 3019, Class SW (IO)
(-1.00 X SOFR30A plus 7.09%, 7.20% Cap)
1.77%			08/15/35	1		542,034		66,414
Freddie Mac REMICS,
Series 3063, Class YG
5.50%			11/15/35			1,409,159		1,439,246
Freddie Mac REMICS,
Series 3300, Class SA (IO)
(-1.00 X SOFR30A plus 7.09%, 7.20% Cap)
1.77%			08/15/35	1		239,645		21,077
Freddie Mac REMICS,
Series 3752, Class XL
4.50%			11/15/40			23,437,682		23,080,192
Freddie Mac REMICS,
Series 3891, Class HS (IO)
(-1.00 X SOFR30A plus 5.84%, 5.95% Cap)
0.52%			07/15/41	1		3,030,455		108,582
Freddie Mac REMICS,
Series 3904, Class JB
4.50%			08/15/41			5,477,634		5,392,761
Freddie Mac REMICS,
Series 3925, Class LB
4.50%			09/15/41			9,215,000		8,969,437
Freddie Mac REMICS,
Series 3928, Class JD
4.00%			09/15/41			14,958,568		14,497,346
Freddie Mac REMICS,
Series 4102, Class TC
2.50%			09/15/41			4,709,393		4,474,736
Freddie Mac REMICS,
Series 4161, Class BA
2.50%			12/15/41			7,189,360		6,870,971
Freddie Mac REMICS,
Series 4656, Class EZ
4.00%			02/15/47			205,673		189,836
Freddie Mac REMICS,
Series 4818, Class CA
3.00%			04/15/48			1,084,154		950,352
Freddie Mac REMICS,
Series 4846, Class PA
4.00%			06/15/47			101,116		99,498
Freddie Mac REMICS,
Series 4852, Class CA
4.00%			11/15/47			5,888,536		5,641,802
Freddie Mac REMICS,
Series 4860, Class BH
3.50%			10/15/48			2,169,531		2,050,369
Freddie Mac REMICS,
Series 4860, Class PA
3.50%			02/15/49			1,900,874		1,718,100

See accompanying Notes to Financial Statements.

201 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 4879, Class BC
3.00%			04/15/49		$	626,531	$	562,131
Freddie Mac REMICS,
Series 4896, Class DA
3.00%			01/15/49			630,803		550,377
Freddie Mac REMICS,
Series 4937, Class MF
(SOFR30A plus 0.56%)
5.88%			12/25/49	1		5,022,980		4,941,841
Freddie Mac Strips,
Series 309, Class PO (PO)
0.00%			08/15/43	8		10,586,213		7,878,014
Freddie Mac Strips,
Series 319, Class F2
(SOFR30A plus 0.61%)
5.93%			11/15/43	1		1,812,568		1,774,585
Ginnie Mae (TBA)
2.50%			04/20/54			801,000,000		682,727,344
4.50%			04/20/54			843,125,000		810,345,312
5.00%			04/20/54			704,750,000		692,751,934
5.50%			04/20/54			433,450,000		433,144,118
Ginnie Mae I Pool 782817
4.50%			11/15/39			8,216,571		8,118,328
Ginnie Mae I Pool AA5452
3.50%			07/15/42			67,681		63,047
Ginnie Mae II Pool 2631
7.00%			08/20/28			599		612
Ginnie Mae II Pool 3388
4.50%			05/20/33			1,353		1,324
Ginnie Mae II Pool 3427
4.50%			08/20/33			726		717
Ginnie Mae II Pool 3554
4.50%			05/20/34			607		600
Ginnie Mae II Pool 4058
5.00%			12/20/37			392		395
Ginnie Mae II Pool 4342
5.00%			01/20/39			568		573
Ginnie Mae II Pool 4520
5.00%			08/20/39			10,656		10,739
Ginnie Mae II Pool 5140
4.50%			08/20/41			23,607		23,271
Ginnie Mae II Pool 5175
4.50%			09/20/41			25,533		25,170
Ginnie Mae II Pool 5281
4.50%			01/20/42			7,263		7,160
Ginnie Mae II Pool 783591
4.50%			07/20/41			9,109		8,979
Ginnie Mae II Pool 80968
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.63%			07/20/34	1		5,489		5,402
Ginnie Mae II Pool 81267
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.63%			03/20/35	1		6,707		6,511

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool 81432
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.63%			08/20/35	1	$	8,959	$	8,884
Ginnie Mae II Pool 81497
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
3.75%			10/20/35	1		7,307		7,213
Ginnie Mae II Pool 8631
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
4.00%			05/20/25	1		429		426
Ginnie Mae II Pool 8644
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 1.50%)
4.50%			06/20/25	1		285		282
Ginnie Mae II Pool MA0627
4.50%			12/20/42			29,969		29,552
Ginnie Mae II Pool MA0701
4.50%			01/20/43			29,188		28,773
Ginnie Mae II Pool MA1157
3.50%			07/20/43			28,062		26,082
Ginnie Mae II Pool MA1997
4.50%			06/20/44			7,474		7,356
Ginnie Mae II Pool MA2374
5.00%			11/20/44			159,140		159,646
Ginnie Mae II Pool MA2756
4.50%			04/20/45			15,539		15,337
Ginnie Mae II Pool MA2828
4.50%			05/20/45			638,542		630,243
Ginnie Mae II Pool MA2894
4.50%			06/20/45			251,064		247,027
Ginnie Mae II Pool MA3036
4.50%			08/20/45			24,252		23,936
Ginnie Mae II Pool MA3309
3.00%			12/20/45			5,054		4,526
Ginnie Mae II Pool MA3456
4.50%			02/20/46			161,574		158,581
Ginnie Mae II Pool MA3521
3.50%			03/20/46			18,741,476		17,243,226
Ginnie Mae II Pool MA3524
5.00%			03/20/46			8,156		8,229
Ginnie Mae II Pool MA3597
3.50%			04/20/46			47,349,521		43,774,646
Ginnie Mae II Pool MA3600
5.00%			04/20/46			4,610,784		4,651,841
Ginnie Mae II Pool MA3662
3.00%			05/20/46			1,825,884		1,635,131
Ginnie Mae II Pool MA3663
3.50%			05/20/46			13,430,778		12,415,777
Ginnie Mae II Pool MA3665
4.50%			05/20/46			67,673		66,473
Ginnie Mae II Pool MA3666
5.00%			05/20/46			2,583,612		2,606,624
Ginnie Mae II Pool MA3738
4.50%			06/20/46			287,514		282,418

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 202

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA3739
5.00%			06/20/46	$	1,572,135	$	1,586,134
Ginnie Mae II Pool MA3805
4.50%			07/20/46		2,200,638		2,160,255
Ginnie Mae II Pool MA3806
5.00%			07/20/46		116,921		117,962
Ginnie Mae II Pool MA3873
3.00%			08/20/46		14,103,605		12,650,594
Ginnie Mae II Pool MA3876
4.50%			08/20/46		2,480,465		2,436,497
Ginnie Mae II Pool MA3877
5.00%			08/20/46		513,683		515,087
Ginnie Mae II Pool MA3937
3.50%			09/20/46		10,850,674		9,983,140
Ginnie Mae II Pool MA3939
4.50%			09/20/46		1,363,036		1,343,938
Ginnie Mae II Pool MA4003
3.00%			10/20/46		5,671,909		5,084,021
Ginnie Mae II Pool MA4006
4.50%			10/20/46		1,460,491		1,434,603
Ginnie Mae II Pool MA4007
5.00%			10/20/46		2,753,999		2,778,515
Ginnie Mae II Pool MA4069
3.50%			11/20/46		33,876,257		31,303,693
Ginnie Mae II Pool MA4071
4.50%			11/20/46		3,904,546		3,848,561
Ginnie Mae II Pool MA4072
5.00%			11/20/46		861,838		869,510
Ginnie Mae II Pool MA4126
3.00%			12/20/46		97,728,107		87,518,280
Ginnie Mae II Pool MA4127
3.50%			12/20/46		38,239,395		35,331,488
Ginnie Mae II Pool MA4129
4.50%			12/20/46		13,914,150		13,673,332
Ginnie Mae II Pool MA4196
3.50%			01/20/47		8,861		8,175
Ginnie Mae II Pool MA4198
4.50%			01/20/47		108,356		106,232
Ginnie Mae II Pool MA4199
5.00%			01/20/47		2,567,441		2,590,295
Ginnie Mae II Pool MA4264
4.50%			02/20/47		31,305,596		30,710,575
Ginnie Mae II Pool MA4265
5.00%			02/20/47		567,750		572,808
Ginnie Mae II Pool MA4324
5.00%			03/20/47		3,085,130		3,107,822
Ginnie Mae II Pool MA4382
3.50%			04/20/47		21,594,487		19,891,321
Ginnie Mae II Pool MA4384
4.50%			04/20/47		1,304,647		1,277,852
Ginnie Mae II Pool MA4385
5.00%			04/20/47		5,276,153		5,297,144
Ginnie Mae II Pool MA4453
4.50%			05/20/47		69,478,698		67,872,365
Ginnie Mae II Pool MA4454
5.00%			05/20/47		11,652,900		11,730,461

Issues		Maturity  Date		Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA4510
3.50%			06/20/47	$	29,604	$	27,332
Ginnie Mae II Pool MA4511
4.00%			06/20/47		4,182,633		3,975,118
Ginnie Mae II Pool MA4512
4.50%			06/20/47		242,963		237,583
Ginnie Mae II Pool MA4513
5.00%			06/20/47		214,651		214,380
Ginnie Mae II Pool MA4586
3.50%			07/20/47		35,326,371		32,624,958
Ginnie Mae II Pool MA4588
4.50%			07/20/47		37,942		37,127
Ginnie Mae II Pool MA4589
5.00%			07/20/47		10,361,947		10,421,201
Ginnie Mae II Pool MA4652
3.50%			08/20/47		2,682,125		2,467,843
Ginnie Mae II Pool MA4655
5.00%			08/20/47		12,078,140		12,120,079
Ginnie Mae II Pool MA4719
3.50%			09/20/47		33,366,596		30,740,828
Ginnie Mae II Pool MA4720
4.00%			09/20/47		82,531		78,291
Ginnie Mae II Pool MA4722
5.00%			09/20/47		232,370		233,553
Ginnie Mae II Pool MA4781
5.00%			10/20/47		2,874,077		2,890,512
Ginnie Mae II Pool MA4836
3.00%			11/20/47		76,067,042		68,062,628
Ginnie Mae II Pool MA4837
3.50%			11/20/47		83,026,668		76,425,441
Ginnie Mae II Pool MA4838
4.00%			11/20/47		27,652,812		26,239,126
Ginnie Mae II Pool MA4840
5.00%			11/20/47		897,416		896,284
Ginnie Mae II Pool MA4900
3.50%			12/20/47		5,334,975		4,908,751
Ginnie Mae II Pool MA4901
4.00%			12/20/47		18,587,381		17,637,144
Ginnie Mae II Pool MA4961
3.00%			01/20/48		259,844		232,160
Ginnie Mae II Pool MA4963
4.00%			01/20/48		30,533,541		28,972,584
Ginnie Mae II Pool MA5078
4.00%			03/20/48		46,279		43,882
Ginnie Mae II Pool MA5137
4.00%			04/20/48		9,911,620		9,380,225
Ginnie Mae II Pool MA5399
4.50%			08/20/48		2,227,877		2,169,341
Ginnie Mae II Pool MA5466
4.00%			09/20/48		4,068,833		3,848,146
Ginnie Mae II Pool MA5467
4.50%			09/20/48		20,743		20,181
Ginnie Mae II Pool MA5528
4.00%			10/20/48		18,687,882		17,711,597
Ginnie Mae II Pool MA5530
5.00%			10/20/48		3,384,140		3,363,306

See accompanying Notes to Financial Statements.

203 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae II Pool MA5651
4.00%			12/20/48		$	6,687	$	6,313
Ginnie Mae II Pool MA6030
3.50%			07/20/49			7,469,654		6,695,481
Ginnie Mae II Pool MA6080
3.00%			08/20/49			1,629		1,410
Ginnie Mae II Pool MA6081
3.50%			08/20/49			3,110,271		2,787,914
Ginnie Mae II Pool MA6209
3.00%			10/20/49			3,036,617		2,627,929
Ginnie Mae II Pool MA6210
3.50%			10/20/49			1,550,000		1,389,355
Ginnie Mae II Pool MA7589
2.50%			09/20/51			93,351,498		79,601,942
Ginnie Mae,
Series 2003-86, Class ZK
5.00%			10/20/33			2,789,827		2,797,351
Ginnie Mae,
Series 2007-35, Class PY (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.64%, 6.75% Cap)
1.31%			06/16/37	1		5,774,483		605,113
Ginnie Mae,
Series 2009-106, Class SD (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.14%, 6.25% Cap)
0.81%			03/20/36	1		4,944,485		181,841
Ginnie Mae,
Series 2009-106, Class XI (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.69%, 6.80% Cap)
1.36%			05/20/37	1		12,158,591		519,529
Ginnie Mae,
Series 2009-124, Class SC (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.37%, 6.48% Cap)
1.04%			12/20/39	1		1,991,310		191,805
Ginnie Mae,
Series 2009-66, Class XS (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.69%, 6.80% Cap)
1.36%			07/16/39	1		11,475		470
Ginnie Mae,
Series 2009-8, Class PS (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.19%, 6.30% Cap)
0.86%			08/16/38	1		7,753		45
Ginnie Mae,
Series 2010-4, Class SL (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.29%, 6.40% Cap)
0.96%			01/16/40	1		25,973		2,404
Ginnie Mae,
Series 2010-4, Class SM (IO)
(-1.00 X CME Term SOFR 1-Month plus 5.69%, 5.80% Cap)
0.36%			01/16/40	1		4,722,342		365,452
Ginnie Mae,
Series 2010-6, Class BS (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.39%, 6.50% Cap)
1.06%			09/16/39	1		123,770		336
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%			11/16/41			62,951		11,023

Issues		Maturity  Date			Principal  Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2014-108, Class PA
2.63%			12/20/39		$	4,233,747	$	3,950,850
Ginnie Mae,
Series 2018-124, Class NW
3.50%			09/20/48			622,476		556,237
Ginnie Mae,
Series 2019-1, Class NP
3.50%			01/20/49			5,605,966		5,131,498
Ginnie Mae,
Series 2019-119, Class JE
3.00%			09/20/49			4,133,469		3,652,518
Ginnie Mae,
Series 2019-15, Class GT
3.50%			02/20/49			6,562,607		5,947,049
Ginnie Mae,
Series 2019-44, Class CA
3.50%			12/20/48			36,772		36,526
Ginnie Mae,
Series 2019-71, Class PT
3.00%			06/20/49			732,963		652,276
Ginnie Mae,
Series 2019-86, Class C
2.50%			03/20/49			9,161,297		7,692,317
Ginnie Mae,
Series 2019-90, Class HE
3.00%			07/20/49			6,400,956		5,606,235
Ginnie Mae,
Series 2022-201, Class FB
(SOFR30A plus 1.25%)
6.50%			11/20/52	1		9,784,754		9,760,632
Ginnie Mae,
Series 2023-134, Class F
(SOFR30A plus 1.00%)
6.32%			08/20/53	1		66,376,473		66,205,937
Ginnie Mae,
Series 2024-30, Class AF
(SOFR30A plus 1.25%)
6.50%			02/20/54	1		86,746,724		86,764,532
Ginnie Mae,
Series 2024-30, Class CF
(SOFR30A plus 1.25%)
6.50%			02/20/54	1		91,003,382		91,139,122
Ginnie Mae,
Series 2024-30, Class DF
(SOFR30A plus 1.30%)
6.50%			02/20/54	1		88,349,760		88,349,567
UMBS (TBA)
2.00%			04/01/54			1,158,525,000		917,649,371
2.50%			04/01/54			581,725,000		481,296,578
3.00%			04/01/54			855,675,000		736,762,461
3.50%			04/01/54			841,650,000		753,720,720
4.00%			04/01/54			1,971,450,000		1,826,209,533
4.50%			04/01/54			1,150,800,000		1,096,181,996
5.00%			04/01/54			909,925,000		887,922,495

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 204

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date		Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
5.50%		04/01/54	$	666,750,000	$	663,508,148
						20,164,094,230
Total Mortgage-Backed (Cost $29,414,987,599)						27,597,180,985
MUNICIPAL BONDS — 0.33%*
California — 0.06%
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A
5.00%		05/15/44		185,000		192,223
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N
3.01%		05/15/50		17,955,000		12,441,363
3.26%		05/15/60		17,050,000		11,769,216
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP
3.93%		05/15/45		6,615,000		6,112,936
						30,515,738
Colorado — 0.01%
City & County of Denver Airport System Revenue Bonds, Series C
2.39%		11/15/31		6,010,000		5,162,978
New Jersey — 0.00%
Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B
5.47%		05/15/27		240,000		243,015
New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F
3.73%		01/01/36		300,000		270,493
						513,508
New York — 0.26%
City of New York General Obligation Bonds, Public Improvements, Series D
5.99%		12/01/36		2,000,000		2,083,180
City of New York General Obligation Bonds, Public Improvements, Series F
3.62%		04/01/31		3,145,000		2,953,824
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements
5.51%		08/01/37		20,415,000		20,841,916
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series A2
2.15%		05/01/25		430,000		416,260
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3
2.00%		08/01/35		4,055,000		3,015,179
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D
2.40%		11/01/32		12,135,000		10,132,542

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	$	3,090,000	$	2,456,989
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI
4.00%		08/01/33		6,450,000		6,031,761
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU
3.88%		08/01/31		3,135,000		2,967,134
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3
5.27%		05/01/27		13,135,000		13,283,181
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series A, Subseries A-2
4.60%		05/01/31		820,000		814,403
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series F, Subseries F-3
5.13%		02/01/35		1,250,000		1,274,514
5.15%		02/01/36		1,250,000		1,272,052
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Series G
2.45%		11/01/34		3,000,000		2,408,666
New York State Dormitory Authority Revenue Bonds, University & College Improvements
5.29%		03/15/33		44,990,000		45,299,059
5.43%		03/15/39		21,300,000		21,290,404
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A
4.00%		03/15/47		155,000		151,900
New York State Urban Development Corp. Revenue Bonds, Public Improvements
5.77%		03/15/39		135,000		137,746
						136,830,710
Texas — 0.00%
Texas A&M University Revenue Bonds, University & College Improvements, Series B
2.69%		05/15/25		350,000		341,157
Total Municipal Bonds (Cost $202,546,791)						173,364,091
U.S. TREASURY SECURITIES — 32.80%
U.S. Treasury Bonds — 10.68%
U.S. Treasury Bonds (WI)
4.25%		02/15/54		1,913,040,000		1,882,252,012
4.50%		02/15/44		3,650,131,000		3,671,803,653
						5,554,055,665
U.S. Treasury Notes — 22.12%
U.S. Treasury Notes
4.25%		03/15/27		1,637,695,000		1,630,466,116
4.50%		03/31/26		1,114,000		1,111,476
U.S. Treasury Notes (WI)
4.00%		02/15/34		2,446,524,000		2,406,958,080

See accompanying Notes to Financial Statements.

205 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
4.25%		02/28/29	$	2,536,796,000	$	2,541,156,118
4.25%		03/31/29		4,936,608,000		4,916,983,403
						11,496,675,193
Total U.S. Treasury Securities (Cost $17,030,776,308)						17,050,730,858
Total Bonds — 112.48% (Cost $60,861,906,970)						58,463,717,236
Issues			Shares		Value
COMMON STOCK — 0.13%
Communications — 0.13%
Intelsat Emergence SA3,4,5,9 (Luxembourg)				2,400,250		64,506,719
Electric — 0.00%
Homer City Holdings LLC4,5,9,10				1,180,703		—
Total Common Stock (Cost $145,530,045)						64,506,719
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 14.67%
Money Market Funds — 9.35%
Dreyfus Government Cash Management Fund
5.20%11				1,336,386,000		1,336,386,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%11,12				14,480,809		14,480,809
JPMorgan U.S. Government Money Market Fund
5.16%11				944,700,000		944,700,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%11				2,565,457,000		2,565,457,000
						4,861,023,809
Repurchase Agreements — 0.96%
JPMorgan Chase & Co. (Dated 03/28/24, total to be received $500,516,250, (collateralized by U.S. Treasury Securities, 2.38% to 4.50%, due from 08/15/24 to 11/15/25, par and fair value of $512,997,500 and $507,807,406, respectively))
5.31%		04/04/24		500,000,000		500,000,000
U.S. Agency Discount Notes — 3.44%
Federal Home Loan Bank
5.34%13		05/15/24		300,000,000		297,935,805
5.29%13		07/19/24		291,000,000		286,337,007
4.93%13		08/28/24		100,000,000		97,843,375
5.06%13		10/04/24		100,000,000		97,345,780
4.93%13		10/30/24		200,000,000		194,024,000
5.16%13		11/08/24		100,000,000		96,886,910
5.30%13		05/22/24		719,040,000		718,825,992
						1,789,198,869

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills — 0.92%
U.S. Treasury Bills (WI)
5.32%13	05/30/24	$	280,000,000	$	277,464,712
5.29%13	07/09/24		100,000,000		98,530,480
5.32%13	05/16/24		100,000,000		99,304,000
					475,299,192
Total Short-Term Investments
(Cost $7,626,989,765)					7,625,521,870
Total Investments - 127.28%
(Cost $68,634,426,780)					66,153,745,825
Net unrealized appreciation on unfunded commitments - 0.00%					294
Liabilities in Excess of Other Assets - (27.28)%					(14,178,092,158	)
Net Assets - 100.00%				$	51,975,653,961

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.

³  Foreign denominated security issued by foreign domiciled entity.

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

⁵  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $492,317,484, which is 0.95% 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  Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $51,598, at an interest rate of 9.58% and a maturity of July 31, 2028. The investment is not accruing an unused commitment fee.

⁸  Zero coupon bond. The rate shown is the effective yield as of March 31, 2024.

⁹  Non-income producing security.

¹⁰  Affiliated investment.

¹¹  Represents the current yield as of March 31, 2024.

¹²  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $121,532.

¹³  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.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 206

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

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

(CLO): Collateralized Loan Obligation

(EMTN): Euro Medium-Term Note

(EUR): Euro

(EURIBOR): Euro InterBank Offer Rate

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(LIBOR): London InterBank Offer Rate

(MTN): Medium-Term Note

(PO): Principal Only

(REIT): Real Estate Investment Trust

(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback

(SOFR): Secured Overnight Financing Rate

(SONIA): Sterling Overnight Index Average

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(TSFR): Term Secured overnight financing rate

(USD): U.S. Dollar

(WI): When Issued

Currency to be Purchased	Currency to be Sold	Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
GBP 15,677,000	USD 19,798,928		State Street Global Markets LLC		04/12/24	$	6,635
USD 273,706,881	EUR 249,379,000		Citibank N.A.		04/12/24		4,220,790
USD 8,629,102	EUR 7,973,000		State Street Global Markets LLC		04/12/24		13,251
USD 1,207,974,609	EUR 1,097,504,000		Bank of America N.A.		04/12/24		21,980,352
USD 64,200,426	EUR 59,061,000		The Bank of New York Mellon		04/12/24		377,418
USD 3,011,664	EUR 2,774,000		Goldman Sachs International		04/12/24		14,000
USD 186,290,766	GBP 145,945,000		Citibank N.A.		04/12/24		1,910,916
							28,523,362
EUR 2,819,017	USD 3,049,810		Bank of America N.A.		04/02/24		(4,681)
USD 16,607,145	EUR 15,392,664		State Street Global Markets LLC		04/03/24		(20,801)
EUR 7,572,000	USD 8,315,343		Goldman Sachs International		04/12/24		(132,823)
EUR 144,349,000	USD 156,976,526		Citibank N.A.		04/12/24		(988,861)
EUR 69,076,000	USD 75,089,736		Bank of America N.A.		04/12/24		(444,234)
EUR 29,213,000	USD 31,726,889		The Bank of New York Mellon		04/12/24		(158,484)
EUR 237,997,000	USD 261,265,652		State Street Global Markets LLC		04/12/24		(4,079,278)
GBP 1,758,000	USD 2,233,799		Goldman Sachs International		04/12/24		(12,827)
GBP 17,195,000	USD 21,737,937		Citibank N.A.		04/12/24		(14,606)
GBP 935,000	USD 1,189,017		Bank of America N.A.		04/12/24		(7,783)
							(5,864,378)
NET UNREALIZED APPRECIATION						$	22,658,984

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		65,391		06/28/24	$	13,371,437,831	$	(25,899,356)	$	(25,899,356)
U.S. Treasury Five-Year Note		12,683		06/28/24		1,357,279,235		(1,307,998)		(1,307,998)
U.S. Treasury Ultra Bond		1,644		06/18/24		212,076,000		5,161,456		5,161,456
U.S. Treasury Ten-Year Ultra Bond		1,042		06/18/24		119,422,974		692,958		692,958
						15,060,216,040		(21,352,940)		(21,352,940)
FUTURES CONTRACTS: SHORT POSITIONS
Euro-Bund Future		3,467		06/06/24		(499,422,737)		(1,126,359)		(1,126,359)
Euro-Bobl Future		1,846		06/06/24		(235,752,660)		(1,049,112)		(1,049,112)
U.S. Treasury Ten-Year Note		827		06/18/24		(91,629,020)		639,784		639,784
Euro-Buxl 30 Year		597		06/06/24		(87,558,408)		(1,767,365)		(1,767,365)
Euro-Schatz Future		356		06/06/24		(40,639,536)		(4,540)		(4,540)
Long Gilt Future		317		06/26/24		(40,020,998)		(984,971)		(984,971)
						(995,023,359)		(4,292,563)		(4,292,563)
TOTAL FUTURES CONTRACTS					$	14,065,192,681	$	(25,645,503)	$	(25,645,503)

See accompanying Notes to Financial Statements.

207 / Annual Report March 2024

Total Return Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Counterparty	Interest Rate	Trade Date	Maturity Date		Repurchase Amount			Principal Amount			Value
REVERSE REPURCHASE AGREEMENTS
Barclays Bank PLC	2.000%	03/22/24		04/01/24	$	(503,945,903	)	$	(503,750,000	)	$	(503,750,000	)
Barclays Bank PLC	2.000%	03/20/24		04/01/24		(499,680,173	)		(499,375,000	)		(499,375,000	)
Barclays Bank PLC	1.650%	03/19/24		04/01/24		(498,398,969	)		(498,125,000	)		(498,125,000	)
TOTAL REVERSE REPURCHASE AGREEMENTS											$	(1,501,250,000	)

			Received by the Fund			Paid by the Fund
Description	Maturity Date		Rate		Frequency	Rate	Frequency		Notional Amount (000’s)		Value		Premiums (Received)			Unrealized Appreciation
SWAPS: INTEREST RATE
Interest Rate Swap1		06/16/53		GBP-SONIA-OIS USD-SOFR-	Annual	3.25%		Annual	$	33,460	$	2,615,569	$	(510,308)		$	3,125,877
Interest Rate Swap1		12/20/53		COMPOUND	Annual	3.52%		Annual		461,741		5,384,183		—			5,384,183
TOTAL SWAPS CONTRACTS									$	495,201	$	7,999,752	$	(510,308	)	$	8,510,060
1 Centrally cleared.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 208

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BONDS – 108.23%
ASSET-BACKED SECURITIES — 3.52%**
AmeriCredit Automobile Receivables Trust,
Series 2022-2, Class C
5.32%	04/18/28	$	320,000	$	320,381
AMMC CLO XI Ltd.,
Series 2012-11A, Class A1R2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.27%)
6.59%	04/30/311,2,3		177,057		177,200
Flatiron CLO 17 Ltd.,
Series 2017-1A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.24%)
6.55%	05/15/301,2,3		171,197		171,311
GoldenTree Loan Management U.S. CLO 4 Ltd.,
Series 2019-4A, Class ARR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.15%)
6.48%	04/24/311,2,3		250,000		250,252
LCM 29 Ltd.,
Series 29A, Class XR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.06%)
6.38%	04/15/311,2,3		68,182		68,171
Madison Park Funding XXIX Ltd.,
Series 2018-29A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.18%)
0.00%	10/18/301,2,3		250,000		250,232
Navient Private Education Refi Loan Trust,
Series 2021-CA, Class A
1.06%	10/15/693		335,168		294,829
Palmer Square Loan Funding Ltd.,
Series 2022-3A, Class A1BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.40%)
6.72%	04/15/311,2,3		250,000		250,123
Total Asset-Backed Securities
(Cost $1,809,450)					1,782,499
CORPORATES — 22.32%*
Banking — 6.67%
Bank of America Corp.
3.42%	12/20/284		70,000		65,727
Bank of America Corp.
(MTN)
3.82%	01/20/284		985,000		948,962
JPMorgan Chase & Co.
1.04%	02/04/274		1,185,000		1,096,601
Lloyds Banking Group PLC
(United Kingdom)
1.63%	05/11/272,4		125,000		115,176
PNC Financial Services Group, Inc. (The)
5.58%	06/12/294		55,000		55,703
U.S. Bancorp
4.65%	02/01/294		200,000		196,047

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
Wells Fargo & Co.
(MTN)
2.16%	02/11/264	$	930,000	$	902,368
					3,380,584
Communications — 0.40%
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
6.00%	02/15/283		14,000		14,420
T-Mobile USA, Inc.
2.25%	02/15/26		200,000		189,298
					203,718
Consumer Discretionary — 0.86%
Imperial Brands Finance PLC
(United Kingdom)
6.13%	07/27/272,3		135,000		137,813
Spectrum Brands, Inc.
3.88%	03/15/313		15,000		14,489
WarnerMedia Holdings, Inc.
3.76%	03/15/27		300,000		286,307
					438,609
Diversified REITs — 1.38%
Digital Euro Finco LLC
2.63%	04/15/24		385,000		415,547
VICI Properties LP/VICI Note Co., Inc.
5.75%	02/01/273		285,000		284,942
					700,489
Electric — 1.42%
Alliant Energy Finance LLC
5.95%	03/30/293		135,000		139,198
Eversource Energy
2.90%	03/01/27		200,000		188,220
FirstEnergy Pennsylvania Electric Co.
4.00%	04/15/253		250,000		243,940
4.15%	04/15/253		150,000		147,474
					718,832
Energy — 0.96%
Southern Co. Gas Capital Corp.
3.88%	11/15/25		500,000		487,500
Finance — 4.41%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
2.45%	10/29/262		300,000		278,807
Air Lease Corp.
3.63%	04/01/27		200,000		190,653
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/272,3		283,000		251,846
Citigroup, Inc.
1.46%	06/09/274		815,000		748,526
Morgan Stanley
0.99%	12/10/264		605,000		560,860

See accompanying Notes to Financial Statements.

209 / Annual Report March 2024

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
Morgan Stanley
(GMTN)
1.51%	07/20/274	$	225,000	$	206,579
					2,237,271
Health Care — 1.79%
1375209 BC Ltd.
(Canada)
9.00%	01/30/282,3		35,000		34,338
Amgen, Inc.
5.15%	03/02/28		195,000		196,391
Bayer U.S. Finance LLC
6.25%	01/21/293		220,000		223,829
Grifols SA
(Spain)
4.75%	10/15/282,3		35,000		28,986
HCA, Inc.
5.38%	02/01/25		175,000		174,556
5.88%	02/15/26		250,000		251,063
					909,163
Health Care REITs — 0.40%
Healthcare Realty Holdings LP
3.63%	01/15/28		220,000		203,468
Industrials — 1.05%
Amcor Flexibles North America, Inc.
4.00%	05/17/25		300,000		294,644
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
4.13%	08/15/262,3		10,000		9,083
Berry Global, Inc.
5.50%	04/15/28		225,000		226,645
					530,372
Insurance — 1.03%
Athene Global Funding
(SOFR Index plus 0.70%)
6.06%	05/24/241,3		150,000		150,172
Nationwide Mutual Insurance Co.
7.88%	12/15/243,4		370,000		370,034
					520,206
Materials — 0.68%
International Flavors & Fragrances, Inc.
1.83%	10/15/273		390,000		346,153
Services — 0.61%
Adtalem Global Education, Inc.
5.50%	03/01/283		10,000		9,586
Global Payments, Inc.
2.15%	01/15/27		300,000		276,881
Worldline SA
(France)
0.00%	07/30/252,5		200		23,905
					310,372

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Specialized REITs — 0.66%
Extra Space Storage LP
3.88%	12/15/27	$	205,000	$	194,846
5.70%	04/01/28		135,000		137,520
					332,366
Total Corporates
(Cost $11,276,950)					11,319,103
MORTGAGE-BACKED — 44.51%**
Non-Agency Commercial Mortgage-Backed — 3.02%
BX Commercial Mortgage Trust,
Series 2022-CSMO, Class A
(CME Term SOFR 1-Month plus 2.11%)
7.44%	06/15/271,3		205,000		205,825
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class B
(CME Term SOFR 1-Month plus 1.55%)
6.87%	12/15/371,3		150,000		150,047
Fontainebleau Miami Beach Trust,
Series 2019-FBLU, Class A
3.14%	12/10/363		150,000		146,525
FS Rialto,
Series 2019-FL1, Class A
(Cayman Islands)
(CME Term SOFR 1-Month plus 1.31%)
6.64%	12/16/361,2,3		235,017		235,050
Great Wolf Trust,
Series 2024-WOLF, Class A
(CME Term SOFR 1-Month plus 1.54%)
6.84%	03/15/391,3		152,000		152,380
JPMBB Commercial Mortgage Securities Trust,
Series 2014-C26, Class A3
3.23%	01/15/48		239,675		236,758
MF1 Ltd.,
Series 2020-FL4, Class A
(CME Term SOFR 1-Month plus 1.81%)
7.14%	11/15/351,3		215,898		216,458
Wells Fargo Commercial Mortgage Trust,
Series 2017-SMP, Class A
(CME Term SOFR 1-Month plus 0.92%)
6.25%	12/15/341,3		200,000		189,628
					1,532,671
Non-Agency Mortgage-Backed — 10.53%
Aames Mortgage Trust,
Series 2002-1, Class A3 (STEP-reset date 05/25/24)
7.40%	06/25/32		8,033		7,810
Adjustable Rate Mortgage Trust,
Series 2005-1, Class 1A1
5.47%	05/25/354		14,911		14,604
Ajax Mortgage Loan Trust,
Series 2019-F, Class A1 (STEP-reset date 04/25/24)
2.86%	07/25/593		122,665		115,695
Alternative Loan Trust,
Series 2004-J6, Class 2A1
6.50%	11/25/31		15,509		15,094

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 210

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-R10, Class M3
(CME Term SOFR 1-Month plus 0.79%)
6.12%	01/25/361	$	334,325	$	328,004
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2005-R3, Class M4
(CME Term SOFR 1-Month plus 1.04%)
6.37%	05/25/351		178,968		176,546
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2006-R2, Class M1
(CME Term SOFR 1-Month plus 0.62%)
5.95%	04/25/361		95,461		95,322
Banc of America Funding Trust,
Series 2003-2, Class 1A1
6.50%	06/25/32		2,416		2,386
Citigroup Mortgage Loan Trust,
Series 2007-AMC4, Class A2D
(CME Term SOFR 1-Month plus 0.38%)
5.71%	05/25/371		130,881		128,515
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH4, Class M2
(CME Term SOFR 1-Month plus 0.55%)
5.88%	11/25/361		451,356		443,200
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2002-AR31, Class 4A2
6.25%	11/25/324		14,413		14,277
DSLA Mortgage Loan Trust,
Series 2004-AR3, Class 2A2A
(CME Term SOFR 1-Month plus 0.85%)
6.17%	07/19/441		60,519		55,270
First Franklin Mortgage Loan Trust,
Series 2005-FF8, Class M2
(CME Term SOFR 1-Month plus 0.89%)
6.22%	09/25/351		312,338		310,775
First Franklin Mortgage Loan Trust,
Series 2006-FFH1, Class M1
(CME Term SOFR 1-Month plus 0.67%)
6.00%	01/25/361		491,593		474,613
GE Mortgage Services LLC,
Series 1998-HE1, Class A7
6.47%	06/25/28		1		1
GSAMP Trust,
Series 2005-HE5, Class M3
(CME Term SOFR 1-Month plus 0.80%)
6.13%	11/25/351		101,996		100,693
HSI Asset Securitization Corp. Trust,
Series 2006-OPT2, Class M2
(CME Term SOFR 1-Month plus 0.70%)
6.03%	01/25/361		277,004		271,052
IndyMac Index Mortgage Loan Trust,
Series 2004-AR6, Class 6A1
5.33%	10/25/344		68,100		62,701

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
JPMorgan Mortgage Trust,
Series 2005-A2, Class 9A1
6.13%	04/25/354	$	40,586	$	39,220
MASTR Adjustable Rate Mortgages Trust,
Series 2004-12, Class 5A1
5.67%	10/25/344		8,048		7,720
MASTR Adjustable Rate Mortgages Trust,
Series 2007-1, Class I2A1
(CME Term SOFR 1-Month plus 0.43%)
5.76%	01/25/471		47,028		46,842
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1
6.22%	10/25/324		15,184		14,659
Merrill Lynch Mortgage Investors Trust,
Series 2003-A1, Class 2A
(TSFR12M plus 2.34%)
7.43%	12/25/321		116,073		110,189
MortgageIT Trust,
Series 2005-1, Class 1A1
(CME Term SOFR 1-Month plus 0.75%)
6.08%	02/25/351		314,600		313,643
Ownit Mortgage Loan Trust,
Series 2006-3, Class A2D
(CME Term SOFR 1-Month plus 0.65%)
5.98%	03/25/371		388,076		369,538
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates,
Series 2004-WHQ2, Class M4
(CME Term SOFR 1-Month plus 1.69%)
7.02%	02/25/351		272,605		265,004
PRPM LLC,
Series 2021-3, Class A1 (STEP-reset date 04/25/24)
1.87%	04/25/263		184,566		180,755
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2
8.50%	11/25/31		34,405		11,396
Residential Asset Securities Corp.,
Series 2006-KS3, Class M1
(CME Term SOFR 1-Month plus 0.44%)
5.94%	04/25/361		203,537		200,802
Residential Asset Securities Corp.,
Series 2006-KS5, Class A4
(CME Term SOFR 1-Month plus 0.37%)
5.70%	07/25/361		153,570		153,229
Residential Asset Securitization Trust,
Series 2004-IP2, Class 2A1
4.09%	12/25/344		51,801		46,326
Soundview Home Loan Trust,
Series 2005-OPT1, Class M2
(CME Term SOFR 1-Month plus 0.79%)
6.12%	06/25/351		381,114		372,109
Structured Asset Investment Loan Trust,
Series 2005-HE3, Class M1
(CME Term SOFR 1-Month plus 0.83%)
6.16%	09/25/351		82,799		81,337

See accompanying Notes to Financial Statements.

211 / Annual Report March 2024

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-EQ1A, Class A1
(CME Term SOFR 1-Month plus 0.38%)
5.71%	07/25/361,3	$	57,500	$	57,207
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2006-OPT1, Class A1
(CME Term SOFR 1-Month plus 0.29%)
5.62%	04/25/361		87,178		86,516
Terwin Mortgage Trust,
Series 2006-5, Class 1A2B
(CME Term SOFR 1-Month plus 0.53%)
5.86%	07/25/371,3		269,362		266,737
Terwin NIMs Trust,
Series 2004-13AL, Class 2PX (IO)
0.34%	08/25/343,6,7		838,132		9,388
WaMu Mortgage Pass-Through Certificates,
Series 2002-AR6, Class A
(Federal Reserve US 12-Month Cumulative Average plus 1.40%)
6.49%	06/25/421		8,051		7,366
WaMu Mortgage Pass-Through Certificates,
Series 2003-AR6, Class A1
5.39%	06/25/334		21,989		21,153
WaMu Mortgage Pass-Through Certificates,
Series 2005-4, Class CB13
(CME Term SOFR 1-Month plus 0.61%)
5.50%	06/25/351		74,182		62,681
					5,340,375
U.S. Agency Commercial Mortgage-Backed — 3.35%
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KJ34, Class A1
0.68%	06/25/26		133,261		127,605
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series KS07, Class X (IO)
0.61%	09/25/254		3,289,385		27,932
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q004, Class AFL
(Federal Reserve US 12-Month Cumulative Average plus 0.74%)
5.83%	05/25/441		95,397		94,841
Freddie Mac Multifamily Structured Pass-Through Certificates,
Series Q010, Class APT1
6.50%	04/25/464		27,302		27,495
Ginnie Mae,
Series 2008-92, Class E
5.56%	03/16/444		70,168		69,714
Ginnie Mae,
Series 2010-159, Class D
4.56%	09/16/444		99,697		98,273

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2011-165, Class IO (IO)
0.00%	10/16/514	$	2,064,390	$	21
Ginnie Mae,
Series 2011-92, Class C
3.73%	04/16/524		860,610		811,362
Ginnie Mae,
Series 2012-135, Class IO (IO)
0.34%	01/16/534		1,564,166		14,691
Ginnie Mae,
Series 2014-157, Class C
3.15%	10/16/544		440,581		423,909
					1,695,843
U.S. Agency Mortgage-Backed — 27.61%
Fannie Mae Pool 254548
5.50%	12/01/32		39,705		40,343
Fannie Mae Pool 555098
(RFUCCT1Y plus 1.62%)
5.86%	11/01/321		4,839		4,808
Fannie Mae Pool 555424
5.50%	05/01/33		27,145		27,662
Fannie Mae Pool 655133
7.00%	08/01/32		4,753		4,771
Fannie Mae Pool 655151
7.00%	08/01/32		3,521		3,509
Fannie Mae Pool 762525
6.50%	11/01/33		7,788		7,719
Fannie Mae Pool 770900
(RFUCCT1Y plus 1.56%)
4.94%	04/01/341		44,916		44,930
Fannie Mae Pool AD0538
6.00%	05/01/24		179		178
Fannie Mae Pool AE0443
6.50%	10/01/39		34,642		36,044
Fannie Mae Pool AL0851
6.00%	10/01/40		29,704		31,049
Fannie Mae REMICS,
Series 2001-42, Class SB
(-16.00 X SOFR30A plus 126.17%, 8.50% Cap)
8.50%	09/25/311		494		487
Fannie Mae REMICS,
Series 2001-60, Class OF
(SOFR30A plus 1.06%)
6.38%	10/25/311		36,299		36,682
Fannie Mae REMICS,
Series 2002-30, Class FB
(SOFR30A plus 1.11%)
6.43%	08/25/311		34,062		34,198
Fannie Mae REMICS,
Series 2003-124, Class TS
(-14.00 X SOFR30A plus 99.20%, 9.80% Cap)
9.80%	01/25/341		5,987		5,997

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 212

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount			Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2004-60, Class FW
(SOFR30A plus 0.56%)
5.88%	04/25/341	$	72,258		$	72,133
Fannie Mae REMICS,
Series 2004-96, Class MT
(-17.50 X SOFR30A plus 123.12%, 7.00% Cap)
7.00%	12/25/341		10,049			9,195
Fannie Mae REMICS,
Series 2005-73, Class DF
(SOFR30A plus 0.36%)
5.68%	08/25/351		50,272			49,737
Fannie Mae REMICS,
Series 2007-68, Class SC (IO)
(-1.00 X SOFR30A plus 6.59%, 6.70% Cap)
1.27%	07/25/371		44,032			4,233
Fannie Mae REMICS,
Series 2010-109, Class PF
(SOFR30A plus 0.51%)
5.83%	10/25/401		27,555			27,244
Fannie Mae REMICS,
Series 2010-26, Class S (IO)
(-1.00 X SOFR30A plus 6.12%, 6.23% Cap)
0.80%	11/25/361		164,406			14,758
Fannie Mae REMICS,
Series 2010-95, Class FB
(SOFR30A plus 0.51%)
5.83%	09/25/401		30,567			30,371
Fannie Mae REMICS,
Series 2011-47, Class GF
(SOFR30A plus 0.68%)
6.00%	06/25/411		546,611			544,029
Fannie Mae REMICS,
Series 2018-79, Class FA
(SOFR30A plus 0.36%)
5.68%	11/25/481		38,056			37,189
Fannie Mae REMICS,
Series 2019-79, Class FA
(SOFR30A plus 0.61%)
5.93%	01/25/501		89,511			88,340
Fannie Mae REMICS,
Series 2020-10, Class FA
(SOFR30A plus 0.61%)
5.93%	03/25/501		253,916			247,207
Freddie Mac REMICS,
Series 2368, Class AF
(SOFR30A plus 1.06%)
6.38%	10/15/311		27,642			27,838
Freddie Mac REMICS,
Series 2733, Class FB
(SOFR30A plus 0.71%)
6.03%	10/15/331		261,631			259,840
Freddie Mac REMICS,
Series 3085, Class FW
(SOFR30A plus 0.81%)
6.13%	08/15/351		178,691			174,388

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Freddie Mac REMICS,
Series 3300, Class FA
(SOFR30A plus 0.41%)
5.73%	08/15/351	$	166,301	$	163,804
Freddie Mac REMICS,
Series 3325, Class NF
(SOFR30A plus 0.41%)
5.73%	08/15/351		33,408		32,906
Freddie Mac REMICS,
Series 3895, Class BF
(SOFR30A plus 0.61%)
5.93%	07/15/411		110,051		108,571
Freddie Mac REMICS,
Series 3946, Class FD
(SOFR30A plus 0.46%)
5.78%	04/15/411		4,002		4,001
Freddie Mac Strips,
Series 263, Class F5
(SOFR30A plus 0.61%)
5.93%	06/15/421		135,110		133,134
Ginnie Mae (TBA)
4.50%	04/20/54		825,000		792,925
5.00%	04/20/54		700,000		688,083
5.50%	05/20/54		425,000		424,468
Ginnie Mae II Pool 80546
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.75%	10/20/311		3,669		3,607
Ginnie Mae II Pool 80610
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.88%	06/20/321		47,471		47,171
Ginnie Mae II Pool 80614
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.63%	07/20/321		4,714		4,653
Ginnie Mae II Pool 80687
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.88%	04/20/331		38,320		37,669
Ginnie Mae II Pool 8684
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.63%	08/20/251		3,036		3,013
Ginnie Mae II Pool MA0331
(US Treasury Yield Curve Rate T Note Constant Maturity 1-Year plus 1.50%)
3.63%	08/20/421		37,205		36,807
Ginnie Mae,
Series 2004-2, Class FW
(CME Term SOFR 1-Month plus 1.51%)
6.84%	01/16/341		232,011		232,972
Ginnie Mae,
Series 2009-92, Class FC
(CME Term SOFR 1-Month plus 0.91%)
6.24%	10/16/391		56,101		56,503

See accompanying Notes to Financial Statements.

213 / Annual Report March 2024

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2010-19, Class FD
(CME Term SOFR 1-Month plus 0.56%)
5.89%	07/16/391	$	8,072	$	8,088
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.99%, 0.60% Cap)
0.60%	06/16/371		880,190		3,068
Ginnie Mae,
Series 2023-113, Class FD
(SOFR30A plus 1.35%)
6.50%	08/20/531		527,378		528,481
Ginnie Mae,
Series 2023-116, Class FL
(SOFR30A plus 1.15%)
6.47%	08/20/531		510,460		512,915
Ginnie Mae,
Series 2024-51, Class F
(SOFR30A plus 1.00%)
6.32%	03/20/541		500,000		500,868
Ginnie Mae,
Series 2024-51, Class PF
(SOFR30A plus 1.00%)
6.32%	03/20/541		600,000		600,956
Ginnie Mae,
Series 2024-51, Class TF
(SOFR30A plus 1.00%)
6.32%	03/20/541		500,000		500,102
UMBS (TBA)
3.50%	04/01/39		425,000		403,800
4.00%	04/01/39		750,000		726,357
4.00%	04/01/54		850,000		787,379
4.50%	04/01/39		1,625,000		1,600,045
4.50%	04/01/54		825,000		785,845
5.00%	04/01/39		1,425,000		1,423,034
5.00%	04/01/54		750,000		731,865
5.50%	04/01/54		250,000		248,784
					13,996,753
Total Mortgage-Backed (Cost $23,014,208)					22,565,642
MUNICIPAL BONDS — 0.36%*
Massachusetts — 0.36%
Commonwealth of Massachusetts Revenue Bonds, Series B
4.11%	07/15/31		187,937		183,681
Total Municipal Bonds
(Cost $183,609)
U.S. TREASURY SECURITIES — 37.52%
U.S. Agency Discount Notes — 3.81%
U.S. International Development Finance Corp.,
Series 2
1.49%	08/15/31		2,172,973		1,930,164

Issues	Maturity Date		Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes — 33.71%
U.S. Treasury Notes
4.25%		03/15/27	$	935,000	$	930,873
4.50%		03/31/26		10,590,000		10,566,003
U.S. Treasury Notes (WI)
4.25%		02/28/29		2,175,000		2,178,738
4.25%		03/31/29		3,430,000		3,416,365
						17,091,979
Total U.S. Treasury Securities
(Cost $19,275,707)						19,022,143
Total Bonds — 108.23%
(Cost $55,559,924)						54,873,068
Issues	Maturity Date		Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 24.52%
Money Market Funds — 12.73%
Dreyfus Government Cash Management Fund
5.20%8				2,000,000		2,000,000
Fidelity Investments Money Market Funds - Government Portfolio
5.21%8				20,535		20,535
JPMorgan U.S. Government Money Market Fund
5.16%8				2,000,000		2,000,000
Morgan Stanley Institutional Liquidity Funds - Government Portfolio
5.22%8				2,433,000		2,433,000
						6,453,535
U.S. Treasury Bills — 11.79%
U.S. Treasury Bills
5.49%9		04/11/24		1,000,000		998,546
U.S. Treasury Bills (WI)
5.31%9		04/16/24		1,000,000		997,370
5.28%9		05/16/24		2,000,000		1,986,080
5.47%9		04/04/24		2,000,000		1,998,250
						5,980,246
Total Short-Term Investments
(Cost $12,436,079)						12,433,781
Total Investments - 132.75%
(Cost $67,996,003)						67,306,849
Liabilities in Excess of Other Assets - (32.75)%						(16,606,250)
Net Assets - 100.00%					$	50,700,599

¹  Floating rate security. The rate disclosed was in effect at March 31, 2024.

²  Foreign denominated security issued by foreign domiciled entity.

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

⁴  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.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 214

Ultra Short Bond Fund

Schedule of Portfolio Investments

March 31, 2024

⁵  Zero coupon bond. The rate shown is the effective yield as of March 31, 2024.

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

⁷  Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $9,388, which is 0.02% of total net assets.

⁸  Represents the current yield as of March 31, 2024.

⁹  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

(EUR): Euro

(GBP): British Pound

(GMTN): Global Medium-Term Note

(IO): Interest Only

(MTN): Medium-Term Note

(REIT): Real Estate Investment Trust

(RFUCCT): Refinitiv USD IBOR Consumer Cash Fallback

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(TSFR): Term Secured overnight financing rate

(WI): When Issued

Currency to be Purchased	Currency to be Sold	Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
GBP 217,000	USD 273,159		Citibank N.A.		04/12/24	$	988
USD 524,102	EUR 476,000		Citibank N.A.		04/12/24		9,723
USD 24,208	EUR 22,000		Bank of America N.A.		04/12/24		435
USD 276,989	GBP 217,000		Citibank N.A.		04/12/24		2,841
							13,987
EUR 98,000	USD 106,645		Bank of America N.A.		04/12/24		(743)
NET UNREALIZED APPRECIATION						$	13,244

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Two-Year Note		125		06/28/24	$	25,560,547	$	(22,965)	$	(22,965)
Euro-Schatz Future		1		06/06/24		114,156		26		26
						25,674,703		(22,939)		(22,939)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Five-Year Note		128		06/28/24		(13,698,000)		(36,782)		(36,782)
U.S. Treasury Ten-Year Ultra Bond		20		06/18/24		(2,292,188)		(14,484)		(14,484)
U.S. Treasury Ultra Bond		2		06/18/24		(258,000)		(2,549)		(2,549)
						(16,248,188)		(53,815)		(53,815)
TOTAL FUTURES CONTRACTS					$	9,426,515	$	(76,754)	$	(76,754)

See accompanying Notes to Financial Statements.

215 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BONDS – 104.18%
ASSET-BACKED SECURITIES — 14.00%**
321 Henderson Receivables VI LLC,
Series 2010-1A, Class B
9.31%	07/15/611	$	133,636	$	138,056
Allegro CLO XII Ltd.,
Series 2020-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%	01/21/321,2,3		5,270,000		5,272,914
AMSR Trust,
Series 2020-SFR1, Class G
4.31%	04/17/371		10,503,000		10,153,491
AMSR Trust,
Series 2020-SFR3, Class H
6.50%	09/17/371		6,000,000		5,851,822
AMSR Trust,
Series 2022-SFR3, Class E1
4.00%	10/17/391		10,000,000		9,099,312
Barings CLO Ltd.,
Series 2020-4A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.81%)
7.13%	01/20/321,2,3		8,300,000		8,300,083
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1
(CME Term SOFR 1-Month plus 0.56%)
5.89%	04/25/351,2		378,831		361,922
Blackrock Rainier CLO VI Ltd.,
Series 2021-6A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%	04/20/331,2,3		10,000,000		9,996,920
BlueMountain Fuji U.S. CLO I Ltd.,
Series 2017-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.08%	07/20/291,2,3		5,500,000		5,497,305
Carvana Auto Receivables Trust,
Series 2021-N3, Class R
0.00%	06/12/281		19,250		2,032,664
Carvana Auto Receivables Trust,
Series 2021-N4, Class R
0.00%	09/12/281		26,800		1,585,475
Carvana Auto Receivables Trust,
Series 2021-P4, Class R
0.00%	09/11/281		14,200		3,494,514
Carvana Auto Receivables Trust,
Series 2022-N1, Class R
0.00%	12/11/281		71,000		5,151,171
Carvana Auto Receivables Trust,
Series 2022-P2, Class R
1.00%	05/10/291		54,850		7,670,758
Carvana Auto Receivables Trust,
Series 2023-P3, Class R
0.00%	08/12/301		16,200		3,463,857

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Cedar Funding XII CLO Ltd.,
Series 2020-12A, Class A1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.39%)
6.72%	10/25/341,2,3	$	1,000,000	$	1,000,550
CIFC Funding 2014 Ltd.,
Series 2014-1A, Class BR2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.66%)
6.96%	01/18/311,2,3		8,525,000		8,516,407
CIT Education Loan Trust,
Series 2007-1, Class B
(SOFR90A plus 0.56%)
5.91%	06/25/421,2		1,092,989		960,192
Clover CLO LLC,
Series 2018-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.96%)
7.28%	04/20/321,2,3		15,800,000		15,802,528
CoreVest American Finance Trust,
Series 2019-3, Class XA (IO)
2.02%	10/15/521,4		3,633,876		50,562
CoreVest American Finance Trust,
Series 2020-1, Class A2
2.30%	03/15/501		5,197,000		4,745,349
CoreVest American Finance Trust,
Series 2020-4, Class XA (IO)
3.81%	12/15/521,4		16,488,974		846,785
CoreVest American Finance Trust,
Series 2020-4, Class XB (IO)
2.76%	12/15/521,4		12,500,000		833,989
CoreVest American Finance Trust,
Series 2021-3, Class XA (IO)
2.38%	10/15/541,4		66,179,472		3,208,288
DataBank Issuer,
Series 2021-1A, Class A2
2.06%	02/27/511		6,047,860		5,524,067
Exeter Automobile Receivables Trust,
Series 2023-3A, Class D
6.68%	04/16/29		6,120,000		6,187,472
Flexential Issuer,
Series 2021-1A, Class C
6.93%	11/27/511		9,755,000		8,741,916
FRTKL,
Series 2021-SFR1, Class G
4.11%	09/17/381		9,435,000		8,393,599
GBX Leasing,
Series 2022-1, Class A
2.87%	02/20/521		9,256,357		8,279,128
Global SC Finance II SRL,
Series 2014-1A, Class A2
(Barbados)
3.09%	07/17/291,3		84,328		83,437
Goal Capital Funding Trust,
Series 2006-1, Class B
(LIBOR USD 3-Month plus 0.45%)
6.04%	08/25/422		200,801		189,135

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 216

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
GoldenTree Loan Management U.S. CLO 1 Ltd.,
Series 2021-9A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.08%	01/20/331,2,3	$	3,905,000	$	3,899,260
Golub Capital Partners CLO 54M L.P,
Series 2021-54A, Class A
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.79%)
7.06%	08/05/331,2,3		9,600,000		9,595,181
LAD Auto Receivables Trust,
Series 2023-3A,Class D
6.92%	12/16/301		4,000,000		4,070,104
Madison Park Funding XXVII Ltd.,
Series 2018-27A, Class A2
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.61%)
6.93%	04/20/301,2,3		2,530,000		2,524,702
Magnetite XXI Ltd.,
Series 2019-21A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.61%)
6.93%	04/20/341,2,3		8,000,000		7,997,136
MetroNet,
Series 2023-3, Class A
7.95%	04/20/531,5,6		2,650,000		2,665,217
Nelnet Student Loan Trust,
Series 2006-2, Class B
(SOFR90A plus 0.46%)
5.82%	01/25/382		2,083,625		1,750,906
Neuberger Berman Loan Advisers CLO 24 Ltd.,
Series 2017-24A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.07%	04/19/301,2,3		750,000		749,700
Octagon Investment Partners 46 Ltd.,
Series 2020-2A,Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.42%)
6.74%	07/15/361,2,3		6,400,000		6,401,600
OHA Credit Funding 7 Ltd.,
Series 2020-7A, Class AR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.30%)
6.61%	02/24/371,2,3		5,000,000		5,005,095
OHA Credit Funding 8 Ltd.,
Series 2021-8A, Class B1
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.76%)
7.06%	01/18/341,2,3		6,650,000		6,647,739
Park Avenue Institutional Advisers CLO Ltd.,
Series 2021-1A, Class A2
(Cayman Islands)
(CME Term SOFR 3-Month plus 2.01%)
7.33%	01/20/341,2,3		4,850,000		4,850,504

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
Progress Residential Trust,
Series 2020-SFR1, Class H
5.27%	04/17/371	$	7,100,000	$	6,929,565
Progress Residential Trust,
Series 2021-SFR2, Class G
4.25%	04/19/381		7,956,000		7,255,265
Progress Residential,
Series 2021-SFR1, Class F
2.76%	04/17/381		4,237,000		3,847,431
Progress Residential,
Series 2021-SFR3, Class F
3.44%	05/17/261		3,700,000		3,391,191
Progress Residential,
Series 2021-SFR3, Class G
4.25%	05/17/261		15,752,000		14,315,205
Rad CLO 22 Ltd.,
Series 2023-22A, Class D
(Cayman Islands)
(CME Term SOFR 3-Month plus 5.00%)
10.37%	01/20/371,2,3		3,940,000		4,018,918
Rad CLO 7 Ltd.,
Series 2020-7A, Class B1R
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.90%)
7.23%	04/17/361,2,3		7,280,000		7,319,334
Regata XII Funding Ltd.,
Series 2019-1A, Class BR
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.86%)
7.18%	10/15/321,2,3		3,890,000		3,892,517
RRE 15 Loan Management DAC,
Series 15X, Class A1
(Ireland)
(3-Month Euribor plus 1.75%)
5.69%	10/15/352,3		5,000,000		5,418,306
Sabey Data Center Issuer LLC,
Series 2020-1, Class A2
3.81%	04/20/451		7,905,000		7,715,202
Skyline Aircraft Finance LLC,
Series 2021-1, Class A
3.23%	05/10/374,5,6		8,493,754		7,586,315
SLC Student Loan Trust,
Series 2004-1, Class B
(SOFR90A plus 0.55%)
5.91%	08/15/312		260,147		221,762
SLM Student Loan EDC Repackaging Trust,
Series 2013-M1, Class M1R
0.00%	10/28/291		6,250		2,452,376
SLM Student Loan Trust,
Series 2003-12, Class B
(SOFR90A plus 0.85%)
6.21%	12/15/682		2,459,731		2,361,365
SLM Student Loan Trust,
Series 2003-4, Class A5D
(SOFR90A plus 1.01%)
6.37%	03/15/331,2		1,197,090		1,169,418

See accompanying Notes to Financial Statements.

217 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2003-7, Class B
(SOFR90A plus 0.83%)
6.19%	09/15/392	$	1,727,839	$	1,578,351
SLM Student Loan Trust,
Series 2004-10, Class B
(SOFR90A plus 0.63%)
5.99%	01/25/402		6,165,667		5,756,042
SLM Student Loan Trust,
Series 2004-2, Class B
(SOFR90A plus 0.73%)
6.09%	07/25/392		307,781		289,052
SLM Student Loan Trust,
Series 2005-3, Class B
(SOFR90A plus 0.41%)
5.77%	04/25/402		2,026,456		1,913,045
SLM Student Loan Trust,
Series 2006-8, Class B
(SOFR90A plus 0.49%)
5.85%	01/25/412		2,100,741		1,959,867
SLM Student Loan Trust,
Series 2007-7, Class B
(SOFR90A plus 1.01%)
6.37%	10/27/702		2,195,000		2,037,315
SLM Student Loan Trust,
Series 2007-8, Class B
(SOFR90A plus 1.26%)
6.62%	04/27/832		3,389,127		3,258,319
SLM Student Loan Trust,
Series 2008-2, Class B
(SOFR90A plus 1.46%)
6.82%	01/25/832		1,000,000		960,768
SLM Student Loan Trust,
Series 2008-3, Class B
(SOFR90A plus 1.46%)
6.82%	04/26/832		710,000		677,386
SLM Student Loan Trust,
Series 2008-4, Class A4
(SOFR90A plus 1.91%)
7.27%	07/25/222		564,017		570,053
SLM Student Loan Trust,
Series 2008-4, Class B
(SOFR90A plus 2.11%)
7.47%	04/25/732		710,000		715,748
SLM Student Loan Trust,
Series 2008-5, Class B
(SOFR90A plus 2.11%)
7.47%	07/25/732		7,315,000		7,280,485
SLM Student Loan Trust,
Series 2008-6, Class A4
(SOFR90A plus 1.36%)
6.72%	07/25/232		6,790,256		6,742,737
SLM Student Loan Trust,
Series 2008-6, Class B
(SOFR90A plus 2.11%)
7.47%	07/26/832		710,000		675,310

Issues	Maturity Date	Principal Amount		Value
ASSET-BACKED SECURITIES (continued)
SLM Student Loan Trust,
Series 2008-7, Class B
(SOFR90A plus 2.11%)
7.47%	07/26/832	$	820,000	$	769,586
SLM Student Loan Trust,
Series 2012-1, Class A3
(SOFR30A plus 1.06%)
6.38%	09/25/282		497,443		481,575
SLM Student Loan Trust,
Series 2012-2, Class A
(SOFR30A plus 0.81%)
6.13%	01/25/292		756,642		738,234
SLM Student Loan Trust,
Series 2012-7, Class B
(SOFR30A plus 1.91%)
7.23%	09/25/432		2,200,000		2,025,550
SLM Student Loan Trust,
Series 2014-1, Class A3
(SOFR30A plus 0.71%)
6.03%	02/26/292		659,533		635,274
Structured Receivables Finance LLC,
Series 2010-A, Class B
7.61%	01/16/461		1,275,468		1,275,468
Structured Receivables Finance LLC,
Series 2010-B, Class B
7.97%	08/15/361		961,955		985,872
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		138,622
TCI-Flatiron CLO Ltd.,
Series 2017-1A, Class B
(Cayman Islands)
(CME Term SOFR 3-Month plus 1.82%)
7.14%	11/18/301,2,3		5,090,000		5,090,865
Textainer Marine Containers VII Ltd.,
Series 2020-3A, Class A
(Bermuda)
2.11%	09/20/451,3		5,929,050		5,394,734
TIF Funding II LLC,
Series 2020-1A, Class A
2.09%	08/20/451		2,607,550		2,365,281
TIF Funding II, LLC,
Series 2021-1A, Class B
2.54%	02/20/461		2,957,563		2,515,167
Triton Container Finance VIII, LLC,
Series 2021-1A, Class B
2.58%	03/20/461		2,283,425		1,953,079
Westlake Automobile Receivables Trust,
Series 2023-3A, Class D
6.47%	03/15/291		9,640,000		9,754,915
Westlake Automobile Receivables Trust,
Series 2024-1A, Class D
6.02%	10/15/291		6,390,000		6,416,764
Total Asset-Backed Securities
(Cost $398,698,183)					360,440,446

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 218

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BANK LOANS — 3.20%*
Automotive — 0.01%
First Brands Group LLC,
Term Loan B, 1st Lien
(SOFR plus 5.26%)
10.57%	03/30/272	$	342,387	$	343,329
Communications — 0.18%
CCI Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.30%	12/17/272		1,465,995		1,459,318
CSC Holdings LLC,
Term Loan B5, 1st Lien
(SOFR plus 2.50%)
7.94%	04/15/272		901,495		817,462
Frontier Communications Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
8.62%	10/08/272		510,864		510,386
New Insight Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 5.76%)
11.07%	12/20/242		535,755		323,296
Zayo Group Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
8.44%	03/09/272		563,487		496,029
(SOFR plus 4.33%)
9.66%	03/09/272		1,037,091		932,874
					4,539,365
Consumer Discretionary — 0.18%
ADMI Corp.,
Term Loan B2, 1st Lien
(SOFR plus 3.49%)
8.82%	12/23/272		560,045		541,143
City Brewing Co. LLC,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
8.32%	04/05/282		1,601,517		1,257,623
Hanesbrands, Inc.,
Term Loan A, 1st Lien
(SOFR plus 2.60%)
7.93%	11/19/262		739,077		728,915
Naked Juice, LLC,
Term Loan, 2nd Lien
(SOFR plus 6.10%)
11.00%	01/24/302		1,110,195		910,010
Triton Water Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.51%)
8.23%	03/31/282		1,201,781		1,190,671
					4,628,362

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Energy — 0.03%
NGL Energy Operating LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.83%	02/03/312	$	720,064	$	722,764
Entertainment — 0.02%
William Morris Endeavor Entertainment LLC,
Term Loan B1, 1st Lien
(SOFR plus 2.86%)
8.19%	05/16/252		586,069		586,382
Finance — 0.06%
Avolon TLB Borrower 1 U.S. LLC,
Term Loan B6, 1st Lien
(SOFR plus 2.00%)
7.33%	06/22/282		454,814		455,455
Deerfield Dakota Holding LLC,
Term Loan B, 1st Lien
(SOFR plus 3.75%)
9.06%	04/09/272		198,140		197,411
Jane Street Group LLC,
Term Loan B, 1st Lien
(SOFR plus 2.61%)
7.94%	01/26/282		962,530		964,094
					1,616,960
Food — 0.02%
8th Avenue Food & Provisions, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%	10/01/252		140,059		137,939
H-Food Holdings LLC,
Term Loan, 1st Lien
(SOFR plus 3.95%)
9.29%	05/23/252		544,560		398,553
					536,492
Gaming — 0.10%
Caesars Entertainment, Inc.,
Term Loan B1, 1st Lien
(SOFR plus 2.75%)
8.04%	02/06/312		1,219,307		1,221,782
Ontario Gaming Gta Ltd. Partnership,
Term Loan B, 1st Lien (Canada)
(SOFR plus 4.25%)
9.57%	08/01/302,3		613,380		616,229
Penn National Gaming, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
7.66%	05/03/292		603,169		604,490
					2,442,501
Health Care — 0.34%
Bausch + Lomb Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 3.35%)
8.68%	05/10/272,3		309,165		306,305

See accompanying Notes to Financial Statements.

219 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Health Care (continued)
Carestream Dental Equipment, Inc.,
Term Loan, 1st Lien
(LIBOR plus 3.25%)
8.56%	09/01/242	$	2,538,231	$	2,216,726
Carestream Dental, Inc.,
Term Loan, 1st Lien
(LIBOR plus 4.50%)
9.94%	09/01/242		637,042		556,084
Genesee & Wyoming, Inc.,
Term Loan, 1st Lien
(SOFR plus 2.10%)
7.40%	12/30/262		812,094		813,539
Grifols Worldwide Operations USA, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.15%)
7.46%	11/15/272		1,264,585		1,227,198
Jazz Financing Lux SARL,
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.11%)
8.44%	05/05/282,3		1,113,257		1,120,215
Medline Borrower LP,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
8.20%	10/23/282		446,332		447,959
Organon & Co.,
Term Loan B, 1st Lien
(SOFR plus 3.11%)
7.75%	06/02/282		393,480		395,366
Pathway Vet Alliance LLC,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%	03/31/272		1,111,045		978,070
Star Parent, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%	09/27/302		409,689		407,667
U.S. Renal Care, Inc.,
Term Loan, 1st Lien
(SOFR plus 5.11%)
10.44%	06/20/282		207,215		180,622
					8,649,751
Health Care REITs — 0.11%
Aveanna Healthcare LLC,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.19%	07/17/282		2,925,580		2,820,566
Industrials — 0.60%
Artera Services LLC,
Term Loan, 1st Lien
(SOFR plus 4.50%)
9.81%	02/15/312		686,827		690,261
ASP Blade Holdings, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.56%	10/16/282		513,824		466,038

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Industrials (continued)
Berry Global, Inc.,
Term Loan AA, 1st Lien
(SOFR plus 1.86%)
7.18%	07/01/292	$	1,771,974	$	1,773,250
Coherent Corp.,
Term Loan B, 1st Lien
(SOFR plus 2.86%)
7.38% - 7.67%	07/02/292		397,680		398,973
DTI Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.75%)
10.06%	04/26/292		241,306		241,608
Filtration Group Corp.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%	10/21/282		325,931		327,338
Michaels Cos., Inc. (The),
Term Loan, 1st Lien
(SOFR plus 4.51%)
9.82%	04/15/282		3,403,750		3,062,609
Patriot Container Corp.,
Term Loan B, 1st Lien
(SOFR plus 3.85%)
9.18%	03/20/252		153,204		148,935
Term Loan, 2nd Lien
(SOFR plus 7.75%)
13.08%	03/20/262		637,132		554,305
Plaze, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%	08/03/262		3,386,250		3,343,922
Term Loan B, 1st Lien (Luxembourg)
(SOFR plus 3.61%)
8.94%	08/03/262,3		1,676,449		1,655,493
ProAmpac PG Borrower LLC,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.80% - 9.82%	09/15/282		1,346,110		1,350,149
Transdigm, Inc.,
Term Loan I, 1st Lien
(SOFR plus 2.75%)
8.08%	08/24/282		1,478,897		1,485,604
					15,498,485
Information Technology — 0.70%
Arches Buyer, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.35%)
8.68%	12/06/272		585,233		568,206
Athenahealth Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.25%)
8.25%	02/15/292		438,583		435,535

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 220

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Information Technology (continued)
Buzz Merger Sub Ltd.,
Term Loan B, 1st Lien
(SOFR plus 2.85%)
8.18%	01/29/272	$	349,907	$	351,110
Central Parent LLC,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.31%	07/06/292		673,251		676,018
CT Technologies Intermediate Holdings, Inc.,
Term Loan, 1st Lien
(SOFR plus 4.36%)
9.69%	12/16/252		921,500		920,924
EagleView Technology Co.,
Term Loan B, 1st Lien
(SOFR plus 3.76%)
9.06%	08/14/252		5,051,722		4,918,659
Gainwell Acquisition Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
8.72% - 8.99%	10/01/272		2,192,030		2,100,787
Magnite, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.50%)
9.60% - 9.82%	02/06/312		276,382		277,189
MH Sub I LLC,
Term Loan B3, 1st Lien
(SOFR plus 4.25%)
9.58%	05/03/282		281,536		280,191
NortonLifeLock, Inc.,
Term Loan A2, 1st Lien
(SOFR plus 1.85%)
7.18%	09/10/272		1,326,161		1,324,364
Open Text Corp.,
Term Loan B, 1st Lien (Canada)
(SOFR plus 1.85%)
7.18%	05/30/252,3		227,622		228,120
(SOFR plus 2.85%)
8.18%	01/31/302,3		416,052		417,236
Oracle Corp.,
Term Loan A1, 1st Lien
(SOFR plus 0.60%)
6.46%	08/16/272		1,656,374		1,658,444
Renaissance Holding Corp.,
Term Loan, 1st Lien
(SOFR plus 4.25%)
9.58%	04/05/302		599,174		601,047
Spin Holdco, Inc.,
Term Loan B, 1st Lien
(SOFR plus 4.26%)
9.59%	03/03/282		2,160,658		2,006,549
Xerox Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.00%)
9.33%	11/15/292		1,222,707		1,229,970
					17,994,349

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Insurance — 0.14%
Acrisure LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.50%)
8.94%	02/15/272	$	1,112,343	$	1,113,038
Asurion LLC,
Term Loan B10, 1st Lien
(SOFR plus 4.10%)
8.91%	08/19/282		985,000		951,141
Term Loan B4, 2nd Lien
(SOFR plus 5.25%)
10.58%	01/20/292		300,000		269,836
Term Loan B8, 1st Lien
(SOFR plus 3.36%)
8.69%	12/23/262		1,319,633		1,296,065
					3,630,080
Materials — 0.14%
Chemours Co. (The),
Term Loan B3, 1st Lien
(SOFR plus 3.50%)
8.83%	08/18/282		512,475		511,706
Herens U.S. Holdco Corp.,
Term Loan B, 1st Lien
(SOFR plus 4.03%)
9.33%	07/03/282		1,687,861		1,593,298
Schweitzer-Mauduit International, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.86%)
9.19%	04/20/282		1,567,868		1,570,486
					3,675,490
Office REITs — 0.09%
Rent-A-Center, Inc.,
Term Loan B, 1st Lien
(SOFR plus 3.68%)
8.12%	02/17/282		2,240,984		2,244,244
Retail — 0.27%
1011778 BC Unlimited Liability Co.,
Term Loan B5, 1st Lien (Canada)
(SOFR plus 2.25%)
7.58%	09/20/302,3		410,174		410,430
AmWINS Group, Inc.,
Term Loan B, 1st Lien
(SOFR plus 2.36%)
7.69%	02/19/282		2,714,363		2,717,756
BW Gas & Convenience Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 3.61%)
8.94%	03/31/282		3,501,000		3,479,119
KFC Holding Co.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%	03/15/282		458,187		458,494
					7,065,799

See accompanying Notes to Financial Statements.

221 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
BANK LOANS (continued)
Services — 0.16%
Amentum Government Services Holdings LLC,
Term Loan B, 1st Lien
(SOFR plus 4.11%)
8.63%	01/29/272	$	1,291,247	$	1,296,089
Clean Harbors, Inc.,
Term Loan B, 1st Lien
(SOFR plus 1.86%)
7.19%	10/08/282		1,158,737		1,162,358
Element Materials Technology Group U.S. Holdings, Inc.,
Delayed-Draw Term Loan, 1st Lien
(SOFR plus 4.35%)
9.66%	07/06/292		122,826		123,082
Term Loan B, 1st Lien
(SOFR plus 4.35%)
9.66%	07/06/292		266,122		266,677
Pre-Paid Legal Services, Inc.,
Term Loan, 1st Lien
(SOFR plus 3.86%)
9.18%	12/15/282		533,384		531,526
Trans Union LLC,
Term Loan B, 1st Lien
(SOFR plus 2.00%)
7.33%	12/01/282		600,346		600,760
TruGreen LP,
Term Loan B, 1st Lien
(SOFR plus 4.10%)
9.43%	11/02/272		169,937		165,742
					4,146,234
Specialized REITs — 0.05%
Greystar Real Estate Partners LLC,
Term Loan B1, 1st Lien
(SOFR plus 3.25%)
8.58%	08/21/302		1,300,076		1,303,326
Total Bank Loans
(Cost $83,176,974)					82,444,479
CORPORATES — 20.80%*
Banking — 4.40%
Bank of America Corp.
1.73%	07/22/274		611,000		563,671
Bank of America Corp.
(MTN)
1.32%	06/19/264		4,222,000		4,013,269
1.92%	10/24/314		7,570,000		6,182,880
2.09%	06/14/294		8,194,000		7,245,039
(CME Term SOFR 3-Month plus 0.91%)
6.25%	12/01/262		4,400,000		4,286,923
Bank of America Corp.,
Series N
1.66%	03/11/274		11,114,000		10,360,857
Bank of America Corp.,
Series RR
4.38%4,7			2,340,000		2,205,437

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Banking (continued)
HSBC Holdings PLC
(United Kingdom)
2.10%	06/04/263,4	$	2,480,000	$	2,379,238
2.21%	08/17/293,4		5,275,000		4,625,870
4.76%	06/09/283,4		2,260,000		2,216,781
JPMorgan Chase & Co.
1.56%	12/10/254		19,055,000		18,528,930
1.58%	04/22/274		10,250,000		9,507,350
1.95%	02/04/324		1,415,000		1,153,377
2.07%	06/01/294		510,000		452,240
2.55%	11/08/324		1,605,000		1,336,756
2.58%	04/22/324		175,000		147,906
Lloyds Banking Group PLC
(United Kingdom)
3.57%	11/07/283,4		2,130,000		1,998,348
3.87%	07/09/253,4		4,000,000		3,979,313
PNC Financial Services Group, Inc. (The)
5.07%	01/24/344		2,945,000		2,853,452
6.88%	10/20/344		2,405,000		2,635,398
Santander UK Group Holdings PLC
(United Kingdom)
1.67%	06/14/273,4		2,620,000		2,398,440
U.S. Bancorp
3.70%4,7			1,980,000		1,715,729
4.84%	02/01/344		4,320,000		4,104,320
5.68%	01/23/354		630,000		636,673
5.84%	06/12/344		900,000		918,295
Wells Fargo & Co.
(MTN)
2.16%	02/11/264		4,550,000		4,414,812
2.57%	02/11/314		1,406,000		1,212,244
3.35%	03/02/334		12,925,000		11,211,733
					113,285,281
Communications — 1.76%
C&W Senior Finance Ltd.
(Cayman Islands)
6.88%	09/15/271,3		300,000		283,860
Cable One, Inc.
4.00%	11/15/301		1,592,000		1,245,740
Charter Communications Operating LLC/Charter
Communications Operating Capital
4.80%	03/01/50		4,765,000		3,530,236
5.38%	05/01/47		3,050,000		2,466,040
5.75%	04/01/48		2,347,000		1,977,916
6.65%	02/01/34		800,000		820,334
Charter Communications Operating, LLC/Charter
Communications Operating Capital
5.25%	04/01/53		1,000,000		792,842
CommScope, Inc.
4.75%	09/01/291		1,430,000		1,029,600
CSC Holdings LLC
4.63%	12/01/301		500,000		253,750
5.38%	02/01/281		650,000		559,639
6.50%	02/01/291		2,353,000		1,995,710
7.50%	04/01/281		2,522,000		1,702,088

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 222

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Communications (continued)
11.25%	05/15/281	$	1,000,000	$	992,279
11.75%	01/31/291		196,000		196,245
Frontier Communications Holdings LLC
6.75%	05/01/291		3,140,000		2,801,774
8.63%	03/15/311		1,854,000		1,894,773
Global Switch Finance BV
(EMTN)
(Netherlands)
1.38%	10/07/303		4,505,000		4,509,496
Northwest Fiber LLC/Northwest Fiber Finance Sub, Inc.
4.75%	04/30/271		1,396,000		1,430,900
6.00%	02/15/281		444,000		457,320
SES GLOBAL Americas Holdings, Inc.
5.30%	03/25/441		7,494,000		5,739,285
TDC Net A/S,
(EMTN)
(Germany)
6.50%	06/01/313		500,000		583,217
Tele Columbus AG,
Series REGS
(Georgia)
10.00%	03/19/293,8		2,240,000		1,688,602
Time Warner Cable LLC
5.50%	09/01/41		4,443,000		3,702,281
VZ Secured Financing BV
(Netherlands)
5.00%	01/15/321,3		2,495,000		2,144,088
VZ Secured Financing BV,
Series REGS
(Netherlands)
3.50%	01/15/323		2,800,000		2,658,776
					45,456,791
Consumer Discretionary — 1.47%
Bacardi Ltd.
(Bermuda)
5.15%	05/15/381,3		1,500,000		1,433,551
BAT Capital Corp.
4.76%	09/06/49		7,059,000		5,624,101
Becle, SAB de CV
(Mexico)
2.50%	10/14/311,3		4,450,000		3,545,115
Everi Holdings, Inc.
5.00%	07/15/291		1,296,000		1,286,280
Imperial Brands Finance PLC
(United Kingdom)
3.13%	07/26/241,3		1,500,000		1,487,179
4.25%	07/21/251,3		1,880,000		1,847,195
Philip Morris International, Inc.
1.45%	08/01/39		495,000		372,079
Reynolds American, Inc.
5.85%	08/15/45		7,245,000		6,746,488
Spectrum Brands, Inc.
3.88%	03/15/311		1,765,000		1,704,932
Triton Water Holdings, Inc.
6.25%	04/01/291		117,000		106,823

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Consumer Discretionary (continued)
WarnerMedia Holdings, Inc.
5.05%	03/15/42	$	7,970,000	$	6,849,871
5.14%	03/15/52		8,287,000		6,888,718
					37,892,332
Diversified REITs — 0.97%
American Assets Trust LP
3.38%	02/01/31		4,005,000		3,274,574
American Tower Corp.
1.00%	01/15/32		1,435,000		1,269,004
2.70%	04/15/31		3,045,000		2,579,398
CapitaLand Ascendas REIT
(EMTN)
(Slovenia)
0.75%	06/23/283		525,000		491,370
Digital Dutch Finco BV
(Netherlands)
1.00%	01/15/323		2,600,000		2,232,161
Digital Intrepid Holding BV
(Netherlands)
1.38%	07/18/323		1,000,000		876,248
GLP Capital LP/GLP Financing II, Inc.
5.30%	01/15/29		2,280,000		2,252,617
5.75%	06/01/28		6,241,000		6,250,543
VICI Properties LP
4.95%	02/15/30		450,000		435,177
5.13%	05/15/32		2,441,000		2,338,743
VICI Properties LP/VICI Note Co., Inc.
3.88%	02/15/291		1,120,000		1,031,753
4.13%	08/15/301		113,000		102,807
4.63%	06/15/251		250,000		246,565
Vonovia SE
(Georgia)
1.00%	06/16/333		300,000		245,108
2.25%	04/07/303		300,000		294,287
Vonovia SE
(EMTN)
(Georgia)
0.75%	09/01/323		1,100,000		902,494
Vonovia SE,
(EMTN)
(Georgia)
5.00%	11/23/303		200,000		227,284
					25,050,133
Electric — 1.14%
Alliant Energy Finance, LLC
3.60%	03/01/321		8,130,000		7,204,501
Cleco Power LLC
6.00%	12/01/40		825,000		831,315
Comision Federal de Electricidad,
Series REGS
(Mexico)
3.88%	07/26/333		650,000		529,100
Dominion Energy, Inc.
5.75%	10/01/544		2,515,000		2,511,955

See accompanying Notes to Financial Statements.

223 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Electric (continued)
Duke Energy Corp.
3.85%	06/15/34	$	3,840,000	$	4,117,527
FirstEnergy Pennsylvania Electric Co.
4.00%	04/15/251		2,625,000		2,561,368
FirstEnergy Transmission LLC
2.87%	09/15/281		3,153,000		2,876,920
Mong Duong Finance Holdings BV,
Series REGS
(Netherlands)
5.13%	05/07/293		322,802		308,848
Southwestern Electric Power Co.,
Series M
4.10%	09/15/28		2,190,000		2,101,196
TenneT Holding BV
(EMTN)
(Netherlands)
2.75%	05/17/423		1,670,000		1,691,673
4.50%	10/28/343		645,000		765,953
4.75%	10/28/423		3,075,000		3,820,858
					29,321,214
Energy — 1.18%
Ecopetrol SA
(Colombia)
8.88%	01/13/333		780,000		825,518
Energy Transfer LP,
Series B
6.63%4,7			3,251,000		3,048,307
Energy Transfer Operating LP
5.30%	04/15/47		1,000,000		911,447
Galaxy Pipeline Assets Bidco Ltd.
(United Kingdom)
2.16%	03/31/341,3		1,698,880		1,464,435
Global Partners LP/GLP Finance Corp.
6.88%	01/15/29		800,000		794,300
KazMunayGas National Co. JSC,
Series REGS
(Kazakhstan)
3.50%	04/14/333		1,586,000		1,322,565
4.75%	04/19/273		205,000		199,773
KazMunayGas National Co. JSC,
Series REGS (EMTN)
(Kazakhstan)
5.38%	04/24/303		2,424,000		2,382,676
National Gas Transmission PLC,
(EMTN)
(United Kingdom)
4.25%	04/05/303		970,000		1,078,727
NGL Energy Operating LLC/NGL Energy Finance Corp.
8.38%	02/15/321		1,080,000		1,108,402
Pertamina Persero PT
(Indonesia)
3.10%	08/27/301,3		4,079,000		3,611,955
Petroleos Mexicanos
(Mexico)
6.35%	02/12/483		652,000		416,539

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Energy (continued)
6.75%	09/21/473	$	1,598,000	$	1,059,474
QazaqGaz NC JSC,
Series REGS
(Kazakhstan)
4.38%	09/26/273		650,000		613,015
Southern Co. Gas Capital Corp.
3.88%	11/15/25		2,410,000		2,349,750
Southern Gas Corridor CJSC,
Series REGS
(Azerbaijan)
6.88%	03/24/263		2,776,000		2,809,312
TransMontaigne Partners LP/TLP Finance Corp.
6.13%	02/15/26		3,846,000		3,677,738
Venture Global LNG, Inc.
9.50%	02/01/291		1,311,000		1,414,275
9.88%	02/01/321		1,300,000		1,402,384
					30,490,592
Finance — 2.95%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
(Ireland)
3.00%	10/29/283		10,100,000		9,144,020
American Express Co.,
Series D
3.55%4,7			2,350,000		2,181,094
Avolon Holdings Funding Ltd.
(Cayman Islands)
2.53%	11/18/271,3		5,278,000		4,696,971
2.88%	02/15/251,3		3,555,000		3,460,964
Charles Schwab Corp. (The)
Series K
5.00%4,7			2,020,000		1,936,291
Citigroup, Inc.
0.98%	05/01/254		5,930,000		5,904,162
2.98%	11/05/304		2,380,000		2,114,998
3.06%	01/25/334		2,543,000		2,161,794
Gaci First Investment Co.
(Cayman Islands)
5.25%	10/13/323		650,000		657,433
GGAM Finance Ltd.
(Cayman Islands)
6.88%	04/15/291,3		945,000		953,809
8.00%	06/15/281,3		644,000		672,175
Goldman Sachs Group, Inc. (The)
1.95%	10/21/274		4,295,000		3,950,842
(SOFR Rate plus 0.49%)
5.84%	10/21/242		5,565,000		5,568,743
Goldman Sachs Group, Inc. (The),
Series VAR
1.09%	12/09/264		16,885,000		15,682,432
Icahn Enterprises LP/Icahn Enterprises Finance Corp.
4.38%	02/01/29		721,000		616,318
5.25%	05/15/27		1,448,000		1,346,640
9.75%	01/15/291		2,065,000		2,155,292
Morgan Stanley
0.79%	05/30/254		1,395,000		1,382,129

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 224

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Finance (continued)
2.48%	09/16/364	$	2,505,000	$	1,980,882
Morgan Stanley
(GMTN)
2.95%	05/07/324		3,250,000		3,375,980
Morgan Stanley
(MTN)
1.16%	10/21/254		2,382,000		2,320,083
Nationwide Building Society
(United Kingdom)
2.97%	02/16/281,3,4		3,835,000		3,579,128
					75,842,180
Food — 0.86%
ELO SACA
(EMTN)
(France)
6.00%	03/22/293		3,500,000		3,836,769
H-Food Holdings LLC/Hearthside Finance Co., Inc.
8.50%	06/01/261		3,012,000		225,900
JBS USA LUX SA/JBS USA Food Co./JBS Luxembourg Sarl
(Canada)
6.75%	03/15/341,3		3,955,000		4,159,494
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc.
(Canada)
3.00%	05/15/323		2,940,000		2,390,225
3.75%	12/01/313		796,000		690,224
6.50%	12/01/523		1,555,000		1,540,552
Pilgrim’s Pride Corp.
3.50%	03/01/32		382,000		324,252
4.25%	04/15/31		2,000,000		1,806,528
6.25%	07/01/33		2,975,000		3,048,159
6.88%	05/15/34		360,000		384,302
Smithfield Foods, Inc.
2.63%	09/13/311		4,690,000		3,675,375
					22,081,780
Health Care — 1.36%
1375209 BC Ltd.
(Canada)
9.00%	01/30/281,3		2,506,000		2,458,606
Bayer U.S. Finance II LLC
4.38%	12/15/281		3,059,000		2,880,793
4.63%	06/25/381		2,775,000		2,311,782
4.88%	06/25/481		1,915,000		1,540,361
5.50%	08/15/251		2,000,000		1,985,212
Bayer U.S. Finance LLC
6.88%	11/21/531		3,643,000		3,744,295
CAB SELAS,
Series REGS
(France)
3.38%	02/01/283		1,080,000		1,057,983
Cano Health LLC
6.25%	10/01/281,5,6,9,10		1,076,000		936
Catalent Pharma Solutions, Inc.
3.50%	04/01/301		2,981,000		2,841,697

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Health Care (continued)
Ephios Subco 3 SARL
(Luxembourg)
7.88%	01/31/311,3	$	360,000	$	409,193
Fresenius Finance Ireland PLC
(EMTN)
(Ireland)
0.88%	10/01/313		1,000,000		878,971
Grifols SA,
Series REGS
(Spain)
3.20%	05/01/253		1,025,000		1,022,653
3.88%	10/15/283		2,940,000		2,516,767
Kedrion SpA
(Italy)
6.50%	09/01/291,3		3,600,000		3,284,723
Medtronic Global Holdings SCA
(Luxembourg)
3.38%	10/15/343		900,000		974,770
ModivCare Escrow Issuer, Inc.
5.00%	10/01/291		5,122,000		3,720,433
Prime Healthcare Services, Inc.
7.25%	11/01/251		1,551,000		1,554,877
Universal Health Services, Inc.
1.65%	09/01/26		1,500,000		1,367,582
2.65%	01/15/32		590,000		483,040
					35,034,674
Health Care REITs — 0.19%
Healthcare Reality Holdings LP
2.00%	03/15/31		175,000		139,267
3.50%	08/01/26		2,257,000		2,153,997
Healthcare Realty Holdings LP
2.05%	03/15/31		391,000		303,432
3.63%	01/15/28		625,000		578,032
3.88%	05/01/25		1,695,000		1,658,006
					4,832,734
Industrial REITs — 0.09%
LXP Industrial Trust
2.70%	09/15/30		2,000,000		1,673,990
Prologis Euro Finance LLC,
(EMTN)
4.25%	01/31/43		610,000		665,109
					2,339,099
Industrials — 1.01%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
(Canada)
4.13%	08/15/261,3		887,000		805,675
5.25%	08/15/271,3		4,441,000		2,798,302
Artera Services LLC
8.50%	02/15/311		875,000		897,726
Berry Global, Inc.
1.65%	01/15/27		105,000		95,386
4.88%	07/15/261		1,195,000		1,171,977
5.65%	01/15/341		2,300,000		2,290,105

See accompanying Notes to Financial Statements.

225 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Industrials (continued)
Boeing Co. (The)
5.81%	05/01/50	$	2,690,000	$	2,547,583
General Electric Co.
(MTN)
(CME Term SOFR 3-Month plus 0.74%)
6.05%	08/15/362		10,370,000		9,631,749
Honeywell International, Inc.
3.75%	03/01/36		1,670,000		1,822,797
OT Merger Corp.
7.88%	10/15/291		5,555,000		4,007,446
					26,068,746
Information Technology — 0.27%
Open Text Corp.
(Canada)
6.90%	12/01/271,3		5,545,000		5,724,658
RingCentral, Inc.
8.50%	08/15/301		1,195,000		1,243,498
					6,968,156
Insurance — 0.98%
Acrisure LLC/Acrisure Finance, Inc.
6.00%	08/01/291		2,272,000		2,090,240
Athene Global Funding
1.99%	08/19/281		3,980,000		3,447,863
2.72%	01/07/291		1,535,000		1,355,715
3.21%	03/08/271		2,225,000		2,080,428
Farmers Exchange Capital
7.20%	07/15/481		150,000		138,602
Farmers Exchange Capital II
6.15%	11/01/531,4		2,500,000		2,232,913
Farmers Insurance Exchange
4.75%	11/01/571,4		3,800,000		2,821,160
8.63%	05/01/241		942,000		943,019
Nationwide Mutual Insurance Co.
7.88%	12/15/241,4		3,825,000		3,825,355
Teachers Insurance & Annuity Association of America
4.38%	09/15/541,4		6,470,000		6,367,070
					25,302,365
Materials — 0.61%
ASP Unifrax Holdings, Inc.
5.25%	09/30/281		2,460,000		1,590,346
Corp. Nacional del Cobre de Chile,
Series REGS
(Chile)
5.13%	02/02/333		3,232,000		3,074,925
Indonesia Asahan Aluminium PT/Mineral Industri Indonesia
Persero PT,
Series REGS
(Indonesia)
5.45%	05/15/303		3,600,000		3,562,560
International Flavors & Fragrances, Inc.
2.30%	11/01/301		7,835,000		6,512,114
3.27%	11/15/401		130,000		92,643
3.47%	12/01/501		605,000		403,536
4.38%	06/01/47		150,000		116,300

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Materials (continued)
5.00%	09/26/48	$	320,000	$	273,888
					15,626,312
Office REITs — 0.15%
Hudson Pacific Properties LP
3.25%	01/15/30		1,655,000		1,277,314
3.95%	11/01/27		2,852,000		2,529,231
4.65%	04/01/29		85,000		72,498
					3,879,043
Residential REITs — 0.23%
American Homes 4 Rent LP
4.30%	04/15/52		3,234,000		2,552,261
Invitation Homes Operating Partnership LP
2.70%	01/15/34		3,325,000		2,636,258
4.15%	04/15/32		144,000		131,873
5.50%	08/15/33		525,000		523,254
					5,843,646
Retail — 0.27%
Ferrellgas LP/Ferrellgas Finance Corp.
5.88%	04/01/291		2,874,000		2,741,940
Michaels Cos., Inc. (The)
7.88%	05/01/291		5,775,000		4,338,141
					7,080,081
Services — 0.31%
Adtalem Global Education, Inc.
5.50%	03/01/281		1,325,000		1,270,188
Global Payments, Inc.
4.88%	03/17/31		1,255,000		1,431,071
Hertz Corp. (The)
5.00%	12/01/291		1,650,000		1,278,750
WASH Multifamily Acquisition, Inc.
5.75%	04/15/261		605,000		591,624
Waste Pro USA, Inc.
5.50%	02/15/261		605,000		596,372
Worldline SA
(France)
0.00%	07/30/263,11		28,200		2,759,198
					7,927,203
Specialized REITs — 0.46%
Add Hero Holdings Ltd.,
Series IAI
(United Kingdom)
8.50%	09/30/293,12		411,561		11,561
9.00%	09/30/303,13		316,586		7,915
9.80%	09/30/313,14		411,561		9,309
Annington Funding PLC
(EMTN)
(United Kingdom)
2.31%	10/06/323		1,800,000		1,788,798
3.18%	07/12/293		595,000		674,926

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 226

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Specialized REITs (continued)
Blackstone Property Partners Europe Holdings SARL
(EMTN)
(Luxembourg)
1.00%	05/04/283	$	1,340,000	$	1,251,984
1.63%	04/20/303		1,355,000		1,221,274
1.75%	03/12/293		1,225,000		1,153,994
China Aoyuan Group Ltd.,
Series IAI
(Cayman Islands)
0.00%	09/30/283,11		58,465		1,170
5.50%	09/30/313,8		239,908		3,644
China Aoyuan Group Ltd.,
Series IAI (STEP-reset date 09/30/24)
(Cayman Islands)
0.00%3,7			654,163		13,083
China SCE Group Holdings Ltd.
(Cayman Islands)
7.00%	05/02/253,5,6,9,10		1,070,000		61,525
Extra Space Storage LP
2.35%	03/15/32		2,750,000		2,202,006
LEG Immobilien SE
(EMTN)
(Georgia)
0.88%	03/30/333		400,000		330,296
1.50%	01/17/343		100,000		85,492
Realty Income Corp.
4.88%	07/06/30		710,000		813,213
5.13%	07/06/34		1,505,000		1,775,915
Sunac China Holdings Ltd.
(Cayman Islands)
1.00%	09/30/321,3,5,6,8		354,827		23,064
6.00%	09/30/251,3,5,6,15		294,186		34,567
6.25%	09/30/261,3,5,6,16		294,543		30,780
6.50%	09/30/271,3,5,6,17		589,800		54,262
6.75%	09/30/281,3,5,6,18		885,773		72,633
7.00%	09/30/291,3,5,6,19		886,844		64,296
7.25%	09/30/301,3,5,6,20		417,092		26,902
Times China Holdings Ltd.
(Cayman Islands)
6.75%	07/08/253,5,6,9,10		1,040,000		29,969
Zhenro Properties Group Ltd.
(Cayman Islands)
6.63%	01/07/263,5,6,9,10		1,810,000		29,268
					11,771,846
Transportation — 0.07%
American Airlines Pass-Through Trust,
Series 2015-2, Class AA
3.60%	09/22/27		1,761,185		1,668,098
U.S. Airways Pass-Through Trust,
Series 2012-1, Class A
5.90%	10/01/24		42,483		42,483
					1,710,581

Issues	Maturity Date	Principal Amount		Value
CORPORATES (continued)
Water — 0.07%
Thames Water Utilities Finance PLC
(EMTN)
(United Kingdom)
4.38%	01/18/313	$	1,695,000	$	1,707,107
Total Corporates (Cost $563,382,729)					535,511,896
FOREIGN GOVERNMENT OBLIGATIONS — 1.84%
Foreign Government Obligations — 1.84%
Brazilian Government International Bond
(Brazil)
6.00%	10/20/333		1,230,000		1,220,529
6.13%	03/15/343		1,310,000		1,297,817
Colombia Government International Bond
(Colombia)
3.00%	01/30/303		1,598,000		1,325,062
3.13%	04/15/313		2,027,000		1,623,424
8.00%	04/20/333		200,000		211,720
Costa Rica Government International Bond,
Series REGS
(Costa Rica)
6.55%	04/03/343		650,000		673,530
Dominican Republic International Bond
(Dominican Republic)
4.50%	01/30/301,3		3,900,000		3,558,750
Dominican Republic International Bond,
Series REGS
(Dominican Republic)
4.88%	09/23/323		600,000		538,966
Finance Department Government of Sharjah
(United Arab Emirates)
6.50%	11/23/321,3		1,629,000		1,694,323
Guatemala Government Bond,
Series REGS
(Guam)
5.25%	08/10/293		3,050,000		2,959,044
Hungary Government International Bond
(Hungary)
2.13%	09/22/311,3		4,200,000		3,340,680
Mexico Government International Bond
(Mexico)
2.66%	05/24/313		4,731,000		3,958,475
6.35%	02/09/353		2,850,000		2,944,335
Oman Government International Bond,
Series REGS
(Oman)
5.63%	01/17/283		2,640,000		2,656,896
Panama Government International Bond
(Panama)
2.25%	09/29/323		1,000,000		716,452
3.16%	01/23/303		3,321,000		2,767,846
Paraguay Government International Bond,
Series REGS
(Papua New Guinea)
4.95%	04/28/313		2,185,000		2,111,365

See accompanying Notes to Financial Statements.

227 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
FOREIGN GOVERNMENT OBLIGATIONS (continued)
Foreign Government Obligations (continued)
Peruvian Government International Bond
(Peru)
2.78%	01/23/313	$	3,860,000	$	3,318,828
Republic of Poland Government International Bond
(Poland)
4.88%	10/04/333		2,670,000		2,633,154
Republic of South Africa Government International Bond
(South Africa)
4.30%	10/12/283		827,000		744,217
4.85%	09/30/293		1,283,000		1,153,037
5.88%	06/22/303		875,000		812,700
5.88%	04/20/323		1,064,000		960,324
Romanian Government International Bond
(Romania)
6.63%	02/17/281,3		450,000		464,625
Romanian Government International Bond,
Series REGS
(Romania)
3.00%	02/14/313		4,400,000		3,699,960
Total Foreign Government Obligations (Cost $50,658,215)					47,386,059
MORTGAGE-BACKED — 63.21%**
Non-Agency Commercial Mortgage-Backed — 9.32%
1345 Avenue of the Americas & Park Avenue Plaza Trust,
Series 2005-1, Class A3
5.28%	08/10/351		7,801,704		7,439,327
245 Park Avenue Trust,
Series 2017-245P, Class A
3.51%	06/05/371		5,000,000		4,595,347
A10 Bridge Asset Financing,
Series 2021-D, Class A1FL
(SOFR30A plus 1.45%)
6.77%	10/01/381,2		3,301,536		3,197,645
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2015-200P, Class D
3.60%	04/14/331,4		3,407,500		3,225,238
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2015-200P, Class F
3.60%	04/14/331,4		4,000,000		3,728,785
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2018-PARK, Class A
4.09%	08/10/381,4		7,985,000		7,407,446
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BHP3, Class A
(CME Term SOFR 1-Month plus 2.01%)
7.34%03/15/371,2			5,000,000		5,005,790
Banc of America Merrill Lynch Commercial Mortgage Trust,
Series 2020-BOC, Class X (IO)
0.47%	01/15/321,4		98,610,000		1,060,866
Blackstone Industrial Portfolio - Proj Foxtrot
2.23%	04/09/254,5,6		2,654,890		2,593,828
BX Commercial Mortgage Trust,
Series 2020-VIVA, Class D
3.55%	03/11/441,4		5,000,000		4,309,891

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
BX Commercial Mortgage Trust,
Series 2021-XL2, Class J
(CME Term SOFR 1-Month plus 4.00%)
9.33%	10/15/381,2	$	8,914,004	$	8,597,726
BX Trust,
Series 2019-OC11, Class A
3.20%	12/09/411		7,060,000		6,288,963
BX Trust,
Series 2021-LBA, Class EJV
(CME Term SOFR 1-Month plus 2.11%)
7.44%	02/15/361,2		1,500,000		1,473,754
BX Trust,
Series 2024-PAT, Class A
(CME Term SOFR 1-Month plus 2.09%)
7.34%	03/15/261,2		5,236,000		5,239,105
BXHPP Trust,
Series 2021-FILM, Class E
(CME Term SOFR 1-Month plus 2.11%)
7.44%	08/15/361,2		3,917,000		3,511,225
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class F
(CME Term SOFR 1-Month plus 2.85%)
8.17%	12/15/371,2		9,700,000		9,639,472
CAMB Commercial Mortgage Trust,
Series 2019-LIFE, Class G
(CME Term SOFR 1-Month plus 3.55%)
8.87%	12/15/371,2		8,503,000		8,337,823
CD Mortgage Trust,
Series 2016-CD1, Class XA (IO)
1.36%	08/10/494		58,628,401		1,359,939
Citigroup Commercial Mortgage Trust,
Series 2015-GC27, Class XA (IO)
1.30%	02/10/484		56,212,858		283,245
Commercial Mortgage Trust,
Series 2012-CR4, Class XA (IO)
1.14%	10/15/454		8,525,699		887
Commercial Mortgage Trust,
Series 2014-CR16, Class XA (IO)
0.80%	04/10/474		32,202,440		94,284
Commercial Mortgage Trust,
Series 2017-PANW, Class D
3.93%	10/10/291,4		4,440,000		3,956,797
Commercial Mortgage Trust,
Series 2020-CBM, Class XCP (IO)
0.60%	02/10/371,4		68,872,262		221,896
Credit Suisse Mortgage Capital Trust,
Series 2019-ICE4, Class D
(CME Term SOFR 1-Month plus 1.65%)
6.97%	05/15/361,2		5,700,817		5,697,815
CSAIL Commercial Mortgage Trust,
Series 2019-C16, Class XA (IO)
1.54%	06/15/524		89,919,397		5,238,884
CSMC,
Series 2021-BPNY, Class A
(CME Term SOFR 1-Month plus 3.83%)
9.15%	08/15/261,2		12,734,000		11,455,767

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 228

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Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
DOLP Trust,
Series 2021-NYC, Class D
3.70%	05/10/411,4	$	4,740,000	$	3,500,509
DROP Mortgage Trust,
Series 2021-FILE, Class D
(CME Term SOFR 1-Month plus 2.86%)
8.19%	10/15/431,2		3,145,000		2,445,043
Fontainebleau Miami Beach Trust,
Series 2019-FBLU, Class F
3.96%	12/10/361,4		2,410,000		2,337,340
FREMF Mortgage Trust,
Series 2019-KF71, Class B
(SOFR30A plus 2.41%)
7.73%	10/25/291,2		686,033		634,819
FREMF Mortgage Trust,
Series 2020-KF75, Class B
(SOFR30A plus 2.36%)
7.68%	12/25/291,2		1,328,890		1,222,570
FREMF Mortgage Trust,
Series 2020-KF88, Class C
(SOFR30A plus 9.11%)
14.43%	09/25/301,2		3,625,274		3,664,831
Grace Trust,
Series 2020-GRCE, Class A
2.35%	12/10/401		8,000,000		6,519,086
Grace Trust,
Series 2020-GRCE, Class D
2.68%	12/10/401,4		2,950,000		2,249,204
GS Mortgage Securities Corp. Trust,
Series 2020-UPTN, Class XA (IO)
0.35%	02/10/371,4		40,999,000		79,475
GS Mortgage Securities Corp. Trust,
Series 2023-FUN, Class B
(CME Term SOFR 1-Month plus 2.79%)
8.12%	03/15/281,2		5,160,000		5,186,239
GS Mortgage Securities Trust,
Series 2014-GC20, Class XA (IO)
0.79%	04/10/474		2,184,818		1,179
GSCG Trust,
Series 2019-600C, Class G
3.99%	09/06/341,4		9,212,000		185,283
Hilton USA Trust,
Series 2016-HHV, Class F
4.19%	11/05/381,4		7,840,000		7,246,927
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class A
2.94%	12/10/411,4		6,555,000		5,753,188
Hudson Yards Mortgage Trust,
Series 2019-55HY, Class F
2.94%	12/10/411,4		6,891,000		5,060,794
ILPT Commercial Mortgage Trust,
Series 2022-LPFX, Class A
3.38%	03/15/321		11,770,000		10,080,863

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
JPMorgan Chase Commercial Mortgage Securities Trust,
Series 2022-NLP, Class H
(CME Term SOFR 1-Month plus 5.01%)
10.34%	04/15/371,2	$	5,320,724	$	3,577,316
Life Mortgage Trust,
Series 2021-BMR, Class G
(CME Term SOFR 1-Month plus 3.06%)
8.39%	03/15/381,2		7,095,079		6,860,080
Med Trust,
Series 2021-MDLN, Class F
(CME Term SOFR 1-Month plus 4.11%)
9.44%	11/15/381,2		6,468,954		6,471,875
MF1 Ltd.,
Series 2020-FL4, Class B
(CME Term SOFR 1-Month plus 2.86%)
8.19%	11/15/351,2		6,000,000		6,004,441
MF1 Ltd.,
Series 2020-FL4, Class D
(CME Term SOFR 1-Month plus 4.21%)
9.54%	11/15/351,2		4,481,000		4,402,036
MKT Mortgage Trust,
Series 2020-525M, Class C
2.94%	02/12/401,4		4,970,000		3,413,348
MKT Mortgage Trust,
Series 2020-525M, Class D
2.94%	02/12/401,4		7,500,000		4,781,780
MKT Mortgage Trust,
Series 2020-525M, Class XA (IO)
0.21%	02/12/401,4		147,585,000		1,609,031
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C22, Class XA (IO)
0.99%	04/15/484		64,889,827		329,751
Morgan Stanley Bank of America Merrill Lynch Trust,
Series 2015-C24, Class XA (IO)
0.68%	05/15/484		99,514,609		606,738
Morgan Stanley Capital I Trust,
Series 2018-MP, Class A
4.28%	07/11/401,4		2,500,000		2,235,606
Natixis Commercial Mortgage Securities Trust,
Series 2018-ALXA, Class E
4.32%	01/15/431,4		1,095,000		592,383
NRTH Mortgage Trust,
Series 2024-PARK, Class A
(CME Term SOFR 1-Month plus 1.64%)
6.94%	03/15/411,2		5,335,000		5,354,005
One New York Plaza Trust,
Series 2020-1NYP, Class AJ
(CME Term SOFR 1-Month plus 1.36%)
6.69%	01/15/361,2		2,630,000		2,505,876
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class A2B
4.14%	01/05/431,4		1,840,000		1,356,204
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class C
4.39%	01/05/431,4		10,000,000		5,804,369

See accompanying Notes to Financial Statements.

229 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Commercial Mortgage-Backed (continued)
SFAVE Commercial Mortgage Securities Trust,
Series 2015-5AVE, Class D
4.39%	01/05/431,4	$	13,330,000	$	6,305,232
VMC Finance LLC,
Series 2021-HT1, Class B
(CME Term SOFR 1-Month plus 4.61%)
9.94%	01/18/371,2		1,600,000		1,526,111
Wells Fargo Commercial Mortgage Trust,
Series 2014-LC16, Class XA (IO)
0.97%	08/15/504		16,061,634		11,992
Wells Fargo Commercial Mortgage Trust,
Series 2016-C33, Class XA (IO)
1.56%	03/15/594		74,041,085		1,662,314
Westfield Galleria at Roseville
8.40%	03/29/255,6		4,300,000		4,295,700
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO)
0.35%	06/15/464		1,933,417		3,848
WF-RBS Commercial Mortgage Trust,
Series 2014-C23, Class XA (IO)
0.54%	10/15/574		70,999,256		26,376
					239,865,507
Non-Agency Mortgage-Backed — 32.05%
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-HE3, Class A2C
(CME Term SOFR 1-Month plus 0.41%)
5.74%	06/25/362		4,467,103		3,245,165
ACE Securities Corp. Home Equity Loan Trust,
Series 2006-NC3, Class A2C
(CME Term SOFR 1-Month plus 0.43%)
5.76%	12/25/362		51,518,363		13,741,045
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A1
(CME Term SOFR 1-Month plus 0.43%)
5.76%	03/25/372		27,610,825		12,408,945
ACE Securities Corp. Home Equity Loan Trust,
Series 2007-ASP1, Class A2D
(CME Term SOFR 1-Month plus 0.87%)
6.20%	03/25/372		2,193,523		858,128
Adjustable Rate Mortgage Trust,
Series 2005-4, Class 5A1
4.20%	08/25/354		1,153,596		917,251
Adjustable Rate Mortgage Trust,
Series 2007-1, Class 1A1
5.35%	03/25/374		1,042,518		859,749
Alternative Loan Trust,
Series 2005-74T1, Class A1
6.00%	01/25/36		5,166,242		2,936,052
Alternative Loan Trust,
Series 2005-76, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus 1.48%)
6.57%	01/25/362		2,307,339		2,126,070

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Alternative Loan Trust,
Series 2006-HY12, Class A5
4.14%	08/25/364	$	1,933,986	$	1,764,767
American Home Mortgage Investment Trust,
Series 2006-1, Class 11A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%	03/25/462		7,771,141		6,628,379
American Home Mortgage Investment Trust,
Series 2006-1, Class 12A1
(CME Term SOFR 1-Month plus 0.51%)
5.84%	03/25/462		2,409,054		2,055,759
Argent Securities, Inc., Asset-Backed Pass-Through
Certificates,
Series 2006-W3, Class A2C
(CME Term SOFR 1-Month plus 0.47%)
5.80%	04/25/362		37,910,462		11,415,014
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A1A
(CME Term SOFR 1-Month plus 1.36%)
6.69%	06/25/372		15,743,110		11,366,211
Asset-Backed Funding Certificates,
Series 2007-WMC1, Class A2B
(CME Term SOFR 1-Month plus 1.11%)
6.44%	06/25/372		2,875,451		2,383,725
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2004-HE9, Class M1
(CME Term SOFR 1-Month plus 1.09%)
6.42%	12/25/342		1,021,117		923,505
Asset-Backed Securities Corp. Home Equity Loan Trust,
Series 2006-HE5, Class A5
(CME Term SOFR 1-Month plus 0.59%)
3.24%	07/25/362		9,655,264		9,317,146
Banc of America Alternative Loan Trust,
Series 2003-8, Class 1CB1
5.50%	10/25/33		358,239		346,228
Banc of America Funding Trust,
Series 2006-D, Class 3A1
4.42%	05/20/364		562,489		522,277
Banc of America Funding Trust,
Series 2015-R3, Class 6A2
5.26%	05/27/361,4		8,613,319		8,054,812
Banc of America Mortgage Trust,
Series 2005-K, Class 2A1
5.12%	12/25/354		538,751		476,731
BCAP LLC Trust,
Series 2007-AA1, Class 2A1
(CME Term SOFR 1-Month plus 0.47%)
5.80%	03/25/372		2,329,557		2,064,432
BCAP LLC Trust,
Series 2014-RR3, Class 4A1
3.62%	03/26/361,4		30,378		30,378
Bear Stearns ALT-A Trust,
Series 2005-2, Class 2A4
4.12%	04/25/354		683,927		619,120

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 230

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Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Bear Stearns ALT-A Trust,
Series 2005-8, Class 11A1
(CME Term SOFR 1-Month plus 0.65%)
5.98%	10/25/352	$	4,739,586	$	4,305,587
Bear Stearns ARM Trust,
Series 2005-9, Class A1
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.30%)
7.67%	10/25/352		830,159		773,682
Bear Stearns Asset-Backed Securities I Trust,
Series 2005-AC6, Class 1A3
5.50%	09/25/354		247,685		239,309
Bear Stearns Asset-Backed Securities I Trust,
Series 2006-AC2, Class 21A3
6.00%	03/25/36		6,530		6,453
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 1A1
(CME Term SOFR 1-Month plus 0.51%)
5.84%	09/25/472		4,199,954		3,853,633
Bear Stearns Mortgage Funding Trust,
Series 2007-AR4, Class 2A1
(CME Term SOFR 1-Month plus 0.32%)
5.65%	06/25/372		3,257,459		3,013,409
Carrington Mortgage Loan Trust,
Series 2006-NC4, Class A4
(CME Term SOFR 1-Month plus 0.35%)
5.68%	10/25/362		14,364,300		12,868,634
Carrington Mortgage Loan Trust,
Series 2006-OPT1, Class M1
(CME Term SOFR 1-Month plus 0.64%)
5.97%	02/25/362		652,783		643,092
Cascade MH Asset Trust,
Series 2022-MH1, Class A (STEP-reset date 05/25/24)
4.25%	08/25/541		6,526,001		5,936,290
Chase Mortgage Finance Trust,
Series 2007-A1, Class 8A1
5.81%	02/25/374		347,703		334,213
CIM Trust,
Series 2019-R3, Class A
2.63%	06/25/581,4		5,532,918		4,997,983
CIM Trust,
Series 2020-R1, Class A1
2.85%	10/27/591,4		9,554,790		8,321,321
CIM Trust,
Series 2020-R3, Class A1A
4.00%	01/26/601,4		5,710,241		5,375,364
CIM Trust,
Series 2020-R6, Class A1A
2.25%	12/25/601,4		4,584,266		3,998,477
CIM Trust,
Series 2020-R7, Class A1A
2.25%	12/27/611,4		7,198,756		6,283,159
CIM Trust,
Series 2021-NR3, Class A1 (STEP-reset date 05/25/24)
2.57%	06/25/571		2,438,032		2,408,752

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
CIM Trust,
Series 2021-NR4, Class A1 (STEP-reset date 05/25/24)
2.82%	10/25/611	$	10,558,576	$	10,249,746
CIM Trust,
Series 2021-R3, Class A1B
1.95%	06/25/571,4		18,287,000		13,617,932
CIM Trust,
Series 2021-R4, Class A1A
2.00%	05/01/611,4		9,507,815		8,327,085
CIM Trust,
Series 2021-R4, Class A1B
2.00%	05/01/611,4		10,243,493		7,340,524
CIM Trust,
Series 2021-R5, Class A1A
2.00%	08/25/611,4		8,382,899		6,977,650
CIM Trust,
Series 2023-NR1, Class A1 (STEP-reset date 05/25/24)
6.00%	06/25/621		11,766,500		11,604,857
CIM Trust,
Series 2023-R1, Class A1A
5.40%	04/25/621,4		12,046,987		11,570,491
CIM Trust,
Series 2023-R3, Class A1B
4.50%	01/25/631,4		11,444,000		8,972,808
Citigroup Mortgage Loan Trust,
Series 2005-9, Class 1A1
(CME Term SOFR 1-Month plus 0.37%)
5.70%	11/25/352		36,897		30,303
Citigroup Mortgage Loan Trust,
Series 2006-AR3, Class 1A2A
4.28%	06/25/364		56,373		51,045
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2C
(CME Term SOFR 1-Month plus 0.43%)
5.76%	12/25/362		6,010,342		4,049,181
Citigroup Mortgage Loan Trust,
Series 2006-HE3, Class A2D
(CME Term SOFR 1-Month plus 0.57%)
5.90%	12/25/362		6,423,267		4,329,265
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-3, Class 1A2
(CME Term SOFR 1-Month plus 0.69%)
6.02%	04/25/352		2,270,742		2,143,019
Countrywide Home Loan Mortgage Pass-Through Trust,
Series 2005-9, Class 1A1
(CME Term SOFR 1-Month plus 0.71%)
6.04%	05/25/352		55,308		46,554
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2003-AR26, Class 3A1
6.47%	11/25/334		304,947		291,316
Credit Suisse First Boston Mortgage Securities Corp.,
Series 2005-11, Class 1A1
6.50%	12/25/35		512,895		250,181

See accompanying Notes to Financial Statements.

231 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Credit Suisse First Boston Mortgage-Backed Pass-Through
Certificates,
Series 2004-AR5, Class 9A1
3.70%	06/25/344	$	27,791	$	25,915
Credit Suisse Mortgage Capital Certificates,
Series 2022-RPL1, Class CERT
4.23%	04/25/611		465,614		395,636
Credit Suisse Mortgage Capital Trust,
Series 2006-8, Class 3A1
6.00%	10/25/21		20,143		5,624
Credit Suisse Mortgage Capital Trust,
Series 2020-RPL2, Class A12
3.54%	02/25/601,4		8,839,710		8,863,680
Credit Suisse Mortgage Capital Trust,
Series 2022-RPL1, Class PT
4.64%	04/25/611,4		11,016,769		9,500,077
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB2, Class AF3 (STEP-reset date 05/25/24)
3.05%	12/25/36		623,946		539,022
Credit-Based Asset Servicing and Securitization LLC,
Series 2006-CB9, Class A2
(CME Term SOFR 1-Month plus 0.33%)
5.66%	11/25/362		6,885,827		3,122,044
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB1, Class AF2 (STEP-reset date 05/25/24)
3.19%	01/25/37		2,421,564		720,554
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB4, Class A1A
(CME Term SOFR 1-Month plus 0.20%)
3.17%	04/25/372		264,230		259,954
Credit-Based Asset Servicing and Securitization LLC,
Series 2007-CB5, Class A1
(CME Term SOFR 1-Month plus 0.17%)
3.39%	04/25/372		1,234,117		756,467
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2B (STEP-reset date 05/25/24)
3.57%	02/25/37		3,954,775		2,396,929
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB2, Class A2C (STEP-reset date 05/25/24)
3.57%	02/25/37		946,543		568,795
Credit-Based Asset Servicing and Securitization LLC,
Mortgage Loan Trust,
Series 2007-CB3, Class A3 (STEP-reset date 05/25/24)
3.32%	03/25/37		5,253,024		1,910,719
CSMC Mortgage-Backed Trust,
Series 2006-1, Class 1A4
5.50%	02/25/36		2,564,275		2,242,611
CSMC Trust,
Series 2021-RPL7, Class A1
1.93%	07/27/611,4		7,218,663		6,936,225
CSMCM Trust,
Series 2018-SP3, Class CERT
4.53%	10/25/581,4		12,193,597		10,366,898

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
DSLA Mortgage Loan Trust,
Series 2004-AR4, Class 2A1A
(CME Term SOFR 1-Month plus 0.83%)
6.16%	01/19/452	$	413,571	$	330,484
DSLA Mortgage Loan Trust,
Series 2005-AR6, Class 2A1A
(CME Term SOFR 1-Month plus 0.69%)
6.02%	10/19/452		3,266,634		2,902,884
DSLA Mortgage Loan Trust,
Series 2006-AR2, Class 2A1A
(CME Term SOFR 1-Month plus 0.31%)
5.64%	10/19/362		5,207,187		3,323,811
DSLA Mortgage Loan Trust,
Series 2007-AR1, Class 2A1A
(CME Term SOFR 1-Month plus 0.25%)
5.58%	03/19/372		1,141,344		954,956
Fannie Mae Connecticut Avenue Securities,
Series 2019-R06, Class 2B1
(SOFR30A plus 3.86%)
9.18%	09/25/391,2		5,559,451		5,786,155
Fannie Mae Connecticut Avenue Securities,
Series 2021-R01, Class 1B1
(SOFR30A plus 3.10%)
8.42%	10/25/411,2		2,500,000		2,575,814
First Franklin Mortgage Loan Trust,
Series 2006-FF13, Class A2C
(CME Term SOFR 1-Month plus 0.43%)
5.76%	10/25/362		11,537,570		7,421,550
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2D
(CME Term SOFR 1-Month plus 0.53%)
5.86%	12/25/372		673,556		600,595
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3
(CME Term SOFR 1-Month plus 0.67%)
5.02%	03/25/362		1,371,838		1,360,695
First Franklin Mortgage Loan Trust,
Series 2006-FF5, Class M1
(CME Term SOFR 1-Month plus 0.52%)
5.85%	04/25/362		3,860,000		2,923,870
First Franklin Mortgage Loan Trust,
Series 2006-FF9, Class 2A4
(CME Term SOFR 1-Month plus 0.61%)
5.94%	06/25/362		10,218,000		8,954,979
First Franklin Mortgage Loan Trust,
Series 2007-FF1, Class A2D
(CME Term SOFR 1-Month plus 0.55%)
5.88%	01/25/382		3,772,452		1,975,060
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B
(CME Term SOFR 1-Month plus 0.31%)
5.64%	03/25/372		515,226		251,706
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A1
5.82%	09/25/344		89,473		88,055

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 232

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
First Horizon Alternative Mortgage Securities Trust,
Series 2004-AA3, Class A3
5.82%	09/25/344	$	137,582	$	135,402
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA10, Class 1A1
6.19%	12/25/354		665,391		551,362
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA12, Class 2A1
5.72%	02/25/364		866,544		575,620
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA3, Class 3A1
6.74%	05/25/354		828,698		747,864
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA7, Class 2A1
6.08%	09/25/354		1,123,741		980,356
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA8, Class 2A1
5.87%	10/25/354		1,453,002		903,772
First Horizon Alternative Mortgage Securities Trust,
Series 2005-AA9, Class 2A1
6.16%	11/25/354		814,328		694,389
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 1A1
3.86%	09/25/354		1,194,672		761,273
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1
4.94%	10/25/354		37,845		35,060
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR5, Class 2A1
5.75%	11/25/354		487,334		388,658
First Horizon Mortgage Pass-Through Trust,
Series 2007-AR2, Class 1A2
5.81%	08/25/374		52,119		17,900
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA2, Class M2
(SOFR30A plus 2.30%)
7.62%	08/25/331,2		7,991,626		8,166,275
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-DNA3, Class M2
(SOFR30A plus 2.10%)
7.42%	10/25/331,2		4,245,000		4,327,681
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA1, Class M2
(SOFR30A plus 2.25%)
7.57%	08/25/331,2		8,107,202		8,302,339
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2021-HQA2, Class M2
(SOFR30A plus 2.05%)
7.37%	12/25/331,2		4,970,957		5,040,500
Freddie Mac Structured Agency Credit Risk Debt Notes,
Series 2022-DNA1, Class M1B
(SOFR30A plus 1.85%)
7.17%	01/25/421,2		3,485,000		3,509,562
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 3A1
4.27%	09/19/354		896,991		702,855

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1
3.64%	04/19/364	$	2,618,231	$	2,049,674
GreenPoint Manufactured Housing,
Series 2000-1, Class A4
8.14%	03/20/304		4,103,597		2,728,309
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 2A1A
(CME Term SOFR 1-Month plus 0.51%)
5.84%	03/25/472		8,180,856		7,270,135
GSAMP Trust,
Series 2007-FM2, Class A1
(CME Term SOFR 1-Month plus 0.25%)
5.58%	01/25/372		16,816,785		9,612,116
GSR Mortgage Loan Trust,
Series 2005-7F, Class 3A3 (IO)
(-1.00 X CME Term SOFR 1-Month plus 5.39%, 5.50% Cap)
0.06%	09/25/352,5,6		9,540		367
GSR Mortgage Loan Trust,
Series 2005-AR4, Class 5A1
4.97%	07/25/354		339,569		316,789
GSR Mortgage Loan Trust,
Series 2006-AR2, Class 2A1
4.37%	04/25/364		158,763		106,283
HarborView Mortgage Loan Trust,
Series 2005-10, Class 2A1A
(CME Term SOFR 1-Month plus 0.73%)
6.06%	11/19/352		870,320		600,458
HarborView Mortgage Loan Trust,
Series 2006-7, Class 1A
(CME Term SOFR 1-Month plus 0.53%)
5.86%	09/19/462		7,990,122		6,804,300
HarborView Mortgage Loan Trust,
Series 2007-6, Class 1A1A
(CME Term SOFR 1-Month plus 0.31%)
5.64%	08/19/372		8,796,640		7,569,815
Home Equity Mortgage Loan Asset-Backed Trust,
Series 2005-D, Class AII4
(CME Term SOFR 1-Month plus 0.81%)
6.14%	03/25/362		818,202		807,891
HSI Asset Securitization Corp. Trust,
Series 2005-OPT1, Class M1
(CME Term SOFR 1-Month plus 0.74%)
6.07%	11/25/352		815,558		800,610
HSI Asset Securitization Corp. Trust,
Series 2006-HE1, Class 1A1
(CME Term SOFR 1-Month plus 0.39%)
5.72%	10/25/362		10,769,411		3,497,595
HSI Asset Securitization Corp. Trust,
Series 2006-HE2, Class 1A
(CME Term SOFR 1-Month plus 0.37%)
5.70%	12/25/362		26,072,369		10,375,856
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A1
(CME Term SOFR 1-Month plus 0.21%)
5.54%	07/25/362		9,820,310		4,252,313

See accompanying Notes to Financial Statements.

233 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A2
(CME Term SOFR 1-Month plus 0.31%)
5.64%	07/25/362	$	10,869,191	$	4,739,086
HSI Asset Securitization Corp. Trust,
Series 2006-WMC1, Class A4
(CME Term SOFR 1-Month plus 0.61%)
5.94%	07/25/362		9,504,599		4,225,387
Impac CMB Trust,
Series 2005-2, Class 1A1
(CME Term SOFR 1-Month plus 0.63%)
5.96%	04/25/352		1,582,293		1,490,677
IndyMac Index Mortgage Loan Trust,
Series 2005-AR14, Class 1A1A
(CME Term SOFR 1-Month plus 0.67%)
6.00%	07/25/352		7,731,070		5,544,500
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1
3.71%	10/25/354		1,693,044		1,343,313
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 1A3
(CME Term SOFR 1-Month plus 0.65%)
5.98%	10/25/362		4,829,125		1,993,999
IndyMac Index Mortgage Loan Trust,
Series 2006-AR4, Class A2A
(CME Term SOFR 1-Month plus 0.61%)
5.94%	05/25/462		9,680,932		9,321,197
IndyMac Index Mortgage Loan Trust,
Series 2006-AR9, Class 3A3
3.39%	06/25/364		2,561,667		2,116,836
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX4, Class 2A1
(CME Term SOFR 1-Month plus 0.47%)
5.80%	07/25/372		11,314,532		10,381,588
IndyMac Manufactured Housing Contract Pass-Through
Certificates,
Series 1998-1, Class A4
6.49%	09/25/28		13,368		13,352
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2
(CME Term SOFR 1-Month plus 0.55%)
5.88%	07/25/362		184,061		183,822
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A1A
(CME Term SOFR 1-Month plus 0.24%)
5.57%	12/25/362		6,790,025		4,157,445
JPMorgan Mortgage Acquisition Trust,
Series 2006-WMC4, Class A4
(CME Term SOFR 1-Month plus 0.26%)
5.59%	12/25/362		8,576,048		4,441,719
JPMorgan Mortgage Trust,
Series 2005-A6, Class 7A1
5.04%	08/25/354		13,367		11,043
JPMorgan Mortgage Trust,
Series 2006-A3, Class 2A1
4.91%	05/25/364		15,503		12,996

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Legacy Mortgage Asset Trust,
Series 2017-RPL1, Class A
(CME Term SOFR 1-Month plus 1.86%)
7.19%	01/28/701,2	$	757,670	$	759,682
Lehman XS Trust,
Series 2005-5N, Class 3A1A
(CME Term SOFR 1-Month plus 0.41%)
5.74%	11/25/352		506,388		497,834
Lehman XS Trust,
Series 2006-17, Class 1A3
(CME Term SOFR 1-Month plus 0.61%)
5.94%	08/25/462		11,419,868		9,914,827
Lehman XS Trust,
Series 2006-GP2, Class 1A5A
(CME Term SOFR 1-Month plus 0.53%)
5.86%	06/25/462		3,315,721		3,024,945
Lehman XS Trust,
Series 2007-18N, Class 1A1
(CME Term SOFR 1-Month plus 1.81%)
7.14%	10/25/372		2,622,575		2,379,520
Long Beach Mortgage Loan Trust,
Series 2006-2, Class 1A
(CME Term SOFR 1-Month plus 0.47%)
5.80%	03/25/462		5,706,833		4,478,663
Long Beach Mortgage Loan Trust,
Series 2006-9, Class 2A2
(CME Term SOFR 1-Month plus 0.33%)
5.66%	10/25/362		47,869,046		15,001,465
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1
5.81%	11/25/334		71,141		68,514
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1
6.09%	10/25/344		67,129		65,030
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3
5.19%	04/25/344		23,230		21,270
MASTR Adjustable Rate Mortgages Trust,
Series 2006-OA2, Class 1A1
(Federal Reserve US 12-Month Cumulative Average plus
0.80%)
5.89%	12/25/462		15,460,421		11,128,167
MASTR Asset-Backed Securities Trust,
Series 2006-WMC1, Class A3
(CME Term SOFR 1-Month plus 0.47%)
5.80%	02/25/362		15,810,103		5,433,256
MASTR Asset-Backed Securities Trust,
Series 2007-HE1, Class A4
(CME Term SOFR 1-Month plus 0.39%)
5.72%	05/25/372		3,150,000		2,481,992
MASTR Asset-Backed Securities Trust,
Series 2007-WMC1, Class A2
(CME Term SOFR 1-Month plus 0.21%)
5.54%	01/25/372		15,896,399		4,303,112

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 234

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Merrill Lynch Alternative Note Asset Trust,
Series 2007-A3, Class A2D
(CME Term SOFR 1-Month plus 0.77%)
6.10%	04/25/372,5,6	$	883,581	$	41,078
Merrill Lynch Alternative Note Asset Trust,
Series 2007-OAR2, Class A2
(CME Term SOFR 1-Month plus 0.53%)
5.86%	04/25/372		6,677,218		5,381,966
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-1, Class A2C
(CME Term SOFR 1-Month plus 0.61%)
5.94%	04/25/372		16,171,124		6,388,029
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-4, Class 2A4
(CME Term SOFR 1-Month plus 0.61%)
5.94%	07/25/372		406,889		361,697
Merrill Lynch First Franklin Mortgage Loan Trust,
Series 2007-5, Class 1A
(CME Term SOFR 1-Month plus 0.96%)
6.29%	10/25/372		21,854,561		12,773,077
Merrill Lynch Mortgage Investors Trust,
Series 2003-A6, Class 2A
6.30%	10/25/334		62,618		62,209
Merrill Lynch Mortgage Investors Trust,
Series 2007-2, Class 1A1
(US Treasury Yield Curve Rate T Note Constant Maturity
1-Year plus 2.40%)
7.40%	08/25/362		554,777		480,125
Morgan Stanley ABS Capital I Trust,
Series 2006-NC2, Class A2D
(CME Term SOFR 1-Month plus 0.69%)
6.02%	02/25/362		723,163		717,113
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A3
(CME Term SOFR 1-Month plus 0.41%)
5.74%	06/25/362		8,781,118		4,609,452
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2006-HE4, Class A4
(CME Term SOFR 1-Month plus 0.59%)
5.92%	06/25/362		9,367,469		4,949,653
Morgan Stanley ABS Capital I, Inc., Trust,
Series 2007-NC3, Class A2C
(CME Term SOFR 1-Month plus 0.30%)
5.63%	05/25/372		19,818,660		14,810,802
Morgan Stanley Home Equity Loan Trust,
Series 2006-3, Class A4
(CME Term SOFR 1-Month plus 0.63%)
5.96%	04/25/362		11,285,488		7,744,979
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4
5.39%	09/25/344		127,358		122,840
Morgan Stanley Mortgage Loan Trust,
Series 2006-2, Class 1A
5.25%	02/25/21		34,541		33,354

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
MortgageIT Trust,
Series 2005-2, Class 2A
(CME Term SOFR 1-Month plus 1.76%)
7.09%	05/25/352	$	485,913	$	451,201
New York Mortgage Trust,
Series 2005-3, Class A1
(CME Term SOFR 1-Month plus 0.59%)
5.92%	02/25/362		133,326		130,704
Nomura Asset Acceptance Corp.,
Series 2005-AR4, Class 4A1
5.22%	08/25/354		1,998,580		1,533,943
NRPL,
Series 2019-3A, Class A1 (STEP-reset date 05/25/24)
7.00%	07/25/591		7,710,497		7,778,803
Oakwood Mortgage Investors, Inc.,
Series 2000-A, Class A5
8.16%	09/15/294		10,211,723		2,075,595
Option One Mortgage Loan Trust,
Series 2007-4, Class 2A2
(CME Term SOFR 1-Month plus 0.29%)
5.62%	04/25/372		12,369,562		7,067,059
Option One Mortgage Loan Trust,
Series 2007-5, Class 2A2
(CME Term SOFR 1-Month plus 0.28%)
5.61%	05/25/372		17,966,822		9,498,962
Ownit Mortgage Loan Trust,
Series 2006-2, Class A1
(CME Term SOFR 1-Month plus 0.53%)
5.86%	01/25/372		3,151,284		3,036,678
PHH Alternative Mortgage Trust,
Series 2007-2, Class 1A4
(CME Term SOFR 1-Month plus 0.71%)
6.04%	05/25/372		5,388,896		4,682,683
Popular ABS Mortgage Pass-Through Trust,
Series 2007-A, Class A3
(CME Term SOFR 1-Month plus 0.42%)
5.75%	06/25/472		4,423,608		4,013,826
PRET LLC,
Series 2022-RN2, Class A2 (STEP-reset date 04/25/24)
6.50%	06/25/521		16,833,000		15,953,984
PRET, LLC,
Series 2022-RN1, Class A1 (STEP-reset date 04/25/24)
3.72%	07/25/511		13,705,467		13,368,448
PRPM LLC,
Series 2021-9, Class A1 (STEP-reset date 04/25/24)
2.36%	10/25/261		13,419,438		13,108,656
PRPM, LLC,
Series 2021-8, Class A1
1.74%	09/25/261,4		7,687,059		7,408,990
RAAC Trust,
Series 2005-SP1, Class 4A1
7.00%	09/25/34		27,220		21,440
Residential Accredit Loans Trust,
Series 2005-QA13, Class 2A1
5.28%	12/25/354		1,253,660		1,074,330

See accompanying Notes to Financial Statements.

235 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Residential Accredit Loans Trust,
Series 2005-QA4, Class A41
4.41%	04/25/354	$	1,370	$	1,360
Residential Accredit Loans Trust,
Series 2005-QA7, Class A21
5.09%	07/25/354		415,913		388,410
Residential Accredit Loans Trust,
Series 2005-QA8, Class CB21
5.20%	07/25/354		490,890		273,397
Residential Accredit Loans Trust,
Series 2006-QS13, Class 2A1
5.75%	09/25/21		2,372		1,200
Residential Accredit Loans Trust,
Series 2006-QS16, Class A6
6.00%	11/25/36		308,663		234,221
Residential Accredit Loans Trust,
Series 2007-QA3, Class A1
(CME Term SOFR 1-Month plus 0.31%)
5.64%	05/25/372		13,382,284		12,286,386
Residential Accredit Loans Trust,
Series 2007-QH6, Class A1
(CME Term SOFR 1-Month plus 0.49%)
5.82%	07/25/372		6,905,726		6,456,751
Residential Accredit Loans Trust,
Series 2007-QS1, Class 2AV (IO)
0.17%	01/25/374,5,6		1,339,576		6,674
Residential Asset Securitization Trust,
Series 2006-A9CB, Class A9
6.00%	09/25/36		4,940,857		1,543,019
Residential Funding Mortgage Securities Trust,
Series 2007-SA2, Class 1A
4.74%	04/25/374		187,465		97,653
Saxon Asset Securities Trust,
Series 2007-2, Class A2C
(CME Term SOFR 1-Month plus 0.35%)
5.68%	05/25/472		12,270,676		8,578,953
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/24)
2.84%	01/25/36		3,457,769		2,806,465
Securitized Asset-Backed Receivables LLC Trust,
Series 2006-WM4, Class A1
(CME Term SOFR 1-Month plus 0.49%)
5.82%	11/25/361,2		8,318,332		3,852,140
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR2, Class A2
(CME Term SOFR 1-Month plus 0.57%)
5.90%	02/25/372		5,690,423		2,512,897
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-BR4, Class A2B
(CME Term SOFR 1-Month plus 0.31%)
5.64%	05/25/372		9,143,773		5,457,742
Securitized Asset-Backed Receivables LLC Trust,
Series 2007-NC1, Class A2B
(CME Term SOFR 1-Month plus 0.41%)
5.74%	12/25/362		5,362,747		2,596,334

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
Soundview Home Loan Trust,
Series 2007-OPT1, Class 2A3
(CME Term SOFR 1-Month plus 0.32%)
5.65%	06/25/372	$	17,466,267	$	11,464,805
Soundview Home Loan Trust,
Series 2007-WMC1, Class 3A3
(CME Term SOFR 1-Month plus 0.37%)
5.70%	02/25/372		946,135		266,178
Specialty Underwriting & Residential Finance Trust,
Series 2007-BC2, Class A1
(CME Term SOFR 1-Month plus 0.34%)
5.67%	04/25/372		18,839,182		13,292,245
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-12, Class 2A
5.59%	09/25/344		254,887		245,291
Structured Adjustable Rate Mortgage Loan Trust,
Series 2004-2, Class 4A2
5.98%	03/25/344		548,508		526,222
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-12, Class 3A1
5.69%	06/25/354		184,361		158,892
Structured Adjustable Rate Mortgage Loan Trust,
Series 2005-7, Class 1A3
5.08%	04/25/354		1,789,696		1,607,912
Structured Asset Investment Loan Trust,
Series 2004-6, Class A3
(CME Term SOFR 1-Month plus 0.91%)
6.24%	07/25/342		6,901,600		6,897,118
Structured Asset Mortgage Investments II Trust,
Series 2006-AR3, Class 22A1
4.37%	05/25/364		358,387		178,862
Structured Asset Mortgage Investments II Trust,
Series 2006-AR5, Class 1A1
(CME Term SOFR 1-Month plus 0.53%)
5.86%	05/25/362		174,179		112,039
Structured Asset Mortgage Investments II Trust,
Series 2006-AR7, Class A1BG
(CME Term SOFR 1-Month plus 0.23%)
5.56%	08/25/362		5,743,125		4,885,445
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-2XS, Class 2A2
(CME Term SOFR 1-Month plus 1.61%)
6.94%	02/25/352		25,887		26,320
Structured Asset Securities Corp. Mortgage Loan Trust,
Series 2005-4XS, Class 2A1A
(CME Term SOFR 1-Month plus 1.86%)
7.19%	03/25/352		724,794		693,700
Structured Asset Securities Corp. Mortgage Pass-Through
Certificates,
Series 2003-34A, Class 3A3
5.89%	11/25/334		13,051		12,893
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-4, Class 3A1
4.42%	10/25/374		629,768		559,177

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 236

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
SunTrust Adjustable Rate Mortgage Loan Trust,
Series 2007-S1, Class 5A1
5.37%	01/25/374	$	29,752	$	28,043
Towd Point Mortgage Trust,
Series 2017-4, Class B1
3.66%	06/25/571,4		8,650,000		7,353,077
Towd Point Mortgage Trust,
Series 2019-1, Class B1
3.79%	03/25/581,4		7,087,000		5,658,366
VOLT XCIV LLC,
Series 2021-NPL3, Class A1 (STEP-reset date 04/25/24)
5.24%	02/27/511		7,628,383		7,470,015
WaMu Asset-Backed Certificates,
Series 2007-HE1, Class 2A2
(CME Term SOFR 1-Month plus 0.22%)
5.55%	01/25/372		5,009,049		2,343,741
WaMu Asset-Backed Certificates,
Series 2007-HE2, Class 2A2
(CME Term SOFR 1-Month plus 0.33%)
5.66%	02/25/372		27,797,532		8,316,844
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR13, Class A1A
(CME Term SOFR 1-Month plus 0.83%)
6.16%	11/25/342		93,847		91,581
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR14, Class A1
5.31%	01/25/354		293,016		278,161
WaMu Mortgage Pass-Through Certificates,
Series 2004-AR6, Class A
(CME Term SOFR 1-Month plus 0.95%)
6.28%	05/25/442		386		386
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR14, Class 2A1
4.72%	12/25/354		10,051		8,950
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR16, Class 1A3
4.86%	12/25/354		790,154		706,889
WaMu Mortgage Pass-Through Certificates,
Series 2005-AR2, Class 2A21
(CME Term SOFR 1-Month plus 0.77%)
6.10%	01/25/452		291,452		284,738
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR3, Class A1A
(Federal Reserve US 12-Month Cumulative Average plus
1.00%)
6.09%	02/25/462		2,921,459		2,558,763
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR4, Class 1A1A
(Federal Reserve US 12-Month Cumulative Average plus
0.94%)
4.49%	05/25/462		1,243,878		1,122,678
WaMu Mortgage Pass-Through Certificates,
Series 2006-AR7, Class 2A
(Federal Reserve US 12-Month Cumulative Average plus
0.98%)
6.07%	07/25/462		2,600,220		2,244,395

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
Non-Agency Mortgage-Backed (continued)
WaMu Mortgage Pass-Through Certificates,
Series 2007-HY3, Class 1A1
3.91%	03/25/374	$	1,454,640	$	1,144,163
WaMu Mortgage Pass-Through Certificates,
Series 2007-OC1, Class A1
(CME Term SOFR 1-Month plus 0.59%)
5.92%	01/25/472		4,123,330		3,836,662
Wells Fargo Alternative Loan Trust,
Series 2007-PA5, Class 1A1
6.25%	11/25/37		1,153,266		984,877
Wells Fargo Home Equity Asset-Backed Securities Trust,
Series 2007-1, Class A3
(CME Term SOFR 1-Month plus 0.75%)
6.08%	03/25/372		4,690,000		4,219,338
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Class 2A1
6.37%	10/25/364		242,905		228,309
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR4, Class 1A1
6.09%	04/25/364		65,350		60,499
					825,145,436
U.S. Agency Commercial Mortgage-Backed — 1.03%
Fannie Mae-Aces,
Series 2016-M11, Class X2 (IO)
3.05%	07/25/394		9,952,834		145,987
Fannie Mae-Aces,
Series 2016-M2, Class X3 (IO)
2.04%	04/25/364		5,282,796		46,980
Fannie Mae-Aces,
Series 2016-M4, Class X2 (IO)
2.68%	01/25/394		19,406,863		105,208
Fannie Mae-Aces,
Series 2019-M29, Class X4 (IO)
0.70%	03/25/294		117,375,779		3,086,214
Freddie Mac Multifamily PC REMIC Trust,
Series 2019-P002, Class X (IO)
0.89%	07/25/334		14,520,699		1,082,623
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K041, Class X3 (IO)
1.64%	11/25/424		160,569,309		1,518,777
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K043, Class X3 (IO)
1.63%	02/25/434		58,000,000		700,593
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K051, Class X3 (IO)
1.61%	10/25/434		44,865,280		1,066,430
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K053, Class X3 (IO)
1.64%	03/25/444		78,150,000		2,283,719

See accompanying Notes to Financial Statements.

237 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K054, Class X1 (IO)
1.15%	01/25/264	$	51,005,396	$	831,263
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K055, Class X3 (IO)
1.65%	04/25/444		32,000,000		964,368
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K056, Class X1 (IO)
1.24%	05/25/264		53,250,116		1,160,850
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K057, Class X1 (IO)
1.16%	07/25/264		117,241,969		2,340,630
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series K726, Class X1 (IO)
0.94%	04/25/244		13,971,318		1,122
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC05, Class X1 (IO)
1.23%	06/25/274		81,251,534		1,674,123
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KC07, Class X1 (IO)
0.72%	09/25/264		81,633,683		894,546
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KIR1, Class X (IO)
1.02%	03/25/264		109,604,689		1,805,526
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KL05, Class X1HG (IO)
1.22%	12/25/274		49,531,000		1,576,740
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS06, Class X (IO)
1.02%	08/25/264		63,998,421		937,494
Freddie Mac Multifamily Structured Pass-Through
Certificates,
Series KS07, Class X (IO)
0.61%	09/25/254		98,211,639		833,974
Ginnie Mae,
Series 2011-152, Class IO (IO)
0.00%	08/16/514		4,536,132		79
Ginnie Mae,
Series 2012-112, Class IO (IO)
0.11%	02/16/534		18,537,514		36,530
Ginnie Mae,
Series 2012-78, Class IO (IO)
0.08%	06/16/524		28,339,078		15,727
Ginnie Mae,
Series 2014-103, Class IO (IO)
0.19%	05/16/554		13,904,166		87,289

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Commercial Mortgage-Backed (continued)
Ginnie Mae,
Series 2014-125, Class IO (IO)
0.90%	11/16/544	$	8,395,164	$	177,136
Ginnie Mae,
Series 2023-127, Class IO (IO)
0.42%	07/16/574		187,003,661		3,164,177
					26,538,105
U.S. Agency Mortgage-Backed — 20.81%
Fannie Mae Pool FS1598
2.00%	04/01/52		15,851,636		12,553,325
Fannie Mae Pool FS6943
3.00%	06/01/52		25,336,616		21,827,499
Fannie Mae Pool MA4563
2.50%	03/01/52		25,609,000		21,203,537
Fannie Mae Pool MA4733
4.50%	09/01/52		17,900,736		17,057,793
Fannie Mae Pool MA5037
4.50%	06/01/53		2,151,928		2,048,724
Fannie Mae REMICS,
Series 2006-11, Class PS
(-3.67 X SOFR30A plus 24.15%, 24.57% Cap)
4.64%	03/25/362		10,068		10,865
Fannie Mae REMICS,
Series 2006-8, Class HJ (IO)
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap)
1.17%	03/25/362		408,447		34,939
Fannie Mae REMICS,
Series 2007-52, Class LS (IO)
(-1.00 X SOFR30A plus 5.94%, 6.05% Cap)
0.62%	06/25/372		21,693		1,100
Fannie Mae REMICS,
Series 2007-77, Class SK (IO)
(-1.00 X SOFR30A plus 5.76%, 5.87% Cap)
0.44%	08/25/372		46,586		3,147
Fannie Mae REMICS,
Series 2007-88, Class JI (IO)
(-1.00 X SOFR30A plus 6.34%, 6.45% Cap)
1.02%	04/25/372		441,682		39,189
Fannie Mae REMICS,
Series 2008-18, Class SM (IO)
(-1.00 X SOFR30A plus 6.89%, 7.00% Cap)
1.57%	03/25/382		32,233		3,314
Fannie Mae REMICS,
Series 2008-62, Class SN (IO)
(-1.00 X SOFR30A plus 6.09%, 6.20% Cap)
0.77%	07/25/382		61,359		3,457
Fannie Mae REMICS,
Series 2010-116, Class SE (IO)
(-1.00 X SOFR30A plus 6.49%, 6.60% Cap)
1.17%	10/25/402		24,230		2,337
Fannie Mae REMICS,
Series 2013-5, Class GF
(SOFR30A plus 1.21%)
5.00%	10/25/422		124,529		120,320

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 238

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Fannie Mae REMICS,
Series 2014-49, Class CF
(SOFR30A plus 1.11%)
6.00%	07/25/432	$	4,570,881	$	4,244,013
Freddie Mac Pool SD8199
2.00%	03/01/52		40,656,178		32,196,691
Freddie Mac Pool SD8213
3.00%	05/01/52		10,096,032		8,697,008
Freddie Mac Pool SD8244
4.00%	09/01/52		23,357,225		21,633,287
Freddie Mac Pool SD8256
4.00%	10/01/52		18,534,982		17,166,961
Freddie Mac Pool SD8265
4.00%	11/01/52		27,433,880		25,415,569
Freddie Mac Pool SD8275
4.50%	12/01/52		33,986,826		32,386,392
Freddie Mac Pool SD8347
4.50%	08/01/53		10,762,456		10,251,612
Freddie Mac REMICS,
Series 3339, Class JS
(-6.50 X SOFR30A plus 42.09%, 42.84% Cap)
7.52%	07/15/372		6,021		7,751
Freddie Mac REMICS,
Series 3404, Class AS (IO)
(-1.00 X SOFR30A plus 5.78%, 5.90% Cap)
0.46%	01/15/382		30,524		2,064
Freddie Mac REMICS,
Series 3439, Class SC (IO)
(-1.00 X SOFR30A plus 5.79%, 5.90% Cap)
0.47%	04/15/382		23,155		1,316
Freddie Mac REMICS,
Series 3885, Class PO (PO)
0.00%	11/15/3311		8,590		7,222
Freddie Mac REMICS,
Series 4030, Class HS (IO)
(-1.00 X SOFR30A plus 6.50%, 6.61% Cap)
1.18%	04/15/422		56,323		5,436
Freddie Mac REMICS,
Series 4993, Class OP (PO)
0.00%	10/25/5811		1,705,829		1,521,082
Ginnie Mae (TBA)
4.50%	04/20/54		39,975,000		38,420,820
5.00%	04/20/54		32,600,000		32,044,999
5.50%	05/20/54		20,225,000		20,199,685
Ginnie Mae,
Series 2011-146, Class EI (IO)
5.00%	11/16/41		54,514		9,545
Ginnie Mae,
Series 2011-70, Class IL (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.99%, 0.60% Cap)
0.60%	06/16/372		322,087		1,123
Ginnie Mae,
Series 2011-81, Class IC (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.61%, 0.62% Cap)
0.62%	07/20/352		369,947		3,073

Issues	Maturity Date	Principal Amount		Value
MORTGAGE-BACKED (continued)
U.S. Agency Mortgage-Backed (continued)
Ginnie Mae,
Series 2013-135, Class CS (IO)
(-1.00 X CME Term SOFR 1-Month plus 6.09%, 6.20% Cap)
0.76%	09/16/432	$	1,287,235	$	116,195
Ginnie Mae,
Series 2017-136, Class IO (IO)
5.00%	09/20/47		238,220		49,780
Ginnie Mae,
Series 2024-30, Class AF
(SOFR30A plus 1.25%)
6.50%	02/20/542		1,048,179		1,048,394
UMBS (TBA)
2.00%	04/01/54		24,400,000		19,326,855
2.50%	04/01/54		50,175,000		41,512,838
3.00%	04/01/54		22,350,000		19,244,037
3.50%	04/01/54		2,625,000		2,350,760
4.00%	04/01/54		30,350,000		28,114,058
4.50%	04/01/54		54,050,000		51,484,738
5.00%	04/01/54		32,825,000		32,031,273
5.50%	04/01/54		21,450,000		21,345,706
					535,749,829
Total Mortgage-Backed (Cost $1,899,288,246)					1,627,298,877
MUNICIPAL BONDS — 0.32%*
Florida — 0.16%
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series B
2.81%	10/01/34		1,000,000		828,266
2.86%	10/01/35		1,750,000		1,428,160
County of Miami-Dade Aviation Revenue Bonds, Airport and
Marina Improvements, Series D
3.35%	10/01/29		2,000,000		1,872,837
					4,129,263
New York — 0.16%
New York City Transitional Finance Authority Future Tax
Secured Revenue Bonds, Public Improvements, Subseries
FI
3.95%	08/01/32		1,000,000		940,346
New York State Dormitory Authority Revenue Bonds,
University & College Improvements
5.29%	03/15/33		3,100,000		3,121,295
					4,061,641
Total Municipal Bonds (Cost $9,286,099)					8,190,904
U.S. TREASURY SECURITIES — 0.81%
U.S. Treasury Notes — 0.81%
U.S. Treasury Notes
4.25%	03/15/27		9,260,000		9,219,126

See accompanying Notes to Financial Statements.

239 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

Issues	Maturity Date	Principal Amount		Value
U.S. TREASURY SECURITIES (continued)
U.S. Treasury Notes (continued)
U.S. Treasury Notes (WI)
4.25%	03/31/29	$	11,785,000	$	11,738,151
Total U.S. Treasury Securities (Cost $20,979,998)					20,957,277
Total Bonds — 104.18% (Cost $3,025,470,444)					2,682,229,938
Issues		Shares		Value
COMMON STOCK — 0.37%
Communications — 0.15%
Intelsat Emergence SA3,5,6,9
(Luxembourg)			141,371		3,799,346
Electric — 0.00%
Homer City Holdings LLC5,6,9			112,222		—
Finance — 0.22%
AGNC Investment Corp.			582,000		5,761,800
Specialized REITs — 0.00%
Aoyuan New Shares3,9
(Cayman Islands)			408,855		8,254
China Aoyuan Group Ltd.3,9
(Cayman Islands)			163,541		3,301
					11,555
Total Common Stock (Cost $17,396,204)					9,572,701
Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS — 11.35%
Money Market Funds — 3.87%
Fidelity Investments Money Market Funds - Government
Portfolio
5.21%21,22			332,717		332,717
Morgan Stanley Institutional Liquidity Funds - Government
Portfolio
5.22%21			99,306,148		99,306,148
					99,638,865
U.S. Agency Discount Notes — 0.77%
Federal Home Loan Bank
5.34%23	05/15/24		20,000,000		19,862,387
U.S. Treasury Bills — 6.71%
U.S. Treasury Bills
5.49%23	04/11/24		25,000,000		24,963,653
5.26%23	09/19/24		50,000,000		48,763,272
U.S. Treasury Bills (WI)
5.32%23	05/30/24		50,000,000		49,547,270
5.29%23	07/09/24		25,000,000		24,632,620

Issues	Maturity Date	Principal Amount/Shares		Value
SHORT-TERM INVESTMENTS (continued)
U.S. Treasury Bills (continued)
5.35%23	05/16/24	$	25,000,000	$	24,826,000
					172,732,815
Total Short-Term Investments (Cost $292,308,723)					292,234,067
Total Investments - 115.90% (Cost $3,335,175,371)					2,984,036,706
Liabilities in Excess of Other Assets - (15.90)%					(409,362,059	)
Net Assets - 100.00%				$	2,574,674,647

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, 2024.

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 $21,416,727, which is 0.83% of total net assets.

⁷  Perpetual security with no stated maturity date.

⁸  Payment-in-kind (“PIK”) security.

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, 2024.

¹²  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 7.50% cash or 8.50% payment-in-kind interest.

¹³  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.00% cash or 9.00% payment-in-kind interest.

¹⁴  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 8.80% cash or 9.80% payment-in-kind interest.

¹⁵  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.00% cash or 6.00% payment-in-kind interest.

¹⁶  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.25% cash or 6.25% payment-in-kind interest.

¹⁷  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.50% cash or 6.50% payment-in-kind interest.

¹⁸  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 5.75% cash or 6.75% payment-in-kind interest.

¹⁹  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 6.00% cash or 7.00% payment-in-kind interest.

²⁰  Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer - 6.25% cash or 7.25% payment-in-kind interest.

²¹  Represents the current yield as of March 31, 2024.

²²  Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $28,075.

²³  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.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 240

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

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

(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

(REIT): Real Estate Investment Trust

(SOFR): Secured Overnight Financing Rate

(STEP): Step Coupon Bond

(TBA): To-Be-Announced

(USD): U.S. Dollar

(WI): When Issued

Currency to be Purchased	Currency to be Sold		Counterparty		Settlement Date		Unrealized Appreciation (Depreciation)
FOREIGN CURRENCY EXCHANGE CONTRACT
USD 76,986,638		EUR 69,989,000		Citibank N.A.		04/12/24	$	1,354,519
USD 128,110		EUR 118,000		Goldman Sachs International		04/12/24		596
USD 698,546		EUR 644,000		The Bank of New York Mellon		04/12/24		2,621
USD 3,667,994		EUR 3,371,000		Bank of America N.A.		04/12/24		25,195
USD 2,453,327		GBP 1,922,000		Citibank N.A.		04/12/24		25,165
								1,408,096
EUR 10,448,000		USD 11,349,214		Citibank N.A.		04/12/24		(58,806)
EUR 4,350,000		USD 4,733,111		Bank of America N.A.		04/12/24		(32,376)
EUR 1,177,000		USD 1,272,974		The Bank of New York Mellon		04/12/24		(1,074)
EUR 1,449,000		USD 1,567,205		Goldman Sachs International		04/12/24		(1,374)
								(93,630)
NET UNREALIZED APPRECIATION							$	1,314,466

Description	Number of Contracts		Expiration Date		Notional Amount		Value		Unrealized Appreciation (Depreciation)
FUTURES CONTRACTS: LONG POSITIONS
U.S. Treasury Five-Year Note		5,040		06/28/24	$	539,358,775	$	380,702	$	380,702
U.S. Treasury Two-Year Note		3,709		06/28/24		758,432,551		(577,382)		(577,382)
Euro-Bobl Future		40		06/06/24		5,108,400		14,737		14,737
						1,302,899,726		(181,943)		(181,943)
FUTURES CONTRACTS: SHORT POSITIONS
U.S. Treasury Ten-Year Ultra Bond		2,186		06/18/24		(250,536,105)		(1,612,956)		(1,612,956)
U.S. Treasury Ultra Bond		480		06/18/24		(61,920,000)		(610,668)		(610,668)
Euro-Bund Future		196		06/06/24		(28,233,878)		(195,709)		(195,709)
Euro-Bobl Future		167		06/06/24		(21,327,570)		(95,793)		(95,793)
Euro-Buxl 30 Year		26		06/06/24		(3,813,264)		(76,971)		(76,971)
Euro-Schatz Future		14		06/06/24		(1,598,184)		74		74
						(367,429,001)		(2,592,023)		(2,592,023)
TOTAL FUTURES CONTRACTS					$	935,470,725	$	(2,773,966)	$	(2,773,966)

See accompanying Notes to Financial Statements.

241 / Annual Report March 2024

Unconstrained Bond Fund

Schedule of Portfolio Investments

March 31, 2024

			Received by the Fund			Paid by the Fund
Description	Maturity Date		Rate		Frequency	Rate	Frequency		Notional Amount (000’s)		Value		Premiums Paid		Unrealized Appreciation
SWAPS: INTEREST RATE
Interest Rate Swap1		12/20/53		USD-SOFR- COMPOUND	Annual	3.52%		Annual	$	21,211	$	247,333	$	—	$	247,333
TOTAL SWAPS CONTRACTS									$	21,211	$	247,333	$	—	$	247,333
1 Centrally cleared.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 242

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2024

ASSETS:	ALPHATRAK 500 FUND			CORPORATE BOND FUND		FLEXIBLE INCOME FUND
Investments, at value - Unaffiliated (Cost $33,576,238, $6,011,377 and $474,051,336, respectively) (Note 2)	$	33,722,414		$	5,309,573	$	438,779,477
Investments, at value - Affiliated (Cost $0, $0 and $0, respectively) (Note 5)		—			—		—
Cash and cash equivalents (Note 2)		—			—		56,904
Foreign Currency, at value (Cost $0, $0 and $81, respectively)		—			—		81
Cash on deposit with brokers for collateral on swaps (Note 2)		—			6,485		—
Cash on deposit with brokers for collateral on futures (Note 2)		1,352,000			32,000		1,303,000
Receivable for securities sold		753,695			—		18,081,783
Dividends and interest receivable		140,236			48,577		2,920,349
Due from Adviser (Note 6)		10,793			20,690		27,949
Receivable for capital stock sold		8,369			—		739,140
Unrealized appreciation on foreign currency exchange contracts		—			—		158,470
Unrealized appreciation on foreign currency transactions		—			—		1,566
Receivable for daily variation margin on futures contracts (Note 3)		—			117		97
Unrealized appreciation on swap contracts		—			898		—
Other assets		11,117			1,255		29,052
Total assets		35,998,624			5,419,595		462,097,868
Liabilities:
Payable for securities purchased		5,683,839			152,231		103,390,188
Payable for daily variation margin on futures contracts (Note 3)		43,025			2,469		234,309
Payable for capital stock redeemed		33,253			9,613		1,291,561
Distributions payable		126			666		90,375
Unrealized depreciation on foreign currency exchange contracts		—			—		16,097
Advisory fees payable (Note 6)		9,890			1,688		130,211
Accrued trustees fees and expenses		147			29		1,629
Accrued distribution (12b-1) and service fees payable		—			581		10,172
Administrative fees payable		25,862			19,738		53,281
Audit fees payable		35,830			24,080		39,124
Accrued other expenses		24,981			20,722		85,452
Total liabilities		5,856,953			231,817		105,342,399
Net assets	$	30,141,671		$	5,187,778	$	356,755,469
Class M Shares:
Net assets (Applicable to 2,464,695, 312,678 and 6,430,958,shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	30,141,671		$	2,809,332	$	49,559,150
Net asset value, offering and redemption price per Class M share	$	12.23		$	8.98	$	7.71
Class I Shares:
Net assets (Applicable to 0, 264,696 and 39,870,741, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	2,378,446	$	307,196,319
Net asset value, offering and redemption price per Class I share		N/A		$	8.99	$	7.70
Net Assets Consist of:
Paid-in Capital (Note 9)	$	29,783,815		$	7,711,925	$	412,383,350
Accumulated Earnings (Loss)		357,856			(2,524,147)		(55,627,881)
Net assets	$	30,141,671		$	5,187,778	$	356,755,469

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 243

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2024

ASSETS:	FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND		INTERMEDIATE BOND FUND
Investments, at value - Unaffiliated (Cost $315,863,526, $472,018,014 and $1,170,427,838, respectively) (Note 2)	$	313,065,049		$	461,953,344	$	1,159,514,111
Investments, at value - Affiliated (Cost $0, $27,171,821 and $0, respectively) (Note 5)		—			—		—
Cash and cash equivalents (Note 2)		1,261,258			350,485		128,906,291
Foreign Currency, at value (Cost $11, $166 and $0, respectively)		11			166		—
Cash on deposit with brokers for collateral on swaps (Note 2)		—			—		462,568
Cash on deposit with brokers for collateral on futures (Note 2)		4,000			1,393,000		2,952,000
Receivable for securities sold		6,379,157			4,751,471		2,740,880
Dividends and interest receivable		1,851,933			6,102,541		4,156,919
Receivable for capital stock sold		679,066			590,323		2,345,853
Unrealized appreciation on foreign currency exchange contracts		15,117			220,368		441,417
Unrealized appreciation on foreign currency transactions		6,200			2,147		—
Net unrealized appreciation on unfunded commitments (Note 8)		1,817			1,478		—
Receivable for daily variation margin on futures contracts (Note 3)		130			713		3,829
Due from Adviser (Note 6)		—			15,194		—
Other assets		8,378			618		806
Total assets		323,272,116			475,381,848		1,301,524,674
Liabilities:
Foreign bank overdraft (Cost $0, $0 and $1,627, respectively)		—			—		1,627
Payable for securities purchased		20,342,382			5,520,131		328,152,976
Distributions payable		519,883			490,002		469,833
Payable for capital stock redeemed		66,945			1,195,018		1,578,660
Unrealized depreciation on foreign currency exchange contracts		—			3,114		26,595
Unrealized depreciation on foreign currency transactions		—			—		457
Payable for daily variation margin on futures contracts (Note 3)		—			112,736		374,472
Advisory fees payable (Note 6)		162,760			191,455		282,243
Accrued trustees fees and expenses		1,711			2,521		4,726
Accrued distribution (12b-1) and service fees payable		2,058			22,869		3,057
Administrative fees payable		40,108			24,252		39,932
Accrued other expenses		85,597			109,680		221,601
Total liabilities		21,221,444			7,671,778		331,156,179
Net assets	$	302,050,672		$	467,710,070	$	970,368,495
Class M Shares:
Net assets (Applicable to 1,003,458, 11,997,116 and 1,907,699, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	9,521,245		$	111,387,534	$	17,845,241
Net asset value, offering and redemption price per Class M share	$	9.49		$	9.28	$	9.35
Class I Shares:
Net assets (Applicable to 30,837,290, 38,392,204 and 101,869,339, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	292,518,748		$	356,322,536	$	952,523,254
Net asset value, offering and redemption price per Class I share	$	9.49		$	9.28	$	9.35
Plan Class Shares:
Net assets (Applicable to 1,129, 0 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	10,679			N/A		N/A
Net asset value, offering and redemption price per Plan Class share	$	9.46			N/A		N/A
Net Assets Consist of:
Paid-in Capital (Note 9)	$	326,931,927		$	604,743,579	$	1,075,156,001
Accumulated Earnings (Loss)		(24,881,255)			(137,033,509)		(104,787,506)
Net assets	$	302,050,672		$	467,710,070	$	970,368,495

See accompanying Notes to Financial Statements.

244 / Annual Report March 2024

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2024

ASSETS:	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND
Investments, at value - Unaffiliated (Cost $31,746,776, $1,721,314,582 and $1,675,644, respectively) (Note 2)	$	30,402,068		$	1,698,764,724		$	1,519,684
Investments, at value - Affiliated (Cost $0, $0 and $0, respectively) (Note 5)		—			—			—
Cash and cash equivalents (Note 2)		5,138,407			84,625,975			852
Foreign Currency, at value (Cost $0, $942 and $0, respectively)		—			943			—
Cash on deposit with brokers for collateral on swaps (Note 2)		5,811			214,970			—
Cash on deposit with brokers for collateral on futures (Note 2)		59,000			6,934,000			8,000
Receivable for capital stock sold		665,369			960,329			—
Dividends and interest receivable		164,931			4,920,054			16,631
Receivable for securities sold		65,063			44,512,463			12,371
Due from Adviser (Note 6)		28,611			—			9,483
Unrealized appreciation on swap contracts		805			—			—
Unrealized appreciation on foreign currency exchange contracts		158			314,681			—
Receivable for daily variation margin on futures contracts (Note 3)		—			308,938			—
Other assets		3,352			13,861			802
Total assets		36,533,575			1,841,570,938			1,567,823
Liabilities:
Payable for securities purchased		9,747,931			569,562,151			24,915
Payable for capital stock redeemed		75,456			5,293,227			362
Payable for daily variation margin on futures contracts (Note 3)		10,719			1,053,744			977
Distributions payable		688			500,743			—
Unrealized depreciation on foreign currency exchange contracts		—			24,869			—
Unrealized depreciation on foreign currency transactions		—			1,392			—
Advisory fees payable (Note 6)		6,736			306,928			588
Accrued trustees fees and expenses		60			7,348			9
Accrued distribution (12b-1) and service fees payable		1,204			23,892			45
Administrative fees payable		23,961			44,689			18,365
Transfer agent fees payable		5,171			190,704			4,008
Audit fees payable		24,080			40,053			19,321
Accrued other expenses		18,748			45,450			7,345
Total liabilities		9,914,754			577,095,190			75,935
Net assets	$	26,618,821		$	1,264,475,748		$	1,491,888
Class M Shares:
Net assets (Applicable to 784,171, 18,460,695 and 34,868, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	6,040,546		$	152,720,731		$	267,124
Net asset value, offering and redemption price per Class M share	$	7.70		$	8.27		$	7.66
Class I Shares:
Net assets (Applicable to 2,671,571, 134,377,563 and 160,025, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	20,578,275		$	1,111,744,535		$	1,224,764
Net asset value, offering and redemption price per Class I share	$	7.70		$	8.27		$	7.65
Administrative Class Shares:
Net assets (Applicable to 0, 981 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		$	10,482			N/A
Net asset value, offering and redemption price per Administrative Class share		N/A		$	10.68	1		N/A
Net Assets Consist of:
Paid-in Capital (Note 9)	$	30,055,487		$	1,480,595,947		$	2,319,301
Accumulated Earnings (Loss)		(3,436,666	)		(216,120,199	)		(827,413	)
Net assets	$	26,618,821		$	1,264,475,748		$	1,491,888

¹  The net asset values of the Administrative Class Shares of the Low Duration Bond Fund were calculated using unrounded net assets of $10,481.75 divided by the unrounded shares outstanding of 981.38.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 245

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2024

ASSETS:	STRATEGIC INCOME FUND		SUSTAINABLE SECURITIZED FUND		TOTAL RETURN BOND FUND
Investments, at value - Unaffiliated (Cost $93,829,295, $9,972,572 and $68,569,239,340, respectively) (Note 2)	$	87,040,985	$	9,578,462	$	66,153,745,825
Investments, at value - Affiliated (Cost $0, $0 and $65,187,440, respectively) (Note 5)		—		—		—
Cash and cash equivalents (Note 2)		—		5		971,082,907
Foreign Currency, at value (Cost $11, $0 and $0, respectively)		11		—		—
Cash on deposit with brokers for collateral on swaps (Note 2)		13,223		—		105,029,042
Cash on deposit with brokers for collateral on futures (Note 2)		237,000		42,000		162,250,000
Receivable for securities sold		1,602,984		—		1,313,212,528
Dividends and interest receivable		521,623		45,329		276,208,266
Receivable for capital stock sold		20,083		4,100		102,418,954
Unrealized appreciation on foreign currency exchange contracts		19,317		—		28,523,362
Unrealized appreciation on swap contracts		1,830		—		8,510,060
Unrealized appreciation on foreign currency transactions		—		2		—
Net unrealized appreciation on unfunded commitments (Note 8)		—		—		294
Due from Adviser (Note 6)		—		20,448		—
Receivable for daily variation margin on futures contracts (Note 3)		—		680		851,517
Other assets		8,339		649		115,632
Total assets		89,465,395		9,691,675		69,121,948,387
Liabilities:
Reverse repurchase agreements (Proceeds $0, $0 and
$1,501,250,000, respectively) (Note 3)		—		—		1,501,250,000
Bank overdraft		772		—		—
Foreign bank overdraft (Cost $0, $0 and $85,637, respectively)		—		—		85,687
Payable for securities purchased		13,917,238		1,859,776		15,457,340,038
Payable for capital stock redeemed		102,730		16,516		127,373,626
Payable for daily variation margin on futures contracts (Note 3)		34,192		1,828		14,973,769
Unrealized depreciation on foreign currency transactions		9,387		—		29,112
Distributions payable		2,637		—		15,026,997
Unrealized depreciation on foreign currency exchange contracts		907		—		5,864,378
Premiums received for swap contracts		—		—		510,308
Advisory fees payable (Note 6)		40,480		2,416		14,977,053
Accrued trustees fees and expenses		343		38		292,825
Accrued distribution (12b-1) and service fees payable		10,623		5		1,058,468
Administrative fees payable		37,193		19,352		566,608
Accrued other expenses		66,902		32,540		6,945,557
Total liabilities		14,223,404		1,932,471		17,146,294,426
Net assets	$	75,241,991	$	7,759,204	$	51,975,653,961
Class M Shares:
Net assets (Applicable to 8,467,294, 5,255 and 424,049,209, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	52,304,367	$	43,847	$	3,826,231,252
Net asset value, offering and redemption price per Class M share	$	6.18	$	8.34	$	9.02
Class I Shares:
Net assets (Applicable to 3,714,442, 924,112 and 3,446,644,876, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	22,937,624	$	7,715,357	$	31,087,118,695
Net asset value, offering and redemption price per Class I share	$	6.18	$	8.35	$	9.02
Class I-2 Shares:
Net assets (Applicable to 0, 0 and 7,505,916, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		N/A	$	67,699,167
Net asset value, offering and redemption price per Class I-2 share		N/A		N/A	$	9.02
Administrative Class Shares:
Net assets (Applicable to 0, 0 and 131,944,182, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		N/A	$	1,191,463,664
Net asset value, offering and redemption price per Administrative Class share		N/A		N/A	$	9.03
Plan Class Shares:
Net assets (Applicable to 0, 0 and 1,868,351,523, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A		N/A	$	15,803,141,183
Net asset value, offering and redemption price per Plan Class share		N/A		N/A	$	8.46

See accompanying Notes to Financial Statements.

246 / Annual Report March 2024

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2024

ASSETS:	STRATEGIC INCOME FUND		SUSTAINABLE SECURITIZED FUND		TOTAL RETURN BOND FUND
Net Assets Consist of:
Paid-in Capital (Note 9)	$	86,763,098	$	9,617,671	$	65,872,560,008
Accumulated Earnings (Loss)		(11,521,107)		(1,858,467)		(13,896,906,047)
Net assets	$	75,241,991	$	7,759,204	$	51,975,653,961

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 247

Metropolitan West Funds

Statements of Assets and Liabilities

March 31, 2024

ASSETS:	ULTRA SHORT  BOND FUND					UNCONSTRAINED  BOND FUND
Investments, at value - Unaffiliated (Cost $67,996,003 and $3,335,175,371, respectively) (Note 2)	$	67,306,849					$	2,984,036,706
Investments, at value - Affiliated (Cost $0 and $0, respectively) (Note 5)		—						—
Cash and cash equivalents (Note 2)		6,171,811						—
Cash on deposit with brokers for collateral on swaps (Note 2)		—						5,470,222
Cash on deposit with brokers for collateral on futures (Note 2)		291,000						8,614,000
Receivable for securities sold		2,049,648						138,047,314
Dividends and interest receivable		124,692						16,454,881
Receivable for capital stock sold		62,356						3,111,629
Receivable for daily variation margin on futures contracts (Note 3)		14,999						454
Unrealized appreciation on foreign currency exchange contracts		13,987						1,408,097
Unrealized appreciation on foreign currency transactions		—						20,354
Unrealized appreciation on swap contracts		—						247,333
Other assets		921						641
Total assets		76,036,263						3,157,411,631
Liabilities:
Bank overdraft		—						962,180
Foreign bank overdraft (Cost $0 and $274, respectively)		—						275
Payable for securities purchased		25,048,919						566,594,815
Payable for capital stock redeemed		148,950						9,103,809
Payable for daily variation margin on futures contracts (Note 3)		26,673						1,610,663
Distributions payable		854						2,503,981
Unrealized depreciation on foreign currency exchange contracts		743						93,631
Unrealized depreciation on foreign currency transactions		49						—
Advisory fees payable (Note 6)		20,127						1,378,416
Accrued trustees fees and expenses		379						13,234
Accrued distribution (12b-1) and service fees payable		1,678						29,099
Administrative fees payable		24,639						70,758
Accrued other expenses		62,653						376,123
Total liabilities		25,335,664						582,736,984
Net assets	$	50,700,599					$	2,574,674,647
Class M Shares:
Net assets (Applicable to 3,157,713 and 13,745,498, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	12,917,184					$	141,735,576
Net asset value, offering and redemption price per Class M share	$	4.09					$	10.31
Class I Shares:
Net assets (Applicable to 9,220,091 and 197,548,988, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)	$	37,783,415					$	2,035,210,754
Net asset value, offering and redemption price per Class I share	$	4.10					$	10.30
Plan Class Shares:
Net assets (Applicable to 0 and 38,620,666, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value)		N/A					$	397,728,317
Net asset value, offering and redemption price per Plan Class share		N/A					$	10.30
Net Assets Consist of:
Paid-in Capital (Note 9)	$	64,003,793					$	3,141,591,636
Accumulated Earnings (Loss)		(13,303,194	)					(566,916,989	)
Net assets	$	50,700,599					$	2,574,674,647

See accompanying Notes to Financial Statements.

248 / Annual Report March 2024

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Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2024

	ALPHATRAK 500 FUND				CORPORATE BOND FUND				FLEXIBLE INCOME FUND
Investment Income:
Interest	$	1,277,337			$	246,122			$	28,152,356
Dividends		140,299				7,933				671,203
Total investment income		1,417,636				254,055				28,823,559
Expenses:
Investment advisory fees (Note 6)		117,723				22,985				1,505,543
Administration fees		100,891				86,344				234,221
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		—				7,833				117,603
Professional fees		49,674				34,810				56,692
Transfer agent fees		31,904				32,004				353,127
Custodian fees		28,490				32,332				70,000
Registration and filing fees		20,692				32,205				28,675
Trustees’ fees and expenses		601				112				6,679
Commitment fee		239				42				2,921
Interest expense		—				7				—
Miscellaneous expenses		7,115				4,904				28,548
Total operating expenses		357,329				253,578				2,404,009
Expenses waived and reimbursed (Note 6)		(224,890	)			(217,007	)			(446,297	)
Net expenses		132,439				36,571				1,957,712
Net investment income		1,285,197				217,484				26,865,847
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		(415,975	)			(570,096	)			(8,117,754	)
Futures contracts		6,433,475				(30,640	)			(722,661	)
Foreign currency exchange contracts		—				—				(45,604	)
Foreign currency transactions		—				59				45,872
Swap contracts		—				7,774				—
Net change in unrealized appreciation
(depreciation) on:
Investments - Unaffiliated		1,285,422				528,470				1,840,977
Futures contracts		(1,182,472	)			(6,779	)			(1,342,270	)
Foreign currency exchange contracts		—				—				185,050
Foreign currency transactions		—				—				358
Swap contracts		—				2,612				—
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		6,120,450				(68,600	)			(8,156,032	)
Net Increase in Net Assets from Operations	$	7,405,647			$	148,884			$	18,709,815

See accompanying Notes to Financial Statements.

250 / Annual Report March 2024

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2024

	FLOATING RATE INCOME FUND				HIGH YIELD  BOND FUND				INTERMEDIATE  BOND FUND
Investment Income:
Interest	$	31,498,081			$	35,891,999			$	42,495,535
Dividends		600,820				962,827				3,792,095
Total investment income		32,098,901				36,854,826				46,287,630
Expenses:
Investment advisory fees (Note 6)		1,849,510				2,486,802				3,364,665
Administration fees		194,073				113,920				189,561
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		26,432				304,232				39,761
Transfer agent fees		153,257				313,958				759,057
Registration and filing fees		56,240				46,335				52,169
Professional fees		50,190				52,793				64,282
Custodian fees		25,324				24,093				77,681
Trustees’ fees and expenses		6,833				10,232				19,314
Commitment fee		2,770				4,097				8,595
Interest expense		44				—				756
Miscellaneous expenses		20,081				67,444				76,580
Repayment of reimbursed expenses - Class I (Note 6)		2,258				—				18,757
Total operating expenses		2,387,012				3,423,906				4,671,178
Expenses waived and reimbursed (Note 6)		(11,906	)			(135,512	)			(1,163	)
Net expenses		2,375,106				3,288,394				4,670,015
Net investment income		29,723,795				33,566,432				41,617,615
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		(4,305,117	)			(17,002,189	)			(19,886,504	)
Futures contracts		—				(1,953,219	)			(7,692,820	)
Foreign currency exchange contracts		—				(6,664	)			(65,484	)
Foreign currency transactions		539				27,392				89,828
Swap contracts		—				75,949				30,438
Net change in unrealized appreciation
(depreciation) on:
Investments - Unaffiliated		11,395,269				27,018,172				9,726,533
Futures contracts		(350	)			105,270				(3,169,611	)
Foreign currency exchange contracts		15,117				251,280				529,276
Foreign currency transactions		5,187				(994	)			(5,398	)
Swap contracts		—				(15,927	)			(8,867	)
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		7,110,645				8,499,070				(20,452,609	)
Net Increase in Net Assets from Operations	$	36,834,440			$	42,065,502			$	21,165,006

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 251

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2024

	INVESTMENT GRADE  CREDIT FUND				LOW DURATION  BOND FUND				OPPORTUNISTIC HIGH INCOME CREDIT FUND
Investment Income:
Interest	$	747,022			$	65,429,803			$	131,980
Dividends		46,721				3,246,964				9,982
Total investment income		793,743				68,676,767				141,962
Expenses:
Investment advisory fees (Note 6)		46,117				4,357,369				8,632
Administration fees		103,599				227,020				84,411
Distribution (12b-1) and service fees - class specific (Note 7):
Class M		10,179				375,265				530
Administrative Class		—				22				—
Custodian fees		38,915				75,942				7,849
Transfer agent fees		38,028				1,236,742				29,526
Registration and filing fees		35,266				47,741				71,494
Professional fees		34,881				65,558				28,475
Trustees’ fees and expenses		239				28,577				36
Commitment fee		107				11,034				13
Interest expense		13				4,207				1
Miscellaneous expenses		5,772				112,209				3,908
Total operating expenses		313,116				6,541,686				234,875
Expenses waived and reimbursed (Note 6)		(239,989	)			—				(223,986	)
Net expenses		73,127				6,541,686				10,889
Net investment income		720,616				62,135,081				131,073
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		(750,193	)			(31,384,390	)			(141,782	)
Futures contracts		(55,979	)			(4,242,472	)			(9,786	)
Foreign currency exchange contracts		—				(96,529	)			—
Foreign currency transactions		326				73,028				74
Options and swaptions written		—				540,000				—
Swap contracts		6,932				76,700				—
Net change in unrealized appreciation
(depreciation) on:
Investments - Unaffiliated		719,531				28,652,588				163,622
Futures contracts		(11,169	)			(4,450,800	)			(11,705	)
Foreign currency exchange contracts		158				404,188				—
Foreign currency transactions		—				(11,457	)			—
Options and swaptions written		—				(539,997	)			—
Swap contracts		2,339				(28,033	)			—
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		(88,055	)			(11,007,174	)			423
Net Increase in Net Assets from Operations	$	632,561			$	51,127,907			$	131,496

See accompanying Notes to Financial Statements.

252 / Annual Report March 2024

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2024

	STRATEGIC INCOME FUND				SUSTAINABLE  SECURITIZED  FUND				TOTAL RETURN  BOND FUND
Investment Income:
Interest	$	5,684,396			$	426,562			$	2,722,204,101
Dividends		177,360				15,050				87,575,215
Total investment income		5,861,756				441,612				2,809,779,316
Expenses:
Investment advisory fees (Note 6)		459,665				28,664				205,161,647
Administration fees		167,059				82,993				3,329,541
Distribution (12b-1) and service fees - class specific (Note 7):		—				—				—
Class M		127,486				109				10,275,598
Administrative Class		—				—				5,512,568
Transfer agent fees		99,189				31,396				31,783,928
Custodian fees		51,201				14,361				955,571
Professional fees		48,734				31,918				685,493
Registration and filing fees		29,397				73,287				373,614
Trustees’ fees and expenses		1,398				147				1,199,471
Commitment fee		636				57				479,542
Interest expense		—				7				8,338,654
Miscellaneous expenses		16,064				10,823				3,967,752
Total operating expenses		1,000,829				273,762				272,063,379
Expenses waived and reimbursed (Note 6)		(312,702	)			(238,549	)			—
Net expenses		688,127				35,213				272,063,379
Net investment income		5,173,629				406,399				2,537,715,937
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		(1,666,769	)			(781,206	)			(3,143,613,406	)
Futures contracts		277,216				(67,460	)			(513,009,556	)
Foreign currency exchange contracts		654				(1,423	)			2,446,066
Foreign currency transactions		7,514				(425	)			9,210,762
Swap contracts		15,916				—				48,583,899
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated		816,002				740,604				1,640,901,744
Futures contracts		(21,149	)			(17,574	)			(177,599,074	)
Foreign currency exchange contracts		20,816				3,724				33,469,580
Foreign currency transactions		(9,426	)			(33	)			(449,580	)
Swap contracts		5,349				—				18,699,943
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		(553,877	)			(123,793	)			(2,081,359,622	)
Net Increase in Net Assets from Operations	$	4,619,752			$	282,606			$	456,356,315

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 253

Metropolitan West Funds

Statements of Operations

For the Year Ended March 31, 2024

	ULTRA SHORT  BOND FUND						UNCONSTRAINED  BOND FUND
Investment Income:
Interest			$	3,484,687				$	195,029,326
Dividends				295,594					3,828,213
Total investment income				3,780,281					198,857,539
Expenses:
Investment advisory fees (Note 6)				200,325					17,442,126
Administration fees				105,733					325,227
Distribution (12b-1) and service fees - class specific (Note 7):				—					—
Class M				23,681					375,001
Transfer agent fees				96,567					1,660,042
Professional fees				48,277					122,258
Registration and filing fees				33,448					101,824
Custodian fees				32,720					124,197
Trustees’ fees and expenses				1,592					52,886
Commitment fee				489					21,789
Interest expense				124					34,208
Miscellaneous expenses				12,411					207,401
Repayment of reimbursed expenses - Class M (Note 6)				—					2,053
Repayment of reimbursed expenses - Plan Class (Note 6)				—					9,216
Total operating expenses				555,367					20,478,228
Expenses waived and reimbursed (Note 6)				(259,120	)				—
Net expenses				296,247					20,478,228
Net investment income				3,484,034					178,379,311
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				(2,344,733	)				(87,742,798	)
Futures contracts				353,161					6,486,601
Foreign currency exchange contracts				(4,597	)				(201,537	)
Foreign currency transactions				1,552					371,176
Swap contracts				6,309					2,367,104
Net change in unrealized appreciation (depreciation) on:
Investments - Unaffiliated				1,011,069					44,753,648
Futures contracts				63,483					(604,218	)
Foreign currency exchange contracts				17,712					1,697,738
Foreign currency transactions				(546	)				(2,583	)
Swap contracts				(997	)				668,574
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				(897,587	)				(32,206,295	)
Net Increase in Net Assets from Operations			$	2,586,447				$	146,173,016

See accompanying Notes to Financial Statements.

254 / Annual Report March 2024

[THIS PAGE INTENTIONALLY LEFT BLANK]

Metropolitan West Funds

Statements of Changes in Net Assets

 

	ALPHATRAK 500 FUND								CORPORATE BOND FUND
	YEAR ENDED  MARCH 31, 2024				YEAR ENDED  MARCH 31, 2023				YEAR ENDED  MARCH 31, 2024				YEAR ENDED  MARCH 31, 2023
Operations:
Net investment income	$	1,285,197			$	875,717			$	217,484			$285,898
Net realized (loss) on investments		(415,975)				(797,424)				(570,096)			(1,186,234)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		6,433,475				(3,406,039)				(22,807)			12,468
Net change in unrealized appreciation (depreciation) on investments		1,285,422				(820,315)				528,470			(74,878)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(1,182,472)				(501,369)				(4,167)			26,654
Net increase (decrease) in net assets resulting from operations		7,405,647				(4,649,430)				148,884			(936,092)
Distributions to Shareholders:
Class M		(1,228,684)				(1,425,275)				(114,651)			(142,778)
Class I		—				—				(102,270)			(141,214)
Total Distributions		(1,228,684)				(1,425,275)				(216,921)			(283,992)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		3,240,665				1,688,163				142,998			1,105,501
Shares issued in reinvestment of distributions		1,228,235				1,425,012				114,650			142,767
Cost of shares redeemed		(9,465,645)				(13,179,485)				(1,705,604)			(2,035,825)
Total Class M capital share transactions		(4,996,745)				(10,066,310)				(1,447,956)			(787,557)
Class I:
Proceeds from sale of shares		—				—				323,768			230,073
Shares issued in reinvestment of distributions		—				—				93,392			135,703
Cost of shares redeemed		—				—				(879,250)			(3,749,112)
Total Class I capital share transactions		—				—				(462,090)			(3,383,336)
Net (decrease) in net assets derived from capital share transactions		(4,996,745)				(10,066,310)				(1,910,046)			(4,170,893)
Net increase (decrease) in net assets		1,180,218				(16,141,015)				(1,978,083)			(5,390,977)
Net assets at beginning of year		28,961,453				45,102,468				7,165,861			12,556,838
Net assets at end of year	$	30,141,671			$	28,961,453			$	5,187,778			$7,165,861

See accompanying Notes to Financial Statements.

256 / Annual Report March 2024

Metropolitan West Funds

Statements of Changes in Net Assets

	FLEXIBLE INCOME FUND						FLOATING RATE INCOME FUND
		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023				YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023
Operations:
Net investment income		$	26,865,847	$	21,543,153			$	29,723,795		$	25,534,633
Net realized (loss) on investments			(8,117,754)		(9,155,600)				(4,305,117)			(16,313,982	)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(722,393)		1,558,426				539			93,351
Net change in unrealized appreciation (depreciation) on investments			1,840,977		(16,288,207)				11,395,269			(7,196,020	)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts			(1,156,862)		1,280,679				19,954			(11,725	)
Net increase (decrease) in net assets resulting from operations			18,709,815		(1,061,549)				36,834,440			2,106,257
Distributions to Shareholders:
Class M			(3,673,154)		(3,284,784)				(915,742)			(809,656	)
Class I			(23,170,141)		(18,815,999)				(28,847,128)			(24,770,860	)
Plan Class			—		—				(511)			(6	)
Total Distributions			(26,843,295)		(22,100,783)				(29,763,381)			(25,580,522	)
Capital Share Transactions:
Class M:
Proceeds from sale of shares			23,986,102		41,165,753				5,872,845			4,031,325
Shares issued in reinvestment of distributions			3,662,333		3,259,132				827,603			752,139
Cost of shares redeemed			(26,032,498)		(23,746,600)				(8,403,470)			(9,931,101	)
Total Class M capital share transactions			1,615,937		20,678,285				(1,703,022)			(5,147,637	)
Class I:
Proceeds from sale of shares			115,283,235		229,652,950				36,817,127			73,729,818
Shares issued in reinvestment of distributions			21,822,353		17,189,579				22,377,284			20,289,450
Cost of shares redeemed			(104,231,117)		(123,618,442)				(101,940,658)			(218,088,025	)
Total Class I capital share transactions			32,874,471		123,224,087				(42,746,247)			(124,068,757	)
Plan Class:
Proceeds from sale of shares			—		—				9,995			—
Shares issued in reinvestment of distributions			—		—				511			6
Total Plan Class capital share transactions			—		—				10,506			6
Net increase (decrease) in net assets derived from capital share transactions			34,490,408		143,902,372				(44,438,763)			(129,216,388	)
Net increase (decrease) in net assets			26,356,928		120,740,040				(37,367,704)			(152,690,653	)
Net assets at beginning of year			330,398,541		209,658,501				339,418,376			492,109,029
Net assets at end of year		$	356,755,469	$	330,398,541			$	302,050,672		$	339,418,376

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 257

Metropolitan West Funds

Statements of Changes in Net Assets

	HIGH YIELD BOND FUND						INTERMEDIATE BOND FUND
	YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023			YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023
Operations:
Net investment income	$	33,566,432		$	31,928,889		$	41,617,615		$	27,101,959
Net realized (loss) on investments		(17,002,189)			(57,819,428)			(19,886,504)			(37,576,129)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(1,856,542)			6,354,058			(7,638,038)			(8,083,233)
Net change in unrealized appreciation (depreciation) on investments		27,018,172			(9,639,134)			9,726,533			(838,619)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		339,629			(1,957,971)			(2,654,600)			4,586,399
Net increase (decrease) in net assets resulting from operations		42,065,502			(31,133,586)			21,165,006			(14,809,623)
Distributions to Shareholders:
Class M		(7,978,484)			(8,006,047)			(776,161)			(651,240)
Class I		(25,617,093)			(24,105,082)			(40,847,296)			(26,538,105)
Total Distributions		(33,595,577)			(32,111,129)			(41,623,457)			(27,189,345)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		28,953,228			48,460,943			5,313,966			6,760,189
Shares issued in reinvestment of distributions		7,661,376			7,763,239			774,768			650,341
Cost of shares redeemed		(61,238,115)			(75,823,675)			(8,825,375)			(9,887,413)
Total Class M capital share transactions		(24,623,511)			(19,599,493)			(2,736,641)			(2,476,883)
Class I:
Proceeds from sale of shares		114,335,825			194,509,306			307,256,991			459,988,616
Shares issued in reinvestment of distributions		20,462,368			20,309,691			35,763,780			23,375,376
Cost of shares redeemed		(146,132,953)			(359,485,585)			(247,428,013)			(333,934,491)
Total Class I capital share transactions		(11,334,760)			(144,666,588)			95,592,758			149,429,501
Net increase (decrease) in net assets derived from capital share transactions		(35,958,271)			(164,266,081)			92,856,117			146,952,618
Net increase (decrease) in net assets		(27,488,346)			(227,510,796)			72,397,666			104,953,650
Net assets at beginning of year		495,198,416			722,709,212			897,970,829			793,017,179
Net assets at end of year	$	467,710,070		$	495,198,416		$	970,368,495		$	897,970,829

See accompanying Notes to Financial Statements.

258 / Annual Report March 2024

Metropolitan West Funds

Statements of Changes in Net Assets

	INVESTMENT GRADE CREDIT FUND						LOW DURATION BOND FUND
	YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023			YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023
Operations:
Net investment income	$	720,616		$	771,068		$	62,135,081		$	61,988,491
Net realized (loss) on investments		(750,193)			(742,145)			(31,384,390)			(90,474,634)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(48,721)			10,587			(3,649,273)			2,702,326
Net change in unrealized appreciation (depreciation) on investments		719,531			(300,238)			28,652,588			974,373
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(8,672)			38,270			(4,626,099)			1,569,971
Net increase (decrease) in net assets resulting from operations		632,561			(222,458)			51,127,907			(23,239,473)
Distributions to Shareholders:
From net earnings
Class M		(217,135)			(193,447)			(8,065,480)			(11,675,128)
Class I		(503,697)			(576,495)			(54,036,315)			(50,784,593)
Administrative Class		—			—			(235)			(17,270)
From tax return of capital
Class M		—			(6,494)			—			—
Class I		—			(18,167)			—			—
Total Distributions		(720,832)			(794,603)			(62,102,030)			(62,476,991)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		4,619,139			1,337,353			23,878,819			94,963,791
Shares issued in reinvestment of distributions		215,703			199,463			7,989,466			11,599,618
Cost of shares redeemed		(1,808,358)			(542,274)			(175,627,096)			(266,373,973)
Total Class M capital share transactions		3,026,484			994,542			(143,758,811)			(159,810,564)
Class I:
Proceeds from sale of shares		16,250,851			2,645,893			229,594,053			676,046,610
Shares issued in reinvestment of distributions		497,271			584,846			46,323,700			45,199,055
Cost of shares redeemed		(3,393,060)			(3,781,800)			(634,863,182)			(1,191,261,709)
Total Class I capital share transactions		13,355,062			(551,061)			(358,945,429)			(470,016,044)
Administrative Class:
Proceeds from sale of shares		—			—			10,044			341,423
Shares issued in reinvestment of distributions		—			—			233			16,180
Cost of shares redeemed		—			—			(716)			(1,987,464)
Total Administrative Class capital share transactions		—			—			9,561			(1,629,861)
Net increase (decrease) in net assets derived from capital share transactions		16,381,546			443,481			(502,694,679)			(631,456,469)
Net increase (decrease) in net assets		16,293,275			(573,580)			(513,668,802)			(717,172,933)
Net assets at beginning of year		10,325,546			10,899,126			1,778,144,550			2,495,317,483
Net assets at end of year	$	26,618,821		$	10,325,546		$	1,264,475,748		$	1,778,144,550

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 259

Metropolitan West Funds

Statements of Changes in Net Assets

	OPPORTUNISTIC HIGH INCOME CREDIT FUND						STRATEGIC INCOME FUND
	YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023			YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023
Operations:
Net investment income	$	131,073		$	266,498		$	5,173,629		$	3,476,991
Net realized (loss) on investments		(141,782)			(431,304)			(1,666,769)			(2,469,993)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(9,712)			(37,305)			301,300			501,888
Net change in unrealized appreciation (depreciation) on investments		163,622			(27,281)			816,002			(850,399)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(11,705)			17,597			(4,410)			28,320
Net increase (decrease) in net assets resulting from operations		131,496			(211,795)			4,619,752			686,807
Distributions to Shareholders:
From net earnings
Class M		(16,060)			(17,339)			(3,794,595)			(2,536,732)
Class I		(120,902)			(259,044)			(1,498,263)			(1,178,986)
From tax return of capital
Class M		—			(603)			—			—
Class I		—			(7,178)			—			—
Total Distributions		(136,962)			(284,164)			(5,292,858)			(3,715,718)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		302,351			543,779			6,753,106			43,540,763
Shares issued in reinvestment of distributions		16,060			17,942			3,784,613			2,526,946
Cost of shares redeemed		(359,655)			(295,730)			(8,380,137)			(10,331,770)
Total Class M capital share transactions		(41,244)			265,991			2,157,582			35,735,939
Class I:
Proceeds from sale of shares		19,372			506,250			12,920,425			12,916,300
Shares issued in reinvestment of distributions		118,774			255,696			1,409,912			1,109,471
Cost of shares redeemed		(672,238)			(1,500,632)			(6,793,483)			(6,635,438)
Total Class I capital share transactions		(534,092)			(738,686)			7,536,854			7,390,333
Net increase (decrease) in net assets derived from capital share transactions		(575,336)			(472,695)			9,694,436			43,126,272
Net increase (decrease) in net assets		(580,802)			(968,654)			9,021,330			40,097,361
Net assets at beginning of year		2,072,690			3,041,344			66,220,661			26,123,300
Net assets at end of year	$	1,491,888		$	2,072,690		$	75,241,991		$	66,220,661

See accompanying Notes to Financial Statements.

260 / Annual Report March 2024

Metropolitan West Funds

Statements of Changes in Net Assets

	SUSTAINABLE SECURITIZED FUND						TOTAL RETURN BOND FUND
	YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023			YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023
Operations:
Net investment income	$	406,399		$	281,087		$	2,537,715,937		$	2,141,648,942
Net realized (loss) on investments		(781,206)			(491,703)			(3,143,613,406)			(4,531,899,804)
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(69,308)			13,099			(452,768,829)			(830,744,776)
Net change in unrealized appreciation (depreciation) on investments		740,604			(544,191)			1,640,901,744			(1,855,532,089)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		(13,883)			(13,813)			(125,879,131)			495,422,606
Net increase (decrease) in net assets resulting from operations		282,606			(755,521)			456,356,315			(4,581,105,121)
Distributions to Shareholders:
From net earnings
Class M		(2,014)			(789)			(199,080,510)			(183,930,026)
Class I		(363,941)			(323,549)			(1,514,156,186)			(1,310,563,915)
Class I-2		—			—			(3,711,760)			(4,553,863)
Administrative Class		—			—			(53,157,819)			(48,358,996)
Plan Class		—			—			(743,968,929)			(622,261,058)
From tax return of capital
Class M		(223)			—			—			—
Class I		(40,201)			—			—			—
Total Distributions		(406,379)			(324,338)			(2,514,075,204)			(2,169,667,858)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		55,533			41,210			918,790,227			3,495,653,899
Shares issued in reinvestment of distributions		2,168			789			197,785,406			182,610,816
Cost of shares redeemed		(63,013)			(5,381)			(3,558,742,020)			(2,967,490,699)
Total Class M capital share transactions		(5,312)			36,618			(2,442,166,387)			710,774,016
Class I:
Proceeds from sale of shares		1,713,982			2,980,028			8,262,045,253			10,638,504,466
Shares issued in reinvestment of distributions		403,645			318,619			1,360,470,247			1,180,906,284
Cost of shares redeemed		(2,640,186)			(4,515,723)			(15,603,067,223)			(16,232,632,010)
Total Class I capital share transactions		(522,559)			(1,217,076)			(5,980,551,723)			(4,413,221,260)
Class I-2:
Proceeds from sale of shares		—			—			33,425,455			76,304,739
Shares issued in reinvestment of distributions		—			—			3,688,076			4,553,247
Cost of shares redeemed		—			—			(67,704,008)			(132,967,258)
Total Class I-2 capital share transactions		—			—			(30,590,477)			(52,109,272)
Administrative Class:
Proceeds from sale of shares		—			—			248,831,090			293,651,286
Shares issued in reinvestment of distributions		—			—			51,891,253			47,629,092
Cost of shares redeemed		—			—			(616,843,156)			(573,634,236)
Total Administrative Class capital share transactions		—			—			(316,120,813)			(232,353,858)
Plan Class:
Proceeds from sale of shares		—			—			3,421,603,095			2,968,909,350
Shares issued in reinvestment of distributions		—			—			689,320,525			584,159,563
Cost of shares redeemed		—			—			(5,424,667,833)			(6,205,668,308)
Total Plan Class capital share transactions		—			—			(1,313,744,213)			(2,652,599,395)
Net (decrease) in net assets derived from capital share transactions		(527,871)			(1,180,458)			(10,083,173,613)			(6,639,509,769)
Net (decrease) in net assets		(651,644)			(2,260,317)			(12,140,892,502)			(13,390,282,748)
Net assets at beginning of year		8,410,848			10,671,165			64,116,546,463			77,506,829,211
Net assets at end of year	$	7,759,204		$	8,410,848		$	51,975,653,961		$	64,116,546,463

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 261

Metropolitan West Funds

Statements of Changes in Net Assets

	ULTRA SHORT BOND FUND						UNCONSTRAINED BOND FUND
	YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023			YEAR ENDED  MARCH 31, 2024			YEAR ENDED  MARCH 31, 2023
Operations:
Net investment income	$	3,484,034		$	3,035,558		$	178,379,311		$164,181,166
Net realized (loss) on investments		(2,344,733)			(5,388,169)			(87,742,798)		(170,331,474)
Net realized gain on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		356,425			2,104,149			9,023,344		74,637,642
Net change in unrealized appreciation (depreciation) on investments		1,011,070			1,062,414			44,753,648		(160,704,924)
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts		79,651			(645,153)			1,759,511		2,436,594
Net increase (decrease) in net assets resulting from operations		2,586,447			168,799			146,173,016		(89,780,996)
Distributions to Shareholders:
From net earnings
Class M		(632,667)			(638,279)			(9,524,330)		(9,125,883)
Class I		(2,861,175)			(2,405,102)			(142,902,881)		(145,485,600)
Plan Class		—			—			(25,240,397)		(16,733,784)
From tax return of capital
Class M		—			—			(88,102)		—
Class I		—			—			(1,321,873)		—
Plan Class		—			—			(233,477)		—
Total Distributions		(3,493,842)			(3,043,381)			(179,311,060)		(171,345,267)
Capital Share Transactions:
Class M:
Proceeds from sale of shares		987,487			3,375,187			22,080,451		28,256,559
Shares issued in reinvestment of distributions		607,715			622,331			9,478,301		9,026,236
Cost of shares redeemed		(8,603,378)			(22,824,795)			(48,055,330)		(77,734,166)
Total Class M capital share transactions		(7,008,176)			(18,827,277)			(16,496,578)		(40,451,371)
Class I:
Proceeds from sale of shares		10,434,114			64,753,429			678,623,647		1,024,325,769
Shares issued in reinvestment of distributions		2,857,961			2,403,227			102,224,307		106,577,781
Cost of shares redeemed		(76,523,093)			(121,342,857)			(1,070,859,376)		(2,197,064,956)
Total Class I capital share transactions		(63,231,018)			(54,186,201)			(290,011,422)		(1,066,161,406)
Plan Class:
Proceeds from sale of shares		—			—			28,461,757		243,626,742
Shares issued in reinvestment of distributions		—			—			25,473,840		16,733,248
Cost of shares redeemed		—			—			(5,145,946)		(11,237,412)
Total Plan Class capital share transactions		—			—			48,789,651		249,122,578
Net (decrease) in net assets derived from capital share transactions		(70,239,194)			(73,013,478)			(257,718,349)		(857,490,199)
Net (decrease) in net assets		(71,146,589)			(75,888,060)			(290,856,393)		(1,118,616,462)
Net assets at beginning of year		121,847,188			197,735,248			2,865,531,040		3,984,147,502
Net assets at end of year	$	50,700,599		$	121,847,188		$	2,574,674,647		$2,865,531,040

See accompanying Notes to Financial Statements.

262 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	ALPHATRAK 500 FUND CLASS M
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	9.87		$	11.48		$	13.26		$	8.89		$	10.73
Income from Investment Operations:
Net investment income1			0.47			0.27			0.11			0.18			0.31
Net realized and unrealized gain (loss)			2.35			(1.42)			1.81			5.14			(1.14)
Total Income (Loss) from Investment Operations			2.82			(1.15)			1.92			5.32			(0.83)
Less Distributions:
From net investment income			(0.46)			(0.27)			(0.12)			(0.20)			(0.30)
From net capital gains			—			(0.19)			(3.58)			(0.75)			(0.71)
Total Distributions			(0.46)			(0.46)			(3.70)			(0.95)			(1.01)
Net Asset Value, End of Year		$	12.23		$	9.87		$	11.48		$	13.26		$	8.89
Total Return			29.17%			(9.77)%			13.35%			60.83%			(9.36)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	30,142		$	28,961		$	45,102		$	36,770		$	29,066
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.21%			1.28%			0.83%2			1.26%			1.04%
After expense waivers and reimbursements			0.45%			0.45%			0.83%			0.90%			0.90%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.37%			2.70%			0.78%			1.57%			2.80%
Portfolio Turnover Rate			260%			166%			94%			60%			89%

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%.

See accompanying Notes to Financial Statements.

263 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	9.03	$	9.89	$	10.65	$	10.32	$	10.31
Income from Investment Operations:
Net investment income1			0.32		0.26		0.22		0.28		0.88
Net realized and unrealized gain (loss)			(0.05)		(0.86)		(0.69)		0.50		0.06
Total Income (Loss) from Investment Operations			0.27		(0.60)		(0.47)		0.78		0.94
Less Distributions:
From net investment income			(0.32)		(0.26)		(0.22)		(0.40)		(0.86)
From net capital gains			—		—		(0.07)		(0.05)		(0.07)
Total Distributions			(0.32)		(0.26)		(0.29)		(0.45)		(0.93)
Net Asset Value, End of Year		$	8.98	$	9.03	$	9.89	$	10.65	$	10.32
Total Return			3.15%		(6.02)%		(4.67)%		7.55%		9.19%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	2,809	$	4,296	$	5,622	$	8,190	$	876
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			4.56%		3.93%		2.73%		3.16%		8.55%
After expense waivers and reimbursements			0.75%		0.75%		0.75%		0.75%		0.75%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			3.67%		2.87%		2.01%		2.54%		8.31%
Portfolio Turnover Rate			136%		124%		148%		84%		65%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 264

Metropolitan West Funds

Financial Highlights

	CORPORATE BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	9.03	$	9.89	$	10.65	$	10.32	$	10.31
Income from Investment Operations:
Net investment income1			0.35		0.28		0.24		0.40		0.91
Net realized and unrealized gain (loss)			(0.04)		(0.86)		(0.69)		0.41		0.06
Total Income (Loss) from Investment Operations			0.31		(0.58)		(0.45)		0.81		0.97
Less Distributions:
From net investment income			(0.35)		(0.28)		(0.24)		(0.43)		(0.89)
From net capital gains			—		—		(0.07)		(0.05)		(0.07)
Total Distributions			(0.35)		(0.28)		(0.31)		(0.48)		(0.96)
Net Asset Value, End of Year		$	8.99	$	9.03	$	9.89	$	10.65	$	10.32
Total Return			3.52%		(5.79)%		(4.44)%		7.81%		9.46%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	2,379	$	2,870	$	6,935	$	4,730	$	2,392
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			4.24%		3.39%		2.40%		3.54%		8.30%
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			3.92%		3.05%		2.25%		3.64%		8.62%
Portfolio Turnover Rate			136%		124%		148%		84%		65%

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

See accompanying Notes to Financial Statements.

265 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS M
		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	7.89	$	8.75	$	9.86	$	9.82	$	10.79
Income from Investment Operations:
Net investment income1			0.60		0.68		0.88		0.69		1.86
Net realized and unrealized gain (loss)			(0.18)		(0.83)		(1.07)		0.34		(0.85)
Total Income (Loss) from Investment Operations			0.42		(0.15)		(0.19)		1.03		1.01
Less Distributions:
From net investment income			(0.60)		(0.71)		(0.89)		(0.97)		(1.98)
From net capital gains			—		—		(0.03)		(0.02)		—
Total Distributions			(0.60)		(0.71)		(0.92)		(0.99)		(1.98)
Net Asset Value, End of Year		$	7.71	$	7.89	$	8.75	$	9.86	$	9.82
Total Return			5.64%		(1.50)%		(2.30)%		10.89%		9.82%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	49,559	$	49,027	$	31,941	$	21,174	$	1
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.94%		1.00%		1.04%		1.28%		3.76%
After expense waivers and reimbursements			0.80%		0.80%		0.80%		0.80%		0.80%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.82%		8.53%		9.33%		7.01%		17.64%
Portfolio Turnover Rate			332%		248%		210%		177%		122%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 266

Metropolitan West Funds

Financial Highlights

	FLEXIBLE INCOME FUND CLASS I
		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2022		YEAR ENDED MARCH 31, 2021		YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Period		$	7.89	$	8.75	$	9.86	$	9.82	$	10.78
Income from Investment Operations:
Net investment income1			0.62		0.70		0.91		0.73		1.90
Net realized and unrealized gain (loss)			(0.19)		(0.83)		(1.08)		0.30		(0.85)
Total Income (Loss) from Investment Operations			0.43		(0.13)		(0.17)		1.03		1.05
Less Distributions:
From net investment income			(0.62)		(0.73)		(0.91)		(0.97)		(2.01)
From net capital gains			—		—		(0.03)		(0.02)		—
Total Distributions			(0.62)		(0.73)		(0.94)		(0.99)		(2.01)
Net Asset Value, End of Year		$	7.70	$	7.89	$	8.75	$	9.86	$	9.82
Total Return			5.77%		(1.25)%		(2.05)%		10.83%		10.14%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	307,196	$	281,372	$	177,717	$	158,834	$	8,934
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.68%		0.74%		0.79%		1.01%		3.51%
After expense waivers and reimbursements			0.55%		0.55%		0.55%		0.55%		0.55%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			8.07%		8.78%		9.55%		7.41%		18.14%
Portfolio Turnover Rate			332%		248%		210%		177%		122%

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

See accompanying Notes to Financial Statements.

267 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS M
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	9.29		$	9.79		$	9.95		$	8.98		$	9.90
Income from Investment Operations:
Net investment income1			0.81			0.56			0.31			0.30			0.42
Net realized and unrealized gain (loss)			0.20			(0.48)			(0.16)			0.97			(0.92)
Total Income (Loss) from Investment Operations			1.01			0.08			0.15			1.27			(0.50)
Less Distributions:
From net investment income			(0.81)			(0.58)			(0.31)			(0.30)			(0.42)
Net Asset Value, End of Year		$	9.49		$	9.29		$	9.79		$	9.95		$	8.98
Total Return			11.36%			0.96%			1.50%			14.30%			(5.36)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	9,521		$	11,002		$	17,003		$	13,815		$	6,084
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			1.01%			1.02%			1.00%			0.99%			1.00%
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			8.65%			5.98%			3.12%			3.05%			4.27%
Portfolio Turnover Rate			77%			43%			49%			38%			51%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 268

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	9.29		$	9.78		$	9.95		$	8.98		$	9.90
Income from Investment Operations:
Net investment income1		0.83			0.58			0.33			0.32			0.44
Net realized and unrealized gain (loss)		0.20			(0.47)			(0.17)			0.97			(0.92)
Total Income (Loss) from Investment Operations		1.03			0.11			0.16			1.29			(0.48)
Less Distributions:
From net investment income		(0.83)			(0.60)			(0.33)			(0.32)			(0.44)
Net Asset Value, End of Year	$	9.49		$	9.29		$	9.78		$	9.95		$	8.98
Total Return		11.58%			1.26%			1.61%			14.52%			(5.17)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	292,519		$	328,416		$	475,105		$	417,927		$	250,187
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.70%2			0.70%			0.69%3			0.70%4			0.70%
After expense waivers and reimbursements		0.70%			0.70%			0.69%			0.70%			0.70%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		8.85%			6.22%			3.32%			3.25%			4.47%
Portfolio Turnover Rate		77%			43%			49%			38%			51%

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 0.70%.

³  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.69%.

⁴  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.

269 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	FLOATING RATE INCOME FUND PLAN CLASS*
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			PERIOD ENDED MARCH 31, 2021
Net Asset Value, Beginning of Period	$	9.27		$	9.78		$	9.95		$	9.97
Income from Investment Operations:
Net investment income1		0.84			0.59			0.35			0.05
Net realized and unrealized gain (loss)		0.17			(0.51)			(0.18)			(0.02)
Total Income from Investment Operations		1.01			0.08			0.17			0.03
Less Distributions:
From net investment income		(0.82)			(0.59)			(0.34)			(0.05)
Net Asset Value, End of Period	$	9.46		$	9.27		$	9.78		$	9.95
Total Return		11.32%			1.00%			1.76%			1.31%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	11		$	1033		$	1023		$	1003
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.63%			0.15%4			0.65%			0.62%5
After expense waivers and reimbursements		0.60%			0.15%			0.60%			0.56%5
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		9.02%			6.32%			3.53%			3.15%5
Portfolio Turnover Rate		77%			43%			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  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.10%.

⁵  Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 270

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	9.12		$	10.06		$	10.57		$	9.27		$	9.66
Income from Investment Operations:
Net investment income1			0.60			0.50			0.38			0.36			0.40
Net realized and unrealized gain (loss)			0.16			(0.93)			(0.51)			1.31			(0.39)
Total Income (Loss) from Investment Operations			0.76			(0.43)			(0.13)			1.67			0.01
Less Distributions:
From net investment income			(0.60)			(0.51)			(0.38)			(0.37)			(0.40)
Net Asset Value, End of Year		$	9.28		$	9.12		$	10.06		$	10.57		$	9.27
Total Return			8.64%			(4.20)%			(1.30)%			18.14%			(0.06)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	111,388		$	134,178		$	169,941		$	198,337		$	126,587
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.91%			0.91%			0.90%			0.91%			0.93%
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			6.55%			5.45%			3.61%			3.53%			4.07%
Portfolio Turnover Rate			82%			116%			117%			108%			181%

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

See accompanying Notes to Financial Statements.

271 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	HIGH YIELD BOND FUND CLASS I
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	9.12		$	10.05		$	10.57		$	9.26		$	9.65
Income from Investment Operations:
Net investment income1			0.62			0.52			0.41			0.39			0.42
Net realized and unrealized gain (loss)			0.16			(0.92)			(0.52)			1.31			(0.39)
Total Income (Loss) from Investment Operations			0.78			(0.40)			(0.11)			1.70			0.03
Less Distributions:
From net investment income			(0.62)			(0.53)			(0.41)			(0.39)			(0.42)
Net Asset Value, End of Year		$	9.28		$	9.12		$	10.05		$	10.57		$	9.26
Total Return			8.91%			(3.87)%			(1.15)%			18.56%			0.19%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	356,322		$	361,021		$	552,768		$	572,082		$	289,352
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.62%			0.61%			0.61%			0.61%			0.62%
After expense waivers and reimbursements			0.60%			0.60%			0.60%			0.60%			0.60%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			6.81%			5.67%			3.88%			3.77%			4.33%
Portfolio Turnover Rate			82%			116%			117%			108%			181%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 272

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS M
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year		$	9.57		$	10.10		$	10.74		$	10.65		$	10.37
Income from Investment Operations:
Net investment income1			0.38			0.29			0.11			0.13			0.26
Net realized and unrealized gain (loss)			(0.22)			(0.53)			(0.61)			0.36			0.28
Total Income (Loss) from Investment Operations			0.16			(0.24)			(0.50)			0.49			0.54
Less Distributions:
From net investment income			(0.38)			(0.29)			(0.11)			(0.13)			(0.26)
From net capital gains			—			—			(0.03)			(0.27)			—
Total Distributions			(0.38)			(0.29)			(0.14)			(0.40)			(0.26)
Net Asset Value, End of Year		$	9.35		$	9.57		$	10.10		$	10.74		$	10.65
Total Return			1.80%			(2.32)%			(4.63)%			4.63%			5.27%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)		$	17,845		$	21,053		$	24,746		$	36,452		$	33,836
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			0.71%			0.72%			0.70%			0.71%			0.71%
After expense waivers and reimbursements			0.70%			0.70%			0.70%			0.70%			0.70%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			4.10%			3.00%			1.04%			1.22%			2.49%
Portfolio Turnover Rate			588%			516%			399%			372%			393%

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

See accompanying Notes to Financial Statements.

273 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	INTERMEDIATE BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	9.56		$	10.10		$	10.73		$	10.65		$	10.36
Income from Investment Operations:
Net investment income1		0.40			0.31			0.14			0.16			0.29
Net realized and unrealized gain (loss)		(0.21)			(0.54)			(0.60)			0.35			0.28
Total Income (Loss) from Investment Operations		0.19			(0.23)			(0.46)			0.51			0.57
Less Distributions:
From net investment income		(0.40)			(0.31)			(0.14)			(0.16)			(0.28)
From net capital gains		—			—			(0.03)			(0.27)			—
Total Distributions		(0.40)			(0.31)			(0.17)			(0.43)			(0.28)
Net Asset Value, End of Year	$	9.35		$	9.56		$	10.10		$	10.73		$	10.65
Total Return		2.12%			(2.22)%			(4.33)%			4.76%			5.60%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	952,523		$	876,918		$	768,271		$	766,063		$	693,038
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.48%2			0.49%			0.47%			0.48%			0.48%
After expense waivers and reimbursements		0.48%			0.49%			0.47%			0.48%			0.48%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.33%			3.26%			1.29%			1.44%			2.69%
Portfolio Turnover Rate		588%			516%			399%			372%			393%

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 0.48%.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 274

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS M
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	7.82		$	8.70		$	9.67		$	9.65		$	10.31
Income from Investment Operations:
Net investment income1		0.41			0.63			0.45			0.59			1.05
Net realized and unrealized gain (loss)		(0.11)			(0.84)			(0.95)			0.17			(0.55)
Total Income (Loss) from Investment Operations		0.30			(0.21)			(0.50)			0.76			0.50
Less Distributions:
From net investment income		(0.42)			(0.65)			(0.46)			(0.63)			(1.05)
From net capital gains		—			—			(0.01)			(0.11)			(0.11)
From tax return of capital		—			(0.02)			—			—			—
Total Distributions		(0.42)			(0.67)			(0.47)			(0.74)			(1.16)
Net Asset Value, End of Year	$	7.70		$	7.82		$	8.70		$	9.67		$	9.65
Total Return		4.01%			(2.24)%			(5.42)%			7.97%			4.80%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	6,041		$	3,026		$	2,259		$	2,126		$	837
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		2.56%			3.90%			2.16%			2.93%			3.86%
After expense waivers and reimbursements		0.70%			0.70%			0.70%			0.70%			0.70%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.33%			7.93%			4.75%			6.02%			10.33%
Portfolio Turnover Rate		491%			231%			345%			92%			76%

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

See accompanying Notes to Financial Statements.

275 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	INVESTMENT GRADE CREDIT FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	7.82		$	8.70		$	9.67		$	9.65		$	10.31
Income from Investment Operations:
Net investment income1		0.42			0.67			0.45			0.65			1.07
Net realized and unrealized gain (loss)		(0.10)			(0.86)			(0.93)			0.13			(0.55)
Total Income (Loss) from Investment Operations		0.32			(0.19)			(0.48)			0.78			0.52
Less Distributions:
From net investment income		(0.44)			(0.67)			(0.48)			(0.65)			(1.07)
From net capital gains		—			—			(0.01)			(0.11)			(0.11)
From tax return of capital		—			(0.02)			—			—			—
Total Distributions		(0.44)			(0.69)			(0.49)			(0.76)			(1.18)
Net Asset Value, End of Year	$	7.70		$	7.82		$	8.70		$	9.67		$	9.65
Total Return		4.23%			(2.03)%			(5.22)%			8.20%			5.02%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	20,578		$	7,299		$	8,640		$	10,105		$	6,431
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		2.30%			3.62%			1.87%			2.68%			3.61%
After expense waivers and reimbursements		0.49%			0.49%			0.49%			0.49%			0.49%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		5.53%			8.38%			4.79%			6.56%			10.54%
Portfolio Turnover Rate		491%			231%			345%			92%			76%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 276

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	8.30		$	8.57		$	8.88		$	8.65		$	8.68
Income from Investment Operations:
Net investment income1		0.34			0.22			0.08			0.11			0.20
Net realized and unrealized gain (loss)		(0.03)			(0.26)			(0.31)			0.23			(0.03)
Total Income (Loss) from Investment Operations		0.31			(0.04)			(0.23)			0.34			0.17
Less Distributions:
From net investment income		(0.34)			(0.23)			(0.08)			(0.11)			(0.20)
Net Asset Value, End of Year	$	8.27		$	8.30		$	8.57		$	8.88		$	8.65
Total Return		3.82%			(0.46)%			(2.65)%			3.91%			1.93%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	152,721		$	298,833		$	474,682		$	445,538		$	449,701
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.62%			0.63%			0.62%			0.62%			0.62%
After expense waivers and reimbursements		0.62%			0.63%			0.62%			0.62%			0.62%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.08%			2.66%			0.87%			1.22%			2.32%
Portfolio Turnover Rate		461%			450%			347%			256%			233%

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

See accompanying Notes to Financial Statements.

277 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	8.30		$	8.58		$	8.88		$	8.65		$	8.68
Income from Investment Operations:
Net investment income1		0.35			0.24			0.09			0.12			0.22
Net realized and unrealized gain (loss)		(0.03)			(0.28)			(0.30)			0.24			(0.03)
Total Income (Loss) from Investment Operations		0.32			(0.04)			(0.21)			0.36			0.19
Less Distributions:
From net investment income		(0.35)			(0.24)			(0.09)			(0.13)			(0.22)
Net Asset Value, End of Year	$	8.27		$	8.30		$	8.58		$	8.88		$	8.65
Total Return		4.03%			(0.37)%			(2.34)%			4.12%			2.14%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	1,111,745		$	1,479,311		$	2,018,926		$	2,034,540		$	1,456,456
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.42%			0.42%			0.41%			0.42%			0.42%
After expense waivers and reimbursements		0.42%			0.42%			0.41%			0.42%			0.42%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.31%			2.85%			1.07%			1.39%			2.51%
Portfolio Turnover Rate		461%			450%			347%			256%			233%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 278

Metropolitan West Funds

Financial Highlights

	LOW DURATION BOND FUND ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	10.73		$	11.08		$	11.48		$	11.18		$	11.21
Income from Investment Operations:
Net investment income1		0.44			0.22			0.09			0.13			0.26
Net realized and unrealized gain (loss)		(0.06)			(0.28)			(0.40)			0.30			(0.05)
Total Income (Loss) from Investment Operations		0.38			(0.06)			(0.31)			0.43			0.21
Less Distributions:
From net investment income		(0.43)			(0.29)			(0.09)			(0.13)			(0.24)
Net Asset Value, End of Year	$	10.68		$	10.73		$	11.08		$	11.48		$	11.18
Total Return		3.77%			(0.48)%			(2.74)%			3.83%			1.90%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	10		$	7762		$	1,709		$	88		$	94
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.70%			0.72%			0.72%			0.73%			0.72%
After expense waivers and reimbursements		0.70%			0.72%			0.72%			0.73%			0.72%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.18%			2.05%			0.80%			1.11%			2.27%
Portfolio Turnover Rate		461%			450%			347%			256%			233%

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

²  Represents the whole number without rounding to the 000s.

See accompanying Notes to Financial Statements.

279 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	OPPORTUNISTIC HIGH INCOME CREDIT FUND CLASS M*
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	7.55		$	8.99		$10.00
Income from Investment Operations:
Net investment income1			0.55			0.55		0.88
Net realized and unrealized gain (loss)			0.14			(1.25)		(1.07)
Total Income (Loss) from Investment Operations			0.69			(0.70)		(0.19)
Less Distributions:
From net investment income			(0.58)			(0.72)		(0.76)
From net capital gains			—			—		(0.06)
From tax return of capital			—			(0.02)		—
Total Distributions			(0.58)			(0.74)		(0.82)
Net Asset Value, End of Period		$	7.66		$	7.55		$  8.99
Total Return			9.55%			(7.74)%		(2.09)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	267		$	314		$70
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			13.25%			10.77%		5.78%3
After expense waivers and reimbursements			0.85%			0.85%		0.85%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.29%			7.26%		14.30%3
Portfolio Turnover Rate			63%			131%		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 2024 / 280

Metropolitan West Funds

Financial Highlights

	OPPORTUNISTIC HIGH INCOME CREDIT FUND CLASS I*
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	7.55		$	8.98		$10.00
Income from Investment Operations:
Net investment income1			0.57			0.71		0.80
Net realized and unrealized gain (loss)			0.12			(1.38)		(0.98)
Total Income (Loss) from Investment Operations			0.69			(0.67)		(0.18)
Less Distributions:
From net investment income			(0.59)			(0.74)		(0.78)
From net capital gains			—			—		(0.06)
From tax return of capital			—			(0.02)		—
Total Distributions			(0.59)			(0.76)		(0.84)
Net Asset Value, End of Period		$	7.65		$	7.55		$  8.98
Total Return			9.66%			(7.41)%		(2.04)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	1,225		$	1,759		$2,971
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			13.65%			8.88%		5.42%3
After expense waivers and reimbursements			0.60%			0.60%		0.60%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			7.63%			9.07%		12.43%3
Portfolio Turnover Rate			63%			131%		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.

281 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS M
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	6.24		$	6.89		$	7.83		$	7.29		$	7.89
Income from Investment Operations:
Net investment income1		0.45			0.51			0.73			0.47			0.31
Net realized and unrealized gain (loss)		(0.05)			(0.54)			(0.94)			0.54			(0.60)
Total Income (Loss) from Investment Operations		0.40			(0.03)			(0.21)			1.01			(0.29)
Less Distributions:
From net investment income		(0.46)			(0.62)			(0.73)			(0.47)			(0.31)
Net Asset Value, End of Year	$	6.18		$	6.24		$	6.89		$	7.83		$	7.29
Total Return		6.67%			(0.23)%			(2.99)%			14.14%			(3.86)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	52,304		$	50,681		$	16,813		$	15,471		$	10,413
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.49%			1.86%			3.02%			2.73%			2.43%
After expense waivers and reimbursements		1.04%			1.04%			1.04%			2.28%			2.35%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.26%			8.24%			9.71%			6.12%			3.95%
Portfolio Turnover Rate		260%			177%			77%			24%			50%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 282

Metropolitan West Funds

Financial Highlights

	STRATEGIC INCOME FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	6.24		$	6.89		$	7.83		$	7.29		$	7.89
Income from Investment Operations:
Net investment income1		0.46			0.57			0.76			0.46			0.33
Net realized and unrealized gain (loss)		(0.05)			(0.59)			(0.95)			0.56			(0.60)
Total Income (Loss) from Investment Operations		0.41			(0.02)			(0.19)			1.02			(0.27)
Less Distributions:
From net investment income		(0.47)			(0.63)			(0.75)			(0.48)			(0.33)
Net Asset Value, End of Year	$	6.18		$	6.24		$	6.89		$	7.83		$	7.29
Total Return		7.10%			–%			(2.76)%			14.19%			(3.61)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	22,938		$	15,540		$	9,310		$	9,799		$	48,252
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.22%			1.65%			2.77%			2.08%2			2.20%
After expense waivers and reimbursements		0.80%			0.80%			0.80%			2.08%			2.10%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		7.46%			9.08%			10.06%			5.92%			4.23%
Portfolio Turnover Rate		260%			177%			77%			24%			50%

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%.

See accompanying Notes to Financial Statements.

283 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	SUSTAINABLE SECURITIZED FUND CLASS M*
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	8.45		$	9.36		$10.00
Income from Investment Operations:
Net investment income1			0.42			0.21		0.05
Net realized and unrealized loss			(0.07)			(0.88)		(0.61)
Total Income (Loss) from Investment Operations			0.35			(0.67)		(0.56)
Less Distributions:
From net investment income			(0.41)			(0.24)		(0.08)
From tax return of capital			(0.05)			—		—
Total Distributions			(0.46)			(0.24)		(0.08)
Net Asset Value, End of Period		$	8.34		$	8.45		$9.36
Total Return			4.33%			(7.15)%		(5.60)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	44		$	50		$16
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			4.15%			3.35%		2.15%3
After expense waivers and reimbursements			0.70%			0.70%		0.79%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.13%			2.43%		0.97%3
Portfolio Turnover Rate			312%			312%		276%2

* The Sustainable 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 2024 / 284

Metropolitan West Funds

Financial Highlights

	SUSTAINABLE SECURITIZED FUND CLASS I*
		YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			PERIOD ENDED MARCH 31, 2022
Net Asset Value, Beginning of Period		$	8.45		$	9.37		$10.00
Income from Investment Operations:
Net investment income1			0.47			0.23		0.05
Net realized and unrealized loss			(0.09)			(0.89)		(0.63)
Total Income (Loss) from Investment Operations			0.38			(0.66)		(0.58)
Less Distributions:
From net investment income			(0.43)			(0.26)		(0.05)
From tax return of capital			(0.05)			—		—
Total Distributions			(0.48)			(0.26)		(0.05)
Net Asset Value, End of Period		$	8.35		$	8.45		$9.37
Total Return			4.67%			(7.04)%		(5.87)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)		$	7,715		$	8,361		$10,655
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements			3.82%			2.93%		1.80%3
After expense waivers and reimbursements			0.49%			0.49%		0.49%3
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements			5.67%			2.61%		0.94%3
Portfolio Turnover Rate			312%			312%		276%2

* The Sustainable 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.

285 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	9.28		$	10.19		$	10.82		$	11.12		$	10.64
Income from Investment Operations:
Net investment income1		0.37			0.28			0.13			0.15			0.26
Net realized and unrealized gain (loss)		(0.26)			(0.91)			(0.63)			0.24			0.57
Total Income (Loss) from Investment Operations		0.11			(0.63)			(0.50)			0.39			0.83
Less Distributions:
From net investment income		(0.37)			(0.28)			(0.13)			(0.15)			(0.26)
From net capital gains		—			—			(0.00)2			(0.54)			(0.09)
Total Distributions		(0.37)			(0.28)			(0.13)			(0.69)			(0.35)
Net Asset Value, End of Year	$	9.02		$	9.28		$	10.19		$	10.82		$	11.12
Total Return		1.24%			(6.10)%			(4.69)%			3.31%			7.93%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	3,826,231		$	6,442,440		$	6,213,223		$	7,154,434		$	8,979,527
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.66%			0.67%			0.65%			0.67%			0.67%
After expense waivers and reimbursements		0.66%			0.67%			0.65%			0.67%			0.67%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.11%			3.04%			1.17%			1.28%			2.38%
Portfolio Turnover Rate		450%			426%			467%			470%			405%

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 2024 / 286

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	9.28		$	10.18		$	10.82		$	11.12		$	10.64
Income from Investment Operations:
Net investment income1		0.39			0.30			0.15			0.17			0.28
Net realized and unrealized gain (loss)		(0.26)			(0.90)			(0.64)			0.24			0.57
Total Income (Loss) from Investment Operations		0.13			(0.60)			(0.49)			0.41			0.85
Less Distributions:
From net investment income		(0.39)			(0.30)			(0.15)			(0.17)			(0.28)
From net capital gains		—			—			(0.00)2			(0.54)			(0.09)
Total Distributions		(0.39)			(0.30)			(0.15)			(0.71)			(0.37)
Net Asset Value, End of Year	$	9.02		$	9.28		$	10.18		$	10.82		$	11.12
Total Return		1.45%			(5.80)%			(4.58)%			3.54%			8.16%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	31,087,119		$	38,399,347		$	46,961,971		$	52,980,073		$	46,086,494
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.45%			0.45%			0.44%			0.45%			0.45%
After expense waivers and reimbursements		0.45%			0.45%			0.44%			0.45%			0.45%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.35%			3.19%			1.38%			1.49%			2.60%
Portfolio Turnover Rate		450%			426%			467%			470%			405%

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.

287 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND CLASS I-2*
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			PERIOD ENDED MARCH 31, 2020
Net Asset Value, Beginning of Period	$	9.28		$	10.18		$	10.82		$	11.12		$	11.48
Income from Investment Operations:
Net investment income1		0.38			0.29			0.14			0.15			0.02
Net realized and unrealized gain (loss)		(0.26)			(0.89)			(0.64)			0.27			(0.36)
Total Income (Loss) from Investment Operations		0.12			(0.60)			(0.50)			0.42			(0.34)
Less Distributions:
From net investment income		(0.38)			(0.30)			(0.14)			(0.18)			(0.02)
From net capital gains		—			—			(0.00) 2			(0.54)			—
Total Distributions		(0.38)			(0.30)			(0.14)			(0.72)			(0.02)
Net Asset Value, End of Period	$	9.02		$	9.28		$	10.18		$	10.82		$	11.12
Total Return		1.39%			(5.87)%			(4.65)%			3.65%			(2.93)%3
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	67,699		$	102,076		$	170,455		$	116,857		$	974
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.51%			0.52%			0.52%			0.52%			0.33%5
After expense waivers and reimbursements		0.51%			0.52%			0.52%			0.52%			0.33%5
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.28%			3.06%			1.33%			1.32%			3.49%5
Portfolio Turnover Rate		450%			426%			467%			470%			405%3

* 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.

⁵  Annualized.

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 288

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	9.29		$	10.19		$	10.83		$	11.13		$	10.65
Income from Investment Operations:
Net investment income1		0.36			0.27			0.12			0.13			0.25
Net realized and unrealized gain (loss)		(0.26)			(0.90)			(0.65)			0.24			0.57
Total Income (Loss) from Investment Operations		0.10			(0.63)			(0.53)			0.37			0.82
Less Distributions:
From net investment income		(0.36)			(0.27)			(0.11)			(0.13)			(0.25)
From net capital gains		—			—			(0.00)2			(0.54)			(0.09)
Total Distributions		(0.36)			(0.27)			(0.11)			(0.67)			(0.34)
Net Asset Value, End of Year	$	9.03		$	9.29		$	10.19		$	10.83		$	11.13
Total Return		1.12%			(6.10)%			(4.89)%			3.19%			7.80%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	1,191,464		$	1,549,862		$	1,963,315		$	2,083,842		$	1,739,034
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.78%			0.78%			0.77%			0.78%			0.78%
After expense waivers and reimbursements		0.78%			0.78%			0.77%			0.78%			0.78%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.01%			2.83%			1.06%			1.15%			2.26%
Portfolio Turnover Rate		450%			426%			467%			470%			405%

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.

289 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	TOTAL RETURN BOND FUND PLAN CLASS
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	8.70		$	9.55		$	10.15		$	10.46		$	10.01
Income from Investment Operations:
Net investment income1		0.37			0.29			0.15			0.17			0.28
Net realized and unrealized gain (loss)		(0.24)			(0.85)			(0.60)			0.23			0.54
Total Income (Loss) from Investment Operations		0.13			(0.56)			(0.45)			0.40			0.82
Less Distributions:
From net investment income		(0.37)			(0.29)			(0.15)			(0.17)			(0.28)
From net capital gains		—			—			(0.00)2			(0.54)			(0.09)
Total Distributions		(0.37)			(0.29)			(0.15)			(0.71)			(0.37)
Net Asset Value, End of Year	$	8.46		$	8.70		$	9.55		$	10.15		$	10.46
Total Return		1.58%			(5.79)%			(4.50)%			3.65%			8.29%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	15,803,141		$	17,622,821		$	22,197,865		$	24,605,977		$	23,822,841
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.37%			0.37%			0.36%			0.37%			0.37%
After expense waivers and reimbursements		0.37%			0.37%			0.36%			0.37%			0.37%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		4.43%			3.26%			1.47%			1.57%			2.67%
Portfolio Turnover Rate		450%			426%			467%			470%			405%

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 2024 / 290

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	4.10		$	4.18		$	4.25		$	4.23		$	4.26
Income from Investment Operations:
Net investment income1		0.17			0.09			0.02			0.02			0.11
Net realized and unrealized gain (loss)		(0.00)			(0.07)			(0.07)			0.02			(0.03)
Total Income (Loss) from Investment Operations		0.17			0.02			(0.05)			0.04			0.08
Less Distributions:
From net investment income		(0.18)			(0.10)			(0.02)			(0.02)			(0.11)
Net Asset Value, End of Year	$	4.09		$	4.10		$	4.18		$	4.25		$	4.23
Total Return		4.14%			0.49%			(1.14)%			1.03%			1.85%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	12,917		$	19,995		$	39,477		$	61,925		$	28,355
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.84%			0.75%			0.64%			0.65%			0.77%
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		4.25%			2.24%			0.49%			0.49%			2.53%
Portfolio Turnover Rate		544%			479%			336%			210%			303%

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

See accompanying Notes to Financial Statements.

291 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	ULTRA SHORT BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	4.11		$	4.18		$	4.26		$	4.23		$	4.27
Income from Investment Operations:
Net investment income1		0.18			0.10			0.03			0.03			0.12
Net realized and unrealized gain (loss)		(0.01)			(0.06)			(0.08)			0.03			(0.04)
Total Income (Loss) from Investment Operations		0.17			0.04			(0.05)			0.06			0.08
Less Distributions:
From net investment income		(0.18)			(0.11)			(0.03)			(0.03)			(0.12)
Net Asset Value, End of Year	$	4.10		$	4.11		$	4.18		$	4.26		$	4.23
Total Return		4.31%			0.90%			(1.21)%			1.43%			1.78%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	37,783		$	101,852		$	158,258		$	181,248		$	76,340
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.66%			0.60%			0.49%			0.48%			0.58%
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		4.37%			2.40%			0.66%			0.67%			2.70%
Portfolio Turnover Rate		544%			479%			336%			210%			303%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 292

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS M
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	10.41		$	11.17		$	11.96		$	11.12		$	11.80
Income from Investment Operations:
Net investment income1		0.65			0.51			0.30			0.30			0.42
Net realized and unrealized gain (loss)		(0.09)			(0.74)			(0.66)			0.93			(0.69)
Total Income (Loss) from Investment Operations		0.56			(0.23)			(0.36)			1.23			(0.27)
Less Distributions:
From net investment income		(0.65)			(0.53)			(0.30)			(0.30)			(0.41)
From net capital gains		—			—			(0.13)			(0.09)			—
From tax return of capital		(0.01)			—			—			—			—
Total Distributions		(0.66)			(0.53)			(0.43)			(0.39)			(0.41)
Net Asset Value, End of Year	$	10.31		$	10.41		$	11.17		$	11.96		$	11.12
Total Return		5.57%			(1.93)%			(3.15)%			11.14%			(2.47)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	141,736		$	160,181		$	214,792		$	258,424		$	267,139
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		1.04%2			1.04%			1.02%			1.03%			1.03%
After expense waivers and reimbursements		1.04%			1.04%			1.02%			1.03%			1.03%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.37%			4.81%			2.50%			2.56%			3.49%
Portfolio Turnover Rate		257%			223%			182%			165%			85%

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 1.04%.

See accompanying Notes to Financial Statements.

293 / Annual Report March 2024

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND CLASS I
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			YEAR ENDED MARCH 31, 2020
Net Asset Value, Beginning of Year	$	10.40		$	11.16		$	11.95		$	11.12		$	11.79
Income from Investment Operations:
Net investment income1		0.68			0.53			0.33			0.33			0.44
Net realized and unrealized gain (loss)		(0.10)			(0.73)			(0.66)			0.92			(0.67)
Total Income (Loss) from Investment Operations		0.58			(0.20)			(0.33)			1.25			(0.23)
Less Distributions:
From net investment income		(0.67)			(0.56)			(0.33)			(0.33)			(0.44)
From net capital gains		—			—			(0.13)			(0.09)			—
From tax return of capital		(0.01)			—			—			—			—
Total Distributions		(0.68)			(0.56)			(0.46)			(0.42)			(0.44)
Net Asset Value, End of Year	$	10.30		$	10.40		$	11.16		$	11.95		$	11.12
Total Return		5.87%			(1.65)%			(2.88)%			11.35%			(2.11)%
Ratios/Supplemental Data:
Net Assets, end of year (in thousands)	$	2,035,211		$	2,353,053		$	3,648,832		$	3,271,289		$	2,760,187
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.75%			0.76%			0.74%			0.75%			0.75%
After expense waivers and reimbursements		0.75%			0.76%			0.74%			0.75%			0.75%
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.65%			5.04%			2.79%			2.82%			3.72%
Portfolio Turnover Rate		257%			223%			182%			165%			85%

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

See accompanying Notes to Financial Statements.

Annual Report March 2024 / 294

Metropolitan West Funds

Financial Highlights

	UNCONSTRAINED BOND FUND PLAN CLASS*
	YEAR ENDED MARCH 31, 2024			YEAR ENDED MARCH 31, 2023			YEAR ENDED MARCH 31, 2022			YEAR ENDED MARCH 31, 2021			PERIOD ENDED MARCH 31, 2020
Net Asset Value, Beginning of Period	$	10.40		$	11.15		$	11.94		$	11.11		$	11.96
Income from Investment Operations:
Net investment income1		0.69			0.56			0.34			0.34			0.03
Net realized and unrealized gain (loss)		(0.10)			(0.74)			(0.66)			0.92			(0.85)
Total Income (Loss) from Investment Operations		0.59			(0.18)			(0.32)			1.26			(0.82)
Less Distributions:
From net investment income		(0.68)			(0.57)			(0.34)			(0.34)			(0.03)
From net capital gains		—			—			(0.13)			(0.09)			—
From tax return of capital		(0.01)			—			—			—			—
Total Distributions		(0.69)			(0.57)			(0.47)			(0.43)			(0.03)
Net Asset Value, End of Period	$	10.30		$	10.40		$	11.15		$	11.94		$	11.11
Total Return		5.93%			(1.50)%			(2.83)%			11.44%			(6.88)%2
Ratios/Supplemental Data:
Net Assets, end of period (in thousands)	$	397,728		$	352,297		$	120,524		$	63,815		$	933
Ratio of Expenses to Average Net Assets
Before expense waivers and reimbursements		0.70%4			0.70%			0.69%			0.69%			0.68%5
After expense waivers and reimbursements		0.70%			0.70%			0.69%			0.69%			0.68%5
Ratio of Net Investment Income to Average Net Assets
After expense waivers and reimbursements		6.73%			5.41%			2.87%			2.88%			4.06%5
Portfolio Turnover Rate		257%			223%			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  Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.69%.

⁵  Annualized.

See accompanying Notes to Financial Statements.

295 / Annual Report March 2024

Notes to Financial Statements

March 31, 2024

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 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 Sustainable Securitized Fund (the “Sustainable Securitized Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The AlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Corporate Bond Fund commenced investment operations on June 29, 2018 with Class M and Class I shares. The Flexible Income Fund commenced investment operations on November 30, 2018 with Class M and Class I shares. The Floating Rate Income Fund commenced investment operations on June 28, 2013 with Class M and Class I shares. The Plan Class was added on January 29, 2021. The High Yield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. The Intermediate Bond Fund commenced investment operations on June 28, 2002 with the Class I shares. Class M was added on June 30, 2003. 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 Sustainable Securitized Fund commenced investment operations on October 1, 2021 with Class M and Class I shares. 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 or exchange-traded funds (ETFs) that track the S&P 500 Index 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 at least 80% of its net assets, plus any borrowings for investment purposes, in a diversified portfolio of corporate debt instruments of varying maturities issued by U.S. and foreign corporations domiciled in developed market and emerging market countries. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from three to nine years.

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

The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long-term capital appreciation, by investing 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.

Annual Report March 2024 / 296

Notes to Financial Statements (Continued)

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 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 Sustainable Securitized Fund (formerly, ESG Securitized Fund) seeks to maximize current income and achieve above average long-term total return by investing 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 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.

2. SIGNIFICANT ACCOUNTING POLICIES

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

297 / Annual Report March 2024

Notes to Financial Statements (Continued)

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:

Pursuant to Rule 2a-5 under the 1940 Act, the Board of Trustees (the “Board” or the “Board of Trustees”) has designated the Adviser as the “valuation designee” with respect to the fair valuation of the Funds’ portfolio securities, subject to oversight by and periodic reporting to the Board. Fixed income securities for which market quotations are readily available were valued during the period at prices as provided by independent pricing vendors or broker quotes. The Funds received pricing information from independent pricing vendors selected and overseen by the valuation designee. 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 could not be valued as described above were valued at their fair value as determined by the Adviser in accordance with procedures approved by and under the general oversight of the Board.

Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported NAV of such investments.

Fair value methods used by the Adviser included, but were 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 could not be valued pursuant to one of the valuation methods used by the Adviser, the value of the security or asset was determined in good faith by the Adviser, as the valuation designee. When a Fund uses these fair valuation methods that use significant unobservable inputs to determine NAV, securities will be priced by a method that the Adviser believes accurately reflects 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 Funds’ policy is intended to result in a calculation of its NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Adviser would accurately reflect the price that a Fund 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 2024 / 298

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. TheAlphaTrak 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, 2024, 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.

299 / Annual Report March 2024

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 2024 / 300

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 marketplace. 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, 2024, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and credit default swaps.

301 / Annual Report March 2024

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, 2024 is as follows:

ALPHATRAK 500 FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	2,421,760	$	—	$	—	$	2,421,760
U.S. Treasury Bills		4,064,455		—		—		4,064,455
Long-Term Investments:
Asset-Backed Securities		—		4,241,082		—		4,241,082
Common Stock		—		—		20,774		20,774
Corporates		—		6,887,180		—		6,887,180
Mortgage-Backed Securities		—		8,068,851		22,357		8,091,208
Municipal Bonds		—		248,359		—		248,359
Mutual Funds		4,562,811		—		—		4,562,811
U.S. Treasury Securities		3,184,785		—		—		3,184,785
Other Financial Instruments*
Assets:
Futures Contracts   Equity Risk		541,043		—		—		541,043
Total	$	14,774,854	$	19,445,472	$	43,131	$	34,263,457
*Other financial instruments include futures.
CORPORATE BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	245,646	$	—	$	—	$	245,646
Long-Term Investments:
Asset-Backed Securities		—		—		33,144		33,144
Corporates		—		4,172,037		—		4,172,037
Mortgage-Backed Securities		—		26,216		518		26,734
Municipal Bonds		—		112,202		—		112,202
U.S. Treasury Securities		719,810		—		—		719,810
Other Financial Instruments*
Assets:
Swaps Agreements   Interest Rate Risk		—		898		—		898
Liabilities:
Futures Contracts   Interest Rate Risk		(3,497)		—		—		(3,497)
Total	$	961,959	$	4,311,353	$	33,662	$	5,306,974
*Other financial instruments include futures and swaps.

Annual Report March 2024 / 302

Notes to Financial Statements (Continued)

FLEXIBLE INCOME FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	36,240,686	$	—	$	—	$	36,240,686
U.S. Treasury Bills		45,313,134		—		—		45,313,134
Long-Term Investments:
Asset-Backed Securities		—		48,447,737		405,094		48,852,831
Bank Loans		—		16,927,858		—		16,927,858
Common Stock		253,319		—		297,049		550,368
Corporates		—		86,400,029		19,919		86,419,948
Foreign Government Obligations		—		4,716,576		—		4,716,576
Mortgage-Backed Securities		—		172,941,914		4,281,333		177,223,247
Municipal Bonds		—		696,231		—		696,231
U.S. Treasury Securities		21,838,598		—		—		21,838,598
Warrant		—		—		—		—
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts   Foreign Currency Risk		—		158,470		—		158,470
Futures Contracts Interest   Rate Risk		125,829		—		—		125,829
Liabilities:
Foreign Currency Exchange Contracts   Foreign Currency Risk		—		(16,097)		—		(16,097)
Futures Contracts   Interest Rate Risk		(370,795)		—		—		(370,795)
Total	$	103,400,771	$	330,272,718	$	5,003,395	$	438,676,884
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.

303 / Annual Report March 2024

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	$	20,330,056	$	—	$	—	$	20,330,056
U.S. Treasury Bills		4,673,676		—		—		4,673,676
Long-Term Investments:
Asset-Backed Securities		—		2,925,228		—		2,925,228
Bank Loans		—		274,726,868		1,899,654		276,626,522
Common Stock		—		—		260,230		260,230
Corporates		—		7,774,723		—		7,774,723
Preferred Stock		—		—		474,614		474,614
Unfunded Commitments Appreciation		—		1,817		—		1,817
Warrant		—		—		—		—
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts   Foreign Currency Risk		—		15,117		—		15,117
Liabilities:
Futures Contracts   Interest Rate Risk		(350)		—		—		(350)
Total	$	25,003,382	$	285,443,753	$	2,634,498	$	313,081,633
*Other financial instruments include foreign currency exchange contracts and futures.
HIGH YIELD BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	10,278,330	$	—	$	—	$	10,278,330
U.S. Treasury Bills		29,825,494		—		—		29,825,494
Long-Term Investments:
Bank Loans		—		72,083,707		—		72,083,707
Common Stock		587,250		—		2,034,867		2,622,117
Corporates		—		347,142,320		1,360		347,143,680
Unfunded Commitments Appreciation		—		1,478		—		1,478
Warrant		—		—		16		16
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		220,368		—		220,368
Futures Contracts
Interest Rate Risk		54,027		—		—		54,027
Liabilities:
Foreign Currency Exchange Contracts   Foreign Currency Risk		—		(3,114)		—		(3,114)
Futures Contracts   Interest Rate Risk		(96,663)		—		—		(96,663)
Total	$	40,648,438	$	419,444,759	$	2,036,243	$	462,129,440
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.

Annual Report March 2024 / 304

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	$	108,672,917	$	—	$	—	$	108,672,917
U.S. Treasury Bills		105,983,195		—		—		105,983,195
Long-Term Investments:
Asset-Backed Securities		—		56,239,343		1,694,031		57,933,374
Bank Loans		—		9,247,997		—		9,247,997
Common Stock		—		—		410,704		410,704
Corporates		—		195,534,310		—		195,534,310
Mortgage-Backed Securities		—		238,154,241		—		238,154,241
Municipal Bonds		—		7,920,584		—		7,920,584
U.S. Treasury Securities		435,656,789		—		—		435,656,789
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		441,417		—		441,417
Futures Contracts
Interest Rate Risk		151,066		—		—		151,066
Liabilities:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		(26,595)		—		(26,595)
Futures Contracts
Interest Rate Risk		(438,915)		—		—		(438,915)
Total	$	650,025,052	$	507,511,297	$	2,104,735	$	1,159,641,084
*Other financial instruments include foreign currency exchange contracts and futures.
INVESTMENT GRADE CREDIT FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	2,461,979	$	—	$	—	$	2,461,979
Long-Term Investments:
Asset-Backed Securities		—		1,286,298		29,461		1,315,759
Corporates		—		11,989,888		—		11,989,888
Mortgage-Backed Securities		—		6,848,240		1,738		6,849,978
Municipal Bonds		—		400,101		—		400,101
U.S. Treasury Securities		7,384,363		—		—		7,384,363
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		158		—		158
Futures Contracts
Interest Rate Risk		2,265		—		—		2,265
Swaps Agreements
Interest Rate Risk		—		805		—		805
Liabilities:
Futures Contracts
Interest Rate Risk		(17,129)		—		—		(17,129)
Total	$	9,831,478	$	20,525,490	$	31,199	$	30,388,167
*Other financial instruments include foreign currency exchange contracts, futures and swaps.

305 / Annual Report March 2024

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	$	153,817,800	$	—	$	—	$	153,817,800
U.S. Treasury Bills		53,183,967		—		—		53,183,967
Long-Term Investments:
Asset-Backed Securities		—		93,820,454		5,008,441		98,828,895
Bank Loans		—		18,924,071		—		18,924,071
Common Stock		—		—		—		—
Corporates		—		328,271,101		—		328,271,101
Mortgage-Backed Securities		—		699,674,213		3,175,417		702,849,630
Municipal Bonds		—		13,900,086		—		13,900,086
U.S. Treasury Securities		328,989,174		—		—		328,989,174
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		314,681		—		314,681
Futures Contracts
Interest Rate Risk		3,677		—		—		3,677
Liabilities:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		(24,869)		—		(24,869)
Futures Contracts
Interest Rate Risk		(2,050,474)		—		—		(2,050,474)
Total	$	533,944,144	$	1,154,879,737	$	8,183,858	$	1,697,007,739
*Other financial instruments include foreign currency exchange contracts and futures.
OPPORTUNISTIC HIGH INCOME CREDIT FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	211,191	$	—	$	—	$	211,191
U.S. Treasury Bills		149,293		—		—		149,293
Long-Term Investments:
Bank Loans		—		73,441		—		73,441
Common Stock		185,017		—		—		185,017
Corporates		—		592,174		4		592,178
Master Limited Partnerships		44,690		—		—		44,690
Mortgage-Backed Securities		—		154,285		12,869		167,154
U.S. Treasury Securities		96,720		—		—		96,720
Other Financial Instruments*
Assets:
Futures Contracts
Interest Rate Risk		208		—		—		208
Liabilities:
Futures Contracts
Interest Rate Risk		(914)		—		—		(914)
Total	$	686,205	$	819,900	$	12,873	$	1,518,978
*Other financial instruments include futures.

Annual Report March 2024 / 306

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	$	3,914,346	$	—	$	—	$	3,914,346
U.S. Treasury Bills		14,437,437		—		—		14,437,437
Long-Term Investments:
Asset-Backed Securities		—		11,116,422		98,071		11,214,493
Common Stock		44,550		—		28,004		72,554
Corporates		—		18,562,256		23		18,562,279
Mortgage-Backed Securities		—		35,978,649		335,654		36,314,303
Municipal Bonds		—		96,343		—		96,343
U.S. Treasury Securities		2,429,230		—		—		2,429,230
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		19,317		—		19,317
Futures Contracts
Interest Rate Risk		19,105		—		—		19,105
Swaps Agreements
Interest Rate Risk		—		1,830		—		1,830
Liabilities:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		(907)		—		(907)
Futures Contracts
Interest Rate Risk		(45,777)		—		—		(45,777)
Total	$	20,798,891	$	65,773,910	$	461,752	$	87,034,553
*Other financial instruments include foreign currency exchange contracts, futures and swaps.
SUSTAINABLE SECURITIZED FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	953,061	$	—	$	—	$	953,061
Long-Term Investments:
Asset-Backed Securities		—		1,207,984		—		1,207,984
Mortgage-Backed Securities		—		5,714,482		—		5,714,482
U.S. Treasury Securities		1,702,935		—		—		1,702,935
Other Financial Instruments*
Assets:
Futures Contracts
Interest Rate Risk		6,456		—		—		6,456
Liabilities:
Futures Contracts
Interest Rate Risk		(1,648)		—		—		(1,648)
Total	$	2,660,804	$	6,922,466	$	—	$	9,583,270
*Other financial instruments include futures.

307 / Annual Report March 2024

Notes to Financial Statements (Continued)

TOTAL RETURN BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	4,861,023,809	$	—	$	—	$	4,861,023,809
Repurchase Agreements		—		500,000,000		—		500,000,000
U.S. Agency Discount Notes		—		1,789,198,869		—		1,789,198,869
U.S. Treasury Bills		475,299,192		—		—		475,299,192
Long-Term Investments:
Asset-Backed Securities		—		2,580,487,061		53,913,791		2,634,400,852
Bank Loans		—		721,731,241		—		721,731,241
Common Stock		—		—		64,506,719		64,506,719
Corporates		—		9,968,553,723		3,030,429		9,971,584,152
Foreign Government Obligations		—		314,725,057		—		314,725,057
Mortgage-Backed Securities		—		27,226,314,440		370,866,545		27,597,180,985
Municipal Bonds		—		173,364,091		—		173,364,091
U.S. Treasury Securities		17,050,730,858		—		—		17,050,730,858
Unfunded Commitments Appreciation		—		294		—		294
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		28,523,362		—		28,523,362
Futures Contracts
Interest Rate Risk		6,494,198		—		—		6,494,198
Swaps Agreements
Interest Rate Risk		—		7,999,752		—		7,999,752
Liabilities:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		(5,864,378)		—		(5,864,378)
Futures Contracts
Interest Rate Risk		(32,139,701)		—		—		(32,139,701)
Reverse Repurchase Agreements		—		(1,501,250,000)		—		(1,501,250,000)
Total	$	22,361,408,356	$	41,803,783,512	$	492,317,484	$	64,657,509,352

*Other financial instruments include foreign currency exchange contracts, futures, reverse repurchase agreements and swaps.

Annual Report March 2024 / 308

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	$	6,453,535	$	—	$	—	$	6,453,535
U.S. Treasury Bills		5,980,246		—		—		5,980,246
Long-Term Investments:
Asset-Backed Securities		—		1,782,499		—		1,782,499
Corporates		—		11,319,103		—		11,319,103
Mortgage-Backed Securities		—		22,556,254		9,388		22,565,642
Municipal Bonds		—		183,681		—		183,681
U.S. Treasury Securities		17,091,979		1,930,164		—		19,022,143
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		13,987		—		13,987
Futures Contracts
Interest Rate Risk		26		—		—		26
Liabilities:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		(743)		—		(743)
Futures Contracts
Interest Rate Risk		(76,780)		—		—		(76,780)
Total	$	29,449,006	$	37,784,945	$	9,388	$	67,243,339

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

309 / Annual Report March 2024

Notes to Financial Statements (Continued)

UNCONSTRAINED BOND FUND	LEVEL 1		LEVEL 2		LEVEL 3		TOTAL
Investments in Securities
Assets:
Short-Term Investments:
Money Market Funds	$	99,638,865	$	—	$	—	$	99,638,865
U.S. Agency Discount Notes		—		19,862,387		—		19,862,387
U.S. Treasury Bills		172,732,815		—		—		172,732,815
Long-Term Investments:
Asset-Backed Securities		—		350,188,914		10,251,532		360,440,446
Bank Loans		—		82,444,479		—		82,444,479
Common Stock		5,773,355		—		3,799,346		9,572,701
Corporates		—		535,083,694		428,202		535,511,896
Foreign Government Obligations		—		47,386,059		—		47,386,059
Mortgage-Backed Securities		—		1,620,361,230		6,937,647		1,627,298,877
Municipal Bonds		—		8,190,904		—		8,190,904
U.S. Treasury Securities		20,957,277		—		—		20,957,277
Other Financial Instruments*
Assets:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		1,408,096		—		1,408,096
Futures Contracts
Interest Rate Risk		395,513		—		—		395,513
Swaps Agreements
Interest Rate Risk		—		247,333		—		247,333
Liabilities:
Foreign Currency Exchange Contracts
Foreign Currency Risk		—		(93,630)		—		(93,630)
Futures Contracts
Interest Rate Risk		(3,169,479)		—		—		(3,169,479)
Total	$	296,328,346	$	2,665,079,466	$	21,416,727	$	2,982,824,539

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

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.

Annual Report March 2024 / 310

Notes to Financial Statements (Continued)

For the year ended March 31, 2024, 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			TOTAL
Balance as of  April 1, 2023	$	20,072	$	29,904		$	49,976
Accrued discounts/premiums		—		(12,327	)		(12,327	)
Realized gain (loss)		—		—			—
Change in unrealized appreciation*		681		4,780			5,461
Purchases		21		—			21
Sales		—		—			—
Transfers into Level 3**		—		—			—
Transfers out of Level 3**		—		—			—
Balance as of  March 31, 2024	$	20,774	$	22,357		$	43,131

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $5,461 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, 2024.

CORPORATE BOND    FUND	ASSET-BACKED  SECURITIES			MORTGAGE- BACKED  SECURITIES			TOTAL
Balance as of  April 1, 2023	$	35,886		$	5,168		$	41,054
Accrued discounts/premiums		—			(2,994	)		(2,994	)
Realized gain (loss)		—			—			—
Change in unrealized (depreciation)*		(96	)		(1,656	)		(1,752	)
Purchases		—			—			—
Sales		(2,646	)		—			(2,646	)
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—
Balance as of  March 31, 2024	$	33,144		$	518		$	33,662

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $(1,752) 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, 2024.

311 / Annual Report March 2024

Notes to Financial Statements (Continued)

FLEXIBLE INCOME    FUND	ASSET-BACKED  SECURITIES			COMMON   STOCK		CORPORATES			MORTGAGE- BACKED  SECURITIES			WARRANT			TOTAL
Balance as of  April 1, 2023	$	438,609		$	286,780	$	69,795		$	3,404,250		$	—		$	4,199,434
Accrued discounts/premiums		—			—		6,045			(909,255	)		—			(903,210	)
Realized gain (loss)		—			—		(299,535	)		181			—			(299,354	)
Change in unrealized appreciation (depreciation)*		(1,177	)		9,779		110,495			79,748			(5,193	)		193,652
Purchases		—			490		22,988			1,744,818			—			1,768,296
Sales		(32,338	)		—		(50,094	)		(38,409	)		—			(120,841	)
Transfers into Level 3**		—			—		160,225			—			5,193			165,418
Transfers out of Level 3**		—			—		—			—			—			—
Balance as of  March 31, 2024	$	405,094		$	297,049	$	19,919		$	4,281,333		$	—		$	5,003,395

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $56,913 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, 2023, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2024, 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 $165,418 transferred from level 2 to level 3 in the disclosure hierarchy.

FLOATING RATE    INCOME FUND	BANK   LOANS			COMMON   STOCK		PREFERRED STOCK			WARRANT			TOTAL
Balance as of  April 1, 2023	$	2,042,197		$	251,212	$	—		$	—		$	2,293,409
Accrued discounts/premiums		38,393			—		—			—			38,393
Realized (loss)		(51,108	)		—		—			—			(51,108	)
Change in unrealized appreciation (depreciation)*		242,858			8,563		(223,183	)		(7,806	)		20,432
Purchases		777,431			455		697,797			—			1,475,683
Sales		(754,699	)		—		—			—			(754,699	)
Transfers into Level 3**		—			—		—			7,806			7,806
Transfers out of Level 3***		(395,418	)		—		—			—			(395,418	)
Balance as of  March 31, 2024	$	1,899,654		$	260,230	$	474,614		$	—		$	2,634,498

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $(168,366) 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, 2023, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2024, 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 $7,806 transferred from level 2 to level 3 in the disclosure hierarchy.

***Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of March 31, 2023, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2024, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $395,418 transferred from level 3 to level 2 in the disclosure hierarchy.

Annual Report March 2024 / 312

Notes to Financial Statements (Continued)

HIGH YIELD    BOND FUND	COMMON   STOCK			CORPORATES			CREDIT   DEFAULT   SWAPS			WARRANT			TOTAL
Balance as of  April 1, 2023	$	3,261,310		$	—		$	20,044		$	23		$	3,281,377
Accrued discounts/premiums		—			16,866			(14,328	)		—			2,538
Realized (loss)		(200,012	)		(2,085,010	)		—			—			(2,285,022	)
Change in unrealized appreciation (depreciation)*		442,572			188,256			(5,716	)		(9,811	)		615,301
Purchases		5,985			—			—			—			5,985
Sales		(1,474,988	)		(365,770	)		—			—			(1,840,758	)
Transfers into Level 3**		—			2,247,018			—			9,804			2,256,822
Transfers out of Level 3**		—			—			—			—			—
Balance as of  March 31, 2024	$	2,034,867		$	1,360		$	—		$	16		$	2,036,243

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $621,016 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, 2023, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2024, 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 $2,256,822 transferred from level 2 to level 3 in the disclosure hierarchy.

INTERMEDIATE    BOND FUND	ASSET-BACKED   SECURITIES			COMMON   STOCK		CREDIT   DEFAULT SWAPS			TOTAL
Balance as of  April 1, 2023	$	1,834,181		$	396,474	$	20,902		$	2,251,557
Accrued discounts/premiums		—			—		(14,988	)		(14,988	)
Realized gain (loss)		—			—		—			—
Change in unrealized appreciation (depreciation)*		(4,919	)		13,527		(5,914	)		2,694
Purchases		—			703		—			703
Sales		(135,231	)		—		—			(135,231	)
Transfers into Level 3**		—			—		—			—
Transfers out of Level 3**		—			—		—			—
Balance as of  March 31, 2024	$	1,694,031		$	410,704	$	—		$	2,104,735

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $8,608 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, 2024.

INVESTMENT GRADE    CREDIT FUND	ASSET-BACKED    SECURITIES			MORTGAGE- BACKED  SECURITIES			TOTAL
Balance as of  April 1, 2023	$	31,899		$	17,682		$	49,581
Accrued discounts/premiums		—			(5,260	)		(5,260	)
Realized gain (loss)		—			—			—
Change in unrealized (depreciation)*		(86	)		(10,684	)		(10,770	)
Purchases		—			—			—
Sales		(2,352	)		—			(2,352	)
Transfers into Level 3**		—			—			—
Transfers out of Level 3**		—			—			—
Balance as of  March 31, 2024	$	29,461		$	1,738		$	31,199

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $(10,770) 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, 2024.

313 / Annual Report March 2024

Notes to Financial Statements (Continued)

LOW DURATION    BOND FUND	ASSET-BACKED SECURITIES			CREDIT DEFAULT SWAPS			MORTGAGE- BACKED  SECURITIES			TOTAL
Balance as of  April 1, 2023	$	5,422,797		$	67,603		$	3,359,676		$	8,850,076
Accrued discounts/premiums		—			(48,325	)		(94,651	)		(142,976	)
Realized gain (loss)		—			—			—			—
Change in unrealized (depreciation)*		(14,544	)		(19,278	)		(89,608	)		(123,430	)
Purchases		—			—			—			—
Sales		(399,812	)		—			—			(399,812	)
Transfers into Level 3**		—			—			—			—
Transfers out of Level 3**		—			—			—			—
Balance as of  March 31, 2024	$	5,008,441		$	—		$	3,175,417		$	8,183,858

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $(104,152) 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, 2024.

OPPORTUNISTIC HIGH INCOME    CREDIT FUND	CORPORATES			MORTGAGE- BACKED  SECURITIES			TOTAL
Balance as of  April 1, 2023	$	—		$	16,821		$	16,821
Accrued discounts/premiums		11			(4,927	)		(4,916	)
Realized (loss)		(5,539	)		—			(5,539	)
Change in unrealized appreciation*		916			975			1,891
Purchases		—			—			—
Sales		(1,461	)		—			(1,461	)
Transfers into Level 3**		6,077			—			6,077
Transfers out of Level 3**		—			—			—
Balance as of  March 31, 2024	$	4		$	12,869		$	12,873

*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $1,891 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, 2023, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2024, 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 $6,077 transferred from level 2 to level 3 in the disclosure hierarchy.

Annual Report March 2024 / 314

Notes to Financial Statements (Continued)

STRATEGIC    INCOME FUND	ASSET-BACKED SECURITIES			COMMON   STOCK		CORPORATES			MORTGAGE- BACKED SECURITIES			TOTAL
Balance as of  April 1, 2023	$	104,763		$	27,066	$	—		$	326,465		$	458,294
Accrued discounts/premiums		190			—		330			207,005			207,525
Realized gain (loss)		—			—		(11,303	)		2,012			(9,291	)
Change in unrealized appreciation (depreciation)*		(2,472	)		917		(10,129	)		(197,362	)		(209,046	)
Purchases		—			21		—			—			21
Sales		(4,410	)		—		(2,080	)		(2,466	)		(8,956	)
Transfers into Level 3**		—			—		23,205			—			23,205
Transfers out of Level 3**		—			—		—			—			—
Balance as of  March 31, 2024	$	98,071		$	28,004	$	23		$	335,654		$	461,752
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $(209,046) 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, 2023, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2024, 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 $23,205 transferred from level 2 to level 3 in the disclosure hierarchy.

TOTAL RETURN    BOND FUND	ASSET-BACKED SECURITIES			BANK LOANS			COMMON STOCK		CORPORATES			CREDIT DEFAULT SWAPS			MORTGAGE- BACKED SECURITIES			TOTAL
Balance as of  April 1, 2023	$	25,670,562		$	4,371,966		$	62,266,334	$	2,954,705		$	201,952		$	379,572,729		$	475,038,248
Accrued discounts/premiums		(6,889,979	)		585			—		(18,879	)		(144,841	)		93,863			(6,959,251	)
Realized gain (loss)		—			(4,276,742	)		—		(10,630	)		—			72,756			(4,214,616	)
Change in unrealized appreciation (depreciation)*		4,584,517			2,136,514			2,125,557		204,798			(57,111	)		6,572,531			15,566,806
Purchases		32,441,332			766,560			114,828		—			—			—			33,322,720
Sales		(1,892,641	)		(2,998,883	)		—		(99,565	)		—			(15,445,334	)		(20,436,423	)
Transfers into Level 3**		—			—			—		—			—			—			—
Transfers out of Level 3**		—			—			—		—			—			—			—
Balance as of  March 31, 2024	$	53,913,791		$	—		$	64,506,719	$	3,030,429		$	—		$	370,866,545		$	492,317,484
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $13,487,400 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, 2024.

315 / Annual Report March 2024

Notes to Financial Statements (Continued)

ULTRA SHORT    BOND FUND	MORTGAGE- BACKED SECURITIES			TOTAL
Balance as of  April 1, 2023	$	11,884		$	11,884
Accrued discounts/premiums		(5,462	)		(5,462	)
Realized gain (loss)		—			—
Change in unrealized appreciation*		2,966			2,966
Purchases		—			—
Sales		—			—
Transfers into Level 3**		—			—
Transfers out of Level 3**		—			—
Balance as of  March 31, 2024	$	9,388		$	9,388
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $2,966 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, 2024.

UNCONSTRAINED  BOND FUND	ASSET-BACKED SECURITIES			BANK   LOANS			COMMON STOCK		CORPORATES			CREDIT DEFAULT SWAPS			MORTGAGE- BACKED SECURITIES			TOTAL
Balance as of  April 1, 2023	$	8,213,942		$	386,748		$	3,667,430	$	1,354,993		$	93,403		$	7,311,772		$	21,028,288
Accrued discounts/premiums		—			52			—		261,391			(66,973	)		84,936			279,406
Realized gain (loss)		—			(378,324	)		—		(3,622,598	)		—			2,450			(3,998,472	)
Change in unrealized appreciation (depreciation)*		(6,812	)		188,997			125,185		1,132,881			(26,430	)		58,615			1,472,436
Purchases		2,650,000			67,811			6,731		355,570			—			—			3,080,112
Sales		(605,598	)		(265,284	)		—		(507,219	)		—			(520,126	)		(1,898,227	)
Transfers into Level 3**		—			—			—		1,453,184			—			—			1,453,184
Transfers out of Level 3**		—			—			—		—			—			—			—
Balance as of  March 31, 2024	$	10,251,532		$	—		$	3,799,346	$	428,202		$	—		$	6,937,647		$	21,416,727
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2024 was $(1,209,706) 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, 2023, the Fund used significant observable inputs in determining the value of certain investments. As of March 31, 2024, 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 $1,453,184 transferred from level 2 to level 3 in the disclosure hierarchy.

Annual Report March 2024 / 316

Notes to Financial Statements (Continued)

Significant unobservable valuations inputs for Level 3 investments as of March 31, 2024, are as follows:

ALPHATRAK 500 FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Common Stock	$20,774	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
Mortgage-Backed
Securities-Non-Agency	$13,537	Third-Party Vendor	Vendor Prices	$1.12	$1.12	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$8,820	Third-Party Vendor	Vendor Prices	$0.02 - $1.48	$1.48	Increase
Mortgage-Backed Securities-
U.S. Agency Commercial	$—	Broker Quote	Offered Quote	$—	$—	Increase
CORPORATE BOND FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$33,144	Broker Quote	Offered Quote	$89.32	$89.32	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$518	Third-Party Vendor	Vendor Prices	$0.02 - $0.10	$0.09	Increase
FLEXIBLE INCOME FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$405,094	Broker Quote	Offered Quote	$89.32	$89.32	Increase
Common Stock	$297,049	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
Corporate Securities	$19,919	Third-Party Vendor	Vendor Prices	$0.09 - $11.75	$8.48	Increase
Mortgage-Backed
Securities-Non-Agency	$3,569,964	Third-Party Vendor	Vendor Prices	$0.00 - $9.99	$7.55	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$686,049	Broker Quote	Offered Quote	$97.70 - $99.90	$99.29	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$25,320	Third-Party Vendor	Vendor Prices	$0.10	$0.10	Increase
Warrant	$—	Broker Quote	Offered Quote	$—	$—	Increase
FLOATING RATE INCOME FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Bank Loans	$1,899,654	Third-Party Vendor	Vendor Prices	$55.00 - $99.25	$90.57	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$260,230	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
Preferred Stock	$474,614	Third-Party Vendor	Vendor Prices	$0.45	$0.45	Increase
Warrant	$—	Broker Quote	Offered Quote	$—	$—	Increase

317 / Annual Report March 2024

Notes to Financial Statements (Continued)

HIGH YIELD BOND FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$2,034,867	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
Corporate Securities	$1,360	Third-Party Vendor	Vendor Prices	$0.09	$0.09	Increase
Warrant	$—	Broker Quote	Offered Quote	$—	$—	Increase
Warrant	$16	Third-Party Vendor	Vendor Prices	$1.00	$1.00	Increase
INTERMEDIATE BOND    FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$1,694,031	Broker Quote	Offered Quote	$89.32	$89.32	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$410,704	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
INVESTMENT GRADE    CREDIT FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$29,461	Broker Quote	Offered Quote	$89.32	$89.32	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$1,738	Third-Party Vendor	Vendor Prices	$0.02 - $0.10	$0.10	Increase
LOW DURATION BOND    FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$5,008,441	Broker Quote	Offered Quote	$89.32	$89.32	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Mortgage-Backed
Securities-Non-Agency	$478,117	Third-Party Vendor	Vendor Prices	$1.13	$1.13	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$2,697,300	Broker Quote	Offered Quote	$99.90	$99.90	Increase
OPPORTUNISTIC HIGH    INCOME CREDIT FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Corporate Securities	$4	Third-Party Vendor	Vendor Prices	$0.09	$0.09	Increase
Mortgage-Backed
Securities-Non-Agency	$12,869	Third-Party Vendor	Vendor Prices	$5.90	$5.90	Increase

Annual Report March 2024 / 318

Notes to Financial Statements (Continued)

STRATEGIC INCOME FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$55,240	Broker Quote	Offered Quote	$89.32	$89.32	Increase
Asset-Backed Securities	$42,831	Third-Party Vendor	Vendor Prices	$10.20	$10.20	Increase
Common Stock	$28,004	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
Corporate Securities	$23	Third-Party Vendor	Vendor Prices	$0.09	$0.09	Increase
Mortgage-Backed
Securities-Non-Agency	$335,654	Third-Party Vendor	Vendor Prices	$4.65 - $10.70	$9.28	Increase
TOTAL RETURN BOND FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$47,873,035	Broker Quote	Offered Quote	$89.32 - $100.57	$95.00	Increase
Asset-Backed Securities	$6,040,756	Third-Party Vendor	Vendor Prices	$1.59	$1.59	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$64,506,719	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
Corporate Securities	$3,030,429	Third-Party Vendor	Vendor Prices	$102.27	$102.27	Increase
Mortgage-Backed
Securities-Non-Agency	$5,754,335	Third-Party Vendor	Vendor Prices	$0.85 - $96.81	$12.76	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$365,112,210	Broker Quote	Offered Quote	$97.70 - $99.90	$99.20	Increase
ULTRA SHORT BOND FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Mortgage-Backed
Securities-Non-Agency	$9,388	Third-Party Vendor	Vendor Prices	$1.12	$1.12	Increase
UNCONSTRAINED BOND FUND	FAIR VALUE AT 3/31/24	VALUATION TECHNIQUE*	UNOBSERVABLE INPUT	RANGE	WEIGHTED AVERAGE	INPUT TO VALUATION IF INPUT  INCREASES
Asset-Backed Securities	$10,251,532	Broker Quote	Offered Quote	$89.32 - $100.57	$92.24	Increase
Common Stock	$—	Broker Quote	Offered Quote	$—	$—	Increase
Common Stock	$3,799,346	Third-Party Vendor	Vendor Prices	$26.88	$26.88	Increase
Corporate Securities	$428,202	Third-Party Vendor	Vendor Prices	$0.09 - $11.75	$7.24	Increase
Mortgage-Backed
Securities-Non-Agency	$48,119	Third-Party Vendor	Vendor Prices	$0.50 - $4.65	$4.07	Increase
Mortgage-Backed Securities-
Non-Agency Commercial	$6,889,528	Broker Quote	Offered Quote	$97.70 - $99.90	$99.07	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.

319 / Annual Report March 2024

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, 2024:

	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, 2024:

	ASSET DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND		FLEXIBLE INCOME FUND		FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND		INTERMEDIATE BOND FUND
Equity contracts: Futures1	$	541,043	$	—	$	—	$	—	$	—	$	—
Interest contracts:
Futures1		—		—		125,829		—		54,027		151,066
Swaps		—		898		—		—		—		—
Foreign currency exchange contracts:
Forwards		—		—		158,470		15,117		220,368		441,417
Total	$	541,043	$	898	$	284,299	$	15,117	$	274,395	$	592,483
	ASSET DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND		LOW DURATION BOND FUND		OPPORTUNISTIC HIGH INCOME CREDIT FUND		STRATEGIC INCOME FUND		SUSTAINABLE SECURITIZED FUND		TOTAL RETURN  BOND FUND
Interest contracts:
Futures1	$	2,265	$	3,677	$	208	$	19,105	$	6,456	$	6,494,198
Swaps		805		—		—		1,830		—		7,999,752
Foreign currency exchange contracts:
Forwards		158		314,681		—		19,317		—		28,523,362
Total	$	3,228	$	318,358	$	208	$	40,252	$	6,456	$	43,017,312

Annual Report March 2024 / 320

Notes to Financial Statements (Continued)

	ASSET DERIVATIVE INVESTMENTS
		ULTRA SHORT BOND FUND		UNCONSTRAINED  BOND FUND
Interest contracts:
Futures1		$	26	$	395,513
Swaps			—		247,333
Foreign currency exchange contracts:
Forwards			13,987		1,408,096
Total		$	14,013	$	2,050,942

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

	LIABILITY DERIVATIVE INVESTMENTS
	ALPHATRAK 500 FUND		CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE  BOND FUND
Interest contracts:
Futures1	$	—	$	(3,497	)	$	(370,795	)	$	(350	)	$	(96,663	)	$	(438,915	)
Foreign currency exchange contracts:
Forwards		—		—			(16,097	)		—			(3,114	)		(26,595	)
Total	$	—	$	(3,497	)	$	(386,892	)	$	(350	)	$	(99,777	)	$	(465,510	)

				LIABILITY DERIVATIVE INVESTMENTS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			SUSTAINABLE SECURITIZED FUND			TOTAL RETURN  BOND FUND
Interest contracts:
Futures1	$	(17,129	)	$	(2,050,474	)	$	(914	)	$	(45,777	)	$	(1,648	)	$	(32,139,701	)
Foreign currency exchange contracts:
Forwards		—			(24,869	)		—			(907	)		—			(5,864,378	)
Total	$	(17,129	)	$	(2,075,343	)	$	(914	)	$	(46,684	)	$	(1,648	)	$	(38,004,079	)

	LIABILITY DERIVATIVE INVESTMENTS
		ULTRA SHORT			UNCONSTRAINED
		BOND FUND			BOND FUND
Interest contracts:
Futures1		$	(76,780	)	$	(3,169,479	)
Foreign currency exchange contracts:
Forwards			(743	)		(93,630	)
Total		$	(77,523	)	$	(3,263,109	)

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.

321 / Annual Report March 2024

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, 2024:

REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK  500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND		HIGH YIELD BOND FUND			INTERMEDIATE  BOND FUND
Credit contracts:
Swaps	$	—		$	—		$	—		$	—	$	75,949		$	30,438
Equity contracts:
Futures		6,433,475			—			—			—		—			—
Interest contracts:
Futures		—			(30,640	)		(722,661	)		—		(1,953,219	)		(7,692,820	)
Options and swaptions purchased1		—			—			—			—		—			—
Swaps		—			7,774			—			—		—			—
Foreign currency exchange contracts: Forwards		—			—			(45,604	)		—		(6,664	)		(65,484	)
Total	$	6,433,475		$	(22,866	)	$	(768,265	)	$	—	$	(1,883,934	)	$	(7,727,866	)
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND		SUSTAINABLE SECURITIZED FUND			TOTAL RETURN  BOND FUND
Credit contracts:
Swaps	$	—		$	76,700		$	—		$	—	$	—		$	1,082,954
Interest contracts:
Futures		(55,979	)		(4,242,472	)		(9,786	)		277,216		(67,460	)		(513,009,556	)
Options and swaptions purchased1		—			(939,000	)		—			—		—			—
Options and swaptions written		—			540,000			—			—		—			—
Swaps		6,932			—			—			15,916		—			47,500,945
Foreign currency exchange contracts:
Forwards		—			(96,529	)		—			654		(1,423	)		2,446,066
Total	$	(49,047	)	$	(4,661,301	)	$	(9,786	)	$	293,786	$	(68,883	)	$	(461,979,591	)

Annual Report March 2024 / 322

Notes to Financial Statements (Continued)

REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ULTRA SHORT  BOND FUND			UNCONSTRAINED BOND FUND
Credit contracts:
Swaps	$	6,309		$	216,518
Interest contracts:
Futures		353,161			6,486,601
Options and swaptions purchased1		—			—
Swaps		—			2,150,586
Foreign currency exchange contracts:
Forwards		(4,597	)		(201,537	)
Total	$	354,873		$	8,652,168

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

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE  INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Credit contracts:
Swaps	$	—		$	—		$	—		$	—		$	(15,927	)	$	(8,867	)
Equity contracts:
Futures		(1,182,472	)		—			—			—			—			—
Interest contracts:
Futures		—			(6,779	)		(1,342,270	)		(350	)		105,270			(3,169,611	)
Options and swaptions purchased1		—			—			—			—			—			—
Swaps		—			2,612			—			—			—			—
Foreign currency exchange contracts:
Forwards		—			—			185,050			15,117			251,280			529,276
Total	$	(1,182,472	)	$	(4,167	)	$	(1,157,220	)	$	14,767		$	340,623		$	(2,649,202	)
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			SUSTAINABLE SECURITIZED FUND			TOTAL RETURN BOND FUND
Credit contracts:
Swaps	$	—		$	(28,033	)	$	—		$	—		$	—		$	(212,172	)
Interest contracts:
Futures		(11,169	)		(4,450,800	)		(11,705	)		(21,149	)		(17,574	)		(177,599,074	)
Options and swaptions purchased1		—			937,524			—			—			—			—
Options and swaptions written		—			(539,997	)		—			—			—			—
Swaps		2,339			—			—			5,349			—			18,912,115
Foreign currency exchange contracts:
Forwards		158			404,188			—			20,816			3,724			33,469,580
Total	$	(8,672	)	$	(3,677,118	)	$	(11,705	)	$	5,016		$	(13,850	)	$	(125,429,551	)

323 / Annual Report March 2024

Notes to Financial Statements (Continued)

CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS
	ULTRA SHORT  BOND FUND			UNCONSTRAINED BOND FUND
Credit contracts:
Swaps	$	(997	)	$	(52,935	)
Interest contracts:
Futures		63,483			(604,218)
Options and swaptions purchased1		—			—
Swaps		—			721,509
Foreign currency exchange contracts:
Forwards		17,712			1,697,738
Total	$	80,198		$	1,762,094

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

AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	ALPHATRAK  500 FUND		CORPORATE  BOND FUND		FLEXIBLE  INCOME FUND		FLOATING RATE  INCOME FUND		HIGH YIELD  BOND FUND		INTERMEDIATE  BOND FUND
Financial futures contracts:
Average number of contracts purchased		116		14		1,378		—		633		2,045
Average number of contracts sold		—		5		408		1		88		188
Average value of contracts purchased	$	945,653	$	21,803	$	1,955,874	$	—	$	530,448	$	3,125,463
Average value of contracts sold	$	—	$	10,333	$	1,231,968	$	88	$	127,458	$	640,112
Credit default swaps:
Average number of contracts - sell protection		—		—		—		—		1		1
Average notional value - sell protection	$	—	$	—	$	—	$	—	$	1,997,500	$	577,500
Interest rate swaps:
Average number of contracts - receives fixed rate		—		1		—		—		—		—
Average notional - receives fixed rate	$	—	$	77	$	—	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		—		—		5		1		3		6
Average value of contracts sold	$	—	$	—	$	182,963	$	3,779	$	149,171	$	555,059

Annual Report March 2024 / 324

Notes to Financial Statements (Continued)

AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	INVESTMENT  GRADE CREDIT FUND		LOW DURATION  BOND FUND		OPPORTUNISTIC  HIGH INCOME CREDIT FUND		STRATEGIC  INCOME FUND		SUSTAINABLE  SECURITIZED FUND		TOTAL RETURN  BOND FUND
Financial futures contracts:
Average number of contracts purchased		35		5,327		6		137		16		98,306
Average number of contracts sold		14		3,816		1		51		3		7,048
Average value of contracts purchased	$	38,318	$	8,110,003	$	7,191	$	162,233	$	31,987	$	172,797,601
Average value of contracts sold	$	35,567	$	6,568,038	$	2,491	$	158,976	$	4,729	$	16,169,334
Credit default swaps:
Average number of contracts - sell protection		—		1		—		—		—		1
Average notional value - sell protection	$	—	$	1,712,500	$	—	$	—	$	—	$	30,332,500
Interest rate swaps:
Average number of contracts - receives fixed rate		1		—		—		1		—		2
Average notional - receives fixed rate	$	69	$	—	$	—	$	157	$	—	$	498,296
Purchased swaptions:
Average number of contracts		—		1		—		—		—		—
Average notional value	$	—	$	469,500	$	—	$	—	$	—	$	—
Written swaptions:
Average number of contracts		—		1		—		—		—		—
Average notional value	$	—	$	270,000	$	—	$	—	$	—	$	—
Foreign currency exchange contracts:
Average number of contracts sold		1		3		—		2		1		14
Average value of contracts sold	$	40	$	390,474	$	—	$	19,602	$	5,815	$	33,222,413

AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
	ULTRA SHORT BOND FUND		UNCONSTRAINED BOND FUND
Financial futures contracts:
Average number of contracts purchased		141		7,795
Average number of contracts sold		176		3,736
Average value of contracts purchased	$	212,966	$	10,462,845
Average value of contracts sold	$	285,185	$	10,720,658
Credit default swaps:
Average number of contracts - sell protection		1		1
Average notional value - sell protection	$	195,000	$	5,185,000
Interest rate swaps:
Average number of contracts - receives fixed rate		—		1
Average notional - receives fixed rate	$	—	$	21,164
Foreign currency exchange contracts:
Average number of contracts sold		3		7
Average value of contracts sold	$	19,367	$	1,659,602

¹Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2024.

325 / Annual Report March 2024

Notes to Financial Statements (Continued)

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 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.

Annual Report March 2024 / 326

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	1,223	$	—	$	(1,223	)	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	157,192	$	—	$	(11,149	)	$	146,043
Goldman Sachs International
Foreign Currency Exchange Contracts	$	55	$	—	$	—		$	55
Total	$	158,470	$	—	$	(12,372)		$	146,098

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	3,941	$	—	$	(1,223)	$	2,718
Citibank N.A.
Foreign Currency Exchange Contracts	$	11,149	$	—	$	(11,149)	$	—
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	1,007	$	—	$	—	$	1,007
Total	$	16,097	$	—	$	(12,372)	$	3,725

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	7,514	$	—	$	—	$	7,514
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	7,603	$	—	$	—	$	7,603
Total	$	15,117	$	—	$	—	$	15,117

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.

327 / Annual Report March 2024

Notes to Financial Statements (Continued)

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	5,000	$	—		$	(2,334)	$	2,666
Citibank N.A.
Foreign Currency Exchange Contracts	$	209,423	$	(208,643	)	$	(780)	$	—
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	5,945	$	—		$	—	$	5,945
Total	$	220,368	$	(208,643	)	$	(3,114)	$	8,611

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	2,334	$	—	$	(2,334)	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	780	$	—	$	(780)	$	—
Total	$	3,114	$	—	$	(3,114)	$	—

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 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, 2024:

	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
Citibank N.A.
Foreign Currency Exchange Contracts	$	438,855	$	(289,386	)	$	(14,458	)	$	135,011
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	2,562	$	—		$	(1,141	)	$	1,421
Total	$	441,417	$	(289,386	)	$	(15,599	)	$	136,432

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 2024 / 328

Notes to Financial Statements (Continued)

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	10,813	$	—	$	—		$	10,813
Citibank N.A.
Foreign Currency Exchange Contracts	$	14,458	$	—	$	(14,458)		$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	183	$	—	$	—		$	183
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	1,141	$	—	$	(1,141)		$	—
Total	$	26,595	$	—	$	(15,599	)	$	10,996

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 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, 2024:

	INVESTMENT GRADE CREDIT 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	$	158	$	—	$	—	$	158
Total	$	158	$	—	$	—	$	158

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

The following table presents Low Duration Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2024:

	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
Citibank N.A.
Foreign Currency Exchange Contracts	$	311,215	$	(141,385	)	$	—	$	169,830
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	3,466	$	—		$	—	$	3,466
Total	$	314,681	$	(141,385	)	$	—	$	173,296

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.

329 / Annual Report March 2024

Notes to Financial Statements (Continued)

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	24,869	$	—	$	—	$	24,869
Total	$	24,869	$	—	$	—	$	24,869

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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	1,284	$	—	$	(569	)	$	715
Citibank N.A.
Foreign Currency Exchange Contracts	$	18,033	$	—	$	(338	)	$	17,695
Total	$	19,317	$	—	$	(907	)	$	18,410

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 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, 2024:

	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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	569	$	—	$	(569	)	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	338	$	—	$	(338	)	$	—
Total	$	907	$	—	$	(907	)	$	—

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 2024 / 330

Notes to Financial Statements (Continued)

The following table presents Total Return Bond Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2024:

	TOTAL RETURN BOND FUND
COUNTERPARTY	GROSS DERIVATIVE LIABILITIES 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	$	21,980,352	$	(18,633,910)	$	(456,698)	$	2,889,744
Citibank N.A.
Foreign Currency Exchange Contracts	$	6,131,706	$	(4,851,241)	$	(1,003,467)	$	276,998
Goldman Sachs International
Foreign Currency Exchange Contracts	$	14,000	$	—	$	(14,000)	$	—
State Street Global Markets LLC
Foreign Currency Exchange Contracts	$	19,886	$	—	$	(19,886)	$	—
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	377,418	$	—	$	(158,484)	$	218,934
Total	$	28,523,362	$	(23,485,151)	$	(1,652,535)	$	3,385,676

¹Excess of collateral received for individual counterparty may not be shown for financial reporting purposes.

²Represents the net amount receivable from the counterparty in the event of default.

The following table presents Total Return Bond Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of March 31, 2024:

	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.
Foreign Currency Exchange Contracts	$	456,698	$	—	$	(456,698)	$	—
Barclays Bank PLC
Reverse Repurchase Agreements	$	1,501,250,000	$	(1,501,250,000)	$	—	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	1,003,467	$	—	$	(1,003,467)	$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	145,650	$	—	$	(14,000)	$	131,650
State Street Global Markets LLC
Foreign Currency Exchange Contracts	$	4,100,079	$	—	$	(19,886)	$	4,080,193
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	158,484	$	—	$	(158,484)	$	—
Total	$	1,507,114,378	$	(1,501,250,000)	$	(1,652,535)	$	4,211,843

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.

331 / Annual Report March 2024

Notes to Financial Statements (Continued)

The following table presents Ultra Short 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, 2024:

			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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	435	$	—	$	(435	)	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	13,552	$	—	$	—		$	13,552
Total	$	13,987	$	—	$	(435	)	$	13,552

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 Ultra Short 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, 2024:

			ULTRA SHORT 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.
Foreign Currency Exchange Contracts	$	743	$	—	$	(435	)	$	308
Total	$	743	$	—	$	(435	)	$	308

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 Unconstrained 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, 2024:

			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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	25,195	$	—		$	(25,195	)	$	—
Citibank N.A.
Foreign Currency Exchange Contracts	$	1,379,684	$	(1,215,464	)	$	(58,806	)	$	105,414
Goldman Sachs International
Foreign Currency Exchange Contracts	$	596	$	—		$	(596	)	$	—
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	2,621	$	—		$	(1,074	)	$	1,547
Total	$	1,408,096	$	(1,215,464	)	$	(85,671	)	$	106,961

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 2024 / 332

Notes to Financial Statements (Continued)

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, 2024:

			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
Bank of America N.A.
Foreign Currency Exchange Contracts	$	32,376	$	—	$	(25,195	)	$	7,181
Citibank N.A.
Foreign Currency Exchange Contracts	$	58,806	$	—	$	(58,806	)	$	—
Goldman Sachs International
Foreign Currency Exchange Contracts	$	1,374	$	—	$	(596	)	$	778
The Bank of New York Mellon
Foreign Currency Exchange Contracts	$	1,074	$	—	$	(1,074	)	$	—
Total	$	93,630	$	—	$	(85,671	)	$	7,959

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.

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.

333 / Annual Report March 2024

Notes to Financial Statements (Continued)

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, 2024, 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 approved by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.

The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.

The Funds may also sell a debt or equity security short, that is, without owning it, and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Corporate Bond Fund, Flexible Income Fund, High Yield Bond Fund, Investment Grade Credit Fund, Opportunistic High Income Credit Fund, Strategic Income Fund and Sustainable Securitized 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, 2024, 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

Annual Report March 2024 / 334

Notes to Financial Statements (Continued)

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, 2024, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, and the Unconstrained Bond Fund received in-kind payments with respect to PIK securities of $7,197, $102,993, $23,340, and $111,324, respectively.

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, 2024, the Total Return Bond Fund held repurchase agreements which made up 0.96% of net assets.

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 secured borrowings by the Fund for purposes of the percentage limitations applicable to borrowings in accordance with ASC 860, Transfers and Servicing. 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, 2024, was $472,147,049 and (0.61)%.

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, 2024, the Total Return Bond Fund held reverse repurchase agreements. These reverse repurchase agreements were pledged by counterparty with U.S. Treasury Obligations valued at $1,501,250,000. The contractual maturity of secured borrowings is within 30 days.

335 / Annual Report March 2024

Notes to Financial Statements (Continued)

As of March 31, 2024, 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
Barclays Bank PLC	$	1,501,250,000	$	(1,501,250,000	)	$	—
	$	1,501,250,000	$	(1,501,250,000	)	$	—

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 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

Annual Report March 2024 / 336

Notes to Financial Statements (Continued)

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, 2024, the Funds did not hold any options.

Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all of the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.

Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.

Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).

Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.

Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.

The Funds entered into credit default swap agreements to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. The buyer in a credit default contract is obligated to pay the seller a periodic stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If a Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may

337 / Annual Report March 2024

Notes to Financial Statements (Continued)

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, 2024, the Funds did not hold any credit default swaps.

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, 2024, the Funds did not hold any 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 and Mini S&P 500 Index futures contracts. When the above-listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.

The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR-based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.

As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps, is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At March 31, 2024, 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.

Annual Report March 2024 / 338

Notes to Financial Statements (Continued)

Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.

Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of a Fund’s investment portfolio, the greater the change in value.

Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage-related securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If an unanticipated rate of prepayment on underlying mortgages increases the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.

Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.

Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower-rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.

Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.

Mortgage-backed securities (“MBS”) and asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.). In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.

The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:

Sub Prime - Any asset-backed bond whose collateral was residential mortgages which were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.

339 / Annual Report March 2024

Notes to Financial Statements (Continued)

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.

LIBOR Risk: The London Interbank Offered Rate (“LIBOR”) was a leading 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. In July 2017, the United Kingdom’s Financial Conduct Authority (FCA), which regulates LIBOR, announced the gradual phase out of the LIBOR rate, with nearly all LIBOR rate publications having ceased as of June 30, 2023 (some LIBOR rates continue to be published, but only on a temporary and synthetic basis). Alternatives to LIBOR have been established and others may be developed. The U.S. Federal Reserve, in conjunction with the Alternative Reference Rates Committee, a steering committee comprised of large U.S. financial institutions, has identified the Secured Overnight Financial Rate (SOFR) as the preferred alternative rate to LIBOR. SOFR is a relatively new index calculated by short-term repurchase agreements, backed by Treasury securities. There remains uncertainty surrounding the nature of any replacement rates. The transition to a new reference rate may result in (i) increased volatility or illiquidity in markets for instruments or contracts that previously relied on or still rely on LIBOR, (ii) a reduction in the value of certain instruments or contracts held by a Fund, (iii) reduced effectiveness of related Fund transactions, such as hedging, (iv) additional tax, accounting and regulatory risks, or (v) costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to a Fund’s investments resulting from a substitute reference rate may also adversely affect a Fund’s performance and/or NAV. There is no assurance that the composition or characteristics of any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that instruments or contracts using an alternative rate will have the same volume or liquidity.

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, 2024, excluding U.S. government and short-term investments, were as follows:

PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	16,137,642	$	14,593,620
Corporate Bond Fund		1,156,124		3,289,250
Flexible Income Fund		118,641,443		105,026,660
Floating Rate Income Fund		240,009,572		280,915,362
High Yield Bond Fund		323,982,455		394,744,975
Intermediate Bond Fund		149,876,936		211,187,146
Investment Grade Credit Fund		12,509,429		3,006,072
Low Duration Bond Fund		194,201,665		706,896,003
Opportunistic High Income Credit Fund		597,854		1,453,265
Strategic Income Fund		19,918,843		16,158,591
Sustainable Securitized Fund		3,776,832		4,506,388
Total Return Bond Fund		5,669,181,520		17,690,625,792
Ultra Short Bond Fund		10,746,679		46,721,418
Unconstrained Bond Fund		504,755,703		1,019,123,528

Annual Report March 2024 / 340

Notes to Financial Statements (Continued)

Investment transactions in U.S. government securities for the year ended March 31, 2024 were as follows:

PORTFOLIO	PURCHASES		SALES
AlphaTrak 500 Fund	$	51,105,877	$	47,017,794
Corporate Bond Fund		6,567,622		6,313,968
Flexible Income Fund		1,060,858,277		1,033,720,042
High Yield Bond Fund		34,340,290		34,355,682
Intermediate Bond Fund		5,404,633,554		5,356,092,644
Investment Grade Credit Fund		75,894,038		67,925,102
Low Duration Bond Fund		7,585,842,037		7,594,792,202
Opportunistic High Income Credit Fund		366,653		277,349
Strategic Income Fund		160,875,665		156,368,000
Sustainable Securitized Fund		21,547,438		21,770,706
Total Return Bond Fund		297,754,509,166		297,976,580,711
Ultra Short Bond Fund		433,758,601		471,975,258
Unconstrained Bond Fund		7,312,768,766		7,380,262,001

There were no purchases or sales of securities from affiliated investment accounts for the year ended March 31, 2024. These trades are in accordance with the provisions set forth in Section 17(a)-7 of the 1940 Act.

Investment transactions in the shares of affiliated issuers for the year ended March 31, 2024 were as follows:

	VALUE AT BEGINNING OF YEAR			SALES		DIVIDEND/ INTEREST		VALUE AT END OF YEAR		SHARES HELD AT END OF YEAR		REALIZED GAIN (LOSS)		CHANGE IN UNREALIZED APPRECIATION
High Yield Bond Fund
Homer City Holdings LLC		$—	$—		$—		$—		$—		502,908		$—		$—
Total Return Bond Fund
Homer City Holdings LLC		$—	$—		$—		$—		$—		1,180,703		$—		$—

6. INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS

As compensation for advisory services, the Adviser charges the AlphaTrak 500 Fund, the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Opportunistic High Income Credit Fund, the Strategic Income Fund, the Sustainable Securitized 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%, 0.65%, 0.40%, 0.35%, 0.25% and 0.65%, respectively, of each Fund’s average daily net assets.

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.

341 / Annual Report March 2024

Notes to Financial Statements (Continued)

Investment advisory fees and related contractual expense limitations for the year ended March 31, 2024, 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%	N/A	N/A	N/A	N/A	0.45%	N/A	N/A	N/A	N/A
Corporate Bond Fund	0.40%	0.40%	N/A	N/A	N/A	0.75%	0.50%	N/A	N/A	N/A
Flexible Income Fund	0.45%	0.45%	N/A	N/A	N/A	0.80%	0.55%	N/A	N/A	N/A
Floating Rate Income Fund	0.55%	0.55%	N/A	N/A	0.55%	0.90%	0.70%	N/A	N/A	0.60%
High Yield Bond Fund	0.50%	0.50%	N/A	N/A	N/A	0.85%	0.60%	N/A	N/A	N/A
Intermediate Bond Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Investment Grade Credit Fund	0.35%	0.35%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Low Duration Bond Fund	0.30%	0.30%	N/A	0.30%	N/A	0.63%	0.44%	N/A	0.83%	N/A
Opportunistic High Income Credit Fund	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%	0.65%	N/A	N/A	N/A	1.04%	0.80%	N/A	N/A	N/A
Sustainable Securitized Fund	0.40%	0.40%	N/A	N/A	N/A	0.70%	0.49%	N/A	N/A	N/A
Total Return Bond Fund	0.35%	0.35%	0.35%	0.35%	0.35%	0.70%	0.49%	0.54%	0.90%	0.39%
Ultra Short Bond Fund	0.25%	0.25%	N/A	N/A	N/A	0.50%	0.34%	N/A	N/A	N/A
Unconstrained Bond Fund	0.65%	0.65%	N/A	N/A	0.65%	1.04%	0.80%	N/A	N/A	0.70%

¹The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2024, unless approved by the Board.

At March 31, 2024, the balance of recoupable expenses with expiration dates for the Funds were as follows:

PORTFOLIO	2025		2026		2027		TOTAL
AlphaTrak 500 Fund	$	—	$	270,246	$	224,890	$	495,136
Corporate Bond Fund		257,575		293,711		217,007		768,293
Flexible Income Fund		441,229		471,234		446,297		1,358,760
Floating Rate Income Fund		14,896		16,938		11,906		43,740
High Yield Bond Fund		145,095		130,452		135,512		411,059
Intermediate Bond Fund		62		3,695		1,163		4,920
Investment Grade Credit Fund		264,265		293,818		239,989		798,072
Opportunistic High Income Credit Fund		96,407		250,735		223,986		571,128
Strategic Income Fund		566,609		339,161		312,702		1,218,472
Sustainable Securitized Fund		67,666		262,567		238,549		568,782
Ultra Short Bond Fund		355,828		326,076		259,120		941,024
Unconstrained Bond Fund		—		1,748		—		1,748
Total	$	2,209,632	$	2,660,381	$	2,311,121	$	7,181,134

Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $150,000 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 receives an annual retainer of $60,000. The respective chairman of the Audit Committee and the Nominating and Governance Committee each receives an additional annual retainer of $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.

7. SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN

The Trust has a Share Marketing Plan (or the “12b-1 Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Corporate Bond Fund, the Flexible Income Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Opportunistic High Income Credit Fund, the Strategic Income Fund, the Sustainable Securitized 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.

Annual Report March 2024 / 342

Notes to Financial Statements (Continued)

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, 2024. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2024, 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 Floating Rate Income Fund, High Yield Bond Fund and Total Return Bond Fund had the following unfunded commitments and unrealized gain by investment as of March 31, 2024:

FLOATING RATE INCOME FUND  UNFUNDED COMMITMENTS	MATURITY		AMOUNT			UNREALIZED GAIN
Osmosis Buyer Ltd., Term Loan B, 1st Lien		July 2028		$	41,278		$	235
Action Environmental Group, Inc. (The), Delayed-Draw Term Loan, 1st Lien		October 2030			102,855			986
Ryan LLC, Delayed-Draw Term Loan, 1st Lien		November 2030			95,834			596
Total Unfunded Commitments				$	239,967		$	1,817
HIGH YIELD BOND FUND  UNFUNDED COMMITMENTS	MATURITY		AMOUNT			UNREALIZED GAIN
Osmosis Buyer Ltd., Term Loan B, 1st Lien		July 2028		$	154,795		$	882
Ryan LLC, Delayed-Draw Term Loan, 1st Lien		November 2030			95,834			596
Total Unfunded Commitments				$	250,629		$	1,478
TOTAL RETURN BOND FUND  UNFUNDED COMMITMENTS	MATURITY		AMOUNT			UNREALIZED GAIN
Osmosis Buyer Ltd., Term Loan B, 1st Lien		July 2028		$	51,598		$	294
Total Unfunded Commitments				$	51,598		$	294

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.

343 / Annual Report March 2024

Notes to Financial Statements (Continued)

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, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year						2,934,340		3,928,208
Shares sold						307,640		169,686
Shares issued through reinvestment of distributions						112,162		149,894
Shares redeemed						(889,447)		(1,313,448)
Net (decrease) in fund shares						(469,645)		(993,868)
Shares outstanding at end of year						2,464,695		2,934,340
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		475,695		568,258		317,762		701,050
Shares sold		16,293		116,264		36,749		24,849
Shares issued through reinvestment of distributions		12,980		15,926		10,584		15,050
Shares redeemed		(192,290)		(224,753)		(100,399)		(423,187)
Net (decrease) in fund shares		(163,017)		(92,563)		(53,066)		(383,288)
Shares outstanding at end of year		312,678		475,695		264,696		317,762
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		6,211,930		3,651,661		35,657,009		20,317,792
Shares sold		3,118,196		5,112,956		14,992,551		28,619,685
Shares issued through reinvestment of distributions		477,131		409,001		2,842,909		2,158,115
Shares redeemed		(3,376,299)		(2,961,688)		(13,621,728)		(15,438,583)
Net increase in fund shares		219,028		2,560,269		4,213,732		15,339,217
Shares outstanding at end of year		6,430,958		6,211,930		39,870,741		35,657,009
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		1,184,024		1,737,330		35,353,243		48,557,554
Shares sold		624,265		429,534		3,927,446		7,854,538
Shares issued through reinvestment of distributions		88,139		80,718		2,384,221		2,176,860
Shares redeemed		(892,970)		(1,063,558)		(10,827,620)		(23,235,709)
Net (decrease) in fund shares		(180,566)		(553,306)		(4,515,953)		(13,204,311)
Shares outstanding at end of year		1,003,458		1,184,024		30,837,290		35,353,243

Annual Report March 2024 / 344

Notes to Financial Statements (Continued)

					FLOATING RATE INCOME FUND
					PLAN CLASS		PLAN CLASS
					YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year						11		10
Shares sold						1,064		—
Shares issued through reinvestment of distributions						54		1
Net increase in fund shares						1,118		1
Shares outstanding at end of year						1,129		11
	HIGH YIELD BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		14,711,106		16,894,728		39,596,938		54,977,626
Shares sold		3,165,323		5,223,122		12,622,005		21,306,338
Shares issued through reinvestment of distributions		842,006		848,748		2,250,448		2,218,309
Shares redeemed		(6,721,319)		(8,255,492)		(16,077,187)		(38,905,335)
Net (decrease) in fund shares		(2,713,990)		(2,183,622)		(1,204,734)		(15,380,688)
Shares outstanding at end of year		11,997,116		14,711,106		38,392,204		39,596,938
	INTERMEDIATE BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		2,200,742		2,450,422		91,699,168		76,102,332
Shares sold		569,844		715,696		32,905,385		48,199,978
Shares issued through reinvestment of distributions		82,972		68,103		3,833,163		2,450,385
Shares redeemed		(945,859)		(1,033,479)		(26,568,377)		(35,053,527)
Net increase (decrease) in fund shares		(293,043)		(249,680)		10,170,171		15,596,836
Shares outstanding at end of year		1,907,699		2,200,742		101,869,339		91,699,168
	INVESTMENT GRADE CREDIT FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		386,999		259,570		933,323		992,802
Shares sold		604,265		170,204		2,122,752		333,416
Shares issued through reinvestment of distributions		28,184		25,100		65,011		73,219
Shares redeemed		(235,277)		(67,875)		(449,515)		(466,114)
Net increase (decrease) in fund shares		397,172		127,429		1,738,248		(59,479)
Shares outstanding at end of year		784,171		386,999		2,671,571		933,323
	LOW DURATION BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		35,993,593		55,362,416		178,166,430		235,428,672
Shares sold		2,905,784		11,354,337		27,907,420		80,958,050
Shares issued through reinvestment of distributions		972,473		1,400,421		5,637,166		5,451,820
Shares redeemed		(21,411,155)		(32,123,581)		(77,333,453)		(143,672,112)
Net (decrease) in fund shares		(17,532,898)		(19,368,823)		(43,788,867)		(57,262,242)
Shares outstanding at end of year		18,460,695		35,993,593		134,377,563		178,166,430

345 / Annual Report March 2024

Notes to Financial Statements (Continued)

					LOW DURATION BOND FUND
					ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS
					YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year						72		154,242
Shares sold						954		31,293
Shares issued through reinvestment of distributions						22		1,504
Shares redeemed						(67)		(186,967)
Net increase (decrease) in fund shares						909		(154,170)
Shares outstanding at end of year						981		72
	OPPORTUNISTIC HIGH INCOME CREDIT FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		41,554		7,782		232,805		330,792
Shares sold		40,005		70,852		2,649		65,689
Shares issued through reinvestment of distributions		2,148		2,344		15,929		32,804
Shares redeemed		(48,839)		(39,424)		(91,358)		(196,480)
Net increase (decrease) in fund shares		(6,686)		33,772		(72,780)		(97,987)
Shares outstanding at end of year		34,868		41,554		160,025		232,805
	STRATEGIC INCOME FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		8,125,761		2,439,193		2,492,168		1,351,121
Shares sold		1,097,738		6,912,813		2,098,801		2,020,509
Shares issued through reinvestment of distributions		616,658		400,592		229,781		175,122
Shares redeemed		(1,372,863)		(1,626,837)		(1,106,308)		(1,054,584)
Net increase in fund shares		341,533		5,686,568		1,222,274		1,141,047
Shares outstanding at end of year		8,467,294		8,125,761		3,714,442		2,492,168
	SUSTAINABLE SECURITIZED FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023		YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		5,958		1,738		989,282		1,137,535
Shares sold		6,763		4,755		207,789		340,886
Shares issued through reinvestment of distributions		265		92		48,921		37,255
Shares redeemed		(7,731)		(627)		(321,880)		(526,394)
Net increase (decrease) in fund shares		(703)		4,220		(65,170)		(148,253)
Shares outstanding at end of year		5,255		5,958		924,112		989,282

Annual Report March 2024 / 346

Notes to Financial Statements (Continued)

	TOTAL RETURN BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023		YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		694,341,407		609,964,109		4,139,805,317		4,611,465,986
Shares sold		101,926,092		383,552,935		918,263,351		1,136,670,438
Shares issued through reinvestment of distributions		22,015,920		19,723,265		151,631,718		127,328,940
Shares redeemed		(394,234,210)		(318,898,902)		(1,763,055,510)		(1,735,660,047)
Net increase (decrease) in fund shares		(270,292,198)		84,377,298		(693,160,441)		(471,660,669)
Shares outstanding at end of year		424,049,209		694,341,407		3,446,644,876		4,139,805,317

	TOTAL RETURN BOND FUND
	CLASS I-2		CLASS I-2
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		11,005,199		16,736,662
Shares sold		3,715,544		8,077,028
Shares issued through reinvestment of distributions		410,856		490,417
Shares redeemed		(7,625,683)		(14,298,908)
Net (decrease) in fund shares		(3,499,283)		(5,731,463)
Shares outstanding at end of year		7,505,916		11,005,199

	TOTAL RETURN BOND FUND
	ADMINISTRATIVE CLASS		ADMINISTRATIVE CLASS		PLAN CLASS		PLAN CLASS
	YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023		YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		166,912,987		192,601,234		2,026,068,357		2,324,492,622
Shares sold		27,690,579		31,195,068		406,168,066		338,504,144
Shares issued through reinvestment of distributions		5,773,993		5,128,907		81,918,613		67,148,068
Shares redeemed		(68,433,377)		(62,012,222)		(645,803,513)		(704,076,477)
Net (decrease) in fund shares		(34,968,805)		(25,688,247)		(157,716,834)		(298,424,265)
Shares outstanding at end of year		131,944,182		166,912,987		1,868,351,523		2,026,068,357

	ULTRA SHORT BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023		YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		4,875,363		9,455,483		24,795,459		37,852,952
Shares sold		242,055		822,824		2,559,728		15,775,043
Shares issued through reinvestment of distributions		149,246		151,914		700,819		585,925
Shares redeemed		(2,108,951)		(5,554,858)		(18,835,915)		(29,418,461)
Net (decrease) in fund shares		(1,717,650)		(4,580,120)		(15,575,368)		(13,057,493)
Shares outstanding at end of year		3,157,713		4,875,363		9,220,091		24,795,459

347 / Annual Report March 2024

Notes to Financial Statements (Continued)

	UNCONSTRAINED BOND FUND
	CLASS M		CLASS M		CLASS I		CLASS I
	YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023		YEAR ENDED  MARCH 31, 2024		YEAR ENDED  MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		15,381,585		19,230,240		226,158,098		326,977,316
Shares sold		2,154,982		2,686,340		66,379,966		97,731,807
Shares issued through reinvestment of distributions		926,172		864,124		9,994,952		10,194,594
Shares redeemed		(4,717,241)		(7,399,119)		(104,984,028)		(208,745,619)
Net (decrease) in fund shares		(1,636,087)		(3,848,655)		(28,609,110)		(100,819,218)
Shares outstanding at end of year		13,745,498		15,381,585		197,548,988		226,158,098

	UNCONSTRAINED BOND FUND
	PLAN CLASS		PLAN CLASS
	YEAR ENDED MARCH 31, 2024		YEAR ENDED MARCH 31, 2023
Change in Fund shares:
Shares outstanding at beginning of year		33,873,600		10,805,285
Shares sold		2,758,702		22,518,298
Shares issued through reinvestment of distributions		2,492,578		1,610,878
Shares redeemed		(504,214)		(1,060,861)
Net increase in fund shares		4,747,066		23,068,315
Shares outstanding at end of year		38,620,666		33,873,600

10. SECURED BORROWINGS

The contractual maturity of secured borrowings and type of collateral pledged as of March 31, 2024, 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	$	—	$	1,501,250,000	$	—	$	—	$	1,501,250,000
	Total borrowings		$	—	$	1,501,250,000	$	—	$	—	$	1,501,250,000

11. FEDERAL TAX INFORMATION

Capital Loss Carryforwards:

At March 31, 2024, 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*
AlphaTrak 500 Fund	$	4,693,551	$	—	$	—
Corporate Bond Fund		—		415,192		1,277,596
Flexible Income Fund		—		7,458,070		12,613,751
Floating Rate Income Fund		—		2,450,066		17,873,158
High Yield Bond Fund		—		35,125,757		59,819,642
Intermediate Bond Fund		—		71,039,833		22,708,450
Investment Grade Credit Fund		—		926,372		837,187
Low Duration Bond Fund		—		125,906,896		67,837,058
Opportunistic High Income Credit Fund		—		224,425		398,457
Strategic Income Fund		—		907,781		3,880,909
Sustainable Securitized Fund		—		431,669		1,031,647
Total Return Bond Fund		—		7,378,995,390		4,009,125,319
Ultra Short Bond Fund		—		7,192,997		5,493,662
Unconstrained Bond Fund		—		105,614,754		93,619,253

* Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment.

Annual Report March 2024 / 348

Notes to Financial Statements (Continued)

Tax Basis of Distributable Income:

As of March 31, 2024, the components of accumulated earnings (accumulated losses) on a tax basis were as follows:

		ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
	Undistributed ordinary income (inclusive of short-term gains)	$	82,635		$	533		$	—		$	671,369		$	2,925,302		$	923,620
	Undistributed long-term gains		134,255			—			—			—			—			—
	Other temporary differences		(177	)		(270	)		(81,977	)		(520,482	)		(407,701	)		(471,568)
	Accumulated capital loss carryforwards and post- October losses		—			(1,817,448	)		(20,079,848	)		(22,106,088	)		(100,601,386	)		(93,748,283)
	Net unrealized appreciation (depreciation)		141,143			(706,962	)		(35,466,056	)		(2,926,054	)		(38,949,724	)		(11,491,275)
	Total accumulated earnings (losses)	$	357,856		$	(2,524,147	)	$	(55,627,881	)	$	(24,881,255	)	$	(137,033,509	)	$	(104,787,506)
		INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			SUSTAINABLE SECURITIZED FUND			TOTAL RETURN BOND FUND
	Undistributed ordinary income (inclusive of short-term gains)	$	274		$	799,885		$	—		$	222,255		$	—		$	23,220,802
	Undistributed long-term gains		—			—			—			—			—			—
	Other temporary differences		(333	)		(503,105	)		286			(1,633	)		—			(12,075,245	)
	Accumulated capital loss carryforwards and post-
	October losses		(2,073,601	)		(193,743,954	)		(655,910	)		(4,928,361	)		(1,463,316	)		(11,388,120,709	)
	Net unrealized appreciation (depreciation)		(1,363,006	)		(22,673,025	)		(171,789	)		(6,813,368	)		(395,151	)		(2,519,930,895	)
	Total accumulated earnings (losses)	$	(3,436,666	)	$	(216,120,199	)	$	(827,413	)	$	(11,521,107	)	$	(1,858,467	)	$	(13,896,906,047	)

349 / Annual Report March 2024

Notes to Financial Statements (Continued)

	ULTRA SHORT BOND FUND			UNCONSTRAINED  BOND FUND
Undistributed ordinary income (inclusive of short-term gains)	$	83,015		$	—
Undistributed long-term gains		—			—
Other temporary differences		(951)			(2,325,905)
Accumulated capital loss carryforwards and post-October losses		(12,686,659)			(211,757,963)
Net unrealized appreciation (depreciation)		(698,599)			(352,833,121)
Total accumulated earnings (losses)	$	(13,303,194)		$	(566,916,989)

Permanent differences incurred during the fiscal year ended March 31, 2024, 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	$	2,064	$	(2,064	)

The permanent differences are due to non-deductible expenses and taxable over distributions.

Tax Basis of Distributions to Shareholders:

	ALPHATRAK 500 FUND						CORPORATE BOND FUND
	MARCH 31, 2024			MARCH 31, 2023			MARCH 31, 2024			MARCH 31, 2023
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	1,228,636		$	888,057		$	216,869		$	283,604
Net long-term capital gains		—			537,219			—			—
Total taxable distributions	$	1,228,636		$	1,425,276		$	216,869		$	283,604
	FLEXIBLE INCOME FUND						FLOATING RATE INCOME FUND
	MARCH 31, 2024			MARCH 31, 2023			MARCH 31, 2024			MARCH 31, 2023
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	26,860,706		$	22,045,745		$	29,757,265		$	25,266,781
Total taxable distributions	$	26,860,706		$	22,045,745		$	29,757,265		$	25,266,781
	HIGH YIELD BOND FUND						INTERMEDIATE BOND FUND
	MARCH 31, 2024			MARCH 31, 2023			MARCH 31, 2024			MARCH 31, 2023
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	33,524,300		$	31,729,934		$	41,555,931		$	26,787,772
Total taxable distributions	$	33,524,300		$	31,729,934		$	41,555,931		$	26,787,772
	INVESTMENT GRADE CREDIT FUND						LOW DURATION BOND FUND
	MARCH 31, 2024			MARCH 31, 2023			MARCH 31, 2024			MARCH 31, 2023
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	720,676		$	770,112		$	62,279,679		$	61,930,890
Return of Capital		—			24,661			—			—
Total taxable distributions	$	720,676		$	794,773		$	62,279,679		$	61,930,890

Annual Report March 2024 / 350

Notes to Financial Statements (Continued)

	OPPORTUNISTIC HIGH INCOME CREDIT FUND						STRATEGIC INCOME FUND
	MARCH 31, 2024			MARCH 31, 2023			MARCH 31, 2024			MARCH 31, 2023
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	142,390		$	270,955		$	5,299,041		$	3,713,024
Return of Capital		—			7,781			—			—
Total taxable distributions	$	142,390		$	278,736		$	5,299,041		$	3,713,024
	SUSTAINABLE SECURITIZED FUND						TOTAL RETURN BOND FUND
	MARCH 31, 2024			MARCH 31, 2023			MARCH 31, 2024			MARCH 31, 2023
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	365,955		$	324,338		$	2,515,216,896		$	2,163,571,272
Return of Capital		40,424			—			—			—
Total taxable distributions	$	406,379		$	324,338		$	2,515,216,896		$	2,163,571,272
	ULTRA SHORT BOND FUND						UNCONSTRAINED BOND FUND
	MARCH 31, 2024			MARCH 31, 2023			MARCH 31, 2024			MARCH 31, 2023
Distributions from:
Ordinary income (inclusive of short-term capital gains)	$	3,495,122		$	3,041,991		$	178,292,972		$	170,616,814
Return of Capital		—			—			1,643,452			—
Total taxable distributions	$	3,495,122		$	3,041,991		$	179,936,424		$	170,616,814

Tax Cost

As of March 31, 2024, gross unrealized appreciation (depreciation) based on cost for federal income tax purposes were as follows:

		ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
	Tax Cost	$	33,581,271		$	6,017,433		$	474,247,134		$	315,999,120		$	500,906,693		$	1,171,004,929
	Gross unrealized appreciation		917,364			40,789			6,893,451			3,334,929			9,024,943			5,519,589
	Gross unrealized (depreciation)		(776,221	)		(748,649	)		(42,361,108	)		(6,269,000	)		(47,978,292	)		(17,010,407	)
	Net unrealized appreciation (depreciation)	$	141,143		$	(707,860	)	$	(35,467,657	)	$	(2,934,071	)	$	(38,953,349	)	$	(11,490,818	)
		INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			SUSTAINABLE SECURITIZED FUND			TOTAL RETURN BOND FUND
	Tax Cost	$	31,765,879		$	1,721,436,358		$	1,691,473		$	93,846,795		$	9,973,615		$	68,682,453,807
	Gross unrealized appreciation		154,419			7,150,199			105,034			1,316,918			89,706			335,239,467
	Gross unrealized (depreciation)		(1,518,230	)		(29,821,833	)		(276,823	)		(8,122,728	)		(484,859	)		(2,863,947,449	)
	Net unrealized appreciation (depreciation)	$	(1,363,811)		$	(22,671,634)		$	(171,789	)	$	(6,805,810	)	$	(395,153	)	$	(2,528,707,982	)
														ULTRA SHORT BOND FUND			UNCONSTRAINED BOND FUND
	Tax Cost													$	68,005,399		$	3,337,137,514
	Gross unrealized appreciation														220,819			34,156,617
	Gross unrealized (depreciation)														(919,369	)		(387,257,425	)
	Net unrealized appreciation (depreciation)													$	(698,550	)	$	(353,100,808	)

351 / Annual Report March 2024

Notes to Financial Statements (Continued)

12. 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 4, 2024. The interest rate on borrowing is the higher of the federal funds rate or SOFR plus 0.10%, plus 1.25%. There were no borrowings from the line of credit as of or during the year ended March 31, 2024. 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.

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.

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. In December 2022, the FASB issued ASU No. 2022-06, Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848, which deferred the sunset day of this guidance to December 31, 2024. The amendments in this update are in effect for the Funds. There have been no impacts to date.

In June 2022, the FASB issued ASU No. 2022-03, “Fair Value Measurement of Equity Securities Subject to Contractual Sale Restrictions” (“ASU 2022-03”). ASU 2022-03 (1) clarifies the guidance in ASC 820 on the fair value measurement of an equity security that is subject to a contractual sale restriction and (2) requires specific disclosures related to such an equity security. ASU 2022-03 is effective for fiscal years beginning after December 15, 2023 and interim periods within that fiscal year, with early adoption permitted. There have been no impacts to date.

Annual Report March 2024 / 352

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 Sustainable Securitized Fund (formerly known as 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, 2024, 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 for each of the five years in the period then ended for the Funds, except Metropolitan West Opportunistic High Income Credit Fund and Metropolitan West Sustainable 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 Opportunistic High Income Credit Fund and Metropolitan West Sustainable 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, 2024, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five 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 Opportunistic High Income Credit Fund	For the year ended March 31, 2024	For the years ended March 31, 2024 and 2023	For the years ended March 31, 2024 and 2023, and the period from August 2, 2021 (commencement of operations) through March 31, 2022
Metropolitan West Sustainable Securitized Fund	For the year ended March 31, 2024	For the years ended March 31, 2024 and 2023	For the years ended March 31, 2024 and 2023, and the period from October 1, 2021 (commencement of operations) through March 31, 2022

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.

353 / Annual Report March 2024

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, 2024, 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 24, 2024

We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.

Annual Report March 2024 / 354

Metropolitan West Funds

Tax Information Notice

(Unaudited)

For shareholders that do not have a March 31, 2024 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2024 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2024, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.

	ALPHATRAK 500 FUND			CORPORATE BOND FUND			FLEXIBLE INCOME FUND			FLOATING RATE INCOME FUND			HIGH YIELD BOND FUND			INTERMEDIATE BOND FUND
Net Investment Income Distributions		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%		100.00	%
Short-Term Capital Gain Distributions		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Long-Term Capital Gain Distributions		0.00	%		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	%		0.00	%		0.00	%		0.07	%
Qualifying Dividend Income (2)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
U.S. Government Interest (3)		19.74	%		8.22	%		2.96	%		2.36	%		3.18	%		43.56	%
Foreign Tax Credit (4)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Qualified Interest Income (5)		78.95	%		86.35	%		86.59	%		98.50	%		87.45	%		86.00	%
Qualified Short-Term Capital Gain (6)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
	INVESTMENT GRADE CREDIT FUND			LOW DURATION BOND FUND			OPPORTUNISTIC HIGH INCOME CREDIT FUND			STRATEGIC INCOME FUND			SUSTAINABLE SECURITIZED FUND			TOTAL RETURN BOND FUND
Net Investment Income Distributions		100.00	%		100.00	%		100.00	%		100.00	%		90.95	%		100.00	%
Short-Term Capital Gain Distributions		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Long-Term Capital Gain Distributions		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Return of Capital		0.00	%		0.00	%		0.00	%		0.00	%		9.05	%		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	%		2.05	%		0.00	%		0.00	%		0.00	%
Qualifying Dividend Income (2)		0.00	%		0.00	%		2.02	%		0.00	%		0.00	%		0.00	%
U.S. Government Interest (3)		16.79	%		19.35	%		1.95	%		11.40	%		3.61	%		30.64	%
Foreign Tax Credit (4)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Qualified Interest Income (5)		98.40	%		87.19	%		85.17	%		84.95	%		94.44	%		85.31	%
Qualified Short-Term Capital Gain (6)		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%
	ULTRA SHORT BOND FUND			UNCONSTRAINED  BOND FUND
Net Investment Income Distributions		100.00	%		99.09	%
Short-Term Capital Gain Distributions		0.00	%		0.00	%
Long-Term Capital Gain Distributions		0.00	%		0.00	%
Return of Capital		0.00	%		0.91	%
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)		33.69	%		4.12	%
Foreign Tax Credit (4)		0.00	%		0.00	%
Qualified Interest Income (5)		89.43	%		82.48	%
Qualified Short-Term Capital Gain (6)		0.00	%		0.00	%

355 / Annual Report March 2024

(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.

Annual Report March 2024 / 356

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 4, 2024, 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, 2023 (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.

357 / Annual Report March 2024

Metropolitan West Funds

Special Meeting of Shareholders - Voting Results

(Unaudited)

On February 15, 2024, the Trust held a Special Meeting of Shareholders to elect nine Trustees of the Trust. Shareholders of record on January 5, 2024 were entitled to vote on the proposal to elect Trustees. All Funds voted together. Each nominee for Trustee named below was elected and will hold office until his or her successor has been duly elected and qualified. The following votes were recorded:

PROPOSAL 1: Election of Trustees

Trustee Nominee	Shares Voted   For		Shares   Withheld
Patrick C. Haden		3,578,921,036		15,612,583
Martin Luther King III		3,566,345,875		18,046,145
Megan McClellan		3,566,345,875		14,965,129
Peter McMillan		3,557,018,646		16,143,673
Patrick Moore		3,576,854,622		16,251,942
Victoria B. Rogers		3,580,899,550		15,889,336
Robert G. Rooney		3,558,907,823		16,075,647
Michael Swell		3,582,395,433		16,056,576
Andrew Tarica		3,557,067,023		16,717,196

Annual Report March 2024 / 358

Metropolitan West Funds

Reorganization of Certain Funds into ETFs

(Unaudited)

On April 8, 2024, the Board of Trustees of the Trust, having determined that a reorganization of each of the following Funds would be in the best interest of the Fund and its shareholders, voted to approve a form of Agreement and Plan of Reorganization to reorganize each Fund with and into a newly-created exchange-traded fund (“ETF”), which will be a series of TCW ETF Trust, as specified below:

Metropolitan West Fund		New ETF
MetWest Floating Rate Income Fund	g	TCW Senior Loan ETF
MetWest Investment Grade Credit Fund	g	TCW Investment Grade Credit ETF
MetWest Flexible Income Fund	g	TCW Flexible Income ETF

Pursuant to applicable law (including the Investment Company Act of 1940) each reorganization may be implemented without shareholder approval. Each reorganization is expected to occur in September 2024 and is expected to be a tax-free reorganization for U.S. federal income tax purposes. Additional information about each reorganization will be made available to shareholders of the applicable Fund in a combined information statement/prospectus prior to the reorganization date.

359 / Annual Report March 2024

Metropolitan West Funds

Privacy Policy

The TCW Group, Inc. and Subsidiaries TCW Investment Management Company LLC TCW Asset Management Company LLC Metropolitan West Asset Management, LLC
TCW Funds, Inc.	Sepulveda Management LLC	TCW Direct Lending VIII LLC
TCW Strategic Income Fund, Inc.	TCW Direct Lending LLC	TCW Star Direct Lending LLC
Metropolitan West Funds	TCW Direct Lending VII LLC	TCW ETF TRUST

Effective January 2024

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, TCW Direct Lending VIII LLC, TCW Star Direct Lending LLC, and TCW ETF TRUST (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.

Annual Report March 2024 / 360

We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.

We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.

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, TCW Direct Lending VIII LLC, TCW Star Direct Lending LLC, and TCW ETF TRUST.

• Are not guaranteed by a bank;

• Are not obligations of The TCW Group, Inc. or of its subsidiaries;

• Are not insured by the Federal Deposit Insurance Corporation; and

• Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon.

THE TCW GROUP, INC.	TCW DIRECT LENDING LLC
TCW FUNDS, INC.	TCW DIRECT LENDING VII LLC
TCW STRATEGIC INCOME FUND, INC.	TCW DIRECT LENDING VIII LLC
METROPOLITAN WEST FUNDS	TCW STAR DIRECT LENDING LLC
SEPULVEDA MANAGEMENT LLC	TCW ETF TRUST
Attention: Privacy Officer | 515 South Flower Street | Los Angeles, CA 90071 | email: privacy@tcw.com

361 / Annual Report March 2024

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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*
Patrick C. Haden (1953)	Trustee and Vice Chairman of the Board	Indefinite term, since 2010	President (since 2003), Wilson Ave. Consulting (business consulting firm).	34	Auto Club (affiliate of AAA); TCW Funds, Inc. (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW ETF Trust (exchange-traded fund).
Martin Luther King III (1957)	Trustee	Indefinite term, since 1997	President and Chief Executive Officer (since 1998), The King Center (non-profit organization). 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.	33	TCW Funds, Inc. (mutual fund); TCW ETF Trust (exchange-traded fund).
Peter McMillan (1957)	Trustee and Chairman of the Nominating and Governance Committee	Indefinite term, since 2009	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).	34	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 fund); TCW DL VII Financing LLC (private fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW ETF Trust (exchange-traded fund).

365 / Annual Report March 2024

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
Victoria B. Rogers (1961)	Trustee	Indefinite term since 2024	President and Chief Executive Officer (since 1996), The Rose Hills Foundation (charitable foundation)	34	Norton Simon Museum (art museum); Causeway Capital Management Trust (mutual fund); The Rose Hills Foundation (charitable foundation); Saint John’s Health Center Foundation (charitable foundation); TCW Funds, Inc. (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW ETF Trust (exchange-traded fund).
Robert G. Rooney (1957)	Trustee and Chairman of the Audit Committee	Indefinite term, since 2009	Founder (since August 2022), RGR Advisors CT, LLC (financial advisory firm); Senior Financial Advisor (August 2020 – March 2021), Chief Financial and Administrative Officer (November 2018 – August 2020), REEF Technology (real estate and technology services company); Chief Financial Officer (January 2018 – November 2018), Citizens Parking Inc. (nationwide automobile parking facilities).	33	TCW Funds, Inc. (mutual fund); TCW ETF Trust (exchange-traded fund).
Michael Swell (1966)	Trustee	Indefinite term, since 2024	Retired (since 2021); Partner and Managing Director (2007 – 2021), Goldman Sachs Asset Management (asset management company).	33	TCW Funds, Inc. (mutual fund); TCW ETF Trust (exchange-traded fund); Apollo Realty Income Solutions Inc. (nontraded real estate investment trust).
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); Employee (2003 – 2022), Cowen Prime Services (broker-dealer).	34	TCW Funds, Inc. (mutual fund); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company); TCW Direct Lending VIII, LLC (business development company); TCW Star Direct Lending, LLC (business development company); TCW ETF Trust (exchange–traded fund).

Annual Report March 2024 / 366

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
Interested Trustees**
Megan McClellan (1978)	Trustee and President and Principal Executive Officer	Indefinite term, since 2024 and 2023, respectively	Group Managing Director (since 2023), Adviser, TCW Investment Management Company LLC, The TCW Group, Inc., TCW LLC and TCW Asset Management Company LLC; President and Principal Executive Officer (since 2023), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Managing Director (2013-2023), J.P. Morgan Asset Management.	33	TCW Funds, Inc. (mutual fund); TCW ETF Trust (exchange-traded fund).
Patrick Moore (1964)	Trustee	Indefinite term, since 2014	Group Managing Director (since 2000), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC, and TCW LLC. Mr. Moore is a member of the CFA Institute.	33	TCW Funds, Inc. (mutual fund); TCW ETF Trust (exchange-traded fund).
Officers of the Trust who are not Trustees
Drew Bowden (1961)	Executive Vice President	Indefinite term, since 2023	Executive Vice President, General Counsel and Secretary (since 2023), the Adviser, The TCW Group, Inc., TCW Asset Management Company LLC, TCW Investment Management Company LLC, TCW LLC; Executive Vice President (since 2023), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Chief Operating Officer (2021 – 2023) Western Asset Management Company; Executive Vice President and General Counsel (2020 – 2021) and Senior Vice President and General Counsel (2015 – 2020), Jackson Financial Inc.	N/A	N/A
Eric Chan (1978)	Assistant Treasurer	Indefinite term, since 2010	Managing Director of Fund Operations (since 2006), the Adviser and (since 2009), TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC; Assistant Treasurer (since 2009), TCW Funds, Inc. and TCW Strategic Income Fund, Inc. Mr. Chan is a Certified Public Accountant.	N/A	N/A
Peter Davidson (1972)	Vice President and Secretary	Indefinite term, since 2022 and 2023, respectively.	Senior Vice President, Associate General Counsel and Assistant Secretary (since 2022), the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC, TCW LLC; Vice President and Assistant Secretary (since 2022), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Assistant General Counsel – Investment Products and Advisory Services (2020 – 2022), The Northwestern Mutual Life Insurance Company; Associate General Counsel (2019 – 2020), Resolute Investment Managers; Assistant General Counsel (2003 – 2019), Invesco Ltd.	N/A	N/A
Lisa Eisen (1963)	Tax Officer	Indefinite term, since 2016	Tax Officer (since 2016), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Managing Director and Director of Tax (since 2016), TCW LLC.	N/A	N/A

367 / Annual Report March 2024

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 2021	Executive Vice President, Chief Financial Officer and Assistant Secretary (since 2016), TCW LLC and (since 2008), the Adviser, TCW Investment Management Company LLC, The TCW Group, Inc., and TCW Asset Management Company LLC; Treasurer, Principal Financial Officer and Principal Accounting Officer (since 2014), TCW Strategic Income Fund, Inc. and TCW Funds, Inc.	N/A	N/A
Gladys Xiques (1973)	Chief Compliance Officer and Anti- Money Laundering (“AML”) Officer	Indefinite term, since 2021	Chief Compliance Officer and AML Officer (since 2021), TCW Funds, Inc. and TCW Strategic Income Fund, Inc.; Group Managing Director and Global Chief Compliance Officer (since 2021), TCW LLC, the Adviser, TCW Investment Management Company LLC, and TCW Asset Management Company LLC; Global Chief Compliance Officer (since 2021), The TCW Group, Inc.; Senior Vice President (2015 – 2020), TCW LLC, the Adviser, TCW Investment Management Company LLC, and TCW Asset Management Company LLC.	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, 515 South Flower Street, Los Angeles, CA 90071.

**** Positions with The TCW Group, Inc. and its affiliates may have changed over time.

Annual Report March 2024 / 368

MetWest Funds

515 South Flower Street

Los Angeles, California 90071

800 241 4671

www.TCW.com

Board of Trustees

Patrick C. Haden

Martin Luther King III

Megan McClellan

Peter McMillan

Patrick Moore

Victoria B. Rogers

Robert G. Rooney

Michael Swell

Andrew Tarica

Officers

Megan McClellan

President and Principal Executive Officer

Drew Bowden

Executive Vice President

Eric Chan

Assistant Treasurer

Peter Davidson

Vice President and Secretary

Lisa Eisen

Tax 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

515 South Flower Street

Los Angeles, CA 90071

Custodian

The Bank of New York Mellon

One Wall Street

New York, NY 10286

Transfer Agent

BNY Mellon Investment Servicing (U.S.) Inc.

P.O. Box 534453

Pittsburgh, PA 15253-4453

Independent Registered Public Accounting Firm

Deloitte & Touche LLP

555 West 5th Street, Suite 2700

Los Angeles, CA 90013

Distributor

TCW Fund Distributors LLC

515 South Flower Street

Los Angeles, CA 90071

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 5/2024

(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 Robert Rooney is qualified to serve as audit committee financial expert serving on its audit committee and he is “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 $622,107 for 2024 and $610,054 for 2023.

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 for 2024 and $0 for 2023.

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 $137,858 for 2024 and $130,998 for 2023.

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 for 2024 and $0 for 2023.

(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 $1,060,849 for 2024 and $1,167,405 for 2023.

(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 amendment thereto, that is the subject of disclosure required by Item 2 is attached herewith.
(a)(2)	Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(2)(1)	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.
(a)(2)(2)	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/ Megan McClellan
	Megan McClellan, President and Principal Executive Officer
	(principal executive officer)

Date     June 5, 2024

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/ Megan McClellan
	Megan McClellan, President and Principal Executive Officer
	(principal executive officer)

Date     June 5, 2024

By (Signature and Title)*	/s/ Richard Villa
	Richard Villa, Treasurer, Principal Financial Officer
	and Principal Accounting Officer
	(principal financial officer)

Date     June 5, 2024

^* Print the name and title of each signing officer under his or her signature.