BLACKROCK BALANCED CAPITAL FUND, INC.

Name of Fund: BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Balanced

Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series, LLC and Master

Total Return Portfolio of Master Bond LLC, 55 East 52^nd Street, New York, NY 10055

BlackRock Balanced Capital Fund, Inc. (the “Fund”) seeks to achieve its investment objective by investing a significant amount of its assets in Master Large Cap Core Portfolio of Master Large Cap Series LLC and Master Total Return Portfolio of Master Bond LLC (collectively the “Master Portfolios”), which have the same investment objectives and strategies as the Fund. As of period end, the value of the investments and the percentage owned by the Fund of Master Large Cap Core Portfolio and Master Total Return Portfolio was $538,936,269 and $321,591,092, respectively and 25.9% and 3.4%, respectively.

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Master Portfolio’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Fund’s investments and derivative financial instruments in the disclosure hierarchy:

The Fund may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, collateral pledged for futures contracts of $879,000 is categorized as Level 1 within the disclosure hierarchy.


Common Stocks	Shares		Value
Aerospace & Defense — 2.5%
L-3 Communications Holdings, Inc.		114,488	$	16,794,245
Raytheon Co.		255,820		34,778,729

				51,572,974
Airlines — 2.8%
Delta Air Lines, Inc.		551,900		20,105,717
Southwest Airlines Co.		818,700		32,101,227
United Continental Holdings, Inc. (a)		134,520		5,520,701

				57,727,645
Auto Components — 2.3%
Goodyear Tire & Rubber Co.		556,600		14,282,356
Lear Corp.		325,006		33,072,611

				47,354,967
Banks — 10.6%
Bank of America Corp.		4,199,866		55,732,222
Citigroup, Inc.		542,979		23,016,880
JPMorgan Chase & Co.		1,131,824		70,331,543
SunTrust Banks, Inc.		603,067		24,773,992
U.S. Bancorp		1,172,625		47,291,966

				221,146,603
Beverages — 1.8%
Dr Pepper Snapple Group, Inc.		320,300		30,950,589
Molson Coors Brewing Co., Class B		67,753		6,851,861

				37,802,450
Biotechnology — 4.0%
Amgen, Inc.		274,850		41,818,427
Gilead Sciences, Inc.		489,628		40,844,768

				82,663,195
Building Products — 0.7%
Owens Corning		274,600		14,147,392
Capital Markets — 1.6%
Goldman Sachs Group, Inc.		223,108		33,149,387
Chemicals — 1.0%
Dow Chemical Co.		152,594		7,585,448
Eastman Chemical Co.		180,500		12,255,950

				19,841,398
Communications Equipment — 2.5%
Cisco Systems, Inc.		1,835,620		52,663,938
Construction & Engineering — 0.7%
AECOM (a)		304,538		9,675,172
EMCOR Group, Inc.		91,100		4,487,586

				14,162,758
Consumer Finance — 0.8%
SLM Corp. (a)		2,801,957		17,316,094


Common Stocks	Shares		Value
Containers & Packaging — 1.5%
Avery Dennison Corp.		149,900	$	11,205,025
Packaging Corp. of America		305,013		20,414,520

				31,619,545
Electronic Equipment, Instruments & Components — 1.1%
CDW Corp.		321,940		12,903,355
Flextronics International Ltd. (a)		804,600		9,494,280

				22,397,635
Energy Equipment & Services — 0.3%
Schlumberger Ltd.		83,780		6,625,322
Food & Staples Retailing — 3.9%
CVS Health Corp.		559,925		53,607,219
Walgreens Boots Alliance, Inc.		336,600		28,028,682

				81,635,901
Food Products — 0.9%
Tyson Foods, Inc., Class A		283,090		18,907,581
Health Care Providers & Services — 8.8%
Aetna, Inc.		440,800		53,834,904
Centene Corp. (a)		418,500		29,868,345
Cigna Corp.		214,570		27,462,814
Humana, Inc.		73,100		13,149,228
Laboratory Corp. of America Holdings (a)		167,340		21,799,382
UnitedHealth Group, Inc.		257,500		36,359,000

				182,473,673
Hotels, Restaurants & Leisure — 1.9%
Carnival Corp.		904,638		39,985,000
Household Durables — 1.7%
DR Horton, Inc.		574,835		18,095,806
Lennar Corp., Class A		198,536		9,152,510
NVR, Inc. (a)		4,048		7,206,816

				34,455,132
Insurance — 2.1%
American International Group, Inc.		375,737		19,872,730
Travelers Cos., Inc.		197,330		23,490,163

				43,362,893
Internet Software & Services — 4.6%
Alphabet, Inc., Class A (a)		57,277		40,296,088
Alphabet, Inc., Class C (a)		62,454		43,224,413
Facebook, Inc., Class A (a)		112,329		12,836,958

				96,357,459
IT Services — 1.9%
Amdocs Ltd.		298,779		17,245,524


Common Stocks	Shares		Value
IT Services (continued)
Cognizant Technology Solutions Corp., Class A (a)		408,600	$	23,388,264

				40,633,788
Machinery — 0.4%
WABCO Holdings, Inc. (a)		95,100		8,708,307
Media — 4.3%
Comcast Corp., Class A		1,046,200		68,201,778
Omnicom Group, Inc.		262,170		21,364,233

				89,566,011
Metals & Mining — 0.7%
Rio Tinto PLC — ADR		478,433		14,974,953
Multi-Utilities — 0.8%
Public Service Enterprise Group, Inc.		360,500		16,802,905
Oil, Gas & Consumable Fuels — 5.5%
Anadarko Petroleum Corp.		124,780		6,644,535
BP PLC — ADR		947,710		33,653,182
Chevron Corp.		233,200		24,446,356
Hess Corp.		181,332		10,898,053
Marathon Oil Corp.		346,700		5,203,967
Statoil ASA — ADR		407,600		7,055,556
Suncor Energy, Inc.		784,000		21,740,320
Valero Energy Corp.		115,500		5,890,500

				115,532,469
Pharmaceuticals — 4.4%
Johnson & Johnson		78,695		9,545,703
Pfizer, Inc.		1,511,790		53,230,126
Teva Pharmaceutical Industries Ltd. — ADR		555,355		27,895,482

				90,671,311
Road & Rail — 0.6%
Norfolk Southern Corp.		140,167		11,932,417
Semiconductors & Semiconductor Equipment — 2.5%
Intel Corp.		305,370		10,016,136
Lam Research Corp.		426,171		35,823,934
NVIDIA Corp.		147,300		6,924,573

				52,764,643


Common Stocks	Shares		Value
Software — 5.1%
Activision Blizzard, Inc.		1,106,890	$	43,866,051
Microsoft Corp.		1,239,100		63,404,747

				107,270,798
Specialty Retail — 5.5%
GNC Holdings, Inc., Class A		326,700		7,935,543
Home Depot, Inc.		376,000		48,011,440
Lowe’s Cos., Inc.		517,400		40,962,558
Ross Stores, Inc.		305,758		17,333,421

				114,242,962
Technology Hardware, Storage & Peripherals — 5.8%
Apple Inc.		943,100		90,160,360
EMC Corp.		963,970		26,191,065
Western Digital Corp.		112,110		5,298,319

				121,649,744
Tobacco — 2.6%
Altria Group, Inc.		776,839		53,570,817
Total Long-Term Investments (Cost — $1,630,285,345) — 98.2%				2,045,690,067

Short-Term Securities
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (b)(c)		8,817,121		8,817,121
Total Short-Term Securities (Cost — $8,817,121) — 0.4%				8,817,121
*Total Investments (Cost — $1,639,102,466) — 98.6%**				2,054,507,188
Other Assets Less Liabilities — 1.4%				29,206,859

Net Assets — 100.0%			$	2,083,714,047

Various inputs are used in determining the fair value of investments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Fund’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments is based on the pricing transparency of the investments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Fund’s policy regarding valuation of investments, refer to the Fund’s most recent financial statements as contained in its semi-annual report.

The following table summarizes the Portfolio’s investments categorized in the disclosure hierarchy:


Asset-Backed Securities		Par (000)		Value
ACAS CLO Ltd.:
Series 2012-1A, Class BR, 2.97%, 9/20/23 (a)(b)	USD		4,020	$	4,016,563
Series 2012-1A, Class CR, 3.87%, 9/20/23 (a)(b)			750		748,500
Series 13-2AR, Class A2B, 2.88%, 10/15/25 (a)(b)			750		750,000
Series 2015-2A, Class B, 2.88%, 10/28/27 (a)(b)			3,250		3,216,337
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-OP1, Class A2, 1.17%, 12/25/33 (b)			581		478,803
Series 2006-CW1, Class A2C, 0.59%, 7/25/36 (b)			951		663,942
Series 2006-CW1, Class A2D, 0.71%, 7/25/36 (b)			13,114		7,867,377
Adagio IV CLO Ltd., Series IV-X, Class F, 6.65%, 10/15/29 (b)	EUR		400		363,321
Adirondack Park CLO Ltd., Series 2013-1A, Class B, 2.63%, 4/15/24 (a)(b)	USD		330		326,586
Ajax Mortgage Loan Trust, Series 2016-1, Class A, 4.25%, 7/25/47 (a)(c)			2,871		2,869,721
ALM V Ltd., Series 2012-5A, Class A2R, 2.78%, 10/18/27 (a)(b)			1,600		1,592,020
ALM VII R Ltd., Series 2013-7RA, Class A2, 2.49%, 4/24/24 (a)(b)			2,643		2,639,026
ALM VII R-2 Ltd., Series 2013-7R2A, Class A2, 2.49%, 4/24/24 (a)(b)			917		915,623
ALM XII Ltd., Series 2015-12A, Class B, 3.88%, 4/16/27 (a)(b)			1,505		1,487,353
ALM XIV Ltd.:
Series 2014-14A, Class A1, 2.06%, 7/28/26 (a)(b)			10,785		10,736,602
Series 2014-14A, Class B, 3.58%, 7/28/26 (a)(b)			1,236		1,213,768
ALME Loan Funding II Ltd.:
Series 2X, Class A, 1.24%, 8/15/27 (b)	EUR		470		516,610
Series 2X, Class E, 4.94%, 8/15/27 (b)			395		374,041
Series 2X, Class F, 5.69%, 8/15/27 (b)			250		207,170
ALME Loan Funding IV BV, Series 4X, Class E, 5.75%, 1/15/30 (b)			1,130		1,148,658
ALME Loan Funding V BV, Series 5X, Class E, 6.00%, 7/15/29 (b)			620		636,896
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.45%, 6/17/31 (a)(b)	USD		2,121		2,096,106


Asset-Backed Securities		Par (000)		Value
AMMC CLO 17 Ltd., Series 2015-17A, Class B, 2.93%, 11/15/27 (a)(b)	USD		1,180	$	1,162,071
AMMC CLO IX Ltd.:
Series 2011-9A, Class B1R, 3.13%, 1/15/22 (a)(b)			8,590		8,590,000
Series 2011-9A, Class CR, 4.23%, 1/15/22 (a)(b)			2,490		2,489,925
AMMC CLO XII Ltd., Series 2013-12A, Class B, 2.53%, 5/10/25 (a)(b)			1,612		1,586,758
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class A1, 2.17%, 4/15/27 (a)(b)			2,020		2,016,566
Anchorage Capital CLO Ltd.:
Series 2013-1A, Class A1, 1.82%, 7/13/25 (a)(b)			2,005		1,985,898
Series 2013-1A, Class A2A, 2.38%, 7/13/25 (a)(b)			1,050		1,018,403
Series 2013-1A, Class B, 3.33%, 7/13/25 (a)(b)			1,410		1,355,613
Apidos CLO IX, Series 2012-9AR, Class BR, 2.48%, 7/15/23 (a)(b)			3,035		2,991,694
Apidos CLO XI, Series 2012-11A, Class A, 2.02%, 1/17/23 (a)(b)			3,610		3,568,170
Apidos CLO XII, Series 2013-12A, Class A, 1.73%, 4/15/25 (a)(b)			18,861		18,676,162
Apidos CLO XV, Series 2013-15A, Class A1, 1.98%, 10/20/25 (a)(b)			1,080		1,069,859
Apidos CLO XVI, Series 2013-16A, Class A1, 2.08%, 1/19/25 (a)(b)			2,965		2,950,317
Apidos CLO XVIII, Series 2014-18A, Class A1, 2.05%, 7/22/26 (a)(b)			880		877,800
Arbour CLO Ltd.:
Series 2014-1X, Class E, 5.00%, 6/16/27 (b)	EUR		338		318,759
Series 2014-1X, Class F, 5.75%, 7/15/27 (b)			336		279,026
ARES CLO Ltd.:
Series 2012-2A, Class AR, 1.92%, 10/12/23 (a)(b)	USD		1,090		1,086,241
Series 2012-2A, Class CR, 3.33%, 10/12/23 (a)(b)			300		297,648
Ares IIIR/IVR CLO Ltd., Series 2007-3RA, Class A2, 0.85%, 4/16/21 (a)(b)			4,139		4,088,352
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, 0.69%, 5/25/35 (b)			5,947		4,565,326


Asset-Backed Securities		Par (000)		Value
Arianna SPV Srl, Series 1, Class A, 3.60%, 10/20/30	EUR		900	$	1,010,693
Atlas Senior Loan Fund IV Ltd., Series 2013-2A, Class A1L, 2.13%, 2/17/26 (a)(b)	USD		7,030		7,012,425
Avoca CLO XIII Ltd., Series 13X, Class E, 5.26%, 12/29/27 (b)	EUR		430		415,718
Avoca CLO XIV Ltd.:
Series 14X, Class E, 4.75%, 7/12/28 (b)			490		483,964
Series 14X, Class F, 5.75%, 7/12/28 (b)			900		799,023
Series 14X, Class SUB, 0.00%, 7/12/28			1,290		1,121,853
Avoca CLO XV Ltd.:
Series 15X, Class E, 5.04%, 1/15/29 (b)			1,170		1,115,113
Series 15X, Class F, 6.79%, 1/15/29 (b)			585		514,325
Series 15X, Class M1, 0.00%, 1/15/29 (b)			1,100		1,013,000
B2R Mortgage Trust:
Series 2015-1, Class A1, 2.52%, 5/15/48 (a)	USD		983		988,467
Series 2015-2, Class A, 3.34%, 11/15/48 (a)			2,538		2,617,976
Babson CLO Ltd., Series 2013-IA, Class A, 1.73%, 4/20/25 (a)(b)			4,310		4,264,444
BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1, 7.93%, 12/10/25 (b)			2,790		2,671,428
Battalion CLO IV Ltd., Series 2013-4A, Class A1, 2.04%, 10/22/25 (a)(b)			4,715		4,676,282
Bayview Financial Revolving Asset Trust:
Series 2004-B, Class A1, 1.45%, 5/28/39 (a)(b)			8,533		6,221,251
Series 2005-E, Class A1, 1.44%, 12/28/40 (a)(b)			1,934		1,423,243
Bayview Opportunity Master Fund IIA Trust, Series 2012-4NR3, Class A, 3.72%, 2/28/35 (a)(b)			861		860,823
Bayview Opportunity Master Fund IIIA Trust, Series 2014-16RP, Class A, 3.84%, 11/28/29 (a)(c)			1,171		1,168,050
Bayview Opportunity Master Fund IIIB RPL Trust, Series 2015-3, Class A1, 3.62%, 4/28/30 (a)(c)			836		832,803
BCMSC Trust:
Series 2000-A, Class A2, 7.58%, 6/15/30 (b)			1,682		886,729
Series 2000-A, Class A3, 7.83%, 6/15/30 (b)			1,561		849,728
Series 2000-A, Class A4, 8.29%, 6/15/30 (b)			2,673		1,537,735
Bear Stearns Asset-Backed Securities I Trust:
Series 2006-HE10, Class 22A, 0.59%, 12/25/36 (b)			3,452		2,877,813
Series 2006-HE7, Class 1A2, 0.62%, 9/25/36 (b)			5,546		4,647,656
Series 2006-HE9, Class 2A, 0.59%, 11/25/36 (b)			4,926		4,153,419
Series 2007-AQ2, Class A2, 0.62%, 1/25/37 (b)			1,679		1,489,085
Series 2007-FS1, Class 1A3, 0.62%, 5/25/35 (b)			1,249		1,034,833
Series 2007-HE1, Class 21A2, 0.61%, 1/25/37 (b)			1,098		992,439
Series 2007-HE2, Class 22A, 0.59%, 3/25/37 (b)			1,384		1,089,323
Series 2007-HE2, Class 23A, 0.59%, 3/25/37 (b)			2,663		2,011,089
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, 1.25%, 1/25/36 (b)			730		686,343
Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M1, 1.65%, 12/25/36 (a)(b)			1,200		1,124,277


Asset-Backed Securities		Par (000)		Value
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1, 1.83%, 7/15/24 (a)(b)	USD		2,090	$	2,064,755
Benefit Street Partners CLO Ltd., Series 2012-IA, Class A2R, 2.88%, 10/15/25 (a)(b)			7,450		7,440,315
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A2, 2.57%, 1/20/28 (a)(b)			3,990		3,977,392
BlueMountain CLO Ltd.:
Series 2012-2A, Class B1, 2.70%, 11/20/24 (a)(b)			3,150		3,149,404
Series 2013-1A, Class A1, 1.82%, 5/15/25 (a)(b)			1,025		1,015,483
Series 2013-2A, Class A, 1.84%, 1/22/25 (a)(b)			850		842,016
Series 2013-3A, Class A, 2.04%, 10/29/25 (a)(b)			2,480		2,466,331
Series 2013-4A, Class A, 2.13%, 4/15/25 (a)(b)			7,590		7,590,000
Series 2014-1A, Class A, 2.16%, 4/30/26 (a)(b)			2,400		2,393,802
Series 2014-2A, Class A, 2.09%, 7/20/26 (a)(b)			670		666,731
Series 2014-4A, Class A1, 2.17%, 11/30/26 (a)(b)			3,020		3,010,951
Series 2015-3A, Class A1, 2.11%, 10/20/27 (a)(b)			2,000		1,990,000
BlueMountain EUR CLO, Series 2016-1X, Class E, 6.60%, 4/25/30 (b)	EUR		1,200		1,284,963
Cadogan Square CLO VII BV, Series 7X, Class E, 6.00%, 5/25/29 (b)			1,000		983,390
Cairn CLO VI BV, Series 2016-6X, Class E, 0.00%, 7/25/29 (b)			600		625,902
Carlyle Global Market Strategies CLO Ltd.:
Series 2012-2A, Class B1R, 2.73%, 7/20/23 (a)(b)	USD		2,880		2,859,300
Series 2012-4A, Class A, 2.02%, 1/20/25 (a)(b)			6,630		6,616,028
Series 2013-4A, Class A1, 2.10%, 10/15/25 (a)(b)			1,630		1,624,061
Carlyle Global Market Strategies Euro CLO, Series 2015-3X, Class D, 5.55%, 1/15/29 (b)	EUR		1,800		1,788,364
Carrington Mortgage Loan Trust:
Series 2006-FRE2, Class A2, 0.57%, 10/25/36 (b)	USD		1,284		733,293
Series 2006-FRE2, Class A3, 0.61%, 10/25/36 (b)			3,716		2,132,547
Series 2006-FRE2, Class A5, 0.53%, 10/25/36 (b)			1,085		615,969
Series 2006-NC2, Class A3, 0.60%, 6/25/36 (b)			4,730		4,041,134
Series 2006-NC3, Class A4, 0.69%, 8/25/36 (b)			2,003		1,144,793
Series 2006-NC4, Class A3, 0.61%, 10/25/36 (b)			1,180		820,619
Series 2006-NC5, Class A3, 0.60%, 1/25/37 (b)			7,250		4,139,794
Series 2006-NC5, Class A4, 0.67%, 1/25/37 (b)			803		467,503
Series 2007-FRE1, Class A2, 0.65%, 2/25/37 (b)			3,393		3,177,566
Series 2007-HE1, Class A2, 0.60%, 6/25/37 (b)			1,526		1,383,750
Series 2007-RFC1, Class A4, 0.67%, 12/25/36 (b)			1,440		786,396
Castle Park CLO Designated Activity Co., Series 1X, Class E, 6.25%, 1/15/28 (b)	EUR		500		450,619


Asset-Backed Securities		Par (000)		Value
C-BASS Trust:
Series 2006-CB9, Class A2, 0.56%, 11/25/36 (b)	USD		1,384	$	829,170
Series 2006-CB9, Class A4, 0.68%, 11/25/36 (b)			233		142,127
Series 2007-CB1, Class AF2, 3.93%, 1/25/37 (c)			6,706		3,224,035
Cedar Funding IV CLO Ltd., Series 2014-4A, Class A1, 2.14%, 10/23/26 (a)(b)			1,200		1,196,844
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1, 2.24%, 7/17/28 (a)(b)			990		982,282
CHLUPA Trust, Series 2013-VM, Class A, 3.33%, 8/15/20 (a)			1,247		1,244,255
CIFC Funding Ltd.:
Series 2011-1AR, Class A1R, 1.93%, 1/19/23 (a)(b)			7,071		7,071,097
Series 2012-2A, Class A1R, 2.03%, 12/05/24 (a)(b)			4,000		3,986,020
Series 2012-3A, Class A1L, 2.02%, 1/29/25 (a)(b)			5,000		4,986,420
Series 2012-3A, Class A2L, 2.89%, 1/29/25 (a)(b)			4,480		4,479,114
Series 2013-4A, Class B1, 2.52%, 11/27/24 (a)(b)			4,270		4,154,092
Series 2014-1A, Class A, 2.13%, 4/18/25 (a)(b)			1,720		1,713,980
Series 2014-2A, Class A1L, 2.14%, 5/24/26 (a)(b)			4,865		4,828,570
Series 2014-5A, Class A1, 2.21%, 1/17/27 (a)(b)			2,225		2,214,597
Citigroup Mortgage Loan Trust, Series 2006-NC1, Class A2D, 0.70%, 8/25/36 (b)			3,550		2,621,587
Colombo Srl, Series 1, Class B, 0.25%, 8/28/26 (b)	EUR		128		141,166
Colony American Homes, Series 2015-1A, Class A, 1.65%, 7/17/32 (a)(b)	USD		8,453		8,380,252
Conseco Finance Securitizations Corp., Series 2000-4, Class A6, 8.31%, 5/01/32 (b)			1,424		865,876
Conseco Financial Corp.:
Series 1997-3, Class M1, 7.53%, 3/15/28 (b)			1,560		1,534,629
Series 1998-8, Class A1, 6.28%, 9/01/30			1,668		1,758,680
Series 1999-5, Class A5, 7.86%, 3/01/30 (b)			1,817		1,544,382
Series 1999-5, Class A6, 7.50%, 3/01/30 (b)			1,329		1,096,928
Countrywide Asset-Backed Certificates:
Series 2003-BC3, Class A2, 1.07%, 9/25/33 (b)			672		625,496
Series 2004-5, Class A, 1.35%, 10/25/34 (b)			752		739,382
Series 2006-17, Class 2A2, 0.60%, 3/25/47 (b)			455		389,080
Series 2006-8, Class 2A3, 0.61%, 1/25/46 (b)			1,284		1,162,162
Series 2006-S10, Class A3, 0.77%, 10/25/36 (b)			13,313		11,299,957
Series 2006-S3, Class A4, 6.43%, 1/25/29 (c)			887		872,071
Series 2006-SPS1, Class A, 0.67%, 12/25/25 (b)			387		347,672
Series 2007-S3, Class A3, 0.83%, 5/25/37 (b)			3,784		2,865,667
Credit-Based Asset Servicing & Securitization LLC:
Series 2006-SL1, Class A2, 6.06%, 9/25/36 (a)(c)			3,578		1,002,132


Asset-Backed Securities		Par (000)		Value
Series 2007-CB6, Class A4, 0.79%, 7/25/37 (a)(b)	USD		925	$	567,399
Series 2007-RP1, Class A, 0.76%, 5/25/46 (a)(b)			853		678,994
CT CDO IV Ltd., Series 2006-4A, Class A1, 0.76%, 10/20/43 (a)(b)			43		41,016
CVC Cordatus Loan Fund III Ltd., Series 3X, Class A1, 1.35%, 7/08/27 (b)	EUR		1,640		1,802,977
CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, 0.71%, 3/15/34 (b)	USD		2,082		1,611,990
CWHEQ Home Equity Loan Trust:
Series 2006-S5, Class A4, 5.84%, 6/25/35			1,150		1,136,512
Series 2006-S5, Class A5, 6.16%, 6/25/35			713		656,532
Series 2007-S1, Class A3, 5.81%, 11/25/36 (b)			2,879		2,853,816
CWHEQ Revolving Home Equity Loan Resecuritization Trust, Series 2006-RES, Class 4Q1B, 0.73%, 12/15/33 (a)(b)			1,725		1,422,737
CWHEQ Revolving Home Equity Loan Resuritization Trust, Series 2006-RES, Class 5B1B, 0.62%, 5/15/35 (a)(b)			650		546,027
CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A, 0.62%, 5/15/35 (b)			1,673		1,404,830
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (a)			8,063		8,033,475
Dryden XXV Senior Loan Fund, Series 2012-25A, Class A, 2.01%, 1/15/25 (a)(b)			10,090		10,052,723
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1L, 1.73%, 8/15/25 (a)(b)			2,090		2,062,637
Eastland CLO Ltd., Series 2007-1A, Class A2A, 0.87%, 5/01/22 (a)(b)			9,987		9,906,622
ECP CLO Ltd., Series 2012-4A, Class A1, 1.97%, 6/19/24 (a)(b)			4,910		4,873,590
Euro-Galaxy IV CLO BV:
Series 2015-4X, Class D, 3.35%, 7/30/28 (b)	EUR		270		281,656
Series 2015-4X, Class E, 4.50%, 7/30/28 (b)			365		333,682
Series 2015-4X, Class F, 6.25%, 7/30/28 (b)			380		327,213
Fannie Mae REMIC Trust, Series 2003-W5, Class A, 0.67%, 4/25/33 (b)	USD		4		3,613
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A3, 0.61%, 4/25/36 (b)			1,587		1,374,667
Flatiron CLO Ltd., Series 2011-1A, Class A, 2.18%, 1/15/23 (a)(b)			3,127		3,123,797
Fraser Sullivan CLO VII Ltd.:
Series 2012-7A, Class A1R, 1.71%, 4/20/23 (a)(b)			5,280		5,242,810
Series 2012-7A, Class A2R, 2.43%, 4/20/23 (a)(b)			3,500		3,474,714
Series 2012-7A, Class BR, 3.13%, 4/20/23 (a)(b)			2,870		2,812,282
Galaxy XI CLO Ltd., Series 2011-11A, Class B, 2.79%, 8/20/22 (a)(b)			500		499,471
Galaxy XV CLO Ltd., Series 2013-15A, Class A, 1.88%, 4/15/25 (a)(b)			1,350		1,323,000
GFT Mortgage Loan Trust:
Series 2015-GFT1, Class A, 3.72%, 1/25/55 (a)(c)			163		162,815
Series 2015-GFT2, Class A, 4.34%, 6/25/59 (a)(c)			727		727,350


Asset-Backed Securities		Par (000)		Value
GMACM Home Equity Loan Trust, Series 2006-HE4, Class A2, 0.63%, 12/25/36 (b)	USD		281	$	248,794
GoldenTree Loan Opportunities IV Ltd., Series 2007-4A, Class B, 1.35%, 8/18/22 (a)(b)			1,630		1,595,003
Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class C, 3.88%, 4/17/22 (a)(b)			1,920		1,913,698
Greenpoint Manufactured Housing:
Series 1999-5, Class M1B, 8.29%, 12/15/29 (b)			870		947,601
Series 1999-5, Class M2, 9.23%, 12/15/29 (b)			1,431		1,254,523
GSAA Home Equity Trust, Series 2006-5, Class 2A1, 0.52%, 3/25/36 (b)			22		12,668
GSAA Trust, Series 2007-2, Class AF3, 5.92%, 3/25/37 (b)			616		260,924
GSAMP Trust:
Series 2006-FM2, Class A2B, 0.57%, 9/25/36 (b)			3,097		1,394,014
Series 2007-H1, Class A1B, 0.65%, 1/25/47 (b)			1,272		813,527
GT Loan Financing I Ltd., Series 2013-1A, Class A, 1.90%, 10/28/24 (a)(b)			5,105		5,055,162
Harvest CLO:
Series 11X, Class E, 5.21%, 3/26/29 (b)	EUR		970		1,001,627
Series 11X, Class SUB, 0.00%, 3/26/29 (b)			4,040		3,474,365
Highbridge Loan Management Ltd.:
Series 2012-1AR, Class A2R, 2.90%, 9/20/22 (a)(b)	USD		3,010		3,014,172
Series 6A-2015, Class A, 2.08%, 5/05/27 (a)(b)			6,750		6,690,993
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, 2.46%, 7/25/34 (b)			858		800,991
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 7/25/36 (c)			3,453		1,473,293
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, 0.80%, 4/15/36 (b)			1,912		1,696,236
Invitation Homes Trust:
Series 2013-SFR1, Class A, 1.58%, 12/17/30 (a)(b)			2,708		2,695,789
Series 2014-SFR1, Class A, 1.45%, 6/17/31 (a)(b)			2,338		2,301,430
Series 2014-SFR2, Class A, 1.55%, 9/17/31 (a)(b)			3,013		2,984,933
Series 2014-SFR2, Class E, 3.84%, 9/17/31 (a)(b)			1,460		1,429,545
Series 2014-SFR3, Class A, 1.65%, 12/17/31 (a)(b)			1,781		1,768,704
Series 2015-SFR3, Class A, 1.75%, 8/17/32 (a)(b)			9,376		9,319,286
Irwin Home Equity Loan Trust, Series 2006-2, Class 2A2, 6.24%, 2/25/36 (a)(c)			1,113		1,154,271
JPMorgan Mortgage Acquisition Trust:
Series 2006-WF1, Class A3A, 5.83%, 7/25/36 (c)			908		493,907
Series 2006-WF1, Class A5, 6.41%, 7/25/36 (c)			1,238		672,888
Series 2006-WF1, Class A6, 6.00%, 7/25/36 (c)			910		494,657
Jubilee CDO BV, Series VIII-X, Class Sub, 5.05%, 1/15/24 (b)	EUR		880		689,481
KKR Financial CLO Ltd., Series 2013-1A, Class A1, 1.78%, 7/15/25 (a)(b)	USD		4,515		4,433,831
LCM IX LP, Series 9A, Class C, 3.48%, 7/14/22 (a)(b)			500		500,500
LCM XI LP, Series 11A, Class B, 2.78%, 4/19/22 (a)(b)			2,270		2,270,029


Asset-Backed Securities		Par (000)		Value
LCM XIV LP, Series 14A, Class A, 1.78%, 7/15/25 (a)(b)	USD		320	$	316,391
Lehman ABS Manufactured Housing Contract Trust:
Series 2001-B, Class M1, 6.63%, 4/15/40 (b)			4,790		5,131,144
Series 2001-B, Class M2, 7.17%, 4/15/40 (b)			790		541,130
Litigation Fee Residual Funding LLC, Series 2015-1, Class A, 4.00%, 10/01/27 (a)			6,176		6,101,719
Long Beach Mortgage Loan Trust:
Series 2006-1, Class 1A, 0.67%, 2/25/36 (b)			4,671		3,711,139
Series 2006-10, Class 2A3, 0.61%, 11/25/36 (b)			4,534		1,888,339
Series 2006-10, Class 2A4, 0.67%, 11/25/36 (b)			2,694		1,135,717
Series 2006-11, Class 1A, 0.61%, 12/25/36 (b)			4,398		2,669,018
Series 2006-2, Class 2A3, 0.64%, 3/25/46 (b)			18,578		7,923,658
Series 2006-2, Class 2A4, 0.74%, 3/25/46 (b)			2,124		938,330
Series 2006-3, Class 2A3, 0.63%, 5/25/46 (b)			6,236		2,175,351
Series 2006-3, Class 2A4, 0.72%, 5/25/46 (b)			1,227		437,623
Series 2006-4, Class 2A4, 0.71%, 5/25/36 (b)			2,300		968,617
Series 2006-7, Class 2A2, 0.56%, 8/25/36 (b)			2,252		1,074,863
Series 2006-9, Class 2A3, 0.61%, 10/25/36 (b)			4,340		1,776,370
Series 2006-9, Class 2A4, 0.68%, 10/25/36 (b)			1,940		807,620
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, 3.70%, 3/25/32 (b)			1,510		1,484,519
Madison Park Funding Ltd.:
Series 2012-9A, Class AR, 1.92%, 8/15/22 (a)(b)			2,366		2,361,234
Series 2012-9A, Class B1R, 2.19%, 8/15/22 (a)(b)			3,000		2,981,351
Series 2012-9A, Class C1R, 3.17%, 8/15/22 (a)(b)			580		572,182
Madison Park Funding VIII Ltd.:
Series 2012-8A, Class BR, 2.84%, 4/22/22 (a)(b)			250		248,522
Series 2012-8A, Class CR, 3.44%, 4/22/22 (a)(b)			280		277,410
Madison Park Funding X Ltd., Series 2012-10A, Class B1, 2.98%, 1/20/25 (a)(b)			4,030		4,039,442
MASTR Asset-Backed Securities Trust:
Series 2006-AM2, Class A4, 0.71%, 6/25/36 (a)(b)			2,059		1,325,125
Series 2007-HE1, Class A4, 0.73%, 5/25/37 (b)			1,318		865,024
MASTR Specialized Loan Trust, Series 2006-3, Class A, 0.71%, 6/25/46 (a)(b)			782		652,125
Merrill Lynch Mortgage Investors Trust, Series 2006-RM3, Class A2B, 0.54%, 6/25/37 (b)			1,055		294,027
Morgan Stanley ABS Capital I, Inc., Trust, Series 2005-HE1, Class A2MZ, 1.05%, 12/25/34 (b)			820		738,145
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A2, 0.56%, 11/25/36 (b)			1,342		590,057
Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, 2.81%, 1/20/24 (a)(b)			3,020		2,901,087


Asset-Backed Securities		Par (000)		Value
MSCC Heloc Trust, Series 2007-1, Class A, 0.55%, 12/25/31 (b)	USD		223	$	220,190
Muir Woods CLO Ltd., Series 2012-1A, Class B, 3.23%, 9/14/23 (a)(b)			500		496,779
Navient Private Education Loan Trust:
Series 2014-AA, Class A3, 2.03%, 10/15/31 (a)(b)			8,500		8,239,042
Series 2014-AA, Class B, 3.50%, 8/15/44 (a)			6,000		5,190,370
Series 2014-CTA, Class B, 2.19%, 10/17/44 (a)(b)			8,550		7,853,586
Series 2015-AA, Class A2A, 2.65%, 12/15/28 (a)			18,636		18,952,121
Series 2015-AA, Class A3, 2.14%, 11/15/30 (a)(b)			7,821		7,746,757
Series 2016-AA, Class A2B, 2.59%, 12/15/45 (a)(b)			4,260		4,281,774
Series 2016-AA, Class B, 3.50%, 12/16/58 (a)			2,040		1,728,631
Neuberger Berman CLO XIII Ltd., Series 2012-13A, Class B, 2.94%, 1/23/24 (a)(b)			9,375		9,321,856
NextGear Floorplan Master Owner Trust, Series 2015-1A, Class B, 2.18%, 7/15/19 (a)(b)			1,150		1,139,824
North Westerly CLO BV, Series IV-X, Class A-1, 1.79%, 1/15/26 (b)	EUR		2,500		2,765,520
Northwoods Capital IX Ltd., Series 2012-9A, Class A, 2.05%, 1/18/24 (a)(b)	USD		4,550		4,539,649
Oak Hill European Credit Partners IV Designated Activity Co.:
Series 2015-4X, Class E, 5.06%, 1/20/30 (b)	EUR		1,540		1,475,443
Series 2015-4X, Class F, 7.06%, 1/20/30 (b)			670		568,805
Oaktree EIF II Ltd., Series 2014-A2, Class B, 2.93%, 11/15/25 (a)(b)	USD		1,640		1,611,245
Oakwood Mortgage Investors, Inc.:
Series 2001-D, Class A2, 5.26%, 1/15/19 (b)			1,047		785,541
Series 2001-D, Class A4, 6.93%, 9/15/31 (b)			666		572,867
OCP CLO Ltd.:
Series 2014-5A, Class A1, 1.64%, 4/26/26 (a)(b)			330		322,606
Series 2015-8A, Class A1, 2.16%, 4/17/27 (a)(b)			420		417,152
Octagon Investment Partners XIX Ltd., Series 2014-1A, Class A, 2.15%, 4/15/26 (a)(b)			1,500		1,495,060
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A, 1.75%, 7/17/25 (a)(b)			5,195		5,116,036
OHA Credit Partners IX Ltd., Series 2013-9A, Class A1, 2.03%, 10/20/25 (a)(b)			540		535,440
OHA Credit Partners VII Ltd., Series 2012-7A, Class A, 2.06%, 11/20/23 (a)(b)			1,790		1,785,410
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 1.75%, 4/20/25 (a)(b)			4,130		4,081,679
OHA Loan Funding Ltd., Series 2013-2A, Class A, 1.92%, 8/23/24 (a)(b)			5,315		5,262,641
OneMain Financial Issuance Trust:
Series 2014-1A, Class A, 2.43%, 6/18/24 (a)			2,874		2,876,827
Series 2014-1A, Class B, 3.24%, 6/18/24 (a)			1,340		1,341,144
Series 2014-2A, Class B, 3.02%, 9/18/24 (a)			2,805		2,791,066


Asset-Backed Securities		Par (000)		Value
Series 2014-2A, Class D, 5.31%, 9/18/24 (a)	USD		1,385	$	1,370,501
Series 2015-1A, Class C, 5.12%, 3/18/26 (a)			1,536		1,530,935
Series 2015-2A, Class C, 4.32%, 7/18/25 (a)			4,590		4,414,068
Option One Mortgage Acceptance Corp. Asset-Backed Certificates, Series 2003-4, Class A2, 1.09%, 7/25/33 (b)			1,169		1,082,874
Option One Mortgage Loan Trust, Series 2007-FXD1, Class 3A4, 5.86%, 1/25/37 (c)			2,530		2,384,707
Origen Manufactured Housing Contract Trust, Series 2001-A, Class M1, 7.82%, 3/15/32 (b)			735		699,569
OZLM Funding III Ltd., Series 2013-3A, Class A1, 1.97%, 1/22/25 (a)(b)			1,000		995,311
OZLM Funding IV Ltd., Series 2013-4A, Class A1, 1.79%, 7/22/25 (a)(b)			9,995		9,902,047
OZLM Funding Ltd., Series 2012-2A, Class A1, 2.12%, 10/30/23 (a)(b)			4,450		4,444,129
OZLM VII Ltd.:
Series 2014-7A, Class A1A, 2.05%, 7/17/26 (a)(b)			4,740		4,704,450
Series 2014-7A, Class A1B, 2.12%, 7/17/26 (a)(b)			250		250,000
OZLM XI Ltd., Series 2015-11A, Class A1A, 2.19%, 1/30/27 (a)(b)			9,258		9,204,020
OZLM XII Ltd., Series 2015-12A, Class A1, 2.09%, 4/30/27 (a)(b)			570		564,380
Palmer Square Loan Funding Ltd.:
Series 2016-2A, Class A2, 2.74%, 6/21/24 (a)(b)			3,800		3,792,277
Series 2016-2A, Class B, 3.79%, 6/21/24 (a)(b)			3,970		3,924,169
Pretium Mortgage Credit Partners I LLC:
Series 2015-NPL4, Class A1, 4.38%, 11/27/30 (a)(c)			4,082		4,092,787
Series 2016-NPL3, Class A1, 4.38%, 5/27/31 (a)(c)			6,310		6,329,871
Progress Residential Trust:
Series 2015-SFR1, Class A, 1.84%, 2/17/32 (a)(b)			2,995		2,989,193
Series 2015-SFR2, Class A, 2.74%, 6/12/32 (a)			1,742		1,766,570
Series 2015-SFR3, Class F, 6.64%, 11/12/32 (a)			500		511,393
Race Point V CLO Ltd., Series 2011-5A, Class CR, 3.48%, 12/15/22 (a)(b)			1,010		1,005,076
Race Point VIII CLO Ltd., Series 2013-8A, Class A, 1.87%, 2/20/25 (a)(b)			1,921		1,899,483
Race Point X CLO Ltd., Series 2016-10A, Class A, 2.23%, 7/25/28 (a)(b)			5,550		5,550,000
RASC Trust, Series 2003-KS5, Class AIIB, 1.03%, 7/25/33 (b)			421		371,802
RCO Mortgage LLC, Series 2015-NQM1, Class A, 3.94%, 11/25/45 (a)(b)			2,083		2,076,592
RMAT LLC, Series 2015-RPL1, Class A1, 3.97%, 5/26/20 (a)(c)			8,219		8,176,195
SACO I Trust, Series 2006-9, Class A1, 0.75%, 8/25/36 (b)			1,125		1,538,391
Santander Drive Auto Receivables Trust:
Series 2014-S4, Class R, 1.43%, 4/16/19 (a)			101		101,415
Series 2014-S5, Class R, 1.43%, 6/18/19 (a)			54		53,999
Scholar Funding Trust, Series 2011-A, Class A, 1.53%, 10/28/43 (a)(b)			2,475		2,356,238
Sheridan Square CLO Ltd., Series 2013-1A, Class A2, 1.80%, 4/15/25 (a)(b)			6,210		6,144,891


Asset-Backed Securities		Par (000)		Value
Silvermore CLO Ltd., Series 2014-1A, Class A1, 2.08%, 5/15/26 (a)(b)	USD		3,667	$	3,619,344
SLC Private Student Loan Trust, Series 2006-A, Class C, 1.08%, 7/15/36 (b)			2,010		1,745,699
SLM Private Credit Student Loan Trust:
Series 2004-A, Class A3, 1.05%, 6/15/33 (b)			4,134		3,835,740
Series 2004-B, Class A2, 0.85%, 6/15/21 (b)			826		821,988
Series 2004-B, Class A3, 0.98%, 3/15/24 (b)			18,525		17,317,848
Series 2006-B, Class A4, 0.83%, 3/15/24 (b)			90		89,122
Series 2006-B, Class A5, 0.90%, 12/15/39 (b)			830		750,937
Series 2006-C, Class A4, 0.82%, 3/15/23 (b)			418		414,840
Series 2007-A, Class A2, 0.75%, 9/15/25 (b)			1,126		1,114,762
SLM Private Education Loan Trust:
Series 2011-B, Class A3, 2.69%, 6/16/42 (a)(b)			2,817		2,893,628
Series 2013-A, Class B, 2.50%, 3/15/47 (a)			620		601,747
Series 2013-B, Class B, 3.00%, 5/16/44 (a)			2,095		2,062,165
Series 2013-C, Class A2B, 1.83%, 10/15/31 (a)(b)			500		496,864
Series 2014-A, Class A2A, 2.59%, 1/15/26 (a)			500		505,916
SMB Private Education Loan Trust:
Series 2014-A, Class A3, 1.93%, 4/15/32 (a)(b)			850		820,822
Series 2015-A, Class A3, 1.94%, 2/17/32 (a)(b)			5,475		5,389,124
Series 2015-B, Class A2B, 1.64%, 7/15/27 (a)(b)			1,680		1,662,313
Series 2015-B, Class A3, 2.19%, 5/17/32 (a)(b)			9,670		9,694,220
Series 2015-B, Class B, 3.50%, 12/17/40 (a)			3,830		3,768,835
Series 2015-C, Class A3, 2.39%, 8/16/32 (a)(b)			2,840		2,888,158
Series 2016-A, Class A2A, 2.70%, 5/15/31 (a)			2,975		3,015,790
Series 2016-A, Class A2B, 1.94%, 5/15/31 (a)(b)			5,830		5,822,514
SoFi Professional Loan Program LLC, Series 2015-D, Class A2, 2.72%, 10/27/36 (a)			3,045		3,067,121
Sorrento Park CLO Ltd., Series 1X, Class E, 5.99%, 11/16/27 (b)	EUR		340		290,604
Sound Point CLO I Ltd., Series 2012-1A, Class B, 3.33%, 10/20/23 (a)(b)	USD		500		497,834
Sound Point CLO IV Ltd., Series 2013-3A, Class A, 2.00%, 1/21/26 (a)(b)			2,385		2,361,265
Sound Point CLO Ltd., Series 2014-3A, Class A, 2.14%, 1/23/27 (a)(b)			6,225		6,176,260
Sound Point CLO VI Ltd., Series 2014-2A, Class A1, 1.99%, 10/20/26 (a)(b)			3,560		3,514,517
Sound Point CLO XI Ltd., Series 2016-1A, Class A, 2.18%, 7/20/28 (a)(b)			5,730		5,721,405
Springleaf Funding Trust:
Series 2014-AA, Class B, 3.45%, 12/15/22 (a)			2,335		2,332,979
Series 2015-AA, Class B, 3.62%, 11/15/24 (a)			3,952		3,868,424
St. Pauls CLO, Series 4X, Class A1, 1.25%, 4/25/28 (b)	EUR		1,500		1,656,407
St. Paul’s CLO VI DAC, Series 6X, Class D, 6.50%, 7/22/29 (b)			980		1,033,182


Asset-Backed Securities		Par (000)		Value
Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A, 3.36%, 1/25/31 (a)	USD		662	$	641,408
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, 0.75%, 1/25/35 (b)			1,111		1,019,920
Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, 3.72%, 11/16/44 (a)(c)			1,066		1,060,732
SWAY Residential Trust, Series 2014-1, Class A, 1.75%, 1/17/32 (a)(b)			9,907		9,848,879
Symphony CLO XII Ltd.:
Series 2013-12A, Class A, 1.93%, 10/15/25 (a)(b)			3,000		2,974,661
Series 2013-12A, Class C, 3.38%, 10/15/25 (a)(b)			3,655		3,496,597
Symphony CLO XV Ltd., Series 2014-15A, Class B1, 2.83%, 10/17/26 (a)(b)			6,230		6,199,569
Synchrony Credit Card Master Note Trust, Series 2016-2, Class A, 2.04%, 5/15/24			11,610		11,825,800
TICP CLO I Ltd., Series 2015-1A, Class A, 2.13%, 7/20/27 (a)(b)			1,000		990,808
TICP CLO III Ltd.:
Series 2014-3A, Class A, 2.17%, 1/20/27 (a)(b)			6,570		6,528,507
Series 2014-3A, Class B1, 2.98%, 1/20/27 (a)(b)			374		368,926
Tikehau CLO BV, Series 2015-1X, Class E, 4.60%, 8/04/28 (b)	EUR		600		555,987
Tricon American Homes Trust, Series 2015-SFR1, Class A, 1.69%, 5/17/32 (a)(b)	USD		1,166		1,148,219
Venture XIX CLO Ltd., Series 2014-19A, Class A, 2.23%, 1/15/27 (a)(b)			1,940		1,932,434
Venture XXI CLO Ltd., Series 2015-21A, Class A, 2.12%, 7/15/27 (a)(b)			2,630		2,606,285
VOLT XLIV LLC, Series 2016-NPL4, Class A1, 4.25%, 4/25/46 (a)(c)			1,669		1,685,199
VOLT XLV LLC, Series 2016-NPL5, Class A1, 4.00%, 5/25/46 (a)(c)			4,548		4,539,280
VOLT XLVI LLC, Series 2016-NPL6, Class A1, 3.84%, 6/25/46 (a)(c)			19,540		19,540,000
VOLT XLVII LLC, Series 2016-NPL7, Class A1, 3.75%, 6/25/46 (a)(c)			22,210		22,210,000
Voya CLO Ltd.:
Series 2012-1A, Class A2R, 2.51%, 3/14/22 (a)(b)			3,290		3,281,162
Series 2012-2A, Class BR, 2.58%, 10/15/22 (a)(b)			2,470		2,456,440
Series 2012-3A, Class AR, 1.95%, 10/15/22 (a)(b)			1,700		1,693,953
Series 2012-4A, Class A1, 2.02%, 10/15/23 (a)(b)			1,210		1,205,323
Series 2013-3A, Class A1, 2.08%, 1/18/26 (a)(b)			7,925		7,889,005
Series 2013-3A, Class A2, 2.43%, 1/18/26 (a)(b)			1,905		1,872,495
Series 2014-4A, Class A1, 2.13%, 10/14/26 (a)(b)			4,740		4,721,070
Voya Investment Management CLO Ltd., Series 2013-2A, Class A1, 1.79%, 4/25/25 (a)(b)			1,815		1,794,878
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, 0.58%, 7/25/37 (a)(b)			3,004		2,538,358
Washington Mutual Asset-Backed Certificates, Series 2006-HE4, Class 2A2, 0.63%, 9/25/36 (b)			6,242		2,913,536
World Financial Network Credit Card Master Trust:
Series 2012-C, Class B, 3.57%, 8/15/22			3,000		3,057,572


Asset-Backed Securities		Par (000)		Value
Series 2012-C, Class C, 4.55%, 8/15/22	USD		5,030	$	5,192,187
Series 2012-D, Class B, 3.34%, 4/17/23			3,551		3,591,515
Series 2012-D, Class M, 3.09%, 4/17/23			2,725		2,776,867
WVUE, Series 2015-1A, Class A, 4.50%, 9/25/20 (a)(c)			1,767		1,769,531
Ziggurat CLO I Ltd., Series 2014-1A, Class A1, 2.21%, 10/17/26 (a)(b)			12,445		12,463,667
Total Asset-Backed Securities — 10.1%					962,122,460

Common Stocks		Shares		Value
Airlines — 0.0%
Delta Air Lines, Inc.			21,789		793,773
United Continental Holdings, Inc. (d)			34,394		1,411,530

					2,205,303
Auto Components — 0.0%
BorgWarner, Inc.			46,784		1,381,064
Diversified Financial Services — 0.0%
Concrete Investment II SCA — Stapled (e)			12,471		—
Diversified Telecommunication Services — 0.0%
China Unicom Hong Kong Ltd.			400,000		417,097
Energy Equipment & Services — 0.0%
Vantage Drilling Co. (d)			311,000		4,534
Metals & Mining — 0.0%
Northern Graphite Corp. (d)			99,612		38,551
Oil, Gas & Consumable Fuels — 0.1%
BP PLC - ADR			59,239		2,103,577
Concho Resources, Inc. (d)			5,500		655,985
Matador Resources Co. (d)(f)			31,299		619,720

					3,379,282
Real Estate Investment Trusts (REITs) — 0.0%
Two Harbors Investment Corp.			46,644		399,273
Technology Hardware, Storage & Peripherals — 0.0%
Apple Inc.			7,377		705,241
Wireless Telecommunication Services — 0.0%
SoftBank Group Corp.			15,000		848,281
Total Common Stocks — 0.1%					9,378,626

Corporate Bonds		Par (000)		Value
Aerospace & Defense — 0.3%
BAE Systems Holdings, Inc.:
2.85%, 12/15/20 (a)	USD		1,372		1,401,934
3.85%, 12/15/25 (a)			890		943,348
4.75%, 10/07/44 (a)			259		282,565
Boeing Co.:
2.35%, 10/30/21			1,552		1,608,023
2.20%, 10/30/22			432		443,510
2.60%, 10/30/25			615		640,396
Lockheed Martin Corp.:
3.10%, 1/15/23			585		616,581
3.55%, 1/15/26			1,596		1,733,658
3.60%, 3/01/35			2,117		2,146,113
4.50%, 5/15/36			632		705,447
4.07%, 12/15/42			2,100		2,235,626
4.70%, 5/15/46			1,837		2,165,402
Meccanica Holdings USA, Inc.:
6.25%, 7/15/19 (a)			1,254		1,357,455


Corporate Bonds		Par (000)		Value
Aerospace & Defense (continued)
7.38%, 7/15/39 (a)	USD		150	$	157,125
6.25%, 1/15/40 (a)			1,890		1,762,425
Northrop Grumman Corp., 3.85%, 4/15/45			2,310		2,404,793
United Technologies Corp.:
1.78%, 5/04/18 (c)			8,656		8,733,765
4.15%, 5/15/45			2,411		2,648,180

					31,986,346
Air Freight & Logistics — 0.2%
FedEx Corp.:
4.90%, 1/15/34			5,078		5,763,764
3.90%, 2/01/35			392		398,486
4.10%, 2/01/45			2,759		2,805,208
4.75%, 11/15/45			2,033		2,265,608
4.55%, 4/01/46			3,298		3,578,643
XPO Logistics, Inc., 5.75%, 6/15/21	EUR		100		104,274

					14,915,983
Airlines — 0.2%
American Airlines Group, Inc., 4.63%, 3/01/20 (a)	USD		3,144		3,002,520
American Airlines Pass-Through Trust, Series 2015-1, Class A, 3.38%, 5/01/27			8,620		8,673,603
Southwest Airlines Co.:
2.75%, 11/06/19			1,486		1,536,193
2.65%, 11/05/20			3,015		3,111,959
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 9/15/28 (a)			1,902		1,843,749
United Airlines Pass-Through Trust, Series 2014-1, Class B, 4.75%, 10/11/23			479		482,781

					18,650,805
Auto Components — 0.1%
AA Bond Co. Ltd., 5.50%, 7/31/43	GBP		875		1,109,519
BorgWarner, Inc., 3.38%, 3/15/25	USD		2,992		3,059,377
Dakar Finance SA, 9.00% (9.00% Cash or 9.25% PIK), 11/15/20 (g)	EUR		100		107,757
Delphi Automotive PLC, 4.25%, 1/15/26	USD		3,630		3,966,995
Faurecia, 3.63%, 6/15/23	EUR		200		224,415
FTE Verwaltungs GmbH, 9.00%, 7/15/20			100		116,802
Gestamp Funding Luxembourg SA, 3.50%, 5/15/23			125		141,237
ZF North America Capital, Inc., 2.75%, 4/27/23			100		113,905

					8,840,007
Automobiles — 0.1%
Daimler Finance North America LLC, 2.45%, 5/18/20 (a)	USD		6,605		6,796,829
Fiat Chrysler Finance Europe:
6.63%, 3/15/18	EUR		183		217,433
4.75%, 3/22/21			100		119,249
4.75%, 7/15/22			144		171,231
Suzuki Motor Corp.:
0.00%, 3/31/21 (h)(i)	JPY		30,000		299,956
0.00%, 3/31/23 (h)(i)			40,000		404,300

					8,008,998
Banks — 2.5%
Allied Irish Banks PLC, 4.13%, 11/26/25 (b)	EUR		925		954,513
Banco Espirito Santo SA:
2.63%, 5/08/17 (d)(j)			400		110,975
4.75%, 1/15/18 (d)(j)			2,200		610,365
4.00%, 1/21/19 (d)(j)			5,200		1,442,681
Banco Popolare SC, 3.50%, 3/14/19			300		341,485
Bank of America Corp.:
2.25%, 4/21/20	USD		7,485		7,526,849


Corporate Bonds		Par (000)		Value
Banks (continued)
3.30%, 1/11/23	USD		7,777	$	8,003,676
3.88%, 8/01/25			15,764		16,722,625
4.88%, 4/01/44			901		1,026,776
Bank of Ireland, 4.25%, 6/11/24 (b)	EUR		1,686		1,815,506
Bankia SA, 4.00%, 5/22/24 (b)			4,300		4,499,071
Barclays Bank PLC, 7.63%, 11/21/22	USD		226		243,233
BB&T Corp., 2.45%, 1/15/20			4,200		4,317,046
Branch Banking & Trust Co., 2.30%, 10/15/18			1,855		1,901,407
Citigroup, Inc.:
1.80%, 2/05/18			6,961		6,989,540
2.50%, 9/26/18			8,073		8,233,007
2.50%, 7/29/19			10,612		10,809,702
3.50%, 5/15/23			4,389		4,479,049
3.88%, 3/26/25			4,740		4,787,921
Citizens Bank N.A., 2.30%, 12/03/18			2,754		2,790,039
Commerzbank AG:
7.75%, 3/16/21	EUR		4,300		5,682,685
4.00%, 3/23/26			900		1,021,108
Commonwealth Bank of Australia, 2.85%, 5/18/26	USD		665		672,655
Cooperatieve Rabobank UA, 4.38%, 8/04/25			5,045		5,269,644
EIB Sukuk Co. Ltd., 3.54%, 5/31/21			850		868,063
Fifth Third Bank, 2.25%, 6/14/21			7,204		7,316,368
HSH Nordbank AG:
0.54%, 2/14/17 (b)	EUR		3,140		3,275,691
0.58%, 2/14/17 (b)			1,103		1,150,616
Ibercaja Banco SA, 5.00%, 7/28/25 (b)			100		101,083
Intesa Sanpaolo SpA:
6.63%, 9/13/23			2,575		3,306,930
2.86%, 4/23/25			100		106,657
JPMorgan Chase & Co.:
1.35%, 2/15/17	USD		9,255		9,273,806
2.20%, 10/22/19			3,691		3,751,750
2.75%, 6/23/20			3,909		4,027,959
2.55%, 10/29/20			7,880		8,050,917
3.88%, 9/10/24			8,950		9,266,266
3.90%, 7/15/25			4,236		4,568,776
3.20%, 6/15/26			10,019		10,297,809
4.25%, 10/01/27			3,750		3,967,624
Lloyds Banking Group PLC, 5.30%, 12/01/45 (a)			947		990,316
Mitsubishi UFJ Financial Group, Inc., 3.85%, 3/01/26			600		654,592
Mizuho Financial Group, Inc., 3.48%, 4/12/26			950		1,016,215
Santander UK Group Holdings PLC, 4.75%, 9/15/25 (a)			2,423		2,391,549
Shinhan Bank, 3.88%, 3/24/26			470		485,942
U.S. Bancorp:
2.95%, 7/15/22			7,244		7,538,367
3.10%, 4/27/26			4,705		4,893,887
UniCredit SpA:
6.95%, 10/31/22	EUR		200		249,260
5.75%, 10/28/25 (b)			4,820		5,536,768
4.38%, 1/03/27 (b)			100		109,039
United Overseas Bank Ltd., 3.50%, 9/16/26 (b)	USD		800		818,840
Vietnam Joint Stock Commercial Bank for Industry and Trade, 8.00%, 5/17/17			200		206,000
Washington Mutual Bank:
0.00%, 5/01/09 (d)(j)			6,465		1,357,650
0.00%, 11/06/09 (d)(j)			6,710		1,409,100
0.00%, 6/16/10 (d)(j)			3,115		654,150
0.00%, 12/31/49 (d)(j)			2,570		539,700
Wells Fargo & Co.:
2.60%, 7/22/20			4,233		4,350,326
2.55%, 12/07/20			3,376		3,474,377
3.55%, 9/29/25			6,920		7,374,921


Corporate Bonds		Par (000)		Value
Banks (continued)
3.00%, 4/22/26	USD		18,359	$	18,714,265
3.90%, 5/01/45			4,985		5,232,361
4.90%, 11/17/45			1,903		2,082,460
Woori Bank, 4.75%, 4/30/24			1,800		1,892,378
Yamaguchi Financial Group, Inc., 0.13%, 3/26/20 (b)(h)			400		384,700

					241,939,036
Beverages — 0.5%
Anheuser-Busch InBev Finance, Inc.:
2.65%, 2/01/21			11,072		11,481,830
3.30%, 2/01/23			6,425		6,769,830
3.65%, 2/01/26			8,575		9,185,934
4.70%, 2/01/36			2,580		2,899,218
4.90%, 2/01/46			3,778		4,427,219
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 7/15/42			1,513		1,513,881
Molson Coors Brewing Co.:
3.00%, 7/15/26			6,463		6,456,627
5.00%, 5/01/42			1,111		1,245,150
4.20%, 7/15/46			2,303		2,312,848
PepsiCo., Inc., 4.45%, 4/14/46			4,840		5,648,183

					51,940,720
Biotechnology — 0.7%
AbbVie, Inc.:
2.50%, 5/14/20			6,302		6,442,680
2.90%, 11/06/22			5,173		5,274,494
4.50%, 5/14/35			2,860		2,989,166
Amgen, Inc.:
2.13%, 5/01/20			4,058		4,122,084
4.40%, 5/01/45			2,374		2,466,254
4.66%, 6/15/51 (a)			4,799		5,014,058
Biogen, Inc.:
2.90%, 9/15/20			1,721		1,793,552
3.63%, 9/15/22			2,939		3,119,775
4.05%, 9/15/25			2,474		2,663,140
5.20%, 9/15/45			1,945		2,187,236
Celgene Corp.:
2.25%, 5/15/19			3,542		3,601,049
3.25%, 8/15/22			4,371		4,514,579
Gilead Sciences, Inc.:
2.35%, 2/01/20			1,209		1,240,207
3.65%, 3/01/26			931		1,013,094
4.60%, 9/01/35			1,057		1,175,273
4.80%, 4/01/44			8,399		9,449,119
4.50%, 2/01/45			2,446		2,666,177
4.75%, 3/01/46			2,685		3,053,122

					62,785,059
Building Products — 0.0%
Standard Industries, Inc., 6.00%, 10/15/25 (a)			1,285		1,342,825
Capital Markets — 1.7%
Bank of New York Mellon Corp.:
2.10%, 1/15/19			6,780		6,931,418
2.05%, 5/03/21			32,461		32,971,319
CPUK Finance Ltd., 7.00%, 2/28/42	GBP		200		272,908
Credit Suisse AG:
3.00%, 10/29/21	USD		2,841		2,910,031
5.75%, 9/18/25 (b)	EUR		1,530		1,791,497
Credit Suisse Group Funding Guernsey Ltd.:
2.75%, 3/26/20	USD		7,681		7,583,467
4.88%, 5/15/45			2,635		2,623,970
Deutsche Bank AG, 4.50%, 5/19/26	EUR		1,200		1,291,954
Goldman Sachs Group, Inc.:
2.63%, 1/31/19	USD		10,208		10,447,561


Corporate Bonds		Par (000)		Value
Capital Markets (continued)
2.00%, 4/25/19	USD		2,308	$	2,331,678
2.60%, 4/23/20			5,099		5,183,868
2.75%, 9/15/20			2,492		2,543,697
2.63%, 4/25/21			4,993		5,063,541
3.50%, 1/23/25			3,983		4,092,564
3.75%, 5/22/25			10,787		11,265,630
4.80%, 7/08/44			1,798		1,990,361
4.75%, 10/21/45			2,749		3,030,179
Jefferies Group LLC, 6.50%, 1/20/43			1,239		1,230,245
Morgan Stanley:
2.80%, 6/16/20			8,614		8,825,965
3.75%, 2/25/23			5,956		6,308,446
3.70%, 10/23/24			6,314		6,606,805
4.00%, 7/23/25			11,093		11,878,262
3.88%, 1/27/26			6,448		6,845,119
4.30%, 1/27/45			4,645		4,889,076
State Street Corp., 2.65%, 5/19/26			9,906		10,107,944
UBS AG, 4.75%, 5/22/23 (b)			625		637,500
UBS Group Funding Jersey Ltd., 4.13%, 9/24/25 (a)			2,534		2,626,613

					162,281,618
Chemicals — 0.2%
Agrium, Inc., 4.13%, 3/15/35			2,135		2,061,772
CF Industries, Inc.:
3.45%, 6/01/23			2,140		2,138,091
5.38%, 3/15/44			3,456		3,259,198
Dow Chemical Co.:
4.38%, 11/15/42			1,370		1,398,952
4.63%, 10/01/44			2,072		2,194,182
Eastman Chemical Co., 4.80%, 9/01/42			2,205		2,285,516
Ecolab, Inc., 2.25%, 1/12/20			2,950		3,003,017
Huntsman International LLC, 5.13%, 4/15/21	EUR		200		224,725
INEOS Finance PLC, 4.00%, 5/01/23			200		212,864
INOVYN Finance PLC, 6.25%, 5/15/21			100		112,934
Kansai Paint Co Ltd., 0.00%, 6/17/22 (h)(i)	JPY		30,000		295,488
Monitchem HoldCo 3 SA, 5.25%, 6/15/21	EUR		100		109,311
Monsanto Co., 3.60%, 7/15/42	USD		2,845		2,458,851
PSPC Escrow Corp., 6.00%, 1/02/23	EUR		291		272,883
Sherwin-Williams Co., 4.00%, 12/15/42	USD		971		969,027
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22	EUR		100		111,614
Yingde Gases Investment Ltd., 8.13%, 4/22/18	USD		400		340,000

					21,448,425
Commercial Services & Supplies — 0.2%
Aviation Capital Group Corp., 2.88%, 9/17/18 (a)			6,335		6,271,650
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18	EUR		200		220,628
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK), 12/01/18 (g)			856		915,144
Republic Services, Inc., 3.20%, 3/15/25	USD		4,801		5,014,952
Transfield Services Ltd., 8.38%, 5/15/20 (a)			200		213,500
Verisure Holding AB, 6.00%, 11/01/22	EUR		150		177,200
Waste Management, Inc.:
3.13%, 3/01/25	USD		2,270		2,373,503
3.90%, 3/01/35			2,526		2,646,945

					17,833,522
Communications Equipment — 0.1%
Harris Corp.:
2.70%, 4/27/20			1,299		1,316,655
4.85%, 4/27/35			3,635		3,990,423
5.05%, 4/27/45			1,470		1,667,327
Juniper Networks, Inc., 3.30%, 6/15/20			2,728		2,812,784

					9,787,189


Corporate Bonds		Par (000)		Value
Construction & Engineering — 0.0%
Kandenko Co. Ltd., 0.00%, 3/31/21 (h)(i)	JPY		30,000	$	301,917
Construction Materials — 0.0%
Cemex Finance LLC:
9.38%, 10/12/22 (a)	USD		1,108		1,218,800
4.63%, 6/15/24	EUR		100		108,729
HeidelbergCement AG, 2.25%, 3/30/23			75		84,901

					1,412,430
Consumer Finance — 1.8%
American Express Credit Corp.:
1.13%, 6/05/17	USD		10,032		10,030,626
2.25%, 8/15/19			6,261		6,391,341
Capital One Bank USA N.A., 2.30%, 6/05/19			1,000		1,012,416
Capital One Financial Corp.:
4.75%, 7/15/21			160		178,102
4.20%, 10/29/25			4,105		4,220,112
Capital One N.A.:
2.40%, 9/05/19			650		658,601
2.95%, 7/23/21			12,169		12,505,035
Ford Motor Credit Co. LLC:
1.72%, 12/06/17			24,350		24,401,792
2.15%, 1/09/18			5,342		5,388,780
2.02%, 5/03/19			24,952		25,164,317
3.34%, 3/18/21			12,423		12,884,229
4.25%, 9/20/22			4,430		4,777,263
General Motors Financial Co., Inc.:
2.63%, 7/10/17			6,640		6,701,380
4.75%, 8/15/17			4,115		4,246,001
3.10%, 1/15/19			1,546		1,579,330
3.70%, 11/24/20			4,313		4,431,215
3.20%, 7/06/21			19,719		19,750,373
3.45%, 4/10/22			3,344		3,341,639
4.00%, 1/15/25			6,362		6,437,135
Hyundai Capital Services, Inc., 2.88%, 3/16/21			1,000		1,029,750
Synchrony Financial:
2.60%, 1/15/19			3,356		3,392,725
2.70%, 2/03/20			1,986		1,991,436
4.50%, 7/23/25			4,007		4,154,854
Toyota Motor Credit Corp., 2.75%, 5/17/21			6,048		6,339,804

					171,008,256
Containers & Packaging — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
4.25%, 1/15/22	EUR		100		112,918
4.13%, 5/15/23			100		112,501
6.75%, 5/15/24			175		197,120
Ball Corp., 4.38%, 12/15/23			200		239,152
Crown European Holdings SA:
4.00%, 7/15/22			147		173,330
3.38%, 5/15/25			159		176,292
Horizon Holdings I SASU, 7.25%, 8/01/23			100		114,887
International Paper Co.:
3.65%, 6/15/24	USD		2,748		2,905,886
4.80%, 6/15/44			1,913		1,944,861
OI European Group BV, 6.75%, 9/15/20	EUR		75		97,215
ProGroup AG, 5.13%, 5/01/22			190		221,396
Sealed Air Corp., 4.50%, 9/15/23			142		166,252
Verallia Packaging SASU, 5.13%, 8/01/22			175		200,276

					6,662,086
Distributors — 0.0%
LKQ Italia Bondco SpA, 3.88%, 4/01/24			100		113,750
Diversified Consumer Services — 0.1%
Cognita Financing PLC, 7.75%, 8/15/21	GBP		200		269,984


Corporate Bonds		Par (000)		Value
Diversified Consumer Services (continued)
Massachusetts Institute of Technology, 3.96%, 7/01/38	USD		1,385	$	1,580,519
Wesleyan University, 4.78%, 7/01/16			2,607		2,796,406

					4,646,909
Diversified Financial Services — 0.8%
ABQ Finance Ltd., 3.63%, 4/13/21			700		711,788
Altice Financing SA, 5.25%, 2/15/23	EUR		472		527,733
Annington Finance No. 4 PLC, 1.56%, 1/10/23 (b)	GBP		1		724
APT Pipelines Ltd.:
3.88%, 10/11/22	USD		211		219,124
4.20%, 3/23/25			600		611,730
Berkshire Hathaway, Inc., 3.13%, 3/15/26			10,475		10,983,498
BP Capital Markets PLC, 2.24%, 5/10/19			8,103		8,320,938
BPE Financiaciones SA, 2.00%, 2/03/20	EUR		4,000		4,334,480
CK Hutchison Finance 16 Ltd., 1.25%, 4/06/23			263		292,511
CNH Industrial Finance Europe SA, 2.88%, 5/17/23			250		277,439
eircom Finance DAC, 4.50%, 5/31/22			100		109,566
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22	GBP		425		535,175
GE Capital International Funding Co., 3.37%, 11/15/25 (a)	USD		10,328		11,208,255
General Electric Capital Corp.:
3.15%, 9/07/22			1,614		1,732,122
3.10%, 1/09/23			2,347		2,507,089
Hanrui Overseas Investment Co. Ltd., 4.90%, 6/28/19			700		696,500
HeidelbergCement Finance Luxembourg SA, 3.25%, 10/21/21	EUR		84		100,869
Intercontinental Exchange, Inc.:
2.75%, 12/01/20	USD		2,129		2,229,318
3.75%, 12/01/25			1,363		1,470,336
Mercury Bondco PLC, 8.25% (8.25% Cash or 9.00% PIK), 5/30/21 (g)	EUR		1,257		1,378,794
Moody’s Corp., 4.50%, 9/01/22	USD		3,239		3,600,994
Shell International Finance BV:
2.13%, 5/11/20			9,462		9,657,163
4.13%, 5/11/35			8,405		9,063,826
3.63%, 8/21/42			2,135		2,054,617
Thomas Cook Finance PLC, 6.75%, 6/15/21	EUR		260		267,184
Virgin Media Finance PLC:
6.38%, 10/15/24	GBP		100		132,460
4.50%, 1/15/25	EUR		104		111,375
Virgin Media Secured Finance PLC:
6.00%, 4/15/21	GBP		369		504,743
5.50%, 1/15/25			1,530		1,996,087
4.88%, 1/15/27			823		1,024,409
Woodside Finance Ltd., 3.65%, 3/05/25 (a)	USD		562		548,969

					77,209,816
Diversified Telecommunication Services — 1.3%
AT&T Inc.:
2.38%, 11/27/18			3,181		3,246,328
2.30%, 3/11/19			3,858		3,940,110
2.45%, 6/30/20			7,861		8,025,759
4.60%, 2/15/21			10,051		10,998,669
3.88%, 8/15/21			4,529		4,879,214
3.00%, 6/30/22			12,219		12,513,160
3.40%, 5/15/25			8,503		8,697,778
6.38%, 3/01/41			1,994		2,426,624
4.30%, 12/15/42			4,827		4,673,569
4.75%, 5/15/46			1,887		1,933,935
Bharti Airtel International Netherlands BV, 5.13%, 3/11/23			1,071		1,157,348
OTE PLC, 3.50%, 7/09/20	EUR		200		216,957


Corporate Bonds		Par (000)		Value
Diversified Telecommunication Services (continued)
Proven Honour Capital Ltd.:
4.13%, 5/19/25	USD		2,100	$	2,181,690
4.13%, 5/06/26			700		725,438
Telecom Italia Capital SA:
6.38%, 11/15/33			709		704,569
6.00%, 9/30/34			595		568,225
Telecom Italia Finance SA:
6.13%, 11/15/16 (h)	EUR		600		644,213
7.75%, 1/24/33			885		1,307,101
Telecom Italia SpA:
4.50%, 1/25/21			100		125,651
3.25%, 1/16/23			940		1,109,145
3.63%, 1/19/24			700		826,688
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22			100		118,466
6.75%, 8/15/24			200		243,591
Telenet Finance VI Luxembourg SCA, 4.88%, 7/15/27			100		112,640
Verizon Communications, Inc.:
2.63%, 2/21/20	USD		8,455		8,749,784
3.45%, 3/15/21			10,544		11,297,158
5.05%, 3/15/34			2,196		2,437,329
4.40%, 11/01/34			9,689		9,990,783
3.85%, 11/01/42			6,499		6,112,043
4.86%, 8/21/46			15,883		17,361,501
Wind Acquisition Finance SA:
4.00%, 7/15/20	EUR		300		327,933
7.00%, 4/23/21			100		108,201
7.38%, 4/23/21 (a)	USD		800		762,000
Ziggo Bond Finance BV, 4.63%, 1/15/25	EUR		491		519,007

					129,042,607
Electric Utilities — 1.4%
1MDB Energy Ltd., 5.99%, 5/11/22	USD		2,000		2,093,364
Alabama Power Co., 2.80%, 4/01/25			852		882,583
Chugoku Electric Power Co., Inc.:
0.00%, 3/23/18 (h)(i)	JPY		20,000		194,354
0.00%, 3/25/20 (h)(i)			10,000		97,371
Commonwealth Edison Co., 4.70%, 1/15/44	USD		3,421		4,116,698
ContourGlobal Power Holdings SA, 5.13%, 6/15/21	EUR		100		109,122
Duke Energy Carolinas LLC:
4.25%, 12/15/41	USD		5,237		5,868,242
3.75%, 6/01/45			2,111		2,228,878
Duke Energy Corp.:
3.05%, 8/15/22			243		252,499
3.75%, 4/15/24			3,025		3,248,209
4.80%, 12/15/45			2,775		3,212,876
Duke Energy Florida LLC, 3.85%, 11/15/42			2,111		2,230,746
Emera U.S. Finance LP:
2.15%, 6/15/19 (a)			4,838		4,894,280
2.70%, 6/15/21 (a)			7,299		7,437,958
3.55%, 6/15/26 (a)			5,748		5,881,578
Entergy Arkansas, Inc., 3.70%, 6/01/24			6,698		7,342,127
Exelon Corp.:
2.85%, 6/15/20			6,160		6,354,459
2.45%, 4/15/21			1,306		1,324,373
Florida Power & Light Co., 3.80%, 12/15/42			1,591		1,712,468
Northern States Power Co., 3.60%, 5/15/46			8,913		9,371,627
PacifiCorp:
3.60%, 4/01/24			9,368		10,289,849
3.35%, 7/01/25			8,178		8,841,841
Progress Energy, Inc., 4.88%, 12/01/19			810		891,817
Public Service Co. of Colorado, 2.50%, 3/15/23			4,114		4,199,086
Puget Sound Energy, Inc., 4.30%, 5/20/45			4,431		5,070,384


Corporate Bonds		Par (000)		Value
Electric Utilities (continued)
Southern California Edison Co., 1.25%, 11/01/17	USD		1,306	$	1,312,355
Southern Co., 3.25%, 7/01/26			21,875		22,722,066
Tohoku Electric Power Co., Inc.:
0.00%, 12/03/18 (h)(i)	JPY		10,000		96,838
0.00%, 12/03/20 (h)(i)			20,000		194,403
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25 (a)	USD		6,547		6,999,751
Viridian Group FundCo II Ltd., 7.50%, 3/01/20	EUR		616		707,023

					130,179,225
Electrical Equipment — 0.0%
AE-Rotor Holding BV, 4.97%, 3/28/18	USD		35		35,095
Rapid Holding GmbH, 6.63%, 11/15/20	EUR		100		114,760
Rockwell Automation, Inc., 2.88%, 3/01/25	USD		3,443		3,572,564
Trionista Holdco GmbH, 5.00%, 4/30/20	EUR		305		346,514

					4,068,933
Electronic Equipment, Instruments & Components — 0.0%
TPK Holding Co. Ltd., 0.00%, 4/08/20 (h)(i)	USD		500		432,500
Energy Equipment & Services — 0.1%
Schlumberger Holdings Corp., 3.00%, 12/21/20 (a)			5,877		6,129,452
Transocean, Inc.:
6.50%, 11/15/20 (k)			800		710,960
6.80%, 3/15/38			673		439,133

					7,279,545
Food & Staples Retailing — 0.3%
Brakes Capital, 7.13%, 12/15/18	GBP		350		482,527
Casino Guichard Perrachon SA:
3.99%, 3/09/20	EUR		400		490,767
3.31%, 1/25/23			300		356,648
3.30%, 3/07/24			100		115,788
2.33%, 2/07/25			100		109,636
2.80%, 8/05/26			800		909,174
CVS Health Corp.:
4.00%, 12/05/23	USD		3,170		3,505,554
5.30%, 12/05/43			1,855		2,315,658
Sysco Corp., 4.50%, 4/01/46			1,608		1,715,299
Tesco Corporate Treasury Services PLC, 2.50%, 7/01/24	EUR		156		168,933
Tesco PLC:
5.00%, 3/24/23	GBP		100		137,099
6.00%, 12/14/29			100		137,854
Tesco Property Finance 5 PLC, 5.66%, 10/13/41			99		118,913
Walgreens Boots Alliance, Inc.:
4.80%, 11/18/44	USD		11,528		12,401,788
4.65%, 6/01/46			267		284,761
Wal-Mart Stores, Inc.:
2.55%, 4/11/23			2,800		2,922,469
4.00%, 4/11/43			2,020		2,242,210

					28,415,078
Food Products — 0.1%
Biostime International Holdings Ltd., 7.25%, 6/21/21			300		308,957
Galapagos SA, 5.38%, 6/15/21	EUR		100		102,319
Kraft Heinz Foods Co.:
3.00%, 6/01/26 (a)	USD		4,502		4,538,817
6.88%, 1/26/39			1,260		1,720,524
Marfrig Holdings Europe BV, 8.00%, 6/08/23 (a)			752		767,416
Tereos Finance Groupe I SA, 4.13%, 6/16/23	EUR		200		221,108

					7,659,141


Corporate Bonds		Par (000)		Value
Health Care Equipment & Supplies — 0.8%
Abbott Laboratories, 2.55%, 3/15/22	USD		6,678	$	6,830,325
Becton Dickinson and Co.:
1.45%, 5/15/17			3,756		3,765,762
1.80%, 12/15/17			1,530		1,542,508
2.68%, 12/15/19			5,222		5,370,994
3.13%, 11/08/21			2,674		2,805,649
4.69%, 12/15/44			703		791,984
Boston Scientific Corp.:
2.65%, 10/01/18			3,738		3,820,939
2.85%, 5/15/20			4,165		4,314,703
3.85%, 5/15/25			4,671		4,940,774
Medtronic, Inc.:
2.50%, 3/15/20			3,561		3,693,159
3.13%, 3/15/22			3,261		3,456,787
3.63%, 3/15/24			8,093		8,907,358
4.63%, 3/15/44			4,795		5,600,268
4.63%, 3/15/45			3,768		4,430,757
Nipro Corp., 0.00%, 1/29/21 (h)(i)	JPY		10,000		104,585
St. Jude Medical, Inc.:
2.80%, 9/15/20	USD		2,980		3,072,031
3.88%, 9/15/25			952		1,014,046
Stryker Corp.:
3.38%, 11/01/25			1,370		1,437,693
3.50%, 3/15/26			2,693		2,856,950
4.63%, 3/15/46			2,325		2,612,221
Zimmer Biomet Holdings, Inc.:
3.55%, 4/01/25			1,625		1,674,891
4.25%, 8/15/35			3,827		3,836,422

					76,880,806
Health Care Providers & Services — 1.1%
Aetna, Inc.:
2.40%, 6/15/21			8,985		9,167,234
3.20%, 6/15/26			10,154		10,446,679
4.50%, 5/15/42			2,824		2,989,523
4.13%, 11/07/42			1,329		1,344,806
AmerisourceBergen Corp.:
1.15%, 5/15/17			5,031		5,029,702
3.25%, 3/01/25			1,185		1,243,002
4.25%, 3/01/45			1,185		1,252,066
Anthem, Inc.:
1.88%, 1/15/18			9,949		10,005,321
2.30%, 7/15/18			14,113		14,316,016
3.30%, 1/15/23			6,719		6,940,223
4.65%, 8/15/44			1,902		2,025,529
Baylor Scott & White Holdings, 4.19%, 11/15/45			1,525		1,700,377
Catholic Health Initiatives, 4.35%, 11/01/42			1,075		1,084,446
Cigna Corp., 3.25%, 4/15/25			7,074		7,185,005
Dignity Health, 5.27%, 11/01/64			1,621		1,931,613
Ephios Holdco II PLC, 8.25%, 7/01/23	EUR		100		112,640
Express Scripts Holding Co.:
1.25%, 6/02/17	USD		4,006		4,003,196
3.90%, 2/15/22			2,292		2,456,281
IDH Finance PLC, 6.00%, 12/01/18	GBP		100		129,132
Laboratory Corp. of America Holdings, 2.63%, 2/01/20	USD		2,946		3,009,015
New York & Presbyterian Hospital, 3.56%, 8/01/36			1,321		1,390,508
Ochsner Clinic Foundation, 5.90%, 5/15/45			1,305		1,648,548
Southern Baptist Hospital of Florida, Inc., 4.86%, 7/15/45			1,250		1,525,626
Synlab Bondco PLC, 6.25%, 7/01/22	EUR		100		117,079
UnitedHealth Group, Inc.:
2.70%, 7/15/20	USD		1,721		1,792,454


Corporate Bonds		Par (000)		Value
Health Care Providers & Services (continued)
2.88%, 12/15/21	USD		3,138	$	3,305,117
3.35%, 7/15/22			1,701		1,819,767
4.63%, 7/15/35			689		800,203
3.95%, 10/15/42			4,264		4,461,206
Voyage Care Bondco PLC, 11.00%, 2/01/19	GBP		1,800		2,312,633

					105,544,947
Hotels, Restaurants & Leisure — 0.2%
Cirsa Funding Luxembourg SA:
5.75%, 5/15/21	EUR		125		142,617
5.88%, 5/15/23			100		111,586
Gala Electric Casinos PLC, 11.50%, 6/01/19	GBP		108		148,518
Gala Group Finance PLC, 8.88%, 9/01/18			70		95,970
International Game Technology PLC:
6.25%, 2/15/22 (a)	USD		200		203,250
4.75%, 2/15/23	EUR		100		114,860
McDonald’s Corp.:
2.75%, 12/09/20	USD		1,193		1,245,496
3.70%, 1/30/26			1,144		1,236,028
4.70%, 12/09/35			853		962,222
4.60%, 5/26/45			1,081		1,206,541
4.88%, 12/09/45			1,005		1,175,126
Pizzaexpress Financing 2 PLC, 6.63%, 8/01/21	GBP		100		124,784
PortAventura Entertainment Barcelona BV:
5.42%, 12/01/19 (b)	EUR		400		441,685
7.25%, 12/01/20			1,686		1,941,254
Punch Taverns Finance B Ltd.:
Series A6, 5.94%, 9/30/22	GBP		1,592		1,934,604
Series A7, 5.27%, 3/30/24			826		954,176
Punch Taverns Finance PLC:
0.59%, 7/15/21 (b)			238		281,596
Series M3, 6.09%, 10/15/27 (a)(b)			1,055		1,191,455
Snai SpA, 7.63%, 6/15/18	EUR		100		114,305
Unique Pub Finance Co. PLC:
Series M, 7.40%, 3/28/24	GBP		1,150		1,455,929
Series A4, 5.66%, 6/30/27			3,184		4,173,487
Series N, 6.46%, 3/30/32			1,473		1,646,558
Vougeot Bidco PLC, 7.88%, 7/15/20			200		272,242

					21,174,289
Household Durables — 0.1%
K. Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)	USD		1,017		879,705
Newell Brands, Inc.:
2.88%, 12/01/19			6,986		7,179,442
4.20%, 4/01/26			4,149		4,497,728

					12,556,875
Household Products — 0.1%
Kimberly-Clark Corp.:
1.90%, 5/22/19			7,287		7,475,529
2.65%, 3/01/25			1,546		1,624,767
2.75%, 2/15/26			2,245		2,356,700
Unicharm Corp., 0.00%, 9/25/20 (h)(i)	JPY		20,000		223,938

					11,680,934
Independent Power and Renewable Electricity Producers — 0.0%
AES Gener SA, 5.00%, 7/14/25 (a)	USD		1,111		1,141,906
Greenko Dutch BV, 8.00%, 8/01/19			200		213,500

					1,355,406
Industrial Conglomerates — 0.3%
Eaton Corp., 2.75%, 11/02/22			15,788		16,185,416
General Electric Co., 4.50%, 3/11/44			9,297		10,728,543

					26,913,959


Corporate Bonds		Par (000)		Value
Insurance — 1.3%
Aflac, Inc., 3.63%, 6/15/23	USD		2,069	$	2,213,894
AIA Group Ltd., 3.20%, 3/11/25			750		764,495
Allstate Corp., 3.15%, 6/15/23			2,343		2,491,570
American International Group, Inc.:
3.38%, 8/15/20			4,216		4,423,305
3.75%, 7/10/25			2,831		2,885,369
3.90%, 4/01/26			30,029		30,945,845
3.88%, 1/15/35			2,099		2,009,717
4.50%, 7/16/44			2,823		2,731,094
4.38%, 1/15/55			1,911		1,766,855
Aon PLC, 4.75%, 5/15/45			4,012		4,303,640
Credit Agricole Assurances SA:
4.25% (b)(l)	EUR		1,100		1,148,219
4.50% (b)(l)			100		105,078
Lincoln National Corp., 3.35%, 3/09/25	USD		1,219		1,210,675
Loews Corp., 2.63%, 5/15/23			2,343		2,362,306
Marsh & McLennan Cos., Inc., 3.75%, 3/14/26			672		708,727
MassMutual Global Funding II, 2.35%, 4/09/19 (a)			5,857		6,010,588
MetLife, Inc., 4.05%, 3/01/45			5,016		4,941,302
Metropolitan Life Global Funding I:
1.30%, 4/10/17 (a)			24,105		24,180,256
2.30%, 4/10/19 (a)			11,289		11,552,372
Pension Insurance Corp. PLC, 6.50%, 7/03/24	GBP		225		275,301
Prudential Financial, Inc., 4.60%, 5/15/44	USD		5,738		6,160,409
QBE Insurance Group Ltd., 5.88%, 6/17/46 (b)			450		457,422
Sunshine Life Insurance Co. Ltd., 3.15%, 4/20/21			1,200		1,200,600
Travelers Cos., Inc., 4.60%, 8/01/43			3,289		3,931,253
XLIT Ltd., 2.30%, 12/15/18			3,195		3,227,902

					122,008,194
Internet & Catalog Retail — 0.1%
Amazon.com, Inc., 2.60%, 12/05/19			5,173		5,395,755
Internet Software & Services — 0.0%
United Group BV, 7.88%, 11/15/20	EUR		475		553,490
IT Services — 0.8%
Fidelity National Information Services, Inc., 3.63%, 10/15/20	USD		495		523,274
Hewlett Packard Enterprise Co.:
2.85%, 10/05/18 (a)			7,345		7,521,721
3.60%, 10/15/20 (a)			6,500		6,784,577
International Business Machines Corp., 3.45%, 2/19/26			26,620		28,951,912
MasterCard, Inc., 3.38%, 4/01/24			4,708		5,101,622
Rolta Americas LLC, 8.88%, 7/24/19			200		30,000
Total System Services, Inc., 4.80%, 4/01/26			8,040		8,718,447
Transcosmos, Inc., 0.00%, 12/22/20 (h)(i)	JPY		40,000		399,942
Visa, Inc.:
2.80%, 12/14/22	USD		6,996		7,380,696
3.15%, 12/14/25			5,666		6,057,583
4.15%, 12/14/35			1,919		2,170,324

					73,640,098
Life Sciences Tools & Services — 0.0%
Thermo Fisher Scientific, Inc.:
3.30%, 2/15/22			3,287		3,410,239
3.65%, 12/15/25			1,079		1,132,862

					4,543,101
Machinery — 0.1%
CRRC Corp Ltd., 0.00%, 2/05/21 (h)(i)			500		515,000
Gates Global LLC/Gates Global Co., 5.75%, 7/15/22	EUR		300		277,634


Corporate Bonds		Par (000)		Value
Machinery (continued)
Ingersoll-Rand Luxembourg Finance SA:
2.63%, 5/01/20	USD		3,162	$	3,213,009
4.65%, 11/01/44			598		641,183
John Deere Capital Corp., 3.35%, 6/12/24			5,867		6,318,272
Schaeffler Holding Finance BV, 5.75% (5.75% Cash or 6.50% PIK), 11/15/21 (g)	EUR		393		466,663

					11,431,761
Marine — 0.0%
Onorato Armatori SpA, 7.75%, 2/15/23			1,475		1,567,320
Media — 1.9%
21st Century Fox America, Inc.:
3.70%, 9/15/24	USD		2,097		2,264,167
3.70%, 10/15/25			986		1,068,031
4.75%, 9/15/44			1,468		1,626,378
4.95%, 10/15/45			425		483,920
Altice Luxembourg SA:
7.25%, 5/15/22	EUR		150		167,504
6.25%, 2/15/25			273		277,211
CBS Corp., 2.30%, 8/15/19	USD		4,291		4,357,038
Charter Communications Operating LLC/Charter Communications Operating Capital:
3.58%, 7/23/20 (a)			4,765		4,981,541
4.46%, 7/23/22 (a)			9,859		10,595,822
4.91%, 7/23/25 (a)			16,325		17,848,155
6.38%, 10/23/35 (a)			4,126		4,885,947
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22			5,914		5,914,000
Comcast Corp.:
2.75%, 3/01/23			15,055		15,766,454
3.38%, 8/15/25			5,533		5,978,600
3.15%, 3/01/26			20,270		21,575,145
4.25%, 1/15/33			1,265		1,395,757
4.40%, 8/15/35			5,694		6,422,815
4.60%, 8/15/45			1,887		2,172,628
Discovery Communications LLC:
3.45%, 3/15/25			2,326		2,275,742
4.90%, 3/11/26			13,418		14,229,440
4.88%, 4/01/43			1,038		936,429
Interpublic Group of Cos., Inc.:
4.00%, 3/15/22			2,564		2,729,081
3.75%, 2/15/23			1,814		1,888,492
Kakao Corp., 0.00%, 5/11/21 (h)(i)	KRW		400,000		346,833
LGE HoldCo VI BV, 7.13%, 5/15/24	EUR		2,786		3,408,684
NBCUniversal Media LLC, 4.45%, 1/15/43	USD		3,047		3,411,217
Numericable-SFR SA:
5.38%, 5/15/22	EUR		190		213,721
5.63%, 5/15/24			307		342,691
Omnicom Group, Inc., 3.65%, 11/01/24	USD		1,543		1,626,715
Scripps Networks Interactive, Inc., 2.75%, 11/15/19			2,774		2,831,866
Time Warner Cable, Inc.:
5.00%, 2/01/20			2,900		3,152,141
4.13%, 2/15/21			5,862		6,205,742
4.00%, 9/01/21			911		968,366
5.50%, 9/01/41			2,025		2,127,028
4.50%, 9/15/42			314		292,474
Time Warner, Inc.:
2.10%, 6/01/19			9,144		9,266,950
3.60%, 7/15/25			2,168		2,294,058
4.65%, 6/01/44			3,643		3,829,259
Unitymedia GmbH, 3.75%, 1/15/27	EUR		311		315,797
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.63%, 4/15/23			80		93,663


Corporate Bonds		Par (000)		Value
Media (continued)
4.00%, 1/15/25	EUR		1,944	$	2,169,099
4.63%, 2/15/26			600		689,957
6.25%, 1/15/29			370		454,750
Viacom, Inc.:
2.75%, 12/15/19	USD		3,111		3,156,153
4.50%, 3/01/21			3,389		3,686,944

					180,724,405
Metals & Mining — 0.3%
Anglo American Capital PLC:
1.75%, 11/20/17	EUR		100		110,311
2.75%, 6/07/19			100		108,783
1.50%, 4/01/20			100		100,659
3.50%, 3/28/22			100		104,308
3.25%, 4/03/23			100		100,661
APERAM, 0.63%, 7/08/21 (h)	USD		1,000		1,070,600
Barrick Gold Corp., 4.10%, 5/01/23			4,560		4,810,184
China Precious Metal Resources Holdings Co. Ltd., 7.25%, 2/04/18 (h)	HKD		4,588		473,156
Constellium NV, 7.88%, 4/01/21 (a)	USD		257		265,031
Glencore Finance Europe SA, 3.38%, 9/30/20	EUR		100		113,023
Newmont Mining Corp., 4.88%, 3/15/42	USD		1,600		1,582,078
Novelis, Inc., 8.75%, 12/15/20			8,380		8,736,150
Nucor Corp., 5.20%, 8/01/43			1,640		1,773,366
Outokumpu OYJ, 7.25%, 6/16/21	EUR		100		112,009
Rio Tinto Finance USA PLC, 4.13%, 8/21/42	USD		3,660		3,613,119
Steel Dynamics, Inc., 6.38%, 8/15/22			1,345		1,412,250
Vedanta Resources PLC, 8.25%, 6/07/21			470		386,575

					24,872,263
Multiline Retail — 0.1%
Enterprise Funding Ltd., 3.50%, 9/10/20 (h)	GBP		300		297,736
Hema Bondco I BV, 6.25%, 6/15/19	EUR		100		84,147
LS Finance 2022 Ltd., 4.25%, 10/16/22	USD		207		211,953
Macy’s Retail Holdings, Inc., 4.50%, 12/15/34			2,664		2,359,990
Maoye International Holdings Ltd., 7.75%, 5/19/17			405		386,775
New Look Secured Issuer PLC, 6.50%, 7/01/22	GBP		980		1,198,565
Takashimaya Co. Ltd., 0.00%, 12/11/18 (h)(i)	JPY		30,000		288,336
Target Corp.:
3.50%, 7/01/24	USD		1,756		1,945,757
4.00%, 7/01/42			2,364		2,555,240

					9,328,499
Multi-Utilities — 0.6%
Berkshire Hathaway Energy Co.:
2.40%, 2/01/20			2,045		2,100,552
3.50%, 2/01/25			2,049		2,209,881
CenterPoint Energy Houston Electric LLC, 4.50%, 4/01/44			1,838		2,168,410
CMS Energy Corp., 3.88%, 3/01/24			6,478		7,045,168
Consumers Energy Co., 3.95%, 5/15/43			1,730		1,873,666
Dominion Resources, Inc.:
1.95%, 8/15/16			4,599		4,603,410
2.50%, 12/01/19			4,927		5,033,817
DTE Electric Co., 3.95%, 6/15/42			2,111		2,290,876
DTE Energy Co.:
2.40%, 12/01/19			1,502		1,533,635
3.50%, 6/01/24			5,649		5,995,753
NiSource Finance Corp., 3.85%, 2/15/23			3,599		3,884,116
Pacific Gas & Electric Co.:
4.75%, 2/15/44			2,305		2,723,044
4.30%, 3/15/45			1,509		1,691,998
PG&E Corp., 2.40%, 3/01/19			3,154		3,215,856
Sempra Energy, 2.88%, 10/01/22			1,766		1,806,632


Corporate Bonds		Par (000)		Value
Multi-Utilities (continued)
SGSP Australia Assets Property Ltd., 3.30%, 4/09/23	USD		200	$	203,687
Virginia Electric & Power Co.:
3.45%, 2/15/24			3,217		3,484,133
4.45%, 2/15/44			1,674		1,924,079
4.20%, 5/15/45			3,498		3,895,950

					57,684,663
Oil, Gas & Consumable Fuels — 1.5%
Anadarko Petroleum Corp.:
7.95%, 6/15/39			2,217		2,703,219
4.50%, 7/15/44			2,215		2,034,327
Apache Corp., 4.25%, 1/15/44			3,430		3,320,381
Berau Capital Resources Pte. Ltd., 12.50%, 7/08/15 (d)(j)			1,800		346,500
California Resources Corp., 8.00%, 12/15/22 (a)			708		502,680
Chevron Corp.:
2.19%, 11/15/19			1,569		1,613,036
1.96%, 3/03/20			8,352		8,458,839
ConocoPhillips Co., 4.95%, 3/15/26			10,500		11,906,181
CONSOL Energy, Inc., 5.88%, 4/15/22			2,440		2,128,900
Continental Resources, Inc.:
3.80%, 6/01/24			2,254		1,966,615
4.90%, 6/01/44			2,585		2,132,625
Devon Energy Corp., 5.85%, 12/15/25			2,285		2,520,549
Enterprise Products Operating LLC:
3.90%, 2/15/24			2,635		2,788,771
3.70%, 2/15/26			6,376		6,635,235
4.45%, 2/15/43			5,999		5,948,344
EOG Resources, Inc., 3.90%, 4/01/35			1,670		1,674,319
Exxon Mobil Corp.:
1.82%, 3/15/19			7,393		7,533,327
4.11%, 3/01/46			4,075		4,595,862
GNL Quintero SA, 4.63%, 7/31/29			932		950,640
Kinder Morgan Energy Partners LP:
3.50%, 3/01/21			16,850		16,904,931
3.95%, 9/01/22			2,176		2,214,541
5.63%, 9/01/41			850		813,646
4.70%, 11/01/42			3,488		3,142,458
Kinder Morgan, Inc., 3.05%, 12/01/19			1,411		1,425,736
Marathon Petroleum Corp., 4.75%, 9/15/44			1,852		1,579,250
MEG Energy Corp.:
6.50%, 3/15/21 (a)			910		705,250
7.00%, 3/31/24 (a)			6,027		4,640,790
Noble Energy, Inc., 5.05%, 11/15/44			2,280		2,296,026
Occidental Petroleum Corp., 3.40%, 4/15/26			4,110		4,334,784
Phillips 66, 4.88%, 11/15/44			1,973		2,153,652
Pioneer Natural Resources Co., 4.45%, 1/15/26			1,600		1,743,194
Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/25			3,700		3,735,694
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21			4,890		4,938,900
5.63%, 4/15/23			1,053		1,056,949
Sabine Pass LNG LP, 7.50%, 11/30/16			6,105		6,220,995
Sunoco Logistics Partners Operations LP, 5.35%, 5/15/45			1,620		1,605,311
TransCanada PipeLines Ltd.:
1.88%, 1/12/18			2,030		2,039,736
2.50%, 8/01/22			2,481		2,464,479
4.63%, 3/01/34			4,744		4,987,903
Tullow Oil PLC, 6.00%, 11/01/20 (a)			200		161,500
Valero Energy Corp., 3.65%, 3/15/25			5,688		5,695,929

					144,622,004


Corporate Bonds		Par (000)		Value
Paper & Forest Products — 0.0%
Georgia-Pacific LLC, 7.38%, 12/01/25	USD		3,288	$	4,381,783
Sappi Papier Holding GmbH, 4.00%, 4/01/23	EUR		100		113,472
Stora Enso OYJ, 2.13%, 6/16/23			100		110,899

					4,606,154
Pharmaceuticals — 1.1%
Actavis Funding SCS:
2.35%, 3/12/18	USD		9,237		9,362,891
3.00%, 3/12/20			21,662		22,340,649
AstraZeneca PLC:
3.38%, 11/16/25			5,330		5,587,679
4.38%, 11/16/45			1,503		1,639,227
Bristol-Myers Squibb Co., 4.50%, 3/01/44			2,433		3,004,677
Eli Lilly & Co., 3.70%, 3/01/45			1,793		1,909,670
GlaxoSmithKline Capital PLC, 2.85%, 5/08/22			3,380		3,556,629
Johnson & Johnson, 2.45%, 3/01/26			12,709		13,151,998
Mylan, Inc., 3.13%, 1/15/23 (a)			2,334		2,317,667
Novartis Capital Corp.:
4.40%, 4/24/20			4,997		5,566,953
3.00%, 11/20/25			2,140		2,273,114
4.00%, 11/20/45			1,495		1,704,139
Pfizer, Inc.:
2.75%, 6/03/26			17,172		17,707,869
4.30%, 6/15/43			2,474		2,780,504
4.40%, 5/15/44			1,945		2,217,028
Roche Holdings, Inc.:
2.88%, 9/29/21 (a)			3,372		3,586,628
3.00%, 11/10/25 (a)			2,159		2,296,723
Teva Pharmaceutical Finance Co. BV, 3.65%, 11/10/21			1,237		1,310,881
Valeant Pharmaceuticals International, Inc., 4.50%, 5/15/23	EUR		1,908		1,598,646
Zoetis, Inc., 3.25%, 2/01/23	USD		2,248		2,290,759

					106,204,331
Real Estate Investment Trusts (REITs) — 0.3%
American Tower Corp.:
3.30%, 2/15/21			2,758		2,877,151
3.45%, 9/15/21			2,787		2,900,882
3.50%, 1/31/23			783		810,213
5.00%, 2/15/24			785		887,837
4.40%, 2/15/26			541		587,363
3.38%, 10/15/26			5,542		5,570,829
AvalonBay Communities, Inc., 3.50%, 11/15/25			485		510,479
Cromwell SPV Finance Property Ltd., 2.00%, 2/04/20 (h)	EUR		800		875,596
Crown Castle International Corp.:
3.40%, 2/15/21	USD		1,628		1,699,526
3.70%, 6/15/26			1,252		1,291,677
ERP Operating LP, 3.38%, 6/01/25			2,090		2,204,440
Goodman Funding Property Ltd., 6.00%, 3/22/22			500		580,876
Omega Healthcare Investors, Inc., 4.50%, 4/01/27			1,662		1,655,380
Prologis LP, 3.75%, 11/01/25			800		852,668
Simon Property Group LP:
2.50%, 7/15/21			1,649		1,698,917
3.38%, 10/01/24			3,162		3,391,656
4.25%, 10/01/44			2,545		2,746,208

					31,141,698
Real Estate Management & Development — 0.1%
Annington Finance No. 5 PLC, 13.00% (13.00% Cash or 13.50% PIK), 1/15/23 (g)	GBP		315		483,966
Aroundtown Property Holdings PLC:
3.00%, 5/05/20 (h)	EUR		2,600		3,904,761


Corporate Bonds		Par (000)		Value
Real Estate Management & Development (continued)
3.00%, 12/09/21	EUR		2,100	$	2,377,374
China Aoyuan Property Group Ltd., 6.53%, 4/25/19	USD		750		756,776
China Overseas Finance Investment Cayman V Ltd., 0.00%, 1/05/23 (h)(i)			1,400		1,412,250
Shui On Development Holding Ltd.:
7.50% (b)(h)(l)			500		507,500
6.88%, 2/26/17	CNH		2,900		437,812
Vingroup JSC, 11.63%, 5/07/18	USD		1,210		1,294,700

					11,175,139
Road & Rail — 0.6%
Burlington Northern Santa Fe LLC:
3.45%, 9/15/21			1,205		1,305,865
3.00%, 3/15/23			3,295		3,465,187
4.15%, 4/01/45			1,419		1,545,331
4.70%, 9/01/45			1,265		1,487,577
Canadian National Railway Co., 2.75%, 3/01/26			7,205		7,525,089
CSX Corp.:
3.35%, 11/01/25			1,499		1,593,055
4.10%, 3/15/44			2,187		2,336,344
EC Finance PLC, 5.13%, 7/15/21	EUR		300		346,243
Norfolk Southern Corp.:
2.90%, 6/15/26	USD		10,584		10,890,153
4.45%, 6/15/45			2,169		2,390,216
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 2/01/22 (a)			4,981		5,079,589
Ryder System, Inc., 2.45%, 9/03/19			3,080		3,132,043
Union Pacific Corp.:
3.38%, 2/01/35			1,864		1,877,900
4.05%, 11/15/45			379		410,449
3.88%, 2/01/55			5,096		5,193,527
4.38%, 11/15/65			1,705		1,823,027
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1, 3.23%, 5/14/26			3,124		3,277,581

					53,679,176
Semiconductors & Semiconductor Equipment — 0.2%
Advanced Semiconductor Engineering, Inc., 0.00%, 3/27/18 (h)(i)			200		188,000
Analog Devices, Inc.:
3.90%, 12/15/25			680		758,012
5.30%, 12/15/45			694		836,117
Global A&T Electronics Ltd., 10.00%, 2/01/19			905		633,500
Lam Research Corp.:
2.80%, 6/15/21			3,933		4,026,385
3.90%, 6/15/26			5,745		6,048,221
Micron Technology, Inc., 5.63%, 1/15/26 (a)			1,800		1,498,500
QUALCOMM, Inc., 4.80%, 5/20/45			2,224		2,332,907
Semiconductor Manufacturing International Corp.:
0.00%, 11/07/18 (h)(i)			900		931,500
0.00%, 7/07/22 (h)(i)			500		491,875

					17,745,017
Software — 0.6%
Microsoft Corp.:
3.50%, 2/12/35			5,373		5,559,255
4.45%, 11/03/45			397		447,677
Oracle Corp.:
2.80%, 7/08/21			17,577		18,449,223
2.65%, 7/15/26			18,923		18,970,478
3.25%, 5/15/30			6,354		6,568,962
4.00%, 7/15/46			6,797		6,848,480
4.38%, 5/15/55			2,451		2,574,513

					59,418,588


Corporate Bonds		Par (000)		Value
Specialty Retail — 0.2%
Home Depot, Inc.:
3.35%, 9/15/25	USD		781	$	851,134
5.40%, 9/15/40			1,262		1,641,485
4.40%, 3/15/45			1,162		1,346,507
Lion/Seneca France 2, 7.88%, 4/15/19	EUR		690		681,500
Lowe’s Cos., Inc.:
3.38%, 9/15/25	USD		860		940,445
4.25%, 9/15/44			2,007		2,232,741
4.38%, 9/15/45			644		737,965
QVC, Inc.:
3.13%, 4/01/19			1,999		2,052,149
5.13%, 7/02/22			3,332		3,592,119
THOM Europe SAS, 7.38%, 7/15/19	EUR		168		194,642

					14,270,687
Technology Hardware, Storage & Peripherals — 0.6%
Apple Inc.:
2.10%, 5/06/19	USD		12,160		12,514,002
3.25%, 2/23/26			15,964		16,946,999
3.45%, 2/09/45			1,934		1,817,287
4.65%, 2/23/46			21,980		24,828,102
HP, Inc., 3.75%, 12/01/20			728		768,992

					56,875,382
Textiles, Apparel & Luxury Goods — 0.0%
361 Degrees International Ltd., 7.25%, 6/03/21			800		827,077
BiSoho SAS:
6.00%, 5/01/22 (b)	EUR		250		280,158
5.88%, 5/01/23			125		143,339
NIKE, Inc., 3.88%, 11/01/45	USD		2,323		2,575,183

					3,825,757
Tobacco — 0.5%
Altria Group, Inc.:
2.63%, 1/14/20			3,443		3,579,157
2.85%, 8/09/22			2,241		2,347,286
4.25%, 8/09/42			1,312		1,432,465
5.38%, 1/31/44			4,771		6,116,904
Philip Morris International, Inc.:
1.13%, 8/21/17			6,573		6,586,258
2.75%, 2/25/26			16,612		17,131,324
4.13%, 3/04/43			2,099		2,251,398
4.88%, 11/15/43			3,354		3,992,810
Reynolds American, Inc.:
2.30%, 6/12/18			2,460		2,499,463
3.25%, 6/12/20			1,044		1,103,594

					47,040,659
Trading Companies & Distributors — 0.0%
GATX Corp., 2.60%, 3/30/20			2,962		2,943,887
Loxam SAS, 3.50%, 5/03/23	EUR		100		112,390
Noble Group Ltd., 6.75%, 1/29/20	USD		500		406,250
Rexel SA, 3.50%, 6/15/23	EUR		218		243,801
Travis Perkins PLC, 4.50%, 9/07/23	GBP		150		190,693

					3,897,021
Transportation Infrastructure — 0.0%
Golden Ocean Group Ltd., 3.07%, 1/30/19 (h)	USD		600		327,780
Goodman HK Finance, 4.38%, 6/19/24			400		428,152
OHL Investments SA, 4.00%, 4/25/18 (h)	EUR		100		95,994
Royal Capital BV, 6.25% (b)(l)	USD		550		570,474
Silk Bidco AS, 7.50%, 2/01/22	EUR		200		224,448
Swissport Investments SA, 6.75%, 12/15/21			147		167,212

					1,814,060


Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services — 0.2%
America Movil SAB de CV, 2.38%, 9/08/16	USD		8,225	$	8,249,132
Matterhorn Telecom SA, 3.88%, 5/01/22	EUR		460		491,201
Orange SA, 5.50%, 2/06/44	USD		2,305		2,893,725
Rogers Communications, Inc.:
3.63%, 12/15/25			879		939,090
5.00%, 3/15/44			775		880,342
SoftBank Group Corp.:
4.63%, 4/15/20	EUR		100		120,997
5.25%, 7/30/27			163		195,361
Vodafone Group PLC, 2.50%, 9/26/22	USD		2,525		2,490,390

					16,260,238
Total Corporate Bonds — 26.5%					2,540,625,402

Floating Rate Loan Interests (b)		Par (000)		Value
Airlines — 0.1%
Gol Luxco SA, Term Loan, 6.50%, 8/31/20	USD		7,462		7,424,690
Chemicals — 0.1%
Allnex S.à r.l., Term Loan B-1, 4.25%, 6/02/23	EUR		1,400		1,553,874
INOVYN Finance PLC, Initial Tranche B Euro Term Loan, 6.25%, 5/15/21			880		971,350
PQ Corp., Tranche B-2 Term Loan, 5.75%, 11/04/22			470		521,366

					3,046,590
Commercial Services & Supplies — 0.0%
Verisure Holding AB (Public), Facility B1B, 3.50%, 10/10/22			500		552,996
Containers & Packaging — 0.0%
Constantinople Luxembourg I S.à r.l.:
Facility B1 (EUR), 4.75%, 4/30/22			1,735		1,928,897
Facility B2 (EUR), 4.75%, 4/30/22			259		287,947

					2,216,844
Diversified Telecommunication Services — 0.2%
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 3.75%, 6/30/19	USD		12,002		10,913,221
Level 3 Financing, Inc., Tranche B 2020 Term Loan, 4.00%, 1/15/20			8,090		8,077,380

					18,990,601
Electronic Equipment, Instruments & Components — 0.0%
Lully Finance S.à r.l. (Lully Finance LLC), Initial Term B-2 Loan (Second Lien), 9.25%, 10/16/23	EUR		180		200,755
Food Products — 0.0%
Keurig Green Mountain, Inc., Term B EUR Loan, 5.00%, 3/03/23			700		778,164
Health Care Equipment & Supplies — 0.0%
BSN Medical Luxembourg Finance Holding S.à r.l. (FKA Boston Luxembourg III S.à r.l.), Facility C, 4.00%, 8/28/19			500		552,608
Health Care Providers & Services — 0.0%
Desarrollos Empresariales Piera S.L., Second Lien Facility, 8.25%, 11/28/22			500		553,490
Hotels, Restaurants & Leisure — 0.1%
Caesars Entertainment Resort Properties LLC, Term B Loan, 7.00%, 10/11/20	USD		5,640		5,380,918
Gaming Invest S.à r.l., Facility (Mezzanine), 4.00%, 12/31/17	EUR		1,000		1,090,334

					6,471,252


Floating Rate Loan Interests (b)		Par (000)		Value
Household Products — 0.0%
Spectrum Brands, Inc., Euro Term Loan, 3.50%, 6/23/22	EUR		252	$	279,724
Leisure Products — 0.0%
PAW Luxco II S.à r.l. (Jack Wolfskin), Facility B, 5.00%, 7/29/18			316		264,293
Machinery — 0.0%
Paternoster Holding IV GmbH, Facility B, 6.63%, 3/31/22			744		791,806
Media — 0.0%
Springer SBM Two GmbH:
Initial Term B8 Loan, 4.50%, 8/14/20			1,539		1,680,665
Term Loan, 9.00%, 8/16/21			1,000		1,131,950

					2,812,615
Road & Rail — 0.0%
Car Rentals Subsidiary, S.L.U. (AKA Goldcar), Facility B, 6.25%, 6/18/20			2,080		2,295,779
Software — 0.1%
First Data Corp., 2021 Extended Dollar Term Loan, 4.45%, 3/24/21	USD		4,916		4,893,751
Veritas U.S., Inc., Initial Euro Term B-1 Loan, 5.63%, 1/27/23	EUR		2,571		2,411,339

					7,305,090
Specialty Retail — 0.0%
Optima Sub-Finco Ltd., Term Facility B2 (EUR), 5.00%, 1/30/23			768		848,567
Textiles, Apparel & Luxury Goods — 0.0%
Vivarte, Bond, 11.00% (4.00% Cash or 7.00% PIK), 10/29/19 (g)			734		730,621
Trading Companies & Distributors — 0.0%
Azelis Finance SA (Azelis U.S. Holding, Inc.):
Euro Term Loan (First Lien), 6.50%, 12/16/22			648		720,859
Euro Term Loan (Second Lien), 9.50%, 12/18/23			720		807,014

					1,527,873
Total Floating Rate Loan Interests — 0.6%					57,644,358

Foreign Agency Obligations		Par (000)		Value
Argentina — 0.0%
YPF SA:
8.75%, 4/04/24 (a)	USD		289		310,675
8.50%, 7/28/25			1,341		1,416,767

					1,727,442
Brazil — 0.2%
Petrobras Global Finance BV:
8.38%, 5/23/21			13,658		14,095,056
5.38%, 10/01/29	GBP		185		176,092
6.63%, 1/16/34			530		524,701
6.75%, 1/27/41	USD		950		762,375
7.25%, 3/17/44			2,187		1,793,340
6.85%, 6/05/15			4,864		3,696,640

					21,048,204
British Virgin Islands — 0.0%
CNOOC Finance 2012 Ltd., 5.00%, 5/02/42			300		335,981
China — 0.1%
BAIC Inalfa HK Investment Co. Ltd., 1.90%, 11/02/20	EUR		900		1,006,136


Foreign Agency Obligations		Par (000)		Value
China (continued)
CDBL Funding 1, 4.25%, 12/02/24	USD		1,400	$	1,468,690
CITIC Ltd., 6.80%, 1/17/23			1,000		1,207,479
Huarong Finance II Co. Ltd., 3.25%, 6/03/21			1,100		1,103,971
ICBCIL Finance Co. Ltd., 3.20%, 11/10/20			687		701,393
Minmetals Bounteous Finance BVI Ltd., 4.75%, 7/30/25			950		991,059

					6,478,728
India — 0.0%
NTPC Ltd.:
5.63%, 7/14/21			430		487,745
4.25%, 2/26/26			600		626,610
ONGC Videsh Ltd., 4.63%, 7/15/24			400		426,926

					1,541,281
Indonesia — 0.0%
Pelabuhan Indonesia II PT, 5.38%, 5/05/45			350		329,998
Pertamina Persero PT, 5.63%, 5/20/43			1,450		1,404,606

					1,734,604
Mongolia — 0.0%
Development Bank of Mongolia LLC, 5.75%, 3/21/17			700		699,160
Trade & Development Bank of Mongolia LLC, 9.38%, 5/19/20			1,193		1,174,683

					1,873,843
Norway — 0.1%
Eksportfinans ASA, 5.50%, 6/26/17			275		284,592
Statoil ASA, 2.90%, 11/08/20			6,595		6,868,660

					7,153,252
Russia — 0.0%
Gazprom OAO Via Gaz Capital SA, 4.95%, 7/19/22			828		857,609
United Arab Emirates — 0.1%
Abu Dhabi National Energy Co. PJSC:
3.63%, 6/22/21			450		471,465
5.88%, 12/13/21			1,000		1,151,580
3.63%, 1/12/23			1,000		1,032,500
4.38%, 6/22/26			300		318,750
DP World Crescent Ltd., 3.91%, 5/31/23			1,117		1,120,840

					4,095,135
Venezuela — 0.0%
Petroleos de Venezuela SA:
6.00%, 5/16/24			8,067		2,852,895
6.00%, 11/15/26			1,861		648,931

					3,501,826
Total Foreign Agency Obligations — 0.5%					50,347,905

Foreign Government Obligations		Par (000)		Value
Argentina — 0.2%
Republic of Argentina:
6.25%, 4/22/19 (a)			9,239		9,631,657
6.88%, 4/22/21 (a)			10,026		10,692,729

					20,324,386
Brazil — 0.1%
Federative Republic of Brazil:
7.13%, 1/20/37			2,900		3,262,500
5.00%, 1/27/45			1,035		928,913

					4,191,413


Foreign Government Obligations		Par (000)		Value
China — 0.0%
People’s Republic of China, 3.30%, 7/04/23	CNH		3,500	$	527,217
Colombia — 0.1%
Republic of Colombia, 4.00%, 2/26/24	USD		12,450		13,004,025
Germany — 0.7%
Deutsche Bundesrepublik Inflation Linked Bonds:
1.75%, 4/15/20	EUR		25,180		30,889,464
0.10%, 4/15/26			28,491		35,070,592

					65,960,056
Greece — 0.1%
Hellenic Republic:
3.00%, 2/24/23 (c)			400		330,920
3.00%, 2/24/24 (c)			2,500		2,004,132
3.00%, 2/24/25 (c)			400		313,735
3.00%, 2/24/26 (c)			400		312,759
3.00%, 2/24/27 (c)			400		300,858
3.00%, 2/24/28 (c)			400		296,779
3.00%, 2/24/29 (c)			400		290,292
3.00%, 2/24/30 (c)			400		285,651
3.00%, 2/24/31 (c)			400		283,243
3.00%, 2/24/32 (c)			400		283,276
3.00%, 2/24/33 (c)			400		273,741
3.00%, 2/24/34 (c)			400		275,072
3.00%, 2/24/35 (c)			400		269,465
3.00%, 2/24/36 (c)			400		268,639
3.00%, 2/24/37 (c)			400		267,079
3.00%, 2/24/38 (c)			400		265,259
3.00%, 2/24/39 (c)			400		263,489
3.00%, 2/24/40 (c)			400		264,159
3.00%, 2/24/41 (c)			400		264,109
3.00%, 2/24/42 (c)			400		266,155

					7,378,812
Indonesia — 0.5%
Republic of Indonesia:
3.38%, 4/15/23 (a)	USD		4,060		4,082,042
2.63%, 6/14/23	EUR		555		621,394
2.63%, 6/14/23 (a)			2,768		3,099,131
5.38%, 10/17/23 (a)	USD		1,480		1,665,448
5.88%, 1/15/24 (a)			7,210		8,338,134
8.38%, 3/15/24	IDR		41,939,000		3,347,185
3.38%, 7/30/25	EUR		650		738,706
4.75%, 1/08/26	USD		1,546		1,683,395
8.75%, 5/15/31	IDR		51,068,000		4,248,115
6.63%, 5/15/33			24,448,000		1,610,417
8.38%, 3/15/34			134,049,000		10,754,357
8.25%, 5/15/36			46,662,000		3,729,075
6.75%, 1/15/44	USD		494		627,749
5.95%, 1/08/46			990		1,166,549

					45,711,697
Mexico — 0.5%
United Mexican States:
4.75%, 6/14/18	MXN		1,119		6,109,041
4.00%, 10/02/23	USD		40,225		43,304,224
United Mexican States Inflation Linked Bond, 3.50%, 12/14/17	MXN		74		2,240,413

					51,653,678
Mongolia — 0.0%
Mongolian People’s Republic:
7.50%, 6/30/18	CNH		2,000		273,461
10.88%, 4/06/21			200		209,933
5.13%, 12/05/22	USD		1,807		1,480,667

					1,964,061


Foreign Government Obligations		Par (000)		Value
Peru — 0.1%
Republic of Peru, 7.35%, 7/21/25	USD		6,920	$	9,411,200
Poland — 0.2%
Republic of Poland, 1.50%, 4/25/20	PLN		57,170		14,262,445
Portugal — 0.0%
Republic of Portugal, 5.13%, 10/15/24	USD		875		874,746
Russia — 0.0%
Russian Federation, 7.00%, 8/16/23	RUB		36,245		529,396
Sri Lanka — 0.0%
Republic of Sri Lanka:
6.00%, 1/14/19	USD		200		203,715
6.25%, 10/04/20			906		924,234
6.13%, 6/03/25			500		467,071
6.85%, 11/03/25			1,300		1,266,340

					2,861,360
Turkey — 0.3%
Republic of Turkey, 5.75%, 3/22/24			22,110		24,655,082
Venezuela — 0.0%
Bolivarian Republic of Venezuela:
8.25%, 10/13/24			1,960		818,300
7.00%, 3/31/38			2,269		901,927

					1,720,227
Total Foreign Government Obligations — 2.8%					265,029,801

Investment Companies		Shares		Value
iShares iBoxx $ High Yield Corporate Bond ETF (f)(m)			1,058,493		89,643,772
iShares U.S. Preferred Stock ETF (m)			550,000		21,939,500
SPDR Gold Shares (d)			39,543		5,002,980
Total Investment Companies — 1.2%					116,586,252

Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations — 2.3%
Adjustable Rate Mortgage Trust, Series 2005-12, Class 4A1, 3.67%, 3/25/36 (b)	USD		2,556		1,838,790
Ajax Mortgage Loan Trust:
Series 2015-C, Class A, 3.88%, 3/25/57 (a)(c)			9,712		9,582,811
Series 2016-A, Class A, 4.25%, 8/25/64 (a)(c)			4,553		4,507,222
American Home Mortgage Assets Trust:
Series 2006-3, Class 2A11, 1.35%, 10/25/46 (b)			1,351		935,111
Series 2006-4, Class 1A12, 0.65%, 10/25/46 (b)			3,892		2,564,654
Series 2006-5, Class A1, 1.33%, 11/25/46 (b)			4,532		2,112,342
Series 2007-1, Class A1, 1.11%, 2/25/47 (b)			1,090		595,038
Angel Oak Mortgage Trust LLC, Series 2015-1, Class A, 4.50%, 11/25/45 (a)(c)			1,471		1,475,449
Bear Stearns ALT-A Trust II, Series 2007-1, Class 1A1, 2.87%, 9/25/47 (b)			4,777		3,020,240
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9, Class A5, 6.25%, 12/25/35 (c)			416		403,902
Bear Stearns Mortgage Funding Trust:
Series 2007-AR1, Class 1A1, 0.61%, 1/25/37 (b)			1,677		1,255,779


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2007-AR2, Class A1, 0.62%, 3/25/37 (b)	USD		692	$	556,006
Series 2007-AR3, Class 1A1, 0.59%, 3/25/37 (b)			1,016		823,981
Series 2007-AR4, Class 1A1, 0.65%, 9/25/47 (b)			4,028		3,184,989
Series 2007-AR4, Class 2A1, 0.66%, 6/25/37 (b)			1,151		932,925
Berica 8 Residential MBS Srl, Series 8, Class A, 0.07%, 3/31/48 (b)	EUR		288		316,529
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.54%, 12/25/35 (a)(b)(m)	USD		7		6,576
Citigroup Mortgage Loan Trust, Series 2007-2, Class 2A, 6.00%, 11/25/36			75		79,280
Collateralized Mortgage Obligation Trust, Series 57, Class D, 9.90%, 2/01/19			2		2,400
COLT LLC, Series 2015-1, Class A1V, 3.45%, 12/26/45 (a)(b)			2,631		2,609,232
COLT Mortgage Loan Trust, Series 2016-1, Class A1, 3.00%, 5/25/46 (a)			2,365		2,382,101
Countrywide Alternative Loan Trust:
Series 2005-56, Class 4A1, 0.76%, 11/25/35 (b)			3,031		2,425,608
Series 2005-72, Class A3, 0.75%, 1/25/36 (b)			1,194		992,423
Series 2005-76, Class 2A1, 1.44%, 2/25/36 (b)			1,399		1,218,336
Series 2005-80CB, Class 4A1, 6.00%, 2/25/36			2,459		1,921,022
Series 2006-15CB, Class A1, 6.50%, 6/25/36			636		416,893
Series 2006-23CB, Class 2A5, 0.85%, 8/25/36 (b)			8,997		3,131,602
Series 2006-OA14, Class 1A1, 2.14%, 11/25/46 (b)			6,019		5,027,375
Series 2006-OA16, Class A1D, 0.72%, 10/25/46 (b)			550		429,012
Series 2006-OA21, Class A1, 0.63%, 3/20/47 (b)			14,896		10,286,368
Series 2006-OA6, Class 1A2, 0.66%, 7/25/46 (b)			5,461		4,532,999
Series 2006-OA8, Class 1A1, 0.64%, 7/25/46 (b)			870		707,394
Series 2007-22, Class 2A16, 6.50%, 9/25/37			17,528		12,618,732
Series 2007-OA2, Class 1A1, 1.25%, 3/25/47 (b)			10,855		8,325,813
Series 2007-OA3, Class 1A1, 0.59%, 4/25/47 (b)			1,757		1,462,748
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2004-29, Class 1A1, 0.99%, 2/25/35 (b)			557		522,410
Series 2006-OA4, Class A1, 1.37%, 4/25/46 (b)			2,104		1,149,501
Credit Suisse Commercial Mortgage Trust:
Series 2014-4R, Class 16A3, 1.31%, 2/27/36 (a)(b)			830		640,286
Series 2014-9R, Class 9A1, 0.56%, 8/27/36 (a)(b)			2,143		1,607,049
Credit Suisse Mortgage Capital Certificates:
Series 2010-20R, Class 9A1, 2.80%, 1/27/36 (a)(b)			4,683		4,599,891
Series 2011-2R, Class 1A1, 2.66%, 3/27/37 (a)(b)			40		39,537
Series 2011-5R, Class 3A1, 3.06%, 9/27/47 (a)(b)			2,646		2,576,477


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2013-5R, Class 1A6, 0.69%, 2/27/36 (a)(b)	USD		1,755	$	1,333,800
Series 2014-11R, Class 16A1, 3.17%, 9/27/47 (a)(b)			3,282		3,117,247
Series 2015-10R, Class 4A1, 4.75%, 7/27/37 (a)(b)			2,556		2,541,317
Series 2015-5R, Class 3A1, 4.75%, 1/29/37 (a)			2,248		2,231,463
Series 2015-6R, Class 5A1, 0.62%, 1/27/37 (a)(b)			1,530		1,399,538
Series 2015-6R, Class 5A2, 0.62%, 10/27/36 (a)(b)			2,721		1,197,261
Series 2015-8R, Class 5A1, 4.75%, 8/27/37 (a)(b)			1,401		1,389,540
Series 2015-PR1, Class A-1, 3.50%, 2/25/55 (a)(c)			2,883		2,794,721
Deutsche Alt-A Securities Mortgage Loan Trust:
Series 2007-OA4, Class 1A1B, 0.58%, 8/25/47 (b)			1,059		828,015
Series 2007-RMP1, Class A2, 0.60%, 12/25/36 (b)			3,640		2,935,614
Deutsche ALT-A Securities, Inc., Series 2007-RS1, Class A2, 0.95%, 1/27/37 (a)(b)			807		1,554,669
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, 2.41%, 3/25/36 (b)			1,310		1,064,869
HomeBanc Mortgage Trust, Series 2005-4, Class A1, 0.72%, 10/25/35 (b)			7,427		6,803,415
Impac CMB Trust, Series 2005-7, Class A1, 0.97%, 11/25/35 (b)			5,141		4,169,666
Impac Secured Assets CMN Owner Trust, Series 2004-3, Class 1A4, 1.25%, 11/25/34 (b)			501		490,518
JPMorgan Alternative Loan Trust:
Series 2007-A1, Class 1A4, 0.65%, 3/25/37 (b)			2,934		2,008,377
Series 2007-A2, Class 2A1, 3.49%, 5/25/37 (b)			704		576,709
Lehman XS Trust, Series 2007-20N, Class A1, 1.59%, 12/25/37 (b)			1,747		1,301,537
LSTAR Securities Investment Trust:
Series 2014-1, Class Note, 3.54%, 9/01/21 (a)(b)			5,425		5,370,335
Series 2014-2, Class A, 2.44%, 12/01/21 (a)(b)			6,939		6,817,913
Series 2015-10, Class A1, 2.44%, 11/01/20 (a)(b)			2,111		2,063,504
Series 2015-10, Class A2, 3.94%, 11/01/20 (a)(b)			680		649,400
Series 2015-2, Class A, 2.44%, 1/01/20 (a)(b)			5,513		5,381,674
Series 2015-3, Class A, 2.44%, 3/01/20 (a)(b)			7,068		6,949,120
Series 2015-8, Class A1, 2.44%, 8/01/20 (a)(b)			1,766		1,725,438
Series 2016-2, Class A, 2.43%, 3/01/21 (a)(b)			13,674		13,374,319
MASTR Resecuritization Trust, Series 2008-3, Class A1, 0.87%, 8/25/37 (a)(b)			2,359		1,671,606
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 3.25%, 5/25/36 (b)			3,615		3,300,576
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3B1, 1.13%, 6/26/47 (a)(b)			1,108		975,272
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, 0.77%, 4/16/36 (a)(b)			11,798		9,513,888


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
New Residential Mortgage Loan Trust, Series 2015-2A, Class A2, 3.75%, 8/25/55 (a)(b)	USD		1,450	$	1,473,291
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 0.96%, 11/26/35 (a)(b)			1,700		1,503,881
Paragon Mortgages No. 13 PLC, Series 13X, Class A2C, 0.81%, 1/15/39 (b)			426		368,726
RALI Trust:
Series 2007-QH1, Class A1, 0.61%, 2/25/37 (b)			1,631		1,316,273
Series 2007-QH6, Class A1, 0.64%, 7/25/37 (b)			2,355		1,849,403
Series 2007-QH9, Class A1, 1.67%, 11/25/37 (b)			1,503		994,926
RBSSP Resecuritization Trust, Series 2012-2, Class 1A6, 0.57%, 5/26/47 (a)(b)			55		53,174
Reperforming Loan REMIC Trust, Series 2005-R2, Class 1AF1, 0.78%, 6/25/35 (a)(b)			961		849,314
Structured Asset Mortgage Investments II Trust, Series 2006-AR4, Class 3A1, 0.64%, 6/25/36 (b)			2,441		1,903,774
Thornburg Mortgage Securities Trust, Series 2007-3, Class 4A1, 5.75%, 6/25/47 (b)			1,856		1,689,430
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-4, Class 3A1, 6.50%, 5/25/36 (c)			2,556		1,817,538
Wedgewood Real Estate Trust, Series 2016-1, Class A1, 3.45%, 7/15/46 (a)(b)			2,550		2,549,829

					215,717,713
Commercial Mortgage-Backed Securities — 4.3%
Banc of America Commercial Mortgage Trust:
Series 2007-1, Class A4, 5.45%, 1/15/49			5,141		5,216,891
Series 2007-1, Class AMFX, 5.48%, 1/15/49 (b)			700		692,187
Series 2007-3, Class A1A, 5.72%, 6/10/49 (b)			5,811		5,958,893
Series 2007-3, Class A4, 5.72%, 6/10/49 (b)			1,965		1,997,191
Series 2007-3, Class AJ, 5.72%, 6/10/49 (b)			1,765		1,773,915
Series 2007-5, Class AM, 5.77%, 2/10/51 (b)			2,030		2,096,852
Series 2008-1, Class A4, 6.44%, 2/10/51 (b)			339		356,557
Banc of America Merrill Lynch Commercial Mortgage Securities Trust:
Series 2013-DSNY, Class E, 3.04%, 9/15/26 (a)(b)			100		99,568
Series 2015-200P, Class F, 3.60%, 4/14/33 (a)(b)			2,071		1,911,665
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.73%, 7/10/43			1,116		1,112,600
Barclays Commercial Mortgage Trust:
Series 2015-SLP, Class D, 3.63%, 2/15/28 (a)(b)			1,410		1,371,571
Series 2015-SRCH, Class A1, 3.31%, 8/10/35 (a)			2,730		2,893,013
Bayview Commercial Asset Trust:
Series 2005-2A, Class A1, 0.76%, 8/25/35 (a)(b)			2,308		1,985,459
Series 2006-3A, Class A2, 0.75%, 10/25/36 (a)(b)			733		591,556
Series 2007-2A, Class A1, 0.72%, 7/25/37 (a)(b)			1,982		1,663,693


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2007-4A, Class A1, 0.90%, 9/25/37 (a)(b)	USD		6,630	$	5,385,766
Series 2008-4, Class A3, 3.20%, 7/25/38 (a)(b)			1,484		1,519,492
Bear Stearns Commercial Mortgage Securities Trust:
Series 2007-PW15, Class A1A, 5.32%, 2/11/44			4,241		4,318,352
Series 2007-PW16, Class AM, 5.91%, 6/11/40 (b)			3,071		3,174,031
Series 2007-PW17, Class AMFL, 1.14%, 6/11/50 (a)(b)			775		757,615
Series 2007-PW18, Class A1A, 5.60%, 6/11/50			167		173,917
Series 2007-PW18, Class AM, 6.08%, 6/11/50 (b)			2,720		2,843,303
Series 2007-PW18, Class AMA, 6.09%, 6/11/50 (b)			4,033		4,214,798
BHMS Mortgage Trust, Series 2014-ATLS, Class AFL, 1.96%, 7/05/33 (a)(b)			2,075		2,044,476
BWAY Mortgage Trust, Series 2013-1515, Class F, 3.93%, 3/10/33 (a)(b)			1,820		1,688,520
BXHTL Mortgage Trust, Series 2015-JWRZ, Class A, 1.67%, 5/15/29 (a)(b)			2,990		2,979,902
CCRESG Commercial Mortgage Trust:
Series 2016-HEAT, Class D, 5.49%, 4/10/29 (a)(b)			560		564,055
Series 2016-HEAT, Class E, 5.49%, 4/10/29 (a)(b)			295		285,784
CD Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48			6,930		6,981,427
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class A, 1.84%, 12/15/27 (a)(b)			7,045		7,038,396
CFCRE Commercial Mortgage Trust:
Series 2016-C3, Class A3, 3.87%, 1/10/48			1,030		1,137,633
Series 2016-C4, Class A4, 3.28%, 5/10/58			800		841,327
CFCRE Mortgage Trust, Series 2015-RUM, Class A, 2.13%, 7/15/30 (a)(b)			1,440		1,432,810
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class E, 3.91%, 4/10/28 (a)(b)			770		743,165
CGGS Commercial Mortgage Trust:
Series 2016-RNDB, Class AFL, 2.09%, 2/15/33 (a)(b)			8,015		8,095,778
Series 2016-RNDB, Class CFL, 3.94%, 2/15/33 (a)(b)			4,060		4,070,275
Series 2016-RNDB, Class DFL, 5.19%, 2/15/33 (a)(b)			5,005		5,083,758
Citigroup Commercial Mortgage Trust:
Series 2013-375P, Class E, 3.52%, 5/10/35 (a)(b)			2,645		2,465,797
Series 2013-GC11, Class D, 4.46%, 4/10/46 (a)(b)			1,785		1,628,531
Series 2015-SSHP, Class A, 1.58%, 9/15/27 (a)(b)			4,370		4,327,018
Series 2016-C1, Class C, 5.12%, 5/10/49 (b)			1,290		1,279,414
Series 2016-GC37, Class C, 4.92%, 2/10/26			640		640,756
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD5, Class AMA, 6.33%, 11/15/44 (b)			4,308		4,543,637
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class AM, 5.96%, 5/15/46 (b)			2,088		2,152,999


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Pass-Through Certificates:
Series 2007-C9, Class AJFL, 1.14%, 12/10/49 (a)(b)	USD		4,460	$	4,223,779
Series 2007-GG11, Class AM, 5.87%, 12/10/49 (b)			600		620,672
Series 2010-RR1, Class GEB, 5.54%, 12/11/49 (a)(b)			2,260		2,291,435
Series 2012-LTRT, Class A2, 3.40%, 10/05/30 (a)			3,755		3,941,337
Series 2013-GAM, Class A2, 3.37%, 2/10/28 (a)			1,656		1,738,550
Series 2014-CR18, Class C, 4.90%, 7/15/47 (b)			2,974		3,004,966
Series 2014-CR21, Class A3, 3.53%, 12/10/47			5,270		5,692,544
Series 2014-CR21, Class C, 4.57%, 12/10/24 (b)			1,010		1,029,019
Series 2014-FL4, Class D, 2.90%, 7/13/31 (a)(b)			1,080		1,049,150
Series 2014-FL5, Class D, 4.44%, 10/15/31 (a)(b)			3,095		2,769,795
Series 2014-LC15, Class A4, 4.01%, 4/10/47			3,530		3,923,947
Series 2014-PAT, Class A, 1.23%, 8/13/16 (a)(b)			2,788		2,760,047
Series 2014-PAT, Class E, 3.58%, 8/15/27 (a)(b)			540		526,468
Series 2014-TWC, Class A, 1.29%, 2/13/17 (a)(b)			1,715		1,704,093
Series 2015-CR22, Class C, 4.26%, 3/10/48 (b)			890		886,414
Series 2015-CR25, Class C, 4.55%, 8/10/48 (b)			1,740		1,739,678
Series 2015-CR25, Class D, 3.95%, 8/10/48 (b)			1,340		944,666
Series 2015-LC19, Class C, 4.26%, 2/10/48 (b)			1,240		1,220,433
Series 2015-LC19, Class D, 2.87%, 2/10/48 (a)			2,280		1,659,874
Series 2015-LC21, Class C, 4.46%, 6/10/25 (b)			1,600		1,456,794
Series 2016-DC2, Class B, 3.93%, 2/10/49 (b)			755		823,638
Series 2016-DC2, Class C, 4.80%, 2/10/49 (b)			1,525		1,471,558
Core Industrial Trust:
Series 2015-CALW, Class G, 3.98%, 2/10/34 (a)(b)			1,971		1,818,780
Series 2015-TEXW, Class A, 3.08%, 2/10/34 (a)			2,970		3,117,246
Series 2015-TEXW, Class D, 3.98%, 2/10/34 (a)(b)			1,330		1,329,088
Series 2015-TEXW, Class E, 3.85%, 2/10/34 (a)(b)			250		237,823
Countrywide Commercial Mortgage Trust, Series 2007-MF1, Class A, 6.27%, 11/12/43 (a)(b)			1,228		1,257,352
Credit Suisse Commercial Mortgage Trust:
Series 2006-C5, Class AM, 5.34%, 12/15/39			9,446		9,533,568
Series 2007-C2, Class AMFL, 0.66%, 1/15/49 (b)			2,140		2,090,426
Series 2007-C4, Class A1AM, 6.14%, 9/15/39 (b)			2,866		2,899,082
Series 2008-C1, Class A3, 6.27%, 2/15/41 (b)			2,871		2,987,661
Series 2014-TIKI, Class E, 3.58%, 9/15/38 (a)(b)			730		687,629
Series 2015-DEAL, Class A, 1.76%, 4/15/29 (a)(b)			2,640		2,611,397


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C3, Class AJ, 4.77%, 7/15/37	USD		8	$	8,259
Credit Suisse Mortgage Capital Certificates:
Series 2010-RR1, Class 2A, 5.70%, 9/15/40 (a)(b)			2,994		3,044,090
Series 2010-RR2, Class 2A, 6.14%, 9/15/39 (a)(b)			1,216		1,239,975
Series 2015-DEAL, Class D, 3.54%, 4/15/29 (a)(b)			1,205		1,161,218
Series 2015-GLPB, Class A, 3.64%, 11/15/34 (a)			2,730		2,949,987
CSAIL Commercial Mortgage Trust:
Series 2015-C1, Class D, 3.80%, 4/17/50 (a)(b)			1,180		940,061
Series 2015-C3, Class B, 4.26%, 8/15/48 (b)			640		670,716
Series 2015-C3, Class C, 4.51%, 8/15/48 (b)			1,940		1,886,447
Series 2015-C3, Class D, 3.36%, 8/15/48 (b)			250		177,312
Series 2016-C6, Class C, 4.91%, 1/15/49 (b)			1,370		1,402,461
Deutsche Bank Re-REMIC Trust, Series 2011-C32, Class A3A, 5.89%, 6/17/49 (a)(b)			3,400		3,456,892
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 3.67%, 9/10/35 (a)(b)			610		662,881
Extended Stay America Trust, Series 2013-ESH7, Class A27, 2.96%, 12/05/31 (a)			3,045		3,054,731
FREMF Mortgage Trust:
Series 2015-K47, Class B, 3.72%, 6/25/48 (a)(b)			1,613		1,541,618
Series 2015-K48, Class B, 3.64%, 8/25/48 (a)(b)			935		888,485
Series 2016-K54, Class B, 3.85%, 2/25/26 (a)(b)			1,720		1,648,890
GAHR Commercial Mortgage Trust:
Series 2015-NRF, Class AFL1, 1.74%, 12/15/16 (a)(b)			3,302		3,304,570
Series 2015-NRF, Class DFX, 3.38%, 12/15/34 (a)(b)			830		826,176
Series 2015-NRF, Class EFX, 3.38%, 12/15/34 (a)(b)			935		897,050
Series 2015-NRF, Class FFX, 3.38%, 12/15/34 (a)(b)			3,570		3,354,940
Series 2015-NRF, Class GFX, 3.49%, 12/15/19 (a)(b)			7,142		6,575,546
German Residential Funding Ltd., Series 2013-1, Class E, 3.89%, 8/27/24 (b)	EUR		1,071		1,202,301
GS Mortgage Securities Corp. Trust, Series 2016-RENT, Class C, 4.20%, 2/10/29 (a)(b)	USD		1,850		1,889,346
GS Mortgage Securities Trust:
Series 2006-GG8, Class AM, 5.59%, 11/10/39			735		738,835
Series 2007-GG10, Class A4, 5.99%, 8/10/45 (b)			3,253		3,333,488
Series 2010-C1, Class A1, 3.68%, 8/10/43 (a)			883		919,507
Series 2015-GC32, Class A4, 3.76%, 7/10/48			530		583,599
Hilton USA Trust:
Series 2013-HLT, Class AFX, 2.66%, 11/05/30 (a)			3,960		3,976,908
Series 2013-HLT, Class EFX, 4.60%, 11/05/30 (a)(b)			5,083		5,114,931


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Impac CMB Trust:
Series 2004-11, Class 1A2, 0.97%, 3/25/35 (b)	USD		2,822	$	2,080,620
Series 2005-6, Class 1A1, 0.95%, 10/25/35 (b)			1,861		1,529,629
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C22, Class B, 4.56%, 8/15/24 (b)			945		1,026,365
Series 2014-C22, Class D, 4.56%, 9/15/47 (a)(b)			800		625,017
Series 2014-C26, Class A4, 3.49%, 1/15/48			1,247		1,342,570
Series 2015-C28, Class B, 3.99%, 3/15/25 (b)			3,000		2,939,657
JPMDB Commercial Mortgage Securities Trust, Series 2016-C2, Class A4, 3.14%, 6/15/49			2,300		2,418,359
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2006-CB16, Class AM, 5.59%, 5/12/45			3,659		3,658,492
Series 2007-CB20, Class AM, 6.09%, 2/12/51 (b)			1,000		1,043,649
Series 2007-LD11, Class A4, 5.93%, 5/15/17 (b)			6,465		6,581,260
Series 2007-LDPX, Class AM, 5.46%, 1/15/49 (b)			1,920		1,888,893
Series 2008-C2, Class A4FL, 1.95%, 2/12/51 (b)			2,301		2,223,083
Series 2008-C2, Class ASB, 6.13%, 2/12/51 (b)			598		610,077
Series 2014-DSTY, Class A, 3.43%, 6/10/27 (a)			885		917,684
Series 2014-DSTY, Class D, 3.80%, 6/10/27 (a)(b)			2,680		2,624,817
Series 2014-FL6, Class A, 1.84%, 11/15/31 (a)(b)			3,399		3,384,935
Series 2015-CSMO, Class A, 1.69%, 1/15/32 (a)(b)			4,605		4,573,207
Series 2015-CSMO, Class D, 3.74%, 1/15/32 (a)(b)			2,900		2,876,348
Series 2015-CSMO, Class E, 4.38%, 1/15/32 (a)(b)			890		877,163
Series 2015-CSMO, Class F, 5.68%, 1/15/32 (a)(b)			805		791,798
Series 2015-SGP, Class A, 2.13%, 7/15/36 (a)(b)			6,206		6,202,114
Series 2015-UES, Class E, 3.62%, 9/05/32 (a)(b)			3,880		3,735,381
Series 2016-ATRM, Class D, 5.35%, 10/05/28 (a)			1,470		1,477,870
LB-UBS Commercial Mortgage Trust:
Series 2006-C4, Class AJ, 5.94%, 6/15/38 (b)			181		180,972
Series 2007-C1, Class AJ, 5.48%, 2/15/40			51		51,280
Series 2007-C7, Class A1A, 5.68%, 9/15/45 (b)			548		569,411
Lone Star Portfolio Trust:
Series 2015-LSP, Class A1A2, 2.24%, 9/15/28 (a)(b)			969		985,086
Series 2015-LSP, Class D, 4.44%, 9/15/28 (a)(b)			691		684,161
Merrill Lynch Mortgage Investors Trust, Series 1998-C3, Class G, 6.00%, 12/15/30 (a)			2,606		2,576,453
Merrill Lynch Mortgage Trust:
Series 2007-C1, Class A1A, 6.02%, 6/12/50 (b)			2,461		2,523,127
Series 2008-C1, Class AJ, 6.26%, 2/12/51 (b)			720		746,528


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
ML-CFC Commercial Mortgage Trust:
Series 2006-4, Class AM, 5.20%, 12/12/49	USD		1,905	$	1,922,660
Series 2007-7, Class A4, 5.74%, 6/12/50 (b)			3,085		3,175,117
Series 2007-9, Class AM, 5.86%, 9/12/49 (b)			1,890		1,961,494
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2015-C24, Class A4, 3.73%, 5/15/48			840		920,949
Series 2015-C25, Class C, 4.68%, 10/15/48 (b)			5,360		5,309,264
Series 2015-C25, Class D, 3.07%, 10/15/48			490		338,821
Series 2015-C26, Class A5, 3.53%, 10/15/48			810		876,093
Series 2015-C26, Class D, 3.06%, 10/15/48 (a)			1,935		1,337,771
Morgan Stanley Capital I Trust:
Series 2007-HQ11, Class AMFL, 0.62%, 2/12/44 (b)			746		731,581
Series 2007-HQ12, Class AM, 5.90%, 4/12/49 (b)			1,975		1,988,693
Series 2007-IQ13, Class AM, 5.41%, 3/15/44			1,547		1,576,680
Series 2007-IQ14, Class A2FL, 0.60%, 4/15/49 (b)			170		169,343
Series 2007-IQ14, Class A4, 5.69%, 4/15/49 (b)			2,465		2,511,289
Series 2007-IQ16, Class A4, 5.81%, 12/12/49			4,604		4,780,025
Series 2008-T29, Class A4, 6.28%, 1/11/43 (b)			1,373		1,450,536
Series 2014-CPT, Class G, 3.45%, 7/13/29 (a)(b)			1,290		1,208,412
Series 2015-MS1, Class C, 4.03%, 5/15/48 (b)			560		540,010
Series 2015-XLF2, Class AFSB, 3.19%, 8/15/26 (a)(b)			600		600,000
Morgan Stanley Re-REMIC Trust:
Series 2009-GG10 5.79%, 8/12/45 (a)(b)			6,666		6,796,032
Series 2010-GG10, Class A4B, 5.99%, 8/15/45 (a)(b)			6,998		7,135,026
Series 2012-XA, Class A, 2.00%, 7/27/49 (a)			1,094		1,085,445
New York Mortgage Securitization Trust, Series 2013-1, Class A, 5.70%, 8/27/24 (a)(b)			1,095		1,102,528
RBSCF Trust, Series 2010-RR3, Class WBTA, 6.15%, 2/16/51 (a)(b)			12,871		12,913,790
Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.50%, 4/15/32 (a)(b)			1,495		1,472,594
SCG Trust, Series 2013-SRP1, Class AJ, 2.38%, 11/15/26 (a)(b)			2,775		2,767,154
STRIPs Ltd.:
Series 2012-1A, Class A, 1.50%, 12/25/44 (a)			877		876,089
Series 2012-1A, Class B, 0.50%, 12/25/44 (a)			3,480		3,136,902
Taurus IT Srl, Series 2015-IT1, Class A, 1.24%, 2/18/27 (b)	EUR		285		313,579
UBS-Citigroup Commercial Mortgage Trust, Series 2011-C1, Class D, 5.89%, 1/10/45 (a)(b)	USD		2,568		2,809,514
Velocity Commercial Capital Loan Trust: Series 2015-1, Class AFL, 2.88%, 6/25/45 (a)(b)			6,252		6,283,546


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2016-1, Class AFL, 2.89%, 4/25/46 (a)(b)	USD		6,315	$	6,330,629
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C28, Class AJ, 5.63%, 10/15/48 (b)			431		430,114
Series 2006-C28, Class B, 5.67%, 10/15/48 (b)			80		78,762
Series 2006-C29, Class AM, 5.34%, 11/15/48			955		964,228
Series 2007-C32, Class AMFX, 5.70%, 6/15/49 (a)			3,533		3,627,558
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR13, Class 2A, 2.18%, 10/25/46 (b)			7,291		6,449,980
Wells Fargo Commercial Mortgage Trust:
Series 2014-TISH, Class SCH1, 3.19%, 1/15/27 (a)(b)			8,224		7,817,973
Series 2015-C27, Class C, 3.89%, 2/15/48			1,402		1,294,601
Series 2015-C31, Class A4, 3.70%, 11/15/48			130		142,160
Series 2015-C31, Class D, 3.85%, 11/15/48			1,300		913,657
Series 2015-NXS4, Class C, 4.60%, 12/15/48 (b)			406		413,667
Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.75%, 8/20/21 (a)			151		150,800

					414,085,544
Interest Only Commercial Mortgage-Backed Securities — 0.6%
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, 1.08%, 9/15/48 (b)			1,205		75,416
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XA, 1.12%, 8/10/35 (a)(b)			17,710		1,431,853
CFCRE Commercial Mortgage Trust:
Series 2016-C3, Class XD, 1.86%, 1/10/48 (a)(b)			5,497		707,629
Series 2016-C4, Class XA, 1.78%, 5/10/58 (b)			10,511		1,312,497
Series 2016-C4, Class XB, 0.89%, 5/10/58 (b)			5,810		362,253
Citigroup Commercial Mortgage Trust:
Series 2014-GC19, Class XA, 1.46%, 3/10/47 (b)			13,704		894,139
Series 2014-GC21, Class XA, 1.45%, 5/10/47 (b)			9,700		710,035
Series 2014-GC25, Class XE, 1.39%, 10/10/47 (a)(b)			2,760		217,019
Series 2016-P3, Class XA, 1.88%, 4/15/49 (b)			8,650		1,030,211
Commercial Mortgage Pass-Through Certificates:
Series 2013-CR6, Class XA, 1.62%, 3/10/46 (b)			31,149		1,403,335
Series 2014-CR14, Class XA, 1.00%, 2/10/47 (b)			47,564		1,734,925
Series 2015-3BP, Class XA, 0.17%, 2/10/35 (a)(b)			150,000		1,177,500
Series 2015-CR22, Class XA, 1.58%, 3/10/48 (b)			28,729		1,712,604
Series 2015-CR23, Class XA, 1.15%, 5/10/48 (b)			29,560		1,745,842
Series 2015-CR25, Class XA, 0.97%, 8/10/48 (b)			12,575		816,127
Series 2015-LC21, Class XA, 1.02%, 7/10/48 (b)			82,808		4,155,347
Series 2016-DC2, Class XA, 1.14%, 2/10/26 (b)			21,503		1,580,799


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Commercial Mortgage Trust, Series 2015-LC19, Class XA, 1.23%, 2/10/48 (b)	USD		10,823	$	838,022
Core Industrial Trust:
Series 2015-TEXW, Class XA, 0.77%, 2/10/34 (a)(b)			12,909		504,262
Series 2015-WEST, Class XA, 0.93%, 2/10/37 (a)(b)			8,900		614,311
Credit Suisse Mortgage Capital Certificates, Series 2015-GLPA, Class XA, 0.40%, 11/15/37 (a)(b)			18,420		418,134
CSAIL Commercial Mortgage Trust:
Series 2016-C5, Class XA, 1.21%, 11/15/48 (b)			7,134		489,029
Series 2016-C6, Class XA, 1.98%, 1/15/49 (b)			8,298		1,035,632
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 2/25/22 (a)(b)			95,010		439,118
Hilton USA Trust, Series 2013-HLT, Class X1FX, 0.00%, 11/05/30 (a)(b)			54,590		546
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C21, Class XA, 1.26%, 8/15/47 (b)			8,129		530,951
Series 2014-C22, Class XA, 1.12%, 9/15/47 (b)			9,854		555,355
Series 2014-C23, Class XA, 1.02%, 9/15/47 (b)			60,413		2,395,101
Series 2014-C24, Class XA, 1.23%, 11/15/47 (b)			29,763		1,662,916
Series 2015-C28, Class XA, 1.34%, 10/15/48 (b)			7,563		502,249
Series 2015-C33, Class XA, 1.20%, 12/15/48 (b)			15,725		1,116,915
Series 2016-C1, Class XA, 1.56%, 3/15/49 (b)			18,151		1,663,934
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2013-LC11, Class XB, 0.72%, 4/15/46 (b)			4,570		151,308
Series 2014-C20, Class XA, 1.30%, 7/15/47 (b)			5,073		266,329
Series 2015-C27, Class XA, 1.52%, 2/15/48 (b)			37,869		2,842,369
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C19, Class XA, 1.30%, 12/15/47 (b)			36,472		2,220,346
Series 2014-C19, Class XF, 1.34%, 12/15/47 (a)(b)			4,370		293,210
Series 2015-C25, Class XA, 1.15%, 10/15/48 (b)			18,945		1,460,857
Series 2015-C26, Class XA, 1.27%, 10/15/48 (b)			12,223		923,522
Series 2015-C26, Class XD, 1.50%, 10/15/48 (a)(b)			4,490		485,863
Series 2016-C29, Class XA, 1.66%, 5/15/49 (b)			6,896		789,579
Series 2016-C29, Class XB, 1.12%, 5/15/49 (b)			9,126		733,743
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD, 1.70%, 3/15/49 (a)(b)			13,984		1,660,320
WaMu Commercial Mortgage Securities Trust, Series 2005-C1A, Class X, 1.83%, 5/25/36 (a)(b)			324		2,994
Wells Fargo Commercial Mortgage Trust:
Series 2015-C27, Class XA, 1.14%, 2/15/48 (b)			17,247		1,079,594


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2015-C30, Class XA, 1.17%, 9/15/58 (b)	USD		3,553	$	239,459
Series 2015-NXS1, Class XA, 1.34%, 5/15/48 (b)			8,196		587,752
Series 2015-NXS1, Class XB, 0.50%, 5/15/48 (b)			3,210		120,588
Series 2016-C33, 1.98%, 3/17/59 (b)			16,368		1,951,649
WF-RBS Commercial Mortgage Trust:
Series 2012-C8, Class XA, 2.31%, 8/15/45 (a)(b)			1,161		87,130
Series 2012-C9, Class XA, 2.29%, 11/15/45 (a)(b)			11,558		984,887
Series 2014-C20, Class XA, 1.35%, 5/15/47 (b)			5,038		306,986
Series 2014-C24, Class XA, 1.12%, 11/15/47 (b)			26,265		1,466,166
Series 2014-LC14, Class XA, 1.40%, 3/15/47 (b)			23,016		1,538,087

					54,026,744
Total Non-Agency Mortgage-Backed Securities — 7.2%					683,830,001

Other Interests (n)		Beneficial Interest (000)		Value
Capital Markets — 0.0%
Lehman Brothers Holdings Capital Trust VII (d)(j)			1,888		—
Lehman Brothers Holdings, Inc. (d)(j)			7,360		1
Total Other Interests — 0.0%					1

Preferred Securities
Capital Trusts		Par (000)		Value
Banks — 0.2%
ABN AMRO Bank NV, 5.75% (b)(l)	EUR		1,500		1,546,610
Australia & New Zealand Banking Group Ltd.:
6.75% (b)(l)	USD		778		803,193
4.40%, 5/19/26			273		281,791
Banco Bilbao Vizcaya Argentaria SA:
6.75% (b)(l)			1,800		1,707,913
7.00% (b)(l)			400		381,443
8.88% (b)(l)	EUR		600		658,695
9.00% (b)(l)	USD		1,200		1,194,938
Banco Popular Espanol SA:
8.25% (b)(l)	EUR		2,000		1,889,291
11.50% (b)(l)			1,500		1,639,663
Banco Santander SA, 6.25% (b)(l)			2,100		1,969,260
Bank of East Asia Ltd., 5.50% (b)(l)	USD		1,000		975,123
Bank of Ireland, 7.38% (b)(l)	EUR		2,075		2,129,483
BNP Paribas SA, 7.38% (a)(b)(l)	USD		300		293,700
Cooperatieve Rabobank UA, 6.63% (b)	EUR		600		668,173
HSH Nordbank AG, 7.25% (b)(l)	USD		2,855		713,750
Intesa Sanpaolo SpA:
7.00% (b)(l)	EUR		2,150		2,195,095
7.70% (a)(b)(l)	USD		200		172,500
Woori Bank, 5.00%, 6/10/45 (b)			200		205,917

					19,426,538
Capital Markets — 0.1%
Credit Suisse Group AG, 6.25% (a)(b)(l)			1,300		1,223,401
State Street Capital Trust IV, 1.65%, 6/01/77 (b)	USD		1,048		875,426


Capital Trusts		Par (000)		Value
Capital Markets (continued)
UBS Group AG:
5.75% (b)(l)	EUR		2,525	$	2,816,141
6.88% (b)(l)	USD		2,775		2,719,500
7.00% (b)(l)			1,000		1,012,500

					8,646,968
Containers & Packaging — 0.0%
Rexam PLC, 6.75%, 6/29/67 (b)	EUR		100		110,731
Diversified Financial Services — 0.0%
HBOS Capital Funding LP, 6.85% (l)	USD		446		444,105
Diversified Telecommunication Services — 0.0%
Koninklijke KPN NV, 6.13% (b)(l)	EUR		100		118,059
Electric Utilities — 0.1%
AusNet Services Holdings Property Ltd., 5.75%, 3/17/76 (b)	USD		1,000		1,053,572
Electricite de France SA:
5.00% (b)(l)	EUR		1,300		1,355,448
5.88% (b)(l)	GBP		1,000		1,121,850
Enel SpA:
6.50%, 1/10/74 (b)	EUR		105		125,844
5.00%, 1/15/75 (b)			100		116,736
Gas Natural Fenosa Finance BV:
3.38% (b)(l)			3,600		3,560,448
4.13% (b)(l)			800		873,476
SSE PLC, 3.88% (b)(l)	GBP		950		1,202,590

					9,409,964
Industrial Conglomerates — 0.0%
CITIC Ltd., 8.63% (b)(l)	USD		200		224,716
Insurance — 0.0%
Assicurazioni Generali SpA, 6.42% (b)(l)	GBP		100		127,468
BNP Paribas Cardif SA, 4.03% (b)(l)	EUR		800		849,754
China Life Insurance Co. Ltd., 4.00%, 7/03/75 (b)	USD		1,450		1,452,827
Credit Agricole SA, 6.50% (b)(l)			200		208,634
Nippon Life Insurance Co., 5.10%, 10/16/44 (b)			570		613,386

					3,252,069
Media — 0.1%
NBCUniversal Enterprise, Inc., 5.25% (a)(l)			3,770		3,887,813
Oil, Gas & Consumable Fuels — 0.0%
Repsol International Finance BV, 4.50%, 3/25/75 (b)	EUR		700		660,304
TOTAL SA, 3.88% (b)(l)			150		172,581

					832,885
Thrifts & Mortgage Finance — 0.0%
Coventry Building Society, 6.38% (b)(l)	GBP		250		296,205
Trading Companies & Distributors — 0.0%
Noble Group Ltd., 6.00% (b)(l)	USD		400		228,000
Wireless Telecommunication Services — 0.0%
Orange SA, 4.00% (b)(l)	EUR		350		403,061
Telefonica Europe BV:
4.20% (b)(l)			500		550,799
5.00% (b)(l)			800		894,313
5.88% (b)(l)			1,400		1,584,615
6.50% (b)(l)			300		348,740

					3,781,528
Total Capital Trusts — 0.5%					50,659,581


Preferred Stocks		Shares		Value
Banks — 0.0%
Royal Bank of Scotland Group PLC, 6.13% (l)			1,919	$	48,205
Royal Bank of Scotland Group PLC, 6.60% (l)			9,596		240,284

					288,489
Diversified Financial Services — 0.0%
Concrete Investment II SCA, 0.00%, 8/27/44 (d)			12,471		1,467,014
Manufacturing — 0.0%
Novartex Holding Luxembourg SCA, 0.00% (d)(l)			1,000		—
Total Preferred Stocks — 0.0%					1,755,503

Trust Preferreds		Shares		Value
Banks — 0.1%
Citigroup Capital XIII, 7.01%, 10/30/40 (b)			349,440		9,109,901
Consumer Finance — 0.1%
GMAC Capital Trust I, 6.41%, 2/15/40 (b)			359,913		8,933,041
Total Trust Preferreds — 0.2%					18,042,942
Total Preferred Securities — 0.7%					70,458,026

Taxable Municipal Bonds		Par (000)		Value
Arizona Health Facilities Authority RB, 1.23%, 1/01/37 (b)	USD		2,255		2,098,165
Bay Area Toll Authority RB:
6.92%, 4/01/40			2,415		3,533,000
7.04%, 4/01/50			3,180		4,996,988
California Pollution Control Financing Authority RB, 5.00%, 11/21/45 (a)			2,000		2,225,200
California Statewide Communities Development Authority RB:
5.00%, 12/01/25 (a)			1,000		1,219,900
5.00%, 12/01/26 (a)			1,000		1,215,470
City of Atlanta, GA Water & Wastewater Revenue RB, 5.00%, 11/01/33			1,880		2,339,848
City of Houston, TX Airport System Revenue RB, 5.00%, 7/01/24			700		826,700
City of San Jose, CA Airport Revenue RB, AMBAC, 5.00%, 3/01/37			1,530		1,570,698
City of Seattle, WA Municipal Light & Power Revenue RB:
5.00%, 4/01/23			1,355		1,683,804
5.00%, 4/01/24			1,310		1,662,193
5.00%, 4/01/25			1,210		1,563,901
City Public Service Board of San Antonio, TX RB, 5.81%, 2/01/41			3,260		4,551,971
Clark County School District GO:
5.00%, 6/15/23			3,795		4,690,354
5.00%, 6/15/24			4,360		5,483,441
5.00%, 6/15/26			1,320		1,691,026
5.00%, 6/15/27			1,320		1,679,634
5.00%, 6/15/28			1,405		1,779,292
Colorado Health Facilities Authority RB, 5.25%, 2/01/31			1,565		1,782,379
Commonwealth of Massachusetts GO:
5.00%, 7/01/22			1,745		2,125,619
5.00%, 7/01/22			1,390		1,699,553
5.00%, 7/01/23			4,360		5,420,439
5.00%, 7/01/25			1,745		2,256,494
5.00%, 7/01/26			1,705		2,237,915
5.00%, 7/01/28			1,705		2,256,175
Commonwealth of Puerto Rico GO, 8.00%, 7/01/35 (d)(j)			3,540		2,363,021


Taxable Municipal Bonds		Par (000)		Value
Contra Costa Community College District GO, 6.50%, 8/01/34	USD		570	$	784,582
County of Miami-Dade, FL Aviation Revenue RB:
5.00%, 10/01/36			1,320		1,551,739
5.00%, 10/01/38			1,600		1,898,016
County of Miami-Dade, FL GO:
5.00%, 7/01/29			810		1,044,600
5.00%, 7/01/30			810		1,041,166
5.00%, 7/01/31			810		1,036,913
5.00%, 7/01/32			810		1,033,528
5.00%, 7/01/34			1,905		2,410,911
5.00%, 7/01/35			960		1,211,971
5.00%, 7/01/36			2,330		2,927,179
5.00%, 7/01/37			1,725		2,163,599
5.00%, 7/01/38			1,625		2,039,830
County of Sacramento, CA Airport System Revenue RB, AGM, 5.25%, 7/01/39			1,000		1,074,850
Dallas/Fort Worth International Airport RB:
5.00%, 11/01/42			4,625		5,286,051
Series A, 5.00%, 11/01/43			5,000		5,597,800
5.00%, 11/01/45			3,670		4,103,941
5.00%, 11/01/45			2,650		3,023,014
District of Columbia GO, 5.00%, 6/01/38			3,020		3,705,268
District of Columbia RB:
5.00%, 7/15/34			775		948,879
5.00%, 7/15/35			775		945,919
Energy Northwest RB:
2.81%, 7/01/24			3,200		3,368,768
5.00%, 7/01/27			1,590		2,077,605
5.00%, 7/01/28			775		1,009,345
Grant County Public Utility District No. 2 RB,
4.58%, 1/01/40			600		655,002
Health & Educational Facilities Authority of the State of Missouri RB:
5.00%, 11/15/29			840		1,060,483
5.00%, 11/15/30			915		1,150,512
5.00%, 11/15/34			840		1,043,507
5.00%, 1/01/44			2,270		2,707,384
Horry County School District, SC GO:
5.00%, 3/01/19			885		997,616
5.00%, 3/01/20			885		1,019,724
5.00%, 3/01/21			885		1,049,238
5.00%, 3/01/22			1,295		1,573,192
5.00%, 3/01/23			1,435		1,786,130
5.00%, 3/01/24			1,520		1,933,288
5.00%, 3/01/25			870		1,130,765
Las Vegas Valley Water District GO, 5.00%, 6/01/41			620		768,949
Los Angeles Community College District GO, 6.60%, 8/01/42			2,505		3,826,838
Los Angeles Department of Water & Power RB, 6.60%, 7/01/50			1,065		1,654,882
Los Angeles Unified School District, 5.75%, 7/01/34			415		549,452
Los Angeles Unified School District GO, 6.76%, 7/01/34			4,355		6,277,297
Maryland Health & Higher Educational Facilities Authority RB, 5.25%, 7/01/27			815		1,002,882
Massachusetts Clean Water Trust RB:
5.00%, 2/01/25			1,335		1,739,238
5.00%, 2/01/26			1,565		2,077,240
5.00%, 2/01/27			1,260		1,663,452
5.00%, 2/01/28			1,140		1,496,980
Massachusetts Educational Financing Authority RB, 5.00%, 1/01/22			1,375		1,572,739
Metropolitan Transportation Authority RB:
5.87%, 11/15/39			735		964,658
6.67%, 11/15/39			350		504,315


Taxable Municipal Bonds		Par (000)		Value
6.69%, 11/15/40	USD		1,160	$	1,672,233
6.81%, 11/15/40			860		1,253,097
Metropolitan Washington Airports Authority Dulles Toll Road Revenue RB:
7.46%, 10/01/46			1,060		1,639,142
5.00%, 10/01/53			1,000		1,125,620
Miami-Dade County Educational Facilities Authority RB, 5.07%, 4/01/50			1,300		1,549,886
Miami-Dade County Expressway Authority RB, 5.00%, 7/01/39			930		1,099,911
Michigan Finance Authority RB, 5.00%, 6/01/39			840		990,016
Municipal Electric Authority of Georgia RB, 6.64%, 4/01/57			1,610		2,120,080
New Jersey Educational Facilities Authority RB, 5.00%, 7/01/23			1,795		2,266,295
New Jersey State Turnpike Authority RB, 7.41%, 1/01/40			2,329		3,645,677
New Jersey Transportation Trust Fund Authority RB, 5.00%, 6/15/42			500		548,180
New Jersey Turnpike Authority RB, 5.00%, 1/01/45			775		928,489
New York City Water & Sewer System RB:
5.75%, 6/15/41			1,330		1,839,071
6.01%, 6/15/42			665		956,310
5.38%, 6/15/43			4,410		5,197,626
5.50%, 6/15/43			5,285		6,262,514
5.88%, 6/15/44			1,195		1,717,681
New York State Dormitory Authority RB:
5.00%, 3/15/32			1,395		1,774,914
5.00%, 3/15/32			1,380		1,717,824
5.00%, 3/15/37			1,140		1,395,919
5.00%, 3/15/37			830		1,018,335
5.00%, 3/15/38			1,240		1,519,372
5.00%, 3/15/39			575		704,082
5.39%, 3/15/40			1,470		1,948,705
New York State Housing Finance Agency RB,
3.25%, 11/01/41			815		828,138
New York State Thruway Authority RB:
5.00%, 5/01/19			485		541,910
5.00%, 1/01/31			1,300		1,605,838
New York State Urban Development Corp. RB:
5.00%, 3/15/24			2,980		3,782,127
5.00%, 3/15/25			2,020		2,616,870
5.00%, 3/15/26			3,575		4,702,197
5.00%, 3/15/27			2,550		3,317,601
5.00%, 3/15/28			2,620		3,399,371
New York Transportation Development Corp. RB:
5.00%, 7/01/41			890		1,027,443
5.00%, 7/01/46			4,695		5,412,772
5.25%, 1/01/50			3,290		3,851,471
North Carolina Medical Care Commission RB, 5.00%, 6/01/40			305		373,817
Orange County Local Transportation Authority RB, 6.91%, 2/15/41			2,790		4,064,584
Orange County Sanitation District RB, 5.00%, 2/01/34			1,000		1,250,890
Pennsylvania Economic Development Financing Authority RB:
5.00%, 12/31/22			1,000		1,182,670
5.00%, 12/31/38			320		380,112
Port Authority of New York & New Jersey RB:
5.00%, 10/15/44			1,025		1,226,812
4.96%, 8/01/46			1,970		2,448,099
4.93%, 10/01/51			1,045		1,291,202
Public Power Generation Agency RB, 5.00%, 1/01/34			35		43,331
Regents of the University of California Medical Center Pooled Revenue RB, 6.58%, 5/15/49			2,860		4,130,298


Taxable Municipal Bonds		Par (000)		Value
State of California GO:
5.00%, 9/01/27	USD		4,010	$	5,248,208
5.00%, 9/01/32			815		1,045,873
7.50%, 4/01/34			2,210		3,352,216
4.99%, 4/01/39			1,550		1,678,340
7.55%, 4/01/39			3,715		5,878,245
7.30%, 10/01/39			820		1,240,890
7.35%, 11/01/39			1,650		2,509,122
7.60%, 11/01/40			6,115		9,891,624
State of Georgia GO:
5.00%, 7/01/23 (o)			4,165		5,249,233
5.00%, 7/01/24 (o)			6,090		7,852,141
5.00%, 2/01/26 (o)			1,945		2,586,578
5.00%, 7/01/26 (o)			855		1,144,640
5.00%, 2/01/29 (o)			955		1,248,529
State of Hawaii GO:
5.00%, 4/01/19			1,545		1,722,211
5.00%, 4/01/20			1,545		1,779,763
5.00%, 4/01/21			1,545		1,830,748
5.00%, 4/01/22			1,545		1,876,155
5.00%, 4/01/23			1,545		1,922,181
State of Illinois GO, 5.10%, 6/01/33			8,190		7,861,991
State of Maryland GO:
5.00%, 6/01/21			1,630		1,950,735
5.00%, 6/01/22			1,630		2,000,955
5.00%, 6/01/23			1,630		2,051,290
5.00%, 6/01/24			1,630		2,098,967
State of Nevada Highway Improvement Revenue RB:
5.00%, 12/01/27			1,590		2,071,007
5.00%, 12/01/28			750		974,370
State of New Jersey GO:
5.00%, 6/01/27			1,000		1,224,810
5.00%, 6/01/32			1,500		1,807,440
State of North Carolina GO:
5.00%, 6/01/24			2,150		2,768,577
5.00%, 6/01/25			3,500		4,599,910
5.00%, 6/01/25			2,080		2,733,661
5.00%, 6/01/26			3,500		4,681,705
5.00%, 6/01/27			2,500		3,320,175
State of Ohio GO:
5.00%, 12/15/23			2,690		3,402,689
5.00%, 9/15/24			2,000		2,565,760
5.00%, 12/15/24			1,895		2,441,707
State of Washington GO:
5.00%, 8/01/25 (o)			1,710		2,211,355
5.00%, 8/01/26 (o)			1,710		2,244,546
5.00%, 8/01/27 (o)			1,710		2,223,051
5.00%, 7/01/28			1,280		1,616,563
5.00%, 8/01/28 (o)			2,000		2,593,980
5.00%, 8/01/29 (o)			2,000		2,583,340
5.00%, 8/01/30 (o)			2,000		2,573,080
5.00%, 8/01/31 (o)			2,000		2,562,520
5.00%, 8/01/32 (o)			2,000		2,552,020
State of Wisconsin GO, 5.00%, 5/01/34			2,355		2,952,723
Texas Private Activity Bond Surface Transportation Corp. RB, 5.00%, 12/31/55			1,640		1,909,386
Tobacco Settlement Finance Authority RB, 7.47%, 6/01/47			3,055		2,920,122
Tobacco Settlement Financing Corp. RB, 6.71%, 6/01/46			3,325		2,808,594
University of Arizona RB, 5.00%, 8/01/39			1,285		1,567,186
University of California RB, 4.86%, 5/15/12			1,415		1,577,513
Virginia Public School Authority RB, 5.00%, 8/01/25			1,045		1,374,645
Washington Health Care Facilities Authority RB, 5.00%, 10/01/38			3,420		4,090,491


Taxable Municipal Bonds		Par (000)		Value
West Virginia Hospital Finance Authority RB:
5.00%, 6/01/19	USD		895	$	996,511
5.00%, 6/01/20			965		1,107,241
5.00%, 6/01/21			960		1,128,557
5.00%, 6/01/22			1,050		1,259,832
5.00%, 6/01/23			870		1,061,269
5.00%, 6/01/24			935		1,162,448
Wisconsin Health & Educational Facilities Authority RB, 5.00%, 8/15/39			1,250		1,472,425
Total Taxable Municipal Bonds — 4.2%					402,974,793

U.S. Government Sponsored Agency Securities		Par (000)		Value
Agency Obligations — 0.1%
Fannie Mae, 6.63%, 11/15/30			1,450		2,221,602
Freddie Mac:
3.75%, 3/27/19			3,650		3,940,817
4.88%, 6/13/18			4,300		4,647,388

					10,809,807
Collateralized Mortgage Obligations — 0.1%
Fannie Mae:
Series 2005-48, Class AR, 5.50%, 2/25/35			9		9,159
Series 2013-C01, Class M2, 5.70%, 10/25/23 (b)			5,505		5,828,235
Series 2016-C02, Class 1M2, 6.44%, 9/25/28 (b)			640		676,354

					6,513,748
Commercial Mortgage-Backed Securities — 0.2%
Fannie Mae:
Series 2006-M2, Class A2A, 5.27%, 10/25/32 (b)			3,223		3,873,822
Series 2015-M10, Class A2, 3.09%, 4/25/27 (b)			1,000		1,085,830
Freddie Mac:
Series K050, Class A2, 3.33%, 8/25/25 (b)			3,700		4,078,823
Series K052, Class A2, 3.15%, 11/25/25			1,882		2,044,248
Series K055, Class A2, 2.67%, 3/25/26			2,520		2,638,890

					13,721,613
Interest Only Collateralized Mortgage Obligations — 0.0%
Ginnie Mae:
Series 2015-103, Class CI, 4.00%, 7/20/45			10,938		787,090
Series 2015-152, Class PI, 4.00%, 10/20/45			4,438		341,985
Series 2015-176, Class IO, 4.00%, 11/20/45			1,221		93,183
Series 2016-82, Class IM, 4.00%, 2/01/46			1,200		111,375

					1,333,633
Interest Only Commercial Mortgage-Backed Securities — 0.1%
Fannie Mae:
Series 2013-M5, Class X2, 2.43%, 1/25/22 (b)			11,823		1,035,053
Series 2014-M13, Class X2, 0.24%, 2/25/24 (b)			126,262		1,370,562
Series 2015-M4, Class X2, 0.66%, 7/25/22 (b)			42,012		1,133,053
Freddie Mac:
Series K038, Class X1, 1.35%, 3/25/24 (b)			10,228		741,958


U.S. Government Sponsored Agency Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series K049, Class X1, 0.74%, 7/25/25 (b)	USD		8,837	$	394,661
Series K055, Class X1, 1.37%, 3/25/26 (b)			24,969		2,616,769
Series K718, Class X1, 0.77%, 1/25/22 (b)			6,073		184,316
Series K721, Class X1, 0.46%, 8/25/22 (b)			12,897		235,532
Ginnie Mae:
Series 2012-120, Class IO, 0.90%, 2/16/53 (b)			20,719		1,265,306
Series 2014-40, Class AI, 1.00%, 2/16/39			13,262		371,991
Series 2014-52, Class AI, 0.83%, 8/16/41			9,874		275,979
Series 2016-87, Class IO, 1.01%, 8/16/58 (b)			9,540		795,994

					10,421,174
Mortgage-Backed Securities — 66.4%
Fannie Mae Mortgage-Backed Securities:
2.23%, 10/01/42 (b)			2,445		2,558,428
2.50%, 9/01/29-7/01/31 (p)			222,309		230,033,913
3.00%, 11/01/26-7/01/46			910,938		951,856,661
3.16%, 12/01/40 (b)			1,954		2,057,219
3.50%, 6/01/20-7/01/46 (p)			1,330,128		1,410,047,182
4.00%, 1/01/25-7/01/46 (p)			932,696		1,002,031,476
4.50%, 2/01/25-7/01/46 (p)			243,483		266,319,323
5.00%, 5/01/23-7/01/46 (p)			97,199		108,178,661
5.50%, 12/01/32-4/01/41			43,165		48,940,048
6.00%, 2/01/34-7/01/46 (p)			27,800		31,917,894
6.50%, 5/01/40-7/01/46 (p)			9,958		11,532,624
Freddie Mac Mortgage-Backed Securities:
2.50%, 10/01/29-7/01/31 (p)			46,281		47,932,086
2.91%, 6/01/42 (b)			2,434		2,518,025
3.00%, 7/01/26-7/01/46 (p)			158,725		165,780,417
3.50%, 9/01/25-7/01/46 (p)(q)			443,894		470,608,151
4.00%, 8/01/40-7/01/46 (p)			149,866		160,747,736
4.50%, 2/01/39-7/01/46 (p)			49,162		53,763,949
5.00%, 7/01/35-7/01/46 (p)			33,285		36,847,061
5.50%, 10/01/39-7/01/46 (p)			17,402		19,434,971
6.00%, 7/01/46 (p)			7,800		8,868,507
Ginnie Mae Mortgage-Backed Securities:
1.75%, 5/20/34 (b)			808		840,979
3.00%, 7/15/46 (p)			142,686		149,176,067
3.50%, 12/20/41-7/15/46 (p)			470,989		499,887,412
4.00%, 9/20/40-7/15/46 (p)			495,006		529,247,477
4.50%, 8/20/38-7/15/46			89,789		97,287,565
5.00%, 12/15/38-7/15/46			40,189		44,235,279
5.50%, 7/15/46 (p)			5,800		6,356,437

					6,359,005,548
Total U.S. Government Sponsored Agency Securities — 66.9%					6,401,805,523

U.S. Treasury Obligations		Par (000)		Value
U.S. Treasury Bonds:
2.88%, 8/15/45			120,733		135,569,999
3.00%, 11/15/45			128,547		147,808,997
2.50%, 2/15/46-5/15/46			101,602		105,801,829
U.S. Treasury Inflation Indexed Bonds, 1.00%, 2/15/46			4,967		5,362,645
U.S. Treasury Inflation Indexed Notes:
0.13%, 4/15/21			108,975		111,650,020
0.63%, 1/15/26 (r)			96,451		101,565,688


U.S. Treasury Obligations		Par (000)		Value
U.S. Treasury Notes:
0.75%, 2/28/18-2/15/19 (k)(r)	USD		530,246	$	531,467,412
0.88%, 3/31/18-5/15/19 (k)			477,004		479,306,701
1.00%, 3/15/19			290,485		292,947,441
1.13%, 2/28/21-6/30/21 (k)(r)			265,639		267,471,311
1.25%, 3/31/21 (k)			258,571		261,581,025
1.38%, 4/30/21 (k)			147,195		149,736,469
1.50%, 2/28/23-3/31/23			302,280		306,654,664
1.63%, 4/30/23-2/15/26 (k)			108,441		110,197,475
2.00%, 8/15/25			91,051		95,187,447
2.25%, 11/15/25			88,688		94,619,010
U.S. Treasury Strips, 0.00%, 5/15/36 (i)(k)			14,105		9,192,243
Total U.S. Treasury Obligations — 33.5%					3,206,120,376
Total Long-Term Investments (Cost — $14,547,395,994) — 154.3%					14,766,923,524

Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements — 2.6%
Barclays Bank PLC, (1.60)%(s), Open (t) (Purchased on 1/14/16 to be repurchased at EUR 100,187, collateralized by Grupo Antolin Dutch BV, 5.13% due at 6/30/22, par and fair value of EUR 100,000 and $115,692, respectively)	EUR		101		112,004
Barclays Bank PLC, (0.95)%, Open (t) (Purchased on 6/27/16 to be repurchased at EUR 16,198,558, collateralized by Kingdom of Spain, 5.85% due at 1/31/22, par and fair value of EUR 12,300,000 and $17,816,013, respectively)			16,199		17,977,375
Barclays Bank PLC, (0.68)%, Open (t) (Purchased on 6/01/16 to be repurchased at EUR 10,767,589, collateralized by Kingdom of Spain, 5.85% due at 1/31/22, par and fair value of EUR 8,190,000 and $11,862,857, respectively)			10,773		11,955,706
Barclays Bank PLC, (0.52)%, Open (t) (Purchased on 6/01/16 to be repurchased at EUR 10,769,117, collateralized by Buoni Poliennali Del Tesoro, 2.15% due at 12/15/21, par and fair value of EUR 9,820,000 and $11,887,769, respectively)			10,773		11,955,914
Barclays Capital, Inc., 0.30%, 7/1/16 (Purchased on 6/30/16 to be repurchased at $37,520,488, collateralized by U.S. Treasury Notes, 1.00% due at 6/15/19, par and fair value of USD 37,380,000 and $37,565,442, respectively)	USD		37,520		37,520,175
Citigroup Global Markets Limited, (1.75)%, Open (t) (Purchased on 1/12/16 to be repurchased at $535,217, collateralized by Bank of Communications Co. Ltd., 5.00% (l), par and fair value of USD 500,000 and $502,400, respectively)			540		539,650
Citigroup Global Markets, Inc., (0.25)%, Open (t) (Purchased on 2/08/16 to be repurchased at $708,041, collateralized by T-Mobile USA, Inc., 6.84% due at 4/28/23, par and fair value of USD 700,000 and $739,375, respectively)			709		708,750


Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements (continued) (s)
Citigroup Global Markets, Inc., 0.05%, Open (t) (Purchased on 1/26/16 to be repurchased at $1,982,307, collateralized by Eaton Corp., 4.15% due at 11/02/42, par and fair value of USD 2,100,000 and $2,261,813, respectively)	USD		1,982	$	1,981,875
Citigroup Global Markets, Inc., 0.10%, Open (t) (Purchased on 2/08/16 to be repurchased at $7,846,637, collateralized by Shell International Finance BV, 3.25% due at 5/11/25, par and fair value of USD 8,300,000 and $8,707,422, respectively)			7,844		7,843,500
Citigroup Global Markets, Inc., 0.55%, 7/1/16 (Purchased on 6/30/16 to be repurchased at $4,548,498, collateralized by U.S. Treasury Notes, 1.38% due at 5/31/21, par and fair value of USD 4,470,200 and $4,550,699, respectively)			4,548		4,548,429
Credit Suisse Securities (USA) LLC, 0.61%, Open (t) (Purchased on 5/06/16 to be repurchased at $59,084,011, collateralized by U.S. Treasury Notes, 0.75% due at 4/30/18, par and fair value of USD 59,028,000 and $59,198,650, respectively)			59,028		59,028,000
Credit Suisse Securities (USA) LLC, 0.65%, 7/1/16 (Purchased on 6/30/16 to be repurchased at $5,889,655, collateralized by U.S. Treasury Notes, 1.38% due at 1/31/21, par and fair value of USD 5,767,000 and $5,869,047, respectively)			5,890		5,889,549
Deutsche Bank Securities, Inc., 0.35%, 7/6/16 (Purchased on 6/03/16 to be repurchased at $9,013,291, collateralized by U.S. Treasury Strips, 0.00% due at 2/15/36, par and fair value of USD 13,601,000 and $9,424,854, respectively)			9,011		9,010,663
Deutsche Bank Securities, Inc., 0.76%, Open (t) (Purchased on 5/05/16 to be repurchased at $3,503,393, collateralized by U.S. Treasury Notes, 1.75% due at 1/31/23, par and fair value of USD 3,439,000 and $3,544,588, respectively)			3,499		3,499,183
J.P. Morgan Securities LLC, 0.00%, 7/1/16 (Purchased on 6/30/16 to be repurchased at $48,760,194, collateralized by U.S. Treasury Notes, 1.63% due at 5/15/26, par and fair value of USD 48,039,600 and $48,626,980, respectively)			48,760		48,760,194
J.P. Morgan Securities PLC, (1.85)%, Open (t) (Purchased on 3/17/16 to be repurchased at EUR 286,641, collateralized by Thomas Cook Finance PLC, 6.75% due at 6/15/21, par and fair value of EUR 260,000 and $267,184, respectively)	EUR		288		319,777
J.P. Morgan Securities PLC, (1.60)%, Open (t) (Purchased on 4/07/16 to be repurchased at EUR 328,364, collateralized by Solvay SA, 1.63% due at 12/02/22, par and fair value of EUR 300,000 and $351,365, respectively)			330		365,769
J.P. Morgan Securities PLC, (1.30)%, Open (t) (Purchased on 1/21/16 to be repurchased at EUR 208,277, collateralized by Solvay SA, 1.63% due at 12/02/22, par and fair value of EUR 200,000 and $234,243, respectively)			209		232,463


Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements (continued) (s)
J.P. Morgan Securities PLC, (1.05)%, Open (t) (Purchased on 2/16/16 to be repurchased at EUR 105,529, collateralized by Syngenta Finance NV, 1.88% due at 11/02/21, par and fair value of EUR 100,000 and $116,895, respectively)	EUR		106	$	117,574
J.P. Morgan Securities PLC, (0.75)%, Open (t) (Purchased on 4/07/16 to be repurchased at $557,972, collateralized by Industrial & Commercial Bank of China Ltd., 6.00% (l), par and fair value of USD 500,000 and $521,165, respectively)	USD		559		558,950
RBC Capital Markets, LLC, (0.38)%, Open (t) (Purchased on 5/02/16 to be repurchased at $3,102,100, collateralized by Rio Tinto Finance USA PLC, 4.13% due at 8/21/42, par and fair value of USD 3,200,000 and $3,159,011, respectively)			3,104		3,104,000
RBC Capital Markets, LLC, 0.15%, Open (t) (Purchased on 1/22/16 to be repurchased at $3,171,837, collateralized by Praxair, Inc., 3.20% due at 1/30/26, par and fair value of USD 3,100,000 and $3,351,041, respectively)			3,170		3,169,750
RBC Capital Markets, LLC, 0.15%, Open (t) (Purchased on 1/27/16 to be repurchased at $2,869,364, collateralized by Exxon Mobil Corp., 3.57% due at 3/06/45, par and fair value of USD 3,100,000 and $3,208,469, respectively)			2,868		2,867,500
RBC Capital Markets, LLC, 0.15%, Open (t) (Purchased on 12/17/15 to be repurchased at $2,520,807, collateralized by Chevron Corp., 3.33% due at 11/17/25, par and fair value of USD 2,500,000 and $2,671,900, respectively)			2,519		2,518,750
RBC Capital Markets, LLC, 0.15%, Open (t) (Purchased on 12/17/15 to be repurchased at $2,533,317, collateralized by Caterpillar, Inc., 3.40% due at 5/15/24, par and fair value of USD 2,500,000 and $2,686,760, respectively)			2,531		2,531,250
RBC Capital Markets, LLC, 0.15%, Open (t) (Purchased on 2/26/16 to be repurchased at $2,696,381, collateralized by BHP Billiton Finance USA Ltd., 5.00% due at 9/30/43, par and fair value of USD 2,800,000 and $3,253,522, respectively)			2,695		2,695,000
RBC Capital Markets, LLC, 0.15%, Open (t) (Purchased on 5/05/16 to be repurchased at $1,410,811, collateralized by Caterpillar, Inc., 3.80% due at 8/15/42, par and fair value of USD 1,400,000 and $1,426,571, respectively)			1,411		1,410,500
RBC Capital Markets, LLC, 0.15%, Open (t) (Purchased on 6/20/16 to be repurchased at $5,436,204, collateralized by Freeport- McMoRan, Inc., 5.45% due at 3/15/43, par and fair value of USD 7,200,000 and $5,778,000, respectively)			5,436		5,436,000

					246,658,250

Money Market Funds		Shares		Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (u)			15,916,146		15,916,146


Money Market Funds		Beneficial Interest (000)		Value
BlackRock Liquidity Series, LLC, Money Market Series, 0.59% (m)(u)(v)			80,589	$	80,589,469
Total Money Market Funds — 1.0%					96,505,615
Total Short-Term Securities (Cost — $343,137,560) — 3.6%					343,163,865

Options Purchased				Value
(Cost — $16,891,290) — 0.1%					9,303,842
Total Investments Before TBA Sale Commitments, Options Written, Borrowed Bonds and Investments Sold Short *(Cost — $14,907,424,844) — 158.0%**					15,119,391,231

TBA Sale Commitments (p)		Par (000)		Value
Fannie Mae Mortgage-Backed Securities:
2.50%, 7/01/31	USD		325,934		(336,998,329	)
3.00%, 7/01/31-7/01/46			944,308		(981,770,952	)
3.50%, 7/01/31-7/01/46			807,737		(853,292,976	)
4.00%, 7/01/46			321,652		(344,862,022	)
4.50%, 7/01/46			170,170		(185,750,306	)
5.00%, 7/01/46			57,159		(63,501,525	)
5.50%, 7/01/46			9,592		(10,782,008	)
Freddie Mac Mortgage-Backed Securities:
2.50%, 7/01/31			2,513		(2,598,716	)
3.00%, 7/01/46			13,792		(14,297,533	)
3.50%, 7/01/46			174,284		(183,733,469	)
4.00%, 7/01/46			38,200		(40,885,938	)
5.00%, 7/01/46			5,767		(6,366,028	)
Ginnie Mae Mortgage-Backed Securities:
3.50%, 7/15/46			208,199		(220,975,687	)
4.00%, 7/15/46			233,213		(249,282,822	)
5.00%, 7/15/46			5,000		(5,563,121	)
Total TBA Sale Commitments (Proceeds — $3,481,262,335) — (36.6)%					(3,500,661,432	)

Options Written				Value
(Premiums Received — $9,497,027) — (0.1)%					(6,747,335	)

Borrowed Bonds		Par (000)		Value
Corporate Bonds — (0.4)%
Bank of Communications Co. Ltd., 5.00% (b)(l)			500		(502,400	)
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43			2,800		(3,253,522	)
Caterpillar, Inc.,
3.40%, 5/15/24			2,500		(2,686,760	)
3.80%, 8/15/42			1,400		(1,426,571	)
Chevron Corp., 3.33%, 11/17/25			2,500		(2,671,900	)
Eaton Corp., 4.15%, 11/02/42			2,100		(2,261,813	)
Exxon Mobil Corp., 3.57%, 3/06/45			3,100		(3,208,469	)


Borrowed Bonds		Par (000)		Value
Corporate Bonds (continued)
Freeport-McMoRan, Inc., 5.45%, 3/15/43	USD		7,200	$	(5,778,000	)
Grupo Antolin Dutch BV, 5.13%, 6/30/22	EUR		100		(115,692	)
Praxair, Inc., 3.20%, 1/30/26	USD		3,100		(3,351,041	)
Rio Tinto Finance USA PLC, 4.13%, 8/21/42			3,200		(3,159,011	)
Shell International Finance BV, 3.25%, 5/11/25			8,300		(8,707,422	)
Solvay SA, 1.63%, 12/02/22	EUR		500		(585,608	)
Syngenta Finance NV, 1.88%, 11/02/21			100		(116,895	)
Thomas Cook Finance PLC, 6.75%, 6/15/21			260		(267,184	)
T-Mobile USA, Inc., 6.84%, 4/28/23	USD		700		(739,375	)

					(38,831,663	)
Foreign Agency Obligations — 0.0%
Industrial & Commercial Bank of China Ltd., 6.00% (b)(l)			500		(521,165	)

					(521,165	)
Foreign Government Obligations — (0.4)%
Buoni Poliennali Del Tesoro, 2.15%, 12/15/21	EUR		9,820		(11,887,769	)
Kingdom of Spain, 5.85%, 1/31/22			20,490		(29,678,870	)
U.S. Treasury Obligations — (1.8)%
U.S. Treasury Notes:
0.75%, 4/30/18	USD		59,028		(59,198,650	)
0.88%, 6/15/19			37,380		(37,565,442	)
1.38%, 1/31/21-5/31/21			10,237		(10,419,746	)
1.75%, 1/31/23			3,439		(3,544,588	)
1.63%, 5/15/26			48,040		(48,626,980	)
U.S. Treasury Strips, 0.00%, 2/15/36 (i)			13,601		(9,424,854	)

					(168,780,260	)
Total Borrowed Bonds (Proceeds — $242,889,624) — (2.6)%					(249,699,727	)

Investments Sold Short
U.S. Treasury Obligations — (0.2)%
U.S. Treasury Notes			18,100		(18,321,309	)
Total Investments Sold Short (Proceeds — $18,358,030) — (0.2)%					(18,321,309	)
Total Investments Net of TBA Sale Commitments, Options Written, Borrowed Bonds and Investments Sold Short — 118.5%					11,343,961,428
Liabilities in Excess of Other Assets — (18.5)%					(1,771,754,880	)

Net Assets — 100.0%				$	9,572,206,548

Counterparty

Interest
Rate

Trade
Date

Maturity
Date¹

Face

Value

Face Value
Including
Accrued

Interest

Type of Underlying
Collateral

Remaining
Contractual
Maturity of the
Agreements

Barclays Capital, Inc.

(1.00%)

11/23/15

Open

349,375

347,240

Corporate Bonds

Open/Demand¹

Credit Agricole Corporate and Investment Bank S.A.

0.39%

5/02/16

Open

59,700,000

59,738,805

U.S. Treasury Obligations

Open/Demand¹

Credit Agricole Corporate and Investment Bank S.A.

0.43%

5/17/16

Open

40,250,000

40,271,634

U.S. Treasury Obligations

Open/Demand¹

Credit Agricole Corporate and Investment Bank S.A.

0.31%

5/23/16

Open

180,000,000

180,060,450

U.S. Treasury Obligations

Open/Demand¹

Deutsche Bank Securities, Inc.

0.47%

6/03/16

7/06/16

8,797,994

8,800,865

U.S. Treasury Obligations

Up to 30 Days

Nomura Securities International, Inc.

0.40%

6/08/16

Open

249,375,000

249,438,729

U.S. Treasury Obligations

Open/Demand¹

Nomura Securities International, Inc.

0.43%

6/09/16

Open

24,968,750

24,975,311

U.S. Treasury Obligations

Open/Demand¹

Bank of Montreal

0.46%

6/28/16

Open

38,190,000

38,191,464

U.S. Treasury Obligations

Open/Demand¹

Bank of Montreal

0.70%

6/28/16

Open

101,375,000

101,380,914

U.S. Treasury Obligations

Open/Demand¹

Deutsche Bank Securities, Inc.

0.70%

6/29/16

7/01/16

202,175,750

202,179,681

U.S. Treasury Obligations

Overnight

RBC Capital Markets, LLC

—

6/29/16

Open

433,550

Corporate Bonds

Open/Demand¹

Credit Suisse Securities (USA) LLC

0.90%

6/30/16

7/01/16

145,906,250

145,909,898

U.S. Treasury Obligations

Overnight

Amherst Pierport Securities LLC

0.15%

6/30/16

7/01/16

99,773,465

99,773,881

U.S. Treasury Obligations

Overnight

Merrill Lynch, Pierce, Fenner & Smith, Inc.

0.73%

6/30/16

7/01/16

191,420,850

191,424,732

U.S. Treasury Obligations

Overnight

Merrill Lynch, Pierce, Fenner & Smith, Inc.

0.67%

6/30/16

7/01/16

100,851,500

100,853,377

U.S. Treasury Obligations

Overnight

Total

1,443,567,484

1,443,780,531


Contracts Long/ (Short)	Issue	Expiration	Notional Value			Unrealized Appreciation (Depreciation)
162	CBOE Volatility Index	August 2016		USD	2,968,650		$(130,365	)
	Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR
192	165.50	August 2016		USD	59,660		(34,279	)
201	Canadian Government Bonds (10 Year)	September 2016		USD	23,031,882		226,608
(568)	Euro-Bobl	September 2016		USD	84,213,517		(600,490	)
(659)	Euro-BTP Italian Government Bond	September 2016		USD	104,294,740		(965,753	)
(760)	Euro-Bund	September 2016		USD	140,951,282		(897,060	)
	Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR
(196)	157	September 2016		USD	4,350		73,763
	Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR
96	160	September 2016		USD	7,458		(79,996	)
	Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR
(200)	161.50	September 2016		USD	28,854		99,683
	Euro-Bund 8.5 to 10.5-Year Bond Futures Put Options, Strike Price EUR
200	163	September 2016		USD	55,488		(162,220	)
(9)	Euro-Schatz	September 2016		USD	1,119,282		(2,705	)
(43)	Long Gilt British	September 2016		USD	7,355,288		(342,989	)


Contracts Long/ (Short)	Issue	Expiration	Notional Value			Unrealized Appreciation (Depreciation)
(5)	Nikkei 225 Index	September 2016		USD	753,886		$ (16,965	)
(160)	S&P 500 E-Mini Index	September 2016		USD	16,721,600		(158,577	)
694	U.S. Treasury Bonds (30 Year)	September 2016		USD	119,606,563		6,352,042
(1,912)	U.S. Treasury Notes (10 Year)	September 2016		USD	254,266,125		172,070
1,861	U.S. Treasury Notes (2 Year)	September 2016		USD	408,169,642		2,377,763
263	U.S. Treasury Notes (5 Year)	September 2016		USD	32,129,149		(6,499	)
10	U.S. Ultra Treasury Bonds	September 2016		USD	1,863,750		(6,563	)
(125)	WTI Light Sweet Crude Oil	September 2016		USD	6,126,250		172,124
(168)	Euro Dollar	December 2016		USD	41,716,500		(126,098	)
130	WTI Light Sweet Crude Oil	December 2016		USD	6,580,600		(141,151	)
(517)	Euro Dollar	March 2018		USD	128,131,988		(372,411	)
Total							$5,429,932


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	1,600,000	USD	1,787,416	Bank of America N.A.		7/01/16		$ (11,742	)
EUR	1,720,000	USD	1,895,077	Barclays Bank PLC		7/01/16		13,772
EUR	2,290,000	USD	2,517,855	Barclays Bank PLC		7/01/16		23,579
EUR	3,430,000	USD	3,787,663	Citibank N.A.		7/01/16		18,938
EUR	2,290,000	USD	2,530,290	Deutsche Bank AG		7/01/16		11,144
GBP	1,200,000	USD	1,729,152	Barclays Bank PLC		7/01/16		(131,630	)
TRY	5,815,169	USD	1,960,000	BNP Paribas S.A.		7/01/16		61,109
TRY	28,214,623	USD	9,700,000	Deutsche Bank AG		7/01/16		106,222
TRY	1,451,589	USD	490,000	HSBC Bank PLC		7/01/16		14,512
TRY	28,174,445	USD	9,700,000	Morgan Stanley & Co. International PLC		7/01/16		92,258
USD	10,719,541	EUR	9,730,000	Barclays Bank PLC		7/01/16		(78,778	)
USD	1,787,926	EUR	1,600,000	Goldman Sachs International		7/01/16		12,252
USD	1,747,884	GBP	1,200,000	Barclays Bank PLC		7/01/16		150,362
USD	19,400,000	TRY	56,946,372	Morgan Stanley & Co. International PLC		7/01/16		(392,176	)
USD	2,450,000	TRY	7,191,681	Morgan Stanley & Co. International PLC		7/01/16		(49,527	)
AUD	13,400,694	USD	10,000,000	Credit Suisse International		7/05/16		(7,649	)
BRL	5,314,354	USD	1,539,500	Goldman Sachs International		7/05/16		112,207
BRL	7,845,761	USD	2,198,000	Goldman Sachs International		7/05/16		240,471
BRL	9,541,640	USD	2,630,000	Goldman Sachs International		7/05/16		335,553
BRL	20,445,810	USD	5,671,200	HSBC Bank PLC		7/05/16		683,381
BRL	5,391,329	USD	1,539,500	JPMorgan Chase Bank N.A.		7/05/16		136,131
BRL	10,440,889	USD	3,252,816	Morgan Stanley & Co. International PLC		7/05/16		(7,776	)
BRL	10,468,600	USD	3,079,000	Morgan Stanley & Co. International PLC		7/05/16		174,653
BRL	634,121	USD	175,852	Royal Bank of Scotland PLC		7/05/16		21,234
BRL	7,902,390	USD	2,186,000	Royal Bank of Scotland PLC		7/05/16		270,072
CAD	3,218,005	USD	2,475,000	Deutsche Bank AG		7/05/16		15,863
CAD	24,807,892	USD	19,080,000	Deutsche Bank AG		7/05/16		122,292
CAD	12,983,700	USD	10,000,000	Royal Bank of Scotland PLC		7/05/16		49,898
COP	5,285,016,720	USD	1,749,600	Credit Suisse International		7/05/16		57,635
EUR	9,005,845	USD	10,000,000	Credit Suisse International		7/05/16		(3,847	)
EUR	2,217,708	USD	2,450,000	Morgan Stanley & Co. International PLC		7/05/16		11,573


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	2,450,000	USD	2,706,675	Morgan Stanley & Co. International PLC		7/05/16		$ 12,734
EUR	17,560,623	USD	19,400,000	Morgan Stanley & Co. International PLC		7/05/16		91,639
EUR	19,400,000	USD	21,432,448	Morgan Stanley & Co. International PLC		7/05/16		100,833
GBP	14,145,911	USD	19,400,000	JPMorgan Chase Bank N.A.		7/05/16		(567,329	)
GBP	1,786,468	USD	2,450,000	JPMorgan Chase Bank N.A.		7/05/16		(71,647	)
JPY	1,986,783,100	USD	19,400,000	Goldman Sachs International		7/05/16		(157,327	)
JPY	250,908,175	USD	2,450,000	Goldman Sachs International		7/05/16		(19,869	)
MXN	76,043,110	USD	4,384,000	JPMorgan Chase Bank N.A.		7/05/16		(226,670	)
MXN	102,877,241	USD	5,621,400	JPMorgan Chase Bank N.A.		7/05/16		2,971
RUB	131,305,815	USD	1,980,000	BNP Paribas S.A.		7/05/16		70,572
RUB	32,840,627	USD	495,000	Citibank N.A.		7/05/16		17,864
RUB	603,786,110	USD	9,360,000	Société Générale		7/05/16		69,186
RUB	627,794,291	USD	9,720,000	Société Générale		7/05/16		84,116
SEK	20,909,282	USD	2,450,000	BNP Paribas S.A.		7/05/16		21,889
SEK	165,567,379	USD	19,400,000	BNP Paribas S.A.		7/05/16		173,323
USD	4,094,015	AUD	5,565,129	Deutsche Bank AG		7/05/16		(55,674	)
USD	2,942,120	AUD	4,000,816	Goldman Sachs International		7/05/16		(41,125	)
USD	2,963,865	AUD	4,027,751	Goldman Sachs International		7/05/16		(39,465	)
USD	11,047,290	BRL	36,953,183	Goldman Sachs International		7/05/16		(437,801	)
USD	1,813,762	BRL	6,600,280	Goldman Sachs International		7/05/16		(237,612	)
USD	3,079,000	BRL	10,299,255	Goldman Sachs International		7/05/16		(122,020	)
USD	3,079,000	BRL	10,440,889	Morgan Stanley & Co. International PLC		7/05/16		(166,040	)
USD	3,261,449	BRL	10,468,600	Morgan Stanley & Co. International PLC		7/05/16		7,797
USD	197,558	BRL	634,121	Royal Bank of Scotland PLC		7/05/16		472
USD	2,461,957	BRL	7,902,390	Royal Bank of Scotland PLC		7/05/16		5,885
USD	495,000	CAD	642,738	JPMorgan Chase Bank N.A.		7/05/16		(2,505	)
USD	10,000,000	CAD	13,063,900	Royal Bank of Canada		7/05/16		(111,976	)
USD	9,720,000	CAD	12,432,492	Royal Bank of Scotland PLC		7/05/16		96,758
USD	1,980,000	CAD	2,596,364	State Street Bank and Trust Co.		7/05/16		(29,689	)
USD	9,360,000	CAD	12,000,587	State Street Bank and Trust Co.		7/05/16		71,070
USD	1,749,600	COP	5,497,925,544	Credit Suisse International		7/05/16		(130,440	)
USD	9,700,000	EUR	8,573,896	Citibank N.A.		7/05/16		183,295
USD	490,000	EUR	437,679	Goldman Sachs International		7/05/16		4,192
USD	21,484,418	EUR	19,400,000	Morgan Stanley & Co. International PLC		7/05/16		(48,862	)
USD	2,713,238	EUR	2,450,000	Morgan Stanley & Co. International PLC		7/05/16		(6,171	)
USD	9,700,000	EUR	8,590,362	Morgan Stanley & Co. International PLC		7/05/16		165,017
USD	10,000,000	EUR	9,053,100	State Street Bank and Trust Co.		7/05/16		(48,605	)
USD	1,960,000	EUR	1,755,888	State Street Bank and Trust Co.		7/05/16		11,030
USD	1,960,000	GBP	1,333,195	Barclays Bank PLC		7/05/16		185,097
USD	490,000	GBP	334,408	HSBC Bank PLC		7/05/16		44,797
USD	9,700,000	GBP	6,596,813	HSBC Bank PLC		7/05/16		917,561
USD	9,700,000	GBP	6,600,377	Northern Trust Corp.		7/05/16		912,815
USD	9,700,000	JPY	1,011,791,868	Citibank N.A.		7/05/16		(99,550	)
USD	490,000	JPY	53,710,649	Citibank N.A.		7/05/16		(30,206	)
USD	1,960,000	JPY	215,762,876	HSBC Bank PLC		7/05/16		(129,737	)
USD	9,700,000	JPY	1,014,696,145	Morgan Stanley & Co. International PLC		7/05/16		(127,679	)
USD	4,754,400	MXN	88,348,163	Citibank N.A.		7/05/16		(75,656	)
USD	2,192,000	MXN	39,880,590	Goldman Sachs International		7/05/16		11,700


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	3,059,000	MXN	55,982,759	JPMorgan Chase Bank N.A.		7/05/16		$ (1,617	)
USD	21,555,000	RUB	1,417,241,250	Morgan Stanley & Co. International PLC		7/05/16		(608,008	)
USD	1,960,000	SEK	16,254,411	Barclays Bank PLC		7/05/16		38,409
USD	9,700,000	SEK	80,300,706	Barclays Bank PLC		7/05/16		206,876
USD	9,700,000	SEK	79,990,633	Deutsche Bank AG		7/05/16		243,533
USD	490,000	SEK	4,056,656	Morgan Stanley & Co. International PLC		7/05/16		10,423
BRL	1,774,290	USD	490,000	Credit Suisse International		7/06/16		61,273
BRL	7,037,968	USD	1,960,000	Credit Suisse International		7/06/16		226,703
BRL	32,810,250	USD	9,700,000	Goldman Sachs International		7/06/16		494,173
BRL	32,926,650	USD	9,700,000	Royal Bank of Scotland PLC		7/06/16		530,339
COP	13,046,325,000	USD	4,415,000	BNP Paribas S.A.		7/06/16		45,184
COP	13,172,152,500	USD	4,415,000	BNP Paribas S.A.		7/06/16		88,201
COP	1,503,320,000	USD	490,000	Credit Suisse International		7/06/16		23,944
COP	6,025,040,000	USD	1,960,000	Credit Suisse International		7/06/16		99,798
COP	15,755,642,000	USD	5,285,000	Credit Suisse International		7/06/16		101,426
COP	15,622,460,000	USD	5,285,000	HSBC Bank PLC		7/06/16		55,895
EUR	2,708,051	RUB	194,627,652	Deutsche Bank AG		7/06/16		(32,675	)
EUR	2,500,000	USD	2,805,099	State Street Bank and Trust Co.		7/06/16		(30,087	)
GBP	1,000,000	USD	1,343,840	Morgan Stanley & Co. International PLC		7/06/16		(12,513	)
MXN	43,233,264	USD	2,338,881	Citibank N.A.		7/06/16		24,484
MXN	44,970,918	USD	2,492,421	HSBC Bank PLC		7/06/16		(34,065	)
MXN	49,059,803	USD	2,637,000	Morgan Stanley & Co. International PLC		7/06/16		44,876
MXN	16,062,209	USD	869,000	State Street Bank and Trust Co.		7/06/16		9,048
MXN	40,050,613	USD	2,149,895	UBS AG		7/06/16		39,490
RUB	205,310,915	EUR	2,708,051	Deutsche Bank AG		7/06/16		199,467
RUB	181,221,350	USD	2,719,000	Deutsche Bank AG		7/06/16		110,318
RUB	183,260,600	USD	2,719,000	Deutsche Bank AG		7/06/16		142,156
USD	19,400,000	BRL	66,930,000	Morgan Stanley & Co. International PLC		7/06/16		(1,395,209	)
USD	2,450,000	BRL	8,452,500	Morgan Stanley & Co. International PLC		7/06/16		(176,199	)
USD	26,700	CAD	35,000	Citibank N.A.		7/06/16		(392	)
USD	195,008	CAD	254,000	Royal Bank of Canada		7/06/16		(1,599	)
USD	3,430,000	COP	10,238,550,000	BNP Paribas S.A.		7/06/16		(70,282	)
USD	435,000	COP	1,298,475,000	BNP Paribas S.A.		7/06/16		(8,913	)
USD	8,585,000	COP	25,732,593,150	Credit Suisse International		7/06/16		(212,275	)
USD	1,085,000	COP	3,252,168,150	Credit Suisse International		7/06/16		(26,828	)
USD	3,440,000	COP	10,285,600,000	HSBC Bank PLC		7/06/16		(76,368	)
USD	435,000	COP	1,300,650,000	HSBC Bank PLC		7/06/16		(9,657	)
USD	3,945,000	COP	11,775,825,000	Royal Bank of Scotland PLC		7/06/16		(80,835	)
USD	495,000	COP	1,477,575,000	Royal Bank of Scotland PLC		7/06/16		(10,143	)
USD	170,369	EUR	150,000	Bank of New York Mellon		7/06/16		3,868
USD	211,480,552	EUR	189,385,000	Barclays Bank PLC		7/06/16		1,262,338
USD	680,181	EUR	600,000	Citibank N.A.		7/06/16		14,179
USD	947,527	EUR	836,000	Citibank N.A.		7/06/16		19,563
USD	332,252	EUR	300,000	Morgan Stanley & Co. International PLC		7/06/16		(749	)
USD	130,817	EUR	115,000	Morgan Stanley & Co. International PLC		7/06/16		3,166
USD	564,094	EUR	497,000	Morgan Stanley & Co. International PLC		7/06/16		12,422
USD	113,762	EUR	100,000	State Street Bank and Trust Co.		7/06/16		2,762
USD	328,692	EUR	288,000	State Street Bank and Trust Co.		7/06/16		9,010


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,489,489	EUR	1,320,000	State Street Bank and Trust Co.		7/06/16		$ 24,283
USD	1,023,861	EUR	900,000	State Street Bank and Trust Co.		7/06/16		24,857
USD	1,974,913	EUR	1,736,000	State Street Bank and Trust Co.		7/06/16		47,945
USD	30,577,358	GBP	20,879,000	Barclays Bank PLC		7/06/16		2,780,575
USD	176,142	GBP	122,000	Citibank N.A.		7/06/16		13,720
USD	72,894	GBP	50,000	Morgan Stanley & Co. International PLC		7/06/16		6,327
USD	1,641,860	GBP	1,129,000	Morgan Stanley & Co. International PLC		7/06/16		138,792
USD	144,586	HKD	1,123,000	State Street Bank and Trust Co.		7/06/16		(178	)
USD	585,837	JPY	65,069,750	Bank of America N.A.		7/06/16		(44,406	)
USD	851,314	JPY	92,891,000	Citibank N.A.		7/06/16		(48,396	)
USD	586,098	JPY	65,069,750	Morgan Stanley & Co. International PLC		7/06/16		(44,145	)
USD	1,173,772	JPY	130,139,500	UBS AG		7/06/16		(86,713	)
USD	2,411,091	MXN	43,233,264	BNP Paribas S.A.		7/06/16		47,725
USD	2,430,846	MXN	43,587,506	BNP Paribas S.A.		7/06/16		48,116
USD	3,506,000	MXN	65,450,555	Citibank N.A.		7/06/16		(71,884	)
USD	2,795,629	MXN	52,323,000	HSBC Bank PLC		7/06/16		(64,631	)
USD	2,283,873	MXN	41,434,025	UBS AG		7/06/16		18,863
USD	2,719,000	RUB	178,415,342	BNP Paribas S.A.		7/06/16		(66,509	)
USD	2,719,000	RUB	176,055,250	Deutsche Bank AG		7/06/16		(29,662	)
MXN	48,750,535	USD	2,637,000	Goldman Sachs International		7/07/16		27,714
MXN	49,320,242	USD	2,592,800	Goldman Sachs International		7/07/16		103,054
USD	2,592,800	MXN	48,427,502	Deutsche Bank AG		7/07/16		(54,257	)
USD	879,000	MXN	16,449,342	Deutsche Bank AG		7/07/16		(20,124	)
USD	879,000	MXN	16,455,601	Royal Bank of Scotland PLC		7/07/16		(20,466	)
USD	879,000	MXN	16,444,341	UBS AG		7/07/16		(19,851	)
USD	544,613	SGD	750,000	State Street Bank and Trust Co.		7/07/16		(12,105	)
EUR	9,730,000	USD	10,722,802	Barclays Bank PLC		7/08/16		78,353
EUR	570,000	USD	631,462	Deutsche Bank AG		7/08/16		1,288
EUR	1,544,602	USD	1,717,875	Goldman Sachs International		7/08/16		(3,232	)
EUR	8,095,398	USD	9,004,188	Morgan Stanley & Co. International PLC		7/08/16		(17,585	)
MXN	41,126,777	USD	2,224,600	Royal Bank of Scotland PLC		7/08/16		23,182
TRY	7,998,471	USD	2,701,000	BNP Paribas S.A.		7/08/16		74,098
TRY	5,398,196	USD	1,858,000	Morgan Stanley & Co. International PLC		7/08/16		14,923
USD	5,536,860	GBP	4,200,000	Citibank N.A.		7/08/16		(54,814	)
USD	22,623,160	GBP	17,200,000	State Street Bank and Trust Co.		7/08/16		(276,075	)
USD	2,267,312	MXN	41,126,777	State Street Bank and Trust Co.		7/08/16		19,530
USD	1,858,000	TRY	5,397,676	BNP Paribas S.A.		7/08/16		(14,743	)
USD	2,701,000	TRY	8,041,531	Deutsche Bank AG		7/08/16		(89,037	)
USD	2,337,608	ZAR	37,094,209	Citibank N.A.		7/08/16		(176,797	)
USD	336,514	ZAR	5,342,466	Citibank N.A.		7/08/16		(25,621	)
USD	5,844,020	ZAR	92,718,866	HSBC Bank PLC		7/08/16		(440,863	)
ZAR	53,110,919	USD	3,469,200	BNP Paribas S.A.		7/08/16		130,886
ZAR	34,615,183	USD	2,312,800	Goldman Sachs International		7/08/16		33,566
ZAR	41,568,564	USD	2,736,142	Morgan Stanley & Co. International PLC		7/08/16		81,554
CNH	41,869,139	USD	6,273,000	BNP Paribas S.A.		7/11/16		5,961
IDR	128,816,000,000	USD	9,700,000	JPMorgan Chase Bank N.A.		7/11/16		32,809
IDR	6,690,950,000	USD	490,000	Standard Chartered Bank		7/11/16		15,541
IDR	128,845,100,000	USD	9,700,000	Standard Chartered Bank		7/11/16		35,008


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
IDR	26,940,200,000	USD	1,960,000	Standard Chartered Bank		7/11/16		$ 75,491
USD	926,949	CNH	6,118,497	Citibank N.A.		7/11/16		9,380
USD	3,584,254	EUR	3,215,858	Morgan Stanley & Co. International PLC		7/11/16		13,968
USD	19,400,000	IDR	261,512,000,000	Standard Chartered Bank		7/11/16		(358,775	)
USD	2,450,000	IDR	33,026,000,000	Standard Chartered Bank		7/11/16		(45,309	)
USD	749,660	JPY	83,250,000	BNP Paribas S.A.		7/11/16		(56,797	)
USD	1,858,032	JPY	198,932,947	JPMorgan Chase Bank N.A.		7/11/16		(69,065	)
USD	626,971	EUR	550,844	Standard Chartered Bank		7/12/16		15,394
USD	346,148	KRW	412,723,163	Goldman Sachs International		7/12/16		(12,121	)
EUR	5,617,250	USD	6,429,695	Goldman Sachs International		7/13/16		(192,884	)
INR	232,513,980	USD	3,459,000	JPMorgan Chase Bank N.A.		7/13/16		(22,147	)
MXN	5,729,793	USD	309,693	BNP Paribas S.A.		7/13/16		3,318
MXN	49,133,277	USD	2,644,283	Citibank N.A.		7/13/16		39,806
MXN	53,590,045	USD	2,884,428	Citibank N.A.		7/13/16		43,128
MXN	27,609,557	USD	1,492,231	Goldman Sachs International		7/13/16		16,044
MXN	102,384,337	USD	5,508,088	Royal Bank of Scotland PLC		7/13/16		85,038
MXN	55,315,895	USD	2,965,994	State Street Bank and Trust Co.		7/13/16		55,843
USD	6,350,779	EUR	5,617,250	Royal Bank of Scotland PLC		7/13/16		113,968
USD	1,523,333	IDR	20,325,836,622	HSBC Bank PLC		7/13/16		(11,924	)
USD	3,046,667	IDR	40,657,766,711	JPMorgan Chase Bank N.A.		7/13/16		(24,309	)
USD	3,459,000	INR	236,007,570	Standard Chartered Bank		7/13/16		(29,493	)
USD	4,428,098	MXN	81,111,685	JPMorgan Chase Bank N.A.		7/13/16		(2,930	)
USD	3,679,280	MXN	67,395,209	JPMorgan Chase Bank N.A.		7/13/16		(2,435	)
USD	2,125,126	MXN	38,926,994	JPMorgan Chase Bank N.A.		7/13/16		(1,406	)
USD	1,507,278	MXN	27,609,557	JPMorgan Chase Bank N.A.		7/13/16		(997	)
USD	2,087,212	MXN	38,668,847	Morgan Stanley & Co. International PLC		7/13/16		(25,218	)
USD	2,148,325	MXN	40,050,613	UBS AG		7/13/16		(39,590	)
USD	2,045,000	ZAR	30,439,825	BNP Paribas S.A.		7/13/16		(16,187	)
USD	2,045,000	ZAR	30,138,654	Morgan Stanley & Co. International PLC		7/13/16		4,206
ZAR	30,628,783	USD	2,045,000	Citibank N.A.		7/13/16		28,982
ZAR	30,969,664	USD	2,045,000	Goldman Sachs International		7/13/16		52,064
CAD	2,568,946	USD	1,979,500	Deutsche Bank AG		7/14/16		9,039
CAD	2,555,309	USD	1,979,500	Royal Bank of Canada		7/14/16		(1,517	)
CAD	1,285,892	USD	989,750	Royal Bank of Scotland PLC		7/14/16		5,618
EUR	3,156,000	USD	3,566,990	Royal Bank of Scotland PLC		7/14/16		(62,764	)
INR	308,741,460	USD	4,593,000	JPMorgan Chase Bank N.A.		7/14/16		(30,228	)
JPY	369,985,057	USD	3,451,000	Citibank N.A.		7/14/16		133,444
JPY	1,125,833,933	USD	10,502,000	Standard Chartered Bank		7/14/16		405,165
KRW	6,191,801,200	USD	5,351,600	Morgan Stanley & Co. International PLC		7/14/16		23,165
KRW	3,128,010,200	USD	2,675,800	Standard Chartered Bank		7/14/16		39,455
MYR	7,048,923	USD	1,729,500	JPMorgan Chase Bank N.A.		7/14/16		17,274
RUB	146,847,290	USD	2,252,000	BNP Paribas S.A.		7/14/16		35,653
RUB	295,801,673	USD	4,509,000	BNP Paribas S.A.		7/14/16		99,131
RUB	297,188,190	USD	4,509,000	Deutsche Bank AG		7/14/16		120,731
USD	1,979,500	CAD	2,535,747	Morgan Stanley & Co. International PLC		7/14/16		16,659
USD	3,590,971	EUR	3,156,000	Morgan Stanley & Co. International PLC		7/14/16		86,745
USD	2,445,052	INR	165,542,251	Citibank N.A.		7/14/16		(1,433	)
USD	2,147,948	INR	145,416,074	HSBC Bank PLC		7/14/16		(1,100	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	13,953,000	JPY	1,489,410,194	Royal Bank of Scotland PLC		7/14/16		$(476,520	)
USD	13,379,000	KRW	15,560,445,950	JPMorgan Chase Bank N.A.		7/14/16		(128,175	)
USD	4,058,100	RUB	261,788,031	Deutsche Bank AG		7/14/16		(20,151	)
USD	2,254,500	RUB	150,600,600	Morgan Stanley & Co. International PLC		7/14/16		(91,623	)
USD	2,252,000	RUB	145,501,720	Société Générale		7/14/16		(14,691	)
USD	3,459,000	TWD	111,500,865	JPMorgan Chase Bank N.A.		7/14/16		1,423
EUR	570,000	USD	626,900	Deutsche Bank AG		7/15/16		6,017
EUR	2,300,000	USD	2,529,595	Deutsche Bank AG		7/15/16		24,277
GBP	4,200,000	USD	5,537,532	Citibank N.A.		7/15/16		54,489
USD	631,600	EUR	570,000	Deutsche Bank AG		7/15/16		(1,316	)
USD	2,559,489	EUR	2,300,000	Morgan Stanley & Co. International PLC		7/15/16		5,616
USD	342,248	GBP	250,000	Morgan Stanley & Co. International PLC		7/15/16		9,390
USD	5,741,499	GBP	4,200,000	Morgan Stanley & Co. International PLC		7/15/16		149,478
USD	1,943,627	MXN	36,082,121	Bank of America N.A.		7/19/16		(26,359	)
USD	2,031,973	MXN	37,671,134	Bank of America N.A.		7/19/16		(24,769	)
MXN	43,086,657	USD	2,327,627	Goldman Sachs International		7/20/16		24,562
MXN	43,561,425	USD	2,411,685	HSBC Bank PLC		7/20/16		(33,577	)
USD	2,257,522	MXN	41,920,915	State Street Bank and Trust Co.		7/20/16		(31,027	)
USD	2,433,817	MXN	44,727,167	State Street Bank and Trust Co.		7/20/16		(7,931	)
USD	563,749	RUB	37,251,157	JPMorgan Chase Bank N.A.		7/20/16		(15,618	)
TRY	9,518,076	USD	3,247,200	HSBC Bank PLC		7/22/16		43,680
TRY	4,795,140	USD	1,623,600	Royal Bank of Scotland PLC		7/22/16		34,322
USD	4,870,800	TRY	14,162,825	Citibank N.A.		7/22/16		(26,005	)
MXN	24,736,275	USD	1,305,000	BNP Paribas S.A.		7/28/16		44,369
CNH	404,200,740	USD	60,360,000	JPMorgan Chase Bank N.A.		7/29/16		216,166
USD	25,302,000	CNH	170,813,802	Bank of America N.A.		7/29/16		(297,273	)
USD	38,464,000	CNH	253,570,074	Barclays Bank PLC		7/29/16		462,331
USD	44,000,000	CNH	299,268,200	HSBC Bank PLC		7/29/16		(850,289	)
USD	28,415,000	CNH	189,243,900	Standard Chartered Bank		7/29/16		53,672
COP	6,513,687,500	USD	2,225,000	Credit Suisse International		8/01/16		(11,664	)
COP	6,566,760,000	USD	2,220,000	Credit Suisse International		8/01/16		11,370
COP	9,108,568,000	USD	3,110,000	Standard Chartered Bank		8/01/16		(14,929	)
COP	13,126,085,000	USD	4,445,000	Standard Chartered Bank		8/01/16		15,214
BRL	10,379,001	USD	3,079,000	Goldman Sachs International		8/02/16		117,977
BRL	37,239,308	USD	11,047,290	Goldman Sachs International		8/02/16		423,295
USD	214,048,082	EUR	192,645,200	Morgan Stanley & Co. International PLC		8/03/16		(12,653	)
USD	24,260,346	GBP	18,016,000	Royal Bank of Scotland PLC		8/03/16		269,146
USD	1,752,357	JPY	179,890,000	Bank of America N.A.		8/03/16		8,463
EUR	5,547,197	USD	6,278,845	Royal Bank of Scotland PLC		8/12/16		(112,998	)
USD	6,339,248	EUR	5,547,197	Royal Bank of Scotland PLC		8/12/16		173,401
EUR	1,630,400	RUB	118,644,208	Deutsche Bank AG		8/16/16		(19,322	)
EUR	2,742,084	USD	3,081,075	Citibank N.A.		8/16/16		(32,743	)
EUR	3,156,000	USD	3,577,841	Deutsche Bank AG		8/16/16		(69,365	)
EUR	2,029,050	USD	2,251,718	JPMorgan Chase Bank N.A.		8/16/16		3,945
EUR	1,233,188	USD	1,391,316	Morgan Stanley & Co. International PLC		8/16/16		(20,400	)
EUR	764,151	USD	865,869	Morgan Stanley & Co. International PLC		8/16/16		(16,374	)
EUR	1,117,784	USD	1,239,391	Morgan Stanley & Co. International PLC		8/16/16		3,232
EUR	1,433,096	USD	1,589,047	Morgan Stanley & Co. International PLC		8/16/16		4,103


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	5,617,250	USD	6,357,739	Royal Bank of Scotland PLC		8/16/16		$(113,130	)
JPY	1,487,966,058	USD	13,953,000	Royal Bank of Scotland PLC		8/16/16		477,882
MXN	88,712,982	USD	4,754,400	Citibank N.A.		8/16/16		75,029
MXN	48,627,593	USD	2,592,800	Deutsche Bank AG		8/16/16		54,428
MXN	50,292,244	USD	2,639,000	Deutsche Bank AG		8/16/16		98,850
MXN	48,946,071	USD	2,610,000	Royal Bank of Scotland PLC		8/16/16		54,566
PLN	34,894,993	USD	8,816,876	BNP Paribas S.A.		8/16/16		17,321
PLN	32,938,192	USD	8,504,458	JPMorgan Chase Bank N.A.		8/16/16		(165,654	)
PLN	76,586,141	USD	19,128,005	Royal Bank of Scotland PLC		8/16/16		260,940
PLN	77,647,143	USD	20,037,973	State Street Bank and Trust Co.		8/16/16		(380,419	)
RUB	120,026,787	EUR	1,630,400	Deutsche Bank AG		8/16/16		40,669
RUB	285,942,960	USD	4,412,700	Deutsche Bank AG		8/16/16		2,129
RUB	211,709,000	USD	3,175,000	Deutsche Bank AG		8/16/16		93,691
USD	437,100	EUR	394,283	Goldman Sachs International		8/16/16		(1,218	)
USD	1,074,426	EUR	966,082	HSBC Bank PLC		8/16/16		447
USD	628,460	EUR	571,520	Morgan Stanley & Co. International PLC		8/16/16		(6,890	)
USD	2,237,093	EUR	2,029,050	Royal Bank of Scotland PLC		8/16/16		(18,570	)
USD	3,570,762	EUR	3,156,000	Royal Bank of Scotland PLC		8/16/16		62,286
USD	4,137,962	EUR	3,657,252	Royal Bank of Scotland PLC		8/16/16		72,252
USD	4,700,016	EUR	4,153,937	Royal Bank of Scotland PLC		8/16/16		82,150
USD	6,279,644	EUR	5,547,197	Royal Bank of Scotland PLC		8/16/16		112,912
USD	269,926	GBP	200,000	Barclays Bank PLC		8/16/16		3,562
USD	2,222,054	GBP	1,645,000	BNP Paribas S.A.		8/16/16		31,207
USD	2,222,133	GBP	1,645,000	BNP Paribas S.A.		8/16/16		31,286
USD	2,981,138	GBP	2,246,900	Citibank N.A.		8/16/16		(11,332	)
USD	2,223,717	GBP	1,650,000	Deutsche Bank AG		8/16/16		26,210
USD	1,957,390	GBP	1,450,000	JPMorgan Chase Bank N.A.		8/16/16		26,248
USD	2,223,272	GBP	1,645,000	JPMorgan Chase Bank N.A.		8/16/16		32,425
USD	884,859	GBP	655,000	Royal Bank of Scotland PLC		8/16/16		12,515
USD	2,911,500	JPY	299,500,182	BNP Paribas S.A.		8/16/16		6,829
USD	4,065,000	JPY	417,638,100	BNP Paribas S.A.		8/16/16		14,581
USD	2,911,500	JPY	299,258,527	Goldman Sachs International		8/16/16		9,173
USD	4,065,000	JPY	418,125,900	Morgan Stanley & Co. International PLC		8/16/16		9,850
USD	2,639,000	MXN	50,400,353	Citibank N.A.		8/16/16		(104,735	)
USD	2,329,370	MXN	43,233,264	Citibank N.A.		8/16/16		(24,198	)
USD	2,183,200	MXN	40,935,467	Goldman Sachs International		8/16/16		(45,278	)
USD	2,637,000	MXN	48,944,302	Goldman Sachs International		8/16/16		(27,469	)
USD	2,321,442	MXN	43,086,657	Goldman Sachs International		8/16/16		(24,144	)
USD	1,487,227	MXN	27,609,557	Goldman Sachs International		8/16/16		(15,804	)
USD	2,216,006	MXN	41,126,777	Royal Bank of Scotland PLC		8/16/16		(22,887	)
USD	869,000	MXN	16,128,328	State Street Bank and Trust Co.		8/16/16		(9,007	)
USD	66,376,909	PLN	258,963,863	Royal Bank of Scotland PLC		8/16/16		816,272
USD	5,039,845	PLN	19,537,464	State Street Bank and Trust Co.		8/16/16		93,639
USD	4,412,700	RUB	294,658,043	Deutsche Bank AG		8/16/16		(136,686	)
USD	3,175,000	RUB	207,010,000	JPMorgan Chase Bank N.A.		8/16/16		(21,140	)
USD	18,508,576	IDR	248,662,723,340	Nomura International PLC		8/22/16		(134,416	)
EUR	76,733	USD	85,408	Barclays Bank PLC		9/06/16		(38	)
EUR	2,753	USD	3,058	BNP Paribas S.A.		9/06/16		5


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
EUR	3,671	USD	4,075	BNP Paribas S.A.		9/06/16		$ 9
EUR	4,589	USD	5,087	BNP Paribas S.A.		9/06/16		18
EUR	6,987	USD	7,749	BNP Paribas S.A.		9/06/16		24
EUR	12,500	USD	13,980	Citibank N.A.		9/06/16		(73	)
EUR	143,080	USD	160,977	Deutsche Bank AG		9/06/16		(1,792	)
EUR	12,500	USD	13,962	Deutsche Bank AG		9/06/16		(55	)
EUR	12,500	USD	13,946	Deutsche Bank AG		9/06/16		(40	)
EUR	12,500	USD	13,940	Deutsche Bank AG		9/06/16		(33	)
EUR	65,134	USD	73,357	HSBC Bank PLC		9/06/16		(891	)
EUR	51,786	USD	58,202	JPMorgan Chase Bank N.A.		9/06/16		(587	)
EUR	178,267	USD	198,627	UBS AG		9/06/16		(295	)
USD	9,104	EUR	8,000	Barclays Bank PLC		9/06/16		204
USD	306,684	EUR	270,000	Credit Suisse International		9/06/16		6,294
USD	559,655	EUR	500,000	JPMorgan Chase Bank N.A.		9/06/16		3,376
AUD	66,179,000	USD	48,931,098	Bank of America N.A.		9/21/16		274,259
AUD	62,060,000	USD	45,921,297	Morgan Stanley & Co. International PLC		9/21/16		221,505
CNH	253,068,948	USD	37,867,000	HSBC Bank PLC		9/21/16		(29,276	)
USD	94,251,177	AUD	128,239,000	State Street Bank and Trust Co.		9/21/16		(1,096,982	)
USD	25,980,057	EUR	23,004,000	Royal Bank of Scotland PLC		9/21/16		371,643
CHF	648,586	EUR	604,500	Citibank N.A.		9/28/16		(5,429	)
CHF	1,726,756	EUR	1,610,000	Royal Bank of Scotland PLC		9/28/16		(15,142	)
CHF	1,513,467	EUR	1,410,500	UBS AG		9/28/16		(12,567	)
EUR	3,625,000	CHF	3,913,188	UBS AG		9/28/16		8,041
USD	22,469,000	CNH	148,331,350	Deutsche Bank AG		11/07/16		344,218
USD	25,316,000	SAR	96,555,224	BNP Paribas S.A.		11/23/16		(330,159	)
USD	25,703,333	SAR	97,981,107	Citibank N.A.		11/23/16		(321,556	)
USD	19,029,000	SAR	72,319,715	Citibank N.A.		11/23/16		(179,934	)
USD	4,000,000	SGD	5,394,028	Barclays Bank PLC		12/15/16		3,045
HKD	135,373,250	USD	17,245,000	HSBC Bank PLC		2/03/17		223,132
USD	17,245,000	HKD	134,597,225	HSBC Bank PLC		2/03/17		(122,996	)
HKD	69,472,537	USD	8,965,000	HSBC Bank PLC		2/27/17		(1,418	)
USD	18,000,000	HKD	140,211,000	HSBC Bank PLC		2/27/17		(90,497	)
HKD	132,970,084	USD	16,790,000	Goldman Sachs International		1/19/18		326,758
USD	16,790,000	HKD	131,339,775	Goldman Sachs International		1/19/18		(116,894	)
Total								$ 6,968,925


Exchange-Traded Options Purchased
Description	Put/ Call		Expiration Date		Strike Price				Contracts		Value
SPDR S&P 500 ETF Trust Futures		Call		7/01/16		USD		213.00		291		$ 437
Nikkei 225 Index		Call		7/08/16		JPY		17,000.00		102		2,963
Nikkei 225 Index		Call		7/08/16		JPY		17,500.00		100		1,937
SPDR S&P 500 ETF Trust Futures		Call		7/08/16		USD		209.00		560		91,840
Alibaba Group Holding Ltd.		Call		7/15/16		USD		82.5		288		12,240
E-Mini S&P 500 Index Futures		Call		7/15/16		USD		1,950.00		125		889,063
E-Mini S&P 500 Index Futures		Call		7/15/16		USD		2,050.00		125		315,625
E-Mini S&P 500 Index Futures		Call		7/15/16		USD		2,150.00		40		3,050
Financial Select Sector SPDR Fund		Call		7/15/16		USD		24.00		35,866		71,732
SPDR Gold Trust ETF Futures		Call		7/15/16		USD		127.00		612		94,554
iShares iBoxx $ High Yield Corporate Bond ETF		Call		8/19/16		USD		85.00		7,900		521,400
SPDR S&P 500 ETF Trust Futures		Call		9/16/16		USD		230.00		4,161		24,966
E-Mini S&P 500 Index Futures		Put		7/01/16		USD		2,060.00		205		8,713
Euro-Bund Futures		Put		7/22/16		EUR		160.00		155		1,720
U.S. Treasury Notes (10 Year) Futures		Put		7/22/16		USD		132.00		1,305		346,641
U.S. Treasury Notes (10 Year) Futures		Put		7/22/16		USD		130.50		1,092		85,313
Fortescue Metals Group Ltd.	Put		7/28/16		AUD		2.70		2,741		5,111
Total												$2,477,305

Description

Put/
Call

Type

Option

Counterparty

Expiration

Date

Strike

Price

Barrier

Price

Notional

Amount

(000)

Value

USD Currency

Call

Up-and-Out

Deutsche Bank AG

7/07/16

CNH

6.62

CNH

6.88

USD

6,273

$ 51,101

GBP Currency

Put

Down-and-Out

BNP Paribas S.A.

7/27/16

USD

1.34

USD

1.25

GBP

57,413

620,957

GBP Currency

Put

Down-and-Out

BNP Paribas S.A.

8/03/16

USD

1.33

USD

1.26

GBP

250

87,884

GBP Currency

Put

Down-and-Out

BNP Paribas S.A.

8/03/16

USD

1.32

USD

1.25

GBP

250

81,694

GBP Currency

Put

Down-and-Out

BNP Paribas S.A.

9/02/16

USD

1.32

USD

1.24

GBP

250

70,852

GBP Currency

Put

Down-and-Out

BNP Paribas S.A.

9/02/16

USD

1.30

USD

1.22

GBP

250

57,100

Total

$969,588

OTC Options Purchased

Description

Put/

Call

Counterparty

Expiration

Date

Strike

Price

Contracts

Notional

Amount

(000)

Value

GBP Currency

Call

BNP Paribas S.A.

7/01/16

USD

1.46

—

GBP

9,900

$ 1

GBP Currency

Call

Citibank N.A.

7/01/16

USD

1.50

—

GBP

11,800

USD Currency

Call

Citibank N.A.

7/01/16

MXN

17.65

—

USD

4,268

187,939

USD Currency

Call

Morgan Stanley & Co. International PLC

7/01/16

BRL

3.57

—

USD

4,640

—

USD Currency

Call

Morgan Stanley Capital Services LLC

7/01/16

TRY

2.95

—

USD

8,118

USD Currency

Call

UBS AG

7/01/16

RUB

64.50

—

USD

6,836

7,723

USD Currency

Call

BNP Paribas S.A.

7/08/16

ZAR

15.00

—

USD

6,704

32,010

USD Currency

Call

Goldman Sachs Bank USA

7/12/16

CAD

1.29

—

USD

3,959

42,433

USD Currency

Call

Barclays Bank PLC

7/14/16

JPY

110.00

—

USD

3,762

USD Currency

Call

Goldman Sachs International

7/18/16

MXN

19.25

—

USD

6,090

19,994

USD Currency

Call

UBS AG

7/18/16

MXN

19.25

—

USD

3,480

11,425

USD Currency

Call

UBS AG

7/18/16

MXN

19.00

—

USD

2,610

14,314

USD Currency

Call

BNP Paribas S.A.

7/19/16

JPY

124.00

—

USD

17,000

Description

Put/

Call

Counterparty

Expiration

Date

Strike

Price

Contracts

Notional

Amount

(000)

Value

USD Currency

Call

Deutsche Bank AG

7/19/16

JPY

124.00

—

USD

17,000

USD Currency

Call

JPMorgan Chase Bank N.A.

7/19/16

JPY

120.00

—

USD

17,000

EUR Currency

Call

HSBC Bank PLC

7/22/16

CHF

1.13

—

EUR

2,470

305

EUR Currency

Call

UBS AG

7/22/16

CHF

1.11

—

EUR

9,910

7,164

USD Currency

Call

HSBC Bank PLC

7/29/16

CNH

6.75

—

USD

110,000

297,451

USD Currency

Call

Deutsche Bank AG

8/05/16

JPY

106.00

—

USD

4,398

20,735

USD Currency

Call

HSBC Bank PLC

8/09/16

CHF

1.05

—

USD

19,215

1,018

USD Currency

Call

Royal Bank of Scotland PLC

8/09/16

CHF

1.04

—

USD

38,120

3,705

USD Currency

Call

Bank of America N.A.

8/12/16

CNH

7.00

—

USD

17,500

12,502

USD Currency

Call

Deutsche Bank AG

8/12/16

CNY

7.00

—

USD

17,500

12,502

USD Currency

Call

Deutsche Bank AG

8/12/16

CNH

7.25

—

USD

17,500

1,008

USD Currency

Call

BNP Paribas S.A.

8/15/16

SAR

3.79

—

USD

26,190

30,726

USD Currency

Call

BNP Paribas S.A.

8/16/16

SAR

3.78

—

USD

37,400

54,525

USD Currency

Call

Citibank N.A.

8/16/16

SAR

3.78

—

USD

37,440

54,584

EUR Currency

Call

HSBC Bank PLC

8/24/16

CHF

1.13

—

EUR

2,476

2,369

EUR Currency

Call

UBS AG

8/24/16

CHF

1.11

—

EUR

9,910

26,045

USD Currency

Call

Deutsche Bank AG

8/24/16

CNH

6.70

—

USD

7,123

51,679

USD Currency

Call

Deutsche Bank AG

8/24/16

CNH

7.15

—

USD

7,123

3,281

USD Currency

Call

Deutsche Bank AG

9/06/16

CHF

1.03

—

USD

20,000

19,792

USD Currency

Call

Deutsche Bank AG

9/06/16

CHF

1.08

—

USD

20,000

1,184

USD Currency

Call

BNP Paribas S.A.

9/09/16

CAD

1.31

—

USD

9,910

128,240

USD Currency

Call

HSBC Bank PLC

9/23/16

CNH

6.70

—

USD

29,700

308,099

EUR Currency

Call

HSBC Bank PLC

9/27/16

CHF

1.15

—

EUR

12,000

11,626

USD Currency

Call

BNP Paribas S.A.

9/27/16

HKD

7.80

—

USD

37,360

36,747

USD Currency

Call

Bank of America N.A.

10/27/16

CAD

1.32

—

USD

10,770

165,589

USD Currency

Call

Deutsche Bank AG

10/27/16

CAD

1.32

—

USD

13,800

212,175

USD Currency

Call

Deutsche Bank AG

12/06/16

CHF

1.05

—

USD

20,000

55,568

USD Currency

Call

Deutsche Bank AG

12/06/16

CHF

1.10

—

USD

8,571

6,236

USD Currency

Call

Deutsche Bank AG

12/15/16

CNH

6.75

—

USD

6,551

104,767

EUR Currency

Put

Citibank N.A.

7/01/16

USD

1.12

—

EUR

10,300

112,430

EUR Currency

Put

Citibank N.A.

7/01/16

USD

1.10

—

EUR

5,600

2,660

KOSPI 200 Index

Put

Citibank N.A.

7/14/16

KRW

237.43

—

4,185

USD Currency

Put

JPMorgan Chase Bank N.A.

7/15/16

MXN

18.50

—

USD

17,472

242,712

USD Currency

Put

JPMorgan Chase Bank N.A.

7/15/16

MXN

18.30

—

USD

6,626

57,770

GBP Currency

Put

Deutsche Bank AG

7/27/16

USD

1.45

—

GBP

3,406

398,288

GBP Currency

Put

HSBC Bank PLC

7/27/16

USD

1.35

—

GBP

3,406

104,189

USD Currency

Put

Deutsche Bank AG

7/27/16

MXN

19.40

—

USD

20,380

1,067,900

USD Currency

Put

Deutsche Bank AG

7/27/16

MXN

18.40

—

USD

20,380

281,700

USD Currency

Put

JPMorgan Chase Bank N.A.

9/30/16

JPY

115.00

—

USD

9,700

1,229,503

Total

5,446,896

OTC Interest Rate Swaptions Purchased

Description

Counterparty

Put/

Call

Exercise Rate

Pay/Receive

Exercise Rate

Floating Rate

Index

Expiration

Date

Notional

Amount

(000)

Market

Value

5-Year Interest Rate Swap

Citibank N.A.

Put

1.45%

Pay

3-month LIBOR

9/26/16

USD

30,000

$ 33,770

20-Year Interest Rate Swap

Goldman Sachs International

Put

0.61%

Pay

6-month JPY

LIBOR

10/12/16

JPY

2,265,310

111,619

Total

$145,389



Description	Put/ Call		Expiration Date		Strike Price			Contracts		Value
Nikkei 225 Index		Call		7/08/16		JPY	18,500.00		100		$(1,937	)
Nikkei 225 Index		Call		7/08/16		JPY	17,750.00		105		(2,034	)
E-Mini S&P 500 Index Futures		Call		7/15/16		USD	2,000.00		246		(1,162,350	)
SPDR Gold Trust ETF Futures		Call		7/15/16		USD	131.00		734		(33,764	)
SPDR S&P 500 ETF Trust Futures		Call		7/15/16		USD	211.00		3,003		(360,360	)
CBOE Volatility Index		Call		7/20/16		USD	19.00		1,001		(102,602	)
CBOE Volatility Index		Call		7/20/16		USD	20.00		3,002		(255,170	)
U.S. Treasury Notes (10 Year) Futures		Call		7/22/16		USD	135.00		1,305		(163,125	)
E-Mini S&P 500 Index Futures		Put		7/01/16		USD	2,050.00		205		(5,125	)
SPDR S&P 500 ETF Trust Futures		Put		7/15/16		USD	199.00		3,003		(102,102	)
Euro-Bund Futures		Put		7/22/16		EUR	157.00		155		(1,720	)
SPDR S&P 500 ETF Trust Futures		Put		9/16/16		USD	180.00		198		(18,315	)
Total										$	(2,208,604	)

Description

Put/
Call

Counterparty

Expiration
Date

Strike

Price

Notional

Amount

(000)

Value

GBP Currency

Call

BNP Paribas S.A.

7/01/16

USD

1.50

GBP

11,800

)

GBP Currency

Call

Citibank N.A.

7/01/16

USD

1.46

GBP

9,900

)

USD Currency

Call

Morgan Stanley & Co. International PLC

7/01/16

BRL

3.57

USD

4,640

—

USD Currency

Call

Barclays Bank PLC

7/14/16

JPY

114.00

USD

3,762

—

USD Currency

Call

JPMorgan Chase Bank N.A.

7/18/16

MXN

19.25

USD

3,480

(11,425

)

USD Currency

Call

JPMorgan Chase Bank N.A.

7/18/16

MXN

19.25

USD

6,090

(19,994

)

USD Currency

Call

Deutsche Bank AG

7/19/16

JPY

120.00

USD

17,000

)

USD Currency

Call

JPMorgan Chase Bank N.A.

7/19/16

JPY

124.00

USD

34,000

)

EUR Currency

Call

UBS AG

7/22/16

CHF

1.13

EUR

12,380

(1,528

)

USD Currency

Call

Deutsche Bank AG

7/29/16

CNH

6.75

USD

110,000

(297,451

)

USD Currency

Call

UBS AG

8/09/16

CHF

1.05

USD

19,215

(1,018

)

USD Currency

Call

UBS AG

8/09/16

CHF

1.04

USD

38,120

(3,705

)

USD Currency

Call

Bank of America N.A.

8/12/16

CNH

7.25

USD

17,500

(730

)

USD Currency

Call

Deutsche Bank AG

8/12/16

CNY

7.25

USD

17,500

(730

)

USD Currency

Call

Deutsche Bank AG

8/12/16

CNH

7.00

USD

17,500

(14,215

)

EUR Currency

Call

UBS AG

8/24/16

CHF

1.13

EUR

12,380

(11,843

)

USD Currency

Call

Deutsche Bank AG

8/24/16

CNH

7.00

USD

7,123

(9,486

)

USD Currency

Call

Deutsche Bank AG

8/24/16

CNH

6.85

USD

7,123

(20,679

)

EUR Currency

Call

Deutsche Bank AG

8/25/16

CHF

1.09

EUR

5,100

(39,245

)

USD Currency

Call

Deutsche Bank AG

9/06/16

CHF

1.08

USD

20,000

(1,184

)

USD Currency

Call

Deutsche Bank AG

9/06/16

CHF

1.03

USD

20,000

(19,792

)

USD Currency

Call

BNP Paribas S.A.

9/09/16

CAD

1.34

USD

9,910

(64,719

)

USD Currency

Call

HSBC Bank PLC

9/23/16

CNH

7.00

USD

39,600

(111,652

)

EUR Currency

Call

Deutsche Bank AG

9/27/16

CHF

1.15

EUR

12,000

(11,626

)

EUR Currency

Call

UBS AG

9/27/16

CHF

1.10

EUR

5,100

(35,178

)

Description

Put/

Call

Counterparty

Expiration

Date

Strike

Price

Notional

Amount

(000)

Value

USD Currency

Call

BNP Paribas S.A.

9/27/16

HKD

8.00

USD

37,360

(5,578

)

USD Currency

Call

Bank of America N.A.

10/27/16

CAD

1.37

USD

10,770

(70,646

)

USD Currency

Call

Deutsche Bank AG

10/27/16

CAD

1.37

USD

19,200

(125,942

)

USD Currency

Call

Deutsche Bank AG

12/06/16

CHF

1.10

USD

20,000

(14,552

)

USD Currency

Call

Deutsche Bank AG

12/15/16

CNH

7.10

USD

6,551

(39,929

)

GBP Currency

Put

Deutsche Bank AG

7/27/16

USD

1.35

GBP

3,406

(104,189

)

GBP Currency

Put

HSBC Bank PLC

7/27/16

USD

1.45

GBP

3,406

(398,289

)

USD Currency

Put

Deutsche Bank AG

7/27/16

MXN

18.80

USD

20,380

(543,433

)

USD Currency

Put

Deutsche Bank AG

7/27/16

MXN

19.00

USD

20,380

(704,386

)

EUR Currency

Put

Deutsche Bank AG

8/25/16

CHF

1.07

EUR

5,100

(43,041

)

EUR Currency

Put

UBS AG

9/27/16

CHF

1.08

EUR

5,100

(79,394

)

USD Currency

Put

JPMorgan Chase Bank N.A.

9/30/16

JPY

117.50

USD

9,700

(1,462,072

)

Total

(4,267,659

)

OTC Credit Default Swaptions Written

Description

Counterparty

Put/

Call

Strike Price

Pay/Receive

Floating

Rate Index

Floating Rate

Index

Credit

Rating¹

Expiration

Date

Notional

Amount²

(000)

Value

Bought protection on 5-Year Credit Default Swaps

JPMorgan Chase Bank N.A.

Call

350.00%

Receive

iTraxx Crossover Series 25 Version 1

B+

9/21/16

EUR

10,790

$(133,441

)

Sold protection on 5-Year Credit Default Swaps

JPMorgan Chase Bank N.A.

Put

450.00%

Pay

iTraxx Crossover

Series 25 Version 1

B+

9/21/16

EUR

10,790

(137,631

)

Total

$(271,072

)


Centrally Cleared Credit Default Swaps — Sell Protection
Index	Receive Fixed Rate		Expiration Date		Credit Rating¹		Notional Amount (000)²			Unrealized Appreciation (Depreciation)
iTraxx Europe Series 21 Version 1		1.00%		6/20/19		BBB+		EUR	1,445		$ (133	)
iTraxx Europe Series 23 Version 1		1.00%		6/20/20		BBB+		EUR	2,628		(21,004	)
CDX.NA.HY Series 26 Version 1		5.00%		6/20/21		B+		USD	61,296		870,358
CDX.NA.IG Series 26 Version 1		1.00%		6/20/21		BBB+		USD	960,814		3,002,297
iTraxx Europe Series 25 Version 1		1.00%		6/20/21		BBB+		EUR	4,467		9,180
iTraxx Financials Series 25 Version 1		1.00%		6/20/21		A		EUR	4,570		(47,729	)
Total											$3,812,969



Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Banca Monte dei Paschi di Siena SpA		5.00	%	Deutsche Bank AG	12/20/16	EUR	750		$ 48,707			$ 27,660			$ 21,047
Numericable SFR SA		5.00	%	Citibank N.A.	12/20/16	EUR	780		(18,960	)		(16,848	)		(2,112	)
Stena AB		5.00	%	Credit Suisse International	12/20/16	EUR	800		(13,672	)		(8,244	)		(5,428	)
Banca Monte dei Paschi di Siena SpA		5.00	%	JPMorgan Chase Bank N.A.	3/20/17	EUR	3,800		296,130			119,658			176,472
Republic of Ireland		1.00	%	Citibank N.A.	3/20/17	USD	2,000		(10,667	)		53,977			(64,644	)
CDX.NA.IG Series 18 Version 1		1.00	%	Credit Suisse International	6/20/17	USD	103,800		(831,428	)		(2,391	)		(829,037	)
Buoni Poliennali Del Tesoro		1.00	%	Barclays Bank PLC	3/20/18	USD	6,000		(9,073	)		126,578			(135,651	)
iTraxx Europe Series 9 3-6%		5.00	%	Citibank N.A.	6/20/18	EUR	3,780		(239,628	)		225,484			(465,112	)
iTraxx Financials Series 19 Version 1		1.00	%	Citibank N.A.	6/20/18	EUR	8,200		(68,502	)		(99,787	)		31,285
Republic of France		0.25	%	Barclays Bank PLC	6/20/18	USD	2,530		(4,534	)		17,919			(22,453	)
Republic of France		0.25	%	Citibank N.A.	6/20/18	USD	2,740		(4,910	)		21,979			(26,889	)
Republic of France		0.25	%	JPMorgan Chase Bank N.A.	6/20/18	USD	2,735		(4,901	)		16,844			(21,745	)
iTraxx Financials Series 20 Version 1		1.00	%	Barclays Bank PLC	12/20/18	EUR	1,450		(12,439	)		(5,125	)		(7,314	)
iTraxx Financials Series 20 Version 1		1.00	%	Citibank N.A.	12/20/18	EUR	5,900		(50,616	)		(78,967	)		28,351
iTraxx Financials Series 20 Version 1		1.00	%	Citibank N.A.	12/20/18	EUR	3,120		(26,766	)		(10,809	)		(15,957	)
Federative Republic of Brazil		1.00	%	Bank of America N.A.	6/20/19	USD	1,187		32,041			27,653			4,388
Federative Republic of Brazil		1.00	%	Citibank N.A.	6/20/19	USD	1,155		31,178			31,290			(112	)
Republic of Portugal		1.00	%	BNP Paribas S.A.	9/20/19	USD	875		38,767			16,597			22,170
Boyd Gaming Corp.		5.00	%	Citibank N.A.	6/20/20	USD	1,300		(131,747	)		(58,124	)		(73,623	)
Boyd Gaming Corp.		5.00	%	JPMorgan Chase Bank N.A.	6/20/20	USD	1,200		(121,613	)		(58,330	)		(63,283	)
United Mexican States		1.00	%	JPMorgan Chase Bank N.A.	6/20/20	USD	7,452		83,082			52,109			30,973
Boyd Gaming Corp.		5.00	%	Citibank N.A.	9/20/20	USD	1,160		(113,349	)		(96,672	)		(16,677	)
United Mexican States		1.00	%	Bank of America N.A.	9/20/20	USD	7,452		115,337			79,169			36,168
Australia & New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,000		(10,685	)		(323	)		(10,362	)
Australia and New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,205		(12,873	)		(5,027	)		(7,846	)
Australia and New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	795		(8,498	)		(3,656	)		(4,842	)
AutoZone, Inc.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	3,300		(98,139	)		(96,781	)		(1,358	)


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Banco Comercial Portugues SA		5.00	%	BNP Paribas S.A.	12/20/20	EUR	216	$	18,036			$ (3,400	)		$ 21,436
Bank of America Corp.		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,200		(6,340	)		(1,916	)		(4,424	)
Barrick Gold Corp.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	2,800		15,997			106,002			(90,005	)
BNP Paribas SA		1.00	%	Citibank N.A.	12/20/20	EUR	800		(3,953	)		(7,272	)		3,319
Boeing Co.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,200		(34,974	)		(37,870	)		2,896
Boeing Co.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,200		(34,974	)		(37,367	)		2,393
Boyd Gaming Corp.		5.00	%	BNP Paribas S.A.	12/20/20	USD	1,000		(93,889	)		(69,094	)		(24,795	)
Boyd Gaming Corp.		5.00	%	Citibank N.A.	12/20/20	USD	800		(75,111	)		(55,275	)		(19,836	)
Boyd Gaming Corp.		5.00	%	Citibank N.A.	12/20/20	USD	500		(46,944	)		(34,595	)		(12,349	)
Boyd Gaming Corp.		5.00	%	Citibank N.A.	12/20/20	USD	500		(46,944	)		(31,712	)		(15,232	)
Caterpillar, Inc.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	4,200		(55,802	)		25,302			(81,104	)
Citigroup, Inc.		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,200		(6,138	)		2,643			(8,781	)
Clariant AG		1.00	%	Barclays Bank PLC	12/20/20	EUR	42		(312	)		555			(867	)
Clariant AG		1.00	%	Barclays Bank PLC	12/20/20	EUR	42		(312	)		555			(867	)
Clariant AG		1.00	%	Barclays Bank PLC	12/20/20	EUR	42		(313	)		593			(906	)
Clariant AG		1.00	%	Barclays Bank PLC	12/20/20	EUR	41		(305	)		542			(847	)
Clariant AG		1.00	%	BNP Paribas S.A.	12/20/20	EUR	250		(1,859	)		4,103			(5,962	)
Clariant AG		1.00	%	BNP Paribas S.A.	12/20/20	EUR	83		(617	)		400			(1,017	)
Commonwealth Bank of Australia		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,150		(12,054	)		(3,773	)		(8,281	)
Commonwealth Bank of Australia		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,000		(10,482	)		(2,420	)		(8,062	)
Credit Suisse Group Funding Guernsey Ltd.		1.00	%	Goldman Sachs International	12/20/20	EUR	700		20,716			2,790			17,926
Dow Chemical Co.		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,400		(17,827	)		(15,589	)		(2,238	)
Dow Chemical Co.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,200		(15,280	)		1,149			(16,429	)
EI du Pont de Nemours & Co.		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,400		(38,504	)		(31,576	)		(6,928	)
EI du Pont de Nemours & Co.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,200		(33,004	)		(15,712	)		(17,292	)
Halliburton Co.		1.00	%	Barclays Bank PLC	12/20/20	USD	408		(1,036	)		14,338			(15,374	)
Halliburton Co.		1.00	%	Barclays Bank PLC	12/20/20	USD	204		(518	)		6,517			(7,035	)
Halliburton Co.		1.00	%	Barclays Bank PLC	12/20/20	USD	204		(519	)		7,987			(8,506	)
Halliburton Co.		1.00	%	BNP Paribas S.A.	12/20/20	USD	423		(1,075	)		16,492			(17,567	)
Halliburton Co.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	779		(1,979	)		20,964			(22,943	)
Halliburton Co.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	593		(1,506	)		23,121			(24,627	)
Halliburton Co.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	365		(927	)		12,827			(13,754	)
Halliburton Co.		1.00	%	Morgan Stanley Capital Services LLC	12/20/20	USD	424		(1,078	)		12,631			(13,709	)
Home Depot, Inc.		1.00	%	Goldman Sachs International	12/20/20	USD	3,300		(108,195	)		(118,042	)		9,847
Home Depot, Inc.		1.00	%	Goldman Sachs International	12/20/20	USD	2,475		(81,146	)		(80,925	)		(221	)
Home Depot, Inc.		1.00	%	Goldman Sachs International	12/20/20	USD	2,475		(81,146	)		(76,431	)		(4,715	)
Home Depot, Inc.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	4,950		(162,292	)		(168,159	)		5,867
Iberdrola International BV		1.00	%	Barclays Bank PLC	12/20/20	EUR	150		(1,226	)		526			(1,752	)
Iberdrola International BV		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	EUR	600		(4,903	)		1,523			(6,426	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	32,023		(7,620	)		(2,211	)		(5,409	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(6,978	)		(1,927	)		(5,051	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(6,978	)		(1,818	)		(5,160	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(6,977	)		(1,398	)		(5,579	)
ITV PLC		5.00	%	Barclays Bank PLC	12/20/20	EUR	230		(43,645	)		(39,766	)		(3,879	)


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
ITV PLC		5.00	%	BNP Paribas S.A.	12/20/20	EUR	230	$	(43,646	)		$ (40,544	)		$ (3,102	)
ITV PLC		5.00	%	JPMorgan Chase Bank N.A.	12/20/20	EUR	240		(45,544	)		(42,167	)		(3,377	)
JPMorgan Chase & Co.		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,200		(19,371	)		(4,975	)		(14,396	)
JPMorgan Chase and Co.		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,400		(22,600	)		(7,652	)		(14,948	)
Ladbrokes PLC		1.00	%	Citibank N.A.	12/20/20	EUR	79		7,640			5,069			2,571
Lanxess AG		1.00	%	Bank of America N.A.	12/20/20	EUR	24		(423	)		284			(707	)
Lanxess AG		1.00	%	Citibank N.A.	12/20/20	EUR	366		(6,456	)		6,615			(13,071	)
Lanxess AG		1.00	%	Citibank N.A.	12/20/20	EUR	215		(3,793	)		(595	)		(3,198	)
Lanxess AG		1.00	%	Citibank N.A.	12/20/20	EUR	194		(3,422	)		1,920			(5,342	)
Lanxess AG		1.00	%	Goldman Sachs International	12/20/20	EUR	367		(6,473	)		6,808			(13,281	)
Lanxess AG		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	EUR	367		(6,474	)		7,204			(13,678	)
Lanxess AG		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	EUR	317		(5,591	)		5,205			(10,796	)
Lanxess AG		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	EUR	317		(5,591	)		5,205			(10,796	)
Loews Corp.		1.00	%	Barclays Bank PLC	12/20/20	USD	4,245		(124,684	)		(133,934	)		9,250
Macquarie Bank Ltd.		1.00	%	Deutsche Bank AG	12/20/20	USD	700		12,652			49,374			(36,722	)
Melia Hotels International SA		5.00	%	Citibank N.A.	12/20/20	EUR	260		(47,150	)		(47,356	)		206
Melia Hotels International SA		5.00	%	Goldman Sachs International	12/20/20	EUR	360		(65,285	)		(64,133	)		(1,152	)
Meliá Hotels International SA		5.00	%	Citibank N.A.	12/20/20	EUR	250		(45,337	)		(42,860	)		(2,477	)
Mitsubishi Corp.		1.00	%	Barclays Bank PLC	12/20/20	JPY	47,573		(12,216	)		(6,952	)		(5,264	)
Mitsubishi Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(7,530	)		(3,794	)		(3,736	)
Mitsui & Co. Ltd.		1.00	%	Goldman Sachs International	12/20/20	JPY	58,651		(13,883	)		(2,981	)		(10,902	)
Mitsui & Co. Ltd.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(6,942	)		(1,069	)		(5,873	)
Monitchem HoldCo 3 SA		5.00	%	Credit Suisse International	12/20/20	EUR	291		(9,885	)		(23,149	)		13,264
Monitchem HoldCo 3 SA		5.00	%	Credit Suisse International	12/20/20	EUR	219		(7,414	)		(17,058	)		9,644
Monitchem HoldCo 3 SA		5.00	%	Goldman Sachs International	12/20/20	EUR	240		(8,140	)		(8,883	)		743
Morgan Stanley		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,200		1,235			3,148			(1,913	)
National Australia Bank Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,000		(10,837	)		(1,221	)		(9,616	)
New Look		5.00	%	Credit Suisse International	12/20/20	EUR	280		15,224			(4,367	)		19,591
New Look		5.00	%	Credit Suisse International	12/20/20	EUR	120		6,524			(2,394	)		8,918
People’s Republic of China		1.00	%	Citibank N.A.	12/20/20	USD	3,900		14,212			78,102			(63,890	)
People’s Republic of China		1.00	%	Goldman Sachs International	12/20/20	USD	1,900		6,924			24,334			(17,410	)
Royal Caribbean Cruises Ltd.		5.00	%	Credit Suisse International	12/20/20	USD	1,000		(130,391	)		(140,808	)		10,417
Royal Caribbean Cruises Ltd.		5.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,400		(182,547	)		(122,762	)		(59,785	)
Royal Caribbean Cruises Ltd.		5.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,100		(143,430	)		(135,299	)		(8,131	)
Royal Caribbean Cruises Ltd.		5.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	800		(104,313	)		(106,624	)		2,311
Southwest Airlines Co.		1.00	%	Goldman Sachs International	12/20/20	USD	3,300		(58,951	)		(50,621	)		(8,330	)
Standard Chartered PLC		1.00	%	BNP Paribas S.A.	12/20/20	EUR	810		18,994			18,608			386
Standard Chartered PLC		1.00	%	BNP Paribas S.A.	12/20/20	EUR	460		10,787			11,018			(231	)
Standard Chartered PLC		1.00	%	Goldman Sachs International	12/20/20	EUR	610		14,304			6,242			8,062
Standard Chartered PLC		1.00	%	Morgan Stanley & Co. International PLC	12/20/20	EUR	240		5,628			5,861			(233	)
Statoil ASA		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	EUR	500		(13,245	)		5,653			(18,898	)
STMicroelectronics NV		1.00	%	Bank of America N.A.	12/20/20	EUR	400		10,053			2,866			7,187


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
STMicroelectronics NV		1.00	%	Barclays Bank PLC	12/20/20	EUR	192	$	4,829			$ 1,912			$ 2,917
STMicroelectronics NV		1.00	%	Citibank N.A.	12/20/20	EUR	296		7,441			2,809			4,632
Sumitomo Mitsui Banking Corp.		1.00	%	Barclays Bank PLC	12/20/20	JPY	24,938		(5,455	)		1,115			(6,570	)
Sumitomo Mitsui Banking Corp.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	JPY	25,316		(5,538	)		1,888			(7,426	)
Target Corp.		1.00	%	Goldman Sachs International	12/20/20	USD	1,976		(54,431	)		(60,165	)		5,734
Target Corp.		1.00	%	Goldman Sachs International	12/20/20	USD	1,976		(54,431	)		(60,141	)		5,710
Target Corp.		1.00	%	Goldman Sachs International	12/20/20	USD	1,317		(36,278	)		(42,950	)		6,672
Target Corp.		1.00	%	Goldman Sachs International	12/20/20	USD	1,317		(36,278	)		(41,261	)		4,983
Target Corp.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	4,950		(136,353	)		(150,352	)		13,999
Valero Energy Corp.		1.00	%	Morgan Stanley Capital Services LLC	12/20/20	USD	4,450		100,390			98,298			2,092
Wells Fargo & Co.		1.00	%	BNP Paribas S.A.	12/20/20	USD	1,200		(24,380	)		(16,849	)		(7,531	)
Westpac Banking Corp.		1.00	%	Citibank N.A.	12/20/20	USD	1,000		(11,907	)		(2,846	)		(9,061	)
Australia & New Zealand Banking Group Ltd.		1.00	%	Deutsche Bank AG	6/20/21	USD	28,743		(226,843	)		299,438			(526,281	)
Australia & New Zealand Banking Group Ltd.		1.00	%	Goldman Sachs International	6/20/21	USD	42,133		(332,515	)		348,719			(681,234	)
Australia & New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	18,489		(145,916	)		191,819			(337,735	)
Australia & New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	8,937		(70,530	)		93,366			(163,896	)
Barclays Bank PLC		1.00	%	BNP Paribas S.A.	6/20/21	EUR	1,100		23,832			14,666			9,166
Barclays Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	5,310		115,044			49,589			65,455
Cable & Wireless International Finance BV		5.00	%	Goldman Sachs International	6/20/21	EUR	450		(57,294	)		(57,528	)		234
CBS Corp.		1.00	%	Barclays Bank PLC	6/20/21	USD	1,000		(6,600	)		2,472			(9,072	)
Commonwealth Bank of Australia		1.00	%	Deutsche Bank AG	6/20/21	USD	15,960		(125,773	)		156,513			(282,286	)
Commonwealth Bank of Australia		1.00	%	Deutsche Bank AG	6/20/21	USD	4,517		(35,596	)		79,300			(114,896	)
Commonwealth Bank of Australia		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	13,933		(109,799	)		139,181			(248,980	)
Credit Agricole SA		1.00	%	Barclays Bank PLC	6/20/21	EUR	3,000		(9,756	)		(24,135	)		14,379
Federation of Malaysia		1.00	%	Barclays Bank PLC	6/20/21	USD	5,694		145,011			153,175			(8,164	)
Federation of Malaysia		1.00	%	Citibank N.A.	6/20/21	USD	403		10,251			11,092			(841	)
Federation of Malaysia		1.00	%	Citibank N.A.	6/20/21	USD	147		3,754			3,492			262
Federation of Malaysia		1.00	%	Deutsche Bank AG	6/20/21	USD	410		10,436			12,541			(2,105	)
Federation of Malaysia		1.00	%	HSBC Bank PLC	6/20/21	USD	601		15,314			17,509			(2,195	)
Federation of Malaysia		1.00	%	Morgan Stanley & Co. International PLC	6/20/21	USD	184		4,696			5,723			(1,027	)
HSBC Bank PLC		1.00	%	Bank of America N.A.	6/20/21	EUR	11,710		(1,377	)		693			(2,070	)
HSBC Bank PLC		1.00	%	Bank of America N.A.	6/20/21	EUR	9,298		(1,093	)		(19,455	)		18,362
HSBC Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	9,360		(1,100	)		(21,594	)		20,494
HSBC Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	4,856		(570	)		(11,203	)		10,633
HSBC Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	3,844		(452	)		(8,869	)		8,417
HSBC Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	2,515		(296	)		(5,803	)		5,507
HSBC Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	2,387		(280	)		(5,507	)		5,227
HSBC Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	1,285		(151	)		(2,965	)		2,814
HSBC Bank PLC		1.00	%	Credit Suisse International	6/20/21	EUR	2,850		(337	)		12,881			(13,218	)
HSBC Bank PLC		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	EUR	6,500		(764	)		(25,872	)		25,108
HSBC Bank PLC		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	EUR	1,565		(184	)		(1,901	)		1,717
HSBC Bank PLC		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	EUR	328		(39	)		(1,306	)		1,267


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
HSBC Bank PLC		1.00	%	Société Générale	6/20/21	EUR	14,436	$	(1,697	)		$ 842			$ (2,539	)
HSBC Bank PLC		1.00	%	Société Générale	6/20/21	EUR	14,013		(1,647	)		817			(2,464	)
Ladbrokes Group Finance PLC		1.00	%	BNP Paribas S.A.	6/20/21	EUR	355		41,923			29,798			12,125
Lloyds TSB Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	5,310		53,439			(10,958	)		64,397
Lloyds TSB Bank PLC		1.00	%	Citibank N.A.	6/20/21	EUR	1,100		11,071			3,569			7,502
Louis Dreyfus Commodities BV		5.00	%	Goldman Sachs International	6/20/21	EUR	564		(10,184	)		30,178			(40,362	)
Marks & Spencer PLC		1.00	%	Barclays Bank PLC	6/20/21	EUR	1,000		38,363			27,932			10,431
Marks & Spencer PLC		1.00	%	BNP Paribas S.A.	6/20/21	EUR	650		24,937			28,214			(3,277	)
Marks & Spencer PLC		1.00	%	BNP Paribas S.A.	6/20/21	EUR	327		12,546			13,699			(1,153	)
Marks & Spencer PLC		1.00	%	BNP Paribas S.A.	6/20/21	EUR	327		12,546			13,699			(1,153	)
Marks & Spencer PLC		1.00	%	BNP Paribas S.A.	6/20/21	EUR	326		12,507			13,492			(985	)
Marks & Spencer PLC		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	EUR	330		12,660			14,324			(1,664	)
Marks & Spencer PLC		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	EUR	320		12,277			13,890			(1,613	)
National Australia Bank Ltd.		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	10,640		(86,943	)		111,158			(198,101	)
New Look Senior Issuer PLC		5.00	%	Société Générale	6/20/21	EUR	400		30,991			(4,638	)		35,629
Penerbangan Malaysia BHD		1.00	%	HSBC Bank PLC	6/20/21	USD	902		22,971			26,071			(3,100	)
Prudential Financial, Inc.		1.00	%	Citibank N.A.	6/20/21	USD	12,903		171,936			169,101			2,835
Prudential Financial, Inc.		1.00	%	Citibank N.A.	6/20/21	USD	5,130		68,359			67,232			1,127
Republic of Chile		1.00	%	Citibank N.A.	6/20/21	USD	7,800		(13,523	)		(17,701	)		4,178
Republic of Indonesia		1.00	%	Barclays Bank PLC	6/20/21	USD	404		15,679			18,757			(3,078	)
Republic of Indonesia		1.00	%	BNP Paribas S.A.	6/20/21	USD	305		11,864			13,330			(1,466	)
Republic of Indonesia		1.00	%	HSBC Bank PLC	6/20/21	USD	420		16,313			17,044			(731	)
Republic of Indonesia		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	198		7,676			8,452			(776	)
Republic of South Africa		1.00	%	Bank of America N.A.	6/20/21	USD	3,375		276,277			350,114			(73,837	)
Republic of South Africa		1.00	%	Barclays Bank PLC	6/20/21	USD	7,900		646,693			852,030			(205,337	)
Republic of South Africa		1.00	%	Barclays Bank PLC	6/20/21	USD	4,045		331,123			406,453			(75,330	)
Republic of South Africa		1.00	%	BNP Paribas S.A.	6/20/21	USD	6,000		491,159			541,059			(49,900	)
Republic of South Africa		1.00	%	BNP Paribas S.A.	6/20/21	USD	2,125		173,952			232,072			(58,120	)
Republic of South Africa		1.00	%	BNP Paribas S.A.	6/20/21	USD	1,955		160,036			207,293			(47,257	)
Republic of South Africa		1.00	%	Citibank N.A.	6/20/21	USD	6,243		511,034			510,295			739
Republic of South Africa		1.00	%	Citibank N.A.	6/20/21	USD	2,213		181,156			225,038			(43,882	)
Republic of South Africa		1.00	%	Citibank N.A.	6/20/21	USD	68		5,567			6,966			(1,399	)
Republic of South Africa		1.00	%	Goldman Sachs International	6/20/21	USD	2,090		171,087			228,642			(57,555	)
Republic of South Africa		1.00	%	HSBC Bank PLC	6/20/21	USD	2,275		186,231			250,426			(64,195	)
Republic of South Africa		1.00	%	HSBC Bank PLC	6/20/21	USD	2,170		177,636			231,247			(53,611	)
Republic of South Africa		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	4,845		396,611			496,798			(100,187	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	5,269		33,483			32,415			1,068
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	3,161		20,090			20,923			(833	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	2,641		16,786			16,381			405
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	2,201		13,988			14,678			(690	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	2,180		13,856			14,407			(551	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	2,180		13,856			14,407			(551	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	2,180		13,856			16,419			(2,563	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	2,107		13,393			12,966			427
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	2,107		13,393			13,949			(556	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	6/20/21	USD	1,761		11,190			10,922			268
Republic of the Philippines		1.00	%	Citibank N.A.	6/20/21	USD	2,865		18,210			18,965			(755	)
Republic of the Philippines		1.00	%	Citibank N.A.	6/20/21	USD	2,504		15,911			14,360			1,551
Republic of the Philippines		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	7,939		50,454			42,644			7,810
Republic of the Philippines		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	2,707		17,203			15,559			1,644


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date		Notional Amount (000)			Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Republic of the Philippines		1.00	%	JPMorgan Chase Bank N.A.		6/20/21		USD	698	$	4,433		$	4,285			$ 148
Russian Federation		1.00	%	Bank of America N.A.		6/20/21		USD	2,319		139,552			147,131			(7,579	)
Russian Federation		1.00	%	Barclays Bank PLC		6/20/21		USD	3,200		193,012			305,409			(112,397	)
Standard Chartered Bank		1.00	%	Goldman Sachs International		6/20/21		EUR	890		85,146			96,476			(11,330	)
Standard Chartered PLC		1.00	%	Bank of America N.A.		6/20/21		EUR	10,350		307,406			229,666			77,740
Standard Chartered PLC		1.00	%	Bank of America N.A.		6/20/21		EUR	1,371		40,721			30,423			10,298
Standard Chartered PLC		1.00	%	BNP Paribas S.A.		6/20/21		EUR	2,221		65,966			59,514			6,452
Standard Chartered PLC		1.00	%	BNP Paribas S.A.		6/20/21		EUR	1,758		52,214			47,107			5,107
Standard Chartered PLC		1.00	%	BNP Paribas S.A.		6/20/21		EUR	1,356		40,684			36,335			4,349
Standard Chartered PLC		1.00	%	BNP Paribas S.A.		6/20/21		EUR	679		20,167			18,195			1,972
Standard Chartered PLC		1.00	%	Citibank N.A.		6/20/21		EUR	1,431		42,503			66,765			(24,262	)
Standard Chartered PLC		1.00	%	JPMorgan Chase Bank N.A.		6/20/21		EUR	3,031		90,938			158,658			(67,720	)
Techem GmbH		5.00	%	Credit Suisse International		6/20/21		EUR	390		(67,937	)		(73,174	)		5,237
Techem GmbH		5.00	%	Credit Suisse International		6/20/21		EUR	260		(45,291	)		(49,853	)		4,562
CMBX.NA Series 8 AAA		0.50	%	Credit Suisse International		10/17/57		USD	2,360		87,978			106,673			(18,695	)
CMBX.NA Series 9 A		2.00	%	J.P. Morgan Securities LLC		9/17/58		USD	2,160		284,754			305,007			(20,253	)
CMBX.NA Series 9 A		2.00	%	Morgan Stanley & Co. International PLC		9/17/58		USD	1,780		234,658			231,435			3,223
Total										$	1,777,803		$	7,173,734			$(5,395,931	)


Issuer/Index	Receive Fixed Rate		Counterparty	Expiration Date	Credit Rating¹	Notional Amount (000)²		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Banca Monte dei Paschi di Siena SpA		3.00%	BNP Paribas S.A.	9/20/16	Not Rated	EUR	2,000		$ (70,200	)		$ (51,904	)		$ (18,296	)
Banca Monte dei Paschi di Siena SpA		5.00%	Deutsche Bank AG	9/20/16	Not Rated	EUR	750		(22,157	)		(5,550	)		(16,607	)
Banca Monte dei Paschi di Siena SpA		3.00%	JPMorgan Chase Bank N.A.	9/20/16	Not Rated	EUR	2,200		(77,220	)		(38,276	)		(38,944	)
CDX.NA.IG Series 18 Version 1		1.00%	Citibank N.A.	6/20/17	BBB+	USD	103,800		831,428			22,735			808,693
SAS AB		5.00%	Goldman Sachs International	12/20/17	Not Rated	EUR	270		(5,846	)		(8,684	)		2,838
Buoni Poliennali Del Tesoro		1.00%	Barclays Bank PLC	3/20/18	BBB-	EUR	4,500		20,791			(110,257	)		131,048
Buoni Poliennali Del Tesoro		1.00%	Barclays Bank PLC	3/20/18	BBB-	USD	37		56			(1,023	)		1,079
iTraxx Sub Financials Series 19 Version 1		5.00%	Citibank N.A.	6/20/18	BBB	EUR	5,900		509,253			541,255			(32,002	)
iTraxx Sub Financials Series 20 Version 1		5.00%	Barclays Bank PLC	12/20/18	BBB	EUR	1,160		118,524			156,266			(37,742	)
iTraxx Sub Financials Series 20 Version 1		5.00%	Citibank N.A.	12/20/18	BBB	EUR	4,600		470,008			510,053			(40,045	)
iTraxx Sub Financials Series 20 Version 1		5.00%	Citibank N.A.	12/20/18	BBB	EUR	1,660		169,612			221,601			(51,989	)
iTraxx Sub Financials Series 20 Version 1		5.00%	Deutsche Bank AG	12/20/18	BBB	EUR	830		84,806			111,307			(26,501	)
CNH Industrial NV		5.00%	Citibank N.A.	3/20/19	BB+	EUR	240		20,153			29,560			(9,407	)
CNH Industrial NV		5.00%	Citibank N.A.	3/20/19	BB+	EUR	240		20,154			30,135			(9,981	)
SAS AB		5.00%	Goldman Sachs International	6/20/19	Not Rated	EUR	1,000		(66,763	)		(85,155	)		18,392
Transocean Ltd.		1.00%	Goldman Sachs International	6/20/19	BB-	USD	350		(52,887	)		(6,511	)		(46,376	)
Transocean Ltd.		1.00%	Barclays Bank PLC	3/20/20	BB-	USD	1,100		(247,299	)		(176,954	)		(70,345	)
United Mexican States		1.00%	Bank of America N.A.	6/20/20	BBB+	USD	7,452		(83,082	)		(60,401	)		(22,681	)
People’s Republic of China		1.00%	Barclays Bank PLC	9/20/20	AA-	USD	1,000		(836	)		(6,849	)		6,013
People’s Republic of China		1.00%	Goldman Sachs International	9/20/20	AA-	USD	1,000		(836	)		(7,243	)		6,407
United Mexican States		1.00%	JPMorgan Chase Bank N.A.	9/20/20	BBB+	USD	7,452		(115,338	)		(68,970	)		(46,368	)


Issuer/Index	Receive Fixed Rate		Counterparty	Expiration Date	Credit Rating¹	Notional Amount (000)²		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Fiat Industrial Finance Europe SA		5.00%	BNP Paribas S.A.	12/20/20	BB+	EUR	43		$ 4,123			$ 4,430			$ (307	)
iTraxx Asia ex-Japan IG Series 24 Version 1		1.00%	Goldman Sachs International	12/20/20	A-	USD	1,825		(17,134	)		(45,621	)		28,487
Republic of Indonesia		1.00%	HSBC Bank PLC	12/20/20	BB+	USD	1,800		(50,585	)		(109,744	)		59,159
BHP Billiton Finance (USA) Ltd.		1.00%	BNP Paribas S.A.	6/20/21	A	USD	2,000		(46,754	)		(67,643	)		20,889
BHP Billiton Finance (USA) Ltd.		1.00%	Citibank N.A.	6/20/21	A	USD	2,000		(46,754	)		(70,255	)		23,501
BHP Billiton Finance (USA) Ltd.		1.00%	Goldman Sachs International	6/20/21	A	USD	3,000		(70,131	)		(97,484	)		27,353
BHP Billiton Finance (USA) Ltd.		1.00%	JPMorgan Chase Bank N.A.	6/20/21	A	USD	3,000		(70,131	)		(105,383	)		35,252
BHP Billiton Ltd.		1.00%	JPMorgan Chase Bank N.A.	6/20/21	A	USD	1,900		(44,416	)		(53,505	)		9,089
BNP Paribas S.A.		1.00%	Citibank N.A.	6/20/21	A	EUR	5,310		12,964			43,101			(30,137	)
CNH Industrial NV		5.00%	Goldman Sachs International	6/20/21	BB+	EUR	100		9,629			9,886			(257	)
Credit Suisse Group AG		1.00%	Citibank N.A.	6/20/21	BBB+	EUR	5,310		(187,110	)		(97,829	)		(89,281	)
Federative Republic of Brazil		1.00%	Barclays Bank PLC	6/20/21	BB	USD	2,676		(257,306	)		(291,967	)		34,661
Freeport-McMoRan Copper & Gold, Inc.		1.00%	Goldman Sachs International	6/20/21	BB	USD	2,400		(443,486	)		(499,587	)		56,101
Freeport-McMoRan Copper & Gold, Inc.		1.00%	Goldman Sachs International	6/20/21	BB	USD	2,400		(443,487	)		(493,913	)		50,426
Freeport-McMoRan Copper & Gold, Inc.		1.00%	Goldman Sachs International	6/20/21	BB	USD	2,400		(443,486	)		(483,801	)		40,315
Republic of the Philippines		1.00%	Bank of America N.A.	6/20/21	BBB	USD	80		(506	)		(383	)		(123	)
Rio Tinto Finance USA Ltd.		1.00%	Goldman Sachs International	6/20/21	A-	USD	4,700		(134,008	)		(141,969	)		7,961
Rio Tinto Finance USA Ltd.		1.00%	JPMorgan Chase Bank N.A.	6/20/21	A-	USD	4,700		(134,009	)		(152,910	)		18,901
Rio Tinto Finance USA Ltd.		1.00%	JPMorgan Chase Bank N.A.	6/20/21	A-	USD	1,900		(54,174	)		(69,563	)		15,389
Telecom Italia SpA		1.00%	BNP Paribas S.A.	6/20/21	BB+	EUR	1,140		(75,121	)		(54,706	)		(20,415	)
Telecom Italia SpA		1.00%	BNP Paribas S.A.	6/20/21	BB+	EUR	1,000		(65,896	)		(42,230	)		(23,666	)
Wind Acquisition Finance SA		5.00%	Goldman Sachs International	6/20/21	B	EUR	270		7,794			10,223			(2,429	)
Wind Acquisition Finance SA		5.00%	JPMorgan Chase Bank N.A.	6/20/21	B	EUR	40		1,155			1,326			(171	)
Republic of France		0.25%	Barclays Bank PLC	6/20/23	AA	USD	1,550		(32,642	)		(83,644	)		51,002
Republic of France		0.25%	Citibank N.A.	6/20/23	AA	USD	1,670		(35,169	)		(95,172	)		60,003
Republic of France		0.25%	JPMorgan Chase Bank N.A.	6/20/23	AA	USD	1,670		(35,168	)		(88,432	)		53,264
CMBX.NA Series 7 A		2.00%	Deutsche Bank AG	1/17/47	A-	USD	1,700		(116,901	)		(134,965	)		18,064
CMBX.NA Series 7 AAA		0.50%	Morgan Stanley Capital Services LLC	1/17/47	AAA	USD	5,000		(129,123	)		(165,531	)		36,408
CMBX.NA Series 3 AM		0.50%	Credit Suisse International	12/13/49	BBB	USD	920		(18,864	)		(83,612	)		64,748
CMBX.NA Series 3 AM		0.50%	Goldman Sachs International	12/13/49	BBB	USD	2,320		(47,570	)		(213,515	)		165,945
CMBX.NA Series 3 AM		0.50%	JPMorgan Chase Bank N.A.	12/13/49	BBB	USD	5,000		(102,521	)		(436,647	)		334,126
CMBX.NA Series 4 AM		0.50%	Deutsche Bank AG	2/17/51	BB+	USD	2,000		(55,233	)		(274,737	)		219,504
CMBX.NA Series 8 A		2.00%	Goldman Sachs International	10/17/57	Not Rated	USD	2,140		(231,358	)		(223,637	)		(7,721	)
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC	10/17/57	Not Rated	USD	1,800		(194,600	)		(194,393	)		(207	)
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC	10/17/57	Not Rated	USD	1,780		(192,437	)		(199,366	)		6,929
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC	10/17/57	Not Rated	USD	930		(100,543	)		(82,083	)		(18,460	)
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC	10/17/57	Not Rated	USD	890		(96,219	)		(106,042	)		9,823
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC	10/17/57	Not Rated	USD	860		(92,976	)		(131,473	)		38,497


Issuer/Index	Receive Fixed Rate		Counterparty	Expiration Date		Credit Rating¹		Notional Amount (000)²			Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC		10/17/57		Not Rated		USD	850	$	(91,894	)	$	(129,780	)		$ 37,886
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC		10/17/57		Not Rated		USD	800		(86,489	)		(76,120	)		(10,369	)
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC		10/17/57		Not Rated		USD	800		(86,489	)		(75,586	)		(10,903	)
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC		10/17/57		Not Rated		USD	450		(48,650	)		(49,095	)		445
CMBX.NA Series 8 AA		1.50%	Goldman Sachs International		10/17/57		Not Rated		USD	1,610		(116,586	)		(161,434	)		44,848
CMBX.NA Series 9 A		2.00%	Credit Suisse International		9/17/58		Not Rated		USD	1,200		(158,196	)		(173,060	)		14,864
CMBX.NA Series 9 A		2.00%	Deutsche Bank AG		9/17/58		Not Rated		USD	1,850		(243,885	)		(197,674	)		(46,211	)
CMBX.NA Series 9 A		2.00%	J.P. Morgan Securities LLC		9/17/58		Not Rated		USD	551		(72,695	)		(70,044	)		(2,651	)
CMBX.NA Series 9 A		2.00%	Morgan Stanley & Co. International PLC		9/17/58		Not Rated		USD	1,210		(159,515	)		(172,820	)		13,305
CMBX.NA Series 9 A		2.00%	Morgan Stanley & Co. International PLC		9/17/58		Not Rated		USD	820		(108,101	)		(89,468	)		(18,633	)
CMBX.NA Series 9 A		2.00%	Morgan Stanley & Co. International PLC		9/17/58		Not Rated		USD	710		(93,599	)		(88,557	)		(5,042	)
CMBX.NA Series 9 BBB-		3.00%	Credit Suisse International		9/17/58		Not Rated		USD	1,810		(405,484	)		(353,750	)		(51,734	)
Total											$	(4,199,415	)	$	(5,965,029	)		$1,765,614


Fixed Rate	Floating Rate	Counterparty	Effective Date	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
6.51%¹	1-day COOIS	Credit Suisse International	N/A	7/06/16	COP	107,516,043	$	20,587			$ (8	)		$ 20,595
6.64%¹	1-day COOIS	Credit Suisse International	N/A	8/22/16	COP	42,569,344		31,655			—			31,655
1.92%¹	3-month KRW Certificate of Deposit	Deutsche Bank AG	N/A	11/10/17	KRW	10,139,328		82,820			18,412			64,408
1.69%²	3-month KRW Certificate of Deposit	Deutsche Bank AG	N/A	11/10/17	KRW	10,139,328		(52,644	)		—			(52,644	)
4.30%²	28-day MXIBTIIE	Bank of America N.A.	N/A	12/07/17	MXN	23,670		11,231			27			11,204
4.55%²	28-day MXIBTIIE	Barclays Bank PLC	N/A	3/21/18	MXN	39,525		14,824			505			14,319
4.85%²	28-day MXIBTIIE	Bank of America N.A.	N/A	11/01/18	MXN	23,232		6,524			49			6,475
4.77%²	28-day MXIBTIIE	Citibank N.A.	N/A	12/05/18	MXN	16,034		6,797			30			6,767
4.70%²	28-day MXIBTIIE	Bank of America N.A.	N/A	12/06/18	MXN	16,034		8,261			29			8,232
4.76%²	28-day MXIBTIIE	Citibank N.A.	N/A	12/06/18	MXN	16,034		7,028			30			6,998
12.24%¹	1-day BZDIOVER	Bank of America N.A.	N/A	1/02/19	BRL	64,343		(25,739	)		—			(25,739	)
12.46%¹	1-day BZDIOVER	Bank of America N.A.	N/A	1/02/19	BRL	31,391		21,603			—			21,603
12.29%¹	1-day BZDIOVER	Bank of America N.A.	N/A	1/02/19	BRL	31,325		(12,989	)		—			(12,989	)
12.52%¹	1-day BZDIOVER	JPMorgan Chase Bank N.A.	N/A	1/02/19	BRL	31,370		35,395			—			35,395
12.31%¹	1-day BZDIOVER	JPMorgan Chase Bank N.A.	N/A	1/02/19	BRL	17,559		17,837			—			17,837
11.41%²	1-day BZDIOVER	Bank of America N.A.	N/A	1/04/21	BRL	4,756		88,951			—			88,951
12.05%¹	1-day BZDIOVER	Bank of America N.A.	N/A	1/04/21	BRL	2,974		(17,796	)		—			(17,796	)
12.75%¹	1-day BZDIOVER	Citibank N.A.	N/A	1/04/21	BRL	19,068		185,645			—			185,645
11.84%¹	1-day BZDIOVER	HSBC Bank PLC	N/A	1/04/21	BRL	1,990		(20,101	)		—			(20,101	)
12.74%¹	1-day BZDIOVER	JPMorgan Chase Bank N.A.	N/A	1/04/21	BRL	13,055		124,877			—			124,877
1.92%¹	6-month WIBOR	Goldman Sachs International	N/A	4/29/21	PLN	37,320		68,336			—			68,336
2.77%¹	7-day China Fixing Repo Rates	Bank of America N.A.	N/A	5/12/21	CNY	32,310		47,344			(49	)		47,393
2.75%¹	7-day China Fixing Repo Rates	Bank of America N.A.	N/A	5/12/21	CNY	25,850		33,846			(37	)		33,883
2.75%¹	7-day China Fixing Repo Rates	Bank of America N.A.	N/A	5/12/21	CNY	25,845		33,839			(37	)		33,876


Fixed Rate	Floating Rate	Counterparty	Effective Date	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
2.74%¹	7-day China Fixing Repo Rates	Bank of America N.A.	N/A	5/12/21	CNY	20,710	$	26,177			$ (116	)		$ 26,293
2.75%¹	7-day China Fixing Repo Rates	Bank of America N.A.	N/A	5/12/21	CNY	20,708		27,643			(119	)		27,762
2.75%¹	7-day China Fixing Repo Rates	Bank of America N.A.	N/A	5/12/21	CNY	12,925		16,922			(19	)		16,941
2.73%¹	7-day China Fixing Repo Rates	Bank of America N.A.	N/A	5/12/21	CNY	12,925		14,632			(17	)		14,649
3.27%²	3-month LIBOR	Deutsche Bank AG	N/A	5/16/21	USD	9,510		(1,079,017	)		—			(1,079,017	)
12.92%¹	1-day BZDIOVER	Bank of America N.A.	N/A	1/02/23	BRL	17,806		293,824			—			293,824
12.62%¹	1-day BZDIOVER	Bank of America N.A.	N/A	1/02/23	BRL	4,743		50,835			—			50,835
12.73%¹	1-day BZDIOVER	Bank of America N.A.	N/A	1/02/23	BRL	4,077		52,425			—			52,425
12.37%¹	1-day BZDIOVER	Citibank N.A.	N/A	1/02/23	BRL	7,897		48,013			—			48,013
12.75%¹	1-day BZDIOVER	Citibank N.A.	N/A	1/02/23	BRL	4,151		55,011			—			55,011
5.73%²	28-day MXIBTIIE	Bank of America N.A.	N/A	1/03/25	MXN	23,376		18,120			283			17,837
6.33%¹	28-day MXIBTIIE	Citibank N.A.	N/A	6/09/25	MXN	14,869		20,295			(82	)		20,377
6.33%¹	28-day MXIBTIIE	Citibank N.A.	N/A	7/17/25	MXN	36,610		47,254			(174	)		47,428
6.32%¹	28-day MXIBTIIE	Morgan Stanley Capital Services LLC	N/A	7/17/25	MXN	73,475		93,415			(347	)		93,762
6.32%¹	28-day MXIBTIIE	Goldman Sachs International	N/A	8/06/25	MXN	109,616		141,191			(512	)		141,703
6.31%²	28-day MXIBTIIE	Bank of America N.A.	N/A	8/11/25	MXN	36,783		(45,091	)		166			(45,257	)
6.31%²	28-day MXIBTIIE	Bank of America N.A.	N/A	8/11/25	MXN	36,783		(45,091	)		166			(45,257	)
6.31%²	28-day MXIBTIIE	Deutsche Bank AG	N/A	8/11/25	MXN	136,536		(165,872	)		614			(166,486	)
6.27%¹	28-day MXIBTIIE	Bank of America N.A.	N/A	12/05/25	MXN	4,348		4,633			(57	)		4,690
6.30%¹	28-day MXIBTIIE	Goldman Sachs International	N/A	6/15/26	MXN	264,046		254,315			(854	)		255,169
Total							$	547,765			$17,883			$ 529,882


OTC Total Return Swaps
Reference Entity	Fixed Rate/ Floating Rate		Counterparty	Expiration Date		Contract Amount		Value			Premiums Paid (Received)			Unrealized Depreciation
LyondellBasell Industries NV		3-month LIBOR minus 0.30%	Bank of America N.A.		12/15/16	USD	30		$ (13,040	)		—			$ (13,040	)
BHP Billiton Ltd.		3-month LIBOR minus 1.15%	Bank of America N.A.		12/30/16	USD	49		(118,859	)		—			(118,859	)
Market Vector Semiconductor ETF		3-month LIBOR minus 0.75%¹	Bank of America N.A.		12/30/16	USD	18		(34,783	)		—			(34,783	)
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae		1-month LIBOR	Credit Suisse International		1/12/45	USD	3,494		(50,235	)		$ 1,357			(51,592	)
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae		1-month LIBOR	Credit Suisse International		1/12/45	USD	3,423		49,224			(4,304	)		53,528
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae		1-month LIBOR	Credit Suisse International		1/12/45	USD	3,423		49,224			10,371			38,853
Return on Markit IOS 3.50%, 30-year, fixed rate Fannie Mae		1-month LIBOR	Credit Suisse International		1/12/45	USD	3,353		(48,213	)		11,895			(60,108	)
Total									$(166,682	)		$19,319			$(186,001	)

The following tables represents the individual long and short positions and related values of equity securities underlying the total return swap with Bank of America N.A., as of June 30, 2016, expiration date 4/12/17:

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Master Portfolio’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:


	Level 1		Level 2			Level 3		Total
Assets:
Investments:
Long-Term Investments:
Asset-Backed Securities		—	$	771,269,870		$	190,852,590	$	962,122,460
Common Stocks	$	8,113,248		1,265,378			—		9,378,626
Corporate Bonds		—		2,540,343,082			282,320		2,540,625,402
Floating Rate Loan Interests		—		56,837,344			807,014		57,644,358
Foreign Agency Obligations		—		50,347,905			—		50,347,905
Foreign Government Obligations		—		265,029,801			—		265,029,801
Investment Companies		116,586,252		—			—		116,586,252
Non-Agency Mortgage-Backed Securities		—		624,601,414			59,228,587		683,830,001
Other Interests		—		—			1		1
Preferred Securities		18,331,431		50,659,581			1,467,014		70,458,026
Taxable Municipal Bonds		—		402,974,793			—		402,974,793
U.S. Government Sponsored Agency Securities		—		6,397,931,701			3,873,822		6,401,805,523
U.S. Treasury Obligations		—		3,206,120,376			—		3,206,120,376
Short-Term Securities:
Borrowed Bond Agreements		—		246,658,250			—		246,658,250
Money Market Funds		15,916,146		80,589,469			—		96,505,615
Options Purchased:
Credit contracts		—		264,664			—		264,664
Equity contracts		827,180		4,185			—		831,365
Foreign currency exchange contracts		—		6,412,299			—		6,412,299
Interest rate contracts		1,650,125		145,389			—		1,795,514
Liabilities:
Investments:
Investments Sold Short		—		(18,321,309	)		—		(18,321,309	)
TBA Sale Commitments		—		(3,500,661,432	)		—		(3,500,661,432	)
Borrowed Bonds		—		(249,699,727	)		—		(249,699,727	)

Total	$	161,424,382	$	10,932,773,033		$	256,511,348	$	11,350,708,763


Derivative Financial Instruments¹
Assets:
Commodity contracts		$ 172,124		—			—		$ 172,124
Credit contracts		—		$ 8,258,634			—		8,258,634
Foreign currency exchange contracts		—		22,188,626			—		22,188,626
Interest rate contracts		9,301,929		4,933,083			—		14,235,012
Liabilities:
Commodity contracts		(141,151)		—			—		(141,151)
Credit contracts		—		(7,555,963)			—		(7,555,963)
Equity contracts		(2,349,666)		(566,430)			—		(2,916,096)
Foreign currency exchange contracts		—		(19,492,345)			—		(19,492,345)
Interest rate contracts		(3,761,908)		(9,598,896)			—		(13,360,804)

Total		$ 3,221,328		$ (1,833,291)			—		$ 1,388,037

The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount or face value, including accrued interest, for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:


	Level 1		Level 2			Level 3		Total
Assets:
Cash	$	35,226,185		—			—	$	35,226,185
Cash pledged:
Collateral - borrowed bond agreements		1,349,000		—			—		1,349,000
Collateral - OTC derivatives		7,633,000		—			—		7,633,000
Futures contracts		8,574,010		—			—		8,574,010
Centrally cleared swaps		29,162,630		—			—		29,162,630
Foreign currency at value		23,315,744		—			—		23,315,744
Liabilities:
Cash received:
Collateral - borrowed bond agreements		—	$	(4,461,000	)		—		(4,461,000	)
Collateral - OTC derivatives		—		(4,030,000	)		—		(4,030,000	)
Collateral - TBA commitments		—		(3,479,000	)		—		(3,479,000	)
Collateral on securities loaned at value		—		(80,589,469	)		—		(80,589,469	)
Reverse repurchase agreements		—		(1,443,780,531	)		—		(1,443,780,531	)
Total	$	105,260,569	$	(1,536,340,000	)		—	$	(1,431,079,431	)

During the period ended June 30, 2016, there were no transfers between Level 1 and Level 2.

A reconciliation of Level 3 investments is presented when the Master Portfolio had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:


	Asset-Backed Securities			Corporate Bonds			Floating Rate Loan Interests			Non-Agency Mortgage-Backed Securities			Other Interests		Preferred Securities			U.S. Government Sponsored Agency Securities			Total
Assets:
Opening Balance, as of September 30, 2015		$140,664,025			—			$ 9,415,789			$ 48,193,804			$ 1		$1,504,998			—		$	199,778,617
Transfers into Level 3		3,664,804			$ 1,459,492			—			—			—		—			$4,111,216			9,235,512
Transfers out of Level 3		(59,269,693	)		—			(8,730,055	)		(15,484,281	)		—		—			—			(83,484,029	)
Accrued discounts/premiums		134,474			5,326			1,424			225,483			—		—			5			366,712
Net realized gain (loss)		239,186			49,411			1,593			136,956			—		—			8			427,154
Net change in unrealized appreciation (depreciation)¹		(930,082	)		(49,560	)		62,659			(432,157	)		—		(37,984	)		41,198			(1,345,926	)
Purchases		139,984,047			—			745,216			49,785,272			—		—			—			190,514,535
Sales		(33,634,171	)		(1,182,349	)		(689,612	)		(23,196,490	)		—		—			(278,605	)		(58,981,227	)

Closing Balance, as of June 30, 2016		$190,852,590			$ 282,320			$ 807,014			$ 59,228,587			$ 1		$1,467,014			$3,873,822		$	256,511,348

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2016¹		$ 10,892			$ (49,560	)		$ 60,863			$ (348,370	)		—		$ (37,984	)		$ 41,198		$	(322,961	)

The Master Portfolio’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of such Level 3 investments.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, each registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series, LLC and Master Total Return Portfolio of Master Bond LLC

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 each registrant and in the capacities and on the dates indicated.


Investment Companies	Shares		Value
iShares Core S&P 500 ETF (a)		104,400	$	21,997,080
iShares Core U.S. Aggregate Bond ETF (a)		198,247		22,316,665
Total Investment Companies — 4.7%				44,313,745


Mutual Funds
Master Large Cap Core Portfolio of Master Large Cap Series LLC				538,936,269
Master Total Return Portfolio of Master Bond LLC				321,591,092
Total Mutual Funds — 90.5%				860,527,361


Total Long-Term Investments (Cost — $810,257,792) — 95.2%				904,841,106


Short-Term Securities	Shares		Value
BlackRock Liquidity Funds, TempFund, Institutional Class, 0.40% (a)(b)		46,477,921	$	46,477,921
Total Short-Term Securities (Cost — $46,477,921) — 4.9%				46,477,921

*Total Investments (Cost — $856,735,713) — 100.1%**				951,319,027
Liabilities in Excess of Other Assets — (0.1)%				(503,575	)

Net Assets — 100.0%			$	950,815,452


Tax cost	$	856,735,713

Gross unrealized appreciation	$	94,775,410
Gross unrealized depreciation		(192,096	)

Net unrealized appreciation	$	94,583,314


Affiliate	Shares Held at September 30, 2015		Shares Purchased			Shares Sold	Shares Held at June 30, 2016		Value at June 30, 2016		Income		Realized Gain
iShares Core S&P 500 ETF		—		104,400		—		104,400	$	21,997,080	$	104,175		—
iShares Core U.S. Aggregate Bond ETF		—		198,247		—		198,247		22,316,665		—		—
BlackRock Liquidity Funds, TempFund, Institutional
Class		4,220,698		42,257,223	¹	—		46,477,921		46,477,921		54,283	$	524
Total									$	90,791,666	$	158,458	$	524


Tax cost	$	1,643,132,534

Gross unrealized appreciation	$	455,070,382
Gross unrealized depreciation		(43,695,728	)

Net unrealized appreciation	$	411,374,654


Schedule of Investments June 30, 2016 (Unaudited)			BlackRock Balanced Capital Fund, Inc.
			(Percentages shown are based on Net Assets)


Futures Contracts
Contracts Long	Issue	Expiration			Notional Value		Unrealized Appreciation
177	S&P 500 E-Mini Index		September 2016	USD		18,498,270	$	25,635
150	U.S. Treasury Notes (5 Year)		September 2016	USD		18,324,609		334,931
Total							$	360,566


Schedule of Investments (concluded)			BlackRock Balanced Capital Fund, Inc.


Schedule of Investments June 30, 2016 (Unaudited)			Master Large Cap Core Portfolio
			(Percentages shown are based on Net Assets)


Portfolio Abbreviation
ADR		American Depositary Receipts


Schedule of Investments (continued)			Master Large Cap Core Portfolio


Affiliate	Shares/Beneficial Interest Held at September 30, 2015		Net Activity			Shares/Beneficial Interest Held at June 30, 2016		Value at June 30, 2016		Income			Realized Gain
BlackRock Liquidity Funds, TempFund, Institutional Class		29,818,476		(21,001,355	)		8,817,121	$	8,817,121	$	104,114		$	500
BlackRock Liquidity Series, LLC, Money Market Series		—		—			—		—		7,211	¹		—
Total								$	8,817,121	$	111,325		$	500


Consolidated Schedule of Investments June 30, 2016 (Unaudited)			Master Total Return Portfolio
			(Percentages shown are based on Net Assets)


Portfolio Abbreviations
ABS	Asset-Backed Security	DKK	Danish Krone	PIK	Payment-in-kind
ADR	American Depositary Receipt	ETF	Exchange-Traded Fund	PLN	Polish Zloty
AKA	Also Known As	EUR	Euro	RB	Revenue Bonds
AMBAC	American Municipal Bond Assurance Corporation	FKA	Formerly Known As	REMIC	Real Estate Mortgage Investment Conduit
AGM	Assured Guaranty Municipal Corp.	GBP	British Pound	RUB	Russian Ruble
AUD	Australian Dollar	GO	General Obligation	S&P	Standard & Poor’s
BRL	Brazilian Real	HKD	Hong Kong Dollar	SAR	Saudi Arabian Riyal
BZDIOVER	Overnight Brazil CETIP - Interbank Rate	IDR	Indonesian Rupiah	SEK	Swedish Krona
CAD	Canadian Dollar	INR	Indian Rupee	SGD	Singapore Dollar
CBOE	Chicago Board Options Exchange	JPY	Japanese Yen	TBA	To-be-announced
CDO	Collateralized Debt Obligation	KRW	South Korean Won	TRY	Turkish Lira
CHF	Swiss Franc	LIBOR	London Interbank Offered Rate	TWD	Taiwan New Dollar
CLO	Collateralized Loan Obligation	MXIBTIIE	Mexico Interbank TIIE 28-Day Rate	USD	U.S. Dollar
CNH	Chinese Yuan Offshore	MXN	Mexican Peso	WIBOR	Warsaw Interbank Offered Rate
CNY	Chinese Yuan	MYR	Malaysian Ringgit	WTI	West Texas Intermediate
COOIS	Colombia Overnight Interbank Reference Rate	OTC	Over-the-counter	ZAR	South African Rand
COP	Columbian Peso


		MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC		JUNE 30, 2016		1


Consolidated Schedule of Investments (continued)			Master Total Return Portfolio


Tax cost	$	14,927,348,302

Gross unrealized appreciation	$	261,813,955
Gross unrealized depreciation		(69,771,026	)

Net unrealized appreciation	$	192,042,929


Affiliate	Par/Shares Held at September 30, 2015		Par/Shares/ Beneficial Interest Purchased		Par/Shares Sold			Par/Shares Held at June 30, 2016		Value at June 30, 2016		Income		Realized Loss / Capital Gain
BlackRock Capital Finance LP, Series 1997-R2, Class AP		$ 7,237		—		$ (217	)		$ 7,020		$ 6,576		$ 51		$ 1
BlackRock Liquidity Funds, TempFund, Institutional Class		—		15,916,146¹		—			15,916,146		15,916,146		43,724		645
BlackRock Liquidity Series, LLC, Money Market Series		—		$80,589,469¹		—			$80,589,469		80,589,469		157,394²		—
iShares iBoxx $ High Yield Corporate Bond ETF		424,587		3,340,249		(2,706,343	)		1,058,493		89,643,772		3,586,204		(5,966,052	)
iShares U.S. Preferred Stock ETF		—		1,100,000		(550,000	)		550,000		21,939,500		508,728		445,798
Total											$208,095,463		$4,296,101		$(5,519,608	)


	Shares		Value
Reference Entity — Long
Banco Santander SA		79,597		$ 302,894
BNP Paribas SA		6,204		272,081
Eurobank Ergasias SA		496,645		314,387
ING Groep NV CVA		18,040		186,641
Intesa Sanpaolo SpA		84,269		160,509
Ladbrokes PLC		337,564		504,016
Numericable-SFR SA		24,858		621,200
Société Générale SA		3,904		122,219
Total Reference Entity — Long				2,483,947

	Shares		Value
Reference Entity — Short
Anglo American PLC		(127,617)		$(1,250,939)
APERAM SA		(3,482)		(121,888)
Banco Bilbao Vizcaya Argentaria SA		(10,451)		(59,879)
Lloyds Banking Group PLC		(1,642,878)		(1,189,927)
Total Reference Entity — Short				(2,622,633)
Net Value of Reference Entity — Bank of America N.A.				$(138,686)


2(a) –		The registrants’ principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants’ disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

2(b) –		There were no changes in the registrants’ internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrants’ last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants’ internal control over financial reporting.


By:		/s/ John M. Perlowski
		John M. Perlowski
		Chief Executive Officer (principal executive officer) of
		BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series, LLC and Master Total Return Portfolio of Master Bond LLC

Date:		August 24, 2016


By:		/s/ Neal J. Andrews
		Neal J. Andrews
		Chief Financial Officer (principal financial officer) of
		BlackRock Balanced Capital Fund, Inc., Master Large Cap Core Portfolio of Master Large Cap Series, LLC and Master Total Return Portfolio of Master Bond LLC

Date:		August 24, 2016