BLACKROCK BALANCED CAPITAL FUND, INC.

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Name of Fund: 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

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


Affiliate	Shares/Investment Value Held at September 30, 2016		Shares/ Investment Value Purchased			Shares/ Investment Value Sold			Shares/Investment Value Held at December 31, 2016		Value at December 31, 2016		Income		Realized Gain (Loss)
BlackRock Liquidity Funds, T-Fund, Institutional Class		17,294,562		14,160,576	¹		—			31,455,138		$31,455,138	$	16,276	$	164
iShares Core S&P 500 ETF		104,400					(104,400	)		—		—		—		754,308
iShares Core U.S. Aggregate Bond ETF		360,230		73,363			—			433,593		46,854,060		330,014		—
Master Large Cap Core Portfolio of Master Large Cap Series LLC		$567,148,794		$41,188,087	^1,2		—			$608,336,881		608,336,881		1,970,100		23,366,419
Master Total Return Portfolio of Master Bond LLC		$324,410,915		—			$(7,469,351	)^2,3		$316,941,564		316,941,564		2,698,053		(750,097	)
Total												$1,003,587,643		$5,014,443		$23,370,794

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 $608,336,881 and $316,941,564, respectively and 27.5% and 3.3%, 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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by privately-held companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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 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 Fund’s policy regarding valuation of investments and derivative financial instruments, refer to the Fund’s most recent financial statements as contained in its annual report.

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


	Level 1				Level 2		Level 3		Total
Assets:
Investments:
Investment Companies		$	46,854,060			—		—		$	46,854,060
Short-Term Securities			31,455,138			—		—			31,455,138

Subtotal		$	78,309,198			—		—		$	78,309,198

Investments Valued at NAV¹											925,278,445

Total Investments										$	1,003,587,643

¹ As of December 31, 2016, certain of the Fund’s investments were valued using NAV per share or its equivalent as no quoted market value is available and therefore have been excluded from the fair value hierarchy.
Derivative Financial Instruments²
Liabilities:
Foreign currency exchange contracts		$	(120,966	)		—		—		$	(120,966	)
Interest rate contracts			(74,432	)		—		—			(74,432	)

Total		$	(195,398	)		—		—		$	(195,398	)

During the period ended December 31, 2016, there were no transfers between levels.


Common Stocks	Shares		Value
Aerospace & Defense — 1.1%
Huntington Ingalls Industries, Inc.		6,011	$	1,107,166
L-3 Communications Holdings, Inc.		69,980		10,644,658
Raytheon Co.		88,770		12,605,340

				24,357,164
Airlines — 1.8%
Delta Air Lines, Inc.		732,194		36,016,623
Southwest Airlines Co.		92,308		4,600,631

				40,617,254
Auto Components — 2.7%
Goodyear Tire & Rubber Co.		892,151		27,540,701
Lear Corp.		239,000		31,636,430

				59,177,131
Banks — 13.5%
Bank of America Corp.		3,912,016		86,455,554
Citigroup, Inc.		347,938		20,677,955
JPMorgan Chase & Co.		1,093,164		94,329,122
Regions Financial Corp.		470,217		6,752,316
SunTrust Banks, Inc.		724,767		39,753,470
U.S. Bancorp		1,000,729		51,407,449

				299,375,866
Beverages — 1.4%
Dr. Pepper Snapple Group, Inc.		331,653		30,070,977
Biotechnology — 3.9%
Amgen, Inc.		24,400		3,567,524
Biogen, Inc. (a)		149,070		42,273,271
Gilead Sciences, Inc.		566,254		40,549,449

				86,390,244
Building Products — 0.4%
Owens Corning		166,807		8,600,569
Capital Markets — 2.2%
Goldman Sachs Group, Inc.		200,143		47,924,241
Chemicals — 1.3%
Dow Chemical Co.		494,503		28,295,462
Communications Equipment — 2.5%
Cisco Systems, Inc.		1,835,620		55,472,436
Construction & Engineering — 0.4%
EMCOR Group, Inc.		128,500		9,092,660
Consumer Finance — 1.2%
SLM Corp. (a)		2,389,867		26,336,334
Containers & Packaging — 1.5%
Avery Dennison Corp.		162,848		11,435,187
Packaging Corp. of America		261,244		22,158,716

				33,593,903


Common Stocks	Shares		Value
Diversified Telecommunication Services — 0.2%
AT&T Inc.		126,000	$	5,358,780
Electric Utilities — 0.7%
FirstEnergy Corp.		477,223		14,779,596
Electronic Equipment, Instruments & Components — 1.9%
CDW Corp.		368,340		19,186,831
Flex Ltd. (a)		1,500,983		21,569,126

				40,755,957
Energy Equipment & Services — 0.3%
Schlumberger Ltd.		83,780		7,033,331
Food & Staples Retailing — 4.5%
CVS Health Corp.		454,673		35,878,246
Walgreens Boots Alliance, Inc.		569,635		47,142,993
Wal-Mart Stores, Inc.		232,201		16,049,733

				99,070,972
Health Care Providers & Services — 7.0%
Aetna, Inc.		222,265		27,563,083
Centene Corp. (a)		310,605		17,552,289
Cigna Corp.		59,322		7,912,962
Humana, Inc.		212,865		43,430,846
Laboratory Corp. of America Holdings (a)		124,278		15,954,810
UnitedHealth Group, Inc.		262,678		42,038,987

				154,452,977
Hotels, Restaurants & Leisure — 2.7%
Carnival Corp.		904,638		47,095,454
Wyndham Worldwide Corp.		167,644		12,802,972

				59,898,426
Household Durables — 1.4%
DR Horton, Inc.		574,835		15,710,241
Lennar Corp., Class A		198,536		8,523,150
NVR, Inc. (a)		4,048		6,756,112

				30,989,503
Insurance — 0.1%
Prudential Financial, Inc.		11,559		1,202,830
Internet Software & Services — 3.9%
Alphabet, Inc., Class A (a)		54,537		43,217,846
Alphabet, Inc., Class C (a)		55,465		42,808,996

				86,026,842
IT Services — 2.1%
Amdocs Ltd.		332,704		19,380,008
Cognizant Technology Solutions Corp., Class A (a)		491,469		27,537,008

				46,917,016


Common Stocks	Shares		Value
Life Sciences Tools & Services — 0.1%
Quintiles IMS Holdings, Inc. (a)		14,467	$	1,100,215
Machinery — 0.4%
WABCO Holdings, Inc. (a)		73,337		7,784,723
Media — 3.7%
Comcast Corp., Class A		966,900		66,764,445
Omnicom Group, Inc.		184,882		15,735,307

				82,499,752
Metals & Mining — 1.0%
Rio Tinto PLC — ADR		593,366		22,820,856
Multiline Retail — 0.0%
Kohl’s Corp.		19,077		942,022
Multi-Utilities — 0.6%
Public Service Enterprise Group, Inc.		290,465		12,745,604
Oil, Gas & Consumable Fuels — 7.2%
Anadarko Petroleum Corp.		124,780		8,700,909
BP PLC — ADR		884,610		33,066,722
Chevron Corp.		438,394		51,598,974
Hess Corp.		181,332		11,295,170
Marathon Oil Corp.		431,411		7,467,724
Statoil ASA — ADR (b)		474,600		8,656,704
Suncor Energy, Inc.		714,034		23,341,771
TOTAL SA — ADR		158,612		8,084,454
Valero Energy Corp.		115,500		7,890,960

				160,103,388
Pharmaceuticals — 2.8%
Allergan PLC (a)		56,427		11,850,234
Johnson & Johnson		78,695		9,066,451
Mallinckrodt PLC (a)		254,463		12,677,347
Merck & Co., Inc.		182,525		10,745,247
Pfizer, Inc.		171,338		5,565,058
Teva Pharmaceutical Industries Ltd. — ADR		355,532		12,888,035

				62,792,372
Professional Services — 0.6%
Robert Half International, Inc.		273,000		13,316,940
Road & Rail — 0.9%
Norfolk Southern Corp.		182,443		19,716,615


Common Stocks	Shares		Value
Semiconductors & Semiconductor Equipment — 4.2%
Applied Materials, Inc.		173,168	$	5,588,131
Intel Corp.		892,387		32,366,876
Lam Research Corp.		398,236		42,105,492
NVIDIA Corp.		121,079		12,923,972

				92,984,471
Software — 5.8%
Activision Blizzard, Inc.		1,106,890		39,969,798
Dell Technologies, Inc., Class V (a)		119,626		6,575,841
Microsoft Corp.		1,323,950		82,270,253

				128,815,892
Specialty Retail — 4.1%
Home Depot, Inc.		342,707		45,950,155
Lowe’s Cos., Inc.		630,511		44,841,942

				90,792,097
Technology Hardware, Storage & Peripherals — 4.7%
Apple Inc.		897,669		103,968,024
Tobacco — 2.5%
Altria Group, Inc.		822,596		55,623,942
Total Long-Term Investments (Cost — $1,625,536,736) — 97.3%				2,151,797,384

Short-Term Securities
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (c)(d)		57,106,417		57,106,417
SL Liquidity Series, LLC, Money Market Series, 0.95% (c)(d)(e)		1,446,640		1,446,784
Total Short-Term Securities (Cost — $58,553,062) — 2.7%				58,553,201
*Total Investments (Cost — $1,684,089,798) — 100.0%**				2,210,350,585
Other Assets Less Liabilities — 0.0%				890,306

Net Assets — 100.0%			$	2,211,240,891

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:

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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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 annual report.

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

During the period ended December 31, 2016, there were no transfers between levels.


Asset-Backed Securities		Par (000)		Value
ACAS CLO Ltd.:
Series 2012-1A, Class BR, 3.32%, 9/20/23 (a)(b)	USD		4,020	$	4,019,815
Series 2012-1A, Class CR, 4.25%, 9/20/23 (a)(b)			750		747,650
Series 2013-2A, Class A2BR, 3.08%, 10/25/25 (a)(b)			750		749,992
Series 2015-2A, Class B, 3.14%, 10/28/27 (a)(b)			3,250		3,267,702
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-OP1, Class A2, 1.31%, 12/25/33 (b)			581		492,222
Series 2006-CW1, Class A2C, 0.73%, 7/25/36 (b)			822		571,530
Series 2007-HE4, Class A2A, 0.89%, 5/25/37 (b)			3,112		997,739
Adagio IV CLO Ltd., Series IV-X, Class F, 6.65%, 10/15/29 (b)	EUR		400		364,724
Adagio V CLO DAC, Series V-X, Class E, 6.70%, 10/15/29 (b)			340		349,849
Adirondack Park CLO Ltd., Series 2013-1A, Class B, 2.88%, 4/15/24 (a)(b)	USD		330		330,281
Ajax Mortgage Loan Trust:
Series 2016-1, Class A, 4.25%, 7/25/47 (a)(c)			2,665		2,638,626
Series 2016-B, Class A, 4.00%, 9/25/65 (a)(c)			3,440		3,432,831
Series 2016-C, Class A, 4.00%, 10/25/57 (a)(c)			2,368		2,373,031
ALM V Ltd., Series 2012-5A, Class A2R, 3.03%, 10/18/27 (a)(b)			1,600		1,592,598
ALM XII Ltd., Series 2015-12A, Class B, 4.13%, 4/16/27 (a)(b)			1,505		1,513,175
ALM XIV Ltd.:
Series 2014-14A, Class A1, 2.32%, 7/28/26 (a)(b)			10,785		10,795,167
Series 2014-14A, Class B, 3.84%, 7/28/26 (a)(b)			1,236		1,225,316
ALME Loan Funding V BV, Series 5X, Class E, 6.00%, 7/15/29 (b)	EUR		1,080		1,085,025


Asset-Backed Securities		Par (000)		Value
American Homes 4 Rent, Series 2014-SFR1, Class A, 1.55%, 6/17/31 (a)(b)	USD		1,998	$	1,991,362
AMMC CLO 17 Ltd., Series 2015-17A, Class B, 3.20%, 11/15/27 (a)(b)			1,180		1,181,307
AMMC CLO 18 Ltd., Series 2016-18A, Class AL1, 2.51%, 5/26/28 (a)(b)			5,320		5,339,950
AMMC CLO 19 Ltd., Series 2016-19A, Class C, 3.68%, 10/15/28 (a)(b)			720		720,000
AMMC CLO IX Ltd.:
Series 2011-9A, Class B1R, 3.38%, 1/15/22 (a)(b)			8,590		8,602,026
Series 2011-9A, Class CR, 4.48%, 1/15/22 (a)(b)			2,490		2,491,295
AMMC CLO XII Ltd., Series 2013-12A, Class B, 2.78%, 5/10/25 (a)(b)			1,612		1,614,588
Anchorage Capital CLO 3 Ltd.:
Series 2014-3A, Class A2AR, 2.91%, 4/28/26 (a)(b)			1,620		1,619,838
Series 2014-3A, Class BR, 3.51%, 4/28/26 (a)(b)			500		498,661
Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class A1, 2.42%, 4/15/27 (a)(b)			2,020		2,020,606
Anchorage Capital CLO Ltd.:
Series 2013-1A, Class A1, 2.07%, 7/13/25 (a)(b)			2,005		1,999,185
Series 2013-1A, Class A2A, 2.63%, 7/13/25 (a)(b)			1,050		1,040,375
Series 2013-1A, Class B, 3.58%, 7/13/25 (a)(b)			1,410		1,406,952
Apidos CLO IX, Series 2012-9AR, Class BR, 2.73%, 7/15/23 (a)(b)			3,035		3,025,055
Apidos CLO XII, Series 2013-12A, Class A, 1.98%, 4/15/25 (a)(b)			18,861		18,825,164
Apidos CLO XV, Series 2013-15A, Class A1, 2.23%, 10/20/25 (a)(b)			1,080		1,078,734
Apidos CLO XVI, Series 2013-16A, Class A1, 2.33%, 1/19/25 (a)(b)			2,965		2,966,686
Apidos CLO XVIII, Series 2014-18A, Class A1, 2.29%, 7/22/26 (a)(b)			880		878,058


Asset-Backed Securities		Par (000)		Value
Apidos CLO XX, Series 2015-20A, Class A1R, 2.24%, 1/16/27 (a)(b)	USD		1,750	$	1,750,000
Arbor Realty CLO Ltd., Series 2015-FL2A, Class A, 2.45%, 9/15/25 (a)(b)			2,220		2,222,775
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, 2.24%, 9/15/26 (a)(b)			3,940		3,940,000
Arbour CLO IV DAC:
Series 4X, Class E, 5.60%, 1/15/30 (b)	EUR		550		536,669
Series 4X, Class F, 8.15%, 1/15/30 (b)			450		434,388
Arbour CLO Ltd.:
Series 2014-1X, Class E, 5.00%, 6/16/27 (b)			338		336,228
Series 2014-1X, Class F, 5.75%, 7/15/27 (b)			336		297,254
ARES CLO Ltd.:
Series 2012-2A, Class AR, 2.16%, 10/12/23 (a)(b)	USD		1,090		1,090,054
Series 2012-2A, Class CR, 3.57%, 10/12/23 (a)(b)			300		299,343
ARES IIIR/IVR CLO Ltd., Series 2007-3RA, Class A2, 1.10%, 4/16/21 (a)(b)			1,771		1,770,044
ARES XXV CLO Ltd.:
Series 2012-3A, Class BR, 2.63%, 1/17/24 (a)(b)			7,230		7,230,000
Series 2012-3A, Class CR, 3.38%, 1/17/24 (a)(b)			2,110		2,110,000
ARES XXXIII CLO Ltd.:
Series 2015-1A, Class A2R, 2.91%, 12/05/25 (a)(b)			1,420		1,420,000
Series 2015-1A, Class B2R, 3.76%, 12/05/25 (a)(b)			500		500,000
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, 1.00%, 5/25/35 (b)			5,575		4,383,219
Arianna SPV Srl, Series 1, Class A, 3.60%, 10/20/30	EUR		551		585,197
Atlas Senior Loan Fund IV Ltd., Series 2013-2A, Class A1L, 2.41%, 2/17/26 (a)(b)	USD		7,030		7,031,406
Atlas Senior Loan Fund Ltd., Series 2012-1A, Class A3LR, 3.41%, 8/15/24 (a)(b)			1,010		1,006,796
Atlas Senior Loan Fund V Ltd.:
Series 2014-1A, Class AR, 2.30%, 7/16/26 (a)(b)			1,630		1,630,000
Series 2014-1A, Class BR, 2.87%, 7/16/26 (a)(b)			2,370		2,370,000
Atrium XII, Series 12A, Class C, 3.93%, 10/22/26 (a)(b)			881		883,662
Avoca CLO XIII Ltd., Series 13X, Class E, 5.20%, 12/29/27 (b)	EUR		430		426,478
Avoca CLO XIV Ltd.:
Series 14X, Class E, 4.75%, 7/12/28 (b)			490		469,585
Series 14X, Class F, 5.75%, 7/12/28 (b)			900		776,858
Series 14X, Class SUB, 0.00%, 7/12/28			1,290		1,242,774
Avoca CLO XV Ltd.:
Series 15X, Class E, 5.00%, 1/15/29 (b)			970		932,139
Series 15X, Class F, 6.75%, 1/15/29 (b)			585		505,096
Series 15X, Class M1, 0.00%, 1/15/29 (b)			1,100		1,060,805
Avoca CLO XVII DAC, Series 17X, Class E, 5.95%, 1/15/30 (b)			546		534,517
B2R Mortgage Trust:
Series 2015-1, Class A1, 2.52%, 5/15/48 (a)	USD		929		919,862
Series 2015-2, Class A, 3.34%, 11/15/48 (a)			1,203		1,214,447
Babson CLO Ltd.:
Series 2012-1A, Class A2, 2.88%, 4/15/22 (a)(b)			680		680,041


Asset-Backed Securities		Par (000)		Value
Series 2012-1A, Class B, 3.38%, 4/15/22 (a)(b)	USD		610	$	610,000
Series 2012-2A, Class A1R, 2.15%, 5/15/23 (a)(b)			596		596,482
Series 2013-IA, Class A, 1.98%, 4/20/25 (a)(b)			4,560		4,557,140
BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1, 7.93%, 12/10/25 (b)			2,790		2,528,513
Battalion CLO IV Ltd., Series 2013-4A, Class A1, 2.28%, 10/22/25 (a)(b)			4,715		4,721,130
Bayview Financial Revolving Asset Trust:
Series 2004-B, Class A1, 1.76%, 5/28/39 (a)(b)			8,287		5,860,696
Series 2005-E, Class A1, 1.60%, 12/28/40 (a)(b)			1,796		1,487,588
Bayview Opportunity Master Fund IIa Trust, Series 2016-RPL3, Class A1, 3.47%, 7/28/31 (a)(c)			5,282		5,251,252
Bayview Opportunity Master Fund IIIa Trust, Series 2016-RN3, Class A1, 3.60%, 9/29/31 (a)(c)			15,123		15,066,264
Bayview Opportunity Master Fund IIIB RPL Trust, Series 2015-3, Class A1, 3.62%, 4/28/30 (a)(c)			592		593,645
BCMSC Trust:
Series 2000-A, Class A2, 7.58%, 6/15/30 (b)			1,678		779,092
Series 2000-A, Class A3, 7.83%, 6/15/30 (b)			1,557		747,336
Series 2000-A, Class A4, 8.29%, 6/15/30 (b)			2,667		1,354,696
Bear Stearns Asset-Backed Securities I Trust:
Series 2006-HE7, Class 1A2, 0.93%, 9/25/36 (b)			5,071		5,044,680
Series 2006-HE9, Class 2A, 0.90%, 11/25/36 (b)			4,545		3,914,279
Series 2007-AQ2, Class A2, 0.93%, 1/25/37 (b)			1,638		1,533,667
Series 2007-FS1, Class 1A3, 0.93%, 5/25/35 (b)			1,230		1,055,033
Series 2007-HE1, Class 21A2, 0.92%, 1/25/37 (b)			1,029		953,672
Series 2007-HE2, Class 22A, 0.90%, 3/25/37 (b)			1,309		1,046,206
Series 2007-HE2, Class 23A, 0.90%, 3/25/37 (b)			2,580		1,993,035
Series 2007-HE3, Class 1A4, 1.11%, 4/25/37 (b)			6,577		4,025,958
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, 1.78%, 1/25/36 (b)			669		637,597
Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M1, 1.96%, 12/25/36 (a)(b)			1,200		1,141,255
Benefit Street Partners CLO II Ltd., Series 2013-IIA, Class A1, 2.08%, 7/15/24 (a)(b)			2,090		2,087,626
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1R, 2.23%, 1/20/29 (a)(b)			4,020		4,020,000
Benefit Street Partners CLO Ltd., Series 2012-IA, Class A2R, 3.13%, 10/15/25 (a)(b)			7,450		7,499,170
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A2, 3.13%, 1/20/28 (a)(b)			3,990		4,008,314
Betony CLO Ltd., Series 2015-1A, Class CR, 3.76%, 4/15/27 (a)(b)			1,230		1,230,000
BlueMountain CLO II Ltd., Series 2006-2A, Class B, 1.37%, 7/15/18 (a)(b)			680		668,372


Asset-Backed Securities		Par (000)		Value
BlueMountain CLO Ltd.:
Series 2012-1A, Class B, 3.43%, 7/20/23 (a)(b)	USD		580	$	580,000
Series 2012-1A, Class C, 4.13%, 7/20/23 (a)(b)			350		350,350
Series 2013-2A, Class A, 2.08%, 1/22/25 (a)(b)			850		849,900
Series 2013-3A, Class A, 2.29%, 10/29/25 (a)(b)			2,480		2,482,211
Series 2013-4A, Class A, 2.38%, 4/15/25 (a)(b)			7,590		7,590,000
Series 2014-1A, Class A, 2.41%, 4/30/26 (a)(b)			2,400		2,404,453
Series 2014-2A, Class A, 2.34%, 7/20/26 (a)(b)			670		670,454
Series 2014-4A, Class A1R, 2.23%, 11/30/26 (a)(b)			3,020		3,020,000
Series 2015-3A, Class A1, 2.36%, 10/20/27 (a)(b)			2,000		2,008,200
BlueMountain EUR CLO DAC, Series 2016-1X, Class E, 6.60%, 4/25/30 (b)	EUR		1,200		1,236,026
Cadogan Square CLO VII BV, Series 7X, Class E, 6.00%, 5/25/29 (b)			1,000		1,002,337
Cairn CLO VI BV, Series 2016-6X, Class E, 6.25%, 7/25/29 (b)			600		606,329
Canyon Capital CLO Ltd., Series 2006-1A, Class A1, 1.21%, 12/15/20 (a)(b)	USD		1,208		1,196,099
Carlyle Global Market Strategies CLO Ltd.:
Series 2012-2A, Class B1R, 2.98%, 7/20/23 (a)(b)			2,880		2,879,957
Series 2012-4AR, Class AR, 2.33%, 1/20/29 (a)(b)			6,630		6,630,000
Series 2013-3A, Class B, 3.53%, 7/15/25 (a)(b)			730		728,504
Series 2013-4A, Class A1, 2.35%, 10/15/25 (a)(b)			1,630		1,629,936
Series 2014-1A, Class CR, 3.88%, 4/17/25 (a)(b)			1,740		1,740,000
Carlyle Global Market Strategies Euro CLO:
Series 2015-2X, Class D, 5.50%, 9/21/29 (b)	EUR		600		590,981
Series 2015-2X, Class E, 6.50%, 9/21/29 (b)			370		347,095
Series 2015-3X, Class D, 5.55%, 1/15/29 (b)			1,800		1,772,185
Carrington Mortgage Loan Trust:
Series 2006-FRE2, Class A2, 0.88%, 10/25/36 (b)	USD		1,218		745,592
Series 2006-FRE2, Class A3, 0.92%, 10/25/36 (b)			4,052		2,493,368
Series 2006-FRE2, Class A5, 0.84%, 10/25/36 (b)			1,028		626,516
Series 2006-NC2, Class A3, 0.91%, 6/25/36 (b)			6,107		5,619,212
Series 2006-NC3, Class A4, 1.00%, 8/25/36 (b)			2,003		1,196,806
Series 2006-NC4, Class A3, 0.92%, 10/25/36 (b)			1,180		847,997
Series 2006-NC5, Class A3, 0.91%, 1/25/37 (b)			7,250		4,370,794
Series 2006-NC5, Class A5, 0.82%, 1/25/37 (b)			506		403,856
Series 2007-FRE1, Class A2, 0.96%, 2/25/37 (b)			2,960		2,845,925
Series 2007-HE1, Class A2, 0.91%, 6/25/37 (b)			1,302		1,205,980
Series 2007-RFC1, Class A4, 0.98%, 12/25/36 (b)			1,440		834,728
Catamaran CLO Ltd., Series 2012-1A, Class BR, 2.87%, 12/20/23 (a)(b)			2,830		2,830,000


Asset-Backed Securities		Par (000)		Value
C-BASS Trust:
Series 2006-CB7, Class A4, 0.92%, 10/25/36 (b)	USD		803	$	539,312
Series 2006-CB9, Class A2, 0.87%, 11/25/36 (b)			1,328		762,034
Series 2006-CB9, Class A4, 0.99%, 11/25/36 (b)			224		130,850
Series 2007-CB1, Class AF2, 3.87%, 1/25/37 (c)			6,525		2,762,782
Series 2007-CB5, Class A2, 0.75%, 4/25/37 (b)			1,237		906,556
Cedar Funding IV CLO Ltd., Series 2014-4A, Class A1, 2.38%, 10/23/26 (a)(b)			1,200		1,200,340
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1, 2.24%, 7/17/28 (a)(b)			1,880		1,887,050
CHLUPA Trust, Series 2013-VM, Class A, 3.33%, 8/15/20 (a)			633		632,664
CIFC Funding Ltd.:
Series 2012-1A, Class A1R2, 2.18%, 8/14/24 (a)(b)			722		720,313
Series 2012-1A, Class A3R, 3.97%, 8/14/24 (a)(b)			450		450,102
Series 2012-2A, Class A1R, 2.29%, 12/05/24 (a)(b)			4,000		3,999,594
Series 2012-3A, Class A3R, 3.58%, 1/29/25 (a)(b)			1,340		1,340,000
Series 2013-1A, Class A2, 2.78%, 4/16/25 (a)(b)			4,440		4,420,413
Series 2013-4A, Class B1, 2.79%, 11/27/24 (a)(b)			4,270		4,252,108
Series 2014-1A, Class A, 2.38%, 4/18/25 (a)(b)			1,720		1,719,484
Series 2014-2A, Class A1L, 2.41%, 5/24/26 (a)(b)			8,484		8,501,814
Series 2014-3A, Class B1, 2.88%, 7/22/26 (a)(b)			710		711,374
Series 2014-3A, Class C1, 3.68%, 7/22/26 (a)(b)			1,120		1,117,066
Series 2014-4A, Class A1R, 2.38%, 10/17/26 (a)(b)			6,270		6,270,000
Series 2014-5A, Class A1R, 2.26%, 1/17/27 (a)(b)			15,535		15,535,000
Series 2014-5A, Class CR, 3.56%, 1/17/27 (a)(b)			710		710,000
Series 2015-1A, Class A1R, 2.09%, 1/22/27 (a)(b)			1,520		1,516,656
Series 2015-3A, Class A, 2.30%, 10/19/27 (a)(b)			3,160		3,160,000
Citigroup Mortgage Loan Trust, Series 2006-NC1, Class A2D, 0.84%, 8/25/36 (b)			3,550		2,756,238
Colombo Srl, Series 1, Class B, 0.25%, 8/28/26 (b)	EUR		2		2,257
Colony American Homes, Series 2015-1A, Class A, 1.94%, 7/17/32 (a)(b)	USD		8,428		8,437,650
Conseco Finance Securitizations Corp.:
Series 2000-4, Class A5, 7.97%, 3/01/25			5,617		3,187,871
Series 2000-4, Class A6, 8.31%, 5/01/32 (b)			1,410		832,561
Series 2000-5, Class A6, 7.96%, 5/01/31			2,484		1,787,148
Series 2000-5, Class A7, 8.20%, 5/01/31			4,532		3,340,016
Conseco Financial Corp.:
Series 1997-3, Class M1, 7.53%, 3/15/28 (b)			2,216		2,193,064
Series 1997-6, Class M1, 7.21%, 1/15/29 (b)			487		485,649
Series 1998-8, Class A1, 6.28%, 9/01/30			1,521		1,599,538


Asset-Backed Securities		Par (000)		Value
Series 1999-5, Class A5, 7.86%, 3/01/30 (b)	USD		1,757	$	1,477,347
Series 1999-5, Class A6, 7.50%, 3/01/30 (b)			1,285		1,048,731
Countrywide Asset-Backed Certificates:
Series 2003-BC3, Class A2, 1.38%, 9/25/33 (b)			672		633,574
Series 2004-5, Class A, 1.48%, 10/25/34 (b)			752		721,552
Series 2006-17, Class 2A2, 0.91%, 3/25/47 (b)			405		377,676
Series 2006-8, Class 2A3, 0.92%, 1/25/46 (b)			1,151		1,089,049
Series 2006-S10, Class A3, 1.08%, 10/25/36 (b)			11,544		9,955,198
Series 2006-S3, Class A4, 6.40%, 1/25/29 (c)			882		874,908
Series 2006-SPS1, Class A, 0.98%, 12/25/25 (b)			342		345,590
Series 2007-S3, Class A3, 1.14%, 5/25/37 (b)			3,578		2,874,181
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 9/25/31 (b)			1,750		1,923,565
Credit-Based Asset Servicing & Securitization LLC:
Series 2006-CB2, Class AF4, 3.49%, 12/25/36 (c)			643		477,663
Series 2006-SL1, Class A2, 6.06%, 9/25/36 (a)(c)			3,492		843,593
Series 2007-CB6, Class A4, 1.10%, 7/25/37 (a)(b)			879		551,528
Series 2007-RP1, Class A, 1.07%, 5/25/46 (a)(b)			794		648,872
CVC Cordatus Loan Fund VII DAC, Series 7X, Class E, 7.00%, 8/15/29 (b)	EUR		560		582,235
CWABS Asset-Backed Certificates Trust, Series 2006-11, Class 3AV2, 0.74%, 9/25/46 (b)	USD		430		401,585
CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, 0.97%, 3/15/34 (b)			1,806		1,434,727
CWHEQ Home Equity Loan Trust:
Series 2006-S5, Class A4, 5.84%, 6/25/35			1,127		1,129,104
Series 2006-S5, Class A5, 6.16%, 6/25/35			712		666,297
Series 2007-S1, Class A3, 5.81%, 11/25/36 (b)			2,157		2,139,525
CWHEQ Revolving Home Equity Loan Resuritization Trust:
Series 2006-RES, Class 4Q1B, 1.00%, 12/15/33 (a)(b)			1,597		1,374,158
Series 2006-RES, Class 5B1B, 0.89%, 5/15/35 (a)(b)			575		480,284
CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A, 0.88%, 5/15/35 (b)			1,390		1,196,332
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (a)			8,002		7,970,341
Dryden 46 Euro CLO BV, Series 2016-46X, Class E, 5.75%, 1/15/30 (b)	EUR		364		359,218
Dryden XXV Senior Loan Fund:
Series 2012-25A, Class AR, 2.05%, 1/15/25 (a)(b)	USD		9,270		9,270,000
Series 2012-25A, Class CR, 3.25%, 1/15/25 (a)(b)			670		670,000
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1L, 2.01%, 8/15/25 (a)(b)			2,090		2,081,817


Asset-Backed Securities		Par (000)		Value
Eastland CLO Ltd., Series 2007-1A, Class A2A, 1.12%, 5/01/22 (a)(b)	USD		1,762	$	1,756,839
ECP CLO Ltd., Series 2012-4A, Class A1, 2.34%, 6/19/24 (a)(b)			2,621		2,621,562
Euro-Galaxy IV CLO BV:
Series 2015-4X, Class D, 3.35%, 7/30/28 (b)	EUR		270		281,374
Series 2015-4X, Class E, 4.50%, 7/30/28 (b)			365		345,797
Series 2015-4X, Class F, 6.25%, 7/30/28 (b)			380		328,240
Euro-Galaxy V CLO BV, Series 2016-5X, Class E, 6.30%, 11/10/30 (b)			400		406,535
Fannie Mae REMIC Trust, Series 2003-W5, Class A, 0.80%, 4/25/33 (b)	USD		3		3,251
Finn Square CLO Ltd.:
Series 2012-1A, Class A1R, 2.21%, 12/24/23 (a)(b)			1,055		1,053,570
Series 2012-1A, Class A2R, 2.70%, 12/24/23 (a)(b)			880		878,557
First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 2A3, 0.92%, 4/25/36 (b)			1,460		1,277,706
Flatiron CLO Ltd., Series 2011-1A, Class A, 2.43%, 1/15/23 (a)(b)			1,583		1,583,400
Fraser Sullivan CLO VII Ltd.:
Series 2012-7A, Class A1R, 1.96%, 4/20/23 (a)(b)			3,427		3,426,961
Series 2012-7A, Class A2R, 2.68%, 4/20/23 (a)(b)			3,500		3,499,733
Series 2012-7A, Class BR, 3.38%, 4/20/23 (a)(b)			2,870		2,869,902
Galaxy XV CLO Ltd., Series 2013-15A, Class A, 2.13%, 4/15/25 (a)(b)			1,350		1,347,975
GE-WMC Asset-Backed Pass-Through Certificates, Series 2005-2, Class A2C, 1.01%, 12/25/35 (b)			757		720,347
GMACM Home Equity Loan Trust, Series 2006-HE4, Class A2, 0.77%, 12/25/36 (b)			219		203,211
GoldenTree Loan Opportunities IV Ltd., Series 2007-4A, Class B, 1.63%, 8/18/22 (a)(b)			1,630		1,607,995
Greenpoint Manufactured Housing:
Series 1999-5, Class M1B, 8.29%, 12/15/29 (b)			870		943,146
Series 1999-5, Class M2, 9.23%, 12/15/29 (b)			1,394		1,236,769
GSAA Home Equity Trust, Series 2006-5, Class 2A1, 0.83%, 3/25/36 (b)			21		12,232
GSAA Trust, Series 2007-2, Class AF3, 5.92%, 3/25/37 (b)			602		265,295
GSAMP Trust:
Series 2006-FM2, Class A2B, 0.88%, 9/25/36 (b)			3,036		1,364,992
Series 2007-H1, Class A1B, 0.96%, 1/25/47 (b)			1,222		808,091
GT Loan Financing I Ltd., Series 2013-1A, Class A, 2.16%, 10/28/24 (a)(b)			5,105		5,103,997
Harvest CLO:
Series 11X, Class E, 5.34%, 3/26/29 (b)	EUR		970		946,944
Series 11X, Class SUB, 0.00%, 3/26/29 (b)			4,040		3,937,727
Harvest CLO XVI DAC, Series 16X, Class E, 6.40%, 10/15/29 (b)			480		486,831
Highbridge Loan Management Ltd.:
Series 2012-1AR, Class A2R, 3.25%, 9/20/22 (a)(b)	USD		3,010		3,013,954
Series 6A-2015, Class A, 2.33%, 5/05/27 (a)(b)			6,750		6,735,334


Asset-Backed Securities		Par (000)		Value
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, 2.78%, 7/25/34 (b)	USD		825	$	777,972
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 7/25/36 (c)			3,237		1,374,377
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, 1.06%, 4/15/36 (b)			1,748		1,580,378
Invitation Homes Trust:
Series 2013-SFR1, Class A, 1.58%, 12/17/30 (a)(b)			2,677		2,677,436
Series 2014-SFR1, Class A, 1.74%, 6/17/31 (a)(b)			2,322		2,314,013
Series 2014-SFR2, Class A, 1.84%, 9/17/31 (a)(b)			3,001		2,996,862
Series 2014-SFR2, Class C, 2.94%, 9/17/31 (a)(b)			1,650		1,654,850
Series 2014-SFR2, Class E, 4.15%, 9/17/31 (a)(b)			1,460		1,464,632
Series 2014-SFR3, Class A, 1.94%, 12/17/31 (a)(b)			1,775		1,775,495
Series 2014-SFR3, Class D, 3.74%, 12/17/31 (a)(b)			1,170		1,169,997
Series 2015-SFR3, Class A, 2.04%, 8/17/32 (a)(b)			9,329		9,352,459
Series 2015-SFR3, Class E, 4.49%, 8/17/17 (a)(b)			1,582		1,588,586
Irwin Home Equity Loan Trust, Series 2006-2, Class 2A2, 6.24%, 2/25/36 (a)(c)			673		689,566
JPMorgan Mortgage Acquisition Trust:
Series 2006-CW1, Class M1, 1.03%, 5/25/36 (b)			1,170		950,349
Series 2006-WF1, Class A3A, 5.83%, 7/25/36 (c)			866		473,572
Series 2006-WF1, Class A5, 6.41%, 7/25/36 (c)			1,182		645,188
Series 2006-WF1, Class A6, 6.00%, 7/25/36 (c)			868		474,293
Jubilee CDO BV, Series VIII-X, Class Sub, 4.81%, 1/15/24 (b)	EUR		880		655,845
KKR Financial CLO Ltd., Series 2013-1A, Class A1, 2.03%, 7/15/25 (a)(b)	USD		4,515		4,501,674
LCM XI LP, Series 11A, Class B, 3.03%, 4/19/22 (a)(b)			2,270		2,269,920
LCM XIV LP, Series 14A, Class A, 2.03%, 7/15/25 (a)(b)			320		319,731
LCM XV LP, Series 15A, Class C, 4.03%, 8/25/24 (a)(b)			1,070		1,069,922
LCM XVIII LP:
Series 18A, Class B1, 3.18%, 4/20/27 (a)(b)			2,400		2,400,208
Series 18A, Class C1, 4.03%, 4/20/27 (a)(b)			500		500,041
Lehman ABS Manufactured Housing Contract Trust:
Series 2001-B, Class M1, 6.63%, 4/15/40 (b)			4,790		5,152,712
Series 2001-B, Class M2, 7.17%, 4/15/40 (b)			764		570,279
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, 0.85%, 6/25/37 (a)(b)			592		362,999
Lime Street CLO Ltd., Series 2007-1A, Class B, 1.55%, 6/20/21 (a)(b)			900		876,564
Litigation Fee Residual Funding LLC, Series 2015-1, Class A, 4.00%, 10/01/27 (a)			5,834		5,873,958
Long Beach Mortgage Loan Trust:
Series 2006-1, Class 1A, 0.98%, 2/25/36 (b)			4,413		3,854,996


Asset-Backed Securities		Par (000)		Value
Series 2006-2, Class 2A3, 0.95%, 3/25/46 (b)	USD		9,140	$	4,146,373
Series 2006-2, Class 2A4, 1.05%, 3/25/46 (b)			2,090		964,311
Series 2006-3, Class 2A3, 0.94%, 5/25/46 (b)			6,164		2,600,799
Series 2006-3, Class 2A4, 1.03%, 5/25/46 (b)			1,212		521,095
Series 2006-4, Class 2A4, 1.02%, 5/25/36 (b)			2,257		1,096,308
Series 2006-9, Class 2A3, 0.92%, 10/25/36 (b)			4,223		1,776,770
Series 2006-9, Class 2A4, 0.99%, 10/25/36 (b)			1,888		801,455
Series 2006-10, Class 2A3, 0.92%, 11/25/36 (b)			4,416		1,981,405
Series 2006-10, Class 2A4, 0.98%, 11/25/36 (b)			2,623		1,187,634
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, 4.01%, 3/25/32 (b)			1,510		1,528,502
Madison Park Funding Ltd.:
Series 2012-9A, Class AR, 2.20%, 8/15/22 (a)(b)			2,078		2,079,570
Series 2012-9A, Class B1R, 2.78%, 8/15/22 (a)(b)			3,000		3,005,901
Series 2012-9A, Class C1R, 3.76%, 8/15/22 (a)(b)			580		580,025
Madison Park Funding VIII Ltd.:
Series 2012-8A, Class BR, 3.08%, 4/22/22 (a)(b)			250		250,002
Series 2012-8A, Class CR, 3.68%, 4/22/22 (a)(b)			280		280,022
Madison Park Funding XI Ltd., Series 2013-11A, Class A1B, 2.33%, 10/23/25 (a)(b)			1,518		1,517,903
MASTR Asset-Backed Securities Trust:
Series 2006-AM2, Class A4, 1.02%, 6/25/36 (a)(b)			2,059		1,353,433
Series 2007-HE1, Class A4, 1.04%, 5/25/37 (b)			1,318		790,326
MASTR Specialized Loan Trust, Series 2006-3, Class A, 1.02%, 6/25/46 (a)(b)			750		654,816
Merrill Lynch Mortgage Investors Trust, Series 2006-RM3, Class A2B, 0.85%, 6/25/37 (b)			1,040		309,787
Morgan Stanley ABS Capital I, Inc., Trust, Series 2005-HE1, Class A2MZ, 1.36%, 12/25/34 (b)			820		756,804
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A2, 0.87%, 11/25/36 (b)			1,303		587,434
Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, 3.06%, 1/20/24 (a)(b)			3,020		3,017,584
MSCC Heloc Trust, Series 2007-1, Class A, 0.71%, 12/25/31 (b)			64		63,420
Muir Woods CLO Ltd.:
Series 2012-1A, Class B, 3.56%, 9/14/23 (a)(b)			1,540		1,540,643
Series 2012-1A, Class C, 4.71%, 9/14/23 (a)(b)			500		500,655
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3, 0.94%, 6/25/37 (b)			450		424,346
Navient Private Education Loan Trust:
Series 2014-AA, Class B, 3.50%, 8/15/44 (a)			6,000		5,495,846
Series 2014-CTA, Class B, 2.45%, 10/17/44 (a)(b)			8,550		8,115,540
Series 2015-AA, Class A2A, 2.65%, 12/15/28 (a)			20,826		20,817,574


Asset-Backed Securities		Par (000)		Value
Series 2015-AA, Class A2B, 1.90%, 12/15/28 (a)(b)	USD		2,070	$	2,089,740
Series 2015-AA, Class A3, 2.40%, 11/15/30 (a)(b)			7,821		8,031,095
Series 2016-AA, Class A2B, 2.85%, 12/15/45 (a)(b)			4,260		4,462,472
Series 2016-AA, Class B, 3.50%, 12/16/58 (a)(b)			2,040		1,824,004
Neuberger Berman CLO XIII Ltd.:
Series 2012-13A, Class B, 3.18%, 1/23/24 (a)(b)			9,375		9,374,356
Series 2012-13A, Class C, 3.73%, 1/23/24 (a)(b)			1,500		1,511,700
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class B2R, 3.05%, 4/15/26 (a)(b)			1,875		1,875,000
NextGear Floorplan Master Owner Trust, Series 2015-1A, Class B, 2.45%, 7/15/19 (a)(b)			1,150		1,150,503
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, 1.16%, 10/25/36 (a)(b)			518		471,673
North Westerly CLO BV, Series IV-X, Class A-1, 1.40%, 1/15/26 (b)	EUR		2,500		2,637,215
Northwoods Capital IX Ltd., Series 2012-9A, Class A, 2.30%, 1/18/24 (a)(b)	USD		4,550		4,554,969
Oak Hill European Credit Partners IV Designated Activity Co.:
Series 2015-4X, Class E, 5.06%, 1/20/30 (b)	EUR		1,540		1,491,400
Series 2015-4X, Class F, 7.06%, 1/20/30 (b)			670		597,723
Oaktree EIF II Ltd., Series 2014-A2, Class B, 3.21%, 11/15/25 (a)(b)	USD		1,640		1,639,893
Oakwood Mortgage Investors, Inc.:
Series 2001-D, Class A2, 5.26%, 1/15/19 (b)			1,002		788,866
Series 2001-D, Class A4, 6.93%, 9/15/31 (b)			637		561,758
OCP CLO Ltd.:
Series 2013-3A, Class B, 3.63%, 1/17/25 (a)(b)			1,000		1,000,001
Series 2014-5A, Class A1, 1.88%, 4/26/26 (a)(b)			330		326,816
Series 2015-8A, Class A1, 2.41%, 4/17/27 (a)(b)			5,530		5,527,761
Series 2016-12A, Class A1, 2.46%, 10/18/28 (a)(b)			1,350		1,348,650
Octagon Investment Partners XIX Ltd., Series 2014-1A, Class A, 2.40%, 4/15/26 (a)(b)			1,500		1,499,934
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A, 2.00%, 7/17/25 (a)(b)			5,195		5,169,545
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A2R, 2.61%, 10/25/25 (a)(b)			7,240		7,249,050
OHA Credit Partners IX Ltd., Series 2013-9A, Class A1, 2.28%, 10/20/25 (a)(b)			540		539,592
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 2.00%, 4/20/25 (a)(b)			4,130		4,117,105
OHA Loan Funding Ltd., Series 2013-2A, Class A, 2.19%, 8/23/24 (a)(b)			5,315		5,308,973
OneMain Financial Issuance Trust:
Series 2014-1A, Class A, 2.43%, 6/18/24 (a)			1,430		1,429,922
Series 2014-1A, Class B, 3.24%, 6/18/24 (a)			2,820		2,831,378
Series 2014-2A, Class B, 3.02%, 9/18/24 (a)			2,805		2,803,866


Asset-Backed Securities		Par (000)		Value
Series 2014-2A, Class D, 5.31%, 9/18/24 (a)	USD		1,885	$	1,893,059
Series 2015-1A, Class C, 5.12%, 3/18/26 (a)			1,536		1,546,971
Series 2015-2A, Class C, 4.32%, 7/18/25 (a)			4,830		4,763,578
Option One Mortgage Acceptance Corp. Asset-Backed Certificates, Series 2003-4, Class A2, 1.40%, 7/25/33 (b)			1,130		1,052,025
Origen Manufactured Housing Contract Trust, Series 2001-A, Class M1, 7.82%, 3/15/32 (b)			1,610		1,596,699
OZLM Funding II Ltd., Series 2012-2A, Class A1R, 2.00%, 10/30/27 (a)(b)			19,348		19,348,000
OZLM Funding IV Ltd., Series 2013-4A, Class A1, 2.03%, 7/22/25 (a)(b)			9,995		9,980,007
OZLM VI Ltd., Series 2014-6A, Class B, 3.78%, 4/17/26 (a)(b)			2,360		2,353,838
OZLM VII Ltd.:
Series 2014-7A, Class A1A, 2.30%, 7/17/26 (a)(b)			4,740		4,737,137
Series 2014-7A, Class A1B, 2.37%, 7/17/26 (a)(b)			250		250,125
Series 2014-7A, Class A2A, 2.93%, 7/17/26 (a)(b)			2,450		2,449,398
OZLM XI Ltd., Series 2015-11A, Class A1A, 2.44%, 1/30/27 (a)(b)			9,258		9,257,538
OZLM XII Ltd., Series 2015-12A, Class A1, 2.34%, 4/30/27 (a)(b)			570		570,358
OZLM XV Ltd.:
Series 2016-15A, Class A1, 2.41%, 1/20/29 (a)(b)			4,740		4,740,000
Series 2016-15A, Class A2A, 2.87%, 1/20/29 (a)(b)			1,940		1,940,000
OZLME BV, Series 1X, Class E, 6.45%, 1/18/30 (b)	EUR		475		467,660
Palmer Square CLO Ltd., Series 2013-2A, Class B, 3.93%, 10/17/25 (a)(b)	USD		890		885,910
Palmer Square Loan Funding Ltd.:
Series 2016-2A, Class A2, 2.98%, 6/21/24 (a)(b)			3,800		3,803,591
Series 2016-2A, Class B, 4.03%, 6/21/24 (a)(b)			3,970		3,973,719
Pretium Mortgage Credit Partners I LLC:
Series 2015-NPL4, Class A1, 4.38%, 11/27/30 (a)(c)			3,741		3,771,531
Series 2016-NPL3, Class A1, 4.38%, 5/27/31 (a)(c)			5,969		6,024,760
Series 2016-NPL6, Class A1, 3.50%, 10/27/31 (a)(c)			4,051		4,033,300
Progress Residential Trust:
Series 2015-SFR2, Class A, 2.74%, 6/12/32 (a)			1,733		1,721,372
Series 2015-SFR3, Class F, 6.64%, 11/12/32 (a)			500		509,403
Series 2016-SFR1, Class A, 2.24%, 9/17/33 (a)(b)			2,764		2,787,607
Series 2016-SFR1, Class E, 4.59%, 9/17/33 (a)(b)			2,940		2,992,058
Series 2016-SFR2, Class E, 4.09%, 1/17/34 (a)(b)			1,590		1,582,974
Race Point IX CLO Ltd., Series 2015-9A, Class A1, 2.39%, 4/15/27 (a)(b)			1,780		1,782,234
Race Point V CLO Ltd., Series 2011-5A, Class CR, 3.70%, 12/15/22 (a)(b)			1,010		1,009,486
Race Point VII CLO Ltd., Series 2012-7A, Class CR, 2.65%, 11/08/24 (a)(b)			3,180		3,180,000
Race Point VIII CLO Ltd., Series 2013-8A, Class A, 2.16%, 2/20/25 (a)(b)			1,921		1,919,580
Race Point X CLO Ltd., Series 2016-10A, Class A, 2.48%, 7/25/28 (a)(b)			5,550		5,555,716


Asset-Backed Securities		Par (000)		Value
RASC Trust, Series 2003-KS5, Class AIIB, 1.34%, 7/25/33 (b)	USD		404	$	363,832
RCO Mortgage LLC, Series 2015-NQM1, Class A, 4.09%, 11/25/45 (a)(b)			1,221		1,216,334
SACO I Trust, Series 2006-9, Class A1, 1.06%, 8/25/36 (b)			974		1,424,514
Scholar Funding Trust, Series 2011-A, Class A, 1.79%, 10/28/43 (a)(b)			2,278		2,198,701
Shackleton I CLO Ltd., Series 2012-1A, Class B1R, 2.88%, 8/12/23 (a)(b)			750		747,424
Shackleton II CLO Ltd.:
Series 2012-2A, Class B1R, 2.70%, 10/20/23 (a)(b)			1,910		1,910,000
Series 2012-2A, Class CR, 3.50%, 10/20/23 (a)(b)			750		749,955
Sheridan Square CLO Ltd., Series 2013-1A, Class A2, 2.05%, 4/15/25 (a)(b)			6,210		6,193,932
Silvermore CLO Ltd., Series 2014-1A, Class A1, 2.36%, 5/15/26 (a)(b)			3,667		3,641,212
SLC Private Student Loan Trust, Series 2006-A, Class C, 1.33%, 7/15/36 (b)			2,010		1,794,971
SLM Private Credit Student Loan Trust:
Series 2004-A, Class A3, 1.36%, 6/15/33 (b)			3,813		3,676,159
Series 2004-B, Class A2, 1.16%, 6/15/21 (b)			241		240,816
Series 2004-B, Class A3, 1.29%, 3/15/24 (b)			18,525		17,821,232
Series 2006-B, Class A4, 1.14%, 3/15/24 (b)			36		35,869
Series 2006-B, Class A5, 1.23%, 12/15/39 (b)			830		771,607
Series 2006-C, Class A4, 1.13%, 3/15/23 (b)			238		236,686
Series 2007-A, Class A2, 1.08%, 9/15/25 (b)			637		634,740
SLM Private Education Loan Trust:
Series 2011-B, Class A3, 2.95%, 6/16/42 (a)(b)			2,817		2,930,903
Series 2013-A, Class B, 2.50%, 3/15/47 (a)			620		594,553
Series 2013-B, Class B, 3.00%, 5/16/44 (a)			2,095		2,025,630
Series 2013-C, Class A2B, 2.10%, 10/15/31 (a)(b)			500		505,731
SMB Private Education Loan Trust:
Series 2014-A, Class A3, 2.20%, 4/15/32 (a)(b)			2,640		2,691,046
Series 2015-A, Class A2A, 2.49%, 6/15/27 (a)			3,010		2,976,342
Series 2015-B, Class A2B, 1.90%, 7/15/27 (a)(b)			1,680		1,704,887
Series 2015-B, Class A3, 2.45%, 5/17/32 (a)(b)			9,670		10,019,147
Series 2015-B, Class B, 3.50%, 12/17/40 (a)			3,830		3,484,228
Series 2015-C, Class A2B, 2.10%, 7/15/27 (a)(b)			1,030		1,047,883
Series 2015-C, Class A3, 2.65%, 8/16/32 (a)(b)			2,050		2,124,098
Series 2016-A, Class A2A, 2.70%, 5/15/31 (a)			2,975		2,953,605
Series 2016-A, Class A2B, 2.20%, 5/15/31 (a)(b)			5,830		5,981,854
Series 2016-B, Class A2A, 2.43%, 2/17/32 (a)			3,814		3,731,798
Series 2016-B, Class A2B, 2.15%, 2/17/32 (a)(b)			5,130		5,252,699
SoFi Professional Loan Program LLC:
Series 2014-A, Class A1, 2.18%, 6/25/25 (a)(b)			3,137		3,199,004


Asset-Backed Securities		Par (000)		Value
Series 2015-D, Class A2, 2.72%, 10/27/36 (a)	USD		2,591	$	2,595,400
Series 2016-C, Class A2B, 2.36%, 12/27/32 (a)			1,260		1,240,934
Series 2016-D, Class A2B, 2.34%, 4/25/33 (a)			1,120		1,097,103
Sorrento Park CLO Ltd., Series 1X, Class E, 5.95%, 11/16/27 (b)	EUR		340		302,013
Sound Point CLO I Ltd., Series 2012-1A, Class B, 3.58%, 10/20/23 (a)(b)	USD		500		500,075
Sound Point CLO II Ltd., Series 2013-1A, Class A1L, 2.08%, 4/26/25 (a)(b)			500		499,047
Sound Point CLO IV Ltd., Series 2013-3A, Class A, 2.25%, 1/21/26 (a)(b)			2,385		2,379,245
Sound Point CLO Ltd., Series 2014-3A, Class A, 2.38%, 1/23/27 (a)(b)			6,225		6,224,663
Sound Point CLO VI Ltd., Series 2014-2A, Class A1, 2.24%, 10/20/26 (a)(b)			3,560		3,535,204
Sound Point CLO XI Ltd., Series 2016-1A, Class A, 2.53%, 7/20/28 (a)(b)			5,730		5,748,909
Sound Point CLO XII Ltd., Series 2016-2A, Class A, 2.54%, 10/20/28 (a)(b)			3,010		3,015,683
Sound Point Clo XIV Ltd., Series 2016-3A, Class A, 2.41%, 1/23/29 (a)(b)			7,330		7,333,665
Sound Point CLO XIV Ltd., Series 2016-3A, Class C, 3.53%, 1/23/29 (a)(b)			1,000		991,000
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, 1.55%, 1/25/35 (b)			217		205,877
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (a)			10,429		10,481,527
Springleaf Funding Trust:
Series 2014-AA, Class B, 3.45%, 12/15/22 (a)			2,335		2,339,923
Series 2015-AA, Class B, 3.62%, 11/15/24 (a)			3,952		3,953,168
St. Pauls CLO, Series 4X, Class A1, 1.09%, 4/25/28 (b)	EUR		500		526,328
St. Paul’s CLO VI DAC, Series 6X, Class D, 6.50%, 7/22/29 (b)			980		985,179
Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A, 3.36%, 1/25/31 (a)	USD		591		576,224
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, 0.89%, 1/25/35 (b)			979		905,254
Sunset Mortgage Loan Co. LLC, Series 2014-NPL2, Class A, 3.72%, 11/16/44 (a)(c)			794		793,053
SWAY Residential Trust, Series 2014-1, Class A, 2.04%, 1/17/32 (a)(b)			9,783		9,789,090
Symphony CLO VIII LP, Series 2012-8A, Class CR, 3.93%, 1/09/23 (a)(b)			750		748,727
Symphony CLO XI Ltd., Series 2013-11A, Class B1, 3.08%, 1/17/25 (a)(b)			890		890,356
Symphony CLO XII Ltd.:
Series 2013-12A, Class A, 2.18%, 10/15/25 (a)(b)			3,000		2,989,249
Series 2013-12A, Class C, 3.63%, 10/15/25 (a)(b)			3,655		3,655,000
Symphony CLO XV Ltd., Series 2014-15A, Class B1, 3.08%, 10/17/26 (a)(b)			6,230		6,229,728
THL Credit Wind River CLO Ltd., Series 2014-2A, Class A2, 2.33%, 7/15/26 (a)(b)			5,080		5,080,000
TICP CLO I Ltd., Series 2015-1A, Class A, 2.38%, 7/20/27 (a)(b)			1,000		999,946
TICP CLO III Ltd.:
Series 2014-3A, Class A, 2.42%, 1/20/27 (a)(b)			4,474		4,469,137


Asset-Backed Securities		Par (000)		Value
Series 2014-3A, Class B1, 3.23%, 1/20/27 (a)(b)	USD		374	$	373,986
Tikehau CLO BV, Series 2015-1X, Class E, 4.60%, 8/04/28 (b)	EUR		600		572,475
Tricon American Homes Trust, Series 2015-SFR1, Class A, 1.99%, 5/17/32 (a)(b)	USD		1,106		1,100,209
Trimaran CLO VII Ltd., Series 2007-1A, Class A3L, 1.63%, 6/15/21 (a)(b)			540		534,982
U.S. Residential Opportunity Fund II Trust:
Series 2016-1II, Class A, 3.47%, 7/27/36 (a)(c)			1,389		1,378,196
Series 2016-2II, Class A, 3.47%, 8/27/36 (a)(c)			6,919		6,885,893
Series 2016-3II, Class A, 3.60%, 10/27/36 (a)(c)			2,539		2,531,425
U.S. Residential Opportunity Fund III Trust:
Series 2016-1III, Class A, 3.47%, 7/27/36 (a)(c)			7,967		7,933,772
Series 2016-2III, Class A, 3.47%, 8/27/36 (a)(c)			18,438		18,350,614
Series 2016-3III, Class A, 3.60%, 10/27/36 (a)(c)			11,202		11,162,519
U.S. Residential Opportunity Fund IV Trust:
Series 2016-1IV, Class A, 3.47%, 7/27/36 (a)(c)			13,713		13,647,843
Series 2016-2IV, Class A, 3.47%, 8/27/36 (a)(c)			11,468		11,413,643
Series 2016-3IV, Class A, 3.60%, 10/27/36 (a)(c)			5,609		5,585,694
Venture X CLO Ltd., Series 2012-10A, Class BR, 2.86%, 7/20/22 (a)(b)			3,830		3,830,000
Venture XIX CLO Ltd.:
Series 2014-19A, Class AR, 2.33%, 1/15/27 (a)(b)			1,020		1,020,000
Series 2014-19A, Class BR, 2.96%, 1/15/27 (a)(b)			1,800		1,800,000
Venture XVI CLO Ltd., Series 2014-16A, Class A2L, 2.88%, 4/15/26 (a)(b)			1,050		1,043,260
Venture XVII CLO Ltd., Series 2014-17A, Class B1, 2.98%, 7/15/26 (a)(b)			1,220		1,219,984
Venture XVIII CLO Ltd., Series 2014-18A, Class A, 2.33%, 10/15/26 (a)(b)			9,820		9,819,572
Venture XXI CLO Ltd., Series 2015-21A, Class A, 2.37%, 7/15/27 (a)(b)			2,630		2,631,142
Vibrant CLO III Ltd.:
Series 2015-3A, Class A1R, 2.39%, 4/20/26 (a)(b)			1,390		1,390,000
Series 2015-3A, Class A2R, 2.96%, 4/20/26 (a)(b)			710		710,000
Vibrant CLO V Ltd., Series 2016-5A, Class A, 2.55%, 1/20/29 (a)(b)			2,480		2,480,000
VOLT L LLC, Series 2016-NP10, Class A1, 3.50%, 9/25/46 (a)(c)			1,056		1,053,380
VOLT XLV LLC, Series 2016-NPL5, Class A1, 4.00%, 5/25/46 (a)(c)			3,712		3,718,307
VOLT XLVI LLC, Series 2016-NPL6, Class A1, 3.84%, 6/25/46 (a)(c)			16,568		16,591,828
Voya CLO Ltd.:
Series 2012-2A, Class BR, 2.83%, 10/15/22 (a)(b)			2,470		2,470,000
Series 2012-3A, Class AR, 1.85%, 10/15/22 (a)(b)			1,700		1,699,938
Series 2013-3A, Class A1, 2.33%, 1/18/26 (a)(b)			7,925		7,924,675
Series 2013-3A, Class A2, 2.68%, 1/18/26 (a)(b)			3,145		3,144,849
Series 2014-4A, Class A1, 2.38%, 10/14/26 (a)(b)			4,740		4,733,401
Series 2016-3A, Class C, 4.67%, 10/18/27 (a)(b)			460		451,260


Asset-Backed Securities		Par (000)		Value
Voya Investment Management CLO Ltd., Series 2013-2A, Class A1, 2.03%, 4/25/25 (a)(b)	USD		1,815	$	1,813,300
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, 0.89%, 7/25/37 (a)(b)			2,787		2,456,944
Washington Mutual Asset-Backed Certificates, Series 2006-HE4, Class 2A2, 0.94%, 9/25/36 (b)			6,133		2,785,665
Washington Mutual Asset-Backed Certificates Trust, Series 2006-HE5, Class 1A, 0.91%, 10/25/36 (b)			2,620		1,917,829
World Financial Network Credit Card Master Trust:
Series 2012-C, Class B, 3.57%, 8/15/22			3,000		3,072,952
Series 2012-C, Class C, 4.55%, 8/15/22			5,030		5,107,800
Series 2012-D, Class B, 3.34%, 4/17/23			3,551		3,583,838
Series 2012-D, Class M, 3.09%, 4/17/23			2,725		2,770,380
WVUE, Series 2015-1A, Class A, 4.50%, 9/25/20 (a)(c)			1,418		1,433,192
Ziggurat CLO I Ltd., Series 2014-1A, Class A1, 2.46%, 10/17/26 (a)(b)			12,445		12,518,425
Total Asset-Backed Securities — 12.4%					1,180,754,684

Common Stocks		Shares		Value
Airlines — 0.1%
Delta Air Lines, Inc.			91,854		4,518,298
United Continental Holdings, Inc. (d)			35,613		2,595,475

					7,113,773
Diversified Financial Services — 0.0%
Concrete Investment I SCA (d)(e)			7,500		844,755
Concrete Investment I SCA (e)			7,500		—
Concrete Investment II SCA (e)			12,471		—

					844,755
Diversified Telecommunication Services — 0.0%
Telecom Italia SpA (d)			786,112		694,092
Energy Equipment & Services — 0.0%
Vantage Drilling Co. (d)			311,000		4,821
Hotels, Restaurants & Leisure — 0.0%
Boyd Gaming Corp. (d)			92,678		1,869,315
Metals & Mining — 0.0%
Northern Graphite Corp. (d)			99,612		20,402
Oil, Gas & Consumable Fuels — 0.0%
Concho Resources, Inc. (d)			8,368		1,109,597
Matador Resources Co. (d)			21,443		552,372
Pioneer Natural Resources Co.			6,945		1,250,586

					2,912,555
Technology Hardware, Storage & Peripherals — 0.1%
Apple Inc.			87,052		10,082,363
Total Common Stocks — 0.2%					23,542,076


Corporate Bonds		Par (000)		Value
Aerospace & Defense — 0.3%
BAE Systems Holdings, Inc.:
2.85%, 12/15/20 (a)	USD		1,372	$	1,374,004
4.75%, 10/07/44 (a)			259		262,092
Lockheed Martin Corp.:
3.55%, 1/15/26			1,596		1,630,652
3.60%, 3/01/35			2,117		2,011,150
4.50%, 5/15/36			632		671,930
4.07%, 12/15/42			2,100		2,072,809
4.70%, 5/15/46			1,837		1,998,153
Meccanica Holdings USA, Inc.:
6.25%, 7/15/19 (a)			1,254		1,341,780
7.38%, 7/15/39 (a)			150		162,188
6.25%, 1/15/40 (a)			1,890		1,913,625
Northrop Grumman Corp., 3.85%, 4/15/45			2,310		2,191,317
United Technologies Corp.:
1.78%, 5/04/18 (c)			8,656		8,657,887
4.15%, 5/15/45			2,411		2,435,086

					26,722,673
Air Freight & Logistics — 0.2%
FedEx Corp.:
4.90%, 1/15/34			2,970		3,165,892
3.90%, 2/01/35			392		376,409
4.10%, 2/01/45			2,759		2,583,362
4.75%, 11/15/45			7,278		7,537,628
4.55%, 4/01/46			3,298		3,323,424
WFS Global Holding SAS, 9.50%, 7/15/22	EUR		100		108,228
XPO Logistics, Inc., 5.75%, 6/15/21			100		111,602

					17,206,545
Airlines — 0.2%
American Airlines Group, Inc., 4.63%, 3/01/20 (a)	USD		3,144		3,183,300
American Airlines Pass-Through Trust, Series 2015-1, Class A, 3.38%, 5/01/27			8,392		8,265,969
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 5/10/20			817		829,255
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 9/15/28 (a)			1,829		1,806,129
United Airlines Pass-Through Trust, Series 2014-1, Class B, 4.75%, 10/11/23			455		454,533
Virgin Australia Holdings Ltd., 7.88%, 10/15/21			970		976,480

					15,515,666
Auto Components — 0.1%
Adient Global Holdings Ltd., 3.50%, 8/15/24	EUR		100		106,792
Delphi Automotive PLC:
4.25%, 1/15/26	USD		3,630		3,758,237
4.40%, 10/01/46			1,845		1,695,168
Faurecia, 3.63%, 6/15/23	EUR		200		218,636
FTE Verwaltungs GmbH, 9.00%, 7/15/20			100		110,529
Schaeffler Verwaltung Zwei GmbH:
2.75% (2.75% Cash or 3.50% PIK), 9/15/21 (f)			750		812,228
3.25% (3.25% Cash or 4.00% PIK), 9/15/23 (f)			1,800		1,951,620
3.75% (3.75% Cash or 4.50% PIK), 9/15/26 (f)			150		157,803

					8,811,013
Automobiles — 0.3%
Fiat Chrysler Automobiles NV, 3.75%, 3/29/24			170		185,590
Fiat Chrysler Finance Europe:
4.75%, 3/22/21			100		115,529
4.75%, 7/15/22			144		166,740
Ford Motor Co., 5.29%, 12/08/46	USD		11,543		11,692,944


Corporate Bonds		Par (000)		Value
Automobiles (continued)
General Motors Co., 6.75%, 4/01/46	USD		5,727	$	6,715,996
General Motors Financial Co., Inc., 4.00%, 10/06/26			9,645		9,273,870

					28,150,669
Banks — 4.6%
Allied Irish Banks PLC, 4.13%, 11/26/25 (b)	EUR		1,025		1,092,522
Banco Espirito Santo SA:
2.63%, 5/08/17 (d)(g)			400		115,792
4.75%, 1/15/18 (d)(g)			2,200		636,856
4.00%, 1/21/19 (d)(g)			6,300		1,823,723
Banco Popolare SC, 2.75%, 7/27/20			100		106,598
Bank of America Corp.:
2.25%, 4/21/20	USD		7,485		7,441,362
3.30%, 1/11/23			7,777		7,802,975
3.88%, 8/01/25			13,368		13,592,997
3.50%, 4/19/26			15,610		15,401,950
4.88%, 4/01/44			901		977,649
Bank of Ireland, 4.25%, 6/11/24 (b)	EUR		1,686		1,823,586
Bankia SA, 4.00%, 5/22/24 (b)			4,400		4,700,531
Barclays Bank PLC, 7.63%, 11/21/22	USD		226		248,035
BB&T Corp., 2.45%, 1/15/20			4,200		4,232,915
BDO Unibank, Inc., 2.63%, 10/24/21			287		278,573
Branch Banking & Trust Co., 2.30%, 10/15/18			1,855		1,873,468
Citigroup, Inc.:
1.80%, 2/05/18			6,961		6,957,109
2.50%, 9/26/18			8,073		8,150,218
2.50%, 7/29/19			10,612		10,684,745
2.90%, 12/08/21			59,540		59,379,361
3.50%, 5/15/23			4,389		4,374,832
3.88%, 3/26/25			4,740		4,708,711
4.13%, 7/25/28			7,648		7,554,878
Citizens Bank N.A., 2.30%, 12/03/18			2,754		2,768,111
Commerzbank AG:
7.75%, 3/16/21	EUR		4,300		5,409,011
4.00%, 3/23/26			1,000		1,080,687
Credit Agricole SA, 1.88%, 12/20/26			1,000		1,055,970
Dah Sing Bank Ltd., 4.25%, 11/30/26 (b)	USD		700		690,362
Fifth Third Bank, 2.25%, 6/14/21			7,204		7,122,105
HSBC Holdings PLC, 2.65%, 1/05/22			26,189		25,567,299
HSH Nordbank AG:
0.49%, 2/14/17 (b)	EUR		3,140		3,259,322
0.53%, 2/14/17 (b)			1,103		1,150,906
Ibercaja Banco SA, 5.00%, 7/28/25 (b)			100		101,598
ICICI Bank Ltd., 4.00%, 3/18/26	USD		229		222,213
Intesa Sanpaolo SpA:
5.15%, 7/16/20	EUR		100		115,652
6.63%, 9/13/23			2,575		3,206,842
2.86%, 4/23/25			100		104,480
3.93%, 9/15/26			1,890		2,045,711
JPMorgan Chase & Co.:
1.35%, 2/15/17	USD		9,255		9,256,573
2.20%, 10/22/19			3,691		3,705,823
2.75%, 6/23/20			3,909		3,944,353
2.55%, 10/29/20			7,880		7,874,185
2.97%, 1/15/23			32,480		32,371,224
3.88%, 9/10/24			8,950		9,055,941
3.90%, 7/15/25			4,236		4,355,790
3.20%, 6/15/26			6,593		6,452,919
4.25%, 10/01/27			3,750		3,852,855
Royal Bank of Scotland Group PLC, 3.88%, 9/12/23			19,834		19,045,717
Santander UK Group Holdings PLC, 2.88%, 8/05/21			37,278		36,452,479
Shinhan Bank, 3.88%, 12/07/26 (b)			1,060		1,060,390
U.S. Bancorp, 2.95%, 7/15/22			7,244		7,286,935


Corporate Bonds		Par (000)		Value
Banks (continued)
UniCredit SpA:
6.95%, 10/31/22	EUR		200	$	241,650
5.75%, 10/28/25 (b)			4,220		4,692,561
4.38%, 1/03/27 (b)			200		211,284
United Overseas Bank Ltd.:
3.50%, 9/16/26 (b)	USD		800		791,242
2.88%, 3/08/27 (b)			500		478,347
Vietnam Joint Stock Commercial Bank for Industry and Trade, 8.00%, 5/17/17			200		202,000
Washington Mutual Bank:
0.00%, 5/01/09 (d)(g)			13,308		2,827,950
0.00%, 11/06/09 (d)(g)			11,911		2,531,087
0.00%, 6/16/10 (d)(g)			3,115		661,937
0.00%, 2/04/11 (d)(g)			2,570		546,125
Wells Fargo & Co.:
2.60%, 7/22/20			4,233		4,257,467
2.55%, 12/07/20			3,376		3,379,859
2.10%, 7/26/21			19,710		19,178,914
3.55%, 9/29/25			5,795		5,785,398
3.00%, 10/23/26			6,839		6,513,443
3.90%, 5/01/45			4,985		4,728,307
4.90%, 11/17/45			1,903		1,954,611
4.75%, 12/07/46			10,124		10,274,402
Woori Bank, 4.75%, 4/30/24			1,800		1,815,916
Yamaguchi Financial Group, Inc., 0.50%, 3/26/20 (b)(h)			1,000		1,034,750

					434,682,089
Beverages — 0.9%
Anheuser-Busch InBev Finance, Inc.:
2.65%, 2/01/21			11,072		11,135,609
3.30%, 2/01/23			6,425		6,538,928
3.65%, 2/01/26			53,184		53,991,865
4.70%, 2/01/36			2,580		2,713,819
4.90%, 2/01/46			1,792		1,936,919
Anheuser-Busch InBev SA/NV, 2.00%, 3/17/28	EUR		1,400		1,557,704
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 7/15/42	USD		1,513		1,360,782
Molson Coors Brewing Co.:
5.00%, 5/01/42			1,111		1,161,387
4.20%, 7/15/46			2,303		2,147,144
PepsiCo, Inc., 4.45%, 4/14/46			4,840		5,154,978

					87,699,135
Biotechnology — 0.5%
AbbVie, Inc.:
2.50%, 5/14/20			6,302		6,303,645
2.90%, 11/06/22			5,173		5,109,626
4.50%, 5/14/35			2,860		2,810,027
Amgen, Inc.:
2.13%, 5/01/20			4,058		4,019,989
4.40%, 5/01/45			6,271		6,011,042
Biogen, Inc., 5.20%, 9/15/45			1,945		2,081,434
Gilead Sciences, Inc.:
2.35%, 2/01/20			1,209		1,215,282
2.50%, 9/01/23			3,486		3,361,623
3.65%, 3/01/26			931		943,975
4.60%, 9/01/35			1,057		1,096,310
4.80%, 4/01/44			6,729		6,987,165
4.50%, 2/01/45			2,446		2,443,943
4.75%, 3/01/46			2,685		2,778,092
4.15%, 3/01/47			5,361		5,091,894

					50,254,047
Building Products — 0.0%
Standard Industries, Inc., 6.00%, 10/15/25 (a)			1,285		1,352,463


Corporate Bonds		Par (000)		Value
Capital Markets — 2.3%
Bagan Capital Ltd., 0.00%, 9/23/21 (h)(i)	USD		1,300	$	1,300,000
Bank of New York Mellon Corp.:
2.10%, 1/15/19			6,780		6,809,954
2.05%, 5/03/21			28,042		27,523,251
CPUK Finance Ltd., 7.00%, 2/28/42	GBP		200		260,322
Credit Suisse AG:
3.00%, 10/29/21	USD		2,841		2,868,146
5.75%, 9/18/25 (b)	EUR		1,530		1,762,777
Credit Suisse Group Funding Guernsey Ltd.:
2.75%, 3/26/20	USD		7,681		7,614,329
4.88%, 5/15/45			2,635		2,704,759
Deutsche Bank AG, 4.25%, 10/14/21 (a)			150		150,578
Goldman Sachs Group, Inc.:
2.63%, 1/31/19			10,208		10,317,756
2.00%, 4/25/19			2,308		2,298,833
2.60%, 4/23/20			5,099		5,104,344
2.75%, 9/15/20			2,492		2,502,765
2.63%, 4/25/21			4,993		4,956,746
2.35%, 11/15/21			14,988		14,561,741
3.50%, 1/23/25			3,983		3,930,022
3.75%, 5/22/25			5,768		5,783,003
3.50%, 11/16/26			14,463		14,130,134
4.80%, 7/08/44			1,798		1,887,593
4.75%, 10/21/45			1,231		1,299,497
Haitong International Securities Group Ltd., 0.00%, 10/25/21 (h)(i)	HKD		10,000		1,276,678
Jefferies Group LLC, 6.50%, 1/20/43	USD		1,239		1,274,919
Morgan Stanley:
2.80%, 6/16/20			8,614		8,684,497
2.63%, 11/17/21			35,559		35,130,941
3.75%, 2/25/23			5,956		6,117,670
3.70%, 10/23/24			6,314		6,389,212
4.00%, 7/23/25			11,093		11,370,514
3.88%, 1/27/26			2,070		2,090,919
State Street Corp., 2.65%, 5/19/26			9,906		9,395,118
UBS AG, 4.75%, 5/22/23 (b)			625		637,500
UBS Group Funding Jersey Ltd.:
2.65%, 2/01/22 (a)			18,676		18,151,111
4.13%, 9/24/25 (a)			2,534		2,582,823

					220,868,452
Chemicals — 0.2%
Agrium, Inc., 4.13%, 3/15/35			2,135		1,957,567
Air Liquide Finance SA, 3.50%, 9/27/46 (a)			1,261		1,167,137
Axalta Coating Systems Dutch Holding B BV, 3.75%, 1/15/25	EUR		100		105,792
Dow Chemical Co.:
4.38%, 11/15/42	USD		1,370		1,329,886
4.63%, 10/01/44			2,072		2,079,111
Eastman Chemical Co., 4.80%, 9/01/42			2,205		2,191,234
Huntsman International LLC, 5.13%, 4/15/21	EUR		100		114,213
INEOS Finance PLC, 4.00%, 5/01/23			2,340		2,546,762
INOVYN Finance PLC, 6.25%, 5/15/21			100		111,606
Kansai Paint Co. Ltd.:
0.00%, 6/17/19 (h)(i)			50,000		450,802
0.00%, 6/17/22 (h)(i)	JPY		30,000		263,743
Monitchem HoldCo 3 SA, 5.25%, 6/15/21	EUR		100		108,371
Monsanto Co., 3.60%, 7/15/42	USD		2,845		2,387,686
PSPC Escrow Corp., 6.00%, 1/02/23	EUR		291		306,984
Sherwin-Williams Co., 4.00%, 12/15/42	USD		971		882,926
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 6.38%, 5/01/22	EUR		100		112,634

					16,116,454
Commercial Services & Supplies — 0.1%
Aviation Capital Group Corp., 2.88%, 9/17/18 (a)	USD		6,335		6,414,187


Corporate Bonds		Par (000)		Value
Commercial Services & Supplies (continued)
Befesa Zinc SAU Via Zinc Capital SA, 8.88%, 5/15/18	EUR		200	$	215,857
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK), 12/01/18 (f)			556		597,484
President and Fellows of Harvard College, 3.15%, 7/15/46	USD		1,143		1,022,642
Transfield Services Ltd., 8.38%, 5/15/20 (a)			200		211,500
Verisure Holding AB, 6.00%, 11/01/22	EUR		150		172,093
Waste Management, Inc., 3.90%, 3/01/35	USD		2,526		2,511,344
Yestar International Holdings Co. Ltd., 6.90%, 9/15/21			550		561,591

					11,706,698
Communications Equipment — 0.0%
Harris Corp., 2.70%, 4/27/20			1,299		1,297,571
Juniper Networks, Inc., 3.30%, 6/15/20			2,728		2,786,281

					4,083,852
Construction & Engineering — 0.0%
Bouygues SA, 1.38%, 6/07/27	EUR		1,500		1,565,970
China City Construction International Co. Ltd., 5.35%, 7/03/17 (d)(g)	CNH		676		52,689
GS Engineering & Construction Corp., 4.50%, 7/21/21 (h)	USD		600		581,593
Kandenko Co. Ltd., 0.00%, 3/31/21 (h)(i)	JPY		30,000		291,016
Novafives SAS, 4.50%, 6/30/21	EUR		100		96,844
Shimizu Corp., 0.00%, 10/16/20 (h)(i)	JPY		30,000		281,134

					2,869,246
Construction Materials — 0.1%
Cemex Finance LLC, 4.63%, 6/15/24	EUR		100		107,792
Dry Mix Solutions Investissements SAS, 5.50%, 3/15/23 (b)			100		107,371
LafargeHolcim Finance U.S. LLC, 4.75%, 9/22/46 (a)	USD		6,995		6,765,214

					6,980,377
Consumer Finance — 1.2%
American Express Credit Corp.:
1.13%, 6/05/17			10,032		10,030,425
2.25%, 8/15/19			6,261		6,295,842
Capital One Bank USA N.A., 2.30%, 6/05/19			1,000		1,002,417
Capital One Financial Corp.:
4.75%, 7/15/21			160		173,052
3.75%, 7/28/26			3,951		3,830,080
Capital One N.A., 2.40%, 9/05/19			650		651,446
Discover Bank, 3.45%, 7/27/26			4,992		4,820,330
Ford Motor Credit Co. LLC:
1.72%, 12/06/17			24,350		24,331,591
2.15%, 1/09/18			5,342		5,349,735
3.34%, 3/18/21			12,423		12,509,203
General Motors Financial Co., Inc.:
2.63%, 7/10/17			6,640		6,675,909
4.75%, 8/15/17			4,115		4,193,053
3.10%, 1/15/19			1,546		1,562,408
3.70%, 11/24/20			4,313		4,387,399
3.20%, 7/06/21			15,382		15,253,668
4.00%, 1/15/25			6,362		6,207,028
Synchrony Financial:
2.60%, 1/15/19			3,356		3,372,975
2.70%, 2/03/20			1,986		1,980,112
4.50%, 7/23/25			4,007		4,115,854

					116,742,527
Containers & Packaging — 0.0%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.:
4.25%, 1/15/22	EUR		230		250,282


Corporate Bonds		Par (000)		Value
Containers & Packaging (continued)
4.13%, 5/15/23	EUR		100	$	110,002
6.75%, 5/15/24			275		309,020
Ball Corp., 4.38%, 12/15/23			400		465,071
Crown European Holdings SA:
4.00%, 7/15/22			147		170,261
3.38%, 5/15/25			159		169,096
ProGroup AG, 5.13%, 5/01/22			190		213,564
Sealed Air Corp., 4.50%, 9/15/23			142		162,556
Verallia Packaging SASU, 5.13%, 8/01/22			175		195,052

					2,044,904
Distributors — 0.0%
LKQ Italia Bondco SpA, 3.88%, 4/01/24			100		111,897
Diversified Consumer Services — 0.1%
Cognita Financing PLC, 7.75%, 8/15/21	GBP		100		130,645
Massachusetts Institute of Technology:
3.96%, 7/01/38	USD		1,385		1,451,851
3.89%, 7/01/99			1,585		1,356,067
University of Southern California, 3.03%, 10/01/39			5,336		4,739,318
Wesleyan University, 4.78%, 7/01/16			2,607		2,473,193

					10,151,074
Diversified Financial Services — 0.4%
Altice Financing SA, 5.25%, 2/15/23	EUR		242		270,027
Annington Finance No. 4 PLC, 1.37%, 1/10/23 (b)	GBP		1		782
AYC Finance Ltd., 0.50%, 5/02/19 (h)	USD		600		602,250
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 (j)			5,540		6,187,958
BP Capital Markets PLC, 2.24%, 5/10/19			8,103		8,152,096
BPE Financiaciones SA, 2.00%, 2/03/20	EUR		4,000		4,206,994
CNH Industrial Finance Europe SA, 2.88%, 5/17/23			250		270,510
eircom Finance DAC, 4.50%, 5/31/22			100		110,267
Gansu Provincial Highway Aviation Tourism Investment Group Co. Ltd., 3.00%, 11/18/19	USD		250		247,925
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22	GBP		425		544,724
Hanrui Overseas Investment Co. Ltd., 4.90%, 6/28/19	USD		200		194,371
HT Global IT Solutions Holdings Ltd., 7.00%, 7/14/21			600		620,220
Iceland Bondco PLC, 6.75%, 7/15/24	GBP		400		480,639
Jerrold Finco PLC, 6.25%, 9/15/21			100		126,309
Mercury Bondco PLC, 8.25% (8.25% Cash or 9.00% PIK), 5/30/21 (f)	EUR		1,457		1,615,450
Santander Issuances SAU, 3.25%, 4/04/26			1,100		1,180,681
Shell International Finance BV:
4.13%, 5/11/35	USD		7,018		7,165,806
3.63%, 8/21/42			2,135		1,930,185
Titan Global Finance PLC, 3.50%, 6/17/21	EUR		100		109,423
Virgin Media Secured Finance PLC:
6.00%, 4/15/21	GBP		239		305,744
5.13%, 1/15/25			300		377,967
5.50%, 1/15/25			1,530		1,942,622
4.88%, 1/15/27			1,463		1,767,132
6.25%, 3/28/29			1,134		1,461,837
Woodside Finance Ltd., 3.65%, 3/05/25 (a)	USD		562		549,009

					40,420,928
Diversified Telecommunication Services — 0.6%
AT&T Inc.:
6.38%, 3/01/41			1,994		2,296,320
4.30%, 12/15/42			1,640		1,468,087
4.75%, 5/15/46			5,672		5,373,761


Corporate Bonds		Par (000)		Value
Diversified Telecommunication Services (continued)
Bharti Airtel International Netherlands BV, 5.13%, 3/11/23	USD		1,071	$	1,116,243
Cellnex Telecom SA, 2.38%, 1/16/24	EUR		100		104,117
OTE PLC, 3.50%, 7/09/20			200		214,636
Telecom Italia Capital SA:
6.38%, 11/15/33	USD		709		677,095
6.00%, 9/30/34			595		550,375
Telecom Italia Finance SA, 7.75%, 1/24/33	EUR		885		1,189,018
Telecom Italia SpA:
4.50%, 1/25/21			100		117,904
3.25%, 1/16/23			940		1,042,492
3.63%, 1/19/24			700		784,459
Telenet Finance V Luxembourg SCA:
6.25%, 8/15/22			100		111,581
6.75%, 8/15/24			200		233,184
Telenet Finance VI Luxembourg SCA, 4.88%, 7/15/27			100		109,739
UPC Holding BV, 6.75%, 3/15/23			100		114,476
Verizon Communications, Inc.:
5.05%, 3/15/34	USD		2,196		2,312,467
4.40%, 11/01/34			9,689		9,562,907
3.85%, 11/01/42			6,499		5,631,617
4.13%, 8/15/46			2,462		2,228,164
4.86%, 8/21/46			16,397		16,614,982
Wind Acquisition Finance SA:
4.00%, 7/15/20	EUR		300		321,597
7.00%, 4/23/21			100		109,501
7.38%, 4/23/21 (a)	USD		1,935		2,012,400
Ziggo Bond Finance BV, 4.63%, 1/15/25	EUR		255		274,131

					54,571,253
Electric Utilities — 0.7%
1MDB Energy Ltd., 5.99%, 5/11/22	USD		2,000		2,136,394
Baltimore Gas & Electric Co., 3.50%, 8/15/46			2,327		2,093,809
Chugoku Electric Power Co., Inc.:
0.00%, 3/23/18 (h)(i)	JPY		20,000		172,620
0.00%, 3/25/20 (h)(i)			10,000		86,995
Commonwealth Edison Co., 4.70%, 1/15/44	USD		2,910		3,205,455
ContourGlobal Power Holdings SA, 5.13%, 6/15/21	EUR		100		110,213
Duke Energy Carolinas LLC:
4.25%, 12/15/41	USD		2,490		2,547,250
3.75%, 6/01/45			2,111		2,009,518
Duke Energy Corp.:
4.80%, 12/15/45			2,775		2,933,095
3.75%, 9/01/46			1,670		1,503,346
Duke Energy Florida LLC, 3.85%, 11/15/42			2,111		2,024,274
Emera U.S. Finance LP:
2.15%, 6/15/19 (a)			4,838		4,830,003
2.70%, 6/15/21 (a)			7,299		7,224,864
Exelon Corp.:
2.85%, 6/15/20			6,160		6,225,758
2.45%, 4/15/21			1,306		1,290,304
Florida Power & Light Co., 3.80%, 12/15/42			1,591		1,564,554
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (a)			1,657		1,706,710
Northern States Power Co., 3.60%, 5/15/46			7,877		7,456,754
Progress Energy, Inc., 4.88%, 12/01/19			810		869,843
Puget Sound Energy, Inc., 4.30%, 5/20/45			4,431		4,605,931
Southern California Edison Co., 1.25%, 11/01/17			1,306		1,306,165
SPIC 2016 U.S. Dollar Bond Co. Ltd.:
3.00%, 12/06/21			1,300		1,292,035
3.88%, 12/06/26			425		424,916
Tohoku Electric Power Co., Inc.:
0.00%, 12/03/18 (h)(i)	JPY		10,000		87,209


Corporate Bonds		Par (000)		Value
Electric Utilities (continued)
0.00%, 12/03/20 (h)(i)	JPY		110,000	$	974,118
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25 (a)	USD		6,547		6,632,314
Viridian Group FundCo II Ltd., 7.50%, 3/01/20	EUR		616		690,583

					66,005,030
Electrical Equipment — 0.0%
AE-Rotor Holding BV, 4.97%, 3/28/18	USD		35		34,995
Senvion Holding GmbH, 6.63%, 11/15/20	EUR		100		110,529
Trionista Holdco GmbH, 5.00%, 4/30/20			305		329,567

					475,091
Electronic Equipment, Instruments & Components — 0.0%
Foxconn Far East Ltd., 2.25%, 9/23/21	USD		1,250		1,207,439
TPK Holding Co. Ltd., 0.00%, 4/08/20 (h)(i)			500		462,500

					1,669,939
Energy Equipment & Services — 0.2%
Halliburton Co., 3.80%, 11/15/25			6,000		6,095,382
Nabors Industries, Inc., 5.50%, 1/15/23 (a)			2,547		2,652,064
Schlumberger Holdings Corp., 3.00%, 12/21/20 (a)			5,877		6,001,316
Transocean, Inc., 6.80%, 3/15/38			673		521,575

					15,270,337
Equity Real Estate Investment Trusts (REITs) — 0.2%
American Tower Corp.:
3.30%, 2/15/21			2,758		2,789,414
3.45%, 9/15/21			2,787		2,823,058
3.50%, 1/31/23			783		785,369
5.00%, 2/15/24			785		845,181
4.40%, 2/15/26			541		552,822
Cromwell SPV Finance Property Ltd., 2.00%, 2/04/20 (h)	EUR		800		850,544
Crown Castle International Corp.:
3.40%, 2/15/21	USD		1,628		1,652,015
2.25%, 9/01/21			5,986		5,791,138
Simon Property Group LP, 4.25%, 10/01/44			2,545		2,511,218
Suntec Real Estate Investment Trust, 1.75%, 9/05/21 (h)	SGD		750		499,776

					19,100,535
Food & Staples Retailing — 0.2%
Casino Guichard Perrachon SA:
3.31%, 1/25/23	EUR		300		345,610
3.25%, 3/07/24			100		112,491
2.33%, 2/07/25			1,400		1,470,992
CVS Health Corp., 5.30%, 12/05/43	USD		1,855		2,101,873
Sysco Corp., 4.50%, 4/01/46			1,608		1,621,173
Tesco PLC:
5.00%, 3/24/23	GBP		256		340,193
6.00%, 12/14/29			100		134,345
Walgreens Boots Alliance, Inc.:
4.80%, 11/18/44	USD		9,857		10,131,113
4.65%, 6/01/46			267		270,944
Wal-Mart Stores, Inc., 4.00%, 4/11/43			2,020		2,029,237

					18,557,971
Food Products — 0.1%
Arcor SAIC, 6.00%, 7/06/23 (a)			802		836,085
CP Foods Holdings Ltd., 0.50%, 9/22/21 (h)			800		792,400
Kraft Heinz Foods Co., 6.88%, 1/26/39			1,260		1,583,005
Marfrig Holdings Europe BV, 8.00%, 6/08/23 (a)			902		933,660
Minerva Luxembourg SA, 6.50%, 9/20/26 (a)			429		413,449
Tereos Finance Groupe I SA, 4.13%, 6/16/23	EUR		200		216,320

					4,774,919


Corporate Bonds		Par (000)		Value
Gas Utilities — 0.0%
ENN Energy Holdings Ltd., 0.00%, 2/26/18 (h)(i)	USD		750	$	757,125
Snam SpA, 0.88%, 10/25/26	EUR		290		291,532

					1,048,657
Health Care Equipment & Supplies — 0.4%
Becton Dickinson and Co.:
1.80%, 12/15/17	USD		1,183		1,185,690
2.68%, 12/15/19			4,549		4,615,465
4.69%, 12/15/44			703		728,269
Boston Scientific Corp., 2.65%, 10/01/18			3,738		3,778,995
Medtronic, Inc.:
2.50%, 3/15/20			3,561		3,600,851
3.63%, 3/15/24			8,093		8,421,997
4.63%, 3/15/44			3,245		3,485,646
4.63%, 3/15/45			3,768		4,074,794
Nipro Corp., 0.00%, 1/29/21 (h)(i)	JPY		10,000		92,941
St. Jude Medical, Inc.:
2.80%, 9/15/20	USD		2,980		2,996,715
3.88%, 9/15/25			952		959,103
Stryker Corp., 4.63%, 3/15/46			2,325		2,370,749

					36,311,215
Health Care Providers & Services — 0.9%
Aetna, Inc.:
2.40%, 6/15/21			8,985		8,944,316
3.20%, 6/15/26			7,860		7,775,654
4.50%, 5/15/42			2,824		2,864,152
4.13%, 11/15/42			1,329		1,267,890
4.75%, 3/15/44			1,703		1,791,530
AmerisourceBergen Corp., 1.15%, 5/15/17			5,031		5,029,164
Anthem, Inc.:
1.88%, 1/15/18			9,949		9,953,378
2.30%, 7/15/18			14,113		14,205,257
Baylor Scott & White Holdings, 4.19%, 11/15/45			1,525		1,487,901
Catholic Health Initiatives, 4.35%, 11/01/42			1,075		954,869
Cigna Corp., 3.25%, 4/15/25			7,074		6,889,694
Dignity Health, 5.27%, 11/01/64			1,081		1,054,545
Ephios Holdco II PLC, 8.25%, 7/01/23	EUR		800		915,809
Express Scripts Holding Co., 1.25%, 6/02/17	USD		4,006		3,991,102
IDH Finance PLC, 6.25%, 8/15/22	GBP		150		179,315
Laboratory Corp. of America Holdings, 2.63%, 2/01/20	USD		2,946		2,943,110
New York & Presbyterian Hospital, 3.56%, 8/01/36			1,321		1,263,744
Ochsner Clinic Foundation, 5.90%, 5/15/45			1,305		1,509,077
RWJ Barnabas Health, Inc., 3.95%, 7/01/46			3,190		2,938,124
Southern Baptist Hospital of Florida, Inc., 4.86%, 7/15/45			1,250		1,350,731
Synlab Bondco PLC, 6.25%, 7/01/22	EUR		100		114,739
UnitedHealth Group, Inc.:
2.70%, 7/15/20	USD		1,721		1,746,892
4.63%, 7/15/35			689		751,037
4.20%, 1/15/47			3,410		3,449,205
Voyage Care Bondco PLC, 11.00%, 2/01/19	GBP		1,800		2,193,931

					85,565,166
Hotels, Restaurants & Leisure — 0.2%
Cirsa Funding Luxembourg SA:
5.75%, 5/15/21	EUR		125		140,795
5.88%, 5/15/23			100		111,581
Codere Finance 2 Luxembourg SA, 6.75%, 11/01/21			100		106,828
HIS Co. Ltd., 0.00%, 8/30/19 (h)(i)	JPY		70,000		619,294
International Game Technology PLC:
6.25%, 2/15/22 (a)	USD		200		214,500


Corporate Bonds		Par (000)		Value
Hotels, Restaurants & Leisure (continued)
4.75%, 2/15/23	EUR		100	$	114,741
McDonald’s Corp.:
4.70%, 12/09/35	USD		853		902,402
4.60%, 5/26/45			1,081		1,116,196
4.88%, 12/09/45			1,005		1,076,429
NH Hotel Group SA, 3.75%, 10/01/23	EUR		100		108,529
Pizzaexpress Financing 2 PLC, 6.63%, 8/01/21	GBP		800		1,000,714
PortAventura Entertainment Barcelona BV, 7.25%, 12/01/20	EUR		400		437,360
Punch Taverns Finance B Ltd.:
Series A6, 5.94%, 9/30/22	GBP		1,280		1,567,265
Series A7, 5.27%, 3/30/24			822		958,150
Punch Taverns Finance PLC:
0.40%, 7/15/21 (b)			92		102,576
Series M3, 5.90%, 10/15/27 (a)(b)			885		1,036,155
Resorttrust, Inc., 0.00%, 12/01/21 (h)(i)	JPY		60,000		536,471
REXLot Holdings Ltd., 4.50%, 4/17/19 (d)(g)(h)	HKD		2,942		265,571
Snai SpA, 6.38%, 11/07/21	EUR		100		110,265
Studio City Co. Ltd.:
5.88%, 11/30/19	USD		381		391,001
7.25%, 11/30/21			600		621,000
Thomas Cook Group PLC, 6.25%, 6/15/22	EUR		150		166,251
Unique Pub Finance Co. PLC:
Series M, 7.40%, 3/28/24	GBP		1,150		1,470,896
Series A4, 5.66%, 6/30/27			3,095		4,007,822
Series N, 6.46%, 3/30/32			1,473		1,595,524
Vougeot Bidco PLC, 7.88%, 7/15/20			200		256,070

					19,034,386
Household Durables — 0.1%
Iida Group Holdings Co. Ltd., 0.00%, 6/18/20 (h)(i)	JPY		30,000		278,888
Newell Brands, Inc., 2.88%, 12/01/19	USD		6,986		7,110,546

					7,389,434
Household Products — 0.0%
Unicharm Corp., 0.00%, 9/25/20 (h)(i)	JPY		20,000		205,348
Independent Power and Renewable Electricity Producers — 0.0%
AES Panama SRL, 6.00%, 6/25/22 (a)	USD		527		545,445
China Yangtze Power International BVI 1 Ltd., 0.00%, 11/09/21 (h)(i)			1,600		1,598,000
Greenko Dutch BV, 8.00%, 8/01/19			200		211,100

					2,354,545
Industrial Conglomerates — 0.3%
Eaton Corp., 2.75%, 11/02/22			19,769		19,579,890
General Electric Co., 4.50%, 3/11/44			8,268		8,875,491
Guangxi Communications Investment Group Co. Ltd., 3.00%, 11/04/19			400		398,319
Roper Technologies, Inc., 2.80%, 12/15/21			3,867		3,865,152

					32,718,852
Insurance — 0.7%
Allstate Corp., 4.20%, 12/15/46			3,745		3,824,465
American International Group, Inc.:
3.75%, 7/10/25			2,831		2,849,271
3.90%, 4/01/26			7,099		7,223,815
3.88%, 1/15/35			2,099		1,971,662
4.50%, 7/16/44			2,823		2,783,690
Aon PLC, 4.75%, 5/15/45			4,012		4,055,261
Assicurazioni Generali SpA, 5.50%, 10/27/47 (b)	EUR		100		109,476
BNP Paribas Cardif SA, 4.03% (b)(k)			800		835,214
Credit Agricole Assurances SA:
4.25% (b)(k)			1,100		1,139,212
4.50% (b)(k)			100		103,686
Lincoln National Corp., 3.63%, 12/12/26	USD		4,727		4,715,996


Corporate Bonds		Par (000)		Value
Insurance (continued)
Marsh & McLennan Cos., Inc., 3.75%, 3/14/26	USD		672	$	684,601
Metropolitan Life Global Funding I, 1.30%, 4/10/17 (a)			24,105		24,118,571
Pension Insurance Corp. PLC, 6.50%, 7/03/24	GBP		125		148,672
Prudential Financial, Inc., 4.60%, 5/15/44	USD		5,738		5,971,663
QBE Insurance Group Ltd., 5.88%, 6/17/46 (b)			450		452,096
Travelers Cos., Inc., 4.60%, 8/01/43			3,289		3,556,159
Union Life Insurance Co. Ltd., 3.00%, 9/19/21			1,900		1,799,703
XLIT Ltd., 2.30%, 12/15/18			3,195		3,216,039

					69,559,252
Internet & Direct Marketing Retail — 0.1%
Amazon.com, Inc., 4.95%, 12/05/44			9,780		11,154,540
Ctrip.com International Ltd., 1.25%, 9/15/22 (a)(h)			400		385,000

					11,539,540
Internet Software & Services — 0.0%
United Group BV, 7.88%, 11/15/20	EUR		475		523,361
IT Services — 0.1%
Fidelity National Information Services, Inc., 3.63%, 10/15/20	USD		495		512,458
Total System Services, Inc., 4.80%, 4/01/26			8,040		8,663,277
Transcosmos, Inc., 0.00%, 12/22/20 (h)(i)	JPY		40,000		348,663
Visa, Inc., 4.15%, 12/14/35	USD		1,919		2,009,160

					11,533,558
Leisure Products — 0.0%
Universal Entertainment Corp., 8.50% (6.00% Cash and 2.50% PIK), 8/24/20 (a)(f)			2,350		2,367,625
Machinery — 0.0%
CRRC Corp Ltd., 0.00%, 2/05/21 (h)(i)			1,250		1,268,750
Gates Global LLC/Gates Global Co., 5.75%, 7/15/22	EUR		180		180,004
Ingersoll-Rand Luxembourg Finance SA, 4.65%, 11/01/44	USD		598		610,100

					2,058,854
Media — 1.8%
21st Century Fox America, Inc.:
4.75%, 9/15/44			1,468		1,467,376
4.95%, 10/15/45			425		436,773
Altice Luxembourg SA, 7.25%, 5/15/22	EUR		150		168,773
Cablevision SA, 6.50%, 6/15/21 (a)	USD		661		671,741
CBS Corp., 2.30%, 8/15/19			4,291		4,305,263
Charter Communications Operating LLC/Charter Communications Operating Capital:
3.58%, 7/23/20			4,765		4,861,420
4.46%, 7/23/22			9,859		10,302,961
4.91%, 7/23/25			6,597		6,952,776
6.38%, 10/23/35			4,126		4,711,199
6.48%, 10/23/45			11,335		13,104,155
Clear Channel Worldwide Holdings, Inc., 6.50%, 11/15/22			5,914		6,047,065
Comcast Corp.:
3.38%, 8/15/25			5,533		5,566,408
4.25%, 1/15/33			1,265		1,316,441
4.40%, 8/15/35			5,694		5,956,710
4.75%, 3/01/44			4,543		4,872,481
4.60%, 8/15/45			1,887		1,978,082
3.40%, 7/15/46			4,293		3,749,128
Discovery Communications LLC:
3.45%, 3/15/25			2,326		2,220,272
4.90%, 3/11/26			9,879		10,402,765
4.88%, 4/01/43			8,408		7,769,782


Corporate Bonds		Par (000)		Value
Media (continued)
Interpublic Group of Cos., Inc.:
4.00%, 3/15/22	USD		2,564	$	2,652,276
3.75%, 2/15/23			1,814		1,828,378
ITV PLC, 2.00%, 12/01/23	EUR		3,700		3,926,756
Kakao Corp., 0.00%, 5/11/21 (h)(i)	KRW		1,000,000		811,186
LGE HoldCo VI BV, 7.13%, 5/15/24	EUR		2,786		3,328,607
NBCUniversal Media LLC, 4.45%, 1/15/43	USD		3,047		3,113,629
SFR Group SA, 5.38%, 5/15/22	EUR		190		209,504
Time Warner Cable LLC:
5.00%, 2/01/20	USD		2,900		3,077,854
4.13%, 2/15/21			5,862		6,060,382
4.00%, 9/01/21			911		935,536
5.50%, 9/01/41			2,025		2,058,637
4.50%, 9/15/42			314		284,376
Time Warner, Inc.:
2.10%, 6/01/19			9,144		9,138,477
3.60%, 7/15/25			2,168		2,155,859
4.65%, 6/01/44			4,928		4,711,887
4.85%, 7/15/45			4,515		4,519,917
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
5.63%, 4/15/23	EUR		80		90,212
4.00%, 1/15/25			1,944		2,128,213
4.63%, 2/15/26			600		665,840
3.50%, 1/15/27			700		722,120
6.25%, 1/15/29			170		197,768
UPCB Finance IV Ltd., 4.00%, 1/15/27			200		210,004
Viacom, Inc.:
2.75%, 12/15/19	USD		3,111		3,106,934
4.50%, 3/01/21			3,389		3,541,488
2.25%, 2/04/22			6,013		5,650,681
3.45%, 10/04/26			2,166		2,001,815
4.38%, 3/15/43			4,350		3,465,014
5.25%, 4/01/44			2,338		2,126,974
Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24	GBP		1,300		1,598,963
WMG Acquisition Corp., 4.13%, 11/01/24	EUR		425		463,036

					171,643,894
Metals & Mining — 0.2%
Anglo American Capital PLC:
1.50%, 4/01/20			100		105,121
3.50%, 3/28/22			100		111,917
3.25%, 4/03/23			100		109,765
APERAM, 0.63%, 7/08/21 (h)	USD		1,000		1,243,000
Barrick Gold Corp., 5.25%, 4/01/42			5,990		5,834,248
China Precious Metal Resources Holdings Co. Ltd., 7.25%, 2/04/18 (h)	HKD		4,588		504,440
Constellium NV, 7.88%, 4/01/21 (a)	USD		257		276,275
Newmont Mining Corp., 4.88%, 3/15/42			1,600		1,501,202
Nucor Corp., 5.20%, 8/01/43			1,640		1,850,658
Nyrstar NV, 5.00%, 7/11/22 (h)	EUR		100		113,708
Rio Tinto Finance USA PLC, 4.13%, 8/21/42 (j)	USD		3,660		3,594,834
Shougang Corp., 3.38%, 12/09/19			800		794,562
Steel Dynamics, Inc., 6.38%, 8/15/22			1,345		1,402,163
Vedanta Resources PLC:
6.00%, 1/31/19			775		776,938
8.25%, 6/07/21			970		1,009,285

					19,228,116
Multiline Retail — 0.1%
Enterprise Funding Ltd., 3.50%, 9/10/20 (h)	GBP		200		237,238
Macy’s Retail Holdings, Inc., 4.50%, 12/15/34	USD		2,664		2,381,456
Marks & Spencer PLC, 3.00%, 12/08/23	GBP		750		940,998
New Look Secured Issuer PLC, 6.50%, 7/01/22			1,280		1,502,551


Corporate Bonds		Par (000)		Value
Multiline Retail (continued)
Takashimaya Co. Ltd., 0.00%, 12/11/18 (h)(i)	JPY		30,000	$	257,005

					5,319,248
Multi-Utilities — 0.2%
CenterPoint Energy Houston Electric LLC, 4.50%, 4/01/44	USD		1,838		1,996,759
Consumers Energy Co., 3.95%, 5/15/43			1,730		1,701,415
DTE Electric Co., 3.95%, 6/15/42			2,111		2,097,281
DTE Energy Co.:
2.40%, 12/01/19			1,502		1,509,408
3.50%, 6/01/24			5,649		5,693,141
Pacific Gas & Electric Co.:
4.75%, 2/15/44			2,305		2,529,454
4.30%, 3/15/45			1,509		1,543,333
Virginia Electric & Power Co.:
4.45%, 2/15/44			1,674		1,757,476
4.20%, 5/15/45			2,462		2,505,279

					21,333,546
Oil, Gas & Consumable Fuels — 1.6%
Anadarko Petroleum Corp.:
7.95%, 6/15/39			2,217		2,870,166
4.50%, 7/15/44			2,215		2,081,105
Apache Corp., 4.25%, 1/15/44			10,180		10,035,678
Berau Capital Resources Pte. Ltd., 12.50%, 7/08/15 (d)(g)			1,800		450,000
CONSOL Energy, Inc., 5.88%, 4/15/22			2,440		2,391,200
Continental Resources, Inc.:
3.80%, 6/01/24			2,254		2,079,315
4.90%, 6/01/44			2,585		2,210,175
DEA Finance SA, 7.50%, 10/15/22	EUR		225		252,953
Devon Energy Corp., 5.60%, 7/15/41	USD		9,016		9,286,444
Energy Transfer Partners LP:
5.15%, 3/15/45			6,035		5,788,048
6.13%, 12/15/45			7,985		8,495,553
Enterprise Products Operating LLC:
4.45%, 2/15/43			4,014		3,804,541
5.10%, 2/15/45			1,248		1,316,202
4.90%, 5/15/46			1,992		2,044,790
EOG Resources, Inc.:
4.15%, 1/15/26			2,601		2,721,933
3.90%, 4/01/35			1,670		1,581,542
Exxon Mobil Corp.:
1.82%, 3/15/19			7,393		7,405,132
4.11%, 3/01/46			4,075		4,173,917
GNL Quintero SA:
4.63%, 7/31/29 (a)			482		474,770
4.63%, 7/31/29			290		285,650
Kinder Morgan Energy Partners LP:
3.50%, 3/01/21			12,179		12,364,608
3.95%, 9/01/22			2,176		2,234,110
5.63%, 9/01/41			850		853,724
4.70%, 11/01/42			3,488		3,249,742
Kinder Morgan, Inc.:
3.05%, 12/01/19			1,411		1,431,256
5.55%, 6/01/45			2,255		2,371,748
5.05%, 2/15/46			3,690		3,652,749
Marathon Petroleum Corp., 4.75%, 9/15/44			1,852		1,641,811
Noble Energy, Inc., 5.05%, 11/15/44			2,626		2,633,741
Petro-Canada, 6.80%, 5/15/38 (l)			2,780		3,605,026
Phillips 66, 4.88%, 11/15/44			1,973		2,083,616
Pioneer Natural Resources Co., 4.45%, 1/15/26			1,600		1,695,301
Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/25			3,700		3,822,592
Reliance Industries Ltd., 5.88% (k)			819		808,763


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Sabine Pass Liquefaction LLC:
5.63%, 2/01/21	USD		4,890	$	5,232,300
5.63%, 4/15/23			1,053		1,118,813
Spectra Energy Partners LP, 3.38%, 10/15/26			2,258		2,159,718
Suncor Energy, Inc., 6.85%, 6/01/39			3,150		4,175,854
Sunoco Logistics Partners Operations LP:
3.90%, 7/15/26			1,019		986,330
5.35%, 5/15/45			1,620		1,564,368
TransCanada PipeLines Ltd.:
1.88%, 1/12/18			2,030		2,033,187
2.50%, 8/01/22			2,481		2,422,756
4.63%, 3/01/34			4,744		5,002,510
Tullow Oil Jersey Ltd., 6.63%, 7/12/21 (h)			600		793,500
Tullow Oil PLC:
6.00%, 11/01/20 (a)			200		190,500
6.25%, 4/15/22			800		744,000
Valero Energy Corp., 3.65%, 3/15/25			5,688		5,641,404
Williams Partners LP, 4.00%, 9/15/25			8,350		8,256,305

					152,519,446
Paper & Forest Products — 0.1%
Fibria Overseas Finance Ltd., 5.25%, 5/12/24			333		334,665
Georgia-Pacific LLC, 7.38%, 12/01/25			3,288		4,130,977
Norske Skog AS, 11.75%, 12/15/19	EUR		100		95,791
Sappi Papier Holding GmbH, 4.00%, 4/01/23			100		111,055
Stora Enso OYJ, 2.13%, 6/16/23			100		106,564
Suzano Austria GmbH, 5.75%, 7/14/26 (a)	USD		661		637,039
Suzano Trading Ltd., 5.88%, 1/23/21 (a)			995		1,028,034

					6,444,125
Pharmaceuticals — 1.3%
Actavis Funding SCS:
2.35%, 3/12/18			9,237		9,290,399
3.00%, 3/12/20			21,662		21,962,300
3.80%, 3/15/25			22,467		22,493,466
4.75%, 3/15/45			11,100		10,897,247
AstraZeneca PLC, 4.38%, 11/16/45			1,503		1,508,642
Bristol-Myers Squibb Co., 4.50%, 3/01/44			7,333		7,952,705
Eli Lilly & Co., 3.70%, 3/01/45			1,793		1,700,876
Mylan NV:
3.13%, 11/22/28	EUR		2,500		2,674,596
5.25%, 6/15/46 (a)	USD		7,269		6,704,148
Mylan, Inc., 3.13%, 1/15/23 (a)			2,334		2,203,798
Novartis Capital Corp.:
4.40%, 5/06/44			3,218		3,470,420
4.00%, 11/20/45			8,057		8,131,012
Pfizer, Inc.:
4.30%, 6/15/43			2,474		2,561,040
4.40%, 5/15/44			1,945		2,054,418
4.13%, 12/15/46			11,190		11,383,162
Teva Pharmaceutical Finance Co. BV, 3.65%, 11/10/21			1,237		1,252,891
Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23			6,877		6,509,706
United Laboratories International Holdings Ltd., 4.50%, 12/05/21 (h)			400		427,500
Valeant Pharmaceuticals International, Inc., 4.50%, 5/15/23	EUR		165		125,107

					123,303,433
Real Estate Management & Development — 0.1%
Annington Finance No. 5 PLC, 13.00% (13.00% Cash or 13.50% PIK), 1/15/23 (f)	GBP		304		437,927
Aroundtown Property Holdings PLC, 3.00%, 5/05/20 (h)	EUR		2,600		3,508,705
ATF Netherlands BV, 2.13%, 3/13/23			2,500		2,618,602


Corporate Bonds		Par (000)		Value
Real Estate Management & Development (continued)
Bestgain Real Estate Lyra Ltd., 3.95%, 12/23/19	USD		800	$	807,937
China Evergrande Group, 8.75%, 10/30/18			200		203,500
China Overseas Finance Investment Cayman V Ltd., 0.00%, 1/05/23 (h)(i)			1,400		1,398,250
Fantasia Holdings Group Co. Ltd., 7.38%, 10/04/21			600		598,595
FUXIANG Investment Management Ltd., 3.63%, 11/30/19			750		750,764
Kaisa Group Holdings Ltd., 6.56% (6.56% Cash or 6.56% PIK), 6/30/20 (f)			584		537,659
Shui On Development Holding Ltd.:
7.50% (b)(h)(k)			500		495,000
6.88%, 2/26/17	CNH		2,900		411,723
Theta Capital Pte Ltd., 7.00%, 4/11/22			850		871,021

					12,639,683
Road & Rail — 0.3%
Avis Budget Finance PLC, 4.13%, 11/15/24	EUR		150		157,977
Burlington Northern Santa Fe LLC:
4.15%, 4/01/45	USD		1,419		1,439,016
4.70%, 9/01/45			1,265		1,384,560
CSX Corp., 4.25%, 11/01/66			3,523		3,215,033
EC Finance PLC, 5.13%, 7/15/21	EUR		300		328,823
Hertz Holdings Netherlands BV, 4.13%, 10/15/21			100		106,318
Norfolk Southern Corp.:
4.45%, 6/15/45	USD		2,169		2,248,138
6.00%, 5/23/99			3,267		3,821,815
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%, 11/15/26 (a)			7,682		7,349,930
Union Pacific Corp.:
3.38%, 2/01/35			1,864		1,762,865
4.05%, 11/15/45			379		381,443
3.88%, 2/01/55			4,114		3,778,878
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1, 3.23%, 5/14/26			3,124		3,081,757

					29,056,553
Semiconductors & Semiconductor Equipment — 0.4%
Advanced Semiconductor Engineering, Inc., 0.00%, 3/27/18 (h)(i)			1,000		941,750
Analog Devices, Inc.:
3.90%, 12/15/25			680		696,786
5.30%, 12/15/45			694		763,147
Global A&T Electronics Ltd., 10.00%, 2/01/19			905		687,800
Intel Corp., 4.10%, 5/19/46			10,210		10,119,917
Lam Research Corp., 2.80%, 6/15/21			3,933		3,911,817
Neo Solar Power Corp., 0.00%, 10/27/19 (h)(i)			500		494,375
QUALCOMM, Inc., 4.80%, 5/20/45			15,470		16,531,691

					34,147,283
Software — 0.6%
Microsoft Corp.:
3.50%, 2/12/35			5,373		5,171,942
3.75%, 2/12/45			2,308		2,164,329
4.45%, 11/03/45			3,038		3,236,743
3.70%, 8/08/46			25,464		23,973,465
Oracle Corp.:
3.25%, 5/15/30			6,354		6,191,979
4.00%, 7/15/46			12,137		11,608,992
4.38%, 5/15/55			2,451		2,437,814
Veritas U.S., Inc./Veritas Bermuda Ltd., 7.50%, 2/01/23	EUR		100		97,402

					54,882,666
Specialty Retail — 0.1%
Baoxin Auto Finance I Ltd., 8.75% (b)(k)	USD		400		402,246


Corporate Bonds		Par (000)		Value
Specialty Retail (continued)
Groupe Fnac SA, 3.25%, 9/30/23	EUR		100	$	108,160
Home Depot, Inc.:
5.40%, 9/15/40	USD		1,262		1,503,848
4.40%, 3/15/45			1,162		1,238,339
Lion/Seneca France 2, 7.88%, 4/15/19	EUR		190		196,004
Lowe’s Cos., Inc.:
4.25%, 9/15/44	USD		2,007		2,035,544
4.38%, 9/15/45			644		663,444
Mobilux Finance SAS, 5.50%, 11/15/24	EUR		100		110,415
QVC, Inc.:
3.13%, 4/01/19	USD		1,999		2,019,800
5.13%, 7/02/22			3,332		3,449,216
THOM Europe SAS, 7.38%, 7/15/19	EUR		100		111,055

					11,838,071
Technology Hardware, Storage & Peripherals — 0.5%
Apple Inc.:
3.45%, 2/09/45	USD		1,934		1,707,041
4.65%, 2/23/46			16,929		18,280,764
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 8.35%, 7/15/46 (a)			6,760		8,323,507
Hewlett Packard Enterprise Co.:
2.85%, 10/05/18 (a)			7,345		7,416,033
3.85%, 10/15/20 (a)			6,500		6,612,541
HP, Inc., 3.75%, 12/01/20			728		753,760

					43,093,646
Textiles, Apparel & Luxury Goods — 0.0%
BiSoho SAS, 5.88%, 5/01/23	EUR		125		141,775
Tobacco — 0.4%
Altria Group, Inc.:
2.63%, 1/14/20	USD		3,443		3,482,236
4.25%, 8/09/42			1,312		1,291,165
5.38%, 1/31/44			4,771		5,511,087
3.88%, 9/16/46			5,320		4,909,791
Philip Morris International, Inc.:
1.13%, 8/21/17			6,573		6,567,196
4.13%, 3/04/43			2,099		2,031,173
4.88%, 11/15/43			3,354		3,607,656
4.25%, 11/10/44			5,340		5,272,769
Reynolds American, Inc.:
2.30%, 6/12/18			2,460		2,475,594
3.25%, 6/12/20			1,044		1,069,749

					36,218,416
Trading Companies & Distributors — 0.2%
Air Lease Corp., 3.00%, 9/15/23			14,602		13,950,546
GATX Corp., 2.60%, 3/30/20			2,962		2,925,476
Iwatani Corp., 0.00%, 10/22/20 (h)(i)	JPY		100,000		893,690
Loxam SAS, 3.50%, 5/03/23	EUR		100		104,507
Noble Group Ltd., 3.63%, 3/20/18	USD		207		192,510
Rexel SA, 3.50%, 6/15/23	EUR		218		239,690

					18,306,419
Transportation Infrastructure — 0.0%
Autostrade per l’Italia SpA, 1.75%, 6/26/26			340		368,574
Silk Bidco AS, 7.50%, 2/01/22			200		222,594
Swissport Investments SA, 6.75%, 12/15/21			147		168,172

					759,340
Wireless Telecommunication Services — 0.3%
Digicel Ltd., 6.00%, 4/15/21 (a)	USD		1,061		959,643
Matterhorn Telecom SA, 3.88%, 5/01/22	EUR		460		499,425
Orange SA, 5.50%, 2/06/44	USD		2,305		2,647,532
Rogers Communications, Inc., 5.00%, 3/15/44			775		829,018


Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services (continued)
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 3/20/23 (a)	USD		18,905	$	18,940,352
Vodafone Group PLC, 4.38%, 2/19/43			6,470		5,724,669

					29,600,639
Total Corporate Bonds — 24.5%					2,335,601,876

Floating Rate Loan Interests (b)		Par (000)		Value
Airlines — 0.1%
Gol Luxco SA, Term Loan, 6.50% 8/31/20			7,462		7,620,567
Chemicals — 0.0%
Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.), Refinanced Euro Term Loan, 3.00% 2/01/20	EUR		1,000		1,062,191
MacDermid European Holdings BV (MacDermid Funding LLC), Euro Tranche C-4 Term Loan, 3.25% 6/07/20			1,796		1,903,421

					2,965,612
Containers & Packaging — 0.0%
Constantia Lux Parent SA (FKA Constantinople Lux I Sàrl):
Facility B1A (EUR), 4.00% 4/30/22			1,735		1,847,361
Facility B2A (EUR), 4.00% 4/30/22			259		275,775

					2,123,136
Diversified Telecommunication Services — 0.2%
Intelsat Jackson Holdings SA, Tranche B-2 Term Loan, 3.75% 6/30/19	USD		12,002		11,588,598
Level 3 Financing, Inc., Tranche B 2020 Term Loan, 4.00% 1/15/20			8,090		8,195,170

					19,783,768
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		190,071
Equity Real Estate Investment Trusts (REITs) — 0.0%
Equinix, Inc., Term Loan B (EUR), 3.25% 12/07/23			1,000		1,058,791
Food Products — 0.0%
Keurig Green Mountain, Inc., Term B EUR Loan, 5.00% 3/03/23			524		560,357
Health Care Providers & Services — 0.0%
Desarrollos Empresariales Piera S.L., Second Lien Facility, 8.25% 11/28/22			500		526,853
Hotels, Restaurants & Leisure — 0.1%
Caesars Entertainment Resort Properties LLC, Term B Loan, 7.00% 10/11/20	USD		5,611		5,657,071
IT Services — 0.1%
First Data Corp., 2021C New Dollar Term Loan, 3.76% 3/24/21			4,394		4,443,778
Media — 0.1%
SFR Group SA (Ypso France SAS), EUR TLB-10 Loan, 3.75% 1/14/25	EUR		1,000		1,057,717
Springer SBM Two GmbH:
Initial Term B8 Loan, 4.75% 8/14/20			1,531		1,613,424
Term Loan, 9.00% 8/16/21			344		361,850
Technicolor S.A. (fka Thomson), Term Loan B, 3.50% 12/01/22			2,400		2,528,163
UPC Financing Partnership, Term Loan AO, 3.00% 1/15/26			1,250		1,319,515

					6,880,669


Floating Rate Loan Interests (b)		Par (000)		Value
Road & Rail — 0.0%
Car Rentals Subsidiary, S.L.U. (AKA Goldcar), Facility B, 6.00% 6/18/20	EUR		2,080	$	2,200,467
Software — 0.0%
Veritas U.S., Inc., Initial Euro Term B-1 Loan, 6.63% 1/27/23			1,281		1,215,240
Specialty Retail — 0.0%
Intervias Finco Ltd. (FKA Optima Sub-Finco Ltd.):
Term Facility B2 (EUR), 5.00%1/30/23			768		801,995
Term Loan C2, 5.00% 1/30/23			2,750		2,869,468

					3,671,463
Trading Companies & Distributors — 0.0%
Azelis Finance SA (Azelis U.S. Holding, Inc.), Euro Term Loan (Second Lien), 9.50% 12/18/23			720		756,016
Total Floating Rate Loan Interests — 0.6%					59,653,859

Foreign Agency Obligations		Par (000)		Value
Argentina — 0.1%
Petrobras Argentina SA, 7.38%, 7/21/23 (a)	USD		1,527		1,488,825
YPF SA:
8.88%, 12/19/18 (a)			1,928		2,097,182
8.50%, 3/23/21			557		597,438
8.50%, 3/23/21 (a)			336		360,394
8.75%, 4/04/24 (a)			840		870,660
8.50%, 7/28/25 (a)			1,850		1,875,900
8.50%, 7/28/25			174		176,436

					7,466,835
Brazil — 0.4%
Petrobras Global Finance BV:
3.00%, 1/15/19			3,801		3,704,835
3.02%, 1/15/19 (b)			2,757		2,707,319
7.88%, 3/15/19			5,669		6,076,261
5.75%, 1/20/20			7,883		7,981,537
4.88%, 3/17/20			2,074		2,050,564
5.38%, 1/27/21			8,203		8,022,534
8.38%, 5/23/21			5,094		5,488,785
4.75%, 1/14/25	EUR		1,100		1,127,499
8.75%, 5/23/26	USD		336		362,460
6.25%, 12/14/26	GBP		1,117		1,279,961
5.38%, 10/01/29			185		187,412
6.63%, 1/16/34			230		245,800

					39,234,967
British Virgin Islands — 0.0%
Bluestar Finance Holdings Ltd.:
3.13%, 9/30/19	USD		900		899,632
3.50%, 9/30/21			900		886,160

					1,785,792
China — 0.0%
Huarong Finance II Co. Ltd., 3.63%, 11/22/21			600		593,505
Jinan West City Investment & Development Group Co. Ltd., 3.13%, 10/11/21			650		623,265
Tewoo Group Finance No. 2 Ltd., 4.50%, 12/16/19			500		493,770

					1,710,540
France — 0.1%
Areva SA, 4.88%, 9/23/24	EUR		3,150		3,415,335


Foreign Agency Obligations		Par (000)		Value
Hong Kong — 0.0%
China Great Wall International Holdings III Ltd., 2.63%, 10/27/21	USD		600	$	575,463
India — 0.0%
Greenko Investment Co., 4.88%, 8/16/23			550		517,760
ONGC Videsh Vankorneft Pte Ltd., 3.75%, 7/27/26			342		325,282

					843,042
Indonesia — 0.1%
Pelabuhan Indonesia II PT, 5.38%, 5/05/45			350		311,063
Pertamina Persero PT:
5.63%, 5/20/43			2,304		2,119,862
6.45%, 5/30/44			1,890		1,913,343

					4,344,268
Mexico — 0.1%
Petroleos Mexicanos:
4.63%, 9/21/23 (a)			526		511,693
6.50%, 3/13/27 (a)			11,413		11,772,509

					12,284,202
Mongolia — 0.0%
Trade & Development Bank of Mongolia LLC, 9.38%, 5/19/20			900		860,281
Norway — 0.0%
Eksportfinans ASA, 5.50%, 6/26/17			275		278,891
Panama — 0.0%
Aeropuerto Internacional de Tocumen SA, 5.63%, 5/18/36 (a)			1,106		1,146,093
Russia — 0.0%
Gazprom OAO Via Gaz Capital SA, 4.95%, 7/19/22 (a)			828		851,987
United Arab Emirates — 0.0%
Abu Dhabi National Energy Co. PJSC:
3.63%, 1/12/23			1,000		995,000
4.38%, 6/22/26			300		301,536

					1,296,536
Total Foreign Agency Obligations — 0.8%					76,094,232

Foreign Government Obligations		Par (000)		Value
Argentina — 0.5%
Republic of Argentina:
6.25%, 4/22/19 (a)			27,491		29,346,643
6.88%, 4/22/21			766		815,790
3.88%, 1/15/22	EUR		5,004		5,040,978
7.50%, 4/22/26	USD		2,287		2,401,350
7.82%, 12/31/33	EUR		2,251		2,304,024
7.82%, 12/31/33			2,448		2,472,962
7.63%, 4/22/46 (a)	USD		1,677		1,677,000

					44,058,747
Brazil — 0.1%
Brazil Notas do Tesouro Nacional Inflation Linked Bonds, Series B, 6.00%, 5/15/21	BRL		9,000		8,208,661
Federative Republic of Brazil:
2.88%, 4/01/21	EUR		4,500		4,825,759
5.00%, 1/27/45	USD		1,035		839,592

					13,874,012


Foreign Government Obligations		Par (000)		Value
China — 0.0%
People’s Republic of China, 3.30%, 7/04/23	CNH		3,500	$	483,405
Colombia — 0.2%
Republic of Colombia, 4.00%, 2/26/24	USD		22,810		23,038,100
Germany — 0.3%
Deutsche Bundesrepublik Inflation Linked Bonds, 0.10%, 4/15/26	EUR		28,683		33,916,635
Greece — 0.0%
Hellenic Republic:
4.75%, 4/17/19			585		580,899
3.00%, 2/24/24 (c)			1,805		1,512,447

					2,093,346
Hungary — 0.1%
Republic of Hungary, 5.38%, 3/25/24	USD		8,660		9,439,400
Indonesia — 0.4%
Republic of Indonesia:
8.25%, 7/15/21	IDR		56,918,000		4,328,261
3.70%, 1/08/22	USD		575		576,292
7.00%, 5/15/22	IDR		252,697,000		18,187,826
3.38%, 4/15/23 (a)	USD		4,060		3,960,445
5.38%, 10/17/23 (a)			1,480		1,602,933
5.88%, 1/15/24 (a)			7,210		7,954,822
3.38%, 7/30/25	EUR		650		700,618
4.35%, 1/08/27	USD		1,000		1,002,122
5.25%, 1/08/47			1,000		997,122

					39,310,441
Japan — 0.2%
Government of Japan (10 Year), 0.10%, 9/20/26	JPY		1,940,000		16,695,038
Mexico — 0.8%
United Mexican States:
4.75%, 6/14/18			1,119		5,241,775
4.00%, 10/02/23	USD		66,695		66,855,068
5.75%, 10/12/10			1,210		1,116,225
United Mexican States Inflation Linked Bonds, 3.50%, 12/14/17	MXN		7,417		2,041,805

					75,254,873
Mongolia — 0.0%
Mongolian People’s Republic:
7.50%, 6/30/18	CNH		2,000		263,561
5.13%, 12/05/22	USD		2,100		1,790,300

					2,053,861
Panama — 0.1%
Republic of Panama, 3.75%, 3/16/25			8,640		8,575,200
Peru — 0.1%
Republic of Peru, 7.35%, 7/21/25			6,920		8,885,280
Portugal — 0.0%
Republic of Portugal, 5.13%, 10/15/24			875		846,563
South Africa — 0.1%
Republic of South Africa, 4.88%, 4/14/26			5,820		5,790,900


Foreign Government Obligations		Par (000)		Value
Sri Lanka — 0.1%
Republic of Sri Lanka:
6.00%, 1/14/19	USD		200	$	205,621
6.25%, 10/04/20			906		928,657
6.25%, 7/27/21			443		449,558
5.75%, 1/18/22			600		590,860
6.13%, 6/03/25			900		846,717
6.85%, 11/03/25			1,300		1,276,642
6.83%, 7/18/26			1,400		1,377,026

					5,675,081
Turkey — 0.2%
Republic of Turkey:
6.75%, 4/03/18			7,992		8,340,052
7.00%, 3/11/19			6,158		6,542,875
7.50%, 11/07/19			4,475		4,866,563
5.63%, 3/30/21			2,316		2,374,826

					22,124,316
Uruguay — 0.1%
Republic of Uruguay, 4.38%, 10/27/27			8,100		8,120,655
Total Foreign Government Obligations — 3.3%					320,235,853

Investment Companies — 0.1%		Shares		Value
Vanguard REIT ETF			101,490		8,375,970

Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations — 2.3%
Ajax Mortgage Loan Trust:
Series 2015-C, Class A, 3.88%, 3/25/57 (a)(c)	USD		8,938		8,735,143
Series 2016-A, Class A, 4.25%, 8/25/64 (a)(c)			4,408		4,409,700
American Home Mortgage Assets Trust:
Series 2006-3, Class 2A11, 1.48%, 10/25/46 (b)			1,273		1,009,770
Series 2006-4, Class 1A12, 0.97%, 10/25/46 (b)			3,717		2,465,655
Series 2006-5, Class A1, 1.49%, 11/25/46 (b)			4,335		2,242,976
Series 2007-1, Class A1, 1.27%, 2/25/47 (b)			1,047		613,017
Angel Oak Mortgage Trust I LLC, Series 2016-1, Class A1, 3.50%, 7/25/46 (a)(c)			3,020		3,001,605
Angel Oak Mortgage Trust LLC, Series 2015-1, Class A, 4.50%, 11/25/45 (a)(c)			916		921,575
APS Resecuritization Trust:
Series 2016-3, Class 3A, 1.57%, 9/27/46 (a)(b)			9,180		9,179,776
Series 2016-3, Class 4A, 1.99%, 4/27/47 (a)(b)			2,696		2,696,384
Banc of America Funding Trust, Series 2016-R2, Class 1A1, 4.70%, 12/01/33 (a)(b)			1,880		1,876,475
Bear Stearns ALT-A Trust II, Series 2007-1, Class 1A1, 3.02%, 9/25/47 (b)			4,495		3,145,796
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9, Class A5, 6.25%, 12/25/35 (c)			389		339,486
Bear Stearns Mortgage Funding Trust:
Series 2007-AR2, Class A1, 0.76%, 3/25/37 (b)			670		549,822


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2007-AR3, Class 1A1, 0.73%, 3/25/37 (b)	USD		980	$	807,665
Series 2007-AR4, Class 1A1, 0.79%, 9/25/47 (b)			3,847		3,300,381
Series 2007-AR4, Class 2A1, 0.80%, 6/25/37 (b)			1,094		899,985
Berica 8 Residential MBS Srl, Series 8, Class A, 0.00%, 3/31/48 (b)	EUR		237		247,397
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 7.32%, 12/25/35 (a)(b)(m)	USD		7		6,464
Citigroup Mortgage Loan Trust, Series 2007-2, Class 2A, 6.00%, 11/25/36			43		43,941
Collateralized Mortgage Obligation Trust, Series 57, Class D, 9.90%, 2/01/19			1		1,551
COLT LLC, Series 2015-1, Class A1V, 3.59%, 12/26/45 (a)(b)			1,558		1,545,825
Countrywide Alternative Loan Trust:
Series 2005-56, Class 4A1, 0.89%, 11/25/35 (b)			2,823		2,313,921
Series 2005-72, Class A3, 0.88%, 1/25/36 (b)			1,113		952,581
Series 2005-76, Class 2A1, 1.57%, 2/25/36 (b)			1,329		1,171,733
Series 2006-15CB, Class A1, 6.50%, 6/25/36			599		429,790
Series 2006-23CB, Class 2A5, 1.16%, 8/25/36 (b)			8,481		2,766,243
Series 2006-OA14, Class 1A1, 2.30%, 11/25/46 (b)			5,502		4,469,400
Series 2006-OA21, Class A1, 0.93%, 3/20/47 (b)			14,073		9,696,445
Series 2006-OA6, Class 1A2, 0.97%, 7/25/46 (b)			5,058		4,225,001
Series 2006-OA8, Class 1A1, 0.95%, 7/25/46 (b)			802		659,793
Series 2007-OA2, Class 1A1, 1.38%, 3/25/47 (b)			10,096		6,211,445
Series 2007-OA3, Class 1A1, 0.90%, 4/25/47 (b)			1,642		1,349,019
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2004-29, Class 1A1, 1.30%, 2/25/35 (b)			508		477,538
Series 2006-OA4, Class A1, 1.53%, 4/25/46 (b)			1,768		848,839
Credit Suisse Commercial Mortgage Trust:
Series 2014-4R, Class 16A3, 0.73%, 2/27/36 (a)(b)			830		674,905
Series 2014-9R, Class 9A1, 1.28%, 8/27/36 (a)(b)			1,993		1,540,272
Credit Suisse Mortgage Capital Certificates:
Series 2010-20R, Class 9A1, 3.06%, 1/27/36 (a)(b)			3,876		3,856,777
Series 2011-5R, Class 3A1, 3.37%, 9/27/47 (a)(b)			2,235		2,182,794
Series 2013-5R, Class 1A6, 0.78%, 2/27/36 (a)(b)			1,755		1,404,000
Series 2014-11R, Class 16A1, 3.17%, 9/27/47 (a)(b)			3,069		3,052,263
Series 2015-6R, Class 5A1, 0.71%, 3/27/36 (a)(b)			1,338		1,254,924
Series 2015-6R, Class 5A2, 0.71%, 3/27/36 (a)(b)			2,721		1,325,551
Deephaven Residential Mortgage Trust, Series 2016-1A, Class A1, 4.00%, 7/25/46 (a)			4,894		4,893,504
Deutsche Alt-A Securities Mortgage Loan Trust:
Series 2007-OA4, Class 1A1B, 0.89%, 8/25/47 (b)			980		836,310


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2007-RMP1, Class A2, 0.74%, 12/25/36 (b)	USD		3,438	$	2,786,092
Deutsche ALT-A Securities, Inc., Series 2007-RS1, Class A2, 1.26%, 1/27/37 (a)(b)			640		1,257,106
Deutsche Alt-B Securities Mortgage Loan Trust:
Series 2006-AB3, Class A3, 6.51%, 7/25/36 (b)			906		746,745
Series 2006-AB3, Class A8, 6.36%, 7/25/36 (b)			578		476,204
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, 2.54%, 3/25/36 (b)			1,258		1,046,577
GSMPS Mortgage Loan Trust:
Series 2005-RP1, Class 1AF, 0.94%, 1/25/35 (a)(b)			2,034		1,752,854
Series 2005-RP2, Class 1AF, 0.94%, 3/25/35 (a)(b)			2,583		2,283,866
Series 2006-RP1, Class 1AF1, 0.94%, 1/25/36 (a)(b)			1,929		1,610,624
HomeBanc Mortgage Trust, Series 2005-4, Class A1, 1.03%, 10/25/35 (b)			6,421		6,172,014
Impac CMB Trust, Series 2005-7, Class A1, 1.28%, 11/25/35 (b)			4,781		3,886,608
Impac Secured Assets CMN Owner Trust, Series 2004-3, Class 1A4, 1.56%, 11/25/34 (b)			369		362,736
JPMorgan Alternative Loan Trust:
Series 2007-A1, Class 1A4, 0.80%, 3/25/37 (b)			2,692		1,946,987
Series 2007-A2, Class 2A1, 3.18%, 5/25/37 (b)			655		544,309
JPMorgan Resecuritization Trust, Series 2015-3, Class 1A7, 0.65%, 6/26/37 (a)(b)			1,948		1,814,923
Lehman XS Trust, Series 2007-20N, Class A1, 1.91%, 12/25/37 (b)			1,649		1,251,256
LSTAR Securities Investment Ltd., Series 2016-3, Class A, 2.53%, 9/01/21 (a)(b)			15,682		15,490,454
LSTAR Securities Investment Trust:
Series 2016-5, Class A1, 3.97%, 11/01/21 (a)(b)			11,641		11,511,671
Series 2015-3, Class A, 2.62%, 3/01/20 (a)(b)			5,701		5,686,343
Series 2015-8, Class A1, 2.53%, 8/01/20 (a)(b)			1,541		1,529,317
Series 2015-10, Class A1, 2.77%, 11/01/20 (a)(b)			1,301		1,291,413
Series 2015-10, Class A2, 4.27%, 11/01/20 (a)(b)			680		674,900
Series 2016-2, Class A, 2.53%, 3/01/21 (a)(b)			12,684		12,467,258
MASTR Resecuritization Trust, Series 2008-3, Class A1, 0.97%, 8/25/37 (a)(b)			2,145		1,462,122
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 3.28%, 5/25/36 (b)			3,467		3,181,270
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3B1, 1.27%, 6/26/47 (a)(b)			1,076		980,924
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, 0.96%, 4/16/36 (a)(b)			11,221		9,289,708
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A4, 6.63%, 5/25/36 (c)			709		311,644
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 1.05%, 11/26/35 (a)(b)			1,700		1,525,962
Paragon Mortgages No. 13 PLC, Series 13X, Class A2C, 1.06%, 1/15/39 (b)			410		376,419


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
RALI Trust:
Series 2007-QH1, Class A1, 0.92%, 2/25/37 (b)	USD		1,486	$	1,219,840
Series 2007-QH6, Class A1, 0.95%, 7/25/37 (b)			2,180		1,864,850
Series 2007-QH9, Class A1, 1.85%, 11/25/37 (b)			1,377		944,134
RBSSP Resecuritization Trust, Series 2013-2, Class 1A2, 0.73%, 12/26/36 (a)(b)			1,090		1,017,612
Reperforming Loan REMIC Trust:
Series 2005-R2, Class 1AF1, 0.93%, 6/25/35 (a)(b)			882		780,768
Series 2005-R3, Class AF, 0.98%, 9/25/35 (a)(b)			289		249,176
Stanwich Mortgage Loan Co. LLC, Series 2016-NPL2, Class NOTE, 3.72%, 8/16/46 (a)(c)			4,377		4,355,267
Structured Asset Mortgage Investments II Trust:
Series 2006-AR4, Class 3A1, 0.78%, 6/25/36 (b)			2,311		1,835,381
Series 2006-AR5, Class 2A1, 0.80%, 5/25/46 (b)			863		646,748
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF4, Class 2A1, 6.00%, 10/25/36 (a)			1,759		1,528,842
Thornburg Mortgage Securities Trust, Series 2007-3, Class 4A1, 5.75%, 6/25/47 (b)			1,514		1,366,970
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-4, Class 3A1, 6.50%, 5/25/36 (c)			2,349		1,733,507
Wedgewood Real Estate Trust, Series 2016-1, Class A1, 3.45%, 7/15/46 (a)(b)			19		18,746

					215,913,584
Commercial Mortgage-Backed Securities — 3.8%
Banc of America Commercial Mortgage Trust:
Series 2007-1, Class A4, 5.45%, 1/15/49			97		96,975
Series 2007-1, Class AMFX, 5.48%, 1/15/49 (b)			700		699,032
Series 2007-3, Class A1A, 5.55%, 6/10/49 (b)			1,202		1,210,578
Series 2007-3, Class A4, 5.55%, 6/10/49 (b)			1,163		1,169,451
Series 2007-3, Class AJ, 5.55%, 6/10/49 (b)			1,765		1,788,450
Series 2007-5, Class AM, 5.77%, 2/10/51 (b)			2,030		2,067,461
Series 2008-1, Class A4, 6.24%, 2/10/51 (b)			316		323,924
Banc of America Merrill Lynch Commercial Mortgage Securities Trust:
Series 2013-DSNY, Class A, 1.75%, 9/15/26 (a)(b)			1,204		1,204,514
Series 2013-DSNY, Class E, 3.30%, 9/15/26 (a)(b)			100		99,828
Series 2013-DSNY, Class F, 4.20%, 9/15/26 (a)(b)			2,303		2,293,468
Series 2015-200P, Class F, 3.60%, 4/14/33 (a)(b)			2,071		1,886,300
Series 2016-ISQ, Class E, 3.61%, 8/14/34 (a)(b)			6,140		5,232,508
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2005-3, Class AM, 4.73%, 7/10/43			1,088		1,089,059
Barclays Commercial Mortgage Trust:
Series 2015-SLP, Class D, 3.90%, 2/15/28 (a)(b)			1,410		1,384,372


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2015-SRCH, Class A1, 3.31%, 8/10/35 (a)	USD		2,730	$	2,761,433
Bayview Commercial Asset Trust: Series 2005-2A, Class A1, 1.07%, 8/25/35 (a)(b)			2,066		1,802,406
Series 2006-1A, Class A2, 1.12%, 4/25/36 (a)(b)			570		495,322
Series 2006-3A, Class A2, 1.06%, 10/25/36 (a)(b)			669		553,542
Series 2007-2A, Class A1, 1.03%, 7/25/37 (a)(b)			1,843		1,579,805
Series 2007-4A, Class A1, 1.21%, 9/25/37 (a)(b)			8,268		6,920,369
Series 2007-5A, Class A3, 1.76%, 10/25/37 (a)(b)			593		553,718
Series 2008-4, Class A3, 3.51%, 7/25/38 (a)(b)			1,103		1,133,947
BB-UBS Trust, Series 2012-SHOW, Class E, 4.03%, 11/05/36 (a)(b)			790		765,966
Bear Stearns Commercial Mortgage Securities Trust:
Series 2007-PW15, Class A1A, 5.32%, 2/11/44			2,665		2,668,468
Series 2007-PW16, Class AM, 5.71%, 6/11/40 (b)			3,071		3,111,186
Series 2007-PW17, Class AMFL, 1.37%, 6/11/50 (a)(b)			775		762,596
Series 2007-PW18, Class A1A, 5.60%, 6/11/50			153		157,187
Series 2007-PW18, Class AM, 6.08%, 6/11/50 (b)			2,720		2,805,687
Series 2007-PW18, Class AMA, 6.09%, 6/11/50 (b)			4,033		4,162,616
BHMS Mortgage Trust, Series 2014-ATLS, Class AFL, 2.13%, 7/05/33 (a)(b)			3,565		3,568,346
BWAY Mortgage Trust:
Series 2013-1515, Class D, 3.63%, 3/10/25 (a)			1,400		1,359,888
Series 2013-1515, Class F, 3.93%, 3/10/33 (a)(b)			3,720		3,478,196
BXHTL Mortgage Trust, Series 2015-JWRZ, Class A, 1.93%, 5/15/29 (a)(b)			2,990		2,998,443
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.49%, 4/10/29 (a)(b)			560		549,296
CD Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48			5,448		5,480,105
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class A, 1.94%, 12/15/27 (a)(b)			6,696		6,716,975
CFCRE Commercial Mortgage Trust, Series 2016-C4, Class A4, 3.28%, 5/10/58			800		792,556
CFCRE Mortgage Trust, Series 2015-RUM, Class A, 2.24%, 7/15/30 (a)(b)			1,440		1,441,260
CGBAM Commercial Mortgage Trust, Series 2015-SMRT, Class E, 3.79%, 4/10/28 (a)(b)			770		736,062
CGGS Commercial Mortgage Trust:
Series 2016-RNDB, Class AFL, 2.35%, 2/15/33 (a)(b)			7,092		7,111,863
Series 2016-RNDB, Class CFL, 4.20%, 2/15/33 (a)(b)			3,592		3,617,893
Series 2016-RNDB, Class DFL, 5.45%, 2/15/33 (a)(b)			4,428		4,452,208
Citigroup Commercial Mortgage Trust:
Series 16-SMPL, 3.52%, 9/08/31 (a)			320		309,323
Series 16-SMPL, 4.51%, 9/08/31 (a)			620		602,336
Series 2013-375P, Class D, 3.52%, 5/10/35 (a)(b)			240		235,020


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2013-375P, Class E, 3.52%, 5/10/35 (a)(b)	USD		2,645	$	2,491,086
Series 2013-GC11, Class D, 4.60%, 4/10/46 (a)(b)			1,125		1,015,587
Series 2015-SSHP, Class A, 1.85%, 9/15/27 (a)(b)			4,370		4,360,355
Series 2016-C1, Class C, 4.95%, 5/10/49 (b)			1,290		1,282,899
Series 2016-GC37, Class C, 4.92%, 2/10/26 (b)			640		623,497
Series 2016-GC37, Class D, 2.79%, 4/10/49 (a)			2,130		1,428,488
Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD5, Class AMA, 6.12%, 11/15/44 (b)			4,308		4,443,563
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class AM, 5.76%, 5/15/46 (b)			2,088		2,115,590
Commercial Mortgage Pass-Through Certificates:
Series 2007-C9, Class AJFL, 1.35%, 12/10/49 (a)(b)			6,595		6,435,126
Series 2007-GG11, Class AM, 5.87%, 12/10/49 (b)			600		613,193
Series 2010-RR1, Class GEB, 5.54%, 12/11/49 (a)(b)			2,260		2,267,220
Series 2013-300P, Class A1, 4.35%, 8/10/30 (a)			880		952,305
Series 2013-GAM, Class A2, 3.37%, 2/10/28 (a)			1,656		1,680,856
Series 2013-WWP, Class D, 3.90%, 3/10/31 (a)			2,090		2,073,446
Series 2014-277P, Class A, 3.61%, 8/10/49 (a)(b)			3,180		3,294,849
Series 2014-CR18, Class C, 4.74%, 7/15/47 (b)			2,974		3,034,821
Series 2014-CR21, Class C, 4.56%, 12/10/24 (b)			1,010		1,002,758
Series 2014-FL4, Class D, 3.13%, 7/13/31 (a)(b)			660		647,741
Series 2014-PAT, Class A, 1.48%, 8/13/27 (a)(b)			2,788		2,780,994
Series 2014-PAT, Class E, 3.83%, 8/15/27 (a)(b)			540		535,935
Series 2014-TWC, Class A, 1.39%, 2/13/17 (a)(b)			1,715		1,715,000
Series 2014-TWC, Class B, 2.36%, 2/13/17 (a)(b)			3,190		3,190,000
Series 2015-CR23, Class CMD, 3.68%, 5/10/48 (a)(b)			1,090		1,017,516
Series 2015-CR25, Class C, 4.55%, 8/10/48 (b)			1,740		1,706,676
Series 2015-CR25, Class D, 3.80%, 8/10/48 (b)			790		595,343
Series 2015-LC19, Class D, 2.87%, 2/10/48 (a)			2,280		1,734,369
Series 2015-LC21, Class C, 4.31%, 7/10/48 (b)			1,600		1,426,232
Series 2016-667M, Class D, 3.18%, 10/10/36 (a)(b)			630		562,453
Core Industrial Trust:
Series 2015-CALW, Class G, 3.85%, 2/10/34 (a)(b)			1,971		1,857,707
Series 2015-TEXW, Class A, 3.08%, 2/10/34 (a)			2,970		3,028,423
Series 2015-TEXW, Class D, 3.85%, 2/10/34 (a)(b)			1,330		1,335,714
Series 2015-TEXW, Class E, 3.85%, 2/10/34 (a)(b)			250		242,029
Cosmopolitan Hotel Trust, Series 2016-CSMO, Class A, 2.10%, 11/15/33 (a)(b)			4,990		5,015,013


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Countrywide Commercial Mortgage Trust, Series 2007-MF1, Class A, 6.09%, 11/12/43 (a)(b)	USD		1,177	$	1,190,242
Credit Suisse Commercial Mortgage Trust:
Series 2007-C2, Class AMFL, 0.94%, 1/15/49 (b)			2,140		2,134,944
Series 2007-C4, Class A1AM, 5.93%, 9/15/39 (b)			1,236		1,257,598
Series 2008-C1, Class A3, 6.06%, 2/15/41 (b)			2,871		2,929,555
Series 2014-TIKI, Class E, 3.85%, 9/15/38 (a)(b)			730		704,185
Series 2015-DEAL, Class A, 2.02%, 4/15/29 (a)(b)			5,570		5,577,094
Credit Suisse Mortgage Capital Certificates:
Series 2010-RR1, Class 2A, 5.70%, 9/15/40 (a)(b)			2,482		2,493,242
Series 2010-RR2, Class 2A, 5.93%, 9/15/39 (a)(b)			1,044		1,046,028
Series 2015-DEAL, Class D, 3.80%, 4/15/29 (a)(b)			1,205		1,198,655
Series 2015-GLPB, Class A, 3.64%, 11/15/34 (a)			2,730		2,845,091
Series 2016-MFF, Class A, 2.14%, 11/15/33 (a)(b)			690		691,021
Series 2016-NXSR, Class A4, 3.73%, 12/15/49			1,700		1,748,130
Credit Suisse Mortgage Capital OA LLC, Series 2014-USA, Class E, 4.37%, 9/15/25 (a)			1,230		1,028,026
CSAIL Commercial Mortgage Trust:
Series 2015-C1, Class D, 3.80%, 4/17/50 (a)(b)			590		482,112
Series 2015-C3, Class C, 4.36%, 8/15/48 (b)			780		759,169
Series 2015-C3, Class D, 3.36%, 8/15/48 (b)			250		185,378
Series 2016-C6, Class C, 4.91%, 1/15/49 (b)			1,370		1,375,952
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C3, Class D, 3.49%, 9/10/49 (a)(b)			4,460		3,414,754
Deutsche Bank Re-REMIC Trust, Series 2011-C32, Class A3A, 5.52%, 6/17/49 (a)(b)			3,305		3,316,813
Eleven Madison Mortgage Trust, Series 2015-11MD, Class A, 3.55%, 9/10/35 (a)(b)			1,520		1,563,998
GAHR Commercial Mortgage Trust:
Series 2015-NRF, Class AFL1, 2.00%, 12/15/34 (a)(b)			3,302		3,307,581
Series 2015-NRF, Class DFX, 3.38%, 12/15/34 (a)(b)			830		825,377
Series 2015-NRF, Class EFX, 3.38%, 12/15/34 (a)(b)			935		908,978
Series 2015-NRF, Class FFX, 3.38%, 12/15/34 (a)(b)			4,320		4,085,853
Series 2015-NRF, Class GFX, 3.38%, 12/15/19 (a)(b)			7,142		6,524,456
GS Mortgage Securities Trust:
Series 2006-GG8, Class AM, 5.59%, 11/10/39			163		162,793
Series 2007-GG10, Class A4, 5.79%, 8/10/45 (b)			3,094		3,113,580
Series 2010-C1, Class A1, 3.68%, 8/10/43 (a)			754		774,329
Series 2014-GC22, Class D, 4.65%, 6/10/47 (a)(b)			420		335,451
Series 2015-GC32, Class D, 3.35%, 7/10/48			800		595,467


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2016-GS3, Class A4, 2.85%, 10/10/49	USD		1,620	$	1,574,055
Series 2016-RENT, Class C, 4.07%, 2/10/29 (a)(b)			1,850		1,863,556
Hilton USA Trust, Series 2013-HLT, Class EFX, 4.45%, 11/05/30 (a)(b)			5,083		5,090,585
Hudson Yards Mortgage Trust, Series 2016-10HY, Class A, 2.84%, 8/10/38 (a)			760		732,227
Impac CMB Trust:
Series 2004-11, Class 1A2, 1.11%, 3/25/35 (b)			2,568		2,213,660
Series 2005-6, Class 1A1, 1.09%, 10/25/35 (b)			1,729		1,476,101
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C22, Class D, 4.56%, 9/15/47 (a)(b)			800		699,806
Series 2014-C26, Class A4, 3.49%, 1/15/48			1,247		1,280,013
Series 2015-C28, Class B, 3.99%, 3/15/25 (b)			3,000		2,873,181
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2006-CB15, Class AM, 5.86%, 6/12/43 (b)			887		888,550
Series 2007-CB20, Class AM, 5.96%, 2/12/51 (b)			1,000		1,024,069
Series 2007-LD11, Class A4, 5.75%, 5/15/17 (b)			5,288		5,319,720
Series 2008-C2, Class A4FL, 2.16%, 2/12/51 (b)			2,195		2,098,965
Series 2008-C2, Class ASB, 6.13%, 2/12/51 (b)			237		238,673
Series 2014-CBM, Class E, 4.55%, 10/15/19 (a)(b)			670		660,018
Series 2014-DSTY, Class A, 3.43%, 6/10/27 (a)			885		905,182
Series 2014-DSTY, Class D, 3.80%, 6/10/27 (a)(b)			2,680		2,578,829
Series 2014-FL6, Class A, 2.10%, 11/15/31 (a)(b)			2,975		2,971,082
Series 2015-SGP, Class A, 2.40%, 7/15/36 (a)(b)			6,206		6,252,703
Series 2015-UES, Class E, 3.62%, 9/05/32 (a)(b)			3,880		3,755,114
Series 2016-ATRM, Class D, 5.35%, 10/05/28 (a)			1,470		1,497,186
Series 2016-NINE, Class A, 2.85%, 10/06/38 (a)(b)			3,320		3,217,400
Series 2016-WPT, Class A, 2.15%, 10/15/33 (a)(b)			2,200		2,206,419
JPMorgan Commercial Mortgage-Backed Securities Trust, Series 2009-RR1, Class A4B, 5.72%, 11/18/17 (a)(b)			300		301,486
LB-UBS Commercial Mortgage Trust:
Series 2007-C1, Class AJ, 5.48%, 2/15/40			51		51,045
Series 2007-C7, Class A1A, 5.68%, 9/15/45 (b)			503		514,496
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 1A, 1.01%, 3/25/37 (a)(b)			2,357		2,100,583
Lone Star Portfolio Trust:
Series 2015-LSP, Class A1A2, 2.50%, 9/15/28 (a)(b)			901		907,096
Series 2015-LSP, Class D, 4.70%, 9/15/28 (a)(b)			691		697,423
Series 2015-LSP, Class E, 6.30%, 9/15/28 (a)(b)			1,007		1,015,266


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Merrill Lynch Mortgage Investors Trust, Series 1998-C3, Class G, 6.00%, 12/15/30 (a)	USD		2,606	$	2,577,309
Merrill Lynch Mortgage Trust:
Series 2007-C1, Class A1A, 6.49%, 6/12/50 (b)			2,417		2,439,024
Series 2008-C1, Class AJ, 6.26%, 2/12/51 (b)			720		735,014
ML-CFC Commercial Mortgage Trust:
Series 2007-7, Class A4, 5.73%, 6/12/50 (b)			2,657		2,674,407
Series 2007-9, Class AM, 5.86%, 9/12/49 (b)			1,890		1,939,799
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2015-C20, Class D, 3.07%, 2/15/48 (a)			260		185,934
Series 2015-C24, Class A4, 3.73%, 5/15/48			840		871,884
Series 2015-C25, Class C, 4.53%, 10/15/48 (b)			330		326,446
Series 2015-C25, Class D, 3.07%, 10/15/48			1,060		742,014
Series 2015-C26, Class A5, 3.53%, 10/15/48			810		829,656
Series 2015-C26, Class D, 3.06%, 10/15/48 (a)			1,935		1,334,800
Morgan Stanley Capital I Trust:
Series 2007-HQ11, Class AMFL, 0.86%, 2/12/44 (b)			690		689,509
Series 2007-HQ12, Class AM, 5.78%, 4/12/49 (b)			1,827		1,826,933
Series 2007-IQ13, Class AM, 5.41%, 3/15/44			1,547		1,545,652
Series 2007-IQ14, Class A4, 5.69%, 4/15/49 (b)			1,828		1,832,217
Series 2007-IQ16, Class A4, 5.81%, 12/12/49			3,986		4,044,429
Series 2008-T29, Class A4, 6.28%, 1/11/43 (b)			1,342		1,389,923
Series 2014-CPT, Class G, 3.45%, 7/13/29 (a)(b)			1,290		1,233,382
Series 2015-MS1, Class C, 4.03%, 5/15/48 (b)			560		526,922
Series 2015-XLF2, Class AFSB, 3.45%, 8/15/26 (a)(b)			600		600,000
Morgan Stanley Re-REMIC Trust:
Series 2009-GG10 5.99%, 8/12/45 (a)(b)			6,666		6,703,063
Series 2010-GG10, Class A4B, 5.79%, 8/15/45 (a)(b)			6,998		7,023,705
Series 2012-XA, Class A, 2.00%, 7/27/49 (a)			617		613,776
RBSCF Trust, Series 2010-RR3, Class WBTA, 5.97%, 2/16/51 (a)(b)			6,460		6,450,014
Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.75%, 4/15/32 (a)(b)			1,252		1,245,420
STRIPs Ltd.:
Series 2012-1A, Class A, 1.50%, 12/25/44 (a)			164		163,154
Series 2012-1A, Class B, 0.50%, 12/25/44 (a)			3,480		3,366,900
Velocity Commercial Capital Loan Trust:
Series 2015-1, Class AFL, 3.02%, 6/25/45 (a)(b)			4,797		4,802,967
Series 2016-2, Class AFL, 2.33%, 10/25/46 (b)			3,203		3,204,191
Series 2016-2, Class M1, 3.66%, 10/25/46 (b)			360		352,634


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2016-2, Class M2, 4.46%, 10/25/46 (b)	USD		200	$	195,484
Series 2016-2, Class M3, 5.50%, 10/25/46 (b)			340		331,850
Series 2016-2, Class M4, 7.23%, 10/25/46 (b)			370		360,117
VNDO Trust, Series 2016-350P, Class E, 3.93%, 1/10/35 (a)(b)			2,300		2,012,468
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C28, Class AJ, 5.63%, 10/15/48 (b)			382		381,791
Series 2007-C32, Class AMFL, 0.93%, 6/15/49 (a)(b)			1,930		1,863,120
Series 2007-C32, Class AMFX, 5.70%, 6/15/49 (a)			3,533		3,565,799
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 2.05%, 6/15/29 (a)(b)			3,870		3,883,901
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR13, Class 2A, 2.20%, 10/25/46 (b)			6,633		6,149,648
Wells Fargo Commercial Mortgage Trust:
Series 2014-TISH, Class SCH1, 3.29%, 1/15/27 (a)(b)			8,224		8,022,010
Series 2015-C27, Class C, 3.89%, 2/15/48			1,402		1,223,569
Series 2015-C31, Class A4, 3.70%, 11/15/48			130		134,653
Series 2015-C31, Class D, 3.85%, 11/15/48			720		523,674
Series 2015-NXS4, Class C, 4.60%, 12/15/48 (b)			406		399,084
Series 2016-C37, Class C, 4.49%, 12/15/49 (b)			1,500		1,453,395

					367,088,704
Interest Only Commercial Mortgage-Backed Securities — 0.5%
Banc of America Commercial Mortgage Trust, Series 2015-UBS7, Class XA, 0.92%, 9/15/48 (b)			1,198		68,732
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XA, 0.96%, 8/10/35 (a)(b)			17,710		1,314,613
CFCRE Commercial Mortgage Trust:
Series 2016-C3, Class XD, 1.71%, 1/10/48 (a)(b)			5,497		652,824
Series 2016-C4, Class XA, 1.77%, 5/10/58 (b)			10,461		1,213,004
Series 2016-C4, Class XB, 0.73%, 5/10/58 (b)			5,810		332,623
Citigroup Commercial Mortgage Trust:
Series 2014-GC19, Class XA, 1.24%, 3/10/47 (b)			13,393		804,566
Series 2014-GC21, Class XA, 1.28%, 5/10/47 (b)			9,634		651,229
Series 2014-GC25, Class XE, 1.23%, 10/10/47 (a)(b)			2,760		200,575
Series 2016-P3, Class XA, 1.72%, 4/15/49 (b)			8,638		952,651
Commercial Mortgage Pass-Through Certificates:
Series 2013-CR6, Class XA, 1.47%, 3/10/46 (b)			30,892		1,186,196
Series 2014-CR14, Class XA, 0.84%, 2/10/47 (b)			47,299		1,586,877
Series 2015-3BP, Class XA, 0.06%, 2/10/35 (a)(b)			150,000		1,072,500
Series 2015-CR22, Class XA, 1.02%, 3/10/48 (b)			28,620		1,565,490
Series 2015-CR23, Class XA, 1.00%, 5/10/48 (b)			29,426		1,576,223


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2015-CR25, Class XA, 0.96%, 8/10/48 (b)	USD		23,858	$	1,432,990
Series 2015-LC21, Class XA, 0.87%, 7/10/48 (b)			82,424		3,690,010
Series 2016-DC2, Class XA, 1.08%, 2/10/26 (b)			21,426		1,478,747
Commercial Mortgage Trust, Series 2015-LC19, Class XA, 1.22%, 2/10/48 (b)			10,782		793,806
Core Industrial Trust:
Series 2015-TEXW, Class XA, 0.77%, 2/10/34 (a)(b)			12,909		453,697
Series 2015-WEST, Class XA, 0.93%, 2/10/37 (a)(b)			9,900		625,825
Credit Suisse Mortgage Capital Certificates, Series 2015-GLPA, Class XA, 0.26%, 11/15/37 (a)(b)			18,420		418,134
CSAIL Commercial Mortgage Trust:
Series 2016-C5, Class XA, 1.06%, 11/15/48 (b)			7,116		443,825
Series 2016-C6, Class XA, 1.82%, 1/15/49 (b)			8,283		953,289
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 2/25/22 (a)(b)			94,639		393,577
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C21, Class XA, 1.09%, 8/15/47 (b)			8,095		484,363
Series 2014-C22, Class XA, 0.95%, 9/15/47 (b)			7,684		397,052
Series 2014-C23, Class XA, 0.85%, 9/15/47 (b)			59,742		2,154,960
Series 2014-C24, Class XA, 1.07%, 11/15/47 (b)			29,677		1,486,664
Series 2015-C28, Class XA, 1.20%, 10/15/48 (b)			7,540		452,317
Series 2015-C29, Class XA, 0.95%, 5/15/48 (b)			3,061		124,144
Series 2015-C33, Class XA, 1.04%, 12/15/48 (b)			15,660		1,020,026
Series 2016-C1, Class XA, 1.40%, 3/15/49 (b)			18,111		1,531,269
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49 (a)(b)			4,940		270,218
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2013-LC11, Class XB, 0.61%, 4/15/46 (b)			4,570		141,109
Series 2014-C20, Class XA, 1.14%, 7/15/47 (b)			5,048		239,957
Series 2015-C27, Class XA, 1.37%, 2/15/48 (b)			37,682		2,610,804
Series 2016-JP3, Class XC, 0.75%, 8/15/49 (a)(b)			13,040		588,104
Series 2016-JP4, Class XA, 0.83%, 12/15/49 (b)			3,000		152,494
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C19, Class XA, 1.15%, 12/15/47 (b)			13,580		754,437
Series 2014-C19, Class XF, 1.19%, 12/15/47 (a)(b)			4,370		273,575
Series 2015-C22, Class XA, 1.17%, 4/15/48 (b)			6,709		435,235
Series 2015-C25, Class XA, 1.15%, 10/15/48 (b)			18,890		1,334,181
Series 2015-C26, Class XA, 1.12%, 10/15/48 (b)			12,182		843,644


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2015-C26, Class XD, 1.35%, 10/15/48 (a)(b)	USD		4,490	$	445,633
Series 2016-C28, Class XA, 1.29%, 1/15/49 (b)			4,095		336,972
Series 2016-C29, Class XA, 1.66%, 5/15/49 (b)			7,865		832,713
Series 2016-C29, Class XB, 0.96%, 5/15/49 (b)			9,126		677,670
Series 2016-C31, Class XA, 1.47%, 11/15/49 (b)			2,668		259,152
Series 2016-C32, Class XA, 0.78%, 12/15/49 (b)			6,000		332,640
Morgan Stanley Capital I Trust, Series 2016-UBS9, Class XD, 1.55%, 3/15/49 (a)(b)			13,984		1,532,507
WaMu Commercial Mortgage Securities Trust, Series 2005-C1A, Class X, 1.46%, 5/25/36 (a)(b)			140		957
Wells Fargo Commercial Mortgage Trust:
Series 2015-C27, Class XA, 0.99%, 2/15/48 (b)			17,176		1,000,421
Series 2015-C30, Class XA, 1.01%, 9/15/58 (b)			3,535		221,539
Series 2015-NXS1, Class XA, 1.19%, 5/15/48 (b)			8,162		536,916
Series 2015-NXS1, Class XB, 0.36%, 5/15/48 (b)			3,210		109,396
Series 2015-NXS4, Class XA, 0.96%, 12/15/48 (b)			3,240		197,490
Series 2016-BNK1, Class XB, 1.34%, 8/15/49 (b)			6,800		719,168
Series 2016-BNK1, Class XD, 1.27%, 8/15/49 (a)(b)			3,420		314,366
Series 2016-C33, 1.81%, 3/17/59 (b)			16,298		1,826,840
Series 2016-LC25, Class XA, 1.10%, 12/15/59 (b)			12,400		849,277
WF-RBS Commercial Mortgage Trust:
Series 2012-C8, Class XA, 1.99%, 8/15/45 (a)(b)			1,003		73,463
Series 2012-C9, Class XA, 2.10%, 11/15/45 (a)(b)			11,363		868,925
Series 2014-C20, Class XA, 1.17%, 5/15/47 (b)			4,998		275,865
Series 2014-C24, Class XA, 0.97%, 11/15/47 (b)			26,177		1,372,852

					51,941,318
Total Non-Agency Mortgage-Backed Securities — 6.6%					634,943,606

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


Preferred Securities
Capital Trusts		Par (000)		Value
Banks — 0.2%
Banco Bilbao Vizcaya Argentaria SA:
7.00% (b)(k)	EUR		400	$	403,815
8.88% (b)(k)			1,200		1,358,050
9.00% (b)(k)	USD		1,000		1,040,996
Banco Popular Espanol SA:
8.25% (b)(k)	EUR		1,600		1,482,726
11.50% (b)(k)			900		948,648
Banco Santander SA, 6.25% (b)(k)			3,800		3,740,079
Bank of East Asia Ltd., 5.50% (b)(k)	USD		688		658,865
Bank of Ireland, 7.38% (b)(k)	EUR		2,775		2,973,110
Barclays PLC, 7.88% (b)(k)	USD		200		202,500
BNP Paribas SA, 7.38% (a)(b)(k)			300		301,858
Cooperatieve Rabobank UA, 6.63% (b)(k)	EUR		600		675,089
DNB Bank ASA, 6.50% (b)(k)	USD		200		203,900
HSH Nordbank AG, 7.25% (b)(k)			3,751		893,488
Industrial & Commercial Bank of China Asia Ltd., 4.25% (b)(k)			850		816,913
Intesa Sanpaolo SpA, 7.00% (b)(k)	EUR		2,449		2,543,791
Royal Bank of Scotland Group PLC, 8.63% (b)(k)	USD		200		204,000
Société Générale SA, 7.38% (a)(b)(k)			200		199,664
UniCredit SpA, 9.25% (b)(k)	EUR		550		612,532
Woori Bank, 4.50% (b)(k)	USD		1,250		1,199,704

					20,459,728
Capital Markets — 0.2%
Bank of New York Mellon Corp., 4.63% (b)(k)			8,367		7,675,216
Credit Suisse Group AG, 6.25% (a)(b)(k)			1,300		1,265,160
Huarong Finance II Co. Ltd., 2.88% (b)(k)			800		749,811
State Street Corp., 1.96%, 6/01/77 (b)			1,048		926,170
UBS Group AG:
5.75% (b)(k)	EUR		2,125		2,351,507
6.88% (b)(k)	USD		1,100		1,119,250
7.00% (b)(k)			1,000		1,049,280

					15,136,394
Chemicals — 0.0%
LANXESS AG, 4.50%, 12/06/76 (b)	EUR		75		81,942
Solvay Finance SA, 5.12% (b)(k)			100		112,695

					194,637
Construction & Engineering — 0.0%
Chalieco Hong Kong Corp. Ltd., 5.70% (b)(k)	USD		200		203,062
Diversified Financial Services — 0.1%
Banco Nacional de Comercio Exterior SNC, 3.80%, 8/11/26 (a)(b)			3,652		3,419,185
HBOS Capital Funding LP, 6.85% (k)			446		449,880
Origin Energy Finance Ltd., 4.00%, 9/16/74 (b)	EUR		200		208,668

					4,077,733
Diversified Telecommunication Services — 0.0%
Koninklijke KPN NV, 6.13% (b)(k)			100		112,680
Electric Utilities — 0.0%
AusNet Services Holdings Property Ltd., 5.75%, 3/17/76 (b)	USD		778		822,783
Enel SpA:
6.50%, 1/10/74 (b)	EUR		105		118,977
5.00%, 1/15/75 (b)			100		111,434
7.75%, 9/10/75 (b)	GBP		100		134,771
Gas Natural Fenosa Finance BV, 3.38% (b)(k)	EUR		1,200		1,180,042

					2,368,007
Industrial Conglomerates — 0.0%
CITIC Ltd., 8.63% (b)(k)	USD		200		219,970


Capital Trusts		Par (000)		Value
Insurance — 0.0%
Assicurazioni Generali SpA, 6.42% (b)(k)	GBP		100	$	124,843
Credit Agricole SA, 6.50% (b)(k)	EUR		600		652,377
Dai-ichi Life Insurance Co. Ltd., 4.00% (b)(k)	USD		1,250		1,168,750
Nippon Life Insurance Co., 5.10%, 10/16/44 (b)			570		587,813

					2,533,783
Media — 0.1%
NBCUniversal Enterprise, Inc., 5.25% (a)(k)			3,770		3,958,500
SES SA, 5.63% (b)(k)	EUR		100		107,755

					4,066,255
Oil, Gas & Consumable Fuels — 0.0%
Repsol International Finance BV, 4.50%, 3/25/75 (b)			100		99,120
TOTAL SA, 3.88% (b)(k)			150		166,582

					265,702
Textiles, Apparel & Luxury Goods — 0.0%
Li & Fung Ltd., 5.25% (k)	USD		348		301,927
Trading Companies & Distributors — 0.0%
Noble Group Ltd., 6.00% (b)(k)			400		216,000
Transportation Infrastructure — 0.0%
Royal Capital BV, 4.88% (b)(k)			219		202,369
Wireless Telecommunication Services — 0.0%
Orange SA, 4.00% (b)(k)	EUR		350		388,722
Telefonica Europe BV:
3.75% (b)(k)			600		617,381
4.20% (b)(k)			100		107,365
5.00% (b)(k)			100		109,081
5.88% (b)(k)			1,400		1,547,401
6.50% (b)(k)			300		336,247

					3,106,197
Total Capital Trusts — 0.6%					53,464,444

Preferred Stocks		Shares		Value
Diversified Financial Services — 0.0%
Concrete Investment II SCA, 0.00%, 8/27/44 (d)			12,471		1,404,658

Trust Preferreds		Shares		Value
Banks — 0.1%
Citigroup Capital XIII, 7.26%, 10/30/40 (b)			349,440		9,022,541
Consumer Finance — 0.1%
GMAC Capital Trust I, 6.69%, 2/15/40 (b)			359,913		9,141,790
Total Trust Preferreds — 0.2%					18,164,331
Total Preferred Securities — 0.8%					73,033,433

Taxable Municipal Bonds		Par (000)		Value
Arizona Health Facilities Authority RB, 1.38%, 1/01/37 (b)	USD		2,255		1,945,456
Bay Area Toll Authority RB:
6.92%, 4/01/40			3,145		4,245,781
7.04%, 4/01/50			3,180		4,498,396
Brooklyn Arena Local Development Corp. RB, 5.00%, 7/15/42			4,425		4,780,327
Buckeye Tobacco Settlement Financing Authority RB, 5.88%, 6/01/47			4,270		3,746,626


Taxable Municipal Bonds		Par (000)		Value
California Health Facilities Financing Authority RB, 5.00%, 8/15/33	USD		1,190	$	1,385,493
California Pollution Control Financing Authority RB, 5.00%, 11/21/45 (a)			2,000		2,028,800
California Statewide Communities Development Authority RB:
5.00%, 12/01/25 (a)			1,000		1,076,310
5.00%, 12/01/26 (a)			1,000		1,066,890
Chesapeake Bay Bridge & Tunnel District RB, 5.00%, 7/01/51			700		752,017
City of Houston, TX Airport System Revenue RB, 5.00%, 7/01/24			700		779,926
City of Portland, OR Sewer System Revenue RB, 5.00%, 6/15/23			2,990		3,507,001
City of San Jose, CA Airport Revenue RB, AMBAC, 5.00%, 3/01/37			1,530		1,537,880
City Public Service Board of San Antonio, Texas RB, 5.81%, 2/01/41			3,260		4,098,342
Clark County School District GO:
5.00%, 6/15/23			3,795		4,412,978
5.00%, 6/15/24			4,360		5,134,598
5.00%, 6/15/26			1,320		1,564,662
5.00%, 6/15/27			4,165		4,903,621
5.00%, 6/15/28			1,405		1,647,503
Colorado Health Facilities Authority RB, 5.25%, 2/01/31			1,565		1,682,578
Commonwealth Financing Authority RB, 4.14%, 6/01/38			3,030		2,913,769
Commonwealth of Massachusetts GO:
5.00%, 7/01/26			1,705		2,076,485
5.00%, 7/01/28			1,705		2,114,388
Commonwealth of Puerto Rico GO, 8.00%, 7/01/35 (d)(g)			37,230		25,083,713
Contra Costa Community College District GO, 6.50%, 8/01/34			570		736,366
County of Clark, NV RB, 5.00%, 7/01/28			4,490		5,480,449
County of Mecklenburg, NC GO, 5.00%, 12/01/25			1,020		1,248,205
County of Miami-Dade, FL Aviation Revenue RB:
2.50%, 10/01/24			2,490		2,373,020
5.00%, 10/01/38			1,600		1,736,768
County of Miami-Dade, FL GO:
5.00%, 7/01/29			810		947,838
5.00%, 7/01/32			810		935,834
5.00%, 7/01/34			1,000		1,142,970
5.00%, 7/01/35			960		1,093,037
County of Wake, NC GO, 5.00%, 3/01/25			1,305		1,583,578
Dallas/Fort Worth International Airport RB:
5.00%, 11/01/42			4,625		4,939,454
Series A, 5.00%, 11/01/43			3,000		3,204,540
5.00%, 11/01/45			3,670		3,917,468
5.00%, 11/01/45			2,650		2,826,543
District of Columbia RB:
5.00%, 7/15/34			775		870,813
5.00%, 7/15/35			775		867,613
Golden State Tobacco Securitization Corp. RB:
5.13%, 6/01/47			4,095		3,608,883
5.75%, 6/01/47			900		862,479
Grant County Public Utility District No. 2 RB, 4.58%, 1/01/40			600		594,450
Great Lakes Water Authority Water Supply System Revenue RB, 5.25%, 7/01/33			1,625		1,830,806
Health & Educational Facilities Authority of the State of Missouri RB, 5.00%, 11/15/29			840		946,109
Horry County School District, SC GO:
5.00%, 3/01/22			1,295		1,492,798
5.00%, 3/01/24			1,520		1,810,654
5.00%, 3/01/25			870		1,048,837


Taxable Municipal Bonds		Par (000)		Value
Los Angeles Community College District GO, 6.60%, 8/01/42	USD		1,860	$	2,580,359
Los Angeles Department of Water & Power RB, 6.60%, 7/01/50			1,065		1,485,952
Los Angeles Unified School District, 5.75%, 7/01/34			415		511,637
Los Angeles Unified School District GO, 6.76%, 7/01/34			4,355		5,834,698
Maryland Health & Higher Educational Facilities Authority RB, 5.25%, 7/01/27			815		927,413
Massachusetts Clean Water Trust RB:
5.00%, 2/01/25			1,335		1,614,963
5.00%, 2/01/27			1,260		1,534,693
5.00%, 2/01/28			1,140		1,382,113
Massachusetts Educational Financing Authority RB, 5.00%, 1/01/22			1,375		1,504,539
Metropolitan Transportation Authority RB:
5.87%, 11/15/39			735		880,964
6.67%, 11/15/39			350		461,146
6.69%, 11/15/40			1,160		1,529,646
6.81%, 11/15/40			860		1,146,913
Metropolitan Washington Airports Authority Dulles Toll Road Revenue RB:
7.46%, 10/01/46			1,060		1,483,830
5.00%, 10/01/53			1,000		1,040,100
Miami-Dade County Educational Facilities Authority RB, 5.07%, 4/01/50			1,300		1,387,945
Michigan Finance Authority RB, 5.00%, 6/01/39			840		908,561
Municipal Electric Authority of Georgia RB, 6.64%, 4/01/57			1,610		1,982,425
New Jersey State Turnpike Authority RB, 7.41%, 1/01/40			2,329		3,354,994
New Jersey Transportation Trust Fund Authority RB:
0.00%, 12/15/27 (i)			2,630		1,682,411
5.00%, 6/15/29			915		979,151
0.00%, 12/15/31 (i)			2,630		1,332,016
New Jersey Transportation Trust Fund Authority RB AMBAC:
0.00%, 12/15/35 (i)			2,630		1,036,930
0.00%, 12/15/36 (i)			2,630		987,249
New York City Transitional Finance Authority Future Tax Secured Revenue RB:
2.28%, 5/01/26			2,930		2,676,701
5.00%, 8/01/31			1,420		1,671,880
New York City Water & Sewer System RB:
5.75%, 6/15/41			1,330		1,705,672
6.01%, 6/15/42			665		868,610
5.38%, 6/15/43			4,410		4,940,611
5.50%, 6/15/43			5,285		5,945,784
5.88%, 6/15/44			1,195		1,543,677
New York State Dormitory Authority RB:
5.00%, 3/15/20			955		1,058,398
5.00%, 2/15/27			1,750		2,110,937
5.00%, 2/15/28			1,750		2,101,033
5.00%, 2/15/31			1,810		2,140,524
5.00%, 3/15/32			1,395		1,629,486
5.39%, 3/15/40			1,470		1,777,730
New York State Urban Development Corp. RB:
5.00%, 3/15/24			470		561,406
5.00%, 3/15/25			2,020		2,435,837
New York Transportation Development Corp. RB:
5.00%, 7/01/46			2,000		2,073,780
5.25%, 1/01/50			3,290		3,447,558
Orange County Local Transportation Authority RB, 6.91%, 2/15/41			2,790		3,744,292


Taxable Municipal Bonds		Par (000)		Value
Pennsylvania Economic Development Financing Authority RB:
5.00%, 12/31/22	USD		1,000	$	1,109,650
5.00%, 12/31/38			320		334,778
Port Authority of New York & New Jersey RB:
4.96%, 8/01/46			1,970		2,198,953
4.93%, 10/01/51			1,045		1,157,338
4.46%, 10/01/62			3,505		3,516,672
4.81%, 10/15/65			1,740		1,860,530
Port of Morrow, OR RB, 2.99%, 9/01/36			600		542,388
Public Power Generation Agency RB, 5.00%, 1/01/34			35		38,884
Regents of the University of California Medical Center Pooled Revenue RB, 6.58%, 5/15/49			2,860		3,733,015
South Carolina Public Service Authority RB, 2.39%, 12/01/23			2,989		2,896,520
State of California GO:
5.00%, 9/01/27			2,010		2,420,020
5.00%, 9/01/32			815		955,384
7.50%, 4/01/34			2,210		3,108,719
7.55%, 4/01/39			3,715		5,516,812
7.30%, 10/01/39			820		1,158,160
7.35%, 11/01/39			1,320		1,868,671
7.60%, 11/01/40			6,115		9,202,219
State of Georgia GO:
5.00%, 1/01/24			1,710		2,039,979
5.00%, 7/01/24			2,180		2,620,949
5.00%, 7/01/26			855		1,053,112
5.00%, 1/01/28			1,710		2,106,703
State of Illinois GO, 5.10%, 6/01/33			8,190		7,317,765
State of Maryland GO, 5.00%, 6/01/24			1,630		1,957,190
State of New Jersey GO, 5.00%, 6/01/32			1,000		1,109,310
State of Washington GO:
5.00%, 8/01/27			1,710		2,056,343
5.00%, 7/01/28			1,280		1,497,152
5.00%, 8/01/28			2,000		2,391,620
5.00%, 8/01/29			2,000		2,377,060
5.00%, 8/01/30			2,000		2,362,100
Sumter Landing Community Development District RB, 4.17%, 10/01/47			920		889,852
Texas Private Activity Bond Surface Transportation Corp. RB, 5.00%, 12/31/55			1,640		1,716,211
Tobacco Settlement Finance Authority RB, 7.47%, 6/01/47			3,055		2,734,317
Tobacco Settlement Financing Corp. RB:
5.00%, 6/01/41			1,700		1,478,966
6.71%, 6/01/46			3,325		2,629,743
University of California RB, 4.86%, 5/15/12			1,415		1,372,380
University of Massachusetts Building Authority RB, 5.00%, 11/01/31			1,190		1,384,529
West Virginia Hospital Finance Authority RB:
5.00%, 6/01/19			895		962,492
5.00%, 6/01/20			965		1,059,927
5.00%, 6/01/21			960		1,075,315
5.00%, 6/01/22			1,050		1,195,058
5.00%, 6/01/23			870		999,917
5.00%, 6/01/24			935		1,086,087
Total Taxable Municipal Bonds — 3.2%					302,180,406


U.S. Government Sponsored Agency Securities		Par (000)		Value
Agency Obligations — 0.1%
Fannie Mae, 6.63%, 11/15/30	USD		1,450	$	2,017,075
Freddie Mac:
3.75%, 3/27/19			3,650		3,845,067
4.88%, 6/13/18			4,300		4,533,167

					10,395,309
Collateralized Mortgage Obligations — 0.3%
Fannie Mae:
Series 2005-48, Class AR, 5.50%, 2/25/35			7		7,058
Series 2013-C01, Class M2, 5.83%, 10/25/23 (b)			5,505		6,059,988
Series 2016-C02, Class 1M2, 6.59%, 9/25/28 (b)			640		715,368
Series 2016-C04, Class 1M2, 4.84%, 1/25/29 (b)			5,140		5,329,304
Series 2016-C05, Class 2M2, 5.04%, 1/25/29 (b)			5,810		6,041,369
Series 2016-C06, Class 1M2, 4.84%, 4/25/29 (b)			4,038		4,169,572
Series 2016-C07, Class 2M2, 4.89%, 4/25/29 (b)			298		306,205
Freddie Mac:
Series 2016-DNA4, Class M3, 4.39%, 3/25/29 (b)			3,200		3,206,073
Series 2016-HQA3, Class M3, 4.44%, 3/25/29 (b)			3,420		3,419,996

					29,254,933
Commercial Mortgage-Backed Securities — 0.2%
Fannie Mae:
Series 2006-M2, Class A2A, 5.27%, 10/25/32 (b)			2,962		3,111,065
Series 2015-M10, Class A2, 3.09%, 4/25/27 (b)			1,000		1,002,217
Freddie Mac:
Series K034, Class A2, 3.53%, 7/25/23-10/25/23 (b)			2,560		2,709,131
Series K046, Class A2, 3.21%, 3/25/25			890		915,203
Series KJ07, Class A2, 2.31%, 10/25/22			1,290		1,265,028
Series KJ08, Class A2, 2.36%, 1/25/35			2,220		2,202,672
Series KPLB, Class A, 2.77%, 5/25/25			2,700		2,657,631

					13,862,947
Interest Only Collateralized Mortgage Obligations — 0.0%
Ginnie Mae, Series 2015-103, Class CI, 4.00%, 1/20/45-2/20/46			20,973		2,637,111
Interest Only Commercial Mortgage-Backed Securities — 0.2%
Fannie Mae:
Series 2013-M5, Class X2, 2.29%, 1/25/22 (b)			11,691		841,461
Series 2014-M13, Class X2, 0.13%, 8/25/24 (b)			123,946		1,180,881
Series 2015-M4, Class X2, 0.57%, 7/25/22 (b)			41,105		983,229
Freddie Mac:
Series K038, Class X1, 1.19%, 3/25/24 (b)			10,165		689,317
Series K049, Class X1, 0.61%, 7/25/25 (b)			8,812		368,928
Series K055, Class X1, 1.37%, 3/25/26 (b)			24,918		2,448,720
Series K056, Class X1, 1.27%, 5/25/26 (b)			9,936		906,997
Series K718, Class X1, 0.65%, 1/25/22 (b)			6,049		165,343
Series K721, Class X1, 0.34%, 8/25/22 (b)			12,870		211,459


U.S. Government Sponsored Agency Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Ginnie Mae:
Series 2012-120, Class IO, 0.84%, 2/16/53 (b)	USD		17,777	$	948,588
Series 2014-112, Class IO, 1.19%, 1/16/48 (b)			19,002		1,134,852
Series 2014-172, Class IO, 1.04%, 1/16/49 (b)			24,821		1,487,259
Series 2014-40, Class AI, 1.00%, 2/16/39			10,215		252,204
Series 2014-52, Class AI, 0.83%, 8/16/41			7,102		176,902
Series 2016-110, Class IO, 1.05%, 5/16/58 (b)			6,671		539,404
Series 2016-113, Class IO, 1.19%, 2/16/58 (b)			16,244		1,490,129
Series 2016-119, Class IO, 1.13%, 10/16/52 (b)			10,295		869,841
Series 2016-125, Class IO, 1.15%, 12/16/57 (b)			9,896		824,857
Series 2016-152, Class IO, 0.99%, 8/15/58 (b)			11,363		934,027
Series 2016-158, Class IO, 0.93%, 6/16/58 (b)			6,725		525,419
Series 2016-87, Class IO, 1.01%, 8/16/58 (b)			9,470		743,721

					17,723,538
Mortgage-Backed Securities — 57.6%
Fannie Mae Mortgage-Backed Securities:
2.23%, 10/01/42 (b)			1,856		1,949,700
2.50%, 5/01/26-1/01/32 (o)			102,837		103,069,409
2.69%, 4/01/25			1,170		1,154,973
3.00%, 1/01/29-1/01/47 (p)			1,047,232		1,046,250,312
3.14%, 12/01/40 (b)			1,803		1,898,156
3.50%, 9/01/23-1/01/47 (o)			1,291,170		1,329,538,820
4.00%, 1/01/25-1/01/47 (o)			696,588		734,269,346
4.50%, 2/01/25-1/01/47 (o)(q)			163,296		175,748,243
5.00%, 5/01/23-1/01/47 (o)(q)			71,028		77,866,363
5.50%, 12/01/32-1/01/47 (o)			40,669		45,560,198
6.00%, 2/01/34-6/01/41			24,808		28,287,386
6.50%, 5/01/40			5,266		5,982,476
Freddie Mac Mortgage-Backed Securities:
2.50%, 2/01/24-1/01/32 (o)			63,055		63,218,722
2.90%, 6/01/42 (b)			2,038		2,103,363
3.00%, 1/01/30-1/01/47 (o)			244,332		244,548,689
3.50%, 8/01/24-1/01/47 (o)			294,351		302,514,408
4.00%, 8/01/40-1/01/47 (o)(q)			520,650		547,206,009
4.50%, 2/01/39-1/01/47 (o)			43,854		47,155,896
5.00%, 7/01/35-11/01/41			18,916		20,690,164
5.50%, 10/01/39-6/01/41			5,307		5,909,298
6.00%, 1/01/47 (o)			7,800		8,810,343
Ginnie Mae Mortgage-Backed Securities:
2.13%, 5/20/34 (b)			744		773,092
3.00%, 1/15/47 (o)			211,807		214,427,044
3.50%, 12/20/41-1/15/47 (o)			265,232		275,941,190
4.00%, 8/20/39-1/15/47 (o)			100,981		107,501,602
4.50%, 8/20/38-1/15/47 (o)			81,159		87,090,207
5.00%, 12/15/38-7/20/44			11,030		12,123,417
5.50%, 1/15/47 (o)			5,800		6,336,953

					5,497,925,779
Total U.S. Government Sponsored Agency Securities — 58.4%					5,571,799,617


U.S. Treasury Obligations		Par (000)		Value
U.S. Treasury Bonds:
2.50%, 5/15/46 (j)	USD		154,020	$	136,872,906
2.25%, 8/15/46 (j)			161,804		136,047,871
2.88%, 11/15/46			105,363		101,724,710
U.S. Treasury Inflation Indexed Notes, 0.13%, 4/15/20 (p)			601,060		607,322,833
U.S. Treasury Notes:
0.75%, 9/30/18-10/31/18 (j)			198,261		196,873,744
1.00%, 11/30/18-11/15/19 (j)			608,941		602,210,586
1.38%, 12/15/19-9/30/23 (j)			288,093		282,849,496
1.13%, 9/30/21 (j)			205,373		198,096,924
1.25%, 10/31/21 (j)			204,505		198,306,432
1.63%, 10/31/23-5/15/26 (j)			176,949		167,626,175
2.13%, 11/30/23 (j)			57,349		56,968,145
1.50%, 8/15/26			89,175		82,016,655
2.00%, 11/15/26 (j)			71,197		68,502,051
U.S. Treasury Strips, 0.00%, 5/15/36 (i)(j)			14,105		7,857,289
Total U.S. Treasury Obligations — 29.8%					2,843,275,817
Total Long-Term Investments (Cost — $13,524,229,196) — 140.7%					13,429,491,430

Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements — 3.3% (r)
Barclays Bank PLC, (2.00)%, Open (s) (Purchased on 9/16/16 to be repurchased at $736,647, collateralized by United Mexican States, 3.50% due at 1/21/21, par and fair value of USD 694,000 and $705,104, respectively)			741		740,845
Barclays Bank PLC, (2.00)%, Open (s) (Purchased on 9/19/16 to be repurchased at $733,238, collateralized by United Mexican States, 3.50% due at 1/21/21, par and fair value of USD 694,000 and $705,104, respectively)			737		737,375
Barclays Bank PLC, (1.60)%, Open (s) (Purchased on 11/25/16 to be repurchased at EUR 107,936, collateralized by Grupo Antolin Dutch BV, 5.13% due at 6/30/22, par and fair value of EUR 100,000 and $113,344, respectively)	EUR		108		113,781
Barclays Bank PLC, (0.85)%, Open (s) (Purchased on 11/30/16 to be repurchased at EUR 7,074,037, collateralized by Republic of France, 2.25% due at 10/25/22, par and fair value of EUR 6,200,000 and $7,413,477, respectively)			7,079		7,451,790
Barclays Bank PLC, 0.17%, Open (s) (Purchased on 10/18/16 to be repurchased at GBP 41,731,051, collateralized by United Kingdom Gilt Inflation Linked Bond, 0.13% due at 3/22/26, par and fair value of GBP 34,341,316 and $51,250,058, respectively)	GBP		41,716		51,411,674
Barclays Capital, Inc., (0.55)%, Open (s) (Purchased on 8/30/16 to be repurchased at $6,509,512, collateralized by BHP Billiton Finance USA Ltd., 3.85% due at 9/30/23, par and fair value of USD 5,882,000 and $6,225,150, respectively)	USD		6,522		6,521,667


Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements (continued) (r)
BNP Paribas Securities Corp., 0.04%, Open (s) (Purchased on 12/01/16 to be repurchased at GBP 39,967,632, collateralized by United Kingdom Gilt Inflation Linked Bond, 0.13% due at 3/22/26, par and fair value of GBP 33,869,622 and $50,546,116, respectively)	GBP		39,966	$	49,254,748
BNP Paribas Securities Corp., 0.38%, Open (s) (Purchased on 12/19/16 to be repurchased at $35,573,255, collateralized by U.S. Treasury Inflation Indexed Notes, 0.13% due at 4/15/21, par and fair value of USD 35,694,400 and $35,899,735, respectively)	USD		35,569		35,568,750
Citigroup Global Markets Limited, (3.00)%, Open (s) (Purchased on 11/25/16 to be repurchased at $540,804, collateralized by Bank of Communications Co. Ltd., 5.00% (k), par and fair value of USD 500,000 and $508,150, respectively)			542		542,250
Citigroup Global Markets, Inc., (0.25)%, Open (s) (Purchased on 9/19/16 to be repurchased at $2,233,695, collateralized by United Mexican States, 5.13% due at 1/15/20, par and fair value of USD 1,998,000 and $2,144,853, respectively)			2,235		2,235,263
Citigroup Global Markets, Inc., 0.35%, Open (s) (Purchased on 2/08/16 to be repurchased at $7,868,512, collateralized by Shell International Finance BV, 3.25% due at 5/11/25, par and fair value of USD 8,300,000 and $8,293,194, respectively)			7,844		7,843,500
Credit Suisse Securities (USA) LLC, (2.50)%, 1/3/17 (Purchased on 12/30/16 to be repurchased at $27,539,538, collateralized by U.S. Treasury Notes, 1.75% due at 11/30/21, par and fair value of USD 27,751,500 and $27,544,446, respectively)			27,543		27,543,364
Credit Suisse Securities (USA) LLC, 0.00%, Open (s) (Purchased on 12/15/16 to be repurchased at $3,044,465, collateralized by United Mexican States, 5.13% due at 1/15/20, par and fair value of USD 2,774,000 and $2,977,889, respectively)			3,044		3,044,465
Credit Suisse Securities (USA) LLC, 0.00%, Open (s) (Purchased on 12/15/16 to be repurchased at $761,665, collateralized by United Mexican States, 5.13% due at 1/15/20, par and fair value of USD 694,000 and $745,009, respectively)			762		761,665
Deutsche Bank AG, (0.98)%, Open (s) (Purchased on 12/08/16 to be repurchased at EUR 6,001,678, collateralized by Republic of France, 2.25% due at 10/25/22, par and fair value of EUR 5,300,000 and $6,337,327, respectively)	EUR		6,005		6,321,130
Deutsche Bank AG, (0.70)%, 1/20/17 (Purchased on 12/05/16 to be repurchased at JPY 502,608,778, collateralized by Government of Japan (20 Year), 0.50% due at 9/20/36, par and fair value of JPY 500,000,000 and $4,218,011, respectively)	JPY		503,000		4,303,743


Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements (continued) (r)
Deutsche Bank AG, (0.50)%, 1/20/17 (Purchased on 12/02/16 to be repurchased at JPY 502,213,854, collateralized by Government of Japan (20 Year), 0.50% due at 9/20/36, par and fair value of JPY 500,000,000 and $4,218,011, respectively)	JPY		502,500	$	4,299,465
Deutsche Bank Securities, Inc., 0.50%, 1/17/17 (Purchased on 12/15/16 to be repurchased at $7,891,976, collateralized by U.S. Treasury Strips, 0.00% due at 2/15/36, par and fair value of USD 13,601,000 and $8,094,839, respectively)	USD		7,889		7,888,580
J.P. Morgan Securities PLC, (1.50)%, Open (s) (Purchased on 12/01/16 to be repurchased at EUR 7,039,612, collateralized by Republic of France, 2.25% due at 10/25/22, par and fair value of EUR 6,200,000 and $7,413,477, respectively)	EUR		7,048		7,418,619
J.P. Morgan Securities PLC, (1.05)%, Open (s) (Purchased on 10/18/16 to be repurchased at EUR 113,237, collateralized by Syngenta Finance NV, 1.88% due at 11/02/21, par and fair value of EUR 100,000 and $111,984, respectively)			113		119,453
J.P. Morgan Securities PLC, 0.00% (Purchased on 12/15/16 to be repurchased at $550,730, collateralized by Industrial & Commercial Bank of China Ltd., 6.00% (k), par and fair value of USD 500,000 and $524,161, respectively)	USD		551		550,730
Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.30%, 1/3/17 (Purchased on 12/30/16 to be repurchased at $80,915,839, collateralized by U.S. Treasury Inflation Indexed Notes, 0.13% due at 7/15/26, par and fair value of USD 84,116,034 and $81,342,709, respectively)			80,914		80,914,490
RBC Capital Markets, LLC, 0.15%, Open (s) (Purchased on 5/05/16 to be repurchased at $1,411,893, collateralized by Caterpillar, Inc., 3.80% due at 8/15/42, par and fair value of USD 1,400,000 and $1,345,154, respectively)			1,411		1,410,500
RBC Capital Markets, LLC, 0.40%, Open (s) (Purchased on 12/19/16 to be repurchased at $2,556,591, collateralized by Caterpillar, Inc., 3.40% due at 5/15/24, par and fair value of USD 2,500,000 and $2,574,463, respectively)			2,556		2,556,250
RBC Capital Markets, LLC, 0.40%, Open (s) (Purchased on 12/21/16 to be repurchased at $3,139,099, collateralized by Praxair, Inc., 3.20% due at 1/30/26, par and fair value of USD 3,100,000 and $3,110,980, respectively)			3,139		3,138,750

					312,692,847


Certificates of Deposit		Par (000)		Value
Domestic — 0.3%
Wells Fargo Bank N.A., 1.48%, 9/22/17 (b)	USD		24,620	$	24,651,760

Yankee — 1.8% (t)
Bank of Tokyo-Mitsubishi UFJ Ltd., New York, 1.54%, 8/17/17 (b)			25,030		25,070,048
Cooperatieve Rabobank UA, New York, 1.41%, 8/16/17 (b)			25,030		25,064,416
Credit Industriel et Commercial, New York, 1.51%, 8/16/17 (b)			25,030		25,088,195
Credit Suisse AG, New York, 1.69%, 8/16/17 (b)			12,280		12,298,383
Credit Suisse AG, New York, 1.72%, 8/24/17 (b)			12,080		12,097,395
Skandinaviska Enskilda Banken AB, New York, 1.39%, 8/17/17 (b)			25,030		25,069,147
Sumitomo Mitsui Banking Corp., New York, 1.53%, 8/18/17 (b)			13,070		13,087,945
Toronto-Dominion Bank, New York, 1.41%, 8/15/17 (b)			24,630		24,674,112
UBS AG, Stamford, 1.53%, 9/01/17			12,740		12,762,663

					175,212,304
Total Certificates of Deposit — 2.1%					199,864,064

Commercial Paper		Par (000)		Value
BNP Paribas SA, (New York Branch), 1.53%, 8/17/17 (b)(u)			12,820		12,836,283
BPCE SA, 1.49%, 8/14/17 (u)			25,150		24,942,729
Mizuho Corporate Bank, (New York Branch), 1.37%, 8/16/17 (u)			24,820		24,603,858
Nordea Bank AB, 1.21%, 3/09/17 (u)			12,250		12,229,550
Norinchukin Bank, (New York Branch), 1.20%, 2/22/17 (b)(u)			12,930		12,937,174
Sumitomo Mitsui Trust Bank Ltd., (New York Branch), 1.53%, 8/16/17 (b)(u)			25,030		25,077,570
Svenska Handelsbanken AB, (New York Branch), 1.20%, 2/27/17 (b)(u)			12,610		12,619,619
Swedbank AB, (New York Branch), 1.38%, 8/18/17 (b)(u)			12,860		12,880,103
Total Commercial Paper — 1.4%					138,126,886

Foreign Agency Obligations — 0.9%		Par (000)		Value
Japan Treasury Discount Bill, 0.26%, 2/10/17 (u)	JPY		10,000,000		85,585,198


Money Market Funds		Shares		Value
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.36% (m)(v)			3,053		3,052,644
SL Liquidity Series, LLC, Money Market Series, 0.95% (m)(v)(w)			573		573,156
Total Money Market Funds — 0.0%					3,625,800
Total Short-Term Securities (Cost — $755,221,136) — 7.7%					739,894,795


Options Purchased				Value
(Cost — $14,102,558) — 0.2%					$ 15,486,964
Total Investments Before TBA Sale Commitments, Options Written and Borrowed Bonds
*(Cost — $14,293,552,890) — 148.6%**					14,184,873,189

TBA Sale Commitments (o)		Par (000)		Value
Fannie Mae Mortgage-Backed Securities:
2.50%, 1/01/27-1/01/32	USD		41,190		(41,296,146	)
3.00%, 1/01/32-1/01/47			813,020		(809,889,164	)
3.50%, 1/01/32-1/01/47			891,509		(916,494,671	)
4.00%, 1/01/47			796,744		(837,285,141	)
4.50%, 1/01/47			77,924		(83,780,138	)
5.00%, 1/01/47			10,384		(11,312,070	)
6.00%, 1/01/47			609		(689,597	)
Freddie Mac Mortgage-Backed Securities:
3.00%, 1/01/47			23,836		(23,668,538	)
3.50%, 1/01/32-1/01/47			66,852		(68,561,384	)
4.00%, 1/01/47			103,205		(108,385,626	)
Ginnie Mae Mortgage-Backed Securities:
3.50%, 1/15/47			830		(863,036	)
4.00%, 1/15/47			1,040		(1,104,452	)
Total TBA Sale Commitments
(Proceeds — $2,890,824,467) — (30.4)%					(2,903,329,963	)

Options Written
(Premiums Received — $7,025,693) — (0.1)%					(7,512,553	)

Borrowed Bonds		Par (000)		Value
Corporate Bonds — (0.2)%
Bank of Communications Co. Ltd., 5.00% (b)(k)	USD		500		(508,150	)
BHP Billiton Finance USA Ltd., 3.85%, 9/30/23			5,882		(6,225,150	)
Caterpillar, Inc.,
3.40%, 5/15/24			2,500		(2,574,463	)
3.80%, 8/15/42			1,400		(1,345,154	)
Grupo Antolin Dutch BV, 5.13%, 6/30/22	EUR		100		(113,344	)
Praxair, Inc., 3.20%, 1/30/26	USD		3,100		(3,110,980	)
Shell International Finance BV, 3.25%, 5/11/25			8,300		(8,293,194	)
Syngenta Finance NV, 1.88%, 11/02/21	EUR		100		(111,984	)

					(22,282,419	)
Foreign Agency Obligations — (0.0)%
Industrial & Commercial Bank of China Ltd., 6.00% (b)(k)	USD		500		(524,161	)

					(524,161	)


Borrowed Bonds		Par (000)		Value
U.S. Treasury Obligations (continued)
U.S. Treasury Notes:
1.75%, 11/30/21	USD		27,752		$ (27,544,446	)
U.S. Treasury Strips,
0.00%, 2/15/36 (i)			13,601		(8,094,839	)

					(152,881,729	)
Total Borrowed Bonds (Proceeds — $315,634,081) — (3.3)%					(314,362,743	)


Total Investments Net of TBA Sale Commitments, Options Written and Borrowed Bonds — 114.8%					10,959,667,930
Liabilities in Excess of Other Assets — (14.8)%					(1,416,696,564	)

Net Assets — 100.0%				$	9,542,971,366


Counterparty	Value			Unrealized Appreciation (Depreciation)
Amherst Pierpont Securities LLC	$	(3,781,557	)		$ (35,057	)
Barclays Capital, Inc.	$	(36,220,918	)		$ 266,160
BNP Paribas Securities Corp.	$	(86,722,351	)		$ 219,358
Citigroup Global Markets, Inc.	$	1,316,524			$(516,515	)
Credit Suisse Securities (USA) LLC	$	(283,178,958	)		$ 366,321
Daiwa Capital Markets America, Inc.	$	67,984,679			$ (39,618	)
Deutsche Bank Securities, Inc.	$	17,435,511			$ 13,550
Goldman Sachs & Co.	$	(159,499,033	)		$ 488,223
J.P. Morgan Securities LLC	$	346,510,491			$(136,088	)
Jefferies LLC	$	124,807,412			$ 69,194
Merrill Lynch, Pierce, Fenner & Smith, Inc.	$	(31,874,939	)		$(310,250	)
Morgan Stanley & Co. LLC	$	(57,007,391	)		$(218,328	)
Nomura Securities International, Inc.	$	102,796,833			$(172,349	)
RBC Capital Markets, LLC	$	10,534,464			$ 110,469
Wells Fargo Securities, LLC	$	36,119,894			$ (35,522	)

Counterparty

Interest
Rate

Trade
Date

Maturity
Date¹

Face

Value

Face Value
Including
Accrued
Interest

Type of Non-Cash
Underlying Collateral

Remaining
Contractual
Maturity of the
Agreements

RBC Capital Markets, LLC

0.64%

6/29/16

Open

433,550

434,259

Corporate Bonds

Open/Demand¹

RBC Capital Markets, LLC

0.64%

9/13/16

Open

2,572,235

2,576,442

Corporate Bonds

Open/Demand¹

Nomura Securities International, Inc.

0.20%

11/07/16

Open

226,997,000

227,066,360

U.S. Treasury Obligations

Open/Demand¹

Nomura Securities International, Inc.

0.48%

11/07/16

Open

40,100,000

40,129,407

U.S. Treasury Obligations

Open/Demand¹

Deutsche Bank Securities, Inc.

0.40%

11/23/16

Open

125,125,000

125,176,440

U.S. Treasury Obligations

Open/Demand¹

Nomura Securities International, Inc.

0.15%

12/02/16

Open

40,715,532

40,720,621

U.S. Treasury Obligations

Open/Demand¹

Credit Agricole Corporate & Investment Bank SA

0.30%

12/06/16

Open

49,812,500

49,823,293

U.S. Treasury Obligations

Open/Demand¹

Credit Agricole Corporate & Investment Bank SA

0.30%

12/07/16

Open

81,068,750

81,085,639

U.S. Treasury Obligations

Open/Demand¹

Credit Agricole Corporate & Investment Bank SA

0.30%

12/07/16

Open

65,625,000

65,638,672

U.S. Treasury Obligations

Open/Demand¹

HSBC Securities (USA), Inc.

0.35%

12/12/16

Open

144,937,500

144,964,273

U.S. Treasury Obligations

Open/Demand¹

Deutsche Bank Securities, Inc.

0.65%

12/15/16

1/17/17

7,669,594

7,671,948

U.S. Treasury Obligations

Up to 30 Days

BNP Paribas Securities Corp.

0.25%

12/30/16

1/03/17

286,737,500

286,741,483

U.S. Treasury Obligations

Overnight

Credit Suisse Securities (USA) LLC

(2.00%)

12/30/16

1/03/17

198,370,238

198,348,197

U.S. Treasury Obligations

Overnight

Deutsche Bank Securities, Inc.

(0.95%)

12/30/16

1/03/17

109,334,959

109,329,188

U.S. Treasury Obligations

Overnight


Counterparty	Interest Rate			Trade Date		Maturity Date¹		Face Value		Face Value Including Accrued Interest		Type of Non-Cash Underlying Collateral		Remaining Contractual Maturity of the Agreements
J.P. Morgan Securities LLC		(1.00	%)		12/30/16		1/03/17	$	113,906,250	$	113,899,922		U.S. Treasury Obligations		Overnight
Merrill Lynch, Pierce, Fenner & Smith, Inc.		(0.69	%)		12/30/16		1/03/17		68,349,120		68,346,500		U.S. Treasury Obligations		Overnight
Total								$	1,561,754,728	$	1,561,952,644


Contracts Long (Short)			Issue	Expiration		Notional Value			Unrealized Appreciation (Depreciation)
	(40	)	CBOE Volatility Index		January 2017		USD	605,000	$	60,340
	352		VSTOXX Mini		January 2017		USD	737,363		(47,551	)
	(40	)	CBOE Volatility Index		February 2017		USD	663,000		(28,481	)
	352		VSTOXX Mini		February 2017		USD	813,322		12,636
	(58	)	Euro STOXX 50 Index		March 2017		USD	2,000,737		(4,752	)
	(426	)	Euro-Bobl		March 2017		USD	59,923,767		(476,353	)
	(2,753	)	Euro-Bund		March 2017		USD	475,699,436		(4,594,581	)
	(8	)	Euro-OAT		March 2017		USD	1,278,511		(15,166	)
	(7	)	Euro-Schatz		March 2017		USD	827,417		(1,479	)
	600		Long Gilt British		March 2017		USD	93,044,264		2,326,416
	(197	)	S&P 500 E-Mini Index		March 2017		USD	22,026,570		169,677
	1,071		U.S. Treasury Bonds (30 Year)		March 2017		USD	161,352,844		771,977
	1,575		U.S. Treasury Notes (2 Year)		March 2017		USD	341,282,813		626,101
	1,132		U.S. Treasury Notes (5 Year)		March 2017		USD	133,195,719		414,430
	697		U.S. Treasury Notes (10 Year)		March 2017		USD	86,624,031		317,670
	(1,192	)	U.S. Ultra Treasury Bonds		March 2017		USD	191,018,000		(2,437,853	)
	(160	)	WTI Light Sweet Crude Oil¹		March 2017		USD	8,745,600		(74,929	)
	166		WTI Light Sweet Crude Oil¹		June 2017		USD	9,377,340		107,825
	164		Euro Dollar		December 2017		USD	40,376,800		42,827
	(463	)	Euro Dollar		September 2018		USD	113,579,688		178,783
	(164	)	Euro Dollar		December 2018		USD	40,180,000		(59,673	)
	Total									$(2,712,136	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
TRY	9,186,425	USD	2,610,000	Barclays Bank PLC		1/04/17	$	(8,140	)
USD	3,624,660	BRL	12,689,935	Goldman Sachs International		1/04/17		(268,217	)
USD	2,834,000	BRL	9,826,895	Goldman Sachs International		1/04/17		(180,586	)
USD	3,306,000	BRL	11,319,744	Goldman Sachs International		1/04/17		(166,545	)
USD	3,784,200	BRL	12,650,581	Goldman Sachs International		1/04/17		(96,605	)
USD	3,784,200	BRL	12,635,444	Goldman Sachs International		1/04/17		(91,961	)
USD	3,624,660	BRL	12,653,170	Morgan Stanley & Co. International PLC		1/04/17		(256,939	)
USD	3,734,900	BRL	12,709,865	Morgan Stanley & Co. International PLC		1/04/17		(164,091	)
USD	3,734,900	BRL	12,638,902	Morgan Stanley & Co. International PLC		1/04/17		(142,322	)
USD	1,360,000	BRL	4,528,800	Morgan Stanley & Co. International PLC		1/04/17		(29,295	)
USD	2,610,000	EUR	2,497,297	Credit Suisse International		1/04/17		(19,510	)
USD	2,610,000	GBP	2,106,829	Goldman Sachs International		1/04/17		13,155
USD	2,640,000	HUF	783,483,096	Morgan Stanley & Co. International PLC		1/04/17		(27,286	)
USD	2,610,000	JPY	306,358,146	Morgan Stanley & Co. International PLC		1/04/17		(12,029	)
USD	2,610,000	SEK	24,059,737	Barclays Bank PLC		1/04/17		(31,763	)
USD	2,610,000	TRY	9,196,687	HSBC Bank PLC		1/04/17		5,234
USD	2,610,000	ZAR	35,625,456	Citibank N.A.		1/04/17		18,660
ZAR	36,510,306	USD	2,610,000	Morgan Stanley & Co. International PLC		1/04/17		45,701
BRL	8,725,230	USD	2,610,000	Royal Bank of Scotland PLC		1/05/17		65,795
IDR	35,143,650,000	USD	2,610,000	Barclays Bank PLC		1/05/17		(3,871	)
USD	33,632,671	CAD	45,205,000	JPMorgan Chase Bank N.A.		1/05/17		(38,394	)
USD	3,717,320	CLP	2,509,748,598	Royal Bank of Scotland PLC		1/05/17		(27,998	)
USD	273,872	EUR	259,000	Barclays Bank PLC		1/05/17		1,145
USD	1,093,489	EUR	1,025,000	Goldman Sachs International		1/05/17		14,164
USD	24,643,504	EUR	23,100,000	Goldman Sachs International		1/05/17		319,198
USD	202,116,958	EUR	190,051,000	Goldman Sachs International		1/05/17		1,993,209
USD	11,166,441	EUR	10,500,000	Morgan Stanley & Co. International PLC		1/05/17		109,939
USD	16,510,980	GBP	13,221,000	Royal Bank of Scotland PLC		1/05/17		214,515
USD	867,271	JPY	98,316,000	Barclays Bank PLC		1/05/17		25,763
USD	8,493,009	JPY	1,000,000,000	Credit Suisse International		1/05/17		(66,208	)
USD	287,674	JPY	32,676,000	Morgan Stanley & Co. International PLC		1/05/17		7,993
AUD	28,901,207	USD	20,745,000	Deutsche Bank AG		1/06/17		107,640
CAD	28,143,667	USD	20,745,000	BNP Paribas S.A.		1/06/17		218,152
CNH	16,108,640	USD	2,325,000	BNP Paribas S.A.		1/06/17		(20,984	)
CNH	8,297,384	USD	1,197,120	Citibank N.A.		1/06/17		(10,347	)
CNH	13,551,110	USD	1,955,000	HSBC Bank PLC		1/06/17		(16,787	)
CNH	5,788,454	USD	835,200	JPMorgan Chase Bank N.A.		1/06/17		(7,279	)
CNH	1,994,140	USD	287,680	Royal Bank of Scotland PLC		1/06/17		(2,459	)
EUR	19,928,145	USD	20,745,000	Deutsche Bank AG		1/06/17		240,493
GBP	16,946,109	USD	20,745,000	BNP Paribas S.A.		1/06/17		143,708
USD	20,745,000	AUD	28,711,213	Morgan Stanley & Co. International PLC		1/06/17		29,443
USD	20,745,000	CAD	27,934,387	Morgan Stanley & Co. International PLC		1/06/17		(62,268	)
USD	10,999,230	CNH	76,024,476	HSBC Bank PLC		1/06/17		125,464
USD	20,745,002	EUR	19,646,131	Citibank N.A.		1/06/17		56,486
USD	20,745,000	GBP	16,850,603	Barclays Bank PLC		1/06/17		(25,984	)
GBP	13,000	USD	16,279	JPMorgan Chase Bank N.A.		1/09/17		(253	)
RUB	161,690,760	USD	2,640,000	JPMorgan Chase Bank N.A.		1/09/17		(10,066	)
USD	3,314,072	GBP	2,648,000	Citibank N.A.		1/09/17		49,720


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	2,640,000	RUB	160,116,000	JPMorgan Chase Bank N.A.		1/09/17	$	35,680
CNH	43,939,350	USD	6,300,000	Bank of America N.A.		1/10/17		(24,877	)
CNH	29,277,780	USD	4,200,000	Société Générale		1/10/17		(18,744	)
EUR	2,215,000	USD	2,377,076	Goldman Sachs International		1/10/17		(44,040	)
RUB	194,521,621	USD	3,038,000	JPMorgan Chase Bank N.A.		1/10/17		125,236
USD	2,353,048	EUR	2,215,000	Bank of America N.A.		1/10/17		20,011
USD	3,038,000	RUB	186,897,760	Morgan Stanley & Co. International PLC		1/10/17		(1,259	)
IDR	265,053,700	USD	20,025	HSBC Bank PLC		1/11/17		(388	)
USD	1,194,872	IDR	15,718,537,773	BNP Paribas S.A.		1/11/17		30,320
EUR	1,647,096	USD	1,798,270	Deutsche Bank AG		1/12/17		(63,210	)
EUR	3,980,000	USD	4,244,670	Royal Bank of Scotland PLC		1/12/17		(52,116	)
USD	288,101	EUR	272,003	Citibank N.A.		1/12/17		1,571
USD	289,989	EUR	273,731	Citibank N.A.		1/12/17		1,639
USD	1,401,313	EUR	1,326,667	Goldman Sachs International		1/12/17		3,795
USD	1,401,580	EUR	1,326,667	Goldman Sachs International		1/12/17		4,062
USD	1,401,659	EUR	1,326,667	Goldman Sachs International		1/12/17		4,141
USD	4,234,283	EUR	3,980,000	Goldman Sachs International		1/12/17		41,729
USD	3,987,039	EUR	3,553,700	Goldman Sachs International		1/12/17		243,552
EUR	7,794,000	USD	8,309,651	JPMorgan Chase Bank N.A.		1/13/17		(98,958	)
RUB	83,785,900	USD	1,298,000	Bank of America N.A.		1/13/17		63,591
RUB	386,040	USD	6,000	Deutsche Bank AG		1/13/17		273
RUB	74,951,712	USD	1,168,200	Deutsche Bank AG		1/13/17		49,828
RUB	419,879,636	USD	6,490,000	Deutsche Bank AG		1/13/17		333,397
RUB	493,290,054	USD	7,794,000	JPMorgan Chase Bank N.A.		1/13/17		222,377
USD	8,314,079	EUR	7,794,000	Morgan Stanley & Co. International PLC		1/13/17		103,385
USD	2,233,873	RUB	136,623,685	HSBC Bank PLC		1/13/17		13,624
USD	7,794,000	RUB	476,649,864	HSBC Bank PLC		1/13/17		48,040
USD	2,247,227	RUB	137,620,169	JPMorgan Chase Bank N.A.		1/13/17		10,784
INR	136,760,000	USD	2,000,000	JPMorgan Chase Bank N.A.		1/17/17		11,117
TWD	196,326,200	USD	6,205,000	BNP Paribas S.A.		1/17/17		(108,405	)
USD	6,205,000	TWD	196,326,200	HSBC Bank PLC		1/17/17		108,405
ZAR	60,638,382	USD	4,410,000	Morgan Stanley & Co. International PLC		1/17/17		(11,034	)
IDR	13,524,491,844	USD	990,442	Bank of America N.A.		1/18/17		10,476
IDR	18,676,675,000	USD	1,368,255	BNP Paribas S.A.		1/18/17		13,966
IDR	18,911,800,000	USD	1,385,480	BNP Paribas S.A.		1/18/17		14,141
RUB	494,685,180	USD	7,794,000	JPMorgan Chase Bank N.A.		1/18/17		236,181
USD	1,269,921	IDR	16,705,805,000	JPMorgan Chase Bank N.A.		1/18/17		33,560
USD	1,269,438	IDR	16,705,800,247	UBS AG		1/18/17		33,078
USD	1,251,727	IDR	16,456,460,000	UBS AG		1/18/17		33,820
USD	2,702,400	INR	182,979,504	Royal Bank of Scotland PLC		1/18/17		11,894
USD	2,305,325	RUB	141,132,015	Bank of America N.A.		1/18/17		14,342
USD	2,457,616	RUB	150,430,647	Citibank N.A.		1/18/17		15,688
USD	3,031,059	RUB	184,833,988	Deutsche Bank AG		1/18/17		30,665
USD	1,715,096	GBP	1,352,414	HSBC Bank PLC		1/20/17		47,364
KRW	112,047,300	USD	95,400	Barclays Bank PLC		1/23/17		(2,630	)
USD	2,869,400	KRW	3,370,913,732	Royal Bank of Scotland PLC		1/23/17		78,446
USD	7,585,880	MXN	155,056,255	Morgan Stanley & Co. International PLC		1/23/17		134,423
USD	4,069,000	TWD	129,402,338	Nomura International PLC		1/23/17		49,520


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
JPY	199,222,555	USD	1,732,000	Morgan Stanley & Co. International PLC		1/27/17	$	(24,566	)
BRL	6,692,370	USD	1,990,000	Goldman Sachs International		2/01/17		45,569
BRL	6,726,200	USD	1,990,000	Morgan Stanley & Co. International PLC		2/01/17		55,859
RUB	160,901,400	USD	2,640,000	JPMorgan Chase Bank N.A.		2/02/17		(36,453	)
TRY	9,252,870	USD	2,610,000	HSBC Bank PLC		2/02/17		(5,563	)
USD	2,610,000	EUR	2,486,090	HSBC Bank PLC		2/02/17		(11,758	)
USD	2,610,000	GBP	2,132,361	Royal Bank of Scotland PLC		2/02/17		(20,414	)
USD	2,640,000	HUF	781,532,664	Deutsche Bank AG		2/02/17		(23,074	)
USD	2,610,000	JPY	303,547,880	Morgan Stanley & Co. International PLC		2/02/17		7,747
USD	2,610,000	SEK	23,758,949	Morgan Stanley & Co. International PLC		2/02/17		(3,760	)
ZAR	35,818,223	USD	2,610,000	Citibank N.A.		2/02/17		(19,819	)
BRL	8,562,366	USD	2,610,000	State Street Bank and Trust Co.		2/03/17		(6,976	)
COP	7,850,880,000	USD	2,610,000	State Street Bank and Trust Co.		2/03/17		(13,273	)
HKD	135,373,250	USD	17,245,000	HSBC Bank PLC		2/03/17		215,794
USD	17,245,000	HKD	134,597,225	HSBC Bank PLC		2/03/17		(115,701	)
USD	1,573,184	EUR	1,411,576	Morgan Stanley & Co. International PLC		2/06/17		84,323
BRL	26,190,531	USD	7,544,225	Goldman Sachs International		2/07/17		409,787
CNH	14,088,122	USD	2,040,000	Citibank N.A.		2/07/17		(46,125	)
CNH	65,155,500	USD	9,375,000	HSBC Bank PLC		2/07/17		(153,621	)
CNH	27,236,000	USD	4,000,000	HSBC Bank PLC		2/07/17		(145,322	)
MXN	45,476,449	USD	2,195,000	Deutsche Bank AG		2/07/17		(13,807	)
MXN	45,550,640	USD	2,195,000	UBS AG		2/07/17		(10,249	)
USD	2,461,564	BRL	8,217,931	Goldman Sachs International		2/07/17		(34,205	)
USD	11,037,177	BRL	36,277,435	Goldman Sachs International		2/07/17		19,792
USD	3,072,010	BRL	10,100,000	Nomura International PLC		2/07/17		4,660
USD	6,040,000	CNH	41,917,600	Bank of America N.A.		2/07/17		107,453
USD	9,375,000	CNH	65,062,500	Bank of America N.A.		2/07/17		166,783
USD	4,390,000	MXN	90,363,760	Goldman Sachs International		2/07/17		55,872
USD	1,068,790	IDR	14,262,999,436	Bank of America N.A.		2/10/17		16,946
USD	2,808,742	IDR	37,707,366,465	Goldman Sachs International		2/10/17		27,963
USD	4,141,370	IDR	55,390,820,335	Goldman Sachs International		2/10/17		56,501
USD	886,235	IDR	11,866,692,819	HSBC Bank PLC		2/10/17		11,111
USD	4,154,645	IDR	55,834,279,362	HSBC Bank PLC		2/10/17		37,073
USD	2,752,681	IDR	36,927,213,977	Standard Chartered Bank		2/10/17		29,435
USD	2,813,963	IDR	37,749,310,155	Standard Chartered Bank		2/10/17		30,090
USD	907,730	IDR	12,149,962,273	UBS AG		2/10/17		11,715
USD	100,715,046	JPY	10,012,120,000	BNP Paribas S.A.		2/10/17		14,857,535
EUR	411,067	USD	449,574	BNP Paribas S.A.		2/14/17		(15,853	)
EUR	133,565	USD	144,093	Goldman Sachs International		2/14/17		(3,166	)
EUR	516,413	USD	547,893	Goldman Sachs International		2/14/17		(3,019	)
EUR	1,343,432	USD	1,446,737	UBS AG		2/14/17		(29,266	)
EUR	887,409	USD	955,646	UBS AG		2/14/17		(19,331	)
EUR	17,657	USD	18,832	UBS AG		2/14/17		(202	)
USD	9,215,328	EUR	8,307,281	Citibank N.A.		2/14/17		450,218
USD	2,033,685	EUR	1,832,547	Morgan Stanley & Co. International PLC		2/14/17		100,143
IDR	16,715,880,000	USD	1,210,419	BNP Paribas S.A.		2/16/17		21,181
IDR	18,168,113,667	USD	1,315,577	BNP Paribas S.A.		2/16/17		23,021
INR	209,215,000	USD	3,070,820	Bank of America N.A.		2/16/17		(4,411	)


Currency Purchased		Currency Sold			Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
INR	209,430,000		USD	3,069,921	Bank of America N.A.		2/16/17	$	(360	)
INR	300,695,000		USD	4,361,691	Bank of America N.A.		2/16/17		45,517
INR	170,670,000		USD	2,502,493	HSBC Bank PLC		2/16/17		(1,027	)
INR	170,674,468		USD	2,504,394	UBS AG		2/16/17		(2,863	)
INR	214,105,000		USD	3,140,290	UBS AG		2/16/17		(2,209	)
INR	268,045,139		USD	3,893,741	UBS AG		2/16/17		34,927
INR	290,385,000		USD	4,217,341	UBS AG		2/16/17		38,756
USD	3,174,490		IDR	42,554,041,905	JPMorgan Chase Bank N.A.		2/16/17		39,177
USD	7,524,470		IDR	99,623,979,111	Morgan Stanley & Co. International PLC		2/16/17		184,335
USD	40,532,352		INR	2,744,040,199	JPMorgan Chase Bank N.A.		2/16/17		313,670
EUR	7,713,223		GBP	6,604,000	JPMorgan Chase Bank N.A.		2/17/17		(9,552	)
EUR	7,165,000		USD	7,616,396	JPMorgan Chase Bank N.A.		2/17/17		(55,551	)
USD	53,807		EUR	50,500	Barclays Bank PLC		2/17/17		517
USD	679,374		EUR	639,000	Citibank N.A.		2/17/17		5,071
USD	9,450,801		GBP	7,612,131	JPMorgan Chase Bank N.A.		2/17/17		57,926
RUB	242,566,800		EUR	3,752,000	Société Générale		2/22/17		(50,372	)
HKD	22,889,790		USD	2,953,750	Bank of America N.A.		2/27/17		(1,152	)
HKD	69,472,537		USD	8,965,000	HSBC Bank PLC		2/27/17		(3,605	)
HKD	47,118,741		USD	6,081,250	HSBC Bank PLC		2/27/17		(3,314	)
USD	18,000,000		HKD	140,211,000	HSBC Bank PLC		2/27/17		(86,084	)
USD	8,625,000		JPY	980,033,737	JPMorgan Chase Bank N.A.		3/06/17		212,308
USD	8,600,000		JPY	973,738,956	Standard Chartered Bank		3/06/17		241,343
AUD	5,480,845		EUR	3,800,000	Goldman Sachs International		3/15/17		(67,319	)
EUR	1,750,000		SEK	16,732,415	Goldman Sachs International		3/15/17		4,369
PLN	4,058,968		EUR	915,000	Barclays Bank PLC		3/15/17		1,842
PLN	1,863,146		EUR	420,000	BNP Paribas S.A.		3/15/17		849
PLN	9,359,475		EUR	2,110,000	Deutsche Bank AG		3/15/17		4,117
PLN	1,574,909		EUR	355,000	Goldman Sachs International		3/15/17		742
USD	8,000,000		CNH	56,168,000	BNP Paribas S.A.		3/15/17		102,640
USD	877,393		CNH	6,118,497	Deutsche Bank AG		3/15/17		17,117
USD	37,954,000		CNH	267,545,716	Westpac Banking Corp.		3/15/17		336,408
USD	865,695		EUR	800,000	JPMorgan Chase Bank N.A.		3/15/17		20,360
USD	2,846,766		EUR	2,630,733	JPMorgan Chase Bank N.A.		3/15/17		66,953
USD	887,488		HKD	6,879,275	Bank of America N.A.		3/15/17		103
USD	2,496,101		JPY	282,182,947	Bank of America N.A.		3/15/17		72,570
USD	3,164,096		JPY	357,699,500	Bank of America N.A.		3/15/17		91,990
USD	456,383		JPY	51,600,000	Goldman Sachs International		3/15/17		13,216
USD	366,073		JPY	41,660,000	Standard Chartered Bank		3/15/17		8,276
USD	529,093		SGD	750,000	Barclays Bank PLC		3/15/17		11,388
USD	854,200		KRW	989,804,098	HSBC Bank PLC		3/16/17		34,604
USD	972,984		TWD	30,746,280	JPMorgan Chase Bank N.A.		3/16/17		15,663
CNH	31,338,938		USD	4,485,000	Bank of America N.A.		5/19/17		(116,491	)
USD	4,485,000		CNH	31,378,168	HSBC Bank PLC		5/19/17		111,023
HKD	132,970,084		USD	16,790,000	Goldman Sachs International		1/19/18		321,577
USD	16,790,000		HKD	131,339,775	Goldman Sachs International		1/19/18		(111,776	)
Total									$23,127,095


Description	Put/ Call		Expiration Date		Strike Price			Contracts		Value
Delta Air Lines, Inc.		Call		1/20/17		USD	52.50		1,625	$	64,188
EURO STOXX 50 Index		Call		1/20/17		EUR	3,050.00		222		560,854
EURO STOXX 50 Index		Call		1/20/17		EUR	3,000.00		148		448,995
EURO STOXX 50 Index		Call		1/20/17		EUR	3,100.00		73		148,308
SPDR S&P 500 ETF Trust		Call		1/20/17		USD	230.00		611		15,886
SPDR S&P Oil & Gas Explore & Production ETF		Call		1/20/17		USD	45.00		686		8,918
SPDR Gold Trust ETF¹		Call		3/17/17		USD	130.00		1,300		18,200
EURO STOXX 50 Index		Put		1/20/17		EUR	3,250.00		266		99,962
EURO STOXX 50 Index		Put		1/20/17		EUR	3,225.00		266		78,402
S&P 500 Index		Put		1/20/17		USD	2,265.00		27		98,955
SPDR S&P 500 ETF Trust		Put		1/20/17		USD	225.00		815		257,133
SPDR S&P Retail ETF		Put		1/20/17		USD	45.00		5,441		704,610
Utilities SPDR ETF		Put		1/20/17		USD	45.00		2,500		21,250
Ally Financial, Inc.		Put		3/17/17		USD	19.00		1,555		155,500
Ally Financial, Inc.		Put		3/17/17		USD	18.00		1,040		62,400
Energy Select Sector SPDR ETF		Put		3/17/17		USD	65.00		1,800		94,500
iShares FTSE/Xinhua China 25 Index ETF		Put		3/17/17		USD	34.00		23,344		2,591,184
Total										$	5,429,245

Description

Put/

Call

Counterparty

Expiration

Date

Strike

Price

Notional

Amount

(000)

Contracts

Value

EUR Currency

Call

Deutsche Bank AG

1/04/17

USD

1.09

EUR

20,500

—

1,784

EUR Currency

Call

Deutsche Bank AG

1/04/17

USD

1.09

EUR

10,200

—

904

EUR Currency

Call

Goldman Sachs International Morgan Stanley & Co.

1/04/17

USD

1.08

EUR

20,500

—

9,560

EUR Currency

Call

International PLC

1/04/17

USD

1.09

EUR

10,300

—

913

EUR Currency

Call

Citibank N.A.

1/05/17

USD

1.13

EUR

146,951

—

USD Currency

Call

Bank of America N.A.

1/06/17

CNH

7.00

USD

21,000

—

44,139

USD Currency

Call

JPMorgan Chase Bank N.A.

1/09/17

CAD

1.35

USD

4,380

—

21,290

USD Currency

Call

BNP Paribas S.A.

1/13/17

TWD

32.00

USD

20,700

—

257,879

USD Currency

Call

Deutsche Bank AG

1/13/17

TWD

33.00

USD

4,000

—

4,711

USD Currency

Call

JPMorgan Chase Bank N.A.

1/13/17

TWD

33.00

USD

21,500

—

25,324

USD Currency

Call

JPMorgan Chase Bank N.A.

1/17/17

MXN

20.75

USD

40,750

—

375,274

EUR Currency

Call

UBS AG

1/20/17

CHF

1.09

EUR

42,000

—

50,109

USD Currency

Call

Citibank N.A.

1/20/17

TRY

3.45

USD

5,404

—

158,286

USD Currency

Call

Bank of America N.A.

1/23/17

JPY

115.00

USD

16,100

—

349,872

USD Currency

Call

BNP Paribas S.A.

1/23/17

TWD

32.00

USD

7,880

—

110,976

USD Currency

Call

Goldman Sachs International

1/23/17

INR

69.00

USD

7,880

—

13,058

USD Currency

Call

Bank of America N.A.

2/03/17

CNH

7.00

USD

38,000

—

433,904

USD Currency

Call

HSBC Bank PLC

2/03/17

CNH

6.85

USD

40,000

—

1,146,779

USD Currency

Call

JPMorgan Chase Bank N.A.

2/14/17

JPY

119.00

USD

18,000

—

170,060

USD Currency

Call

Citibank N.A.

2/22/17

CAD

1.36

USD

9,075

—

87,836

USD Currency

Call

HSBC Bank PLC

3/10/17

CNH

6.92

USD

5,290

—

148,976

Description

Put/

Call

Counterparty

Expiration

Date

Strike

Price

Notional

Amount

(000)

Contracts

Value

USD Currency

Call

JPMorgan Chase Bank N.A.

3/23/17

TWD

32.15

USD

9,912

—

174,820

USD Currency

Call

Bank of America N.A.

5/17/17

CNH

7.00

USD

30,500

—

928,930

USD Currency

Call

Deutsche Bank AG

5/17/17

CNH

7.25

USD

40,800

—

589,799

USD Currency

Call

Bank of America N.A.

11/10/17

HKD

7.74

USD

20,500

—

224,864

USD Currency

Call

HSBC Bank PLC

11/10/17

HKD

7.74

USD

20,500

—

221,849

USD Currency

Put

UBS AG

1/05/17

JPY

116.50

USD

5,280

—

31,232

USD Currency

Put

Nomura International PLC

1/06/17

INR

67.40

USD

4,750

—

2,334

EUR Currency

Put

Citibank N.A. Morgan Stanley & Co.

1/13/17

USD

1.06

EUR

5,260

—

54,754

USD Currency

Put

International PLC

1/13/17

BRL

3.45

USD

5,260

—

291,006

USD Currency

Put

Deutsche Bank AG

1/17/17

RUB

65.00

USD

5,710

—

354,309

EUR Currency

Put

JPMorgan Chase Bank N.A.

1/25/17

CHF

1.05

EUR

5,470

—

6,787

USD Currency

Put

HSBC Bank PLC

2/03/17

CNH

6.70

USD

10,000

—

1,218

EUR Currency

Put

UBS AG Morgan Stanley & Co.

2/10/17

SEK

9.60

EUR

41,000

—

468,578

USD Currency

Put

International PLC

2/14/17

BRL

3.34

USD

6,720

—

207,917

Taiwan Stock Exchange Weighted Index

Put

Bank of America N.A.

2/15/17

TWD

9,081.63

—

22,043

USD Currency

Put

JPMorgan Chase Bank N.A.

2/17/17

BRL

3.37

USD

5,690

—

206,828

USD Currency

Put

Goldman Sachs International

2/21/17

BRL

3.35

USD

5,690

—

189,424

EUR Currency

Put

BNP Paribas S.A.

6/01/17

USD

1.02

EUR

133,933

—

2,023,966

Total

9,412,307


Description	Put/ Call		Expiration Date		Strike Price			Contracts		Value
Delta Air Lines, Inc.		Call		1/20/17		USD	55.00		2,438		$(25,599	)
United Continental Holdings, Inc.		Call		1/20/17		USD	80.00		356		(14,062	)
U.S. Treasury Notes (10 Year) Future		Call		1/27/17		USD	124.00		404		(296,688	)
SPDR S&P 500 ETF Trust		Put		1/20/17		USD	215.00		815		(51,345	)
SPDR S&P Retail ETF		Put		1/20/17		USD	42.00		8,161		(212,186	)
Utilities SPDR ETF		Put		1/20/17		USD	42.00		3,000		(9,000	)
U.S. Treasury Notes (10 Year) Future		Put		1/27/17		USD	122.00		404		(50,500	)
Ally Financial, Inc.		Put		3/17/17		USD	16.00		2,595		(103,800	)
iShares FTSE/Xinhua China 25 Index ETF		Put		3/17/17		USD	30.00		23,344		(653,632	)
Total										$	(1,416,812	)


Description	Put/ Call	Counterparty	Expiration Date	Strike Price		Notional Amount (000)		Contracts		Value
EUR Currency	Call	Goldman Sachs International	1/04/17	USD	1.09	EUR	41,000		—	$	(3,770	)
EUR Currency	Call	BNP Paribas S.A.	1/05/17	USD	1.13	EUR	146,951		—		(15	)
USD Currency	Call	BNP Paribas S.A.	1/13/17	TWD	33.00	USD	25,500		—		(30,035	)
USD Currency	Call	JPMorgan Chase Bank N.A.	1/13/17	TWD	32.00	USD	13,700		—		(170,673	)
USD Currency	Call	Standard Chartered Bank Morgan Stanley & Co.	1/13/17	TWD	32.00	USD	7,000		—		(87,205	)
USD Currency	Call	International PLC	1/17/17	MXN	20.75	USD	40,750		—		(375,748	)
USD Currency	Call	Goldman Sachs International	1/20/17	TRY	3.60	USD	5,404		—		(45,654	)
USD Currency	Call	Deutsche Bank AG	1/23/17	JPY	115.00	USD	8,100		—		(174,162	)
USD Currency	Call	JPMorgan Chase Bank N.A.	1/23/17	JPY	115.00	USD	8,100		—		(175,557	)
USD Currency	Call	Bank of America N.A.	2/03/17	CNH	6.85	USD	40,000		—		(1,149,342	)
USD Currency	Call	HSBC Bank PLC	2/03/17	CNH	7.00	USD	38,000		—		(432,279	)
USD Currency	Call	JPMorgan Chase Bank N.A.	2/17/17	BRL	3.50	USD	5,690		—		(35,807	)


Description	Put/ Call		Counterparty		Expiration Date		Strike Price			Notional Amount (000)			Contracts		Value
USD Currency		Call		HSBC Bank PLC		3/10/17		CNH	7.03		USD	9,881		—	$	(173,886	)
USD Currency		Call		JPMorgan Chase Bank N.A.		3/23/17		TWD	33.50		USD	9,912		—		(51,328	)
USD Currency		Call		Bank of America N.A.		5/17/17		CNH	7.25		USD	40,800		—		(590,653	)
USD Currency		Call		Deutsche Bank AG		5/17/17		CNH	7.00		USD	30,500		—		(927,586	)
USD Currency		Call		Goldman Sachs International		12/18/17		HKD	7.78		USD	20,500		—		(200,159	)
USD Currency		Put		Nomura International PLC		1/06/17		INR	66.40		USD	7,120		—		(66	)
USD Currency		Put		Deutsche Bank AG		1/17/17		RUB	62.50		USD	8,570		—		(221,840	)
EUR Currency		Put		UBS AG		1/25/17		CHF	1.05		EUR	5,470		—		(6,809	)
EUR Currency		Put		UBS AG		2/10/17		SEK	9.50		EUR	41,000		—		(251,214	)
USD Currency		Put		Morgan Stanley & Co. International PLC		2/14/17		BRL	3.18		USD	10,080		—		(84,684	)
Taiwan Stock Exchange Weighted Index		Put		Bank of America N.A.		2/15/17		TWD	8,426.25			—		40		(2,751	)
USD Currency		Put		Goldman Sachs International		2/21/17		BRL	3.15		USD	8,530		—		(58,610	)
Total															$	(5,249,833	)

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

Citibank N.A.

Call

3.25%

Receive

iTraxx Europe Crossover Series 26 Version 1

B+

1/18/17

EUR

6,300

(110,024

)

Bought protection on 5-Year Credit Default Swaps

Citibank N.A.

Call

3.38%

Receive

iTraxx Europe Crossover Series 26 Version 1

B+

1/18/17

EUR

6,300

(147,177

)

Bought protection on 5-Year Credit Default Swaps

JPMorgan Chase Bank N.A.

Call

3.38%

Receive

iTraxx Europe Crossover Series 26 Version 1

B+

1/18/17

EUR

6,300

(147,177

)

Bought protection on 5-Year Credit Default Swaps

JPMorgan Chase Bank N.A.

Call

3.38%

Receive

iTraxx Europe Crossover Series 26 Version 1

B+

1/18/17

EUR

6,300

(147,177

)

Bought protection on 5-Year Credit Default Swaps

JPMorgan Chase Bank N.A.

Call

3.38%

Receive

iTraxx Europe Crossover Series 26 Version 1

B+

1/18/17

EUR

12,600

(294,353

)

Total

(845,908

)

Fixed Rate

Floating Rate

Effective Date

Expiration Date

Notional

Amount

(000)

Unrealized
Appreciation
(Depreciation)

1.26%¹

3-month LIBOR

N/A

1/12/17

USD

283,520

$(1,146,235

)

3.39%¹

UK RPI All Items Monthly

N/A

10/15/21

GBP

36,162

120,585

3.39%¹

UK RPI All Items Monthly

N/A

10/15/21

GBP

36,162

108,175

3.37%¹

UK RPI All Items Monthly

N/A

10/15/21

GBP

35,622

167,657

2.40%²

3-month LIBOR

12/28/17³

12/28/22

USD

89,222

623,769

2.13%²

3-month LIBOR

N/A

8/25/25

USD

2,360

(9,874

)

2.27%¹

3-month LIBOR

N/A

9/11/25

USD

1,800

(12,324

)

3.46%²

UK RPI All Items Monthly

N/A

10/15/26

GBP

36,162

(218,251

)

3.45%²

UK RPI All Items Monthly

N/A

10/15/26

GBP

36,162

(289,868

)

3.43%²

UK RPI All Items Monthly

N/A

10/15/26

GBP

35,622

(377,684

)

7.85%²

28-day MXIBTIIE

3/15/17³

3/03/27

MXN

90,000

(41,713

)

2.81%¹

3-month LIBOR

12/28/17³

12/28/47

USD

20,749

(736,232

)

Total

$(1,811,995

)


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	%	JPMorgan Chase Bank N.A.	3/20/17	EUR		1,880		$ 72,577			$ 31,533			$ 41,044
Republic of Ireland		1.00	%	Citibank N.A.	3/20/17	USD		2,000		(4,230	)		15,657			(19,887	)
CDX.NA.IG Series 18 Version 1		1.00	%	Credit Suisse International	6/20/17	USD		103,800		(485,884	)		(1,135	)		(484,749	)
Buoni Poliennali Del Tesoro		1.00	%	Barclays Bank PLC	3/20/18	USD		6,000		(19,555	)		89,028			(108,583	)
iTraxx Europe Series 9 3-6%		5.00	%	Citibank N.A.	6/20/18	EUR		3,780		(266,678	)		180,231			(446,909	)
iTraxx Financials Series 19 Version 1		1.00	%	Citibank N.A.	6/20/18	EUR		8,200		(80,064	)		(74,886	)		(5,178	)
Republic of France		0.25	%	Barclays Bank PLC	6/20/18	USD		2,530		(4,166	)		13,284			(17,450	)
Republic of France		0.25	%	Citibank N.A.	6/20/18	USD		2,740		(4,512	)		16,293			(20,805	)
Republic of France		0.25	%	JPMorgan Chase Bank N.A.	6/20/18	USD		2,735		(4,509	)		12,481			(16,990	)
iTraxx Financials Series 20 Version 1		1.00	%	Barclays Bank PLC	12/20/18	EUR		1,450		(16,987	)		(4,375	)		(12,612	)
iTraxx Financials Series 20 Version 1		1.00	%	Citibank N.A.	12/20/18	EUR		5,900		(69,120	)		(63,259	)		(5,861	)


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
iTraxx Financials Series 20 Version 1		1.00	%	Citibank N.A.	12/20/18	EUR	3,120		$ (36,552	)		$ (9,226	)		$ (27,326	)
Republic of Portugal		1.00	%	BNP Paribas S.A.	9/20/19	USD	875		20,086			13,972			6,114
United Mexican States		1.00	%	JPMorgan Chase Bank N.A.	6/20/20	USD	7,452		27,462			45,425			(17,963	)
United Mexican States		1.00	%	Bank of America N.A.	9/20/20	USD	7,452		45,613			69,619			(24,006	)
Australia & New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,000		(17,859	)		(286	)		(17,573	)
Australia and New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,205		(21,516	)		(4,455	)		(17,061	)
Australia and New Zealand Banking Group Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	795		(14,201	)		(3,239	)		(10,962	)
Banco Comercial Portugues SA		5.00	%	BNP Paribas S.A.	12/20/20	EUR	216		16,849			(3,004	)		19,853
Commonwealth Bank of Australia		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,150		(20,355	)		(3,343	)		(17,012	)
Commonwealth Bank of Australia		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,000		(17,700	)		(2,144	)		(15,556	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	32,023		(8,253	)		(1,927	)		(6,326	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(7,558	)		(1,681	)		(5,877	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(7,558	)		(1,586	)		(5,972	)
Itochu Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(7,558	)		(1,222	)		(6,336	)
Loews Corp.		1.00	%	Barclays Bank PLC	12/20/20	USD	4,245		(127,795	)		(118,679	)		(9,116	)
Mitsubishi Corp.		1.00	%	Barclays Bank PLC	12/20/20	JPY	47,573		(13,650	)		(6,073	)		(7,577	)
Mitsubishi Corp.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(8,414	)		(3,309	)		(5,105	)
Mitsui & Co. Ltd.		1.00	%	Goldman Sachs International	12/20/20	JPY	58,651		(15,772	)		(2,600	)		(13,172	)
Mitsui & Co. Ltd.		1.00	%	Goldman Sachs International	12/20/20	JPY	29,326		(7,886	)		(934	)		(6,952	)
National Australia Bank Ltd.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	USD	1,000		(18,092	)		(1,082	)		(17,010	)
Standard Chartered PLC		1.00	%	BNP Paribas S.A.	12/20/20	EUR	810		(305	)		16,544			(16,849	)
Standard Chartered PLC		1.00	%	BNP Paribas S.A.	12/20/20	EUR	460		(173	)		9,796			(9,969	)
Standard Chartered PLC		1.00	%	Goldman Sachs International	12/20/20	EUR	610		(229	)		5,551			(5,780	)
Standard Chartered PLC		1.00	%	Morgan Stanley & Co. International PLC	12/20/20	EUR	240		(90	)		5,212			(5,302	)
Sumitomo Mitsui Banking Corp.		1.00	%	Barclays Bank PLC	12/20/20	JPY	24,938		(6,606	)		973			(7,579	)
Sumitomo Mitsui Banking Corp.		1.00	%	JPMorgan Chase Bank N.A.	12/20/20	JPY	25,316		(6,707	)		1,650			(8,357	)
Valero Energy Corp.		1.00	%	Morgan Stanley Capital Services LLC	12/20/20	USD	4,450		(32,899	)		87,102			(120,001	)
Westpac Banking Corp.		1.00	%	Citibank N.A.	12/20/20	USD	1,000		(20,377	)		(2,522	)		(17,855	)
Cable & Wireless International Finance BV		5.00	%	Goldman Sachs International	6/20/21	EUR	450		(70,243	)		(51,841	)		(18,402	)
Kingdom of Thailand		1.00	%	Barclays Bank PLC	6/20/21	USD	769		(9,827	)		(940	)		(8,887	)
Kingdom of Thailand		1.00	%	BNP Paribas S.A.	6/20/21	USD	731		(9,340	)		(1,791	)		(7,549	)
Kingdom of Thailand		1.00	%	Citibank N.A.	6/20/21	USD	420		(5,365	)		(671	)		(4,694	)
Kingdom of Thailand		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	540		(6,901	)		(404	)		(6,497	)
Kingdom of Thailand		1.00	%	JPMorgan Chase Bank N.A.	6/20/21	USD	540		(6,900	)		(174	)		(6,726	)
AutoZone, Inc.		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	4,200		(133,552	)		(104,247	)		(29,305	)
Barclays Bank PLC		1.00	%	Citibank N.A.	12/20/21	EUR	6,410		(59,339	)		34,794			(94,133	)
BNP Paribas SA		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	800		(6,958	)		(12,033	)		5,075
Caterpillar, Inc.		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	5,400		(106,243	)		(68,703	)		(37,540	)


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Clariant AG		1.00	%	BNP Paribas S.A.	12/20/21	EUR	500	$	(2,460	)	$	(1,322	)		$ (1,138	)
Credit Suisse Group AG ADR		1.00	%	Société Générale	12/20/21	EUR	700		6,442			15,843			(9,401	)
D.R. Horton, Inc.		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	1,700		22,565			31,440			(8,875	)
Ephios Holdco II PLC		5.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	700		(62,924	)		(48,845	)		(14,079	)
Halliburton Co.		1.00	%	Morgan Stanley Capital Services LLC	12/20/21	USD	8,700		(108,526	)		45,519			(154,045	)
HSBC Holdings PLC ADR		1.00	%	Bank of America N.A.	12/20/21	EUR	3,540		(57,417	)		(52,914	)		(4,503	)
HSBC Holdings PLC ADR		1.00	%	BNP Paribas S.A.	12/20/21	EUR	18,376		(298,049	)		(252,316	)		(45,733	)
HSBC Holdings PLC ADR		1.00	%	BNP Paribas S.A.	12/20/21	EUR	18,170		(294,708	)		(196,274	)		(98,434	)
HSBC Holdings PLC ADR		1.00	%	Citibank N.A.	12/20/21	EUR	17,746		(287,831	)		(297,985	)		10,154
HSBC Holdings PLC ADR		1.00	%	Citibank N.A.	12/20/21	EUR	8,754		(141,985	)		(146,994	)		5,009
HSBC Holdings PLC ADR		1.00	%	Société Générale	12/20/21	EUR	28,449		(461,428	)		(390,626	)		(70,802	)
Iberdrola SA		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	750		(10,307	)		(10,693	)		386
Iceland Bondco PLC		5.00	%	Citibank N.A.	12/20/21	EUR	400		(9,040	)		13,354			(22,394	)
ITV PLC		5.00	%	BNP Paribas S.A.	12/20/21	EUR	156		(29,625	)		(33,005	)		3,380
ITV PLC		5.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	544		(103,307	)		(116,471	)		13,164
Kingdom of Saudi Arabia		1.00	%	Barclays Bank PLC	12/20/21	USD	3,000		(6,992	)		40,463			(47,455	)
Ladbrokes PLC		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	240		24,621			27,739			(3,118	)
Lanxess AG		1.00	%	BNP Paribas S.A.	12/20/21	EUR	1,025		(17,338	)		(20,984	)		3,646
Lanxess AG		1.00	%	Citibank N.A.	12/20/21	EUR	1,142		(19,317	)		(22,416	)		3,099
Louis Dreyfus Commodities BV		5.00	%	Goldman Sachs International	12/20/21	EUR	564		(44,291	)		(39,355	)		(4,936	)
Macquarie Bank Ltd.		1.00	%	Deutsche Bank AG	12/20/21	USD	700		10,780			17,965			(7,185	)
Macy’s, Inc.		1.00	%	BNP Paribas S.A.	12/20/21	USD	638		23,364			30,836			(7,472	)
Macy’s, Inc.		1.00	%	Citibank N.A.	12/20/21	USD	1,063		38,940			53,080			(14,140	)
Marks & Spencer PLC		1.00	%	Bank of America N.A.	12/20/21	EUR	1,630		42,720			34,784			7,936
Marks & Spencer PLC		1.00	%	Barclays Bank PLC	12/20/21	EUR	1,650		43,244			38,254			4,990
Monitchem HoldCo 3 SA		5.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	750		(55,260	)		(15,423	)		(39,837	)
New Look Senior Issuer PLC		5.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	1,100		105,716			122,001			(16,285	)
People’s Republic of China		1.00	%	Goldman Sachs International	12/20/21	USD	1,900		15,316			6,298			9,018
People’s Republic of China		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	3,900		31,439			14,740			16,699
PizzaExpress Financing 1 PLC		5.00	%	Credit Suisse International	12/20/21	EUR	520		12,867			46,032			(33,165	)
Prudential Financial, Inc.		1.00	%	Citibank N.A.	12/20/21	USD	18,033		(136,326	)		169,235			(305,561	)
Republic of Argentina		5.00	%	Bank of America N.A.	12/20/21	USD	885		(31,320	)		(40,070	)		8,750
Republic of Argentina		5.00	%	Citibank N.A.	12/20/21	USD	5,039		(220,717	)		(163,767	)		(56,950	)
Republic of South Africa		1.00	%	Bank of America N.A.	12/20/21	USD	4,065		213,410			297,368			(83,958	)
Republic of South Africa		1.00	%	Barclays Bank PLC	12/20/21	USD	24,465		1,284,395			1,779,391			(494,996	)
Republic of South Africa		1.00	%	Barclays Bank PLC	12/20/21	USD	110		5,775			8,001			(2,226	)
Republic of South Africa		1.00	%	BNP Paribas S.A.	12/20/21	USD	4,510		236,772			329,921			(93,149	)
Republic of South Africa		1.00	%	Citibank N.A.	12/20/21	USD	9,965		523,155			728,971			(205,816	)
Republic of South Africa		1.00	%	Citibank N.A.	12/20/21	USD	530		27,825			38,325			(10,500	)
Republic of South Africa		1.00	%	Goldman Sachs International	12/20/21	USD	2,487		130,565			180,884			(50,319	)
Republic of South Africa		1.00	%	HSBC Bank PLC	12/20/21	USD	4,445		233,359			328,099			(94,740	)
Republic of South Africa		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	10,320		541,793			754,941			(213,148	)
Republic of the Philippines		1.00	%	Bank of America N.A.	12/20/21	USD	5,342		23,013			52,595			(29,582	)
Republic of the Philippines		1.00	%	Bank of America N.A.	12/20/21	USD	4,784		20,611			40,582			(19,971	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	12/20/21	USD	23,107		99,545			88,699			10,846
Republic of the Philippines		1.00	%	Barclays Bank PLC	12/20/21	USD	6,570		28,305			28,258			47
Republic of the Philippines		1.00	%	Barclays Bank PLC	12/20/21	USD	3,708		15,975			16,602			(627	)
Republic of the Philippines		1.00	%	Barclays Bank PLC	12/20/21	USD	2,318		9,984			8,759			1,225


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Republic of the Philippines		1.00	%	Barclays Bank PLC	12/20/21	USD	1,854		$ 7,987			$ 7,007			$ 980
Republic of the Philippines		1.00	%	Barclays Bank PLC	12/20/21	USD	927		3,994			3,504			490
Republic of the Philippines		1.00	%	Citibank N.A.	12/20/21	USD	5,511		23,741			41,650			(17,909	)
Republic of the Philippines		1.00	%	Citibank N.A.	12/20/21	USD	2,686		11,573			11,404			169
Republic of the Philippines		1.00	%	Citibank N.A.	12/20/21	USD	1,314		5,663			3,208			2,455
Republic of the Philippines		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	5,167		22,261			12,611			9,650
Republic of the Philippines		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	2,462		10,608			10,590			18
Republic of the Philippines		1.00	%	UBS AG	12/20/21	USD	2,289		9,861			8,651			1,210
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	3,945		138,540			230,602			(92,062	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	3,945		138,540			230,602			(92,062	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	3,945		138,539			231,702			(93,163	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	3,945		138,539			231,702			(93,163	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	3,945		138,539			232,296			(93,757	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	2,365		83,054			138,904			(55,850	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	425		14,925			24,843			(9,918	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	425		14,925			24,843			(9,918	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	425		14,925			24,962			(10,037	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	425		14,925			24,962			(10,037	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	425		14,925			25,026			(10,101	)
Russian Federation		1.00	%	Bank of America N.A.	12/20/21	USD	255		8,955			14,977			(6,022	)
Russian Federation		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	USD	2,319		81,438			131,259			(49,821	)
Sempra Energy		1.00	%	Morgan Stanley & Co. International PLC	12/20/21	USD	3,300		(82,973	)		(83,437	)		464
Simon Property Group, Inc.		1.00	%	Barclays Bank PLC	12/20/21	USD	3,300		(36,006	)		(30,723	)		(5,283	)
Sol Melia Europe BV		5.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	870		(179,898	)		(169,944	)		(9,954	)
Southwest Airlines Co.		1.00	%	Goldman Sachs International	12/20/21	USD	4,200		(90,493	)		(49,418	)		(41,075	)
Standard Chartered PLC		1.00	%	BNP Paribas S.A.	12/20/21	EUR	16,002		124,324			146,513			(22,189	)
Standard Chartered PLC		1.00	%	BNP Paribas S.A.	12/20/21	EUR	8,000		62,155			63,660			(1,505	)
Standard Chartered PLC		1.00	%	BNP Paribas S.A.	12/20/21	EUR	1,700		13,208			13,465			(257	)
Standard Chartered PLC		1.00	%	Citibank N.A.	12/20/21	EUR	24,425		189,765			193,449			(3,684	)
Standard Chartered PLC		1.00	%	Citibank N.A.	12/20/21	EUR	9,994		77,646			148,716			(71,070	)
Standard Chartered PLC		1.00	%	Citibank N.A.	12/20/21	EUR	9,086		70,592			144,336			(73,744	)
Standard Chartered PLC		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	4,433		34,441			31,088			3,353
Standard Chartered PLC		1.00	%	JPMorgan Chase Bank N.A.	12/20/21	EUR	890		56,180			65,949			(9,769	)
Standard Chartered PLC		1.00	%	Morgan Stanley & Co. International PLC	12/20/21	EUR	13,547		105,250			101,728			3,522
Standard Chartered PLC		1.00	%	Société Générale	12/20/21	EUR	5,391		41,884			51,515			(9,631	)
Standard Chartered PLC		1.00	%	Société Générale	12/20/21	EUR	4,139		32,157			41,616			(9,459	)
Statoil ASA		1.00	%	BNP Paribas S.A.	12/20/21	EUR	500		(15,628	)		(12,063	)		(3,565	)
STMicroelectronics NV — ADR		1.00	%	Bank of America N.A.	12/20/21	EUR	888		(3,899	)		1,076			(4,975	)
Techem GmbH		5.00	%	Credit Suisse International	12/20/21	EUR	650		(118,912	)		(119,818	)		906
Verizon Communications, Inc.		1.00	%	Barclays Bank PLC	12/20/21	USD	4,000		(61,813	)		(77,746	)		15,933
Whirlpool Corp.		1.00	%	Goldman Sachs International	12/20/21	USD	3,300		(31,026	)		(15,164	)		(15,862	)
CMBX.NA Series 8 AAA		0.50	%	Credit Suisse International	10/17/57	USD	3,120		35,694			73,545			(37,851	)
CMBX.NA Series 8 AAA		0.50	%	Credit Suisse International	10/17/57	USD	2,360		26,999			105,358			(78,359	)
CMBX.NA Series 8 AAA		0.50	%	Morgan Stanley & Co. International PLC	10/17/57	USD	1,980		22,652			45,944			(23,292	)
CMBX.NA Series 8 AAA		0.50	%	Morgan Stanley & Co. International PLC	10/17/57	USD	1,610		18,419			36,051			(17,632	)
CMBX.NA Series 9 A		2.00	%	J.P. Morgan Securities LLC	9/17/58	USD	1,021		57,262			142,492			(85,230	)


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date		Notional Amount (000)		Value		Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA Series 9 A		2.00	%	Morgan Stanley & Co. International PLC		9/17/58	USD	1,780		$ 99,789		$ 228,643			$ (128,854	)
CMBX.NA Series 9 AAA		0.50	%	Goldman Sachs International		9/17/58	USD	1,620		35,477		51,864			(16,387	)
CMBX.NA Series 6 AAA		0.50	%	Deutsche Bank AG		5/11/63	USD	6,527		2,231		2,167			64
CMBX.NA Series 6 AAA		0.50	%	Deutsche Bank AG		5/11/63	USD	5,807		1,985		(4,369	)		6,354
CMBX.NA Series 6 AAA		0.50	%	Deutsche Bank AG		5/11/63	USD	4,078		1,393		817			576
CMBX.NA Series 6 BBB-		3.00	%	J.P. Morgan Securities LLC		5/11/63	USD	840		47,416		55,395			(7,979	)
CMBX.NA Series 6 BBB-		3.00	%	J.P. Morgan Securities LLC		5/11/63	USD	840		47,416		55,395			(7,979	)
CMBX.NA Series 6 BBB-		3.00	%	Morgan Stanley & Co. International PLC		5/11/63	USD	850		47,979		49,268			(1,289	)
Total										$1,435,560		$6,589,566			$(5,154,006	)


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Credit Rating¹	Notional Amount (000)²		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
CDX.NA.IG Series 18 Version 1		1.00	%	Citibank N.A.	6/20/17	BBB+	USD	103,800		$485,884			$ 10,789			$475,095
SAS AB		5.00	%	Goldman Sachs International	12/20/17	Not Rated	EUR	270		(566	)		(5,746	)		5,180
Buoni Poliennali Del Tesoro		1.00	%	Barclays Bank PLC	3/20/18	BBB-	EUR	4,500		24,022			(86,844	)		110,866
Buoni Poliennali Del Tesoro		1.00	%	Barclays Bank PLC	3/20/18	BBB-	USD	37		120			(720	)		840
iTraxx Sub Financials Series 19 Version 1		5.00	%	Citibank N.A.	6/20/18	BBB	EUR	5,900		377,571			406,188			(28,617	)
iTraxx Sub Financials Series 20 Version 1		5.00	%	Barclays Bank PLC	12/20/18	BBB	EUR	1,160		96,525			133,359			(36,834	)
iTraxx Sub Financials Series 20 Version 1		5.00	%	Citibank N.A.	12/20/18	BBB	EUR	4,600		382,774			408,587			(25,813	)
iTraxx Sub Financials Series 20 Version 1		5.00	%	Citibank N.A.	12/20/18	BBB	EUR	1,660		138,133			189,118			(50,985	)
iTraxx Sub Financials Series 20 Version 1		5.00	%	Deutsche Bank AG	12/20/18	BBB	EUR	830		69,066			94,991			(25,925	)
CNH Industrial NV		5.00	%	Citibank N.A.	3/20/19	BB+	EUR	240		23,299			25,487			(2,188	)
CNH Industrial NV		5.00	%	Citibank N.A.	3/20/19	BB+	EUR	240		23,299			25,983			(2,684	)
SAS AB		5.00	%	Goldman Sachs International	6/20/19	Not Rated	EUR	1,000		(37,732	)		(70,889	)		33,157
Transocean Ltd.		1.00	%	Goldman Sachs International	6/20/19		USD	350		(17,355	)		(5,394	)		(11,961	)
United Mexican States		1.00	%	Bank of America N.A.	6/20/20	BBB+	USD	7,452		(27,462	)		(52,653	)		25,191
People’s Republic of China		1.00	%	Barclays Bank PLC	9/20/20	AA-	USD	1,000		3,709			(6,023	)		9,732
People’s Republic of China		1.00	%	Goldman Sachs International	9/20/20	AA-	USD	1,000		3,709			(6,369	)		10,078
United Mexican States		1.00	%	JPMorgan Chase Bank N.A.	9/20/20	BBB+	USD	7,452		(45,613	)		(60,650	)		15,037
Fiat Industrial Finance Europe SA		5.00	%	BNP Paribas S.A.	12/20/20	BB+	EUR	43		5,925			3,932			1,993
iTraxx Asia ex-Japan IG Series 24 Version 1		1.00	%	Goldman Sachs International	12/20/20	A-	USD	1,825		10,011			(40,424	)		50,435
Republic of Indonesia		1.00	%	HSBC Bank PLC	12/20/20	BB+	USD	1,800		(18,340	)		(97,244	)		78,904
CNH Industrial NV		5.00	%	Goldman Sachs International	6/20/21	BB+	EUR	100		14,480			8,910			5,570
Credit Suisse Group AG		1.00	%	Citibank N.A.	6/20/21	BBB+	EUR	5,310		(29,385	)		(88,045	)		58,660
Deutsche Bank AG		1.00	%	Barclays Bank PLC	6/20/21	BBB+	EUR	1,200		(33,492	)		(57,984	)		24,492
Deutsche Bank AG		1.00	%	Barclays Bank PLC	6/20/21	BBB+	EUR	500		(13,955	)		(23,825	)		9,870
Deutsche Bank AG		1.00	%	BNP Paribas S.A.	6/20/21	BBB+	EUR	1,100		(30,701	)		(59,213	)		28,512
Federative Republic of Brazil		1.00	%	Citibank N.A.	6/20/21	BB	USD	700		(43,169	)		(44,753	)		1,584
Telecom Italia SpA		1.00	%	BNP Paribas S.A.	6/20/21	BB+	EUR	1,140		(58,523	)		(49,298	)		(9,225	)
Telecom Italia SpA		1.00	%	BNP Paribas S.A.	6/20/21	BB+	EUR	1,000		(51,336	)		(38,006	)		(13,330	)


Issuer/Index	Receive Fixed Rate		Counterparty	Expiration Date		Credit Rating¹		Notional Amount (000)²			Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Telecom Italia SpA		1.00%	Citibank N.A.		6/20/21		BB+		EUR	550	$	(28,234	)	$	(30,118	)		$ 1,884
UniCredit SpA		1.00%	Barclays Bank PLC		6/20/21		BBB-		EUR	1,200		(34,609	)		(37,009	)		2,400
UniCredit SpA		1.00%	Barclays Bank PLC		6/20/21		BBB-		EUR	500		(14,420	)		(15,651	)		1,231
UniCredit SpA		1.00%	Citibank N.A.		6/20/21		BBB-		EUR	2,700		(77,872	)		(144,505	)		66,633
UniCredit SpA		1.00%	Citibank N.A.		6/20/21		BBB-		EUR	1,510		(43,551	)		(80,818	)		37,267
UniCredit SpA		1.00%	Citibank N.A.		6/20/21		BBB-		EUR	1,200		(34,610	)		(69,515	)		34,905
UniCredit SpA		1.00%	Citibank N.A.		6/20/21		BBB-		EUR	800		(23,073	)		(26,196	)		3,123
BHP Billiton Ltd.		1.00%	JPMorgan Chase Bank N.A.		12/20/21		A		USD	12,100		(55,462	)		(162,112	)		106,650
Deutsche Bank AG		1.00%	Barclays Bank PLC		12/20/21		BBB+		EUR	600		(20,509	)		(32,892	)		12,383
Deutsche Bank AG		1.00%	BNP Paribas S.A.		12/20/21		BBB+		EUR	365		(12,476	)		(17,687	)		5,211
Deutsche Bank AG		1.00%	JPMorgan Chase Bank N.A.		12/20/21		BBB+		EUR	583		(19,928	)		(26,224	)		6,296
Deutsche Bank AG		1.00%	JPMorgan Chase Bank N.A.		12/20/21		BBB+		EUR	462		(15,792	)		(20,781	)		4,989
Fiat Chrysler Automobiles NV		5.00%	Citibank N.A.		12/20/21		BB		EUR	30		1,889			2,148			(259	)
Peugeot SA		5.00%	BNP Paribas S.A.		12/20/21		Not Rated		EUR	30		4,693			4,396			297
Republic of Indonesia		1.00%	Citibank N.A.		12/20/21		BB+		USD	664		(17,506	)		(29,680	)		12,174
UniCredit SpA		1.00%	Barclays Bank PLC		12/20/21		BBB-		EUR	30		(1,118	)		(1,741	)		623
UniCredit SpA		1.00%	BNP Paribas S.A.		12/20/21		BBB-		EUR	829		(30,891	)		(38,310	)		7,419
UniCredit SpA		1.00%	BNP Paribas S.A.		12/20/21		BBB-		EUR	16		(579	)		(718	)		139
UniCredit SpA		1.00%	JPMorgan Chase Bank N.A.		12/20/21		BBB-		EUR	1,100		(40,970	)		(60,686	)		19,716
Republic of France		0.25%	Barclays Bank PLC		6/20/23		AA		USD	1,550		(18,187	)		(77,531	)		59,344
Republic of France		0.25%	Citibank N.A.		6/20/23		AA		USD	1,670		(19,594	)		(88,216	)		68,622
Republic of France		0.25%	JPMorgan Chase Bank N.A.		6/20/23		AA		USD	1,670		(19,594	)		(81,969	)		62,375
CMBX.NA Series 7 AAA		0.50%	Morgan Stanley Capital Services LLC		1/17/47		AAA		USD	5,000		(27,600	)		(162,771	)		135,171
CMBX.NA Series 3 AM		0.50%	Credit Suisse International		12/13/49		BBB+		USD	419		(8,330	)		(37,457	)		29,127
CMBX.NA Series 3 AM		0.50%	Goldman Sachs International		12/13/49		BBB+		USD	1,055		(21,006	)		(95,652	)		74,646
CMBX.NA Series 3 AM		0.50%	JPMorgan Chase Bank N.A.		12/13/49		BBB+		USD	2,275		(45,270	)		(195,612	)		150,342
CMBX.NA Series 4 AM		0.50%	Deutsche Bank AG		2/17/51		BB+		USD	2,000		(49,805	)		(270,697	)		220,892
CMBX.NA Series 8 A		2.00%	Goldman Sachs International		10/17/57		Not Rated		USD	440		(22,435	)		(45,414	)		22,979
CMBX.NA Series 8 A		2.00%	Morgan Stanley & Co. International PLC		10/17/57		Not Rated		USD	290		(14,787	)		(25,280	)		10,493
CMBX.NA Series 9 A		2.00%	Credit Suisse International		9/17/58		Not Rated		USD	400		(22,425	)		(56,991	)		34,566
CMBX.NA Series 9 A		2.00%	Deutsche Bank AG		9/17/58		Not Rated		USD	1,850		(103,713	)		(195,290	)		91,577
CMBX.NA Series 9 A		2.00%	J.P. Morgan Securities LLC		9/17/58		Not Rated		USD	551		(30,914	)		(69,199	)		38,285
CMBX.NA Series 6 BBB-		3.00%	Credit Suisse International		5/11/63		BBB-		USD	850		(47,968	)		(69,929	)		21,961
Total											$	334,252		$	(1,746,843	)		$2,081,095


Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
1.69%¹	3-month KRW Certificate of Deposit	Deutsche Bank AG	11/10/17	KRW	10,139,328	$	(18,926	)		—			$ (18,926	)
4.30%¹	28-day MXIBTIIE	Bank of America N.A.	12/07/17	MXN	23,670		28,918			$ 18			28,900
12.10%¹	1-day BZDIOVER	Bank of America N.A.	1/02/18	BRL	90,564		(64,414	)		—			(64,414	)
12.08%¹	1-day BZDIOVER	Bank of America N.A.	1/02/18	BRL	72,814		(46,920	)		—			(46,920	)
4.55%¹	28-day MXIBTIIE	Barclays Bank PLC	3/21/18	MXN	39,525		57,829			505			57,324
4.85%¹	28-day MXIBTIIE	Bank of America N.A.	11/01/18	MXN	23,232		46,285			42			46,243
7.07%²	28-day MXIBTIIE	Citibank N.A.	11/21/18	MXN	231,800		(27,832	)		—			(27,832	)
7.04%²	28-day MXIBTIIE	Goldman Sachs International	11/21/18	MXN	496,939		(72,747	)		—			(72,747	)
7.06%²	28-day MXIBTIIE	JPMorgan Chase Bank N.A.	11/21/18	MXN	278,160		(33,137	)		—			(33,137	)
7.00%²	28-day MXIBTIIE	JPMorgan Chase Bank N.A.	11/21/18	MXN	235,007		(42,650	)		—			(42,650	)
7.10%²	28-day MXIBTIIE	Citibank N.A.	11/22/18	MXN	278,160		(27,841	)		(537	)		(27,304	)
6.98%²	28-day MXIBTIIE	Citibank N.A.	11/28/18	MXN	395,600		(83,356	)		(714	)		(82,642	)
7.00%²	28-day MXIBTIIE	JPMorgan Chase Bank N.A.	11/28/18	MXN	233,517		(45,107	)		(428	)		(44,679	)
6.98%²	28-day MXIBTIIE	JPMorgan Chase Bank N.A.	11/28/18	MXN	224,417		(47,287	)		(405	)		(46,882	)
6.85%²	28-day MXIBTIIE	JPMorgan Chase Bank N.A.	11/29/18	MXN	470,890		(153,784	)		(780	)		(153,004	)
6.93%²	28-day MXIBTIIE	Bank of America N.A.	11/30/18	MXN	338,863		(87,461	)		(1,756	)		(85,705	)
6.89%²	28-day MXIBTIIE	Goldman Sachs International	11/30/18	MXN	248,469		(72,848	)		(1,250	)		(71,598	)
4.77%¹	28-day MXIBTIIE	Citibank N.A.	12/05/18	MXN	16,034		35,327			25			35,302
4.70%¹	28-day MXIBTIIE	Bank of America N.A.	12/06/18	MXN	16,034		36,163			23			36,140
4.76%¹	28-day MXIBTIIE	Citibank N.A.	12/06/18	MXN	16,034		35,284			25			35,259
12.46%²	1-day BZDIOVER	Bank of America N.A.	1/02/19	BRL	31,391		186,752			—			186,752
11.00%²	1-day BZDIOVER	Bank of America N.A.	1/02/20	BRL	19,004		(41,842	)		—			(41,842	)
11.80%²	1-day BZDIOVER	Bank of America N.A.	1/02/20	BRL	9,902		52,551			—			52,551
11.81%²	1-day BZDIOVER	Bank of America N.A.	1/02/20	BRL	9,902		53,430			—			53,430
11.03%²	1-day BZDIOVER	Citibank N.A.	1/02/20	BRL	18,038		(34,869	)		—			(34,869	)
11.77%²	1-day BZDIOVER	Citibank N.A.	1/02/20	BRL	13,928		70,210			—			70,210
12.10%²	1-day BZDIOVER	Citibank N.A.	1/02/20	BRL	10,739		85,856			—			85,856
11.02%²	1-day BZDIOVER	Citibank N.A.	1/02/20	BRL	10,125		(20,811	)		—			(20,811	)
11.10%²	1-day BZDIOVER	Goldman Sachs International	1/02/20	BRL	34,637		(57,397	)		—			(57,397	)
11.10%²	1-day BZDIOVER	Goldman Sachs International	1/02/20	BRL	9,502		(15,572	)		—			(15,572	)
11.88%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.	1/02/20	BRL	26,686		137,675			—			137,675
12.17%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.	1/02/20	BRL	18,986		163,650			—			163,650
11.04%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.	1/02/20	BRL	18,342		(34,406	)		—			(34,406	)
12.01%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.	1/02/20	BRL	13,911		99,689			—			99,689
10.98%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.	1/02/20	BRL	9,503		(22,942	)		—			(22,942	)
11.38%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.	1/02/20	BRL	3,648		2,617			—			2,617
3.27%¹	3-month LIBOR	Deutsche Bank AG	5/16/21	USD	9,510		(584,412	)		—			(584,412	)
5.73%¹	28-day MXIBTIIE	Bank of America N.A.	1/03/25	MXN	23,376		143,771			271			143,500
6.33%²	28-day MXIBTIIE	Citibank N.A.	6/09/25	MXN	14,869		(68,123	)		(81	)		(68,042	)
6.33%²	28-day MXIBTIIE	Citibank N.A.	7/17/25	MXN	36,610		(170,385	)		(165	)		(170,220	)
6.32%²	28-day MXIBTIIE	Morgan Stanley Capital Services LLC	7/17/25	MXN	73,475		(343,080	)		(330	)		(342,750	)


Fixed Rate	Floating Rate	Counterparty	Expiration Date		Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
6.32%²	28-day MXIBTIIE	Goldman Sachs International		8/06/25	MXN	109,616		$(514,148	)		$ (490	)		$(513,658	)
6.31%¹	28-day MXIBTIIE	Bank of America N.A.		8/11/25	MXN	36,783		174,101			158			173,943
6.31%¹	28-day MXIBTIIE	Bank of America N.A.		8/11/25	MXN	36,783		174,101			158			173,943
6.31%¹	28-day MXIBTIIE	Deutsche Bank AG		8/11/25	MXN	136,536		647,443			585			646,858
6.27%²	28-day MXIBTIIE	Bank of America N.A.		12/05/25	MXN	4,348		(21,842	)		(53	)		(21,789	)
7.78%¹	28-day MXIBTIIE	Citibank N.A.		11/11/26	MXN	60,203		26,922			—			26,922
7.78%¹	28-day MXIBTIIE	JPMorgan Chase Bank N.A.		11/11/26	MXN	71,383		31,876			—			31,876
7.80%¹	28-day MXIBTIIE	JPMorgan Chase Bank N.A.		11/11/26	MXN	35,884		13,573			—			13,573
8.71%¹	3-month JIBAR	JPMorgan Chase Bank N.A.		11/14/26	ZAR	45,850		(95,643	)		236			(95,879	)
8.71%¹	3-month JIBAR	JPMorgan Chase Bank N.A.		11/14/26	ZAR	38,590		(78,805	)		198			(79,003	)
7.69%¹	28-day MXIBTIIE	Citibank N.A.		11/18/26	MXN	25,113		19,066			71			18,995
7.69%¹	28-day MXIBTIIE	JPMorgan Chase Bank N.A.		11/18/26	MXN	58,053		44,074			164			43,910
7.77%¹	28-day MXIBTIIE	Bank of America N.A.		11/20/26	MXN	87,766		43,476			764			42,712
7.75%¹	28-day MXIBTIIE	Goldman Sachs International		11/20/26	MXN	62,574		36,259			539			35,720
Total								$(480,422	)		$8,264			$(488,686	)

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 December 31, 2016, expiration dates 4/17/17:

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. Investments classified within Level 3 have significant unobservable inputs used by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) in determining the price for Fair Valued Investments. Level 3 Investments include equity or debt issued by Private Companies. There may not be a secondary market, and/or there are a limited number of investors. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Global Valuation Committee in the absence of market information.

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 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
Taxable Municipal Bonds		—	$	302,180,406			—	$	302,180,406
U.S. Government Sponsored Agency Securities		—		5,571,662,728		$	136,889		5,571,799,617
U.S. Treasury Obligations		—		2,843,275,817			—		2,843,275,817
Short-Term Securities:
Borrowed Bond Agreements		—		312,692,847			—		312,692,847
Certificates of Deposit		—		199,864,064			—		199,864,064
Commercial Paper		—		138,126,886			—		138,126,886
Foreign Agency Obligations		—		85,585,198			—		85,585,198
Money Market Funds	$	3,052,644		—			—		3,052,644
Options Purchased:
Equity contracts		5,429,245		667,455			—		6,096,700
Foreign currency exchange contracts		—		9,390,249			15		9,390,264
Liabilities:
Investments:
TBA Sale Commitments		—		(2,903,329,963	)		—		(2,903,329,963	)
Borrowed Bonds		—		(314,362,743	)		—		(314,362,743	)

Subtotal	$	57,025,419	$	10,546,993,281		$	362,588,627	$	10,966,607,327

Investments Valued at NAV²									573,156

Total Investments								$	10,967,180,483


Derivative Financial Instruments¹
Assets:
Commodity contracts	$	107,825			—			—		$	107,825
Credit contracts		—		$	8,193,155			—			8,193,155
Equity contracts		242,653			213,764			—			456,417
Foreign currency exchange contracts		—			26,620,752			—			26,620,752
Interest rate contracts		4,678,204			3,094,760			—			7,772,964
Other contracts		—			396,417			—			396,417
Liabilities:
Commodity contracts		(74,929	)		—			—			(74,929	)
Credit contracts		—			(7,143,711	)		—			(7,143,711	)
Equity contracts		(1,150,408	)		(128,385	)		—			(1,278,793	)
Foreign currency exchange contracts		—			(8,740,724	)	$	(15	)		(8,740,739	)
Interest rate contracts		(7,932,293	)		(4,906,055	)		—			(12,838,348	)
Other contracts		—			(885,803	)		—			(885,803	)
Total	$	(4,128,948	)	$	16,714,170		$	(15	)	$	12,585,207

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, reverse repurchase agreements of $1,561,952,644 are categorized as Level 2 within the disclosure hierarchy.

During the period ended December 31, 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:

The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:

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.


Tax cost	$	845,330,479

Gross unrealized appreciation	$	159,614,729
Gross unrealized depreciation		(1,357,565	)

Net unrealized appreciation	$	158,257,164


ETF		Exchange-Traded Fund
S&P		Standard & Poor’s
USD		U.S. Dollar


Tax cost	$	1,689,021,900

Gross unrealized appreciation	$	557,835,069
Gross unrealized depreciation		(36,506,384	)

Net unrealized appreciation	$	521,328,685


Affiliate	Shares Held at September 30, 2016		Net Activity			Shares Held at December 31, 2016		Value at December 31, 2016		Income			Realized Gain
BlackRock Liquidity Funds, T-Fund, Institutional Class		73,479,703		(16,373,286	)		57,106,417		$57,106,417		$46,654			$350
SL Liquidity Series, LLC, Money Market Series		5,154,808		(3,708,168	)		1,446,640		1,446,784		6,291	¹		570
Total									$58,553,201		$52,945			$920


Portfolio Abbreviations
ABS	Asset-Backed Security	EUR	Euro	RB	Revenue Bonds
ADR	American Depositary Receipt	GBP	British Pound	REIT	Real Estate Investment Trust
AKA	Also Known As	GO	General Obligation	REMIC	Real Estate Mortgage Investment Conduit
AMBAC	American Municipal Bond Assurance Corporation	HKD	Hong Kong Dollar	RUB	Russian Ruble
AUD	Australian Dollar	HUF	Hungarian Forint	S&P	Standard & Poor’s
BRL	Brazilian Real	IDR	Indonesian Rupiah	SEK	Swedish Krona
BZDIOVER	Overnight Brazil CETIP - Interbank Rate	INR	Indian Rupee	SGD	Singapore Dollar
CAD	Canadian Dollar	JPY	Japanese Yen	SPDR	Standard & Poor’s Depositary Receipts
CBOE	Chicago Board Options Exchange	KRW	South Korean Won	TBA	To-be-announced
CDO	Collateralized Debt Obligation	LIBOR	London Interbank Offered Rate	TRY	Turkish Lira
CHF	Swiss Franc	MXIBTIIE	Mexico Interbank TIIE 28-Day Rate	TWD	Taiwan New Dollar
CLO	Collateralized Loan Obligation	MXN	Mexican Peso	UK RPI	United Kingdom Retail Price Index
CLP	Chilean Peso	OTC	Over-the-counter	USD	U.S. Dollar
CNH	Chinese Yuan Offshore	PIK	Payment-in-kind	WTI	West Texas Intermediate
COP	Columbian Peso	PLN	Polish Zloty	ZAR	South African Rand
ETF	Exchange-Traded Fund


Schedule of Investments December 31, 2016 (Unaudited)			BlackRock Balanced Capital Fund, Inc.
			(Percentages shown are based on Net Assets)


Investment Companies — 4.7%	Shares		Value
iShares Core U.S. Aggregate Bond ETF (a)		433,593	$	46,854,060

Mutual Funds
Master Large Cap Core Portfolio of Master Large Cap Series LLC (a)		—		608,336,881
Master Total Return Portfolio of Master Bond LLC (a)		—		316,941,564
Total Mutual Funds — 92.3%				925,278,445

Total Long-Term Investments (Cost — $837,003,273) — 97.0%				972,132,505


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


Futures Contracts
Contracts Long	Issue	Expiration	Notional Value			Unrealized Depreciation
92	Euro Currency	March 2017		USD	12,160,100		$(120,966	)
239	U.S. Treasury Notes (10 Year)	March 2017		USD	29,703,219		(74,432	)
Total							$(195,398	)


² Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.


Schedule of Investments December 31, 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


Consolidated Schedule of Investments December 31, 2016 (Unaudited)			Master Total Return Portfolio
			(Percentages shown are based on Net Assets)


		MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC		DECEMBER 31, 2016		1


Consolidated Schedule of Investments (continued)			Master Total Return Portfolio


Tax cost	$	14,301,025,303

Gross unrealized appreciation	$	80,635,076
Gross unrealized depreciation		(196,787,190	)

Net unrealized depreciation	$	(116,152,114	)


Affiliate	Par/Shares Held at September 30, 2016		Par/Shares Purchased		Par/Shares Sold			Par/Shares Held at December 31, 2016		Value at December 31, 2016		Income			Realized Loss
BlackRock Capital Finance LP, Series 1997-R2, Class AP	$	7,020		—		—			$ 7,020		$ 6,464		—			—
BlackRock Liquidity Funds, T-Fund, Institutional Class		277,766,479		—		(274,713,835	)¹		3,052,644		3,052,644		$11,332			—
SL Liquidity Series, LLC, Money Market Series		2,081,765		—		(1,508,666	)¹		573,099		573,156		917	²		—
iShares MSCI Emerging Markets ETF		70,243		66,720		(136,963	)		—		—		—			$(340,409	)
Total											$3,632,264		$12,249			$(340,409	)


	Shares			Value
Reference Entity — Long
Eurobank Ergasias SA		496,645		$	336,658
Hellenic Telecommunications Organization SA		169,073			1,587,824
National Bank of Greece SA		3,058,221			798,122
Total Reference Entity — Long					2,722,604

	Shares			Value
Reference Entity — Short
Anglo American PLC		(34,447	)	$	(486,699	)
APERAM SA		(16,612	)		(758,107	)
ArcelorMittal		(126,730	)		(931,153	)
Deutsche Bank AG		(36,304	)		(658,533	)
Tullow Oil PLC		(199,657	)		(769,590	)
Total Reference Entity — Short					(3,604,082	)
Net Value of Reference Entity — Bank of America N.A.				$	(881,478	)


	Asset-Backed Securities			Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Non-Agency Mortgage- Backed Securities			Other Interests		Preferred Securities			U.S. Government Sponsored Agency Securities			Options Purchased			Total
Assets:
Opening Balance, as of September 30, 2016		$266,733,316			—		$	261,490		$	386,154		$	103,933,840			$1	$	1,611,077		$	7,671,767			—		$	380,597,645
Transfers into Level 3		7,553,920			—			—			—			5,668,621			—		—			—			—			13,222,541
Transfers out of Level 3¹		(84,574,875	)		—			(168,475	)		—			(41,103,959	)		—		—			(7,581,314	)		—			(133,428,623	)
Accrued discounts/ premiums		58,632			—			(3,523	)		(459	)		128,426			—		—			—			—			183,076
Net realized gain (loss)		(2,334	)		—			1,682			—			141,966			—		—			—			—			141,314
Net change in unrealized appreciation (depreciation)²		(176,164	)		$ (36,320	)		(24,448	)		(23,845	)		(366,278	)		—		(206,419	)		39,612			$(963,960	)		(1,757,822	)
Purchases		112,473,272			881,075			—			—			15,372,625			—		—			6,824			963,975			129,697,771
Sales		(10,183,897	)		—			(13,255	)		—			(15,870,123	)		—		—			—			—			(26,067,275	)

Closing Balance, as of December 31, 2016		$291,881,870			$844,755		$	53,471		$	361,850		$	67,905,118			$1	$	1,404,658		$	136,889			$ 15		$	362,588,627

Net change in unrealized appreciation (depreciation) on investments still held at December 31, 2016²		$ (173,575	)		$ (36,320	)	$	(24,448	)	$	(23,845	)	$	(344,451	)		—	$	(206,419	)	$	39,612			$(963,960	)	$	(1,733,406	)


	Equity Contracts
	Assets		Liabilities
Opening Balance, as of September 30, 2016		—		—
Transfers into Level 3		—		—
Transfers out of Level 3		—		—
Accrued discounts/premiums		—		—
Net realized gain (loss)		—		—
Net change in unrealized appreciation (depreciation)¹		—	$	954,486
Purchases		—		(954,501	)
Issues		—		—
Sales		—		—
Settlements		—		—
Closing Balance, as of December 31, 2016		—	$	(15	)

Net change in unrealized appreciation (depreciation) on derivative financial instruments still held at December 31, 2016¹		—	$	954,486


Item 2 –		Controls and Procedures

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.

Item 3 –		Exhibits

		Certifications – Attached hereto