BLACKROCK BALANCED CAPITAL FUND, INC.

Name of Fund: BlackRock Balanced Capital Fund, Inc., Master Advantage Large Cap Core Portfolio (Formerly 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 Advantage Large Cap Core Portfolio (Formerly 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 June 30, 2017		Value at June 30, 2017		Income		Net Realized Gain (Loss)¹			Change in Unrealized Appreciation (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class		17,294,562		54,409,289	²		—			71,703,851	$	71,703,851	$	214,094	$	164			—
iShares Core S&P 500 ETF		104,400		105,779			(210,179	)		—		—		73,631		686,710		$	(524,088	)
iShares Core U.S. Aggregate Bond ETF		360,230		73,363			—			433,593		47,482,769		819,979		—			(948,225	)
Master Large Cap Core Portfolio of Master Large Cap Series LLC	$	567,148,794	$	37,175,075	^2,3		—		$	604,323,869		604,323,869		8,302,642		142,650,226			(37,215,474	)
Master Total Return Portfolio of Master Bond LLC	$	324,410,915		—		$	(50,710,861	)^3,4	$	273,700,054		273,700,054		7,801,050		(2,784,715	)		5,007,439
Total											$	997,210,543	$	17,211,396	$	140,552,385		$	(33,680,348	)

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 $604,323,869 and $273,700,054, respectively and 27.2% and 2.5%, 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 or funds. 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 semi-annual report.

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


Common Stocks	Shares		Value
Aerospace & Defense — 1.6%
HEICO Corp., Class A		2,398	$	148,796
L3 Technologies, Inc.		50,643		8,461,432
Raytheon Co.		166,405		26,871,079

				35,481,307
Air Freight & Logistics — 0.3%
XPO Logistics, Inc. (a)		88,791		5,738,562
Auto Components — 0.3%
Delphi Automotive PLC		62,058		5,439,384
Tenneco, Inc.		5,915		342,064

				5,781,448
Automobiles — 0.3%
Thor Industries, Inc.		63,595		6,646,949
Banks — 5.4%
Bank of America Corp.		1,955,111		47,430,993
Citigroup, Inc.		43,481		2,908,009
Citizens Financial Group, Inc.		733,968		26,187,978
First Horizon National Corp.		15,350		267,397
First Republic Bank		1,967		196,897
JPMorgan Chase & Co.		70,633		6,455,856
KeyCorp		28,819		540,068
Popular, Inc.		35,929		1,498,599
SunTrust Banks, Inc.		439,421		24,923,959
Synovus Financial Corp.		156,954		6,943,645
U.S. Bancorp		33,315		1,729,715
Western Alliance Bancorp (a)		28,704		1,412,237

				120,495,353
Beverages — 1.2%
Coca-Cola European Partners PLC		11,556		469,983
Dr. Pepper Snapple Group, Inc.		275,881		25,135,518

				25,605,501
Biotechnology — 4.8%
Amgen, Inc.		144,699		24,921,509
Biogen, Inc. (a)		100,054		27,150,653
Celgene Corp. (a)		174,192		22,622,315
Gilead Sciences, Inc.		463,699		32,820,615

				107,515,092
Building Products — 1.1%
Allegion PLC		43,872		3,558,897
JELD-WEN Holding, Inc. (a)		21,412		695,034
Masco Corp.		496,668		18,977,684

				23,231,615
Capital Markets — 3.7%
CME Group, Inc.		66,910		8,379,808
Evercore Partners, Inc., Class A		88,467		6,236,924
Intercontinental Exchange, Inc.		362,935		23,924,675
Morgan Stanley		7,615		339,324
Morningstar, Inc.		12,236		958,568
S&P Global, Inc.		189,639		27,685,398
SEI Investments Co.		252,624		13,586,119

				81,110,816
Chemicals — 1.6%
AdvanSix, Inc. (a)		51,074		1,595,552
Cabot Corp.		187,013		9,992,105
Eastman Chemical Co.		227,913		19,142,413
LyondellBasell Industries NV, Class A		63,415		5,351,592
Westlake Chemical Corp.		1,098		72,699

				36,154,361


Common Stocks	Shares		Value
Commercial Services & Supplies — 0.1%
LSC Communications, Inc.		63,785	$	1,364,999
R.R. Donnelley & Sons Co.		100,359		1,258,502

				2,623,501
Consumer Finance — 0.4%
American Express Co.		8,567		721,684
Discover Financial Services		142,895		8,886,640

				9,608,324
Containers & Packaging — 1.5%
Avery Dennison Corp.		95,665		8,453,916
Owens-Illinois, Inc. (a)		927		22,174
Packaging Corp. of America		167,977		18,710,958
Silgan Holdings, Inc.		83,070		2,639,965
WestRock Co.		43,666		2,474,116

				32,301,129
Diversified Consumer Services — 0.0%
H&R Block, Inc.		7,373		227,899
Diversified Financial Services — 0.6%
Berkshire Hathaway, Inc., Class B (a)		77,904		13,194,600
Diversified Telecommunication Services — 0.3%
Level 3 Communications, Inc. (a)		28,000		1,660,400
Verizon Communications, Inc.		83,101		3,711,291
Zayo Group Holdings, Inc. (a)		63,990		1,977,291

				7,348,982
Electric Utilities — 1.7%
Portland General Electric Co.		295,611		13,506,467
Westar Energy, Inc.		469,699		24,903,441

				38,409,908
Electrical Equipment — 1.2%
Rockwell Automation, Inc.		163,162		26,425,718
Electronic Equipment, Instruments & Components — 1.9%
CDW Corp.		194,397		12,155,644
Dolby Laboratories, Inc., Class A		8,099		396,527
Flex Ltd. (a)		993,610		16,205,779
TE Connectivity, Ltd.		32,433		2,551,828
Tech Data Corp. (a)		43,553		4,398,853
Zebra Technologies Corp., Class A (a)		71,646		7,201,856

				42,910,487
Equity Real Estate Investment Trusts (REITs) — 3.2%
Brixmor Property Group, Inc.		17,466		312,292
Duke Realty Corp.		123,130		3,441,484
Gaming and Leisure Properties, Inc.		131,844		4,966,563
Host Hotels & Resorts, Inc.		108,731		1,986,515
Iron Mountain, Inc.		7,085		243,441
National Retail Properties, Inc.		2,863		111,943
Outfront Media, Inc.		131,645		3,043,632
Prologis, Inc.		89,055		5,222,185
Simon Property Group, Inc.		136,099		22,015,374
Ventas, Inc.		372,646		25,891,444
Weingarten Realty Investors		86,778		2,612,018

				69,846,891
Food & Staples Retailing — 2.5%
Walgreens Boots Alliance, Inc.		291,900		22,858,689
Wal-Mart Stores, Inc.		423,451		32,046,772

				54,905,461
Food Products — 1.8%
Archer-Daniels-Midland Co.		631,251		26,121,166


Common Stocks	Shares		Value
Food Products (continued)
Hershey Co.		32,403	$	3,479,110
Ingredion, Inc.		30,107		3,589,055
Pilgrim’s Pride Corp. (a)		150		3,288
Tyson Foods, Inc., Class A		115,423		7,228,942

				40,421,561
Health Care Equipment & Supplies — 3.1%
Baxter International, Inc.		439,318		26,596,312
Hill-Rom Holdings, Inc.		12,289		978,327
IDEXX Laboratories, Inc. (a)		140,947		22,751,665
Masimo Corp. (a)		104,687		9,545,361
Medtronic PLC		22,904		2,032,730
West Pharmaceutical Services, Inc.		68,403		6,465,452

				68,369,847
Health Care Providers & Services — 2.8%
Aetna, Inc.		20		3,037
AmerisourceBergen Corp.		3,626		342,766
Express Scripts Holding Co. (a)		4,726		301,708
Humana, Inc.		66,224		15,934,819
McKesson Corp.		44,226		7,276,946
UnitedHealth Group, Inc.		206,338		38,259,192

				62,118,468
Health Care Technology — 0.6%
Veeva Systems, Inc., Class A (a)		197,109		12,084,753
Hotels, Restaurants & Leisure — 3.1%
Carnival Corp.		375,347		24,611,503
Choice Hotels International, Inc.		13,425		862,556
Extended Stay America, Inc.		409,227		7,922,635
Hilton Grand Vacations, Inc. (a)		43,309		1,561,723
International Game Technology PLC		33,402		611,257
McDonald’s Corp.		217,869		33,368,816

				68,938,490
Household Durables — 0.1%
DR Horton, Inc.		38,703		1,337,963
Garmin, Ltd.		13,329		680,179

				2,018,142
Household Products — 0.5%
Energizer Holdings, Inc.		230,945		11,089,979
Industrial Conglomerates — 2.5%
3M Co.		171,008		35,602,156
Honeywell International, Inc.		155,538		20,731,660

				56,333,816
Insurance — 3.9%
Aon PLC		14,289		1,899,723
First American Financial Corp.		66,903		2,989,895
FNF Group		5,927		265,707
The Hanover Insurance Group, Inc.		129		11,433
Hartford Financial Services Group, Inc.		44,731		2,351,509
Lincoln National Corp.		261,860		17,696,499
Marsh & McLennan Cos., Inc.		359,390		28,018,044
Principal Financial Group, Inc.		52,112		3,338,816
Prudential Financial, Inc.		249,251		26,954,003
Unum Group		71,021		3,311,709
Validus Holdings Ltd.		11,002		571,774

				87,409,112
Internet & Direct Marketing Retail — 1.4%
Amazon.com, Inc. (a)		30,835		29,848,280
Internet Software & Services — 4.9%
Akamai Technologies, Inc. (a)		31,736		1,580,770


Common Stocks	Shares		Value
Internet Software & Services (continued)
Alphabet, Inc., Class A (a)		49,828	$	46,324,095
Alphabet, Inc., Class C (a)		30,013		27,273,713
Facebook, Inc., Class A (a)		177,206		26,754,562
VeriSign, Inc. (a)		40,516		3,766,367
Yelp, Inc. (a)		115,073		3,454,491

				109,153,998
IT Services — 3.4%
Accenture PLC, Class A		136,631		16,898,522
Amdocs, Ltd.		115,404		7,438,942
Booz Allen Hamilton Holding Corp		106,618		3,469,350
Fidelity National Information Services, Inc.		315,620		26,953,948
Mastercard, Inc., Class A		172,356		20,932,636

				75,693,398
Leisure Products — 1.0%
Hasbro, Inc.		193,967		21,629,260
Life Sciences Tools & Services — 0.1%
Mettler-Toledo International, Inc. (a)		4,406		2,593,107
Machinery — 3.1%
Dover Corp.		40,041		3,212,089
Illinois Tool Works, Inc.		150,006		21,488,360
Ingersoll-Rand PLC		169,935		15,530,360
PACCAR, Inc.		231,479		15,286,873
Stanley Black & Decker, Inc.		92,825		13,063,262

				68,580,944
Media — 2.8%
CBS Corp., Class B, Non-Voting Shares		206,744		13,186,132
Comcast Corp., Class A		950,701		37,001,283
Lions Gate Entertainment Corp., Class B (a)		52,540		1,380,751
Scripps Networks Interactive, Inc., Class A		60,645		4,142,660
Time Warner, Inc.		73,576		7,387,766

				63,098,592
Metals & Mining — 0.3%
Newmont Mining Corp.		37,278		1,207,434
Reliance Steel & Aluminum Co.		49,290		3,588,805
Steel Dynamics, Inc.		61,452		2,200,596

				6,996,835
Multiline Retail — 1.0%
Target Corp.		426,235		22,287,828
Multi-Utilities — 1.3%
Black Hills Corp.		39,833		2,687,533
CenterPoint Energy, Inc.		52,352		1,433,398
CMS Energy Corp.		546,725		25,286,031

				29,406,962
Oil, Gas & Consumable Fuels — 5.2%
Anadarko Petroleum Corp.		388,882		17,631,910
Chevron Corp.		137,120		14,305,730
ConocoPhillips		536,770		23,596,409
Devon Energy Corp.		416,358		13,310,965
Exxon Mobil Corp.		151,555		12,235,035
Marathon Oil Corp.		88,496		1,048,678
Phillips 66		80,478		6,654,726
Suncor Energy, Inc.		235,578		6,878,878
Tellurian, Inc. (a)		26,163		262,415
Valero Energy Corp.		290,005		19,563,737
World Fuel Services Corp.		4,522		173,871

				115,662,354
Paper & Forest Products — 0.3%
Domtar Corp.		189,491		7,280,244


Common Stocks	Shares		Value
Personal Products — 0.7%
Estee Lauder Cos., Inc., Class A		160,875	$	15,440,783
Herbalife, Ltd. (a)(b)		6,658		474,915

				15,915,698
Pharmaceuticals — 2.9%
Bristol-Myers Squibb Co.		311,064		17,332,486
Catalent, Inc. (a)		30,591		1,073,744
Johnson & Johnson		75,732		10,018,586
Merck & Co., Inc.		480,309		30,783,004
Zoetis, Inc.		88,548		5,523,624

				64,731,444
Professional Services — 0.7%
Equifax, Inc.		4,391		603,411
ManpowerGroup, Inc.		40,840		4,559,786
Robert Half International, Inc.		236,430		11,332,090

				16,495,287
Real Estate Management & Development — 0.1%
CBRE Group, Inc., Class A (a)		82,600		3,006,640
Retail — 0.1%
Blue Apron Holdings, Inc., Class A (a)		325,968		3,044,541
Road & Rail — 0.3%
Norfolk Southern Corp.		33,315		4,054,436
Union Pacific Corp.		19,531		2,127,121

				6,181,557
Semiconductors & Semiconductor Equipment — 3.5%
Analog Devices, Inc.		252,888		19,674,686
Intel Corp.		980,345		33,076,840
KLA-Tencor Corp.		22,606		2,068,675
Lam Research Corp.		13,156		1,860,653
Maxim Integrated Products, Inc.		427,741		19,205,571
Texas Instruments, Inc.		7,781		598,592

				76,485,017
Software — 5.1%
Activision Blizzard, Inc.		364,389		20,977,875
Adobe Systems, Inc. (a)		217,608		30,778,476
CDK Global, Inc.		37,257		2,312,169
Dell Technologies, Inc., Class V (a)		127,630		7,799,469
Fortinet, Inc. (a)		41,157		1,540,918
Microsoft Corp.		356,275		24,558,036
Synopsys, Inc. (a)		3,224		235,126
VMware, Inc., Class A (a)		283,960		24,826,623

				113,028,692


Common Stocks	Shares		Value
Specialty Retail — 2.5%
Aaron’s, Inc.		3,078	$	119,734
Best Buy Co., Inc.		27,736		1,590,105
Home Depot, Inc.		152,942		23,461,303
Lowe’s Cos., Inc.		395,766		30,683,738

				55,854,880
Technology Hardware, Storage & Peripherals — 3.2%
Apple Inc.		406,450		58,536,929
HP, Inc.		12,207		213,378
NCR Corp. (a)		269,797		11,018,509
NetApp, Inc.		22,873		916,064

				70,684,880
Textiles, Apparel & Luxury Goods — 0.6%
Carter’s, Inc.		25,229		2,244,120
NIKE, Inc., Class B		181,649		10,717,291

				12,961,411
Tobacco — 1.2%
Altria Group, Inc.		298,962		22,263,700
Reynolds American, Inc.		78,505		5,105,965

				27,369,665
Wireless Telecommunication Services — 1.2%
Telephone & Data Systems, Inc.		139,095		3,859,886
T-Mobile U.S., Inc. (a)		379,004		22,975,222

				26,835,108
Total Long-Term Investments (Cost — $1,921,541,945) — 99.0%				2,199,174,694

Short-Term Securities
BlackRock Liquidity Funds, T-Fund, Institutional Class, 0.84% (c)(d)		78,712,972		78,712,972
SL Liquidity Series, LLC, Money Market Series, 1.27% (c)(d)(e)		467,256		467,303
Total Short-Term Securities (Cost — $79,180,321) — 3.6%				79,180,275
*Total Investments (Cost — $2,000,722,266) — 102.6%**				2,278,354,969
Liabilities in Excess of Other Assets — (2.6)%				(56,756,437	)

Net Assets — 100.0%			$	2,221,598,532

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 semi-annual report.

The following tables summarize the Portfolio’s investments categorized in the disclosure hierarchy:


	Level 1			Level 2		Level 3		Total
Assets:
Investments:
Long-Term Investments:
Common Stocks¹	$	2,199,174,694			—		—	$	2,199,174,694
Short-Term Securities		78,712,972			—		—		78,712,972

Subtotal	$	2,277,887,666			—		—	$	2,277,887,666

Investments Valued at NAV²									467,303

Total Investments								$	2,278,354,969


Derivative Financial Instruments³
Liabilities:
Equity contracts	$	(68,292	)		—		—	$	(68,292	)


Asset-Backed Securities		Par (000)		Value
Accredited Mortgage Loan Trust, Series 2006-1, Class M2, 1.56%, 4/25/36 (a)	USD		5,510	$	2,863,242
ACE Securities Corp. Home Equity Loan Trust:
Series 2003-OP1, Class A2, 1.94%, 12/25/33 (a)			581		502,792
Series 2006-CW1, Class A2C, 1.36%, 7/25/36 (a)			743		503,021
Series 2007-HE4, Class A2A, 1.35%, 5/25/37 (a)			3,060		984,521
Adagio IV CLO Ltd., Series IV-X, Class F, 6.65%, 10/15/29 (a)	EUR		400		435,503
Adagio V CLO Designated Activity Co., Series V-X, Class E, 6.70%, 10/15/29 (a)			340		388,815
Adams Mill CLO Ltd., Series 2014-1A, Class A2R, 0.00%, 7/15/26 (a)(b)	USD		4,730		4,730,000
Ajax Mortgage Loan Trust:
Series 2016-1, Class A, 4.25%, 7/25/47 (b)(c)			2,423		2,403,840
Series 2016-B, Class A, 4.00%, 9/25/65 (b)(c)			3,256		3,250,567
Series 2016-C, Class A, 4.00%, 10/25/57 (b)(c)			2,201		2,192,382
AJAX Mortgage Loan Trust, Series 2017-A, Class A, 3.47%, 4/25/57 (b)(c)			11,128		11,107,618
Allegro CLO II Ltd., Series 2014-1A, Class A1R, 2.33%, 1/21/27 (a)(b)(d)			2,340		2,340,538
ALM V Ltd., Series 2012-5A, Class A2R, 3.31%, 10/18/27 (a)(b)			1,600		1,615,711
ALM XI Ltd., Series 2014-11A, Class A1R, 2.23%, 10/17/26 (a)(b)(d)			14,020		14,020,000
ALM XII Ltd.:
Series 2015-12A, Class A1R, 2.21%, 4/16/27 (a)(b)(d)			10,010		10,010,000
Series 2015-12A, Class BR, 3.21%, 4/16/27 (a)(b)(d)			3,635		3,635,000
ALM XIV Ltd.:
Series 2014-14A, Class A1R, 2.32%, 7/28/26 (a)(b)			10,785		10,787,738
Series 2014-14A, Class BR, 3.27%, 7/28/26 (a)(b)			1,236		1,238,091
ALM XVI Ltd./ALM XVI LLC, Series 2015-16A, Class BR, 0.00%, 7/15/27 (a)(b)(d)			2,060		2,060,000


Asset-Backed Securities		Par (000)		Value
ALME Loan Funding V BV, Series 5X, Class E, 6.00%, 7/15/29 (a)	EUR		1,080	$	1,238,156
AMMC CLO 17 Ltd., Series 2015-17A, Class B, 3.48%, 11/15/27 (a)(b)	USD		1,180		1,189,759
AMMC CLO 18 Ltd., Series 2016-18A, Class AL1, 2.77%, 5/26/28 (a)(b)			5,320		5,356,844
AMMC CLO 19 Ltd., Series 2016-19A, Class C, 3.96%, 10/15/28 (a)(b)			720		722,895
AMMC CLO IX Ltd.:
Series 2011-9A, Class B1R, 3.66%, 1/15/22 (a)(b)			8,590		8,650,449
Series 2011-9A, Class CR, 4.76%, 1/15/22 (a)(b)			2,490		2,496,687
AMMC CLO XII Ltd., Series 2013-12A, Class B, 3.08%, 5/10/25 (a)(b)			1,612		1,612,588
AMMC CLO XIII Ltd.:
Series 2013-13A, Class A1LR, 0.00%, 7/24/29 (a)(b)(d)			2,620		2,620,000
Series 2013-13A, Class A3L, 3.85%, 1/26/26 (a)(b)			1,476		1,475,969
Anchorage Capital CLO 3 Ltd.:
Series 2014-3A, Class A2AR, 3.22%, 4/28/26 (a)(b)			1,620		1,619,912
Series 2014-3A, Class BR, 3.82%, 4/28/26 (a)(b)			500		500,551
Anchorage Capital CLO 4 Ltd., Series 2014-4A, Class A1AR, 2.31%, 7/28/26 (a)(b)(d)			3,080		3,088,008
Anchorage Capital CLO 5 Ltd., Series 2014-5A, Class CR, 3.58%, 10/15/26 (a)(b)			1,690		1,693,694
Anchorage Capital CLO 6 Ltd.:
Series 2015-6A, Class A1, 2.70%, 4/15/27 (a)(b)			2,020		2,020,136
Series 2015-6A, Class AR, 0.00%, 7/15/30 (a)(b)(d)			4,010		4,010,000
Anchorage Capital CLO Ltd.:
Series 2013-1A, Class A1, 2.35%, 7/13/25 (a)(b)			2,005		2,005,254
Series 2013-1A, Class A2A, 2.91%, 7/13/25 (a)(b)			1,050		1,050,307
Series 2013-1A, Class B, 3.86%, 7/13/25 (a)(b)			1,410		1,410,519
Apidos CLO XII, Series 2013-12A, Class A, 2.26%, 4/15/25 (a)(b)			18,861		18,881,449


Asset-Backed Securities		Par (000)		Value
Apidos CLO XV, Series 2013-15A, Class A1R, 2.26%, 10/20/25 (a)(b)(d)	USD		1,080	$	1,080,140
Apidos CLO XVI, Series 2013-16A, Class A1R, 2.19%, 1/19/25 (a)(b)(d)			2,965		2,965,000
Apidos CLO XVIII, Series 2014-18A, Class A1R, 2.27%, 7/22/26 (a)(b)			880		881,127
Apidos CLO XX, Series 2015-20A, Class A1R, 2.49%, 1/16/27 (a)(b)			2,250		2,252,491
Arbor Realty CLO Ltd., Series 2015-FL2A, Class A, 2.91%, 9/15/25 (a)(b)(d)			2,220		2,220,000
Arbor Realty Commercial Real Estate Notes Ltd., Series 2016-FL1A, Class A, 2.86%, 9/15/26 (a)(b)(d)			3,940		3,940,000
Arbour CLO IV DAC:
Series 4X, Class E, 5.60%, 1/15/30 (a)	EUR		550		621,940
Series 4X, Class F, 8.15%, 1/15/30 (a)			450		504,895
Arbour CLO Ltd.:
Series 2014-1X, Class E, 5.00%, 7/15/27 (a)			238		270,821
Series 2014-1X, Class F, 5.75%, 7/15/27 (a)			336		356,787
Ares European CLO VIII BV, Series 8X, Class E, 6.35%, 2/17/30 (a)			281		325,314
ARES XXVIII CLO Ltd.:
Series 2013-3A, Class B1R, 2.66%, 10/17/24 (a)(b)	USD		2,150		2,149,981
Series 2013-3A, Class C1R, 3.26%, 10/17/24 (a)(b)			1,850		1,850,024
ARES XXXIII CLO Ltd.:
Series 2015-1A, Class A2R, 3.17%, 12/05/25 (a)(b)			1,420		1,431,998
Series 2015-1A, Class B2R, 4.02%, 12/05/25 (a)(b)			500		506,482
Argent Mortgage Loan Trust, Series 2005-W1, Class A2, 1.70%, 5/25/35 (a)(d)			5,212		3,960,833
Atlas Senior Loan Fund III Ltd., Series 2013-1A, Class B, 2.88%, 8/18/25 (a)(b)			750		744,919
Atlas Senior Loan Fund IV Ltd., Series 2013-2A, Class A1L, 2.68%, 2/17/26 (a)(b)			7,030		7,029,350
Atlas Senior Loan Fund V Ltd.:
Series 2014-1A, Class AR, 2.59%, 7/16/26 (a)(b)			1,630		1,630,017
Series 2014-1A, Class BR, 3.16%, 7/16/26 (a)(b)			2,370		2,369,953
Atlas Senior Loan Fund VI Ltd., Series 2014-6A, Class CR, 3.38%, 10/15/26 (a)(b)			930		922,354
Atrium X:
Series 10A, Class B1R, 2.54%, 7/16/25 (a)(b)(d)			4,300		4,300,000
Series 10A, Class CR, 3.04%, 7/16/25 (a)(b)(d)			2,070		2,070,000
Atrium XI, Series 11A, Class A1R, 2.29%, 10/23/25 (a)(b)			1,060		1,061,041
Atrium XII, Series 12A, Class C, 4.20%, 10/22/26 (a)(b)			881		883,964
Aurium CLO III DAC, Series 3X, Class E, 4.90%, 4/15/30 (a)	EUR		100		109,425
Avery Point VII CLO Ltd., Series 2015-7A, Class A1, 2.66%, 1/15/28 (a)(b)	USD		2,130		2,146,843
Avoca CLO XIII Ltd., Series 13X, Class E, 5.17%, 12/29/27 (a)	EUR		430		484,817
Avoca CLO XIV Ltd.:
Series 14X, Class E, 4.75%, 7/12/28 (a)			490		555,992
Series 14X, Class F, 5.75%, 7/12/28 (a)			900		987,415
Series 14X, Class SUB, 0.00%, 7/12/28 (a)			1,290		1,191,969
Avoca CLO XV Ltd.:
Series 15X, Class E, 5.00%, 1/15/29 (a)			470		532,761


Asset-Backed Securities		Par (000)		Value
Series 15X, Class F, 6.75%, 1/15/29 (a)	EUR		585	$	641,766
Series 15X, Class M1, 0.00%, 1/15/29 (a)			1,100		1,051,157
Avoca CLO XVII Designated Activity Co., Series 17X, Class E, 5.95%, 1/15/30 (a)			546		625,562
B2R Mortgage Trust:
Series 2015-1, Class A1, 2.52%, 5/15/48 (b)	USD		873		866,861
Series 2015-2, Class A, 3.34%, 11/15/48 (b)			1,178		1,192,300
Babson CLO Ltd., Series 2013-IA, Class A, 2.26%, 4/20/25 (a)(b)			4,560		4,564,941
Ballyrock CLO Ltd., Series 2016-1A, Class A, 2.75%, 10/15/28 (a)(b)			1,935		1,958,198
BankAmerica Manufactured Housing Contract Trust, Series 1998-2, Class B1, 7.93%, 12/10/25 (a)			2,790		2,193,848
Battalion CLO IV Ltd., Series 2013-4A, Class A1R, 2.29%, 10/22/25 (a)(b)			4,715		4,716,449
Bayview Financial Revolving Asset Trust:
Series 2004-B, Class A1, 2.22%, 5/28/39 (a)(b)			7,937		6,210,757
Series 2005-E, Class A1, 2.04%, 12/28/40 (a)(b)			1,657		1,460,968
BCMSC Trust:
Series 1999-A, Class M1, 6.79%, 3/15/29 (a)			653		559,339
Series 2000-A, Class A2, 7.58%, 6/15/30 (a)			1,674		711,644
Series 2000-A, Class A3, 7.83%, 6/15/30 (a)			1,554		682,602
Series 2000-A, Class A4, 8.29%, 6/15/30 (a)			2,661		1,237,248
Bear Stearns Asset-Backed Securities I Trust:
Series 2004-HE7, Class M2, 2.94%, 8/25/34 (a)			482		478,559
Series 2006-HE1, Class 1M4, 1.90%, 12/25/35 (a)			2,023		2,180,288
Series 2007-HE2, Class 1A4, 1.54%, 3/25/37 (a)			1,084		756,085
Series 2006-HE7, Class 1A2, 1.39%, 9/25/36 (a)			4,513		4,748,909
Series 2006-HE9, Class 2A, 1.36%, 11/25/36 (a)			4,162		3,820,817
Series 2007-AQ2, Class A2, 1.39%, 1/25/37 (a)			1,595		1,574,699
Series 2007-FS1, Class 1A3, 1.39%, 5/25/35 (a)			1,220		1,220,714
Series 2007-HE1, Class 21A2, 1.38%, 1/25/37 (a)			991		927,425
Series 2007-HE2, Class 22A, 1.36%, 3/25/37 (a)			1,251		1,173,118
Series 2007-HE2, Class 23A, 1.36%, 3/25/37 (a)			2,488		2,329,523
Series 2007-HE3, Class 1A4, 1.57%, 4/25/37 (a)			6,531		4,214,727
Bear Stearns Asset-Backed Securities Trust, Series 2005-4, Class M2, 2.42%, 1/25/36 (a)			588		565,302
Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M1, 2.42%, 12/25/36 (a)(b)			1,200		1,152,211
Benefit Street Partners CLO IV Ltd., Series 2014-IVA, Class A1R, 2.65%, 1/20/29 (a)(b)			4,020		4,060,894
Benefit Street Partners CLO Ltd., Series 2012-IA, Class A2R, 3.41%, 10/15/25 (a)(b)			7,450		7,495,022
Benefit Street Partners CLO VIII Ltd., Series 2015-8A, Class A2, 3.41%, 1/20/28 (a)(b)			3,990		4,040,155


Asset-Backed Securities		Par (000)		Value
Betony CLO Ltd., Series 2015-1A, Class CR, 4.01%, 4/15/27 (a)(b)	USD		1,230	$	1,231,372
BlueMountain CLO Ltd.:
Series 2012-1A, Class B, 3.71%, 7/20/23 (a)(b)			580		579,801
Series 2012-1A, Class C, 4.41%, 7/20/23 (a)(b)			350		350,035
Series 2013-2A, Class A, 2.35%, 1/22/25 (a)(b)			850		850,456
Series 2013-3A, Class A, 2.57%, 10/29/25 (a)(b)			2,480		2,479,995
Series 2013-4A, Class AR, 2.17%, 4/15/25 (a)(b)			7,590		7,592,221
Series 2014-1A, Class A1R, 2.43%, 4/30/26 (a)(b)			2,400		2,410,554
Series 2014-2A, Class A, 2.61%, 7/20/26 (a)(b)			670		670,011
Series 2014-2A, Class AR, 0.00%, 7/20/26 (a)(b)			670		670,000
Series 2014-4A, Class A1R, 2.55%, 11/30/26 (a)(b)(d)			3,020		3,020,906
Series 2015-3A, Class A1, 2.64%, 10/20/27 (a)(b)			2,000		2,005,598
BlueMountain EUR CLO DAC, Series 2016-1X, Class E, 6.60%, 4/25/30 (a)	EUR		1,200		1,365,667
BlueMountain Fuji EUR CLO II DAC,
Series 2017-2X, Class E, 5.45%, 7/15/30 (a)			238		262,269
Bowman Park CLO Ltd., Series 2014-1A, Class AR, 2.37%, 11/23/25 (a)(b)	USD		5,500		5,504,889
Brookside Mill CLO Ltd., Series 2013-1A, Class A1, 2.31%, 4/17/25 (a)(b)			4,020		4,024,229
Bsprt Issuer Ltd.:
Series 2017-FL1, Class A, 2.43%, 6/15/27 (a)(b)(d)			3,790		3,794,737
Series 2017-FL1, Class B, 3.48%, 6/15/27 (a)(b)			1,540		1,536,304
Cadogan Square CLO VII BV, Series 7X, Class E, 6.00%, 5/25/29 (a)	EUR		1,000		1,139,833
Cairn CLO VI BV, Series 2016-6X, Class E, 6.25%, 7/25/29 (a)			600		692,700
Canyon Capital CLO Ltd., Series 2006-1A, Class A1, 1.50%, 12/15/20 (a)(b)	USD		1,106		1,101,395
Carlyle Global Market Strategies CLO Ltd.:
Series 2012-4A, Class AR, 2.61%, 1/20/29 (a)(b)			6,630		6,702,019
Series 2013-3A, Class B, 3.81%, 7/15/25 (a)(b)			730		730,305
Series 2013-4A, Class A1, 2.63%, 10/15/25 (a)(b)			1,880		1,881,305
Series 2014-1A, Class CR, 3.91%, 4/17/25 (a)(b)			1,740		1,747,090
Series 2014-3A, Class BR, 3.32%, 2/24/29 (a)(b)			750		751,218
Carlyle Global Market Strategies Euro CLO:
Series 2015-2X, Class E, 6.50%, 9/21/29 (a)	EUR		370		411,877
Series 2015-3X, Class D, 5.55%, 1/15/29 (a)			1,200		1,364,981
Carrington Mortgage Loan Trust:
Series 2005-FRE1, Class M1, 1.69%, 12/25/35 (a)	USD		2,317		2,230,862
Series 2006-FRE2, Class A2, 1.34%, 10/25/36 (a)			1,154		747,036
Series 2006-FRE2, Class A3, 1.38%, 10/25/36 (a)			3,841		2,498,605
Series 2006-FRE2, Class A5, 1.30%, 10/25/36 (a)			975		627,629
Series 2006-NC1, Class M2, 1.64%, 1/25/36 (a)			610		333,478


Asset-Backed Securities		Par (000)		Value
Series 2006-NC2, Class A3, 1.37%, 6/25/36 (a)	USD		3,657	$	3,540,247
Series 2006-NC3, Class A4, 1.46%, 8/25/36 (a)			2,003		1,244,954
Series 2006-NC4, Class A3, 1.38%, 10/25/36 (a)			1,180		1,006,548
Series 2006-NC5, Class A3, 1.37%, 1/25/37 (a)			7,250		5,292,562
Series 2006-NC5, Class A5, 1.28%, 1/25/37 (a)			428		375,359
Series 2007-HE1, Class A2, 1.37%, 6/25/37 (a)			1,075		1,011,098
Series 2007-RFC1, Class A4, 1.44%, 10/25/36 (a)			1,440		963,086
Catamaran CLO Ltd., Series 2012-1A, Class BR, 3.22%, 12/20/23 (a)(b)			2,830		2,832,037
Cavalry CLO IV Ltd., Series 2014-4A, Class A, 2.66%, 10/15/26 (a)(b)			5,100		5,099,956
C-BASS Trust:
Series 2006-CB7, Class A4, 1.38%, 10/25/36 (a)			768		546,171
Series 2006-CB9, Class A2, 1.33%, 11/25/36 (a)			1,281		740,519
Series 2006-CB9, Class A4, 1.45%, 11/25/36 (a)			216		127,285
Series 2007-CB1, Class AF2, 3.77%, 1/25/37 (c)			6,339		3,161,844
Series 2007-CB1, Class AF4, 3.77%, 1/25/37 (c)			477		237,777
Series 2007-CB5, Class A2, 1.39%, 4/25/37 (a)			1,174		881,082
Cedar Funding IV CLO Ltd., Series 2014-4A, Class AR, 2.39%, 7/23/30 (a)(b)			1,200		1,187,142
Cedar Funding V CLO Ltd., Series 2016-5A, Class A1, 2.77%, 7/17/28 (a)(b)			1,880		1,891,908
CHLUPA Trust, Series 2013-VM, Class A, 3.33%, 8/15/20 (b)(d)			141		141,102
CIFC Funding Ltd.:
Series 2012-2A, Class A1R, 2.57%, 12/05/24 (a)(b)			3,124		3,127,184
Series 2012-3A, Class A3R, 3.87%, 1/29/25 (a)(b)			1,340		1,340,170
Series 2013-1A, Class A2, 3.06%, 4/16/25 (a)(b)			4,440		4,444,050
Series 2013-4A, Class B1R, 2.70%, 11/27/24 (a)(b)			4,270		4,274,922
Series 2014-1A, Class AR, 2.21%, 4/18/25 (a)(b)(d)			3,590		3,590,000
Series 2014-2A, Class A1LR, 2.39%, 5/24/26 (a)(b)(d)			8,484		8,484,339
Series 2014-3A, Class B1, 3.15%, 7/22/26 (a)(b)			710		710,013
Series 2014-3A, Class C1, 3.95%, 7/22/26 (a)(b)			1,120		1,119,973
Series 2014-4A, Class A1R, 2.54%, 10/17/26 (a)(b)			6,270		6,278,807
Series 2014-5A, Class A1R, 2.56%, 1/17/27 (a)(b)			26,215		26,301,357
Series 2014-5A, Class CR, 3.86%, 1/17/27 (a)(b)			710		713,509
Series 2015-1A, Class A1R, 2.54%, 1/22/27 (a)(b)			1,520		1,518,995
Series 2015-2A, Class A, 2.61%, 4/15/27 (a)(b)			2,710		2,716,101
Series 2015-3A, Class A, 2.58%, 10/19/27 (a)(b)			3,160		3,159,120
Citicorp Residential Mortgage Trust,
Series 2007-2, Class M1, 5.30%, 6/25/37 (c)			2,830		2,741,404


Asset-Backed Securities		Par (000)		Value
Citigroup Mortgage Loan Trust:
Series 2006-NC1, Class A2D, 1.47%, 8/25/36 (a)	USD		3,550	$	2,841,933
Series 2007-AHL2, Class A3B, 1.22%, 5/25/37 (a)			8,023		5,990,266
Series 2007-AHL2, Class A3C, 1.29%, 5/25/37 (a)			3,644		2,740,523
Colony American Homes, Series 2015-1A, Class A, 2.37%, 7/17/32 (a)(b)			8,235		8,247,058
Conseco Finance Corp., Series 2001-D, Class B1, 3.66%, 11/15/32 (a)			2,038		2,034,465
Conseco Finance Securitizations Corp.:
Series 2000-1, Class A5, 8.06%, 9/01/29 (a)			1,655		935,653
Series 2000-4, Class A5, 7.97%, 5/01/32			5,569		2,947,475
Series 2000-4, Class A6, 8.31%, 5/01/32 (a)			1,398		770,590
Series 2000-5, Class A6, 7.96%, 5/01/31			2,442		1,683,614
Series 2000-5, Class A7, 8.20%, 5/01/31			4,455		3,150,380
Conseco Financial Corp.:
Series 1997-3, Class M1, 7.53%, 3/15/28 (a)			2,200		2,181,220
Series 1997-6, Class M1, 7.21%, 1/15/29 (a)			453		443,489
Series 1998-4, Class M1, 6.83%, 4/01/30 (a)			360		309,979
Series 1998-8, Class A1, 6.28%, 9/01/30			1,386		1,453,807
Series 1998-8, Class M1, 6.98%, 9/01/30 (a)			2,862		2,353,391
Series 1999-5, Class A5, 7.86%, 3/01/30 (a)			1,700		1,346,637
Series 1999-5, Class A6, 7.50%, 3/01/30 (a)			1,244		954,489
Countrywide Asset-Backed Certificates:
Series 2003-BC3, Class A2, 1.84%, 9/25/33 (a)			672		637,157
Series 2004-5, Class A, 2.12%, 10/25/34 (a)			752		725,421
Series 2006-11, Class 3AV2, 1.38%, 9/25/46 (a)			375		364,912
Series 2006-17, Class 2A2, 1.37%, 3/25/47 (a)			389		364,861
Series 2006-8, Class 2A3, 1.38%, 1/25/46 (a)			1,020		973,645
Series 2006-S10, Class A3, 1.54%, 10/25/36 (a)			10,053		9,133,064
Series 2006-S3, Class A4, 6.40%, 1/25/29 (c)			882		882,102
Series 2006-SPS1, Class A, 1.44%, 12/25/25 (a)			296		316,937
Series 2007-S3, Class A3, 1.60%, 5/25/37 (a)			3,494		2,983,445
Credit Suisse First Boston Mortgage Securities Corp., Series 2001-MH29, Class B1, 8.10%, 9/25/31 (a)			1,750		1,899,428
Credit-Based Asset Servicing & Securitization LLC:
Series 2006-CB2, Class AF4, 3.40%, 12/25/36 (c)			593		472,398
Series 2006-MH1, Class B1, 6.25%, 10/25/36 (b)(c)			852		879,738
Series 2006-SL1, Class A2, 5.56%, 9/25/36 (b)(c)			3,417		794,853
Series 2007-CB6, Class A4, 1.56%, 7/25/37 (a)(b)			836		556,941
Series 2007-RP1, Class A, 1.53%, 5/25/46 (a)(b)			771		638,006


Asset-Backed Securities		Par (000)		Value
CVC Cordatus Loan Fund VII DAC, Series 7X, Class E, 7.00%, 8/15/29 (a)	EUR		560	$	658,067
CVC Cordatus Loan Fund VIII DAC:
Series 8X, Class E, 5.70%, 4/23/30 (a)(d)			300		342,646
Series 8X, Class F, 7.65%, 4/23/30 (a)			200		231,369
CWABS Revolving Home Equity Loan Trust, Series 2004-U, Class 2A, 1.43%, 3/15/34 (a)	USD		1,518		1,223,113
CWHEQ Home Equity Loan Trust:
Series 2006-S5, Class A4, 5.84%, 6/25/35			884		923,425
Series 2006-S5, Class A5, 6.16%, 6/25/35			714		715,078
Series 2007-S1, Class A3, 5.81%, 11/25/36 (a)			1,553		1,542,181
CWHEQ Revolving Home Equity Loan Resuritization Trust:
Series 2006-RES, Class 4Q1B, 1.29%, 12/15/33 (a)(b)(d)			1,394		1,204,820
Series 2006-RES, Class 5B1B, 1.18%, 5/15/35 (a)(b)(d)			480		408,189
CWHEQ Revolving Home Equity Loan Trust, Series 2005-B, Class 2A, 1.34%, 5/15/35 (a)			1,219		1,055,466
DCP Rights LLC, Series 2014-1A, Class A, 5.46%, 10/25/44 (b)			7,940		8,063,720
Dryden 34 Senior Loan Fund, Series 2014-34A, Class AR, 2.32%, 10/15/26 (a)(b)(d)			1,250		1,250,000
Dryden 41 Senior Loan Fund, Series 2015-41A, Class A, 2.66%, 1/15/28 (a)(b)			2,250		2,258,351
Dryden 46 Euro CLO BV, Series 2016-46X, Class E, 5.75%, 1/15/30 (a)	EUR		364		416,724
Dryden XXV Senior Loan Fund:
Series 2012-25A, Class AR, 2.36%, 1/15/25 (a)(b)	USD		8,609		8,617,008
Series 2012-25A, Class CR, 3.66%, 1/15/25 (a)(b)			670		670,535
Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1L, 2.28%, 8/15/25 (a)(b)			2,090		2,091,862
ECP CLO Ltd., Series 2012-4A, Class A1, 2.62%, 6/19/24 (a)(b)			596		595,966
Euro-Galaxy IV CLO BV:
Series 2015-4X, Class D, 3.35%, 7/30/28 (a)	EUR		270		308,389
Series 2015-4X, Class E, 4.50%, 7/30/28 (a)			165		188,347
Series 2015-4X, Class F, 6.25%, 7/30/28 (a)			380		433,571
Euro-Galaxy V CLO BV, Series 2016-5X, Class E, 6.30%, 11/10/30 (a)			400		467,250
Fannie Mae REMIC Trust, Series 2003-W5, Class A, 1.44%, 4/25/33 (a)	USD		3		2,885
Finn Square CLO Ltd.:
Series 2012-1A, Class A1R, 2.37%, 12/24/23 (a)(b)			566		566,303
Series 2012-1A, Class A2R, 2.86%, 12/24/23 (a)(b)			880		882,025
First Franklin Mortgage Loan Trust:
Series 2004-FFH3, Class M3, 2.27%, 10/25/34 (a)			1,000		862,428
Series 2006-FF16, Class 2A3, 1.36%, 12/25/36 (a)			15,513		9,481,781
Series 2006-FF17, Class A5, 1.37%, 12/25/36 (a)			22,551		18,813,879
Series 2006-FF5, Class 2A3, 1.38%, 4/25/36 (a)			1,346		1,228,856
Series 2006-FFH1, Class M2, 1.62%, 1/25/36 (a)			3,813		1,516,263
Galaxy XV CLO Ltd., Series 2013-15A, Class A, 2.41%, 4/15/25 (a)(b)			1,350		1,351,028


Asset-Backed Securities		Par (000)		Value
Galaxy XVI CLO Ltd., Series 2013-16A, Class CR, 3.43%, 11/16/25 (a)(b)	USD		1,000	$	992,434
GCAT LLC, Series 2017-4, Class A1, 3.23%, 5/25/22 (b)(c)			5,491		5,480,064
GE-WMC Asset-Backed Pass-Through Certificates:
Series 2005-2, Class A2C, 1.47%, 12/25/35 (a)			678		653,447
Series 2005-2, Class M1, 1.66%, 12/25/35 (a)			5,278		2,978,192
GE-WMC Mortgage Securities Trust:
Series 2006-1, Class A2A, 1.26%, 8/25/36 (a)			1,222		758,751
Series 2006-1, Class A2B, 1.17%, 8/25/36 (a)			22,154		14,061,910
Series 2006-1, Class A2C, 1.46%, 8/25/36 (a)			1,616		1,044,327
GMACM Home Equity Loan Trust, Series 2006-HE4, Class A2, 1.20%, 12/25/36 (a)			170		166,084
GoldenTree Loan Opportunities VIII Ltd., Series 2014-8A, Class B1R, 2.71%, 4/19/26 (a)(b)			750		750,891
Greenpoint Manufactured Housing:
Series 1999-5, Class M1B, 8.29%, 12/15/29 (a)			870		938,511
Series 1999-5, Class M2, 9.23%, 12/15/29 (a)			1,332		1,135,122
Greystone Commercial Real Estate Notes Ltd., Series 2017-FL1A, Class A, 2.54%, 3/15/27 (a)(b)(d)			1,010		1,003,552
Greywolf CLO IV Ltd., Series 2014-2A, Class BR, 0.00%, 1/17/27 (a)(b)			930		930,000
GSAA Home Equity Trust:
Series 2006-5, Class 2A1, 1.29%, 3/25/36 (a)			19		11,936
Series 2007-4, Class A3B, 1.57%, 3/25/37 (a)			3,550		500,597
GSAA Trust, Series 2007-2, Class AF3, 5.92%, 3/25/37 (a)			579		257,121
GSAMP Trust:
Series 2006-FM2, Class A2B, 1.34%, 9/25/36 (a)			2,969		1,351,083
Series 2007-H1, Class A1B, 1.42%, 1/25/47 (a)			1,180		766,840
GT Loan Financing I Ltd., Series 2013-1A, Class A, 2.44%, 10/28/24 (a)(b)			5,105		5,105,892
Harvest CLO XVI DAC, Series 16X, Class E, 6.40%, 10/15/29 (a)	EUR		480		552,810
Highbridge Loan Management Ltd.:
Series 5A-2015, Class C1R, 3.29%, 1/29/26 (a)(b)(d)	USD		1,920		1,920,000
Series 5A-2015, Class C2R, 3.29%, 1/29/26 (a)(b)(d)			750		750,000
Series 6A-2015, Class A, 2.62%, 5/05/27 (a)(b)			7,500		7,511,636
Home Equity Mortgage Loan Asset-Backed Trust, Series 2004-A, Class M2, 3.24%, 7/25/34 (a)			770		776,377
Home Equity Mortgage Trust, Series 2006-2, Class 1A1, 5.87%, 7/25/36 (c)			3,075		1,294,074
Home Loan Mortgage Loan Trust, Series 2005-1, Class A3, 1.88%, 4/15/36 (a)			1,630		1,493,266
Invitation Homes Trust:
Series 2014-SFR2, Class A, 2.31%, 9/17/31 (a)(b)			2,939		2,944,571
Series 2014-SFR2, Class C, 3.41%, 9/17/31 (a)(b)			1,650		1,655,064
Series 2014-SFR2, Class E, 4.62%, 9/17/31 (a)(b)			1,460		1,467,035


Asset-Backed Securities		Par (000)		Value
Series 2014-SFR3, Class A, 2.41%, 12/17/31 (a)(b)	USD		334	$	334,093
Series 2014-SFR3, Class D, 4.21%, 12/17/31 (a)(b)			230		230,409
Series 2015-SFR3, Class A, 2.51%, 8/17/32 (a)(b)			9,084		9,125,165
Series 2015-SFR3, Class E, 4.74%, 8/17/32 (a)(b)			1,582		1,605,255
Irwin Home Equity Loan Trust, Series 2006-2, Class 2A2, 6.24%, 2/25/36 (b)(c)			372		376,757
JPMorgan Mortgage Acquisition Trust:
Series 2006-CW1, Class M1, 1.49%, 5/25/36 (a)			1,170		978,476
Series 2006-WF1, Class A3A, 5.83%, 7/25/36 (c)			838		473,462
Series 2006-WF1, Class A5, 6.41%, 7/25/36 (c)			1,143		645,055
Series 2006-WF1, Class A6, 6.00%, 7/25/36 (c)			839		474,185
Jubilee CDO VIII BV, Series VIII-X, Class SUB, 4.77%, 1/15/24 (a)	EUR		880		466,307
LCM XIV LP, Series 14A, Class A, 2.31%, 7/15/25 (a)(b)	USD		2,970		2,970,487
LCM XVIII LP:
Series 18A, Class B1, 3.46%, 4/20/27 (a)(b)			2,400		2,399,778
Series 18A, Class C1, 4.31%, 4/20/27 (a)(b)			500		500,048
Lehman ABS Manufactured Housing Contract Trust:
Series 2001-B, Class M1, 6.63%, 4/15/40 (a)			4,790		5,125,172
Series 2001-B, Class M2, 7.17%, 4/15/40 (a)			727		503,940
Series 2002-A, Class C, 0.00%, 6/15/33 (a)			579		446,704
Lehman ABS Mortgage Loan Trust, Series 2007-1, Class 2A1, 1.31%, 6/25/37 (a)(b)			580		363,188
Lendmark Funding Trust, Series 2017-1A, Class A, 2.83%, 1/22/24 (b)			14,780		14,776,975
Lime Street CLO Ltd., Series 2007-1A, Class B, 1.82%, 6/20/21 (a)(b)			900		897,049
Litigation Fee Residual Funding LLC, Series 2015-1, Class A, 4.00%, 10/01/27 (b)(d)			5,484		5,397,355
Long Beach Mortgage Loan Trust:
Series 2006-5, Class 2A3, 1.37%, 6/25/36 (a)			2,000		1,059,474
Series 2006-1, Class 1A, 1.44%, 2/25/36 (a)			4,155		3,769,137
Series 2006-2, Class 2A3, 1.41%, 3/25/46 (a)			22,819		11,380,645
Series 2006-2, Class 2A4, 1.51%, 3/25/46 (a)			10,535		5,360,470
Series 2006-3, Class 2A3, 1.40%, 5/25/46 (a)			12,369		5,628,441
Series 2006-3, Class 2A4, 1.49%, 5/25/46 (a)			1,186		550,901
Series 2006-4, Class 2A4, 1.48%, 5/25/36 (a)			9,738		4,600,528
Series 2006-9, Class 2A3, 1.38%, 10/25/36 (a)			4,140		1,777,916
Series 2006-9, Class 2A4, 1.45%, 10/25/36 (a)			1,851		802,567
Series 2006-10, Class 2A3, 1.38%, 11/25/36 (a)			4,317		2,114,249
Series 2006-10, Class 2A4, 1.44%, 11/25/36 (a)			2,565		1,267,945


Asset-Backed Securities		Par (000)		Value
Madison Avenue Manufactured Housing Contract Trust, Series 2002-A, Class B2, 4.47%, 3/25/32 (a)	USD		1,510	$	1,556,042
Madison Park Funding XI Ltd., Series 2013-11A, Class A1B, 2.60%, 10/23/25 (a)(b)			1,518		1,519,794
Madison Park Funding XIV Ltd., Series 2014-14A, Class A2R, 2.28%, 7/20/26 (a)(b)			26,018		26,038,073
MASTR Asset-Backed Securities Trust:
Series 2006-AM2, Class A4, 1.48%, 6/25/36 (a)(b)			2,059		1,395,601
Series 2006-HE2, Class A3, 1.37%, 6/25/36 (a)			6,702		3,719,610
Series 2007-HE1, Class A4, 1.50%, 5/25/37 (a)			1,318		825,540
MASTR Specialized Loan Trust, Series 2006-3, Class A, 1.48%, 6/25/46 (a)(b)			716		668,893
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C, 1.46%, 5/25/37 (a)			1,833		1,139,703
Merrill Lynch Mortgage Investors Trust:
Series 2006-OPT1, Class M1, 1.48%, 8/25/37 (a)			576		162,871
Series 2006-RM3, Class A2B, 1.31%, 6/25/37 (a)			1,017		311,849
Morgan Stanley ABS Capital I, Inc. Trust:
Series 2005-HE1, Class A2MZ, 1.82%, 12/25/34 (a)			820		778,503
Series 2005-HE5, Class M4, 2.09%, 9/25/35 (a)			4,702		2,091,448
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A2, 1.33%, 11/25/36 (a)			1,257		631,923
Morgan Stanley Mortgage Loan Trust, Series 2007-9SL, Class A, 1.54%, 7/25/37 (a)			1,817		1,625,119
Mountain Hawk I CLO Ltd., Series 2013-1A, Class B1, 3.34%, 1/20/24 (a)(b)			3,020		3,022,946
Mountain Hawk II CLO Ltd., Series 2013-2A, Class A1, 2.32%, 7/22/24 (a)(b)			1,473		1,472,466
MP CLO III Ltd., Series 2013-1A, Class A, 2.34%, 4/20/25 (a)(b)			2,820		2,820,396
MP CLO IV Ltd., Series 2013-2A, Class A2BR, 3.36%, 10/25/25 (a)(b)			750		750,043
MP CLO VIII Ltd., Series 2015-2A, Class B, 3.42%, 10/28/27 (a)(b)			3,250		3,252,613
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV3, 1.40%, 6/25/37 (a)			450		429,490
Navient Private Education Loan Trust:
Series 2014-AA, Class B, 3.50%, 8/15/44 (b)			6,000		5,740,067
Series 2014-CTA, Class B, 2.91%, 10/17/44 (a)(b)			8,550		8,197,815
Series 2016-AA, Class B, 3.50%, 12/16/58 (a)(b)			2,040		1,853,096
Neuberger Berman CLO XIII Ltd.:
Series 2012-13A, Class B, 3.45%, 1/23/24 (a)(b)			9,375		9,373,172
Series 2012-13A, Class C, 4.00%, 1/23/24 (a)(b)			1,500		1,501,789
Neuberger Berman CLO XVI Ltd., Series 2014-16A, Class B2R, 3.33%, 4/15/26 (a)(b)			1,875		1,874,899
NextGear Floorplan Master Owner Trust, Series 2015-1A, Class B, 2.74%, 7/15/19 (a)(b)			1,150		1,150,052
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-S5, Class A1, 1.62%, 10/25/36 (a)(b)			475		423,528


Asset-Backed Securities		Par (000)		Value
North Westerly CLO IV BV, Series IV-X, Class A-1, 1.22%, 1/15/26 (a)	EUR		2,500	$	2,855,661
Northwoods Capital IX Ltd., Series 2012-9A, Class A, 2.58%, 1/18/24 (a)(b)	USD		3,793		3,794,885
Oak Hill Credit Partners IX Ltd., Series 2013-9A, Class DR, 2.17%, 10/20/25 (a)(b)(d)			540		540,826
Oak Hill Credit Partners VIII Ltd., Series 2013-8A, Class A, 2.28%, 4/20/25 (a)(b)			4,130		4,130,443
Oak Hill European Credit Partners IV Designated Activity Co., Series 2015-4X, Class F, 6.65%, 1/20/30 (a)	EUR		670		749,708
Oakwood Mortgage Investors, Inc.:
Series 2001-D, Class A2, 5.26%, 1/15/19 (a)	USD		953		728,273
Series 2001-D, Class A4, 6.93%, 9/15/31 (a)(d)			606		521,007
Series 2002-B, Class M1, 7.62%, 6/15/32 (a)			4,608		3,813,956
OCP CLO Ltd.:
Series 2014-5A, Class A1, 2.17%, 4/26/26 (a)(b)			330		330,078
Series 2014-5A, Class A2, 2.89%, 4/26/26 (a)(b)			610		610,005
Series 2015-8A, Class A1, 2.69%, 4/17/27 (a)(b)			5,530		5,542,412
Series 2016-12A, Class A1, 2.73%, 10/18/28 (a)(b)			1,350		1,357,945
Series 2017-13A, Class A1A, 0.00%, 7/15/30 (a)(b)			9,170		9,153,494
OCP Euro DAC, Series 2017-1X, Class E, 5.35%, 6/18/30 (a)(d)	EUR		200		217,626
Octagon Investment Partners XIX Ltd., Series 2014-1A, Class AR, 2.26%, 4/15/26 (a)(b)	USD		3,100		3,101,913
Octagon Investment Partners XVI Ltd., Series 2013-1A, Class A, 2.28%, 7/17/25 (a)(b)			5,945		5,952,343
Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A2R, 2.84%, 10/25/25 (a)(b)			7,240		7,244,408
OFSI Fund VI Ltd., Series 2014-6A, Class A2, 3.06%, 3/20/25 (a)(b)			10,508		10,517,620
OHA Loan Funding LLC, Series 2014-1A, Class A1R, 2.31%, 10/20/26 (a)(b)			2,844		2,845,617
OHA Loan Funding Ltd., Series 2013-2A, Class A, 2.46%, 8/23/24 (a)(b)			5,315		5,316,018
OneMain Financial Issuance Trust:
Series 2014-1A, Class A, 2.43%, 6/18/24 (b)			398		397,654
Series 2014-1A, Class B, 3.24%, 6/18/24 (b)			2,820		2,822,829
Series 2014-2A, Class B, 3.02%, 9/18/24 (b)			2,805		2,816,171
Series 2014-2A, Class D, 5.31%, 9/18/24 (b)			1,885		1,899,633
Series 2015-1A, Class C, 5.12%, 3/18/26 (b)			1,536		1,572,319
Series 2015-2A, Class C, 4.32%, 7/18/25 (b)			4,830		4,829,118
Series 2016-2A, Class A, 4.10%, 3/20/28 (b)			3,248		3,313,280
Option One Mortgage Acceptance Corp. Asset-Backed Certificates, Series 2003-4, Class A2, 1.86%, 7/25/33 (a)			1,079		1,046,354
Option One Mortgage Loan Trust, Series 2007-CP1, Class 2A3, 1.43%, 3/25/37 (a)			2,360		1,546,654
Origen Manufactured Housing Contract Trust, Series 2001-A, Class M1, 7.82%, 3/15/32 (a)			1,575		1,552,505


Asset-Backed Securities		Par (000)		Value
Ownit Mortgage Loan Trust Series, Series 2006-2, Class A2C, 6.00%, 1/25/37 (c)	USD		1,990	$	1,846,953
OZLM Funding II Ltd., Series 2012-2A, Class A1R, 2.61%, 10/30/27 (a)(b)			19,348		19,402,685
OZLM Funding IV Ltd., Series 2013-4A, Class A1, 2.30%, 7/22/25 (a)(b)			9,995		10,000,064
OZLM Funding Ltd., Series 2012-1A, Class A2R, 3.50%, 7/22/27 (a)(b)			2,250		2,252,411
OZLM Funding V Ltd., Series 2013-5A, Class BR, 3.51%, 1/17/26 (a)(b)(d)			3,720		3,720,558
OZLM IX Ltd., Series 2014-9A, Class CR, 4.71%, 1/20/27 (a)(b)			4,360		4,365,069
OZLM VI Ltd., Series 2014-6A, Class BR, 3.86%, 4/17/26 (a)(b)			2,360		2,360,993
OZLM VII Ltd.:
Series 2014-7A, Class A1BR, 2.31%, 7/17/26 (a)(b)			250		250,260
Series 2014-7A, Class B1R, 3.41%, 7/17/26 (a)(b)			1,400		1,401,855
OZLM VIII Ltd.:
Series 2014-8A, Class A1AR, 2.60%, 10/17/26 (a)(b)(d)			3,370		3,370,000
Series 2014-8A, Class BR, 4.16%, 10/17/26 (a)(b)(d)			1,160		1,160,000
OZLM XI Ltd., Series 2015-11A, Class A1A, 2.72%, 1/30/27 (a)(b)			9,258		9,294,775
OZLM XII Ltd., Series 2015-12A, Class A1, 2.62%, 4/30/27 (a)(b)			570		572,236
OZLM XV Ltd.:
Series 2016-15A, Class A1, 2.41%, 1/20/29 (a)(b)			4,740		4,755,299
Series 2016-15A, Class A2A, 3.02%, 1/20/29 (a)(b)			1,940		1,934,033
OZLME BV, Series 1X, Class E, 6.45%, 1/18/30 (a)	EUR		475		545,732
Palmer Square CLO Ltd.:
Series 2013-1A, Class A2R, 2.68%, 5/15/25 (a)(b)	USD		5,311		5,311,081
Series 2013-2A, Class A1AR, 2.38%, 10/17/27 (a)(b)			2,280		2,280,861
Series 2013-2A, Class BR, 3.41%, 10/17/27 (a)(b)(d)			890		890,534
Preston Ridge Partners Mortgage LLC, Series 2017-1A, Class A1, 4.25%, 1/25/22 (b)(c)(d)			716		715,841
Pretium Mortgage Credit Partners I LLC:
Series 2016-NPL6, Class A1, 3.50%, 10/27/31 (b)(c)			3,636		3,635,136
Series 2017-NPL2, Class A1, 3.25%, 3/28/57 (b)(c)			13,945		13,967,421
Series 2017-NPL3, Class A1, 3.25%, 6/29/32 (b)(c)			11,140		11,140,000
Progress Residential Trust:
Series 2015-SFR2, Class A, 2.74%, 6/12/32 (b)			1,726		1,734,662
Series 2015-SFR3, Class F, 6.64%, 11/12/32 (b)			500		519,956
Series 2016-SFR1, Class A, 2.71%, 9/17/33 (a)(b)			4,330		4,403,939
Series 2016-SFR1, Class E, 5.06%, 9/17/33 (a)(b)			2,940		3,068,256
Series 2016-SFR2, Class E, 4.72%, 1/17/34 (a)(b)			1,590		1,657,343
Race Point IX CLO Ltd., Series 2015-9A, Class A1, 2.67%, 4/15/27 (a)(b)			4,070		4,075,298
Race Point VII CLO Ltd., Series 2012-7A, Class CR, 3.83%, 11/08/24 (a)(b)			3,180		3,181,684
Race Point X CLO Ltd., Series 2016-10A, Class A, 2.76%, 7/25/28 (a)(b)			5,550		5,593,399


Asset-Backed Securities		Par (000)		Value
RASC Trust, Series 2003-KS5, Class AIIB, 1.80%, 7/25/33 (a)	USD		381	$	360,500
RCO Mortgage LLC, Series 2015-NQM1, Class A, 4.52%, 11/25/45 (a)(b)			583		582,803
Rockford Tower CLO Ltd.:
Series 2017-1A, Class A, 2.74%, 4/15/29 (a)(b)(d)			9,130		9,129,087
Series 2017-1A, Class B, 3.17%, 4/15/29 (a)(b)(d)			3,870		3,850,263
SACO I Trust, Series 2006-9, Class A1, 1.52%, 8/25/36 (a)			863		1,350,213
Security National Mortgage Loan Trust, Series 2007-1A, Class 2A, 1.37%, 4/25/37 (a)(b)			1,331		1,265,807
SG Mortgage Securities Trust, Series 2006-FRE2, Class A2C, 1.18%, 7/25/36 (a)			1,043		379,212
Shackleton CLO Ltd., Series 2014-5A, Class AR, 2.32%, 5/07/26 (a)(b)(d)			14,446		14,446,000
Silvermore CLO Ltd., Series 2014-1A, Class A1, 2.63%, 5/15/26 (a)(b)			3,667		3,667,670
SLC Private Student Loan Trust, Series 2006-A, Class C, 1.61%, 7/15/36 (a)			2,010		1,869,616
SLM Private Credit Student Loan Trust:
Series 2004-A, Class A3, 1.65%, 6/15/33 (a)			3,472		3,365,914
Series 2004-B, Class A3, 1.58%, 3/15/24 (a)			17,249		16,841,563
Series 2006-B, Class A5, 1.52%, 12/15/39 (a)			806		770,972
Series 2006-C, Class A4, 1.42%, 3/15/23 (a)			32		31,729
Series 2007-A, Class A2, 1.37%, 9/15/25 (a)			91		90,597
SLM Private Education Loan Trust:
Series 2013-A, Class B, 2.50%, 3/15/47 (b)			620		612,386
Series 2013-B, Class B, 3.00%, 5/16/44 (b)			2,095		2,108,339
Series 2013-C, Class A2B, 2.56%, 10/15/31 (a)(b)			423		428,870
SMB Private Education Loan Trust, Series 2015-B, Class B, 3.50%, 12/17/40 (b)			3,830		3,780,774
Sound Point CLO I Ltd., Series 2012-1A, Class B, 3.86%, 10/20/23 (a)(b)			500		500,336
Sound Point CLO II Ltd., Series 2013-1A, Class A1L, 2.37%, 4/26/25 (a)(b)			499		498,775
Sound Point CLO IV Ltd., Series 2013-3A, Class CR, 3.41%, 1/21/26 (a)(b)(d)			1,480		1,480,000
Sound Point CLO V Ltd., Series 2014-1A, Class CR, 3.56%, 4/18/26 (a)(b)(d)			937		937,000
Sound Point CLO VII Ltd., Series 2014-3A, Class AR, 2.45%, 1/23/27 (a)(b)(d)			6,225		6,226,868
Sound Point CLO VIII Ltd., Series 2015-1A, Class B, 3.21%, 4/15/27 (a)(b)			4,540		4,541,081
Sound Point CLO XI Ltd., Series 2016-1A, Class A, 2.81%, 7/20/28 (a)(b)			5,730		5,789,754
Sound Point CLO XII Ltd., Series 2016-2A, Class A, 2.82%, 10/20/28 (a)(b)			3,010		3,043,274
Sound Point CLO XIV Ltd.:
Series 2016-3A, Class A, 2.68%, 1/23/29 (a)(b)			7,330		7,368,779
Series 2016-3A, Class C, 3.80%, 1/23/29 (a)(b)			1,000		1,003,802
Sound Point CLO XV Ltd., Series 2017-1A, Class A, 2.50%, 1/23/29 (a)(b)			1,240		1,244,235
Soundview Home Loan Trust, Series 2004-WMC1, Class M2, 2.01%, 1/25/35 (a)			175		165,774


Asset-Backed Securities		Par (000)		Value
SpringCastle America Funding LLC, Series 2016-AA, Class A, 3.05%, 4/25/29 (b)	USD		11,741	$	11,810,391
Springleaf Funding Trust, Series 2015-AA, Class B, 3.62%, 11/15/24 (b)			3,952		3,985,034
St. Paul’s CLO VI DAC, Series 6X, Class D, 6.50%, 7/22/29 (a)(d)	EUR		680		783,128
Stanwich Mortgage Loan Co. LLC:
Series 2016-NPL2, Class NOTE, 3.72%, 8/16/46 (b)(c)(d)	USD		4,073		4,068,328
Series 2017-NPB1, Class A1, 3.60%, 5/17/22 (b)(c)(d)			18,840		18,840,000
Structured Asset Securities Corp. Assistance Loan Trust, Series 2003-AL2, Class A, 3.36%, 1/25/31 (b)			517		505,888
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1, 1.52%, 1/25/35 (a)			857		803,568
SWAY Residential Trust, Series 2014-1, Class A, 2.51%, 1/17/32 (a)(b)			205		204,875
Symphony CLO VIII LP, Series 2012-8A, Class CR, 4.21%, 1/09/23 (a)(b)			750		750,637
Symphony CLO XII Ltd., Series 2013-12A, Class AR, 2.19%, 10/15/25 (a)(b)			3,000		2,997,675
THL Credit Wind River CLO Ltd.:
Series 2013-2A, Class A2A, 2.60%, 1/18/26 (a)(b)			900		900,203
Series 2013-2A, Class B1, 3.01%, 1/18/26 (a)(b)			1,490		1,490,808
Series 2014-2A, Class A2, 2.61%, 7/15/26 (a)(b)			5,080		5,084,162
TIAA CLO II Ltd., Series 2017-1A, Class A, 2.49%, 4/20/29 (a)(b)			2,340		2,341,097
TICP CLO I Ltd., Series 2015-1A, Class A, 2.66%, 7/20/27 (a)(b)			1,000		999,630
TICP CLO III Ltd., Series 2014-3A, Class AR, 2.34%, 1/20/27 (a)(b)(d)			4,474		4,476,371
Treman Park CLO Ltd., Series 2015-1A, Class AR, 2.53%, 4/20/27 (a)(b)(d)			2,000		2,008,000
Tricon American Homes Trust, Series 2015-SFR1, Class A, 2.42%, 5/17/32 (a)(b)			1,041		1,046,865
U.S. Residential Opportunity Fund II Trust:
Series 2016-1II, Class A, 3.47%, 7/27/36 (b)(c)			1,288		1,280,946
Series 2016-2II, Class A, 3.47%, 8/27/36 (b)(c)			6,326		6,294,579
Series 2016-3II, Class A, 3.60%, 10/27/36 (b)(c)			2,166		2,175,647
U.S. Residential Opportunity Fund III Trust:
Series 2016-1III, Class A, 3.47%, 7/27/36 (b)(c)			7,343		7,392,992
Series 2016-2III, Class A, 3.47%, 8/27/36 (b)(c)			16,534		16,453,055
Series 2016-3III, Class A, 3.60%, 10/27/36 (b)(c)			10,467		10,421,108
U.S. Residential Opportunity Fund IV Trust:
Series 2016-1IV, Class A, 3.47%, 7/27/36 (b)(c)			12,445		12,477,626
Series 2016-2IV, Class A, 3.47%, 8/27/36 (b)(c)			10,006		9,956,851
Series 2016-3IV, Class A, 3.60%, 10/27/36 (b)(c)			5,220		5,243,919
Velocity Commercial Capital Loan Trust:
Series 2017-1, Class AFL, 2.47%, 5/25/47 (a)(b)			4,464		4,501,925
Series 2017-1, Class M1, 3.55%, 5/25/47 (a)(b)			420		427,267
Series 2017-1, Class M2, 4.45%, 5/25/47 (a)(b)			410		410,228


Asset-Backed Securities		Par (000)		Value
Series 2017-1, Class M3, 5.35%, 5/25/47 (a)(b)	USD		410	$	416,942
Venture XIX CLO Ltd.:
Series 2014-19A, Class AR, 2.53%, 1/15/27 (a)(b)(d)			1,020		1,021,913
Series 2014-19A, Class BR, 3.16%, 1/15/27 (a)(b)(d)			1,800		1,804,500
Venture XVII CLO Ltd.:
Series 2014-17A, Class B1, 3.26%, 7/15/26 (a)(b)			1,220		1,220,015
Series 2014-17A, Class B2, 3.26%, 7/15/26 (a)(b)			750		750,009
Series 2014-17A, Class B2R, 0.00%, 7/15/26 (a)(b)			1,970		1,970,000
Venture XVIII CLO Ltd., Series 2014-18A, Class A, 2.61%, 10/15/26 (a)(b)			9,820		9,819,918
Venture XXI CLO Ltd., Series 2015-21A, Class A, 2.65%, 7/15/27 (a)(b)			2,630		2,631,756
Vibrant CLO III Ltd.:
Series 2015-3A, Class A1R, 2.64%, 4/20/26 (a)(b)			1,390		1,392,637
Series 2015-3A, Class A2R, 3.21%, 4/20/26 (a)(b)			710		709,434
Vibrant CLO V Ltd., Series 2016-5A, Class A, 2.71%, 1/20/29 (a)(b)			2,480		2,490,230
VOLT LIX LLC, Series 2017-NPL6, Class A1, 3.25%, 5/25/47 (b)(c)			11,890		11,904,847
VOLT LX LLC, Series 2017-NPL7, Class A1, 3.25%, 4/25/59 (b)(c)			18,000		17,983,926
VOLT LXI LLC, Series 2017-NPL8, Class A1, 3.13%, 6/25/47 (b)(c)(d)			5,560		5,560,000
Voya CLO Ltd.:
Series 2012-2A, Class BR, 3.11%, 10/15/22 (a)(b)			2,470		2,471,066
Series 2012-3A, Class AR, 2.48%, 10/15/22 (a)(b)			849		848,989
Series 2013-3A, Class A1R, 2.21%, 1/18/26 (a)(b)			7,925		7,935,669
Series 2013-3A, Class A2R, 2.66%, 1/18/26 (a)(b)			3,145		3,144,970
Series 2014-3A, Class A1, 2.58%, 7/25/26 (a)(b)			2,480		2,483,366
Series 2014-4A, Class A1, 2.66%, 10/14/26 (a)(b)			4,740		4,740,066
Series 2014-4A, Class A1R, 0.00%, 10/14/26 (a)(b)			4,740		4,740,000
Series 2014-4A, Class BR, 0.00%, 10/14/26 (a)(b)(d)			1,360		1,360,000
Voya Investment Management CLO Ltd., Series 2013-2A, Class A1, 2.31%, 4/25/25 (a)(b)			1,815		1,815,803
Wachovia Asset Securitization Issuance II LLC Trust, Series 2007-HE2A, Class A, 1.35%, 7/25/37 (a)(b)			2,577		2,380,817
Washington Mutual Asset-Backed Certificates, Series 2006-HE4, Class 2A2, 1.40%, 9/25/36 (a)			5,886		2,787,564
Washington Mutual Asset-Backed Certificates Trust:
Series 2006-HE5, Class 1A, 1.37%, 10/25/36 (a)			2,507		2,058,548
Series 2007-HE2, Class 2A2, 1.24%, 2/25/37 (a)			5,981		2,459,417
Wellfleet CLO Ltd., Series 2017-1A, Class A1, 2.43%, 4/20/29 (a)(b)(d)			2,160		2,160,756
West CLO Ltd., Series 2013-1A, Class A1AR, 2.34%, 11/07/25 (a)(b)(d)			10,930		10,930,000
World Financial Network Credit Card Master Trust:
Series 2012-C, Class B, 3.57%, 8/15/22			3,000		3,048,764


Asset-Backed Securities		Par (000)		Value
Series 2012-C, Class C, 4.55%, 8/15/22	USD		5,030	$	5,146,881
Series 2012-D, Class B, 3.34%, 4/17/23			3,551		3,611,474
Series 2012-D, Class M, 3.09%, 4/17/23			2,725		2,765,667
WVUE, Series 2015-1A, Class A, 4.50%, 9/25/20 (b)(c)(d)			1,199		1,225,795
York CLO 1 Ltd., Series 2014-1A, Class CR, 3.50%, 1/22/27 (a)(b)(d)			500		500,020
Total Asset-Backed Securities — 12.4%					1,367,619,402

Common Stocks		Shares		Value
Airlines — 0.1%
Delta Air Lines, Inc. (e)			104,186		5,598,956
United Continental Holdings, Inc. (e)(f)			56,231		4,231,383

					9,830,339
Banks — 0.2%
Bank of America Corp.			260,265		6,314,029
Citigroup, Inc.			100,154		6,698,300
JPMorgan Chase & Co.			65,577		5,993,738
Wells Fargo & Co.			62,412		3,458,249

					22,464,316
Capital Markets — 0.1%
Goldman Sachs Group, Inc.			11,490		2,549,631
Morgan Stanley			45,485		2,026,812

					4,576,443
Diversified Financial Services — 0.0%
Concrete Investment I SCA (d)(f)(g)			11,296		290,289
Concrete Investment I SCA (d)(f)			11,296		—
Concrete Investment II SCA (d)(f)(g)			12,471		—

					290,289
Diversified Telecommunication Services — 0.0%
Telecom Italia SpA (f)			786,112		727,291
Energy Equipment & Services — 0.0%
Vantage Drilling, Co.			311,000		5,598
Health Care Providers & Services — 0.0%
UnitedHealth Group, Inc.			6,008		1,114,003
Internet & Direct Marketing Retail — 0.0%
JD.com, Inc. — ADR			48,868		1,916,603
Metals & Mining — 0.0%
Northern Graphite Corp. (f)			99,612		23,044
United States Steel Corp.			50,000		1,107,000

					1,130,044
Oil, Gas & Consumable Fuels — 0.1%
Concho Resources, Inc. (f)			38,556		4,685,711
Matador Resources Co. (f)(h)			181,588		3,880,536
Pioneer Natural Resources Co.			25,533		4,074,556

					12,640,803
Real Estate Management & Development — 0.0%
Aroundtown Property Holdings PLC			616,059		3,351,471
Semiconductors & Semiconductor Equipment — 0.1%
Micron Technology, Inc.			59,328		1,771,534
ON Semiconductor Corp.			212,496		2,983,444

					4,754,978


Common Stocks		Shares		Value
Thrifts & Mortgage Finance — 0.0%
MGIC Investment Corp.			346,136	$	3,876,723
Total Common Stocks — 0.6%					66,678,901

Corporate Bonds		Par (000)		Value
Aerospace & Defense — 0.4%
BAE Systems Holdings, Inc.:
2.85%, 12/15/20 (b)	USD		1,372		1,390,720
4.75%, 10/07/44 (b)			259		280,579
Huntington Ingalls Industries, Inc., 5.00%, 12/15/21 (b)			1,000		1,035,000
Lockheed Martin Corp.:
3.55%, 1/15/26			1,596		1,653,785
3.60%, 3/01/35			4,194		4,138,161
4.50%, 5/15/36			632		689,249
4.07%, 12/15/42			2,100		2,146,469
4.70%, 5/15/46			1,837		2,064,138
Meccanica Holdings USA, Inc.:
6.25%, 7/15/19 (b)			1,254		1,344,915
7.38%, 7/15/39 (b)			150		180,000
6.25%, 1/15/40 (b)			1,220		1,366,400
Northrop Grumman Corp., 3.85%, 4/15/45			2,310		2,290,765
Safran SA, 0.24%, 6/28/21 (a)	EUR		600		685,840
United Technologies Corp.:
1.78%, 5/04/18 (c)	USD		8,656		8,667,106
4.15%, 5/15/45			2,411		2,496,284
4.05%, 5/04/47			7,250		7,426,219

					37,855,630
Air Freight & Logistics — 0.2%
FedEx Corp.:
4.90%, 1/15/34			2,970		3,305,886
3.90%, 2/01/35			3,049		3,026,376
4.10%, 2/01/45			2,759		2,706,722
4.75%, 11/15/45			4,977		5,374,493
4.55%, 4/01/46			3,298		3,464,308
4.40%, 1/15/47			4,784		4,920,593

					22,798,378
Airlines — 0.4%
American Airlines Group, Inc., 4.63%, 3/01/20 (b)(i)			3,144		3,251,745
American Airlines Pass-Through Trust, Series 2015-1, Class A, 3.38%, 5/01/27			8,163		8,204,163
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd., 8.38%, 5/10/20			1,017		1,017,000
Delta Air Lines, Inc., 2.88%, 3/13/20			23,797		24,108,155
Turkish Airlines Pass-Through Trust, Series 2015-1, Class A, 4.20%, 3/15/27 (b)			1,760		1,682,557
United Airlines Pass-Through Trust, Series 2014-1, Class B, 4.75%, 10/11/23			431		446,133
Virgin Australia Holdings Ltd., 7.88%, 10/15/21			1,200		1,252,500

					39,962,253
Auto Components — 0.1%
Delphi Automotive PLC:
4.25%, 1/15/26			4,053		4,293,047
4.40%, 10/01/46			3,304		3,294,514
Samvardhana Motherson Automotive Systems Group BV, 4.88%, 12/16/21			200		208,000
ZF North America Capital, Inc., 2.75%, 4/27/23	EUR		2,000		2,452,311

					10,247,872


Corporate Bonds		Par (000)		Value
Automobiles — 0.2%
Ford Motor Credit Co. LLC, 3.81%, 1/09/24	USD		20,953	$	21,215,394
Banks — 7.0%
Asian Development Bank, 5.90%, 12/20/22	INR		224,060		3,460,169
Banco Espirito Santo SA:
2.63%, 5/08/17 (f)(j)	EUR		400		137,058
4.75%, 1/15/18 (f)(j)			2,200		753,821
4.00%, 1/21/19 (f)(j)			6,300		2,158,668
Banco Inbursa SA Institucion de Banca Multiple, 4.38%, 4/11/27 (b)	USD		1,405		1,405,281
Bank of America Corp.:
2.25%, 4/21/20			7,485		7,488,054
3.30%, 1/11/23			7,777		7,930,191
3.88%, 8/01/25			13,368		13,829,343
3.50%, 4/19/26			10,681		10,717,379
3.25%, 10/21/27			4,930		4,764,022
4.88%, 4/01/44			901		1,008,743
4.44%, 1/20/48 (a)			11,600		12,269,100
Bankia SA, 4.00%, 5/22/24 (a)	EUR		1,600		1,895,169
Barclays PLC:
2.63%, 11/11/25 (a)			420		493,463
4.84%, 5/09/28	USD		10,430		10,662,485
4.95%, 1/10/47			7,178		7,659,931
BB&T Corp.:
2.45%, 1/15/20			4,200		4,246,918
2.75%, 4/01/22			41,470		42,082,636
BNP Paribas SA:
2.95%, 5/23/22 (b)			15,300		15,452,342
3.80%, 1/10/24 (b)			5,362		5,584,105
BPCE SA, 3.00%, 5/22/22 (b)			9,005		9,083,316
Branch Banking & Trust Co., 2.30%, 10/15/18			1,855		1,866,805
Citigroup, Inc.:
1.80%, 2/05/18			6,961		6,966,276
2.50%, 9/26/18			8,073		8,127,719
2.50%, 7/29/19			10,612		10,707,306
2.90%, 12/08/21			59,540		60,143,319
3.50%, 5/15/23			4,389		4,452,987
3.88%, 3/26/25			4,740		4,769,293
4.13%, 7/25/28			16,343		16,590,171
4.75%, 5/18/46			12,750		13,383,624
Citizens Bank N.A.:
2.30%, 12/03/18			2,754		2,763,920
2.25%, 3/02/20			14,776		14,762,170
2.65%, 5/26/22			15,070		15,029,447
Dah Sing Bank Ltd., 4.25%, 11/30/26 (a)			350		356,804
Fifth Third Bank, 2.25%, 6/14/21			7,204		7,182,950
HSBC Holdings PLC:
2.65%, 1/05/22			26,189		26,128,608
4.04%, 3/13/28 (a)			8,877		9,194,601
ICICI Bank Ltd., 4.00%, 3/18/26			229		231,431
ING Groep NV, 3.95%, 3/29/27			7,837		8,149,250
Intesa Sanpaolo SpA:
6.63%, 9/13/23	EUR		2,575		3,608,976
5.02%, 6/26/24 (b)	USD		28,231		28,630,666
3.93%, 9/15/26	EUR		890		1,074,150
JPMorgan Chase & Co.:
2.20%, 10/22/19	USD		3,691		3,702,800
2.75%, 6/23/20			3,909		3,974,315
2.55%, 10/29/20			7,880		7,946,121
2.97%, 1/15/23			32,480		32,866,350
3.88%, 9/10/24			8,950		9,234,100
3.90%, 7/15/25			4,236		4,417,597
4.25%, 10/01/27			3,750		3,911,629
3.78%, 2/01/28 (a)			18,800		19,225,200
Lloyds Banking Group PLC, 3.75%, 1/11/27			5,024		5,043,915
Mitsubishi UFJ Financial Group, Inc., 3.00%, 2/22/22			12,326		12,509,078


Corporate Bonds		Par (000)		Value
Banks (continued)
Mizuho Financial Group, Inc., 2.95%, 2/28/22	USD		36,366	$	36,679,111
Royal Bank of Scotland Group PLC:
2.65%, 5/15/23 (a)			37,130		37,430,753
3.50%, 5/15/23 (a)			13,525		13,612,710
3.88%, 9/12/23			19,834		20,252,676
Santander UK Group Holdings PLC, 2.88%, 8/05/21			14,289		14,321,850
Sumitomo Mitsui Trust Bank Ltd., 2.05%, 3/06/19 (b)			44,355		44,354,690
U.S. Bancorp:
2.95%, 7/15/22			7,244		7,368,365
3.15%, 4/27/27			3,630		3,636,055
UniCredit SpA:
6.95%, 10/31/22	EUR		200		275,519
5.75%, 10/28/25 (a)			2,840		3,566,293
5.86%, 6/19/32 (a)(b)	USD		14,128		14,505,387
Washington Mutual Bank:
0.00%, 5/01/09 (f)(j)			13,308		2,969,348
0.00%, 11/06/09 (f)(j)			11,911		2,657,642
0.00%, 6/16/10 (f)(j)			3,115		695,034
0.00%, 2/04/11 (f)(j)			2,570		573,431
Wells Fargo & Co.:
2.60%, 7/22/20			4,233		4,292,677
2.55%, 12/07/20			3,376		3,414,716
2.10%, 7/26/21			19,710		19,445,669
3.58%, 5/22/28 (a)			14,255		14,406,545
4.90%, 11/17/45			1,903		2,074,989
4.75%, 12/07/46			10,124		10,809,132
Woori Bank, 4.75%, 4/30/24			1,800		1,884,296
Yamaguchi Financial Group, Inc., 0.80%, 3/26/20 (a)(k)			1,000		1,064,500

					770,325,160
Beverages — 0.5%
Anheuser-Busch InBev Finance, Inc.:
2.65%, 2/01/21			11,072		11,220,453
3.30%, 2/01/23			6,425		6,616,022
4.70%, 2/01/36			2,580		2,839,659
4.90%, 2/01/46			26,463		29,867,227
Anheuser-Busch InBev SA/NV, 2.00%, 3/17/28	EUR		1,400		1,669,666
Anheuser-Busch InBev Worldwide, Inc., 3.75%, 7/15/42	USD		1,513		1,464,366
Central American Bottling Corp., 5.75%, 1/31/27 (b)			634		669,758

					54,347,151
Biotechnology — 0.5%
AbbVie, Inc.:
2.50%, 5/14/20			6,302		6,375,059
2.90%, 11/06/22			5,173		5,221,662
4.50%, 5/14/35			8,973		9,463,240
Amgen, Inc.:
2.13%, 5/01/20			4,058		4,064,050
4.40%, 5/01/45			6,271		6,441,251
Gilead Sciences, Inc.:
2.35%, 2/01/20			1,209		1,220,541
2.50%, 9/01/23			3,486		3,434,358
4.60%, 9/01/35			1,057		1,133,333
4.00%, 9/01/36			16,200		16,109,053
4.50%, 2/01/45			2,446		2,535,621
4.15%, 3/01/47			2,451		2,462,427

					58,460,595
Building Products — 0.1%
CRH America Finance, Inc., 3.40%, 5/09/27 (b)			5,790		5,790,336


Corporate Bonds		Par (000)		Value
Building Products (continued)
Johnson Controls International PLC, 5.13%, 9/14/45	USD		5,000	$	5,749,585
LIXIL Group Corp., 0.00%, 3/04/20 (k)(l)	JPY		60,000		544,121

					12,084,042
Capital Markets — 2.1%
Bagan Capital Ltd., 0.00%, 9/23/21 (k)(l)	USD		1,800		1,897,650
Bank of New York Mellon Corp., 2.05%, 5/03/21			28,042		27,785,332
Credit Suisse AG, 3.00%, 10/29/21			2,841		2,895,098
Credit Suisse Group AG, 4.28%, 1/09/28 (b)			2,313		2,390,904
Credit Suisse Group Funding Guernsey Ltd.:
2.75%, 3/26/20			7,681		7,741,396
4.88%, 5/15/45			2,635		2,900,255
Goldman Sachs Group, Inc.:
2.63%, 1/31/19			10,208		10,311,182
2.00%, 4/25/19			2,308		2,306,998
2.60%, 4/23/20			5,099		5,146,349
2.75%, 9/15/20			2,492		2,522,024
2.63%, 4/25/21			4,993		5,002,906
2.35%, 11/15/21			14,988		14,786,336
3.50%, 1/23/25			3,983		4,026,271
3.75%, 5/22/25			5,768		5,906,380
4.75%, 10/21/45			1,231		1,362,045
Haitong International Securities Group Ltd., 0.00%, 10/25/21 (k)(l)	HKD		12,000		1,554,285
Jefferies Group LLC, 6.50%, 1/20/43	USD		1,239		1,400,195
Lehman Brothers Holdings, Inc., 6.75%, 12/28/17 (d)(f)(j)			7,360		1
Modernland Overseas Pte Ltd., 6.95%, 4/13/24			500		496,950
Moody’s Corp.:
2.75%, 12/15/21			6,246		6,298,429
3.25%, 1/15/28 (b)			8,690		8,556,461
Morgan Stanley:
2.80%, 6/16/20			8,614		8,739,248
2.63%, 11/17/21			35,559		35,506,586
2.75%, 5/19/22			45,310		45,300,213
3.75%, 2/25/23			5,956		6,193,126
3.70%, 10/23/24			6,314		6,479,793
Northern Trust Corp., 3.38%, 5/08/32 (a)			5,200		5,197,754
State Street Corp., 2.65%, 5/19/26			3,056		2,961,930
UBS AG, 4.75%, 5/22/23 (a)			625		637,324
UBS Group Funding Switzerland AG, 4.13%, 9/24/25 (b)			2,534		2,656,227

					228,959,648
Chemicals — 0.2%
Agrium, Inc., 4.13%, 3/15/35 (m)			2,135		2,124,630
Dow Chemical Co.:
4.38%, 11/15/42			1,370		1,415,011
4.63%, 10/01/44			2,072		2,205,377
E.I. du Pont de Nemours & Co., 2.20%, 5/01/20			2,765		2,780,006
Eastman Chemical Co., 4.80%, 9/01/42			2,205		2,366,964
Kansai Paint Co. Ltd.:
0.00%, 6/17/19 (k)(l)	JPY		90,000		880,196
0.00%, 6/17/22 (k)(l)			80,000		758,569
Mitsubishi Chemical Holdings Corp.:
0.00%, 3/30/22 (k)(l)			50,000		460,325
0.00%, 3/29/24 (k)(l)			40,000		373,416
Monsanto Co., 3.60%, 7/15/42	USD		2,845		2,474,587
Rock International Investment, Inc., 6.63%, 3/27/20			475		446,500
Sherwin-Williams Co.:
4.00%, 12/15/42			971		931,872
4.50%, 6/01/47			2,050		2,148,047


Corporate Bonds		Par (000)		Value
Chemicals (continued)
Toray Industries, Inc., 0.00%, 8/30/19 (k)(l)	JPY		50,000	$	507,335

					19,872,835
Commercial Services & Supplies — 0.4%
Aviation Capital Group Corp., 2.88%, 9/17/18 (b)	USD		6,335		6,395,981
Bilbao Luxembourg SA, 10.50% (10.50% Cash or 11.25% PIK), 12/01/18 (n)	EUR		295		345,401
Cia Latinoamericana de Infraestructura & Servicios SA, 9.50%, 7/20/23 (b)	USD		102		105,744
Pitney Bowes, Inc., 3.88%, 5/15/22			29,815		29,807,397
RAG-Stiftung, 0.00%, 12/31/18 (k)(l)	EUR		1,200		1,394,020
Waste Management, Inc., 3.90%, 3/01/35	USD		2,526		2,607,686

					40,656,229
Communications Equipment — 0.0%
Harris Corp., 2.70%, 4/27/20			1,299		1,312,451
Juniper Networks, Inc., 3.30%, 6/15/20			2,728		2,793,666

					4,106,117
Construction & Engineering — 0.0%
China City Construction International Co. Ltd., 5.35%, 7/03/17 (d)(f)(j)	CNH		349		33,468
China Singyes Solar Technologies Holdings Ltd., 7.95%, 2/15/19	USD		550		556,160
GS Engineering & Construction Corp., 4.50%, 7/21/21 (k)			600		637,500
Kandenko Co. Ltd., 0.00%, 3/31/21 (k)(l)	JPY		30,000		309,069
Shimizu Corp., 0.00%, 10/16/20 (k)(l)			50,000		492,332

					2,028,529
Construction Materials — 0.1%
Buzzi Unicem SpA, 2.13%, 4/28/23	EUR		1,000		1,199,223
Cemex Finance LLC, 9.38%, 10/12/22 (b)	USD		697		740,562
LafargeHolcim Finance U.S. LLC, 4.75%, 9/22/46 (b)			6,995		7,276,304
Tecnoglass, Inc., 8.20%, 1/31/22 (b)			988		1,038,635

					10,254,724
Consumer Finance — 1.0%
American Express Credit Corp.:
2.25%, 8/15/19			6,261		6,314,932
3.30%, 5/03/27			2,465		2,462,961
Capital One Bank USA N.A., 2.30%, 6/05/19			1,000		1,000,913
Capital One Financial Corp.:
4.75%, 7/15/21			160		172,627
3.75%, 3/09/27			8,935		8,902,575
Capital One N.A., 2.40%, 9/05/19			650		652,316
Discover Financial Services, 4.10%, 2/09/27			3,062		3,067,291
General Motors Financial Co., Inc.:
2.63%, 7/10/17			6,640		6,640,664
4.75%, 8/15/17			4,115		4,129,028
3.10%, 1/15/19			1,546		1,567,126
3.70%, 11/24/20			4,313		4,462,532
3.20%, 7/06/21			15,382		15,554,894
3.15%, 6/30/22			37,765		37,823,460
4.00%, 1/15/25			6,362		6,389,058
Synchrony Financial:
2.60%, 1/15/19			3,356		3,373,921
2.70%, 2/03/20			1,986		1,996,071
4.50%, 7/23/25			4,007		4,120,598

					108,630,967
Containers & Packaging — 0.1%
Ball Corp., 4.38%, 12/15/23	EUR		300		387,618
Reynolds Group Issuer, Inc., 5.75%, 10/15/20	USD		6,175		6,319,125

					6,706,743


Corporate Bonds		Par (000)		Value
Diversified Consumer Services — 0.0%
Massachusetts Institute of Technology, 3.96%, 7/01/38	USD		1,385	$	1,504,845
Wesleyan University, 4.78%, 7/01/16			2,607		2,549,938

					4,054,783
Diversified Financial Services — 1.4%
ABQ Finance Ltd., 3.50%, 2/22/22			1,700		1,661,580
AerCap Ireland Capital DAC/AerCap Global Aviation Trust:
4.63%, 10/30/20			12,390		13,167,733
3.50%, 5/26/22			14,561		14,943,110
Annington Finance No. 4 PLC, 1.31%, 1/10/23 (a)(d)	GBP		1		827
AYC Finance Ltd., 0.50%, 5/02/19 (k)	USD		600		628,500
BHP Billiton Finance USA Ltd., 5.00%, 9/30/43 (i)			5,540		6,410,827
BP Capital Markets PLC, 3.22%, 4/14/24			14,230		14,370,550
CK Hutchison International 17 Ltd.:
2.88%, 4/05/22			2,550		2,561,120
3.50%, 4/05/27			1,500		1,506,708
Deutsche Telekom International Finance BV, 3.60%, 1/19/27 (b)			3,640		3,703,438
Enel Finance International NV:
2.88%, 5/25/22 (b)			11,450		11,465,881
3.63%, 5/25/27 (b)			12,950		12,824,955
Energuate Trust, 5.88%, 5/03/27 (b)			1,002		1,032,060
Garfunkelux Holdco 3 SA, 8.50%, 11/01/22	GBP		325		452,612
Glencore Funding LLC, 4.00%, 3/27/27 (b)	USD		12,200		12,003,543
Gohl Capital Ltd., 4.25%, 1/24/27			1,100		1,139,794
Hyundai Capital America, 2.55%, 4/03/20 (b)			21,316		21,262,667
Iceland Bondco PLC, 6.75%, 7/15/24	GBP		400		569,772
Jerrold Finco PLC, 6.13%, 1/15/24			1,100		1,451,337
Prime Bloom Holdings Ltd.:
7.50%, 12/19/19	USD		400		404,557
6.95%, 7/05/22			1,320		1,247,400
Radiant Access Ltd., 4.60% (o)			205		199,403
Shell International Finance BV:
4.13%, 5/11/35			7,018		7,306,945
3.63%, 8/21/42			2,135		1,997,246
UBS Group Funding Switzerland AG, 4.25%, 3/23/28 (b)			16,171		16,894,329
Virgin Media Secured Finance PLC, 6.25%, 3/28/29	GBP		1,434		2,021,100
Volcan Holdings PLC, 4.13%, 4/11/20 (k)			2,400		2,711,714
Woodside Finance Ltd., 3.65%, 3/05/25 (b)	USD		562		559,959

					154,499,667
Diversified Telecommunication Services — 1.4%
AT&T Inc.:
0.52%, 9/04/23 (a)	EUR		1,600		1,847,838
3.80%, 3/01/24	USD		6,495		6,641,832
2.35%, 9/04/29	EUR		1,225		1,383,466
3.15%, 9/04/36			1,075		1,210,624
5.25%, 3/01/37	USD		6,954		7,408,632
6.38%, 3/01/41			1,994		2,328,557
4.30%, 12/15/42			1,640		1,522,955
4.75%, 5/15/46			5,672		5,561,986
Bharti Airtel International Netherlands BV, 5.13%, 3/11/23			536		564,135
Dr Peng Holding HongKong Ltd., 5.05%, 6/01/20			430		429,484
Orange SA:
3.38%, 9/16/22	EUR		2,750		3,588,248
1.00%, 5/12/25			600		685,803
5.50%, 2/06/44	USD		2,305		2,751,753
Telecom Italia Capital SA:
6.38%, 11/15/33			709		765,720


Corporate Bonds		Par (000)		Value
Diversified Telecommunication Services — 1.4% (continued)
6.00%, 9/30/34	USD		595	$	629,129
Telecom Italia Finance SA, 7.75%, 1/24/33	EUR		730		1,155,543
Telecom Italia SpA:
1.13%, 3/26/22 (k)			5,200		5,888,412
3.25%, 1/16/23			540		680,403
3.63%, 1/19/24			500		635,363
Telefonica Emisiones SAU:
4.10%, 3/08/27	USD		9,300		9,608,258
5.21%, 3/08/47			3,295		3,557,717
Verizon Communications, Inc.:
1.72%, 5/22/20 (a)			76,860		76,917,645
4.40%, 11/01/34			2,549		2,525,692
3.85%, 11/01/42			2,199		1,917,317
4.86%, 8/21/46			12,137		12,139,063
Ziggo Bond Finance BV, 4.63%, 1/15/25	EUR		255		308,243

					152,653,818
Electric Utilities — 0.5%
1MDB Energy Ltd., 5.99%, 5/11/22	USD		2,000		2,165,150
Baltimore Gas & Electric Co., 3.50%, 8/15/46			2,327		2,218,578
Chugoku Electric Power Co., Inc.:
0.00%, 3/23/18 (k)(l)	JPY		20,000		177,017
0.00%, 3/25/20 (k)(l)			10,000		88,998
Emera U.S. Finance LP:
2.15%, 6/15/19	USD		4,838		4,833,501
2.70%, 6/15/21			7,299		7,310,175
Exelon Corp.:
2.85%, 6/15/20			6,160		6,258,129
2.45%, 4/15/21			1,306		1,302,410
4.95%, 6/15/35			1,409		1,542,538
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, 7/27/23 (b)			1,657		1,810,273
Great Plains Energy, Inc., 3.90%, 4/01/27			11,502		11,635,711
Kyushu Electric Power Co., Inc., 0.00%, 3/31/22 (k)(l)	JPY		30,000		291,131
Pampa Energia SA, 7.50%, 1/24/27 (b)	USD		1,398		1,458,897
Southern California Edison Co., 1.25%, 11/01/17			1,306		1,305,232
Southern Co. Gas Capital Corp., 4.40%, 5/30/47			5,450		5,558,629
Tohoku Electric Power Co., Inc.:
0.00%, 12/03/18 (k)(l)	JPY		10,000		89,353
0.00%, 12/03/20 (k)(l)			110,000		1,004,890
Trans-Allegheny Interstate Line Co., 3.85%, 6/01/25 (b)	USD		6,547		6,789,344

					55,839,956
Electrical Equipment — 0.0%
AE-Rotor Holding BV, 4.97%, 3/28/18			35		34,981
Prysmian SpA, 0.00%, 1/17/22 (k)(l)	EUR		600		708,386

					743,367
Electronic Equipment, Instruments & Components —0.1%
Amphenol Corp., 3.20%, 4/01/24	USD		3,096		3,127,545
TPK Holding Co. Ltd., 0.00%, 4/08/20 (k)(l)			1,750		1,774,063

					4,901,608
Energy Equipment & Services — 0.1%
Halliburton Co., 3.80%, 11/15/25			6,000		6,148,944
Hilong Holding Ltd., 7.25%, 6/22/20			400		382,000
Nabors Industries, Inc., 5.50%, 1/15/23 (b)			2,547		2,413,283
Schlumberger Holdings Corp., 3.00%, 12/21/20 (b)			5,877		5,983,944

					14,928,171


Corporate Bonds		Par (000)		Value
Equity Real Estate Investment Trusts (REITs) — 0.2%
American Tower Corp.:
3.30%, 2/15/21	USD		2,758	$	2,830,050
3.45%, 9/15/21			2,787		2,874,071
3.50%, 1/31/23			783		803,031
5.00%, 2/15/24			785		867,371
4.40%, 2/15/26			541		567,027
Cromwell SPV Finance Property Ltd., 2.00%, 2/04/20 (k)	EUR		800		902,300
Crown Castle International Corp.:
3.40%, 2/15/21	USD		1,628		1,671,709
2.25%, 9/01/21			5,986		5,889,045
Trust F/1401, 6.95%, 1/30/44			700		742,000
Wereldhave NV, 1.00%, 5/22/19 (k)	EUR		600		691,288

					17,837,892
Food & Staples Retailing — 0.1%
Walgreens Boots Alliance, Inc.:
4.80%, 11/18/44	USD		9,857		10,489,366
4.65%, 6/01/46			267		279,465

					10,768,831
Food Products — 0.1%
Arcor SAIC, 6.00%, 7/06/23 (b)			802		852,125
CP Foods Holdings Ltd., 0.50%, 9/22/21 (k)			800		822,000
Ezaki Glico Co. Ltd., 0.00%, 1/30/24 (k)(l)	JPY		10,000		95,466
Japfa Comfeed Indonesia Tbk PT, 5.50%, 3/31/22	USD		200		199,222
Marfrig Holdings Europe BV, 8.00%, 6/08/23 (b)			451		457,855
Minerva Luxembourg SA, 6.50%, 9/20/26 (b)			1,702		1,657,323
Post Holdings, Inc., 6.00%, 12/15/22 (b)			6,191		6,562,460

					10,646,451
Health Care Equipment & Supplies — 0.5%
Abbott Laboratories:
2.80%, 9/15/20			2,980		3,026,554
3.88%, 9/15/25			952		979,159
Becton Dickinson and Co.:
2.13%, 6/06/19			16,315		16,339,782
2.68%, 12/15/19			4,549		4,604,698
2.89%, 6/06/22			11,575		11,611,183
4.69%, 12/15/44			703		723,996
Boston Scientific Corp., 2.65%, 10/01/18			3,738		3,772,319
Medtronic Global Holdings SCA, 3.35%, 4/01/27			12,000		12,233,616
Medtronic, Inc., 4.38%, 3/15/35			694		758,033
Stryker Corp., 4.63%, 3/15/46			2,325		2,540,035

					56,589,375
Health Care Providers & Services — 0.6%
Aetna, Inc.:
4.50%, 5/15/42			2,824		3,050,211
4.13%, 11/15/42			1,329		1,353,151
4.75%, 3/15/44			1,703		1,914,426
Anthem, Inc.:
1.88%, 1/15/18			9,949		9,957,258
2.30%, 7/15/18			14,113		14,192,442
Baylor Scott & White Holdings, 4.19%, 11/15/45			1,525		1,559,148
Catholic Health Initiatives, 4.35%, 11/01/42			1,075		970,251
Cigna Corp., 3.25%, 4/15/25			7,074		7,101,581
HCA, Inc., 3.75%, 3/15/19			6,175		6,298,500
Kaiser Foundation Hospitals, 4.15%, 5/01/47			3,830		3,968,443
Laboratory Corp. of America Holdings, 2.63%, 2/01/20			2,946		2,970,260
New York & Presbyterian Hospital, 3.56%, 8/01/36			1,321		1,282,089


Corporate Bonds		Par (000)		Value
Health Care Providers & Services (continued)
Ochsner Clinic Foundation, 5.90%, 5/15/45	USD		1,305	$	1,621,203
RWJ Barnabas Health, Inc., 3.95%, 7/01/46			848		834,384
Southern Baptist Hospital of Florida, Inc., 4.86%, 7/15/45			1,250		1,390,709
SSM Health Care Corp., 3.82%, 6/01/27			3,553		3,640,944
UnitedHealth Group, Inc.:
2.70%, 7/15/20			1,721		1,757,218
4.63%, 7/15/35			689		774,384
4.20%, 1/15/47			3,410		3,597,202

					68,233,804
Hotels, Restaurants & Leisure — 0.2%
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc., 9.38%, 5/01/22			5,615		6,092,275
HIS Co. Ltd., 0.00%, 8/30/19 (k)(l)	JPY		110,000		1,011,002
McDonald’s Corp.:
4.70%, 12/09/35	USD		1,612		1,779,143
4.88%, 12/09/45			1,005		1,120,439
4.45%, 3/01/47			4,274		4,495,769
Punch Taverns Finance B Ltd., 5.94%, 9/30/22	GBP		915		1,267,156
Punch Taverns Finance PLC:
0.34%, 7/15/21 (a)			52		65,874
Series M3, 5.84%, 10/15/27 (a)			1,145		1,487,584
Resorttrust, Inc., 0.00%, 12/01/21 (k)(l)	JPY		120,000		1,084,508
REXLot Holdings Ltd., 4.50%, 4/17/19 (f)(j)(k)	HKD		1,161		118,948
Stonegate Pub Co. Financing PLC, 4.88%, 3/15/22	GBP		900		1,194,968
Studio City Co. Ltd., 7.25%, 11/30/21	USD		600		651,750
Unique Pub Finance Co. PLC:
Series A4, 5.66%, 6/30/27	GBP		2,368		3,455,818
Series N, 6.46%, 3/30/32			1,273		1,621,736

					25,446,970
Household Durables — 0.1%
Iida Group Holdings Co. Ltd., 0.00%, 6/18/20 (k)(l)	JPY		80,000		729,051
Newell Brands, Inc., 2.88%, 12/01/19	USD		6,986		7,105,908

					7,834,959
Household Products — 0.0%
Unicharm Corp., 0.00%, 9/25/20 (k)(l)	JPY		20,000		219,382
Independent Power and Renewable Electricity Producers — 0.1%
AES Panama SRL, 6.00%, 6/25/22 (b)	USD		527		553,350
China Yangtze Power International BVI 1 Ltd., 0.00%, 11/09/21 (k)(l)			1,600		1,647,200
Genneia SA, 8.75%, 1/20/22 (b)			700		744,324
Inkia Energy Ltd., 8.38%, 4/04/21 (b)			702		725,517
Neerg Energy Ltd., 6.00%, 2/13/22			1,500		1,533,627
Orazul Energy Egenor S en C por A, 5.63%, 4/28/27 (b)			1,497		1,463,318
Stoneway Capital Corp., 10.00%, 3/01/27 (b)			2,115		2,232,002
United Photovoltaics Group Ltd., 8.25%, 1/25/20			207		208,346

					9,107,684
Industrial Conglomerates — 0.1%
Eaton Corp., 2.75%, 11/02/22			3,529		3,548,237
General Electric Co., 4.50%, 3/11/44			8,268		9,185,359
Grupo KUO SAB de CV, 5.75%, 7/07/27			1,493		1,498,599

					14,232,195
Insurance — 0.4%
AG Insurance SA, 3.50%, 6/30/47 (a)	EUR		700		839,482
Allstate Corp., 4.20%, 12/15/46	USD		3,745		3,904,230
American International Group, Inc.:
3.75%, 7/10/25			2,831		2,883,600


Corporate Bonds		Par (000)		Value
Insurance (continued)
3.88%, 1/15/35	USD		2,099	$	2,034,901
4.50%, 7/16/44			2,823		2,870,649
Aon PLC, 4.75%, 5/15/45			5,012		5,422,994
Assicurazioni Generali SpA, 5.50%, 10/27/47 (a)	EUR		1,400		1,780,901
BNP Paribas Cardif SA, 4.03% (a)(o)			700		853,006
China Reinsurance Finance Corp. Ltd., 3.38%, 3/09/22	USD		1,311		1,294,075
CNP Assurances, 4.50%, 6/10/47 (a)	EUR		500		633,295
Credit Agricole Assurances SA, 4.25% (a)(o)			600		731,617
KIRS Midco 3 PLC, 8.38%, 7/15/23	GBP		3,100		3,977,051
Marsh & McLennan Cos., Inc.:
3.75%, 3/14/26	USD		672		699,650
4.35%, 1/30/47			1,476		1,577,401
Principal Financial Group, Inc., 4.30%, 11/15/46			7,100		7,385,874
Qatar Reinsurance Co. Ltd., 4.95% (a)(o)			450		450,000
QBE Insurance Group Ltd., 5.88%, 6/17/46 (a)			450		478,308
Travelers Cos., Inc.:
4.60%, 8/01/43			3,289		3,668,435
4.00%, 5/30/47			4,555		4,659,637
Union Life Insurance Co. Ltd., 3.00%, 9/19/21			1,900		1,813,632
Willis North America, Inc., 3.60%, 5/15/24			760		767,658

					48,726,396
Internet & Direct Marketing Retail — 0.2%
Amazon.com, Inc., 4.95%, 12/05/44			18,300		21,566,312
Ctrip.com International Ltd., 1.25%, 9/15/22 (b)(k)			400		431,250
Netflix, Inc., 3.63%, 5/15/27	EUR		1,372		1,592,497

					23,590,059
Internet Software & Services — 0.0%
Myriad International Holdings BV, 4.85%, 7/06/27	USD		815		815,000
IT Services — 0.2%
DXC Technology Co., 2.88%, 3/27/20 (b)			3,373		3,415,409
Fidelity National Information Services, Inc.:
3.63%, 10/15/20			495		518,534
4.50%, 8/15/46			11,359		11,652,244
Total System Services, Inc., 4.80%, 4/01/26			8,040		8,751,902
Transcosmos, Inc., 0.00%, 12/22/20 (k)(l)	JPY		40,000		360,525
Visa, Inc., 4.15%, 12/14/35	USD		1,919		2,079,160

					26,777,774
Leisure Products — 0.0%
Universal Entertainment Corp., 8.50% (6.00% Cash and 2.50% PIK), 8/24/20 (b)(n)			3,440		3,534,150
Machinery — 0.0%
CMF SpA, 9.00%, 6/15/22	EUR		352		401,057
CRRC Corp Ltd., 0.00%, 2/05/21 (k)(l)	USD		1,250		1,286,563
Haitian International Holdings Ltd., 2.00%, 2/13/19 (k)			750		823,125
Ingersoll-Rand Luxembourg Finance SA, 4.65%, 11/01/44			598		644,898
Zoomlion HK SPV Co. Ltd., 6.13%, 12/20/22			218		219,090

					3,374,733
Media — 1.7%
21st Century Fox America, Inc.:
4.75%, 9/15/44			1,468		1,545,389
4.95%, 10/15/45			425		460,058
Cablevision SA, 6.50%, 6/15/21 (b)			661		700,660
CBS Corp., 2.30%, 8/15/19			4,291		4,319,033
Charter Communications Operating LLC/Charter Communications Operating Capital:
4.46%, 7/23/22			13,691		14,587,295


Corporate Bonds		Par (000)		Value
Media (continued)
4.91%, 7/23/25	USD		2,254	$	2,435,039
3.75%, 2/15/28 (b)			25,160		24,788,714
6.38%, 10/23/35			4,126		4,890,766
6.48%, 10/23/45			21,435		25,726,566
5.38%, 5/01/47			8,340		8,823,253
Comcast Corp.:
3.38%, 8/15/25			5,533		5,676,354
4.25%, 1/15/33			1,265		1,348,199
4.40%, 8/15/35			5,694		6,120,691
3.20%, 7/15/36			9,696		9,074,632
4.75%, 3/01/44			2,388		2,657,313
4.60%, 8/15/45			1,887		2,057,755
3.40%, 7/15/46			2,021		1,840,325
CSC Holdings LLC, 7.63%, 7/15/18			5,615		5,923,825
Discovery Communications LLC, 3.80%, 3/13/24			4,497		4,547,151
Interpublic Group of Cos., Inc., 4.00%, 3/15/22			2,564		2,688,716
ITV PLC, 2.00%, 12/01/23	EUR		3,700		4,301,972
Kakao Corp., 0.00%, 5/11/21 (k)(l)	KRW		1,000,000		891,054
NBCUniversal Media LLC, 4.45%, 1/15/43	USD		3,047		3,234,890
Time Warner Cable LLC:
5.00%, 2/01/20			2,900		3,093,706
4.13%, 2/15/21			5,862		6,129,923
4.00%, 9/01/21			911		952,275
5.50%, 9/01/41			2,025		2,176,197
4.50%, 9/15/42			314		298,768
Time Warner, Inc.:
2.10%, 6/01/19			9,144		9,147,767
3.60%, 7/15/25			2,168		2,163,072
4.85%, 7/15/45			4,515		4,649,023
Unitymedia GmbH, 3.75%, 1/15/27	EUR		1,700		1,980,977
Unitymedia Hessen GmbH & Co. KG/Unitymedia
NRW GmbH:
4.00%, 1/15/25			1,015		1,221,654
4.63%, 2/15/26			300		371,661
3.50%, 1/15/27			1,920		2,260,255
Viacom, Inc.:
2.75%, 12/15/19	USD		1,328		1,343,020
4.50%, 3/01/21			3,389		3,599,464
Virgin Media Receivables Financing Notes I DAC, 5.50%, 9/15/24	GBP		1,100		1,495,391
Ziggo Bond Co. BV, 7.13%, 5/15/24	EUR		2,786		3,567,527

					183,090,330
Metals & Mining — 0.3%
Barrick Gold Corp., 5.25%, 4/01/42	USD		5,990		6,815,422
China Precious Metal Resources Holdings Co. Ltd., 7.25%, 2/04/18 (k)	HKD		4,588		468,989
Fortune Star BVI Ltd., 5.25%, 3/23/22	USD		472		461,953
Newmont Mining Corp.:
3.50%, 3/15/22			6,890		7,125,039
4.88%, 3/15/42			5,045		5,330,734
Nucor Corp., 5.20%, 8/01/43			1,640		1,924,355
Nyrstar NV, 4.25%, 9/25/18 (k)	EUR		700		813,498
Rio Tinto Finance USA PLC, 4.13%, 8/21/42 (i)	USD		3,660		3,776,780
Shougang Corp., 3.38%, 12/09/19			800		804,576
Steel Dynamics, Inc.:
5.13%, 10/01/21			2,954		3,033,699
6.38%, 8/15/22			1,345		1,393,756
Vedanta Resources PLC:
8.25%, 6/07/21			333		363,060
6.38%, 7/30/22			1,500		1,504,800
7.13%, 5/31/23			775		797,126
VM Holding SA, 5.38%, 5/04/27 (b)			1,494		1,508,193

					36,121,980


Corporate Bonds		Par (000)		Value
Multiline Retail — 0.1%
Marks & Spencer PLC, 3.00%, 12/08/23	GBP		750	$	993,010
New Look Secured Issuer PLC, 6.50%, 7/01/22			1,280		1,225,684
Takashimaya Co. Ltd., 0.00%, 12/11/18 (k)(l)	JPY		30,000		267,393
Target Corp., 2.50%, 4/15/26	USD		6,800		6,451,847

					8,937,934
Multi-Utilities — 0.3%
Celeo Redes Operacion Chile SA, 5.20%, 6/22/47 (b)			2,236		2,263,950
Dominion Energy Gas Holdings LLC, 4.60%, 12/15/44			2,822		2,948,753
NiSource Finance Corp., 3.49%, 5/15/27			5,615		5,653,637
Pacific Gas & Electric Co.:
4.75%, 2/15/44			2,305		2,623,323
4.30%, 3/15/45			1,509		1,616,320
Virginia Electric & Power Co.:
3.50%, 3/15/27			7,943		8,167,358
4.45%, 2/15/44			1,674		1,828,857
4.20%, 5/15/45			2,462		2,584,699

					27,686,897
Oil, Gas & Consumable Fuels — 2.2%
Anadarko Petroleum Corp.:
7.95%, 6/15/39			2,217		2,790,850
4.50%, 7/15/44			2,215		2,029,826
Apache Corp., 4.25%, 1/15/44			3,348		3,135,964
Bukit Makmur Mandiri Utama PT, 7.75%, 2/13/22			500		511,456
Bumi Investment Property Ltd., 10.75%, 10/06/17 (f)(j)			1,521		806,130
Canadian Natural Resources Ltd.:
2.95%, 1/15/23			8,175		8,109,853
3.85%, 6/01/27			10,760		10,672,822
Cenovus Energy, Inc., 4.25%, 4/15/27 (b)			12,120		11,545,839
Devon Energy Corp.:
3.25%, 5/15/22			5,698		5,662,917
5.85%, 12/15/25 (i)			7,612		8,650,132
5.60%, 7/15/41			5,533		5,746,458
Enbridge, Inc.:
2.90%, 7/15/22			5,945		5,933,110
3.70%, 7/15/27			4,740		4,736,492
Endeavor Energy Resources LP/EER Finance, Inc., 7.00%, 8/15/21 (b)			6,175		6,391,125
Enercoal Resources Pte Ltd., 6.00%, 4/07/18 (f)(j)(k)			300		129,000
Energy Transfer LP, 6.13%, 12/15/45			6,642		7,189,181
Enterprise Products Operating LLC:
5.10%, 2/15/45			1,248		1,370,444
4.90%, 5/15/46			5,273		5,670,215
EOG Resources, Inc.:
4.15%, 1/15/26			2,601		2,732,819
3.90%, 4/01/35			1,670		1,619,589
Exxon Mobil Corp.:
1.82%, 3/15/19			7,393		7,422,173
4.11%, 3/01/46			4,075		4,298,721
GeoPark Latin America Ltd. Agencia en Chile, 7.50%, 2/11/20 (b)			750		759,375
GNL Quintero SA:
4.63%, 7/31/29 (b)			482		500,075
4.63%, 7/31/29			290		300,875
GS Caltex Corp., 3.00%, 6/12/22			925		918,759
Halcon Resources Corp., 12.00%, 2/15/22 (b)			2,044		2,309,720
Hess Corp., 4.30%, 4/01/27			12,785		12,488,183
Kinder Morgan Energy Partners LP:
3.50%, 3/01/21			12,179		12,471,004
3.95%, 9/01/22			2,176		2,248,228


Corporate Bonds		Par (000)		Value
Oil, Gas & Consumable Fuels (continued)
Kinder Morgan, Inc.:
3.05%, 12/01/19	USD		1,411	$	1,435,515
4.30%, 6/01/25			6,700		6,965,843
5.05%, 2/15/46			3,690		3,705,513
MPLX LP:
4.13%, 3/01/27			6,280		6,301,383
5.20%, 3/01/47			1,844		1,899,091
NGPL PipeCo LLC, 7.12%, 12/15/17 (b)			5,975		6,087,031
Noble Energy, Inc., 5.05%, 11/15/44			2,626		2,696,952
Petro-Canada, 6.80%, 5/15/38 (m)			2,780		3,623,016
Pioneer Natural Resources Co., 4.45%, 1/15/26			1,600		1,682,326
Plains All American Pipeline LP/PAA Finance Corp., 4.65%, 10/15/25			3,700		3,792,463
Resolute Energy Corp., 8.50%, 5/01/20			6,175		6,144,125
Sabine Pass Liquefaction LLC:
5.63%, 4/15/23			4,188		4,655,393
4.20%, 3/15/28 (b)			4,106		4,148,341
Spectra Energy Partners LP, 4.50%, 3/15/45			6,470		6,376,534
Sunoco Logistics Partners Operations LP:
3.90%, 7/15/26			1,019		999,835
5.35%, 5/15/45			1,620		1,587,861
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.50%, 10/15/19			6,175		6,514,625
TransCanada PipeLines Ltd.:
1.88%, 1/12/18			2,030		2,032,718
2.50%, 8/01/22			2,481		2,477,936
Tullow Oil Jersey Ltd., 6.63%, 7/12/21 (k)			1,400		1,466,500
Tullow Oil PLC:
6.00%, 11/01/20 (b)			600		570,000
6.25%, 4/15/22			1,300		1,184,625
6.25%, 4/15/22 (b)			200		182,250
Western Refining Logistics LP/WNRL Finance Corp., 7.50%, 2/15/23			6,175		6,653,563
Williams Partners LP, 4.00%, 9/15/25			22,610		23,026,160

					245,360,934
Paper & Forest Products — 0.1%
Georgia-Pacific LLC, 7.38%, 12/01/25			3,288		4,183,530
Suzano Austria GmbH, 5.75%, 7/14/26 (b)			661		684,135
Suzano Trading Ltd., 5.88%, 1/23/21 (b)			995		1,054,700

					5,922,365
Pharmaceuticals — 0.7%
Allergan Funding SCS:
2.35%, 3/12/18			9,237		9,275,564
3.00%, 3/12/20			21,662		22,121,646
3.80%, 3/15/25			22,467		23,238,719
4.55%, 3/15/35			4,778		5,099,693
4.75%, 3/15/45			3,710		4,004,826
Mylan NV, 5.25%, 6/15/46			1,599		1,749,146
Pfizer, Inc., 4.00%, 12/15/36			7,241		7,649,798
Teva Pharmaceutical Finance Co. BV, 3.65%, 11/10/21			1,237		1,277,363
Teva Pharmaceutical Finance Netherlands III BV, 2.80%, 7/21/23			6,877		6,688,880
United Laboratories International Holdings Ltd., 4.50%, 12/05/21 (k)			400		480,500

					81,586,135
Real Estate Management & Development — 0.1%
Annington Finance No. 5 PLC, 13.00% (13.00% Cash or 13.50% PIK), 1/15/23 (n)	GBP		1,538		2,349,018
China Evergrande Group:
7.00%, 3/23/20	USD		685		694,505
8.25%, 3/23/22			217		221,961
7.50%, 6/28/23			661		640,615


Corporate Bonds		Par (000)		Value
Real Estate Management & Development (continued)
8.75%, 6/28/25	USD		1,003	$	979,662
China Overseas Finance Investment Cayman V Ltd., 0.00%, 1/05/23 (k)(l)			1,400		1,444,100
Ezdan Sukuk Co. Ltd., 4.88%, 4/05/22			262		243,974
Fantasia Holdings Group Co. Ltd., 7.95%, 7/05/22			600		598,854
Future Land Development Holdings Ltd., 5.00%, 2/16/20			400		395,573
FUXIANG Investment Management Ltd., 3.63%, 11/30/19			750		752,417
Kaisa Group Holdings Ltd., 8.50%, 6/30/22			1,014		1,019,272
Logan Property Holdings Co. Ltd., 5.25%, 2/23/23			370		345,620
Shui On Development Holding Ltd., 7.50% (a)(k)(o)			500		537,000
Sun Hung Kai Properties Capital Market Ltd., 4.50%, 2/14/22			720		775,979
Times Property Holdings Ltd., 6.25%, 1/23/20			760		765,786
Yuzhou Properties Co. Ltd., 6.00%, 1/25/22			425		420,966

					12,185,302
Road & Rail — 0.3%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.25%, 3/15/25 (b)			700		658,875
Burlington Northern Santa Fe LLC:
4.15%, 4/01/45			1,419		1,483,309
4.70%, 9/01/45			1,265		1,424,661
4.13%, 6/15/47			4,080		4,290,381
CSX Corp., 4.25%, 11/01/66			3,523		3,472,836
Hertz Corp.:
7.63%, 6/01/22 (b)(i)			825		823,020
5.50%, 10/15/24 (b)			700		574,000
Norfolk Southern Corp., 6.00%, 5/23/11			2,445		2,943,890
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40%, 11/15/26 (b)			7,682		7,548,871
Union Pacific Corp.:
3.38%, 2/01/35			1,864		1,843,427
3.88%, 2/01/55			4,114		3,971,014
Union Pacific Railroad Co. Pass-Through Trust, Series 2014-1, 3.23%, 5/14/26			3,009		3,048,668

					32,082,952
Semiconductors & Semiconductor Equipment — 1.4%
Advanced Semiconductor Engineering, Inc., 0.00%, 3/27/18 (k)(l)			1,000		1,003,750
Analog Devices, Inc.:
3.90%, 12/15/25			680		706,816
3.50%, 12/05/26			12,390		12,486,481
5.30%, 12/15/45			694		794,908
Applied Materials, Inc.:
3.30%, 4/01/27			5,932		6,028,413
4.35%, 4/01/47			3,508		3,723,416
Broadcom Corp./Broadcom Cayman Finance Ltd.:
2.38%, 1/15/20 (b)			36,649		36,702,251
3.00%, 1/15/22 (b)			48,373		48,805,358
3.63%, 1/15/24 (b)			24,993		25,567,789
Lam Research Corp.:
2.75%, 3/15/20			3,359		3,401,760
2.80%, 6/15/21			3,933		3,989,619
Nanya Technology Corp., 0.00%, 1/24/22 (k)(l)			400		464,300
Neo Solar Power Corp., 0.00%, 10/27/19 (k)(l)			500		500,625
QUALCOMM, Inc.:
2.60%, 1/30/23			7,895		7,866,199
4.80%, 5/20/45			2,164		2,375,048
Semiconductor Manufacturing International Corp., 0.00%, 7/07/22 (k)(l)			250		290,375


Corporate Bonds		Par (000)		Value
Semiconductors & Semiconductor Equipment (continued)
Xilinx, Inc., 2.95%, 6/01/24	USD		3,360	$	3,369,059

					158,076,167
Software — 0.7%
Autodesk, Inc., 3.50%, 6/15/27			12,270		12,066,183
Microsoft Corp.:
3.50%, 2/12/35			5,373		5,417,327
3.45%, 8/08/36			7,754		7,758,831
3.70%, 8/08/46			19,358		19,155,477
4.25%, 2/06/47			17,280		18,708,261
Oracle Corp.:
3.25%, 5/15/30			4,289		4,309,819
3.90%, 5/15/35			2,665		2,746,224
4.00%, 7/15/46			5,854		5,911,919
4.38%, 5/15/55			1,651		1,733,756

					77,807,797
Technology Hardware, Storage & Peripherals — 0.9%
Apple Inc.:
3.00%, 2/09/24			7,371		7,482,796
2.85%, 5/11/24			28,560		28,698,373
3.45%, 2/09/45			1,934		1,817,300
4.65%, 2/23/46			25,539		28,627,201
Dell International LLC/EMC Corp.:
5.45%, 6/15/23 (b)			9,670		10,493,594
8.35%, 7/15/46 (b)			6,760		8,724,334
Hewlett Packard Enterprise Co.:
2.85%, 10/05/18			7,345		7,407,844
3.60%, 10/15/20			6,500		6,702,144
HP, Inc., 3.75%, 12/01/20			728		761,969
Proven Glory Capital Ltd.:
3.25%, 2/21/22			1,875		1,882,853
4.00%, 2/21/27			1,050		1,054,334

					103,652,742
Tobacco — 0.0%
Reynolds American, Inc.:
2.30%, 6/12/18			2,460		2,470,713
3.25%, 6/12/20			1,044		1,074,838

					3,545,551
Trading Companies & Distributors — 0.4%
Air Lease Corp.:
2.63%, 7/01/22			11,975		11,868,890
3.00%, 9/15/23			14,602		14,517,995
3.63%, 4/01/27			5,569		5,569,523
GATX Corp.:
2.60%, 3/30/20			2,962		2,992,672
3.85%, 3/30/27			2,336		2,350,974
Iwatani Corp., 0.00%, 10/22/20 (k)(l)	JPY		120,000		1,141,587

					38,441,641
Transportation Infrastructure — 0.1%
Adani Ports & Special Economic Zone Ltd., 3.95%, 1/19/22 (b)	USD		1,100		1,126,103
Aeropuertos Argentina 2000 SA, 6.88%, 2/01/27 (b)			706		730,802
Aeropuertos Dominicanos Siglo XXI SA, 6.75%, 3/30/29 (b)			706		765,134
Rumo Luxembourg S.à r.l., 7.38%, 2/09/24 (b)			2,818		2,894,368
Swissport Investments SA, 9.75%, 12/15/22	EUR		700		890,650
Zhejiang Expressway Co. Ltd., 0.00%, 4/21/22 (k)(l)			1,200		1,420,266

					7,827,323
Wireless Telecommunication Services — 0.2%
Digicel Group Ltd., 8.25%, 9/30/20 (b)	USD		531		496,432


Corporate Bonds		Par (000)		Value
Wireless Telecommunication Services (continued)
Rogers Communications, Inc., 5.00%, 3/15/44	USD		775	$	876,589
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, 3.36%, 9/20/21 (b)			15,980		16,119,825
Vodafone Group PLC:
0.00%, 11/26/20 (k)(l)	GBP		1,700		2,183,177
4.38%, 2/19/43	USD		2,990		2,952,631

					22,628,654
Total Corporate Bonds — 29.1%					3,208,823,996

Floating Rate Loan Interests (a)
Airlines — 0.1%
Gol Luxco SA, Term Loan, 6.50%, 8/31/20			7,462		7,629,895
Capital Markets — 0.7%
LSTAR Securities Financing Vehicle:
Term Loan, 3.56%, 5/10/25 (d)			36,254		35,936,559
Term Loan, 2.00%, 6/16/25			36,740		36,379,948

					72,316,507
Chemicals — 0.1%
Axalta Coating Systems Dutch Holding B BV (Axalta Coating Systems U.S. Holdings, Inc.), Term B-1 Euro Loan, 3.00%, 2/01/23	EUR		995		1,149,761
Chemours Co., Tranche B-1 Euro Term Loan, 3.00%, 5/12/22			998		1,146,178
Jade Germany GmbH, Initial Euro Term Loan, 5.75%, 5/31/23			1,250		1,448,221
MacDermid Agricultural Solutions Holdings BV (Netherlands Agricultural Investment Partners LLC), Euro Tranche C-5 Term Loan, 3.50%, 6/07/23			998		1,146,737
MacDermid European Holdings BV (MacDermid Funding LLC), Euro Tranche C-4 Term Loan, 4.25%, 6/07/20			789		907,228

					5,798,125
Commercial Services & Supplies — 0.0%
Fugue Finance BV, Initial Euro Term Loan, 3.25%, 6/26/24			1,000		1,153,757
Diversified Financial Services — 0.0%
Veritas U.S., Inc., New Euro Term B Loan, 5.50%, 1/27/23			1,670		1,917,857
Diversified Telecommunication Services — 0.0%
Eircom Finco S.à r.l., Facility B, 3.25%, 4/19/24			1,899		2,182,117
Equity Real Estate Investment Trusts (REITs) — 0.0%
Equinix, Inc., Term B-2 Loan, 3.25%, 1/05/24			998		1,149,448
Media — 0.0%
SFR Group SA (Ypso France SAS):
EUR TLB-10 Incremental Term Loan, 3.75%, 1/14/25			172		197,583
EUR TLB-10 Refinancing Term Loan, 3.75%, 1/14/25			823		943,836
EUR TLB-11 Term Loan, 3.00%, 7/31/25			1,500		1,717,511
Springer SBM Two GmbH, Term Loan, 9.00%, 8/16/21 (d)			344		396,541
Springer Science+Business Media Deutschland GMBH (FKA Blitz 13-253 GmbH), Initial Term B11 Loan, 3.75%, 8/14/20			998		1,143,695

					4,399,166


Floating Rate Loan Interests (a)		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	$	2,386,439
Specialty Retail — 0.0%
Intervias Finco Ltd. (FKA Optima Sub-Finco Ltd.), Term Facility D2 (EUR), 4.00%, 1/30/23			1,018		1,173,431
Total Floating Rate Loan Interests — 0.9%					100,106,742

Foreign Agency Obligations
Argentina — 0.0%
Petrobras Argentina SA, 7.38%, 7/21/23 (b)	USD		1,527		1,610,588
YPF SA:
8.88%, 12/19/18 (b)			2,628		2,815,639
8.50%, 3/23/21 (b)			336		373,729

					4,799,956
Australia — 0.0%
SGSP Australia Assets Property Ltd., 3.50%, 7/07/27			515		510,623
Brazil — 0.3%
Petrobras Global Finance BV:
5.75%, 1/20/20			699		725,352
4.88%, 3/17/20			699		713,050
3.75%, 1/14/21	EUR		855		1,010,088
5.38%, 1/27/21	USD		8,330		8,469,111
8.38%, 5/23/21			10,673		11,947,143
6.13%, 1/17/22			747		770,531
4.75%, 1/14/25	EUR		1,600		1,866,176
8.75%, 5/23/26	USD		173		198,950
7.38%, 1/17/27			755		798,790
5.38%, 10/01/29	GBP		185		226,144
6.63%, 1/16/34			130		164,408

					26,889,743
British Virgin Islands — 0.0%
Bluestar Finance Holdings Ltd., 3.50%, 9/30/21	USD		482		482,536
Chile — 0.0%
Empresa de Transporte de Pasajeros Metro SA, 5.00%, 1/25/47 (b)			487		524,518
China — 0.2%
Chang Development International Ltd., 3.63%, 1/20/20			750		746,324
China Railway Construction Corp. Ltd., 1.50%, 12/21/21 (k)	CNH		4,000		579,633
Chinalco Capital Holdings Ltd., 4.25%, 4/21/22	USD		1,025		1,030,231
CNAC HK Synbridge Co. Ltd., 5.00%, 5/05/20			2,857		2,889,141
Dianjian Haiyu Ltd., 3.50% (a)(o)			790		786,192
HeSteel Hong Kong Co. Ltd., 4.25%, 4/07/20			1,100		1,090,319
Huarong Finance 2017 Co. Ltd., 4.75%, 4/27/27			500		512,198
Huarong Finance II Co. Ltd.:
5.50%, 1/16/25			700		752,391
4.63%, 6/03/26			476		483,415
4.88%, 11/22/26			204		211,121
ICBCIL Finance Co. Ltd., 3.38%, 4/05/22			1,785		1,799,166
Jinan West City Investment & Development Group Co. Ltd., 3.13%, 10/11/21			300		289,993


Foreign Agency Obligations		Par (000)		Value
China (continued)
Rongshi International Finance Ltd.:
2.88%, 5/04/22	USD		850	$	848,246
3.63%, 5/04/27			1,635		1,640,927
Shanhai Hong Kong International Investments Ltd., 3.88%, 4/20/20			465		469,069
Sinochem Offshore Capital Co. Ltd., 3.12%, 5/24/22			695		694,921
Sinopec Group Overseas Development 2017 Ltd., 4.25%, 4/12/47			800		812,091
Tewoo Group Finance No. 2 Ltd., 4.50%, 12/16/19			500		505,033
Tewoo Group Finance No. 3 Ltd., 4.63%, 4/06/20			735		747,274

					16,887,685
France — 0.1%
Electricite de France SA, 3.63%, 10/13/25			3,690		3,774,523
NEW Areva SA, 4.88%, 9/23/24	EUR		4,150		5,222,267

					8,996,790
Hong Kong — 0.0%
China Cinda Finance 2015 I Ltd., 4.25%, 4/23/25	USD		1,000		1,014,772
China Cinda Finance 2017 I Ltd., 4.40%, 3/09/27			700		712,074
China Great Wall International Holdings III Ltd., 2.63%, 10/27/21			600		584,226

					2,311,072
India — 0.0%
BPRL International Singapore Pte Ltd., 4.38%, 1/18/27			1,400		1,449,228
Greenko Investment Co., 4.88%, 8/16/23			550		534,961

					1,984,189
Indonesia — 0.0%
Pertamina Persero PT:
5.63%, 5/20/43			1,148		1,188,159
6.45%, 5/30/44			1,890		2,145,199
Perusahaan Gas Negara Persero Tbk, 5.13%, 5/16/24			550		590,663

					3,924,021
Mexico — 0.1%
Petroleos Mexicanos:
4.63%, 9/21/23			526		532,312
6.50%, 3/13/27 (b)			7,519		8,077,286

					8,609,598
Mongolia — 0.0%
Trade & Development Bank of Mongolia LLC, 9.38%, 5/19/20			714		762,199
Panama — 0.0%
Aeropuerto Internacional de Tocumen SA, 5.63%, 5/18/36 (b)			1,806		1,909,845
United Arab Emirates — 0.0%
Abu Dhabi National Energy Co. PJSC, 3.63%, 1/12/23			1,000		1,005,036
Total Foreign Agency Obligations — 0.7%					79,597,811


Foreign Government Obligations		Par (000)		Value
Argentina — 0.4%
Republic of Argentina:
6.25%, 4/22/19	USD		29,130	$	30,513,675
5.63%, 1/26/22			9,806		10,041,344
7.82%, 12/31/33			1,264		1,515,351
7.82%, 12/31/33	EUR		1,061		1,295,615
7.13%, 6/28/17 (b)	USD		2,791		2,532,832

					45,898,817
Brazil — 0.0%
Federative Republic of Brazil, 2.88%, 4/01/21	EUR		3,923		4,612,395
China — 0.0%
People’s Republic of China, 3.30%, 7/04/23	CNH		3,500		490,392
Colombia — 0.3%
Republic of Colombia:
11.75%, 2/25/20	USD		79		97,960
4.38%, 7/12/21			4,841		5,150,824
4.00%, 2/26/24			22,810		23,676,780

					28,925,564
Egypt — 0.1%
Arab Republic of Egypt:
5.75%, 4/29/20			3,857		3,957,552
8.50%, 1/31/47 (b)			3,926		4,232,024

					8,189,576
Hungary — 0.1%
Republic of Hungary, 5.38%, 3/25/24			8,660		9,748,701
Indonesia — 0.2%
Perusahaan Penerbit SBSN Indonesia III:
4.33%, 5/28/25			600		618,780
4.15%, 3/29/27			1,075		1,091,125
Republic of Indonesia:
5.88%, 3/13/20			2,420		2,645,266
8.38%, 3/15/24	IDR		27,857,000		2,269,158
8.38%, 9/15/26			150,531,000		12,458,127
7.00%, 5/15/27			76,458,000		5,808,571
3.75%, 6/14/28	EUR		1,000		1,251,010
9.00%, 3/15/29	IDR		9,286,000		793,479

					26,935,516
Italy — 0.0%
Buoni Poliennali Del Tesoro, 1.25%, 12/01/26	EUR		1,000		1,066,801
Buoni Poliennali del Tesoro, 2.20%, 6/01/27			900		1,033,568

					2,100,369
Kuwait — 0.0%
State of Kuwait, 2.75%, 3/20/22	USD		781		783,734
Lebanon — 0.1%
Lebanese Republic, 6.85%, 3/23/27			4,893		4,926,155
Maldives — 0.0%
Republic of Maldives, 7.00%, 6/07/22			400		401,563


Foreign Government Obligations		Par (000)		Value
Mexico — 1.6%
United Mexican States:
Series M, 4.75%, 6/14/18	MXN		111,900	$	6,042,461
Series M, 5.00%, 12/11/19			2,177,550		115,623,271
5.75%, 3/05/26			138,781		7,138,632
4.15%, 3/28/27	USD		47,039		48,708,885
United Mexican States Inflation Linked Bonds, 3.50%, 12/14/17	MXN		42,672		2,363,330

					179,876,579
Mongolia — 0.0%
Mongolian People’s Republic, 7.50%, 6/30/18	CNH		2,000		292,754

Panama — 0.1%
Republic of Panama, 3.75%, 3/16/25	USD		8,640		8,899,200

Peru — 0.1%
Republic of Peru, 7.35%, 7/21/25			6,920		9,037,520

Philippines — 0.2%
Republic of the Philippines, 5.50%, 3/30/26			14,380		17,274,406

Portugal — 0.0%
Republic of Portugal, 5.13%, 10/15/24			875		892,500

Russia — 0.8%
Russian Federation:
7.50%, 8/18/21	RUB		1,986,728		33,266,535
7.40%, 12/07/22			484,485		8,075,147
7.75%, 9/16/26			636,659		10,806,200
8.15%, 2/03/27			1,448,333		25,550,583
7.05%, 1/19/28			855,680		13,820,012

					91,518,477
South Africa — 0.2%
Republic of South Africa:
5.50%, 3/09/20	USD		4,681		4,961,298
6.25%, 3/31/36	ZAR		328,711		17,737,303

					22,698,601
Sri Lanka — 0.1%
Republic of Sri Lanka:
6.25%, 7/27/21	USD		443		469,202
5.75%, 1/18/22			600		621,148
6.13%, 6/03/25			900		918,476
6.85%, 11/03/25			1,750		1,843,986
6.83%, 7/18/26			900		948,083
6.20%, 5/11/27			675		673,925

					5,474,820
Tunisia — 0.0%
Banque Centrale de Tunisie International Bond, 4.50%, 6/22/20	EUR		1,176		1,398,187
Turkey — 0.6%
Republic of Turkey:
10.50%, 1/15/20	TRY		30,195		8,552,725
7.00%, 6/05/20	USD		6,619		7,237,413
9.20%, 9/22/21	TRY		40,020		10,879,544
11.00%, 3/02/22			82,745		23,964,290
8.80%, 9/27/23			18,730		4,960,047
7.38%, 2/05/25	USD		5,679		6,576,452
6.00%, 3/25/27			4,973		5,295,051

					67,465,522
Uruguay — 0.1%
Republic of Uruguay, 4.38%, 10/27/27			8,100		8,606,250
Total Foreign Government Obligations — 5.0%					546,447,598


Investment Companies		Shares		Value
Energy Select Sector SPDR Fund			115,668	$	7,509,167
Financial Select Sector SPDR Fund			602,179		14,855,756
iShares China Large-Cap ETF (h)			109,307		4,340,581
iShares Core MSCI Emerging Markets ETF (e)(h)(p)			46,287		1,915,819
iShares iBoxx $ High Yield Corporate Bond ETF (h)(p)			1,235,730		109,226,175
iShares U.S. Home Construction ETF (p)			102,570		3,481,226

Total Investment Companies — 1.3%					141,328,724

Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations — 2.0%
Ajax Mortgage Loan Trust:
Series 2015-C, Class A, 3.88%, 3/25/57 (b)(c)	USD		8,074		7,915,434
Series 2016-A, Class A, 4.25%, 8/25/64 (b)(c)			4,114		4,141,922
American Home Mortgage Assets Trust:
Series 2006-3, Class 2A11, 1.67%, 10/25/46 (a)			1,192		1,011,380
Series 2006-4, Class 1A12, 1.43%, 10/25/46 (a)			3,531		2,627,930
Series 2006-5, Class A1, 1.65%, 11/25/46 (a)			4,237		2,243,094
Series 2007-1, Class A1, 1.43%, 2/25/47 (a)			1,000		649,102
Angel Oak Mortgage Trust I LLC, Series 2016-1, Class A1, 3.50%, 7/25/46 (b)(c)			2,390		2,397,551
Angel Oak Mortgage Trust LLC, Series 2015-1, Class A, 4.50%, 11/25/45 (b)(c)			505		505,239
APS Resecuritization Trust:
Series 2016-3, Class 3A, 3.84%, 9/27/46 (a)(b)(d)			8,532		8,617,514
Series 2016-3, Class 4A, 3.59%, 4/27/47 (a)(b)(d)			2,455		2,479,652
Banc of America Funding Trust, Series 2016-R2, Class 1A1, 4.70%, 5/01/33 (a)(b)(d)			1,813		1,838,224
Bear Stearns ALT-A Trust II, Series 2007-1, Class 1A1, 3.31%, 9/25/47 (a)			4,242		3,040,955
Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC9, Class A5, 6.25%, 12/25/35 (c)			368		365,730
Bear Stearns Mortgage Funding Trust:
Series 2007-AR2, Class A1, 1.19%, 3/25/37 (a)			629		532,786
Series 2007-AR3, Class 1A1, 1.16%, 3/25/37 (a)			931		842,158
Series 2007-AR4, Class 1A1, 1.22%, 9/25/47 (a)			3,645		3,225,316
Series 2007-AR4, Class 2A1, 1.23%, 6/25/37 (a)			1,020		869,480
Berica 8 Residential MBS Srl, Series 8, Class A, 0.00%, 3/31/48 (a)	EUR		193		220,053
BlackRock Capital Finance LP, Series 1997-R2, Class AP, 1.48%, 12/25/35 (a)(b)(p)	USD		3		3,126
Citigroup Mortgage Loan Trust, Series 2007-2, Class 2A, 6.00%, 11/25/36			40		41,204
Collateralized Mortgage Obligation Trust, Series 57, Class D, 9.90%, 2/01/19			1		986
COLT LLC, Series 2015-1, Class A1V, 4.02%, 12/26/45 (a)(b)			846		844,980
Countrywide Alternative Loan Trust:
Series 2005-56, Class 4A1, 1.53%, 11/25/35 (a)			2,668		2,325,272


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2005-72, Class A3, 1.52%, 1/25/36 (a)	USD		1,037	$	915,572
Series 2005-76, Class 2A1, 1.73%, 2/25/36 (a)			1,240		1,117,129
Series 2006-15CB, Class A1, 6.50%, 6/25/36			550		434,182
Series 2006-23CB, Class 2A5, 1.62%, 8/25/36 (a)			8,061		3,102,483
Series 2006-OA14, Class 1A1, 2.46%, 11/25/46 (a)			5,218		4,883,401
Series 2006-OA16, Class A4C, 1.56%, 10/25/46 (a)			4,747		2,393,837
Series 2006-OA21, Class A1, 1.40%, 3/20/47 (a)			13,288		11,142,549
Series 2006-OA6, Class 1A2, 1.43%, 7/25/46 (a)			4,782		4,504,239
Series 2006-OA8, Class 1A1, 1.41%, 7/25/46 (a)			743		655,911
Series 2006-OC7, Class 2A3, 1.27%, 7/25/46 (a)			2,636		1,957,679
Series 2007-OA2, Class 1A1, 1.57%, 3/25/47 (a)			9,090		7,009,056
Series 2007-OA3, Class 1A1, 1.36%, 4/25/47 (a)			1,549		1,378,060
Countrywide Home Loan Mortgage Pass-Through Trust:
Series 2004-29, Class 1A1, 1.76%, 2/25/35 (a)			467		443,339
Series 2006-OA4, Class A1, 1.69%, 4/25/46 (a)			1,690		875,165
Credit Suisse Commercial Mortgage Trust:
Series 2014-4R, Class 16A3, 1.19%, 2/27/36 (a)(b)(d)			830		740,542
Series 2014-9R, Class 9A1, 1.11%, 8/27/36 (a)(b)(d)			1,948		1,527,434
Credit Suisse Mortgage Capital Certificates:
Series 2010-20R, Class 9A1, 3.39%, 1/27/36 (a)(b)			2,560		2,563,914
Series 2011-5R, Class 3A1, 3.33%, 9/27/47 (a)(b)			2,045		1,997,081
Series 2013-5R, Class 1A6, 1.24%, 2/27/36 (a)(b)			1,755		1,574,697
Series 2014-11R, Class 16A1, 3.17%, 9/27/47 (a)(b)			2,696		2,700,562
Series 2015-6R, Class 5A1, 1.17%, 3/27/36 (a)(b)			1,151		1,095,277
Series 2015-6R, Class 5A2, 1.17%, 3/27/36 (a)(b)(d)			2,721		1,465,233
Deephaven Residential Mortgage Trust, Series 2016-1A, Class A1, 4.00%, 7/25/46 (b)(d)			3,119		3,163,507
Deutsche Alt-A Securities Mortgage Loan Trust:
Series 2007-OA4, Class 1A1B, 1.35%, 8/25/47 (a)			892		814,444
Series 2007-RMP1, Class A2, 1.17%, 12/25/36 (a)			3,657		3,167,555
Deutsche Alt-A Securities, Inc., Series 2007-RS1, Class A2, 1.72%, 1/27/37 (a)(b)			488		946,871
Deutsche Alt-B Securities Mortgage Loan Trust:
Series 2006-AB3, Class A3, 6.51%, 7/25/36 (a)			810		678,140
Series 2006-AB3, Class A8, 6.36%, 7/25/36 (a)			517		432,454
GreenPoint Mortgage Funding Trust, Series 2006-AR2, Class 4A1, 2.73%, 3/25/36 (a)			1,193		1,050,224
GSMPS Mortgage Loan Trust:
Series 2005-RP1, Class 1AF, 1.57%, 1/25/35 (a)(b)			1,920		1,685,376


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2005-RP2, Class 1AF, 1.57%, 3/25/35 (a)(b)	USD		2,407	$	2,125,573
Series 2006-RP1, Class 1AF1, 1.37%, 1/25/36 (a)(b)			1,821		1,553,023
HomeBanc Mortgage Trust, Series 2005-4, Class A1, 1.49%, 10/25/35 (a)			5,380		5,232,868
Impac CMB Trust, Series 2005-7, Class A1, 1.74%, 11/25/35 (a)			4,504		3,680,219
Impac Secured Assets CMN Owner Trust, Series 2004-3, Class 1A4, 1.82%, 11/25/34 (a)			287		284,344
JPMorgan Alternative Loan Trust:
Series 2007-A1, Class 1A4, 1.43%, 3/25/37 (a)			2,306		1,743,783
Series 2007-A2, Class 2A1, 3.41%, 5/25/37 (a)			574		489,599
JPMorgan Mortgage Trust, Series 2017-2, Class A6, 3.00%, 5/25/47 (a)(b)(d)			9,796		9,884,000
JPMorgan Resecuritization Trust, Series 2015-3, Class 1A7, 1.11%, 6/26/37 (a)(b)(d)			1,775		1,662,103
Lehman XS Trust, Series 2007-20N, Class A1, 2.37%, 12/25/37 (a)			1,566		1,493,499
LSTAR Securities Investment Ltd.:
Series 2016-3, Class A, 3.05%, 9/01/21 (a)(b)			10,385		10,303,193
Series 2017-2, Class A1, 3.05%, 2/01/22 (a)(b)(d)			11,606		11,613,420
Series 2017-3, Class A1, 3.05%, 4/01/19 (a)(b)(d)			13,037		12,956,765
LSTAR Securities Investment Trust, Series 2016-5, Class A1, 3.05%, 11/01/21 (a)(b)(d)			8,127		8,175,037
MASTR Resecuritization Trust, Series 2008-3, Class A1, 1.43%, 8/25/37 (a)(b)(d)			1,952		1,357,305
Merrill Lynch Mortgage Investors Trust, Series 2006-A3, Class 6A1, 3.75%, 5/25/36 (a)			3,083		2,865,157
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3B1, 1.41%, 6/26/47 (a)(b)(d)			1,040		968,717
Mortgage Loan Resecuritization Trust, Series 2009-RS1, Class A85, 1.33%, 4/16/36 (a)(b)			10,656		9,041,915
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AF1, Class 1A4, 6.63%, 5/25/36 (c)			684		321,426
Nomura Resecuritization Trust, Series 2014-3R, Class 3A9, 1.51%, 11/26/35 (a)(b)			1,700		1,543,186
Paragon Mortgages No. 13 PLC, Series 13X, Class A2C, 1.34%, 1/15/39 (a)			393		375,745
RALI Trust:
Series 2006-QO6, Class A2, 1.45%, 6/25/46 (a)			1,587		708,527
Series 2007-QH1, Class A1, 1.38%, 2/25/37 (a)			1,359		1,148,239
Series 2007-QH6, Class A1, 1.41%, 7/25/37 (a)			2,026		1,827,540
Series 2007-QH9, Class A1, 2.09%, 11/25/37 (a)			1,281		1,052,666
RBSSP Resecuritization Trust, Series 2013-2, Class 1A2, 1.22%, 12/26/36 (a)(b)			1,096		1,035,462
Reperforming Loan REMIC Trust:
Series 2005-R2, Class 1AF1, 1.56%, 6/25/35 (a)(b)			819		754,580
Series 2005-R3, Class AF, 1.62%, 9/25/35 (a)(b)			263		230,825
Structured Asset Mortgage Investments II Trust:
Series 2006-AR4, Class 3A1, 1.21%, 6/25/36 (a)			3,950		3,531,195


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Collateralized Mortgage Obligations (continued)
Series 2006-AR5, Class 2A1, 1.43%, 5/25/46 (a)	USD		832	$	647,572
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-RF4, Class 2A1, 6.00%, 10/25/36 (b)			1,654		1,437,689
Thornburg Mortgage Securities Trust, Series 2007-3, Class 4A1, 2.97%, 6/25/47 (a)			1,392		1,235,822
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR15, Class 2A, 2.08%, 11/25/46 (a)			861		816,669
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-4, Class 3A1, 6.50%, 5/25/36 (c)			2,171		1,817,500
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class CRB1, 3.28%, 10/25/35 (a)			1,154		915,400

					217,985,564
Commercial Mortgage-Backed Securities — 4.0%
245 Park Avenue Trust, Series 2017-245P, Class E, 3.78%, 6/05/37 (a)(b)			17,140		16,077,786
Americold LLC, Series 2010-ARTA, Class C, 6.81%, 1/14/29 (b)			700		783,181
AOA Mortgage Trust, Series 2015-1177, Class C, 3.11%, 12/13/21 (a)(b)			1,340		1,342,678
Aventura Mall Trust:
Series 2013-AVM, Class D, 3.87%, 12/05/32 (a)(b)			300		307,917
Series 2013-AVM, Class E, 3.87%, 12/05/32 (a)(b)			4,270		4,364,619
Banc of America Commercial Mortgage Trust:
Series 2007-1, Class AMFX, 5.48%, 1/15/49 (a)			256		255,237
Series 2007-3, Class AJ, 5.87%, 6/10/49 (a)			139		139,742
Series 2007-5, Class AM, 5.77%, 2/10/51 (a)			2,030		2,052,546
Series 2008-1, Class A4, 6.47%, 2/10/51 (a)			258		260,598
Banc of America Merrill Lynch Commercial Mortgage Securities Trust:
Series 2013-DSNY, Class A, 2.04%, 9/15/26 (a)(b)			1,204		1,206,852
Series 2013-DSNY, Class E, 3.59%, 9/15/26 (a)(b)			100		99,985
Series 2013-DSNY, Class F, 4.49%, 9/15/26 (a)(b)			2,303		2,298,039
Series 2015-200P, Class F, 3.72%, 4/14/33 (a)(b)			2,231		2,093,975
Series 2016-ISQ, Class E, 3.73%, 8/14/34 (a)(b)(d)			6,140		5,618,100
Barclays Commercial Mortgage Trust:
Series 2015-SLP, Class D, 4.36%, 2/15/28 (a)(b)			1,410		1,412,152
Series 2015-SRCH, Class A1, 3.31%, 8/10/35 (b)			2,730		2,796,411
Bayview Commercial Asset Trust:
Series 2005-2A, Class A1, 1.53%, 8/25/35 (a)(b)			1,885		1,729,473
Series 2005-4A, Class A1, 1.52%, 1/25/36 (a)(b)			472		434,832
Series 2005-4A, Class A2, 1.61%, 1/25/36 (a)(b)			133		123,207
Series 2005-4A, Class M1, 1.67%, 1/25/36 (a)(b)			354		328,633
Series 2006-1A, Class A2, 1.58%, 4/25/36 (a)(b)			508		463,249


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2006-3A, Class A2, 1.52%, 10/25/36 (a)(b)	USD		623	$	563,818
Series 2007-2A, Class A1, 1.29%, 7/25/37 (a)(b)			1,658		1,555,710
Series 2007-4A, Class A1, 1.67%, 9/25/37 (a)(b)			7,602		6,661,237
Series 2007-5A, Class A3, 2.22%, 10/25/37 (a)(b)			523		505,709
Series 2007-6A, Class A4A, 2.72%, 12/25/37 (a)(b)			1,980		1,331,959
Series 2008-4, Class A3, 3.97%, 7/25/38 (a)(b)			566		589,697
BB-UBS Trust, Series 2012-SHOW, Class E, 4.16%, 11/05/36 (a)(b)			790		773,151
Bear Stearns Commercial Mortgage Securities Trust:
Series 2007-PW17, Class AMFL, 1.68%, 6/11/50 (a)(b)			775		775,094
Series 2007-PW18, Class A1A, 5.60%, 6/11/50			148		148,802
Series 2007-PW18, Class AM, 6.08%, 6/11/50 (a)			2,720		2,750,754
Series 2007-PW18, Class AMA, 6.09%, 6/11/50 (a)			4,033		4,081,929
BHMS Mortgage Trust, Series 2014-ATLS, Class AFL, 2.49%, 7/05/33 (a)(b)			17,814		17,814,289
BLCP Hotel Trust, Series 2014-CLRN, Class B, 2.51%, 8/15/19			2,059		2,060,943
BWAY Mortgage Trust:
Series 2013-1515, Class D, 3.63%, 3/10/33 (b)			1,400		1,387,505
Series 2013-1515, Class F, 4.06%, 3/10/33 (a)(b)			3,720		3,619,628
BXHTL Mortgage Trust:
Series 2015-JWRZ, Class A, 2.39%, 5/15/29 (a)(b)			2,990		2,993,751
Series 2015-JWRZ, Class GL2, 4.85%, 5/15/29 (a)(b)			480		484,055
BXP Trust:
Series 2017-GM, Class A, 3.38%, 6/13/39 (b)(d)			3,050		3,141,256
Series 2017-GM, Class D, 3.42%, 6/13/39 (a)(b)(d)			9,060		8,779,321
Series 2017-GM, Class E, 3.42%, 6/13/39 (a)(b)(d)			2,070		1,948,387
CCRESG Commercial Mortgage Trust, Series 2016-HEAT, Class D, 5.67%, 4/10/29 (a)(b)			560		568,826
CDGJ Commercial Mortgage Trust, Series 2014-BXCH, Class A, 2.56%, 12/15/27 (a)(b)			4,274		4,278,946
CFCRE Mortgage Trust, Series 2015-RUM, Class A, 2.86%, 7/15/30 (a)(b)			1,440		1,442,787
CGBAM Commercial Mortgage Trust:
Series 2015-SMRT, Class E, 3.91%, 4/10/28 (a)(b)			770		773,550
Series 2015-SMRT, Class F, 3.91%, 4/10/28 (a)(b)			230		226,500
CGDB Commercial Mortgage Trust, Series 2017-BIO, Class D, 2.75%, 5/15/30 (a)(b)			147		147,353
CGGS Commercial Mortgage Trust, Series 2016-RNDA, Class AFX, 2.76%, 2/10/33 (b)			2,633		2,638,228
Chicago Skyscraper Trust:
Series 2017-SKY, Class D, 3.66%, 2/15/30 (a)(b)			1,580		1,599,777


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2017-SKY, Class E, 4.46%, 2/15/30 (a)(b)	USD		3,390	$	3,432,436
Series 2017-SKY, Class F, 5.26%, 2/15/30 (a)(b)			420		425,257
Citigroup Commercial Mortgage Trust:
Series 2013-375P, Class D, 3.63%, 5/10/35 (a)(b)			240		239,280
Series 2013-375P, Class E, 3.63%, 5/10/35 (a)(b)			1,115		1,083,709
Series 2013-GC11, Class D, 4.60%, 4/10/46 (a)(b)			1,125		1,043,812
Series 2014-GC21, Class C, 4.78%, 5/10/47 (a)			1,207		1,236,423
Series 2015-SHP2, Class F, 6.36%, 7/15/27 (a)(b)			370		371,041
Series 2015-SSHP, Class A, 2.31%, 9/15/27 (a)(b)			4,370		4,371,303
Series 2016-C1, Class C, 5.12%, 5/10/49 (a)			1,290		1,306,842
Series 2016-GC37, Class C, 5.09%, 4/10/49 (a)			640		658,148
Series 2016-GC37, Class D, 2.79%, 4/10/49 (b)			3,050		2,132,448
Series 2016-P3, Class C, 5.00%, 4/15/49 (a)			120		126,553
Series 2016-SMPL, Class D, 3.52%, 9/10/31 (b)			320		318,975
Series 2016-SMPL, Class E, 4.51%, 9/10/31 (b)			620		621,045
Series 2017-P7, Class A4, 3.71%, 4/14/50			2,530		2,641,009
Citigroup/Deutsche Bank Commercial Mortgage Trust:
Series 2007-CD5, Class AMA, 6.51%, 11/15/44 (a)			4,308		4,344,023
Series 2017-CD3, Class A4, 3.63%, 2/10/50			850		884,835
Citigroup/Deutsche Bank Mortgage Trust, Series 2006-CD3, Class AM, 5.65%, 10/15/48			5,435		5,537,462
CLNS Trust, Series 2017-IKPR, Class E, 4.50%, 6/11/32 (a)(b)			3,560		3,573,296
COBALT CMBS Commercial Mortgage Trust, Series 2007-C3, Class AM, 6.06%, 5/15/46 (a)			209		210,636
Commercial Mortgage Pass-Through Certificates:
Series 2005-C6, Class F, 5.83%, 6/10/44 (a)(b)			470		487,100
Series 2007-C9, Class AJFL, 1.68%, 12/10/49 (a)(b)			2,892		2,890,154
Series 2007-GG11, Class AM, 5.87%, 12/10/49 (a)			600		601,615
Series 2013-GAM, Class A2, 3.37%, 2/10/28 (b)			1,656		1,691,988
Series 2013-WWP, Class D, 3.90%, 3/10/31 (b)			2,090		2,107,809
Series 2014-CR14, Class A4, 4.24%, 2/10/47 (a)			855		918,718
Series 2014-CR16, Class A4, 4.05%, 4/10/47			4,806		5,119,602
Series 2014-CR17, Class A5, 3.98%, 5/10/47			7,062		7,493,475
Series 2014-CR18, Class A4, 3.55%, 5/15/24			390		402,940
Series 2014-CR18, Class C, 4.89%, 7/15/47 (a)			2,974		3,079,656
Series 2014-CR19, Class A5, 3.80%, 8/10/24			1,391		1,460,283


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2014-CR21, Class C, 4.56%, 12/10/24 (a)	USD		1,010	$	1,006,534
Series 2014-FL4, Class D, 2.60%, 7/13/31 (a)(b)			660		652,193
Series 2014-LC15, Class A4, 4.01%, 4/10/47			1,020		1,083,400
Series 2014-PAT, Class A, 1.79%, 8/13/27 (a)(b)			2,788		2,788,875
Series 2014-PAT, Class E, 4.14%, 8/13/27 (a)(b)			540		542,194
Series 2014-TWC, Class A, 1.98%, 2/13/17 (a)(b)			1,715		1,718,206
Series 2014-TWC, Class B, 2.83%, 2/13/32 (a)(b)			3,190		3,200,932
Series 2015-CR23, Class CMD, 3.81%, 5/10/48 (a)(b)			2,890		2,828,075
Series 2015-CR25, Class C, 4.70%, 8/10/48 (a)			1,740		1,753,171
Series 2015-CR25, Class D, 3.95%, 8/10/48 (a)			790		628,921
Series 2015-LC19, Class D, 2.87%, 2/10/48 (b)			2,280		1,836,182
Series 2015-LC21, Class C, 4.46%, 7/10/48 (a)			1,600		1,526,748
Series 2016-667M, Class D, 3.28%, 10/10/36 (a)(b)			630		570,084
Core Industrial Trust:
Series 2015-CALW, Class G, 3.98%, 2/10/34 (a)(b)			1,971		1,922,036
Series 2015-TEXW, Class A, 3.08%, 2/10/34 (b)			2,970		3,046,990
Series 2015-TEXW, Class D, 3.98%, 2/10/34 (a)(b)			1,330		1,350,651
Series 2015-TEXW, Class E, 3.98%, 2/10/34 (a)(b)			250		247,532
Series 2015-TEXW, Class F, 3.98%, 2/10/34 (a)(b)			5,869		5,652,359
Cosmopolitan Hotel Trust, Series 2016-CSMO, Class A, 2.56%, 11/15/33 (a)(b)			4,990		5,027,492
Countrywide Commercial Mortgage Trust, Series 2007-MF1, Class A, 6.48%, 11/12/43 (a)(b)			343		343,511
Credit Suisse Commercial Mortgage Trust:
Series 2007-C4, Class A1AM, 6.25%, 9/15/39 (a)			156		155,518
Series 2008-C1, Class A3, 6.52%, 2/15/41 (a)			1,412		1,414,474
Series 2014-TIKI, Class E, 4.31%, 9/15/38 (a)(b)			730		726,358
Series 2015-DEAL, Class A, 2.48%, 4/15/29 (a)(b)			5,251		5,267,735
Credit Suisse Mortgage Capital Certificates:
Series 17-1, Class A, 4.50%, 3/25/21 (b)			23,766		23,782,187
Series 17-1, Class CERT, 8.75%, 3/25/21 (b)(d)			13,452		9,719,128
Series 2010-RR1, Class 2A, 5.70%, 9/15/40 (a)(b)			102		101,607
Series 2014-TIKI, Class D, 3.41%, 9/15/38 (a)(b)			560		556,508
Series 2015-DEAL, Class D, 4.26%, 4/15/29 (a)(b)			1,205		1,211,008
Series 2015-GLPB, Class A, 3.64%, 11/15/34 (b)			2,730		2,865,399
Series 2016-MFF, Class A, 2.76%, 11/15/33 (a)(b)			690		692,151
Series 2017-CHOP, Class E, 4.30%, 7/15/32 (a)(b)(d)			2,133		2,133,000
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class A4, 3.39%, 6/15/50 (d)			1,320		1,346,873


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Deutsche Bank JPMorgan Mortgage Trust, Series 2016-C3, Class D, 3.64%, 9/10/49 (a)(b)	USD		3,608	$	2,901,548
Eleven Madison Trust Mortgage Trust, Series 2015-11MD, Class A, 3.55%, 9/10/35 (a)(b)			1,190		1,234,985
FREMF Mortgage Trust:
Series 2017-K64, Class B, 4.12%, 3/25/27 (a)(b)			2,346		2,360,975
Series 2017-K725, Class B, 3.88%, 2/25/24 (a)(b)			4,620		4,618,456
GAHR Commercial Mortgage Trust:
Series 2015-NRF, Class AFL1, 2.29%, 12/15/34 (a)(b)			610		610,999
Series 2015-NRF, Class EFX, 3.49%, 12/15/34 (a)(b)			2,571		2,563,381
Series 2015-NRF, Class FFX, 3.49%, 12/15/34 (a)(b)			4,750		4,697,609
Series 2015-NRF, Class GFX, 3.49%, 12/15/34 (a)(b)			4,082		3,926,562
GS Mortgage Securities Trust:
Series 2010-C1, Class A1, 3.68%, 8/10/43 (b)			555		566,832
Series 2014-GC20, Class B, 4.53%, 4/10/47 (a)			140		144,320
Series 2014-GC22, Class D, 4.80%, 6/10/47 (a)(b)			240		203,239
Series 2014-GC24, Class A5, 3.93%, 9/10/47			882		933,815
Series 2015-GC32, Class C, 4.56%, 7/10/25 (a)			1,370		1,359,341
Series 2015-GC32, Class D, 3.35%, 7/10/48			1,240		982,553
Series 2016-RENT, Class C, 4.20%, 2/10/29 (a)(b)			1,850		1,917,379
HMH Trust, Series 2017-NSS, Class A, 3.06%, 6/05/22 (b)(d)			3,390		3,424,165
Hudson Yards Mortgage Trust,
Series 2016-10HY, Class A, 2.84%, 8/10/38 (b)			760		741,578
Impac CMB Trust:
Series 2004-11, Class 1A2, 1.74%, 3/25/35 (a)			2,299		2,006,482
Series 2005-6, Class 1A1, 1.72%, 10/25/35 (a)			1,590		1,373,456
IMT Trust:
Series 2017-APTS, Class AFX, 3.48%, 6/15/34 (a)(b)			1,540		1,586,112
Series 2017-APTS, Class DFX, 3.61%, 6/15/34 (a)(b)			1,600		1,560,640
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C26, Class A4, 3.49%, 1/15/48			1,247		1,284,059
Series 2015-C28, Class B, 3.99%, 3/15/25 (a)			3,000		2,936,510
Series 2015-C33, Class D1, 4.27%, 12/15/48 (a)(b)			1,873		1,768,842
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2017-JP5, Class D, 4.80%, 3/15/50 (a)(b)			1,650		1,605,229
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2007-CB20, Class AM, 6.24%, 2/12/51 (a)			857		861,880
Series 2008-C2, Class A4FL, 2.62%, 2/12/51 (a)			1,967		1,882,413
Series 2014-C21, Class A5, 3.77%, 6/15/24			1,420		1,492,607


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2014-C22, Class A4, 3.80%, 9/15/47	USD		563	$	589,216
Series 2014-C22, Class D, 4.71%, 9/15/47 (a)(b)			800		663,455
Series 2014-CBM, Class E, 5.01%, 10/15/29 (a)(b)			670		672,085
Series 2014-DSTY, Class A, 3.43%, 6/10/27 (b)			885		899,730
Series 2014-DSTY, Class D, 3.93%, 6/10/27 (a)(b)			1,780		1,696,652
Series 2014-FL6, Class A, 2.56%, 11/15/31 (a)(b)			579		579,939
Series 2015-JP1, Class C, 4.90%, 1/15/49 (a)			4,710		4,933,464
Series 2015-SGP, Class A, 2.86%, 7/15/36 (a)(b)			6,206		6,242,737
Series 2015-UES, Class C, 3.74%, 9/05/32 (a)(b)			3,431		3,513,634
Series 2015-UES, Class E, 3.74%, 9/05/32 (a)(b)			3,880		3,854,195
Series 2016-ATRM, Class D, 5.35%, 10/05/28 (b)			1,470		1,488,921
Series 2016-NINE, Class A, 2.85%, 10/06/38 (a)(b)			4,650		4,559,486
Series 2016-WPT, Class A, 2.61%, 10/15/33 (a)(b)			2,200		2,208,242
JPMorgan Commercial Mortgage-Backed Securities Trust, Series 2009-RR1, Class A4B, 5.83%, 3/18/51 (a)(b)			57		56,558
LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A1A, 5.68%, 9/15/45 (a)			335		338,381
Lehman Brothers Small Balance Commercial Mortgage Trust:
Series 2006-2A, Class M2, 1.61%, 9/25/36 (a)(b)			670		591,848
Series 2007-1A, Class 1A, 1.47%, 3/25/37 (a)(b)			2,131		1,978,047
Lone Star Portfolio Trust:
Series 2015-LSP, Class A1A2, 2.96%, 9/15/28 (a)(b)			681		683,549
Series 2015-LSP, Class D, 5.16%, 9/15/28 (a)(b)			691		703,123
Series 2015-LSP, Class E, 6.76%, 9/15/28 (a)(b)			1,007		1,026,179
Merrill Lynch Mortgage Investors Trust, Series 1998-C3, Class G, 6.00%, 12/15/30 (b)			1,922		1,912,530
Merrill Lynch Mortgage Trust:
Series 2005-MKB2, Class F, 6.53%, 9/12/42 (a)(b)			1,350		1,465,943
Series 2008-C1, Class AJ, 6.54%, 2/12/51 (a)			720		726,475
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, 5.86%, 9/12/49 (a)			1,890		1,904,399
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C16, Class A5, 3.89%, 6/15/47			2,530		2,676,293
Series 2015-C23, Class D, 4.27%, 7/15/50 (a)(b)			970		824,779
Series 2015-C24, Class A4, 3.73%, 5/15/48			840		879,245
Series 2015-C25, Class C, 4.68%, 10/15/48 (a)			1,990		2,052,311
Series 2015-C25, Class D, 3.07%, 10/15/48			1,269		1,017,402


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series 2015-C26, Class A5, 3.53%, 10/15/48	USD		810	$	836,325
Series 2015-C26, Class D, 3.06%, 10/15/48 (b)			1,935		1,517,465
Series 2017-C33, Class C, 4.56%, 5/15/50 (a)			840		870,795
Morgan Stanley Capital I Trust:
Series 2007-IQ16, Class A4, 5.81%, 12/12/49			1,657		1,661,457
Series 2008-T29, Class A4, 6.50%, 1/11/43 (a)			1,176		1,193,083
Series 2014-CPT, Class G, 3.56%, 7/13/29 (a)(b)			1,290		1,264,864
Series 2015-MS1, Class C, 4.16%, 5/15/48 (a)			560		533,838
Series 2015-XLF2, Class AFSB, 3.88%, 8/15/26 (a)(b)			600		600,000
Series 2017-H1, Class A5, 3.53%, 6/15/50			1,090		1,121,980
Series 2017-H1, Class C, 4.28%, 6/15/50 (a)(d)			950		959,443
Series 2017-H1, Class D, 2.55%, 6/15/50 (b)			4,190		3,179,372
Series 2017-PRME, Class D, 4.56%, 2/15/34 (a)(b)			700		701,565
Morgan Stanley Re-REMIC Trust, Series 2012-XA, Class A, 2.00%, 7/27/49 (b)			158		158,466
Olympic Tower Mortgage Trust:
Series 2017-OT, Class D, 4.08%, 5/10/27 (a)(b)			3,010		3,011,137
Series 2017-OT, Class E, 4.08%, 5/10/39 (a)(b)			5,660		5,401,854
RAIT Trust:
Series 2017-FL7, Class A, 2.10%, 6/15/37 (a)(b)			3,530		3,530,000
Series 2017-FL7, Class C, 3.65%, 6/15/37 (a)(b)			550		550,000
Resource Capital Corp. Ltd.:
Series 2014-CRE2, Class A, 2.05%, 4/15/32 (a)(b)			297		296,911
Series 2017-CRE5, Class A, 1.89%, 7/15/34 (a)(b)			3,120		3,120,000
Series 2017-CRE5, Class B, 3.09%, 7/15/34 (a)(b)(d)			990		990,000
STRIPs Ltd., Series 2012-1A, Class B, 0.50%, 12/25/44 (b)(d)			2,053		2,014,466
Velocity Commercial Capital Loan Trust:
Series 2015-1, Class AFL, 3.65%, 6/25/45 (a)(b)(d)			1,880		1,889,083
Series 2016-2, Class AFL, 3.02%, 10/25/46 (a)			1,396		1,412,580
Series 2016-2, Class M1, 3.66%, 10/25/46 (a)			360		364,950
Series 2016-2, Class M2, 4.46%, 10/25/46 (a)			200		206,625
Series 2016-2, Class M3, 5.50%, 10/25/46 (a)(d)			340		346,178
Series 2016-2, Class M4, 7.23%, 10/25/46 (a)(d)			370		385,559
VNDO Trust, Series 2016-350P, Class E, 4.03%, 1/10/35 (a)(b)			2,300		2,159,585
Wachovia Bank Commercial Mortgage Trust:
Series 2006-C28, Class AJ, 5.63%, 10/15/48 (a)			207		207,595
Series 2007-C32, Class AMFL, 1.39%, 6/15/49 (a)(b)			765		765,255
Series 2007-C32, Class AMFX, 5.70%, 6/15/49 (b)			1,401		1,400,977


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 2.51%, 6/15/29 (a)(b)	USD		3,870	$	3,881,989
WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR13, Class 2A, 2.15%, 10/25/46 (a)			6,180		5,836,578
Wells Fargo Commercial Mortgage Trust:
Series 2014-TISH, Class SCH1, 3.91%, 1/15/27 (a)(b)			8,224		8,108,358
Series 2015-C27, Class C, 3.89%, 2/15/48			1,402		1,300,750
Series 2015-C31, Class A4, 3.70%, 11/15/48			130		135,478
Series 2015-C31, Class D, 3.85%, 11/15/48			720		547,633
Series 2015-NXS2, Class A5, 3.77%, 6/15/25 (a)			3,050		3,195,440
Series 2015-NXS4, Class D, 3.75%, 12/15/48 (a)			320		283,896
Series 2017-C38, Class A5, 3.45%, 7/15/50			1,261		1,298,727
WF-RBS Commercial Mortgage Trust:
Series 2014-C21, Class A5, 3.68%, 7/15/24			1,515		1,579,582
Series 2014-C21, Class C, 4.23%, 8/15/47 (a)			190		185,872

					437,632,575
Interest Only Commercial Mortgage-Backed Securities — 0.3%
245 Park Avenue Trust, Series 2017-245P, Class XA, 0.27%, 6/05/37 (a)(b)(d)			13,000		217,100
Banc of America Commercial Mortgage Trust:
Series 2015-UBS7, Class XA, 1.06%, 9/15/48 (a)			1,191		66,617
Series 2017-BNK3, Class XB, 0.78%, 2/15/50 (a)			23,000		1,207,960
Series 2017-BNK3, Class XD, 1.44%, 2/15/50 (a)(b)			5,000		468,900
Barclays Commercial Mortgage Trust, Series 2015-SRCH, Class XA, 1.12%, 8/10/35 (a)(b)			17,710		1,267,150
CFCRE Commercial Mortgage Trust:
Series 2016-C3, Class XD, 1.86%, 1/10/48 (a)(b)			5,497		629,187
Series 2016-C4, Class XA, 1.92%, 5/10/58 (a)			6,266		711,455
Series 2016-C4, Class XB, 0.89%, 5/10/58 (a)			5,810		320,073
Citigroup Commercial Mortgage Trust:
Series 2014-GC25, Class XE, 1.38%, 10/10/47 (a)(b)			2,760		191,718
Series 2016-P3, Class XA, 1.87%, 4/15/49 (a)			8,625		932,233
Citigroup/Deutsche Bank Mortgage Trust, Series 2017-CD3, Class XA, 1.20%, 2/10/50 (a)			11,861		920,217
Commercial Mortgage Pass-Through Certificates:
Series 2013-CR6, Class XA, 1.59%, 3/10/46 (a)			28,589		970,948
Series 2015-3BP, Class XA, 0.17%, 2/10/35 (a)(b)			150,000		1,027,500
Series 2015-CR23, Class XA, 1.13%, 5/10/48 (a)			29,284		1,507,154
Series 2015-CR25, Class XA, 1.11%, 8/10/48 (a)			23,763		1,388,761
Series 2016-DC2, Class XA, 1.22%, 2/10/49 (a)			11,100		745,794
Core Industrial Trust:
Series 2015-TEXW, Class XA, 0.90%, 2/10/34 (a)(b)			12,909		409,643


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2015-WEST, Class XA, 1.08%, 2/10/37 (a)(b)	USD		9,900	$	594,671
CSAIL Commercial Mortgage Trust, Series 2016-C5, Class XA, 1.20%, 11/15/48 (a)			7,096		424,536
Deutsche Bank JPMorgan Mortgage Trust, Series 2017-C6, Class XD, 1.00%, 6/10/50 (a)(b)(d)			5,780		442,531
FREMF Mortgage Trust, Series 2015-K718, Class X2A, 0.10%, 2/25/22 (a)(b)			94,128		350,044
GS Mortgage Securities Trust:
Series 2016-GS3, Class XA, 1.40%, 10/10/49 (a)			4,942		426,851
Series 2017-GS5, Class XA, 0.97%, 3/10/50 (a)			7,696		506,324
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C23, Class XA, 0.98%, 9/15/47 (a)			59,459		1,980,116
Series 2015-C29, Class XA, 1.08%, 5/15/48 (a)			3,044		112,890
Series 2016-C1, Class XA, 1.55%, 3/15/49 (a)			18,065		1,504,048
JPMDB Commercial Mortgage Securities Trust, Series 2016-C4, Class XC, 0.75%, 12/15/49 (a)(b)(d)			4,940		250,458
JPMorgan Chase Commercial Mortgage Securities Trust:
Series 2013-LC11, Class XB, 0.75%, 4/15/46 (a)			4,570		130,206
Series 2014-C22, Class XA, 1.09%, 9/15/47 (a)			4,045		203,774
Series 2015-C27, Class XA, 1.50%, 2/15/48 (a)			37,460		2,505,712
Series 2016-JP3, Class XC, 0.75%, 8/15/49 (a)(b)			13,040		573,238
Series 2016-JP4, Class XA, 0.96%, 12/15/49 (a)			2,990		143,827
LSTAR Commercial Mortgage Trust, Series 2017-5, Class X, 1.39%, 3/10/50 (a)(b)			3,997		225,526
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2014-C19, Class XF, 1.34%, 12/15/47 (a)(b)(d)			4,370		277,338
Series 2015-C22, Class XA, 1.30%, 4/15/48 (a)			3,057		190,827
Series 2015-C26, Class XA, 1.26%, 10/15/48 (a)			12,139		823,536
Series 2015-C26, Class XD, 1.50%, 10/15/48 (a)(b)			4,490		427,268
Series 2016-C28, Class XA, 1.44%, 1/15/49 (a)			4,084		328,964
Series 2016-C29, Class XA, 1.81%, 5/15/49 (a)			7,830		825,644
Series 2016-C29, Class XB, 1.12%, 5/15/49 (a)			9,126		685,322
Series 2016-C31, Class XA, 1.61%, 11/15/49 (a)			2,654		254,216
Morgan Stanley Capital I Trust:
Series 2016-UBS9, Class XD, 1.70%, 3/15/49 (a)(b)			13,984		1,479,228
Series 2017-H1, Class XD, 2.20%, 6/15/50 (a)(b)			3,293		529,778
Olympic Tower Mortgage Trust, Series 2017-OT, Class XA, 0.51%, 5/10/39 (a)(b)(d)			36,697		1,272,927
One Market Plaza Trust:
Series 2017-1MKT, Class XCP, 0.22%, 2/10/32 (a)(b)			53,230		335,349


Non-Agency Mortgage-Backed Securities		Par (000)		Value
Interest Only Commercial Mortgage-Backed Securities (continued)
Series 2017-1MKT, Class XNCP, 0.00%, 2/10/32 (a)(b)	USD		10,646	$	—
UBS Commercial Mortgage Trust, Series 2017-C1, Class XA, 1.62%, 6/15/50 (a)			8,672		1,011,959
WaMu Commercial Mortgage Securities Trust, Series 2005-C1A, Class X, 1.14%, 5/25/36 (a)(b)			84		428
Wells Fargo Commercial Mortgage Trust:
Series 2015-C27, Class XA, 1.12%, 2/15/48 (a)			17,078		942,417
Series 2015-C30, Class XA, 1.15%, 9/15/58 (a)			3,516		214,056
Series 2015-NXS1, Class XB, 0.49%, 5/15/48 (a)			3,210		105,988
Series 2015-NXS4, Class XA, 1.09%, 12/15/48 (a)			3,228		189,031
Series 2016-BNK1, Class XB, 1.48%, 8/15/49 (a)			6,800		692,512
Series 2016-BNK1, Class XD, 1.41%, 8/15/49 (a)(b)			3,420		303,970
Series 2016-C33, 1.97%, 3/15/59 (a)			16,224		1,759,778
Series 2016-LC25, Class XA, 1.24%, 12/15/59 (a)			12,345		839,045
WF-RBS Commercial Mortgage Trust, Series 2014-C20, Class XA, 1.31%, 5/15/47 (a)			4,954		257,461

					37,104,204
Total Non-Agency Mortgage-Backed Securities — 6.3%					692,722,343

Preferred Securities
Capital Trusts			Par (000)		Value
Airlines — 0.0%
Korean Air Lines Co. Ltd., 6.88%, 6/12/47 (a)			400		409,992
Banks — 0.3%
Banco Bilbao Vizcaya Argentaria SA:
5.88% (a)(o)	EUR		400		456,290
8.88% (a)(o)			200		261,549
Banco Santander SA, 6.75% (a)(o)			3,100		3,801,797
Bank of East Asia Ltd.:
5.50% (a)(o)			688		692,356
5.63% (a)(o)	USD		995		1,000,225
Erste Group Bank AG, 6.50% (a)(o)	EUR		1,000		1,234,941
HSBC Holdings PLC, 6.00% (a)(o)	USD		10,345		10,696,730
HSH Nordbank AG, 7.25% (a)(o)			5,535		1,425,263
Industrial & Commercial Bank of China Asia Ltd., 4.25% (a)(o)			850		846,342
Intesa Sanpaolo SpA, 7.00% (a)(o)	EUR		549		659,961
Macquarie Bank Ltd.:
6.13% (a)(b)(o)	USD		5,504		5,627,840
6.13% (a)(o)			475		485,688
Nanyang Commercial Bank Ltd., 5.00% (a)(o)			1,500		1,488,785
National Westminster Bank PLC, 1.50% (a)(o)			1,900		1,561,800
UniCredit SpA, 9.25% (a)(o)	EUR		350		448,723
Woori Bank:
4.50% (a)(o)			630		624,540
5.25% (a)(o)	USD		1,975		2,002,156

					33,314,986
Capital Markets — 0.1%
Bank of New York Mellon Corp., 4.63% (a)(o)			6,967		7,026,916


Capital Trusts		Par (000)		Value
Capital Markets (continued)
Lehman Brothers Holdings Capital Trust VII, 5.86% (d)(f)(j)(o)	USD		1,888	$	—
State Street Corp., 2.25%, 6/15/37 (a)			1,048		964,815

					7,991,731
Construction & Engineering — 0.0%
Chalieco Hong Kong Corp. Ltd., 5.70% (a)(o)			200		206,211
Diversified Financial Services — 0.0%
Far East Horizon Ltd., 4.35% (a)(o)			265		266,656
HBOS Capital Funding LP, 6.85% (o)			446		455,054
Huarong Finance 2017 Co. Ltd., 4.50% (a)(o)			399		407,584
RZB Finance Jersey IV Ltd., 1.62% (a)(o)	EUR		150		166,217

					1,295,511
Diversified Telecommunication Services — 0.0%
Orange SA, 5.25% (a)(o)			1,090		1,419,238
Electric Utilities — 0.0%
Gas Natural Fenosa Finance BV, 3.38% (a)(o)			900		1,048,414
Insurance — 0.0%
Credit Agricole SA, 6.50% (a)(o)			800		998,972
Ethias SA, 5.00%, 1/14/26			500		608,486

					1,607,458
Media — 0.0%
NBCUniversal Enterprise, Inc., 5.25% (b)(o)	USD		3,770		4,006,982
Multi-Utilities — 0.1%
Dominion Energy, Inc., 2.58%, 7/01/20			6,650		6,684,354
Oil, Gas & Consumable Fuels — 0.0%
Yancoal International Resources Development Co. Ltd., 5.75%, 10/13/25 (a)			520		525,850
Transportation Infrastructure — 0.0%
Royal Capital BV, 4.88% (a)(o)			219		217,816
Wireless Telecommunication Services — 0.1%
Telefonica Europe BV:
3.75% (a)(o)	EUR		500		595,347
5.88% (a)(o)			1,400		1,833,611

					2,428,958
Total Capital Trusts — 0.6%					61,157,501

Preferred Stocks		Shares		Value
Diversified Financial Services — 0.0%
Concrete Investment II SCA, 0.00%, 8/27/44 (d)(f)			12,471		320,485
Electrical Equipment — 0.0%
NEXANS SA, 2.50% (k)	1,115,600				994,119
Total Preferred Stocks — 0.0%					1,314,604

Trust Preferreds		Shares		Value
Banks — 0.1%
Citigroup Capital XIII, 7.54%, 10/30/40 (a)			349,440		9,078,451
Total Preferred Securities — 0.7%					71,550,556

Taxable Municipal Bonds		Par (000)		Value
American Municipal Power, Inc. RB, 6.45%, 2/15/44	USD		895		1,169,989
Arizona Health Facilities Authority RB, 1.58%, 1/01/37 (a)			1,355		1,191,424


Taxable Municipal Bonds		Par (000)		Value
Bay Area Toll Authority RB:
6.92%, 4/01/40	USD		3,145	$	4,415,957
7.04%, 4/01/50			5,965		9,127,345
Board of Water Commissioners City & County of Denver RB, 5.00%, 9/15/47			3,805		4,513,910
Brooklyn Arena Local Development Corp. RB, 5.00%, 7/15/42			2,465		2,760,578
Buckeye Tobacco Settlement Financing Authority RB, 5.88%, 6/01/47			4,270		4,158,382
California Health Facilities Financing Authority RB, 5.00%, 8/15/33			1,190		1,399,488
California Housing Finance Agency RB, 3.66%, 2/01/29			2,345		2,354,708
California Infrastructure & Economic Development Bank RB:
5.00%, 10/01/35			820		988,543
5.00%, 10/01/36			820		986,189
California Pollution Control Financing Authority RB, 5.00%, 11/21/45 (b)			1,000		1,067,020
California Statewide Communities Development Authority RB:
5.00%, 12/01/25 (b)			1,000		1,128,760
5.00%, 12/01/26 (b)			1,000		1,143,690
Central Texas Regional Mobility Authority RB:
5.00%, 1/01/45			900		1,011,555
5.00%, 1/01/46			900		1,017,621
Chesapeake Bay Bridge & Tunnel District RB, 5.00%, 7/01/51			700		782,201
Chesapeake Bay Bridge & Tunnel District RB AGM, 5.00%, 7/01/41			880		1,011,965
City of Atlanta, GA Water & Wastewater Revenue RB, 5.00%, 11/01/37			1,590		1,886,296
City of Aurora, CO Water Revenue RB, 5.00%, 8/01/46			1,700		1,981,843
City of Houston, TX Airport System Revenue RB, 5.00%, 7/01/24			700		790,783
City of Houston, TX Combined Utility System Revenue RB, 5.00%, 11/15/35			1,245		1,459,352
City of Riverside, CA Electric Revenue RB, 7.61%, 10/01/40			1,325		1,954,441
City Public Service Board of San Antonio, TX RB, 5.81%, 2/01/41			3,260		4,165,824
Clark County School District GO:
5.00%, 6/15/23			545		644,958
5.00%, 6/15/24			680		816,068
5.00%, 6/15/27			365		438,128
5.00%, 6/15/28			705		840,015
Colorado Health Facilities Authority RB, 5.25%, 2/01/31			785		828,724
Commonwealth Financing Authority RB, 4.14%, 6/01/38			2,165		2,241,338
Commonwealth of Massachusetts GO, 5.00%, 7/01/28			835		1,054,455
Commonwealth of Puerto Rico GO, 8.00%, 7/01/35 (f)(j)			37,230		22,570,688
Connecticut State Health & Educational Facility Authority RB, 5.00%, 7/01/45			1,700		1,864,203
Contra Costa Community College District GO, 6.50%, 8/01/34			570		735,807
County of Clark Department of Aviation RB, 5.00%, 7/01/21			1,800		2,035,620
County of Clark, NV RB, 5.00%, 7/01/28			930		1,163,123
County of Guilford, NC GO:
5.00%, 5/01/25			850		1,053,822
5.00%, 5/01/27			850		1,077,826
5.00%, 5/01/28			850		1,068,306
County of Miami-Dade, FL Aviation Revenue RB:
2.50%, 10/01/24			2,490		2,411,142
5.00%, 10/01/38			1,600		1,806,128


Taxable Municipal Bonds		Par (000)		Value
County of Miami-Dade, FL GO:
5.00%, 7/01/34	USD		1,000	$	1,171,400
5.00%, 7/01/35			960		1,122,048
County of Orange, FL Tourist Development Tax Revenue RB, 5.00%, 10/01/28 (q)			1,350		1,696,869
Dallas Area Rapid Transit RB:
5.00%, 12/01/41			1,780		2,043,102
5.00%, 12/01/46			2,410		2,750,822
Dallas/Fort Worth International Airport RB:
5.00%, 11/01/42			2,025		2,208,242
Series A, 5.00%, 11/01/43			60		64,780
5.00%, 11/01/45			3,670		3,962,389
5.00%, 11/01/45			2,650		2,885,267
District of Columbia GO:
5.00%, 6/01/34			2,800		3,338,272
5.00%, 6/01/36			3,370		3,995,337
District of Columbia RB:
5.00%, 7/15/34			775		889,762
5.59%, 12/01/34			2,675		3,307,691
5.00%, 7/15/35			775		887,879
Dutchess County Local Development Corp. RB, 5.00%, 7/01/46			2,685		3,002,528
Eastern Municipal Water District Financing Authority RB, 5.00%, 7/01/47			3,870		4,560,214
Geisinger Authority RB, 5.00%, 2/15/45			1,965		2,248,943
Golden State Tobacco Securitization Corp. RB:
5.13%, 6/01/47			4,095		4,079,275
5.75%, 6/01/47			815		820,901
Grant County Public Utility District No. 2 RB, 4.58%, 1/01/40			600		620,904
Great Lakes Water Authority Water Supply System Revenue RB, 5.25%, 7/01/33			755		911,980
Health & Educational Facilities Authority of the State of Missouri RB:
5.00%, 11/15/29			840		984,220
3.65%, 8/15/57 (q)			2,895		2,860,028
Horry County School District, SC GO, 5.00%, 3/01/25			870		1,065,132
Kentucky Economic Development Finance Authority RB, 5.25%, 6/01/50			850		928,719
Lone Star College System GO, 5.00%, 8/15/42			2,630		3,074,023
Los Angeles Community College District GO, 6.60%, 8/01/42			4,740		6,830,767
Los Angeles County Metropolitan Transportation Authority RB, 5.00%, 7/01/38			910		1,082,727
Los Angeles Department of Water & Power RB, 6.60%, 7/01/50			1,065		1,569,395
Los Angeles Department of Water RB, 5.00%, 7/01/44			5,790		6,798,850
Los Angeles Unified School District, 5.75%, 7/01/34			415		524,494
Los Angeles Unified School District GO:
5.00%, 7/01/26			1,870		2,343,260
6.76%, 7/01/34			4,355		5,994,222
Maryland Health & Higher Educational Facilities Authority RB, 5.25%, 7/01/27			815		951,904
Massachusetts Clean Water Trust RB:
5.00%, 2/01/27			670		828,629
5.00%, 2/01/28			1,140		1,398,803
Massachusetts Development Finance Agency RB, 5.00%, 7/01/47			1,260		1,417,147
Massachusetts Educational Financing Authority RB, 5.00%, 1/01/22			500		557,885
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB, 5.00%, 7/01/46			1,800		2,021,742
Metropolitan Transportation Authority RB:
5.00%, 11/15/35			1,700		2,009,400
5.87%, 11/15/39			735		919,250


Taxable Municipal Bonds		Par (000)		Value
6.67%, 11/15/39	USD		350	$	478,114
6.69%, 11/15/40			1,160		1,585,534
6.81%, 11/15/40			860		1,201,110
5.00%, 11/15/42			1,700		1,985,498
5.00%, 11/15/47			2,100		2,459,751
5.25%, 11/15/57			2,090		2,434,537
5.25%, 11/15/57			1,435		1,703,862
Metropolitan Washington Airports Authority Dulles Toll Road Revenue RB:
7.46%, 10/01/46			1,060		1,545,459
5.00%, 10/01/53			1,000		1,058,330
Metropolitan Washington Airports Authority Dulles Toll Road Revenue RB AGC, 0.00%, 10/01/39 (l)			800		331,008
Miami-Dade County Educational Facilities Authority RB, 5.07%, 4/01/50			1,300		1,437,449
Michigan Finance Authority RB:
5.00%, 6/01/39			840		930,964
5.00%, 11/15/41			850		952,561
Mississippi Hospital Equipment & Facilities Authority RB, 5.00%, 9/01/46			1,610		1,783,300
Municipal Electric Authority of Georgia RB:
5.00%, 1/01/20			1,630		1,761,671
6.64%, 4/01/57			1,610		1,976,420
New Caney Independent School District GO PSF, 5.00%, 2/15/47			1,870		2,183,786
New Jersey State Turnpike Authority RB, 7.41%, 1/01/40			2,329		3,498,181
New Jersey Transportation Trust Fund Authority RB, 5.00%, 6/15/29			915		982,792
New York City Transitional Finance Authority Building Aid Revenue RB, 5.00%, 7/15/40			930		1,069,900
New York City Transitional Finance Authority Future Tax Secured Revenue RB:
2.28%, 5/01/26			1,265		1,181,624
3.05%, 5/01/27			4,675		4,623,996
5.00%, 8/01/31			470		559,916
5.00%, 2/01/35			1,040		1,214,387
5.00%, 5/01/36			990		1,157,716
5.00%, 2/01/43			4,260		4,949,694
New York City Water & Sewer System RB:
5.75%, 6/15/41			1,330		1,758,074
6.01%, 6/15/42			665		905,644
5.38%, 6/15/43			4,410		4,975,009
5.50%, 6/15/43			5,285		5,988,116
5.88%, 6/15/44			1,195		1,616,417
5.00%, 6/15/47			2,350		2,732,416
New York Convention Center Development Corp. RB:
5.00%, 11/15/40			930		1,072,764
5.00%, 11/15/46			2,370		2,742,185
New York State Dormitory Authority RB:
5.00%, 2/15/27			870		1,079,322
5.00%, 2/15/28			870		1,069,682
5.00%, 2/15/31			780		931,172
5.00%, 3/15/32			1,395		1,651,164
5.39%, 3/15/40			1,470		1,826,284
New York State Environmental Facilities Corp.
RB, 5.00%, 6/15/46			3,100		3,656,605
New York State Urban Development Corp. RB:
2.86%, 3/15/24			5,580		5,635,688
5.00%, 3/15/25			470		574,829
5.00%, 3/15/27			810		1,007,575
New York Transportation Development Corp. RB:
5.00%, 8/01/20			2,200		2,370,478
5.00%, 7/01/46			1,690		1,833,126
5.25%, 1/01/50			2,500		2,735,850


Taxable Municipal Bonds		Par (000)		Value
Northwest Independent School District GO PSF, 5.00%, 2/15/42	USD		2,285	$	2,645,002
Orange County Local Transportation Authority RB, 6.91%, 2/15/41			2,790		3,858,765
Oregon School Boards Association GO AMBAC, 4.76%, 6/30/28			4,460		4,930,708
Oxnard School District GO BAM, 5.00%, 8/01/45			1,270		1,471,638
Pennsylvania Economic Development Financing Authority RB:
5.00%, 12/31/22			1,000		1,138,190
5.00%, 12/31/38			320		356,000
Pennsylvania State University RB, 5.00%, 9/01/42			2,060		2,420,685
Port Authority of New York & New Jersey RB:
4.96%, 8/01/46			1,970		2,338,725
4.93%, 10/01/51			1,045		1,230,017
4.46%, 10/01/62			3,505		3,818,733
4.81%, 10/15/65			1,740		2,007,734
Port of Seattle, WA GO:
5.00%, 1/01/33			850		1,017,620
5.00%, 1/01/37			850		1,005,856
5.00%, 1/01/38			850		1,004,301
5.00%, 1/01/39			850		1,002,745
5.00%, 1/01/42			1,710		2,012,619
Regents of the University of California Medical Center Pooled Revenue RB, 6.58%, 5/15/49			2,860		3,885,339
Royal Oak Hospital Finance Authority RB, 5.00%, 9/01/39			1,160		1,286,660
Salt Lake City Corp. Airport Revenue RB:
5.00%, 7/01/47			2,200		2,510,398
5.00%, 7/01/47			1,100		1,279,443
Salt River Project Agricultural Improvement & Power District RB, 5.00%, 12/01/36			1,280		1,491,597
San Diego County Regional Transportation Commission RB, 5.00%, 4/01/48			3,570		4,154,730
San Diego Public Facilities Financing Authority Sewer Revenue RB, 5.00%, 5/15/39			1,250		1,459,388
San Francisco Bay Area Rapid Transit District GO:
5.00%, 8/01/36			1,140		1,376,846
5.00%, 8/01/47			1,940		2,312,732
San Francisco City & County Airport Comm-San Francisco International Airport RB, 5.00%, 5/01/41			1,690		1,918,285
South Carolina Public Service Authority RB:
2.39%, 12/01/23			2,692		2,540,925
5.00%, 12/01/49			1,730		1,866,238
5.00%, 12/01/50			1,730		1,886,842
State of California GO:
5.00%, 8/01/26			4,260		5,298,631
5.00%, 9/01/27			250		307,287
7.50%, 4/01/34			2,210		3,209,362
7.55%, 4/01/39			3,715		5,669,016
7.30%, 10/01/39			820		1,199,094
7.35%, 11/01/39			1,320		1,937,245
7.60%, 11/01/40			6,115		9,522,278
State of Georgia GO:
5.00%, 7/01/26			855		1,074,607
5.00%, 2/01/28 (q)			1,880		2,349,511
5.00%, 2/01/29 (q)			1,880		2,327,515
5.00%, 2/01/30 (q)			1,880		2,306,534
5.00%, 2/01/31 (q)			1,305		1,590,169
5.00%, 2/01/32 (q)			1,305		1,581,503
5.00%, 2/01/33 (q)			1,305		1,574,130
State of Illinois GO, 5.10%, 6/01/33			8,190		7,664,857
State of Kansas Department of Transportation RB, 5.00%, 9/01/35			930		1,095,540


Taxable Municipal Bonds		Par (000)		Value
State of Maryland GO:
5.00%, 3/15/28	USD		840	$	1,054,066
5.00%, 3/15/29			2,520		3,134,678
State of Ohio GO:
5.00%, 5/01/27			1,740		2,111,699
5.00%, 5/01/30			1,180		1,408,165
5.00%, 3/15/32			2,380		2,783,719
5.00%, 5/01/32			1,580		1,865,617
State of Oregon GO, 5.00%, 8/01/42			3,570		4,228,308
State of Texas GO, 5.00%, 8/01/42			1,360		1,608,173
State of Washington GO:
5.00%, 7/01/28			480		575,242
5.00%, 8/01/28			1,000		1,219,240
5.00%, 8/01/29			1,000		1,207,400
5.00%, 8/01/30			1,000		1,202,280
State of Wisconsin GO:
5.00%, 5/01/24			1,460		1,771,798
5.00%, 5/01/25			1,665		2,047,334
5.00%, 11/01/27 (q)			1,870		2,337,463
State of Wisconsin RB, 3.15%, 5/01/27			4,780		4,801,606
Sumter Landing Community Development District RB, 4.17%, 10/01/47			920		937,839
Texas A&M University RB:
2.76%, 5/15/26			5,045		5,015,789
2.84%, 5/15/27			2,240		2,231,533
Texas Private Activity Bond Surface Transportation Corp. RB, 5.00%, 12/31/55			370		402,220
Texas Water Development Board RB:
5.00%, 10/15/40			1,590		1,842,079
5.00%, 10/15/45			1,360		1,569,086
Tobacco Settlement Finance Authority RB, 7.47%, 6/01/47			3,005		2,890,750
Tobacco Settlement Financing Corp. RB:
5.00%, 6/01/41			1,700		1,666,000
6.71%, 6/01/46			3,325		2,895,477
University of California RB:
3.06%, 7/01/25			1,865		1,878,372
4.86%, 5/15/12			1,415		1,461,327
University of Houston RB:
5.00%, 2/15/33			955		1,119,766
5.00%, 2/15/34			875		1,021,571
5.00%, 2/15/35			1,990		2,316,718
5.00%, 2/15/36			2,560		2,973,926
University of Massachusetts Building Authority RB, 5.00%, 11/01/31			1,190		1,407,663
University of New Mexico RB, 5.00%, 6/01/47			1,530		1,770,914
University of Virginia RB:
5.00%, 4/01/44			2,620		3,113,765
5.00%, 4/01/46			1,820		2,159,576
Weld County School District No. RE-4 GO, 5.25%, 12/01/41			1,560		1,857,414
West Virginia Hospital Finance Authority RB:
5.00%, 6/01/19			895		954,186
5.00%, 6/01/20			965		1,058,981
5.00%, 6/01/21			960		1,078,771
5.00%, 6/01/22			1,050		1,204,844
5.00%, 6/01/23			870		1,013,341
5.00%, 6/01/24			935		1,106,124
Wisconsin Health & Educational Facilities Authority RB, 5.00%, 12/15/44			790		866,638
Total Taxable Municipal Bonds — 4.2%					467,164,875


U.S. Government Sponsored Agency Securities		Par (000)		Value
Agency Obligations — 0.1%
Fannie Mae, 6.63%, 11/15/30	USD		1,450	$	2,073,010
Freddie Mac:
3.75%, 3/27/19			3,650		3,797,241
4.88%, 6/13/18			4,300		4,444,837

					10,315,088
Collateralized Mortgage Obligations — 0.8%
Fannie Mae:
Series 2005-48, Class AR, 5.50%, 2/25/35			5		5,312
Series 2013-C01, Class M2, 6.27%, 10/25/23 (a)			5,505		6,469,289
Series 2016-C02, Class 1M2, 7.02%, 9/25/28 (a)			640		748,969
Series 2016-C04, Class 1M2, 5.27%, 1/25/29 (a)			10,340		11,408,706
Series 2016-C06, Class 1M2, 5.27%, 4/25/29 (a)			4,038		4,452,997
Series 2016-C07, Class 2M2, 5.37%, 4/25/29 (a)			298		326,726
Series 2017-C01, Class 1B1, 6.77%, 7/25/29 (a)			1,713		1,947,761
Series 2017-C01, Class 1M2, 4.57%, 7/25/29 (a)			3,850		4,065,788
Series 2017-C02, Class 2M2, 4.67%, 9/25/29 (a)			3,505		3,718,956
Series 2017-C03, Class 1B1, 5.87%, 10/25/29 (a)			9,530		10,196,238
Series 2017-C03, Class 1M2, 4.02%, 10/25/29 (a)			6,320		6,490,301
Series 2017-C04, Class 2M2, 3.89%, 11/25/29 (a)			7,730		7,838,648
Freddie Mac:
Series 2015-DN1, Class B, 12.72%, 1/25/25 (a)			508		695,518
Series 2015-HQ2, Class B, 8.97%, 5/25/25 (a)			533		616,850
Series 2016-DNA4, Class M3, 4.82%, 3/25/29 (a)			3,200		3,465,125
Series 2016-HQA3, Class M3, 4.87%, 3/25/29 (a)			3,420		3,701,368
Series 2017-DNA1, Class M2, 4.27%, 7/25/29 (a)			3,290		3,431,985
Series 2017-DNA2, Class B1, 6.17%, 10/25/29 (a)			2,180		2,378,039
Series 2017-DNA2, Class M2, 4.47%, 10/25/29 (a)			4,500		4,752,446
Series 2017-HQA1, Class M2, 4.77%, 8/25/29 (a)			2,120		2,241,028
Series 2017-HQA2, Class M2, 3.81%, 12/25/29 (a)			7,630		7,644,280

					86,596,330
Commercial Mortgage-Backed Securities — 0.3%
Fannie Mae:
Series 2006-M2, Class A2A, 5.27%, 10/25/32 (a)			2,588		2,723,889
Series 2015-M10, Class A2, 3.09%, 4/25/27 (a)			1,000		1,015,172
Series 2017-M7, Class A2, 2.96%, 2/25/27 (a)(d)			3,366		3,406,493
Freddie Mac:
Series K034, Class A2, 3.53%, 7/25/23 (a)			1,220		1,293,708
Series K059, Class A2, 3.12%, 9/25/26 (a)			5,560		5,683,795
Series K060, Class A2, 3.30%, 10/25/26			7,910		8,192,988
Series K061, Class A2, 3.35%, 11/25/26			3,370		3,503,395
Series K062, Class A2, 3.41%, 12/25/26			237		247,958


U.S. Government Sponsored Agency Securities		Par (000)		Value
Commercial Mortgage-Backed Securities (continued)
Series K063, Class A2, 3.43%, 1/25/27 (a)	USD		1,560	$	1,637,584
Series KPLB, Class A, 2.77%, 5/25/25			2,700		2,713,521

					30,418,503
Interest Only Commercial Mortgage-Backed Securities — 0.2%
Fannie Mae:
Series 2013-M5, Class X2, 2.25%, 1/25/22 (a)			11,169		698,862
Series 2014-M13, Class X2, 1.29%, 8/25/24 (a)			123,268		1,100,933
Series 2015-M4, Class X2, 0.56%, 7/25/22 (a)			40,887		949,572
Series 2016-M4, Class X2, 2.80%, 1/25/39 (a)			13,733		1,648,142
Freddie Mac:
Series K056, Class X1, 1.40%, 5/25/26 (a)			9,872		889,477
Series K064, Class X1, 0.75%, 3/25/27 (a)			49,086		2,428,283
Series K718, Class X1, 0.77%, 1/25/22 (a)			6,016		151,637
Series K721, Class X1, 0.46%, 8/25/22 (a)			12,839		190,183
Ginnie Mae:
Series 2012-120, Class IO, 0.79%, 2/16/53 (a)			16,092		778,926
Series 2012-23, Class IO, 0.86%, 6/16/53 (a)			5,048		164,956
Series 2013-191, Class IO, 0.79%, 11/16/53 (a)			3,335		132,972
Series 2014-112, Class IO, 1.18%, 1/16/48 (a)			18,635		1,066,746
Series 2014-172, Class IO, 0.84%, 1/16/49 (a)			19,406		958,175
Series 2014-40, Class AI, 1.00%, 2/16/39			9,365		222,417
Series 2014-52, Class AI, 0.83%, 8/16/41			6,656		163,212
Series 2016-110, Class IO, 1.05%, 5/16/58 (a)			6,616		511,715
Series 2016-113, Class IO, 1.19%, 2/16/58 (a)			8,077		714,915
Series 2016-119, Class IO, 1.13%, 10/16/52 (a)			10,224		829,873
Series 2016-125, Class IO, 1.07%, 12/16/57 (a)			9,425		742,886
Series 2016-152, Class IO, 0.98%, 8/15/58 (a)			18,528		1,511,137
Series 2016-158, Class IO, 0.92%, 6/16/58 (a)			6,660		497,348
Series 2016-87, Class IO, 1.01%, 8/16/58 (a)			9,408		714,864
Series 2017-69, Class IO, 0.80%, 7/16/59 (a)(d)			5,724		422,998
Series 2017-86, Class IO, 0.77%, 5/16/59 (a)			6,200		460,398

					17,950,627
Mortgage-Backed Securities — 55.1%
Fannie Mae Mortgage-Backed Securities:
2.50%, 5/01/26-7/01/32 (r)			568,336		571,394,721
2.69%, 4/01/25			1,170		1,175,432
3.00%, 1/01/27-7/01/47 (r)			1,531,763		1,546,526,112
3.50%, 12/01/25-7/01/47 (r)			683,447		705,647,304
4.00%, 1/01/25-7/01/47 (r)			514,315		543,631,604
4.50%, 2/01/25-7/01/47 (r)			118,502		127,264,217
5.00%, 5/01/23-7/01/47 (r)			58,916		64,491,418


U.S. Government Sponsored Agency Securities		Par (000)		Value
Mortgage-Backed Securities (continued)
5.50%, 12/01/32-7/01/47 (r)	USD		38,426	$	42,958,820
6.00%, 2/01/34-7/01/47 (r)			25,605		28,857,152
6.50%, 5/01/40			4,449		4,977,716
Freddie Mac Mortgage-Backed Securities:
2.50%, 2/01/24-7/01/32 (r)			67,069		67,494,324
3.00%, 10/01/27-7/01/47 (r)			788,749		789,952,217
3.50%, 9/01/30-7/01/47 (r)			269,578		278,095,474
4.00%, 8/01/40-7/01/47 (r)			257,277		271,803,959
4.50%, 2/01/39-7/01/47 (r)			72,669		77,886,215
5.00%, 7/01/35-11/01/41			16,617		18,183,851
5.50%, 2/01/35-6/01/41			5,068		5,640,840
6.00%, 8/13/33-7/01/47 (r)			15,600		17,523,289
Ginnie Mae Mortgage-Backed Securities:
3.00%, 7/15/47 (r)			259,195		261,813,256
3.50%, 12/20/41-7/15/47 (r)			324,447		336,478,734
4.00%, 7/20/39-7/15/47 (r)			181,285		191,188,739
4.50%, 12/20/39-7/20/47 (r)			100,925		107,766,085
5.00%, 4/15/33-7/20/44			11,769		12,888,687
5.50%, 7/15/46 (r)			5,800		6,312,938

					6,079,953,104
Total U.S. Government Sponsored Agency Securities — 56.5%					6,225,233,652

U.S. Treasury Obligations		Par (000)		Value
U.S. Treasury Bonds:
2.13%, 3/31/24 (i)			121,057		121,146,824
2.88%, 11/15/46 (i)			182,306		183,310,141
3.00%, 2/15/47 (i)			176,515		182,086,166
3.00%, 5/15/47 (i)			134,988		139,311,801
U.S. Treasury Inflation Indexed Notes, 0.38%, 1/15/27			20,449		20,083,825
U.S. Treasury Notes:
1.25%, 3/31/19-5/31/19 (i)			358,741		357,903,646
1.63%, 3/15/20 (i)			367,757		368,920,583
1.50%, 4/15/20-6/15/20 (i)			622,049		621,501,681
1.88%, 3/31/22-4/30/22 (i)			482,653		482,747,190
1.75%, 5/31/22 (i)			165,734		164,762,964
2.00%, 4/30/24-11/15/26 (i)			301,743		297,738,811
2.25%, 2/15/27			95,109		94,666,933
2.38%, 5/15/27 (i)			66,365		66,784,958

Total U.S. Treasury Obligations — 28.1%					3,100,965,523
Total Long-Term Investments (Cost — $15,984,286,255) — 145.8%					16,068,240,123
Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements — 0.6%(s)
Barclays Bank PLC, (0.70)%, Open (t) (Purchased on 2/06/17 to be repurchased at EUR 2,785,647, collateralized by Kingdom of Spain, 5.40% due at 1/31/23, par and fair value of EUR 2,200,000 and $3,190,042, respectively)	EUR		2,793		3,190,504
Barclays Bank PLC, (0.25)%, Open (t) (Purchased on 1/26/17 to be repurchased at $521,324, collateralized by Bank of Communications Co. Ltd., 5.00% (o), par and fair value of USD 500,000 and $517,500, respectively)	USD		522		521,875


Short-Term Securities		Par (000)		Value
Borrowed Bond Agreements (continued) (s)
Barclays Bank PLC, 0.00%, Open (t) (Purchased on 6/30/17 to be repurchased at EUR 656,506, collateralized by New Areva Holding SA, 4.38% due at 11/06/19, par and fair value of EUR 600,000 and $731,377, respectively)	EUR		657	$	749,830
Barclays Bank PLC, 0.14%, Open (t) (Purchased on 6/09/17 to be repurchased at GBP 23,634,498, collateralized by United Kingdom Gilt Inflation Linked Bonds, 0.13% due at 3/22/26, par and fair value of GBP 19,687,000 and $30,271,216, respectively)	GBP		23,633		30,780,630
Barclays Capital, Inc., 0.75%, Open (t) (Purchased on 6/01/17 to be repurchased at $5,071,996, collateralized by Target Corp., 3.63% due at 4/15/46, par and fair value of USD 5,400,000 and $5,038,189, respectively)	USD		5,069		5,069,250
Barclays Capital, Inc., 0.75%, Open (t) (Purchased on 6/01/17 to be repurchased at $5,450,201, collateralized by Target Corp., 4.00% due at 7/01/42, par and fair value of USD 5,400,000 and $5,334,153, respectively)			5,447		5,447,250
Citigroup Global Markets, Inc., 0.65%, Open (t) (Purchased on 6/01/17 to be repurchased at $5,044,617, collateralized by Target Corp., 3.63% due at 4/15/46, par and fair value of USD 5,400,000 and $5,038,189, respectively)			5,042		5,042,250
Citigroup Global Markets, Inc., 0.85%, Open (t) (Purchased on 4/24/17 to be repurchased at $7,012,411, collateralized by Walt Disney Co., 4.13% due at 6/01/44, par and fair value of USD 6,700,000 and $7,032,749, respectively)			7,002		7,001,500
Citigroup Global Markets, Inc., 0.85%, Open (t) (Purchased on 6/01/17 to be repurchased at $5,443,840, collateralized by Target Corp., 4.00% due at 7/01/42, par and fair value of USD 5,400,000 and $5,334,152, respectively)			5,441		5,440,500
Deutsche Bank AG, (0.60)%, Open (t) (Purchased on 1/31/17 to be repurchased at EUR 2,847,494, collateralized by Kingdom of Spain, 5.40% due at 1/31/23, par and fair value of EUR 2,200,000 and $3,190,042, respectively)	EUR		2,855		3,260,369
J.P. Morgan Securities PLC, (1.10)%, Open (t) (Purchased on 4/18/17 to be repurchased at EUR 112,564, collateralized by Syngenta Finance NV, 1.88% due at 11/02/21, par and fair value of EUR 100,000 and $117,201, respectively)			113		128,853
J.P. Morgan Securities PLC, 0.00%, Open (t) (Purchased on 6/15/17 to be repurchased at $570,402, collateralized by Industrial & Commercial Bank of China Ltd., 6.00% due at (o), par and fair value of USD 500,000 and $526,735, respectively)	USD		570		570,402
RBC Capital Markets, LLC, 0.90%, Open (t) (Purchased on 6/21/17 to be repurchased at $2,633,027, collateralized by Continental Resources, Inc., 5.00% due at 9/15/22, par and fair value of USD 2,700,000 and $2,649,375, respectively)			2,633		2,632,500

					69,835,713


Money Market Funds		Shares		Value
SL Liquidity Series, LLC, Money Market Series, 1.27% (u)(v)			117,463,895	$	117,475,642
Total Money Market Funds — 1.1%					117,475,642
Total Short-Term Securities (Cost — $186,255,547) — 1.7%					187,311,355

Options Purchased				Value
(Cost — $25,078,913) — 0.2%					20,624,673
*Total Investments Before TBA Sale Commitments, Options Written and Borrowed Bonds (Cost — $16,195,620,715) — 147.7%**					16,276,176,151

TBA Sale Commitments (r)		Par (000)		Value
Mortgage-Backed Securities — (30.3)%
Fannie Mae Mortgage-Backed Securities:
2.50%, 7/01/32	USD		133,285		(133,798,059	)
3.00%, 7/01/32-7/01/47			1,642,222		(1,660,449,765	)
3.50%, 7/01/32-7/01/47			394,229		(405,412,457	)
4.00%, 7/01/47			348,782		(366,501,642	)
4.50%, 7/01/47			24,796		(26,581,844	)
6.00%, 7/01/47			2,138		(2,406,183	)
Freddie Mac Mortgage-Backed Securities:
3.00%, 7/01/47			520,848		(519,447,416	)
3.50%, 7/01/47			33,744		(34,665,785	)
4.00%, 7/01/47			60,430		(63,498,855	)
4.50%, 7/01/47			27,061		(28,989,435	)
6.00%, 7/01/47			7,800		(8,763,777	)
Ginnie Mae Mortgage-Backed Securities:
3.50%, 7/15/47			5,755		(5,960,746	)
4.00%, 7/15/47			37,814		(39,763,784	)
4.50%, 7/15/47			36,713		(39,019,035	)
Total TBA Sale Commitments (Proceeds — $3,348,344,378) — (30.3)%					(3,335,258,783	)

Options Written				Value
(Premiums Received — $15,482,719) — (0.1)%					(13,761,470	)


Borrowed Bonds		Par (000)		Value
Corporate Bonds — (0.3)%
Bank of Communications Co. Ltd., 5.00% (a)(o)	USD		500	$	(517,500	)
Continental Resources, Inc., 5.00%, 9/15/22			2,700		(2,649,375	)
Syngenta Finance NV, 1.88%, 11/02/21	EUR		100		(117,201	)
Target Corp.,
4.00%, 7/01/42	USD		10,800		(10,668,305	)
3.63%, 4/15/46			10,800		(10,076,378	)
Walt Disney Co., 4.13%, 6/01/44			6,700		(7,032,749	)

					(31,061,508	)
Foreign Agency Obligations — (0.0)%
Industrial & Commercial Bank of China Ltd., 6.00% (a)(o)			500		(526,735	)

					(526,735	)
Foreign Government Obligations — (0.3)%
Kingdom of Spain,
5.40%, 1/31/23	EUR		4,400		(6,380,085	)
United Kingdom Gilt Inflation Linked Bonds, 0.13%, 3/22/26	GBP		19,687		(30,271,216	)

					(36,651,301	)
Total Borrowed Bonds (Proceeds — $67,490,272) — (0.6)%					(68,239,544	)

Investments Sold Short
Foreign Agency Obligations — 0.0%
New Areva Holding SA	EUR		600		(731,377	)
Total Investments Sold Short (Proceeds — $733,604) — (0.0)%					(731,377	)
Total Investments Net of TBA Sale Commitments, Options Written and Borrowed Bonds — 116.7%					12,858,184,977
Liabilities in Excess of Other Assets — (16.7)%					(1,835,542,727	)

Net Assets — 100.0%				$	11,022,642,250


Counterparty	Value			Unrealized Appreciation (Depreciation)
Barclays Capital, Inc.	$	(246,167,175	)	$	1,071,424
BNP Paribas Securities Corp.	$	(8,094,324	)	$	18,348
Citigroup Global Markets, Inc.	$	(113,817,315	)	$	595,436
Credit Suisse Securities (USA) LLC	$	(90,550,605	)	$	1,138,488
Daiwa Capital Markets America, Inc.	$	17,529,428		$	(145,040	)
Deutsche Bank Securities, Inc.	$	(152,192,259	)	$	535,826
Goldman Sachs & Co.	$	(114,730,994	)	$	(297,563	)
J.P. Morgan Securities LLC	$	(49,947,024	)	$	924,628
Merrill Lynch, Pierce, Fenner & Smith, Inc.	$	(13,192,124	)	$	409,736
Mizuho Securities Co.	$	(22,548,411	)	$	122,796
Morgan Stanley & Co. LLC	$	(179,468,962	)	$	545,580
Nomura Securities International, Inc.	$	(31,848,270	)	$	114,408
RBC Dominion Securities, Inc.	$	26,849,827		$	(390,606	)
Wells Fargo Securities, LLC	$	(36,117,974	)	$	266,763

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

1.34%

4/06/17

Open

2,458,140

2,465,917

Corporate Bonds

Open/Demand

RBC Capital Markets, LLC

1.34%

4/06/17

Open

432,400

433,768

Corporate Bonds

Open/Demand

Nomura Securities International, Inc.

0.85%

4/13/17

Open

61,725,000

61,840,134

U.S. Treasury Obligations

Open/Demand

Nomura Securities International, Inc.

1.04%

5/09/17

Open

89,662,500

89,799,324

U.S. Treasury Obligations

Open/Demand

Credit Agricole Corporate & Investment Bank SA

1.05%

5/11/17

Open

58,425,000

58,511,562

U.S. Treasury Obligations

Open/Demand

Credit Agricole Corporate & Investment Bank SA

1.14%

6/05/17

Open

120,300,000

120,399,188

U.S. Treasury Obligations

Open/Demand

MUFG Securities Americas, Inc.

1.30%

6/15/17

Open

94,050,000

94,104,340

U.S. Treasury Obligations

Open/Demand

Credit Agricole Corporate & Investment Bank SA

1.19%

6/19/17

Open

75,750,000

75,780,091

U.S. Treasury Obligations

Open/Demand

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1.25%

6/26/17

7/18/17

201,750,000

201,778,021

U.S. Treasury Obligations

Up to 30 Days

Amherst Pierpont Securities LLC

1.22%

6/27/17

Open

100,125,000

100,138,620

U.S. Treasury Obligations

Open/Demand

MUFG Securities Americas, Inc.

1.08%

6/27/17

Open

133,832,500

133,848,560

U.S. Treasury Obligations

Open/Demand

Barclays Capital, Inc.

0.75%

6/28/17

Open

2,570,220

2,570,327

Corporate Bonds

Open/Demand

Barclays Capital, Inc.

(0.13%)

6/28/17

Open

7,364,610

7,364,559

Corporate Bonds

Open/Demand

Citigroup Global Markets, Inc.

(2.75%)

6/28/17

Open

1,140,000

1,139,826

Corporate Bonds

Open/Demand

Bank of Montreal

1.19%

6/30/17

Open

140,175,000

140,179,625

U.S. Treasury Obligations

Open/Demand

Citigroup Global Markets, Inc.

(2.00%)

6/30/17

Open

660,000

Corporate Bonds

Open/Demand

BNP Paribas Securities Corp.

1.03%

6/30/17

7/03/17

67,194,562

67,196,485

U.S. Treasury Obligations

Overnight

Credit Suisse Securities (USA) LLC

1.48%

6/30/17

7/03/17

106,939,508

106,943,904

U.S. Treasury Obligations

Overnight

Deutsche Bank Securities, Inc.

1.45%

6/30/17

7/03/17

184,812,708

184,820,151

U.S. Treasury Obligations

Overnight

Deutsche Bank Securities, Inc.

1.45%

6/30/17

7/03/17

46,787,520

46,789,404

U.S. Treasury Obligations

Overnight

J.P. Morgan Securities LLC

0.50%

6/30/17

7/03/17

90,226,076

90,227,329

U.S. Treasury Obligations

Overnight

J.P. Morgan Securities LLC

1.38%

6/30/17

7/03/17

242,749,710

242,759,016

U.S. Treasury Obligations

Overnight

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1.30%

6/30/17

7/03/17

122,049,463

122,053,870

U.S. Treasury Obligations

Overnight

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1.18%

6/30/17

7/03/17

273,795,795

273,804,770

U.S. Treasury Obligations

Overnight

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1.35%

6/30/17

7/03/17

370,642,295

370,656,194

U.S. Treasury Obligations

Overnight

Merrill Lynch, Pierce, Fenner & Smith, Inc.

1.35%

6/30/17

7/03/17

81,502,216

81,505,273

U.S. Treasury Obligations

Overnight

Total

2,677,120,223

2,677,770,258


Contracts Long (Short)			Issue	Expiration		Notional Value			Unrealized Appreciation (Depreciation)
	(618)		Euro-Bund		September 2017		USD	114,255,956	$	(1,147,226	)
	(15)		Euro-OAT		September 2017		USD	2,543,802		(17,120	)
	(5)		Euro-Schatz		September 2017		USD	638,749		(1,623	)
	135		Long Gilt British		September 2017		USD	22,079,176		377,534
	236		NASDAQ 100 E-Mini Index		September 2017		USD	26,680,980		230,657
	(207)		S&P 500 Mini Index		September 2017		USD	25,056,315		(129,855	)
	1,199		U.S. Treasury Bonds (30 Year)		September 2017		USD	184,271,313		(1,548,113	)
	(8,028)		U.S. Treasury Notes (10 Year)		September 2017		USD	1,007,764,875		(6,407,720	)
	2,677		U.S. Treasury Notes (2 Year)		September 2017		USD	578,524,810		484,071
	159		U.S. Treasury Notes (5 Year)		September 2017		USD	18,735,914		30,008
	(437)		U.S. Ultra Treasury Bonds		September 2017		USD	72,487,375		345,680
	208		WTI Light Sweet Crude Oil¹		September 2017		USD	9,628,320		(733,730	)
	500		Canadian Bankers Acceptance		December 2017		USD	95,094,656		89,742
	(217)		WTI Light Sweet Crude Oil¹		December 2017		USD	10,209,850		768,229
	(771)		Euro Dollar		June 2018		USD	189,598,538		300,506
	(384)		Euro Dollar		December 2018		USD	94,272,000		(55,446	)
	(716	)	Euro Dollar		March 2019		USD	175,679,550		612,274
	Total								$	(7,869,291	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	10,499,832	USD	3,162,600	BNP Paribas S.A.		7/03/17	$	4,655
MXN	73,884,150	USD	4,050,000	Citibank N.A.		7/03/17		18,965
USD	2,635,500	BRL	8,691,879	Barclays Bank PLC		7/03/17		13,611
USD	2,635,500	BRL	8,707,692	Citibank N.A.		7/03/17		8,841
USD	4,050,000	MXN	73,181,702	Goldman Sachs International		7/03/17		19,721
USD	2,691,000	RUB	157,262,040	BNP Paribas S.A.		7/03/17		26,106
CNH	66,235,650	USD	9,750,000	HSBC Bank PLC		7/05/17		15,151
CNH	350,569,349	USD	51,612,000	HSBC Bank PLC		7/05/17		80,854
EUR	4,802,403	USD	5,483,000	HSBC Bank PLC		7/05/17		3,572
EUR	18,594,023	USD	21,200,000	Morgan Stanley & Co. International PLC		7/05/17		42,998
GBP	4,258,925	USD	5,528,000	BNP Paribas S.A.		7/05/17		19,997
GBP	16,281,170	USD	21,120,000	Morgan Stanley & Co. International PLC		7/05/17		89,078
HUF	1,264,433,234	USD	4,659,341	Deutsche Bank AG		7/05/17		17,631
HUF	34,568,675	USD	127,434	JPMorgan Chase Bank N.A.		7/05/17		431
HUF	126,534,968	USD	465,934	Morgan Stanley & Co. International PLC		7/05/17		2,102
HUF	4,330,968,232	USD	15,947,291	Morgan Stanley & Co. International PLC		7/05/17		72,388
HUF	1,483,250,194	USD	5,483,000	Standard Chartered Bank		7/05/17		3,347
JPY	2,392,915,740	USD	21,200,000	BNP Paribas S.A.		7/05/17		79,815
RUB	66,834,432	USD	1,120,000	Deutsche Bank AG		7/05/17		12,067
SEK	180,393,662	USD	21,200,000	Deutsche Bank AG		7/05/17		218,792
SEK	46,261,058	USD	5,483,000	JPMorgan Chase Bank N.A.		7/05/17		9,743
TRY	87,362,266	USD	24,463,000	BNP Paribas S.A.		7/05/17		331,695
TRY	3,944,691	USD	1,110,000	Citibank N.A.		7/05/17		9,561
TRY	14,833,762	USD	4,200,000	HSBC Bank PLC		7/05/17		10,040
USD	1,110,000	JPY	123,436,329	Goldman Sachs International		7/05/17		12,301


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	1,110,000	JPY	122,843,799	JPMorgan Chase Bank N.A.		7/05/17	$	17,570
USD	24,463,000	JPY	2,701,253,386	Royal Bank of Scotland PLC		7/05/17		441,188
USD	636,000	TRY	2,237,709	Barclays Bank PLC		7/05/17		905
USD	3,180,000	TRY	11,185,523	Citibank N.A.		7/05/17		5,384
USD	21,200,000	ZAR	275,991,373	BNP Paribas S.A.		7/05/17		122,925
ZAR	324,488,240	USD	24,463,000	BNP Paribas S.A.		7/05/17		317,712
BRL	3,707,733	USD	1,110,000	HSBC Bank PLC		7/06/17		7,682
CLP	2,632,152,250	USD	3,922,000	Credit Suisse International		7/06/17		42,459
RUB	257,001,264	USD	4,305,600	JPMorgan Chase Bank N.A.		7/06/17		46,665
USD	21,200,000	BRL	69,843,400	BNP Paribas S.A.		7/06/17		145,975
USD	5,483,000	BRL	18,132,281	Standard Chartered Bank		7/06/17		17,093
USD	3,922,000	COP	11,408,117,500	Credit Suisse International		7/06/17		181,991
USD	4,782,605	JPY	529,255,000	Goldman Sachs International		7/06/17		75,816
USD	3,332,790	JPY	371,785,000	HSBC Bank PLC		7/06/17		26,418
USD	7,225,000	COP	21,964,000,000	Barclays Bank PLC		7/07/17		25,481
USD	13,975,000	COP	42,332,608,825	BNP Paribas S.A.		7/07/17		98,910
CLP	2,446,844,400	USD	3,603,600	BNP Paribas S.A.		7/10/17		81,339
EUR	4,200,000	USD	4,780,444	Deutsche Bank AG		7/10/17		19,213
EUR	4,200,000	USD	4,740,922	Goldman Sachs International		7/10/17		58,735
RUB	143,927,006	USD	2,435,000	JPMorgan Chase Bank N.A.		7/10/17		313
RUB	143,809,400	USD	2,432,500	JPMorgan Chase Bank N.A.		7/10/17		823
TRY	7,102,251	USD	2,003,371	Deutsche Bank AG		7/10/17		9,510
TRY	7,136,320	USD	2,012,629	Goldman Sachs International		7/10/17		9,907
USD	4,890,829	RUB	287,042,769	Credit Suisse International		7/10/17		33,930
USD	4,844,171	RUB	284,214,764	Deutsche Bank AG		7/10/17		35,122
JPY	498,817,609	USD	4,431,000	Goldman Sachs International		7/11/17		6,087
TRY	17,662,699	USD	4,995,170	Goldman Sachs International		7/14/17		5,053
MYR	7,903,980	USD	1,836,000	BNP Paribas S.A.		7/17/17		3,931
MYR	3,974,760	USD	915,000	JPMorgan Chase Bank N.A.		7/17/17		10,266
MYR	8,088,680	USD	1,835,000	JPMorgan Chase Bank N.A.		7/17/17		47,926
TRY	27,825,084	USD	7,848,000	BNP Paribas S.A.		7/21/17		13,640
TRY	12,189,215	USD	3,425,000	Citibank N.A.		7/21/17		18,915
USD	977,567	MXN	17,675,008	BNP Paribas S.A.		7/21/17		7,122
USD	2,457,433	MXN	44,428,204	JPMorgan Chase Bank N.A.		7/21/17		18,107
USD	130,000	ZAR	1,691,345	Citibank N.A.		7/21/17		1,208
USD	3,425,000	ZAR	44,089,234	Citibank N.A.		7/21/17		67,720
RUB	258,637,392	USD	4,305,600	BNP Paribas S.A.		7/24/17		57,747
RUB	256,872,096	USD	4,305,600	Deutsche Bank AG		7/24/17		27,966
EUR	4,231,141	GBP	3,564,000	Bank of America N.A.		8/02/17		194,212
RUB	32,674,510	USD	550,000	Deutsche Bank AG		8/02/17		181
RUB	32,850,950	USD	550,000	JPMorgan Chase Bank N.A.		8/02/17		3,151
RUB	329,696,222	USD	5,528,000	JPMorgan Chase Bank N.A.		8/02/17		23,497
TRY	19,475,123	USD	5,483,000	Citibank N.A.		8/02/17		747
TRY	1,955,878	USD	550,000	Goldman Sachs International		8/02/17		731
USD	550,000	JPY	61,566,967	Deutsche Bank AG		8/02/17		1,819
USD	550,000	JPY	61,428,466	Deutsche Bank AG		8/02/17		3,052
USD	5,483,000	JPY	614,359,512	Standard Chartered Bank		8/02/17		12,854
ZAR	72,230,470	USD	5,483,000	Citibank N.A.		8/02/17		5,510
BRL	1,842,225	USD	550,000	BNP Paribas S.A.		8/03/17		1,932


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	1,835,900	USD	550,000	Royal Bank of Scotland PLC		8/03/17	$	37
USD	3,412,580	JPY	382,081,000	Barclays Bank PLC		8/03/17		10,467
TRY	7,148,010	USD	2,008,000	Deutsche Bank AG		8/04/17		3,511
RUB	132,444,725	USD	2,135,000	Société Générale		8/07/17		92,675
USD	3,446,000	COP	10,110,564,000	BNP Paribas S.A.		8/09/17		147,398
IDR	27,131,975,000	USD	2,015,000	Bank of America N.A.		8/15/17		10,040
IDR	26,828,259,293	USD	1,992,740	Citibank N.A.		8/15/17		9,632
IDR	38,332,701,408	USD	2,846,840	Citibank N.A.		8/15/17		14,185
IDR	19,931,028,119	USD	1,480,760	JPMorgan Chase Bank N.A.		8/15/17		6,825
IDR	29,907,848,880	USD	2,220,660	JPMorgan Chase Bank N.A.		8/15/17		11,562
MYR	19,832,157	USD	4,586,000	Morgan Stanley & Co. International PLC		8/17/17		24,758
GBP	4,485,000	USD	5,737,759	Bank of America N.A.		8/21/17		113,107
GBP	2,240,000	USD	2,829,752	BNP Paribas S.A.		8/21/17		92,420
USD	3,450,000	COP	10,308,600,000	Barclays Bank PLC		8/22/17		91,728
USD	3,446,000	COP	10,460,333,000	Credit Suisse International		8/22/17		38,297
CNH	37,119,698	USD	5,437,000	HSBC Bank PLC		9/01/17		12,443
EUR	1,410,200	USD	1,594,513	JPMorgan Chase Bank N.A.		9/07/17		21,911
USD	884,578	HKD	6,879,275	HSBC Bank PLC		9/14/17		1,630
USD	2,660,112	JPY	290,583,971	BNP Paribas S.A.		9/14/17		68,096
USD	7,170,820	JPY	783,322,500	BNP Paribas S.A.		9/14/17		183,564
USD	472,134	JPY	52,870,000	Citibank N.A.		9/14/17		532
USD	206,294	JPY	22,834,000	HSBC Bank PLC		9/14/17		2,615
USD	308,688	JPY	34,245,000	HSBC Bank PLC		9/14/17		3,222
USD	3,740,000	JPY	416,266,488	Credit Suisse International		9/15/17		26,712
USD	882,753	KRW	989,804,098	Bank of America N.A.		9/15/17		16,688
USD	9,385,852	RUB	544,684,449	BNP Paribas S.A.		9/15/17		297,193
USD	9,385,580	RUB	543,823,968	BNP Paribas S.A.		9/15/17		311,279
USD	23,378,279	RUB	1,360,347,006	Deutsche Bank AG		9/15/17		679,394
USD	23,622,530	RUB	1,369,598,864	Deutsche Bank AG		9/15/17		769,268
USD	3,392,432	RUB	201,401,916	HSBC Bank PLC		9/15/17		31,820
USD	21,209,166	RUB	1,229,961,925	JPMorgan Chase Bank N.A.		9/15/17		685,899
USD	1,024,057	TWD	30,746,280	Barclays Bank PLC		9/15/17		10,549
AUD	1,780,000	NZD	1,861,193	Bank of America N.A.		9/20/17		4,849
AUD	60,767,000	USD	45,940,946	Citibank N.A.		9/20/17		716,644
AUD	5,181,000	USD	3,918,328	Credit Suisse International		9/20/17		59,702
AUD	2,240,000	USD	1,689,283	Deutsche Bank AG		9/20/17		30,615
CAD	3,847,386	USD	2,912,500	Deutsche Bank AG		9/20/17		58,141
CAD	1,487,199	USD	1,120,000	UBS AG		9/20/17		28,295
CAD	3,848,630	USD	2,912,500	UBS AG		9/20/17		59,101
CHF	45,000	NOK	392,816	JPMorgan Chase Bank N.A.		9/20/17		49
EUR	1,780,000	USD	1,989,034	BNP Paribas S.A.		9/20/17		52,750
EUR	1,120,000	USD	1,256,681	Deutsche Bank AG		9/20/17		28,037
EUR	262,541	USD	300,000	Goldman Sachs International		9/20/17		1,152
EUR	34,225,000	USD	39,043,750	Goldman Sachs International		9/20/17		214,708
EUR	33,470,000	USD	37,890,865	Goldman Sachs International		9/20/17		501,555
GBP	400,000	USD	518,290	Goldman Sachs International		9/20/17		4,001
JPY	59,989,282	USD	535,000	BNP Paribas S.A.		9/20/17		262
JPY	59,989,282	USD	535,000	BNP Paribas S.A.		9/20/17		262
KRW	1,544,130,000	USD	1,350,000	JPMorgan Chase Bank N.A.		9/20/17		1,221


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
NOK	7,772,088	CHF	880,000	Morgan Stanley & Co. International PLC		9/20/17	$	9,887
NOK	11,860,155	CHF	1,350,000	UBS AG		9/20/17		7,618
NOK	38,830,155	EUR	4,045,000	Deutsche Bank AG		9/20/17		18,550
NOK	34,120,991	USD	4,045,000	Barclays Bank PLC		9/20/17		48,489
NOK	11,406,356	USD	1,350,000	Morgan Stanley & Co. International PLC		9/20/17		18,418
NOK	34,020,837	USD	4,030,000	Royal Bank of Scotland PLC		9/20/17		51,474
NZD	1,869,461	AUD	1,780,000	Goldman Sachs International		9/20/17		1,201
NZD	1,560,000	USD	1,135,306	Deutsche Bank AG		9/20/17		6,163
SEK	78,538,969	EUR	8,060,000	Commonwealth Bank of Australia		9/20/17		120,377
SEK	53,716,941	EUR	5,525,000	Goldman Sachs International		9/20/17		68,176
SEK	26,318,274	EUR	2,700,000	HSBC Bank PLC		9/20/17		41,362
SEK	107,797,281	EUR	11,050,000	Morgan Stanley & Co. International PLC		9/20/17		179,687
TRY	3,176,976	USD	880,000	BNP Paribas S.A.		9/20/17		2,325
USD	1,070,000	JPY	119,792,706	BNP Paribas S.A.		9/20/17		1,134
USD	1,790,000	JPY	200,037,870	BNP Paribas S.A.		9/20/17		5,135
USD	1,790,000	JPY	199,998,490	Goldman Sachs International		9/20/17		5,487
USD	2,235,000	JPY	249,759,015	Goldman Sachs International		9/20/17		6,492
USD	1,070,000	JPY	118,533,423	Goldman Sachs International		9/20/17		12,370
USD	7,075,132	MXN	128,610,328	Deutsche Bank AG		9/20/17		79,014
USD	6,934,903	MXN	125,622,770	Deutsche Bank AG		9/20/17		101,302
USD	28,300,527	MXN	514,504,621	Goldman Sachs International		9/20/17		312,613
USD	3,800,000	MXN	69,437,628	Royal Bank of Scotland PLC		9/20/17		22,747
USD	6,934,903	MXN	125,730,338	Royal Bank of Scotland PLC		9/20/17		95,450
USD	9,246,537	MXN	167,850,809	Royal Bank of Scotland PLC		9/20/17		115,824
USD	8,796,781	TRY	31,658,296	Citibank N.A.		9/20/17		4,487
USD	6,031,986	ZAR	79,522,687	Bank of America N.A.		9/20/17		36,104
USD	880,000	ZAR	11,562,320	Citibank N.A.		9/20/17		8,220
USD	6,109,220	ZAR	80,363,121	Citibank N.A.		9/20/17		49,970
USD	6,129,902	ZAR	80,648,917	JPMorgan Chase Bank N.A.		9/20/17		49,104
ZAR	11,701,184	USD	880,000	BNP Paribas S.A.		9/20/17		2,250
CAD	8,764,087	USD	6,600,000	BNP Paribas S.A.		9/26/17		167,475
CAD	3,491,040	USD	2,590,000	JPMorgan Chase Bank N.A.		9/26/17		105,720
MXN	40,242,094	USD	2,120,000	Deutsche Bank AG		9/26/17		67,061
TRY	9,831,510	USD	2,700,000	BNP Paribas S.A.		9/26/17		26,269
TRY	8,143,641	USD	2,120,000	JPMorgan Chase Bank N.A.		9/26/17		138,224
USD	2,120,000	JPY	229,999,860	Credit Suisse International		9/26/17		67,195
USD	530,000	JPY	57,503,410	JPMorgan Chase Bank N.A.		9/26/17		16,768
USD	2,120,000	RUB	124,018,728	JPMorgan Chase Bank N.A.		9/26/17		54,690
ZAR	29,275,716	USD	2,120,000	JPMorgan Chase Bank N.A.		9/26/17		85,195
USD	16,316,716	TRY	59,156,256	BNP Paribas S.A.		10/23/17		30,625
USD	5,500,000	JPY	608,170,750	Goldman Sachs International		11/10/17		59,594
USD	2,510,000	JPY	280,211,882	Citibank N.A.		11/14/17		2,850
USD	3,825,000	JPY	425,756,925	Goldman Sachs International		11/14/17		15,610
USD	3,765,000	JPY	420,492,556	Morgan Stanley & Co. International PLC		11/14/17		2,712
HKD	132,970,084	USD	16,790,000	Goldman Sachs International		1/19/18		314,089
INR	229,701,000	USD	3,450,000	HSBC Bank PLC		2/20/18		941


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
INR	519,299,200	USD	7,760,000	HSBC Bank PLC		2/20/18	$	41,756
USD	15,000,000	INR	994,125,000	Deutsche Bank AG		2/20/18		64,640
USD	3,570,000	INR	237,155,100	JPMorgan Chase Bank N.A.		2/20/18		7,071
CNH	103,445,505	USD	14,670,000	HSBC Bank PLC		5/21/18		251,897
TRY	140,645,744	USD	36,335,528	BNP Paribas S.A.		6/25/18		845
USD	5,430,000	MXN	106,916,700	Barclays Bank PLC		6/14/19		89,201

								12,122,561

BRL	6,913,444	USD	2,108,400	Deutsche Bank AG		7/03/17		(22,973	)
MXN	17,729,496	USD	980,571	Barclays Bank PLC		7/03/17		(4,169	)
MXN	17,727,457	USD	980,571	Deutsche Bank AG		7/03/17		(4,281	)
MXN	26,589,321	USD	1,470,857	Morgan Stanley & Co. International PLC		7/03/17		(6,524	)
RUB	155,405,250	USD	2,691,000	Deutsche Bank AG		7/03/17		(57,571	)
BRL	3,531,880	USD	1,100,000	HSBC Bank PLC		7/05/17		(35,091	)
BRL	6,716,850	USD	2,100,000	Royal Bank of Scotland PLC		7/05/17		(74,779	)
BRL	2,902,950	USD	900,000	Royal Bank of Scotland PLC		7/05/17		(24,722	)
BRL	1,289,400	USD	400,000	Royal Bank of Scotland PLC		7/05/17		(11,229	)
JPY	615,082,940	USD	5,483,000	Standard Chartered Bank		7/05/17		(13,166	)
RUB	1,397,272,572	USD	24,408,000	BNP Paribas S.A.		7/05/17		(740,457	)
RUB	63,781,872	USD	1,120,000	Citibank N.A.		7/05/17		(39,638	)
TRY	3,900,668	USD	1,110,000	Goldman Sachs International		7/05/17		(2,933	)
USD	51,612,000	CNH	350,569,349	Citibank N.A.		7/05/17		(72,594	)
USD	15,257,000	CNH	103,919,394	Deutsche Bank AG		7/05/17		(63,882	)
USD	28,148,000	CNH	191,645,658	JPMorgan Chase Bank N.A.		7/05/17		(106,404	)
USD	9,750,000	CNH	66,268,537	Morgan Stanley & Co. International PLC		7/05/17		(20,000	)
USD	1,110,000	EUR	984,249	BNP Paribas S.A.		7/05/17		(14,469	)
USD	24,463,000	EUR	21,715,934	Deutsche Bank AG		7/05/17		(346,668	)
USD	1,110,000	EUR	992,153	JPMorgan Chase Bank N.A.		7/05/17		(23,499	)
USD	1,120,000	GBP	880,155	Barclays Bank PLC		7/05/17		(26,556	)
USD	1,120,000	GBP	869,221	Credit Suisse International		7/05/17		(12,313	)
USD	24,408,000	GBP	18,887,109	Deutsche Bank AG		7/05/17		(195,772	)
USD	683,274	GBP	526,000	Morgan Stanley & Co. International PLC		7/05/17		(1,933	)
USD	1,110,000	HUF	303,681,348	Barclays Bank PLC		7/05/17		(13,277	)
USD	24,463,000	HUF	6,698,825,605	BNP Paribas S.A.		7/05/17		(315,071	)
USD	1,110,000	HUF	307,051,230	Goldman Sachs International		7/05/17		(25,742	)
USD	12,200,000	RUB	723,240,400	Deutsche Bank AG		7/05/17		(50,526	)
USD	8,920,000	RUB	528,271,836	JPMorgan Chase Bank N.A.		7/05/17		(28,073	)
USD	5,528,000	RUB	327,786,851	JPMorgan Chase Bank N.A.		7/05/17		(24,180	)
USD	1,110,000	SEK	9,696,794	Barclays Bank PLC		7/05/17		(41,335	)
USD	1,110,000	SEK	9,597,080	Morgan Stanley & Co. International PLC		7/05/17		(29,496	)
USD	24,463,000	SEK	211,810,439	Royal Bank of Scotland PLC		7/05/17		(686,020	)
USD	21,200,000	TRY	74,869,369	BNP Paribas S.A.		7/05/17		(49,027	)
USD	5,483,000	TRY	19,322,426	Citibank N.A.		7/05/17		(988	)
USD	5,483,000	ZAR	71,886,516	Citibank N.A.		7/05/17		(6,873	)
ZAR	14,341,363	USD	1,110,000	Goldman Sachs International		7/05/17		(14,770	)
ZAR	14,367,727	USD	1,110,000	Morgan Stanley & Co. International PLC		7/05/17		(12,757	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	79,908,390	USD	24,463,000	Goldman Sachs International		7/06/17	$	(374,923	)
BRL	3,613,605	USD	1,110,000	Royal Bank of Scotland PLC		7/06/17		(20,693	)
COP	6,038,060,000	USD	2,065,000	Royal Bank of Scotland PLC		7/06/17		(85,497	)
COP	5,428,011,000	USD	1,857,000	UBS AG		7/06/17		(77,494	)
USD	1,122,842	AUD	1,486,000	UBS AG		7/06/17		(19,199	)
USD	3,922,000	CLP	2,606,600,420	Royal Bank of Scotland PLC		7/06/17		(3,974	)
USD	1,002,790	CNH	6,853,000	HSBC Bank PLC		7/06/17		(7,470	)
USD	191,662,005	EUR	170,342,000	Deutsche Bank AG		7/06/17		(2,958,172	)
USD	3,797,034	GBP	2,951,950	Deutsche Bank AG		7/06/17		(48,528	)
USD	2,089,695	GBP	1,654,000	Goldman Sachs International		7/06/17		(65,002	)
USD	3,118,846	GBP	2,443,000	Goldman Sachs International		7/06/17		(63,696	)
USD	1,038,698	GBP	820,000	Goldman Sachs International		7/06/17		(29,531	)
USD	190,925	GBP	150,000	Goldman Sachs International		7/06/17		(4,483	)
USD	361,641	GBP	278,000	Morgan Stanley & Co. International PLC		7/06/17		(515	)
USD	4,305,600	RUB	258,594,336	Goldman Sachs International		7/06/17		(73,644	)
COP	3,347,937,600	USD	1,110,000	Citibank N.A.		7/07/17		(12,589	)
COP	29,139,800,000	USD	9,925,000	JPMorgan Chase Bank N.A.		7/07/17		(373,345	)
COP	3,231,210,000	USD	1,110,000	Royal Bank of Scotland PLC		7/07/17		(50,851	)
COP	42,683,568,000	USD	14,538,000	UBS AG		7/07/17		(546,870	)
USD	5,483,000	COP	16,767,014,000	Standard Chartered Bank		7/07/17		(13,014	)
RUB	143,356,393	USD	2,433,750	Barclays Bank PLC		7/10/17		(8,092	)
RUB	143,420,888	USD	2,433,750	Barclays Bank PLC		7/10/17		(7,001	)
USD	3,603,600	CLP	2,405,583,180	Deutsche Bank AG		7/10/17		(19,200	)
USD	4,713,715	EUR	4,200,000	Citibank N.A.		7/10/17		(85,942	)
USD	2,008,000	TRY	7,181,510	Citibank N.A.		7/10/17		(27,344	)
USD	2,008,000	TRY	7,098,282	Deutsche Bank AG		7/10/17		(3,756	)
USD	4,931,187	TRY	17,662,699	Bank of America N.A.		7/14/17		(69,036	)
USD	4,742,633	EUR	4,200,000	Goldman Sachs International		7/17/17		(58,857	)
USD	4,586,000	MYR	19,788,590	Morgan Stanley & Co. International PLC		7/17/17		(20,494	)
MXN	62,042,369	USD	3,435,000	Barclays Bank PLC		7/21/17		(28,569	)
ZAR	31,878,228	USD	2,450,279	Barclays Bank PLC		7/21/17		(22,835	)
ZAR	1,691,679	USD	130,000	Barclays Bank PLC		7/21/17		(1,183	)
ZAR	12,687,044	USD	974,721	BNP Paribas S.A.		7/21/17		(8,636	)
IDR	53,026,500,000	USD	3,975,000	BNP Paribas S.A.		7/24/17		(7,335	)
IDR	121,000,000,000	USD	9,105,000	JPMorgan Chase Bank N.A.		7/24/17		(16,801	)
MXN	62,886,380	USD	3,475,000	Morgan Stanley & Co. International PLC		7/27/17		(25,722	)
CLP	461,116,257	USD	695,333	Bank of America N.A.		7/28/17		(1,246	)
CLP	1,317,229,536	USD	1,986,667	BNP Paribas S.A.		7/28/17		(3,929	)
CLP	1,316,650,500	USD	1,985,000	BNP Paribas S.A.		7/28/17		(3,134	)
CLP	197,633,600	USD	298,000	Goldman Sachs International		7/28/17		(515	)
RUB	325,192,240	USD	5,482,000	Deutsche Bank AG		7/28/17		(462	)
TRY	8,435,724	USD	2,389,520	BNP Paribas S.A.		7/28/17		(10,791	)
TRY	4,466,403	USD	1,264,439	BNP Paribas S.A.		7/28/17		(4,990	)
TRY	8,438,087	USD	2,389,520	Goldman Sachs International		7/28/17		(10,125	)
TRY	20,442,936	USD	5,769,000	HSBC Bank PLC		7/28/17		(4,442	)
TRY	8,434,266	USD	2,389,520	JPMorgan Chase Bank N.A.		7/28/17		(11,202	)
BRL	16,915,396	USD	5,090,231	Barclays Bank PLC		8/02/17		(21,391	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
BRL	10,190,000	USD	3,072,822	BNP Paribas S.A.		8/02/17	$	(19,303	)
BRL	1,299,439	USD	396,110	Goldman Sachs International		8/02/17		(6,722	)
MXN	19,896,029	USD	1,096,600	Deutsche Bank AG		8/02/17		(6,369	)
MXN	79,559,865	USD	4,386,400	Goldman Sachs International		8/02/17		(26,805	)
MXN	19,943,697	USD	1,100,000	JPMorgan Chase Bank N.A.		8/02/17		(7,157	)
TRY	1,945,815	USD	550,000	Deutsche Bank AG		8/02/17		(2,103	)
USD	3,162,600	BRL	10,569,093	BNP Paribas S.A.		8/02/17		(4,517	)
USD	8,509,027	BRL	28,404,835	BNP Paribas S.A.		8/02/17		(2,718	)
USD	550,000	EUR	486,520	Citibank N.A.		8/02/17		(6,674	)
USD	550,000	EUR	484,075	Citibank N.A.		8/02/17		(3,877	)
USD	3,147,774	EUR	2,877,360	Goldman Sachs International		8/02/17		(144,490	)
USD	1,480,000	EUR	1,353,092	Goldman Sachs International		8/02/17		(68,203	)
USD	5,483,000	EUR	4,795,544	HSBC Bank PLC		8/02/17		(4,043	)
USD	5,528,000	GBP	4,255,139	BNP Paribas S.A.		8/02/17		(20,208	)
USD	550,000	GBP	429,161	BNP Paribas S.A.		8/02/17		(9,576	)
USD	550,000	GBP	430,324	Citibank N.A.		8/02/17		(11,093	)
USD	13,120,780	GBP	10,092,131	UBS AG		8/02/17		(38,189	)
USD	550,000	HUF	150,201,755	Deutsche Bank AG		8/02/17		(6,241	)
USD	550,000	HUF	150,702,266	Goldman Sachs International		8/02/17		(8,095	)
USD	5,483,000	HUF	1,481,583,362	Standard Chartered Bank		8/02/17		(3,739	)
USD	550,000	SEK	4,726,234	Deutsche Bank AG		8/02/17		(12,084	)
USD	550,000	SEK	4,747,095	JPMorgan Chase Bank N.A.		8/02/17		(14,565	)
USD	5,483,000	SEK	46,189,559	JPMorgan Chase Bank N.A.		8/02/17		(10,251	)
ZAR	7,153,214	USD	550,000	Bank of America N.A.		8/02/17		(6,455	)
ZAR	7,202,846	USD	550,000	Barclays Bank PLC		8/02/17		(2,684	)
BRL	18,241,941	USD	5,483,000	Standard Chartered Bank		8/03/17		(17,702	)
COP	1,671,725,000	USD	550,000	BNP Paribas S.A.		8/03/17		(4,224	)
COP	1,671,450,000	USD	550,000	Credit Suisse International		8/03/17		(4,314	)
USD	1,100,000	COP	3,379,200,000	Barclays Bank PLC		8/03/17		(3,223	)
USD	158,025,425	EUR	138,239,000	Deutsche Bank AG		8/03/17		(154,678	)
USD	10,410,097	GBP	8,018,950	Barclays Bank PLC		8/03/17		(45,962	)
USD	2,135,000	RUB	132,583,500	Deutsche Bank AG		8/07/17		(95,009	)
COP	10,489,624,000	USD	3,446,000	Barclays Bank PLC		8/09/17		(23,729	)
USD	4,134,158	EUR	3,679,634	Citibank N.A.		8/11/17		(77,883	)
USD	4,955,787	TRY	17,662,699	Goldman Sachs International		8/11/17		(4,259	)
USD	10,556,000	IDR	144,000,000,000	BNP Paribas S.A.		8/15/17		(175,976	)
USD	832,591	IDR	11,181,700,000	Barclays Bank PLC		8/16/17		(1,879	)
USD	805,539	IDR	10,818,385,000	Barclays Bank PLC		8/16/17		(1,818	)
USD	275,000	IDR	3,693,245,000	Barclays Bank PLC		8/16/17		(621	)
USD	915,368	IDR	12,275,090,000	BNP Paribas S.A.		8/16/17		(700	)
USD	885,626	IDR	11,876,250,000	BNP Paribas S.A.		8/16/17		(677	)
USD	302,340	IDR	4,054,385,000	BNP Paribas S.A.		8/16/17		(231	)
USD	990,590	IDR	13,311,545,000	Deutsche Bank AG		8/16/17		(2,827	)
USD	958,404	IDR	12,879,030,000	Deutsche Bank AG		8/16/17		(2,735	)
USD	931,879	IDR	12,515,130,000	Deutsche Bank AG		8/16/17		(2,103	)
USD	901,600	IDR	12,108,490,000	Deutsche Bank AG		8/16/17		(2,035	)
USD	327,186	IDR	4,396,720,000	Deutsche Bank AG		8/16/17		(934	)
USD	997,412	IDR	13,377,295,000	Deutsche Bank AG		8/16/17		(911	)
USD	988,451	IDR	13,257,100,000	Deutsche Bank AG		8/16/17		(903	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
USD	965,005	IDR	12,942,645,000	Deutsche Bank AG		8/16/17	$	(882	)
USD	956,334	IDR	12,826,350,000	Deutsche Bank AG		8/16/17		(874	)
USD	307,794	IDR	4,133,670,000	Deutsche Bank AG		8/16/17		(695	)
USD	329,439	IDR	4,418,435,000	Deutsche Bank AG		8/16/17		(301	)
USD	326,479	IDR	4,378,735,000	Deutsche Bank AG		8/16/17		(298	)
USD	554,854	IDR	7,454,465,208	Goldman Sachs International		8/16/17		(1,459	)
USD	536,826	IDR	7,212,255,722	Goldman Sachs International		8/16/17		(1,412	)
USD	183,265	IDR	2,462,167,138	Goldman Sachs International		8/16/17		(482	)
USD	925,101	IDR	12,424,110,000	JPMorgan Chase Bank N.A.		8/16/17		(2,088	)
USD	895,043	IDR	12,020,425,000	JPMorgan Chase Bank N.A.		8/16/17		(2,020	)
USD	305,555	IDR	4,103,605,000	JPMorgan Chase Bank N.A.		8/16/17		(690	)
USD	994,548	IDR	13,343,855,000	UBS AG		8/16/17		(1,280	)
USD	962,233	IDR	12,910,285,000	UBS AG		8/16/17		(1,238	)
USD	1,014,885	IDR	13,610,620,000	UBS AG		8/16/17		(851	)
USD	981,909	IDR	13,168,385,000	UBS AG		8/16/17		(824	)
USD	328,493	IDR	4,407,390,000	UBS AG		8/16/17		(423	)
USD	335,210	IDR	4,495,500,000	UBS AG		8/16/17		(281	)
CLP	3,855,260,000	USD	5,800,000	Credit Suisse International		8/21/17		(618	)
USD	4,314,044	GBP	3,365,000	Barclays Bank PLC		8/21/17		(75,736	)
USD	4,316,154	GBP	3,360,000	Barclays Bank PLC		8/21/17		(67,104	)
USD	26,795,402	TRY	95,877,966	BNP Paribas S.A.		8/21/17		(48,931	)
COP	10,529,986,500	USD	3,450,000	UBS AG		8/22/17		(19,606	)
USD	8,180,014	MXN	155,056,255	JPMorgan Chase Bank N.A.		8/23/17		(290,588	)
USD	5,437,000	CNH	37,119,704	Morgan Stanley & Co. International PLC		9/01/17		(12,444	)
USD	1,594,499	EUR	1,410,200	BNP Paribas S.A.		9/07/17		(21,925	)
USD	895,696	CNH	6,118,497	Goldman Sachs International		9/14/17		(1,688	)
USD	577,892	CNH	3,947,582	Goldman Sachs International		9/14/17		(1,089	)
USD	1,263,523	EUR	1,122,843	JPMorgan Chase Bank N.A.		9/14/17		(24,025	)
USD	2,967,665	EUR	2,625,474	UBS AG		9/14/17		(42,928	)
USD	2,273,047	EUR	2,010,950	UBS AG		9/14/17		(32,880	)
USD	8,800,000	AUD	11,672,558	Deutsche Bank AG		9/15/17		(162,930	)
USD	2,543,650	RUB	155,302,566	Credit Suisse International		9/15/17		(47,744	)
USD	837,633	RUB	50,479,968	Credit Suisse International		9/15/17		(4,680	)
CHF	1,350,000	NOK	11,838,710	Citibank N.A.		9/20/17		(5,045	)
EUR	16,575,000	SEK	159,817,295	Goldman Sachs International		9/20/17		(45,505	)
EUR	1,350,000	SEK	13,091,085	HSBC Bank PLC		9/20/17		(12,566	)
EUR	2,240,000	SEK	21,548,692	JPMorgan Chase Bank N.A.		9/20/17		(242	)
EUR	1,350,000	SEK	13,158,689	Morgan Stanley & Co. International PLC		9/20/17		(20,627	)
JPY	119,076,287	USD	1,070,000	Barclays Bank PLC		9/20/17		(7,526	)
JPY	418,516,472	USD	3,740,000	Barclays Bank PLC		9/20/17		(5,731	)
JPY	649,829,797	USD	5,815,000	Citibank N.A.		9/20/17		(16,807	)
KRW	994,426,400	USD	880,000	Deutsche Bank AG		9/20/17		(9,808	)
MXN	26,158,720	GBP	1,120,000	Deutsche Bank AG		9/20/17		(39,438	)
MXN	20,832,856	GBP	880,000	JPMorgan Chase Bank N.A.		9/20/17		(15,779	)
MXN	24,594,840	USD	1,350,000	Deutsche Bank AG		9/20/17		(12,095	)
MXN	67,996,435	USD	3,750,690	JPMorgan Chase Bank N.A.		9/20/17		(51,834	)
MXN	40,816,763	USD	2,235,000	JPMorgan Chase Bank N.A.		9/20/17		(14,658	)
NOK	38,378,818	EUR	4,045,000	Goldman Sachs International		9/20/17		(35,597	)


Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation)
NOK	13,350,000	SEK	13,608,323	JPMorgan Chase Bank N.A.		9/20/17	$	(21,193	)
TRY	3,634,400	EUR	880,000	JPMorgan Chase Bank N.A.		9/20/17		(58	)
USD	24,921,419	AUD	32,974,000	Goldman Sachs International		9/20/17		(396,390	)
USD	24,954,603	AUD	32,966,000	Goldman Sachs International		9/20/17		(357,065	)
USD	1,701,974	AUD	2,240,000	Goldman Sachs International		9/20/17		(17,923	)
USD	6,600,000	CAD	8,591,220	Bank of America N.A.		9/20/17		(33,447	)
USD	880,000	CAD	1,140,455	Citibank N.A.		9/20/17		(568	)
USD	5,825,000	CAD	7,576,793	Credit Suisse International		9/20/17		(25,188	)
USD	1,120,000	CAD	1,478,340	HSBC Bank PLC		9/20/17		(21,454	)
USD	1,120,000	CAD	1,470,563	HSBC Bank PLC		9/20/17		(15,450	)
USD	440,000	CAD	579,740	JPMorgan Chase Bank N.A.		9/20/17		(7,628	)
USD	2,700,000	CHF	2,577,183	Goldman Sachs International		9/20/17		(1,733	)
USD	76,177,860	EUR	67,695,000	Barclays Bank PLC		9/20/17		(1,473,017	)
USD	1,631,395	EUR	1,450,000	Citibank N.A.		9/20/17		(31,856	)
USD	1,638,567	EUR	1,450,000	Citibank N.A.		9/20/17		(24,684	)
USD	1,267,322	EUR	1,120,000	JPMorgan Chase Bank N.A.		9/20/17		(17,396	)
USD	21,308,536	EUR	18,714,320	Morgan Stanley & Co. International PLC		9/20/17		(158,091	)
USD	521,399	GBP	400,000	Bank of America N.A.		9/20/17		(892	)
USD	2,900,000	GBP	2,226,300	HSBC Bank PLC		9/20/17		(6,940	)
USD	1,724,504	GBP	1,350,000	JPMorgan Chase Bank N.A.		9/20/17		(38,228	)
USD	1,131,508	GBP	880,000	Morgan Stanley & Co. International PLC		9/20/17		(17,532	)
USD	1,235,000	NOK	10,379,743	Bank of America N.A.		9/20/17		(10,256	)
USD	880,000	NOK	7,350,758	Bank of America N.A.		9/20/17		(1,869	)
USD	4,030,000	NOK	33,808,206	Deutsche Bank AG		9/20/17		(25,964	)
USD	1,350,000	NOK	11,376,150	Deutsche Bank AG		9/20/17		(14,795	)
USD	1,348,800	NOK	11,335,979	Deutsche Bank AG		9/20/17		(11,175	)
USD	1,461,200	NOK	12,279,048	HSBC Bank PLC		9/20/17		(11,915	)
USD	1,021,111	NZD	1,400,000	BNP Paribas S.A.		9/20/17		(3,284	)
USD	614,349	NZD	840,000	BNP Paribas S.A.		9/20/17		(288	)
USD	636,464	NZD	880,000	Standard Chartered Bank		9/20/17		(7,442	)
USD	100,000	RUB	6,031,850	BNP Paribas S.A.		9/20/17		(558	)
USD	8,114,327	TRY	29,259,859	Bank of America N.A.		9/20/17		(11,861	)
ZAR	39,378,498	USD	3,000,000	Goldman Sachs International		9/20/17		(30,925	)
BRL	6,851,840	USD	2,120,000	Deutsche Bank AG		9/26/17		(87,836	)
RUB	123,638,400	USD	2,120,000	Société Générale		9/26/17		(61,023	)
USD	2,120,000	CAD	2,807,120	Bank of America N.A.		9/26/17		(47,609	)
USD	530,000	CAD	701,805	Goldman Sachs International		9/26/17		(11,921	)
USD	2,650,000	EUR	2,473,145	Bank of America N.A.		9/26/17		(187,820	)
USD	2,200,000	MXN	40,726,019	BNP Paribas S.A.		9/26/17		(13,361	)
JPY	486,325,400	USD	4,400,000	Goldman Sachs International		10/23/17		(53,527	)
JPY	592,851,216	USD	5,300,000	Morgan Stanley & Co. International PLC		10/23/17		(1,466	)
USD	38,644,249	TRY	140,645,744	BNP Paribas S.A.		10/23/17		(76,414	)
JPY	638,341,060	USD	5,900,000	Citibank N.A.		11/10/17		(189,705	)
USD	4,030,000	TWD	122,350,800	Deutsche Bank AG		12/20/17		(21,077	)
USD	4,030,000	TWD	122,391,100	Goldman Sachs International		12/20/17		(22,411	)
USD	16,790,000	HKD	131,339,775	Goldman Sachs International		1/19/18		(104,380	)
INR	994,125,000	USD	15,000,000	JPMorgan Chase Bank N.A.		2/20/18		(64,640	)


Description	Put/ Call		Expiration Date		Strike Price			Contracts		Value
CBOE Volatility Index		Call		7/19/17		USD	12.50		1,546	$	143,005
Alibaba Group Holding Ltd.		Call		7/21/17		USD	145.00		662		129,090
Energy Select Sector SPDR ETF		Call		7/21/17		USD	66.00		1,866		101,697
iShares MSCI Emerging Markets Index ETF		Call		7/21/17		USD	42.00		1,489		41,692
SPDR S&P 500 ETF Trust		Call		7/21/17		USD	245.00		1,870		118,745
Alibaba Group Holding Ltd.		Call		8/18/17		USD	145.00		444		230,880
Financial Select Sector SPDR Fund		Call		8/18/17		USD	25.00		7,462		276,094
Market Vector Russia ETF Trust		Call		8/18/17		USD	22.00		2,080		7,280
iShares MSCI Brazil Index ETF		Call		9/15/17		USD	36.00		3,978		407,745
iShares MSCI Emerging Markets Index ETF		Call		9/15/17		USD	42.00		1,888		162,368
SPDR S&P 500 ETF Trust		Call		1/19/18		USD	280.00		3,532		35,320
SPDR S&P 500 ETF Trust		Call		1/19/18		USD	270.00		1,678		41,950
SPDR S&P 500 ETF Trust		Call		6/15/18		USD	300.00		1,757		21,084
SPDR S&P 500 ETF Trust		Call		1/18/19		USD	310.00		1,683		58,905
SPDR S&P 500 ETF Trust		Call		12/20/19		USD	350.00		1,672		63,536
Energy Select Sector SPDR ETF		Put		7/21/17		USD	64.00		1,068		68,886
Exxon Mobil Corp.		Put		7/21/17		USD	80.00		883		59,603
iShares iBoxx $ High Yield Corporate Bond ETF		Put		7/21/17		USD	88.00		811		40,145
SPDR S&P 500 ETF Trust		Put		7/21/17		USD	239.00		1,500		173,250
SPDR S&P 500 ETF Trust		Put		7/21/17		USD	240.00		935		129,965
AutoZone, Inc.		Put		8/18/17		USD	540.00		348		306,240
Continental Resources, Inc.		Put		8/18/17		USD	27.00		774		34,830
Energy Select Sector SPDR ETF		Put		8/18/17		USD	64.00		1,339		153,316
Hess Corp.		Put		8/18/17		USD	30.00		3,747		14,988
Energy Select Sector SPDR ETF		Put		9/29/17		USD	65.00		1,870		510,510
Euro Dollar (1 Year) Mid-Curve		Put		10/13/17		USD	98.00		9,688		1,029,350
Total										$	4,360,474

OTC Options Purchased

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Notional
Amount (000)

Contracts

Value

USD Currency¹

Call

Barclays Bank PLC

7/03/17

MXN

19.00

USD

3,013

—

USD Currency¹

Call

Morgan Stanley & Co.
International PLC

7/03/17

MXN

20.00

USD

7,532

—

USD Currency¹

Call

Morgan Stanley & Co.
International PLC

7/03/17

MXN

21.50

USD

2,510

—

USD Currency

Call

Morgan Stanley & Co.
International PLC

7/05/17

JPY

112.25

USD

32,100

—

142,263

AUD Currency

Call

Morgan Stanley & Co.
International PLC

7/07/17

NZD

1.06

AUD

40,450

—

51,139

USD Currency

Call

Barclays Bank PLC

7/07/17

JPY

111.00

USD

4,431

—

59,060

USD Currency

Call

Royal Bank of Scotland PLC

7/07/17

EUR

1.11

USD

55,200

—

460

USD Currency

Call

Citibank N.A.

7/13/17

MXN

18.36

USD

22,365

—

88,784

Nikkei 225 Index

Call

Citibank N.A.

7/14/17

JPY

20,509.65

—

9,249

EUR Currency

Call

Deutsche Bank AG

7/21/17

JPY

130.00

EUR

26,700

—

105,976

EUR Currency

Call

HSBC Bank PLC

7/21/17

JPY

125.00

EUR

21,400

—

642,940

USD Currency

Call

BNP Paribas S.A.

7/26/17

JPY

113.00

USD

18,753

—

108,511

USD Currency

Call

Citibank N.A.

7/26/17

JPY

113.00

USD

18,735

—

107,714

EUR Currency

Call

HSBC Bank PLC

7/28/17

GBP

0.88

EUR

10,700

—

93,982

EUR Currency

Call

HSBC Bank PLC

7/28/17

GBP

0.92

EUR

10,700

—

3,868

GBP Currency

Call

HSBC Bank PLC

7/28/17

JPY

150.00

GBP

26,700

—

65,267

GBP Currency

Call

HSBC Bank PLC

7/28/17

JPY

145.00

GBP

21,400

—

392,803

USD Currency

Call

Deutsche Bank AG

8/07/17

RUB

58.00

USD

3,446

—

113,751

USD Currency

Call

Morgan Stanley & Co.
International PLC

8/09/17

JPY

118.00

USD

66,300

—

21,339

USD Currency

Call

Deutsche Bank AG

8/11/17

CNH

7.10

USD

10,700

—

433

USD Currency

Call

HSBC Bank PLC

8/11/17

CNH

6.80

USD

10,700

—

54,173

USD Currency

Call

UBS AG

8/11/17

CAD

1.35

USD

22,000

—

18,964

AUD Currency

Call

Bank of America N.A.

8/14/17

NZD

1.08

AUD

10,775

—

11,301

AUD Currency

Call

Citibank N.A.

8/14/17

NZD

1.08

AUD

34,000

—

35,658

AUD Currency

Call

UBS AG

8/14/17

NZD

1.12

AUD

33,465

—

1,195

AUD Currency

Call

UBS AG

8/14/17

NZD

1.12

AUD

22,310

—

797

EUR Currency

Call

Barclays Bank PLC

8/16/17

USD

1.11

EUR

33,000

—

1,169,292

EUR Currency

Call

BNP Paribas S.A.

8/16/17

USD

1.14

EUR

33,000

—

427,315

USD Currency

Call

Bank of America N.A.

8/25/17

CAD

1.34

USD

22,365

—

59,588

USD Currency

Call

Barclays Bank PLC

8/25/17

CAD

1.35

USD

22,000

—

28,584

USD Currency

Call

Goldman Sachs
International

8/25/17

CAD

1.38

USD

22,000

—

6,486

USD Currency

Call

UBS AG

8/25/17

CAD

1.35

USD

22,405

—

29,964

USD Currency

Call

HSBC Bank PLC

9/01/17

TWD

30.50

USD

7,968

—

64,136

AUD Currency

Call

Morgan Stanley & Co.
International PLC

9/05/17

NZD

1.08

AUD

44,855

—

85,331

EUR Currency

Call

BNP Paribas S.A.

9/18/17

USD

1.11

EUR

104,085

—

4,072,335

USD Currency

Call

Credit Suisse International

9/29/17

CAD

1.37

USD

22,100

—

33,129

Description

Put/
Call

Counterparty

Expiration
Date

Strike
Price

Notional
Amount
(000)

Contracts

Value

USD Currency

Call

Bank of America N.A.

11/10/17

HKD

7.74

USD

20,500

—

130,730

USD Currency

Call

Citibank N.A.

11/10/17

JPY

118.00

USD

70,500

—

262,968

USD Currency

Call

HSBC Bank PLC

11/10/17

HKD

7.74

USD

20,500

—

125,443

USD Currency

Call

Deutsche Bank AG

11/15/17

JPY

120.00

USD

67,000

—

145,135

USD Currency

Call

HSBC Bank PLC

11/15/17

JPY

114.00

USD

67,000

—

817,043

USD Currency

Call

HSBC Bank PLC

2/09/18

HKD

7.75

USD

20,500

—

103,397

USD Currency

Call

JPMorgan Chase
Bank N.A.

2/09/18

HKD

7.75

USD

20,500

—

103,397

USD Currency

Call

HSBC Bank PLC

3/15/18

HKD

7.75

USD

42,550

—

215,330

GBP Currency¹

Put

Deutsche Bank AG

7/03/17

USD

1.25

GBP

22,425

—

GBP Currency

Put

UBS AG

7/03/17

USD

1.28

GBP

22,425

—

USD Currency

Put

Citibank N.A.

7/03/17

CNH

6.79

USD

208,766

—

574,340

USD Currency

Put

Citibank N.A.

7/03/17

CNH

6.80

USD

54,375

—

207,440

EUR Currency

Put

JPMorgan Chase
Bank N.A.

7/06/17

MXN

20.80

EUR

4,039

—

47,714

USD Currency

Put

Citibank N.A.

7/06/17

BRL

3.18

USD

5,271

—

USD Currency

Put

Citibank N.A.

7/07/17

CAD

1.31

USD

10,700

—

107,628

AUD Currency

Put

Barclays Bank PLC

7/27/17

USD

0.75

AUD

6,335

—

6,872

AUD Currency

Put

JPMorgan Chase
Bank N.A.

7/27/17

USD

0.72

AUD

6,335

—

245

GBP Currency

Put

HSBC Bank PLC

7/28/17

USD

1.22

GBP

10,700

—

564

GBP Currency¹

Put

HSBC Bank PLC

7/28/17

USD

1.17

GBP

10,700

—

USD Currency

Put

HSBC Bank PLC

7/28/17

CNH

6.88

USD

10,619

—

113,806

USD Currency

Put

BNP Paribas S.A.

8/04/17

RUB

58.00

USD

21,400

—

119,766

USD Currency

Put

Deutsche Bank AG

8/04/17

RUB

55.00

USD

21,400

—

6,034

USD Currency

Put

Société Générale

8/04/17

RUB

55.00

USD

32,000

—

9,160

KOSPI 200 Index

Put

Citibank N.A.

8/10/17

KRW

304.52

—

21,070

CAD Currency

Put

JPMorgan Chase
Bank N.A.

8/15/17

MXN

14.00

CAD

21,500

—

223,760

CAD Currency

Put

JPMorgan Chase
Bank N.A.

8/15/17

MXN

13.50

CAD

21,500

—

37,881

EUR Currency

Put

BNP Paribas S.A.

8/25/17

USD

1.12

EUR

4,921

—

17,943

USD Currency

Put

Citibank N.A.

8/25/17

TRY

3.52

USD

10,486

—

99,431

EUR Currency

Put

JPMorgan Chase
Bank N.A.

8/29/17

MXN

20.50

EUR

4,256

—

51,217

USD Currency

Put

Deutsche Bank AG

9/01/17

CNH

6.80

USD

10,619

—

56,203

USD Currency

Put

Citibank N.A.

9/26/17

MXN

18.20

USD

5,500

—

108,137

USD Currency

Put

Credit Suisse
International

9/26/17

RUB

58.34

USD

3,500

—

41,311

USD Currency

Put

Deutsche Bank AG

9/26/17

TRY

3.50

USD

11,100

—

99,767

USD Currency

Put

Deutsche Bank AG

9/26/17

RUB

56.50

USD

7,500

—

32,845

USD Currency

Put

Deutsche Bank AG

10/27/17

SEK

8.25

USD

22,300

—

207,321

USD Currency

Put

Goldman
Sachs International

10/27/17

SEK

8.50

USD

44,700

—

1,183,594

USD Currency

Put

Goldman Sachs
International

10/27/17

SEK

8.25

USD

22,400

—

208,251

USD Currency

Put

Morgan Stanley & Co.
International PLC

10/27/17

SEK

8.00

USD

44,700

—

188,127

USD Currency

Put

Deutsche Bank AG

1/12/18

SEK

8.00

USD

44,950

—

325,089

USD Currency

Put

Deutsche Bank AG

2/16/18

INR

67.00

USD

21,400

—

575,178

USD Currency

Put

JPMorgan Chase
Bank N.A.

5/17/18

CNH

6.90

USD

44,450

—

654,976

Total

15,334,936


Description	Put/ Call		Expiration Date		Strike Price			Contracts		Value
PowerShares QQQ Trust, Series 1 ETF		Call		7/14/17		USD	141.00		1,311	$	(41,297	)
PowerShares QQQ Trust, Series 1 ETF		Call		7/14/17		USD	141.50		2,621		(60,283	)
CBOE Volatility Index		Call		7/19/17		USD	16.00		1,546		(61,840	)
CBOE Volatility Index		Call		7/19/17		USD	13.00		2,181		(174,480	)
Delta Air Lines, Inc.		Call		7/21/17		USD	55.00		1,041		(75,993	)
United Continental Holdings, Inc.		Call		7/21/17		USD	80.00		561		(41,514	)
U.S. Treasury Notes (2 Year)		Call		8/25/17		USD	108.38		849		(66,328	)
iShares MSCI Brazil Index ETF		Call		9/15/17		USD	41.00		5,967		(71,604	)
iShares MSCI Emerging Markets Index ETF		Call		9/15/17		USD	43.00		3,773		(182,991	)
PowerShares QQQ Trust, Series 1 ETF		Put		7/14/17		USD	133.00		1,311		(72,105	)
PowerShares QQQ Trust, Series 1 ETF		Put		7/14/17		USD	134.00		2,621		(183,470	)
Delta Air Lines, Inc.		Put		7/21/17		USD	52.00		1,167		(70,604	)
Energy Select Sector SPDR ETF		Put		7/21/17		USD	62.50		1,068		(34,176	)
iShares iBoxx $ High Yield Corporate Bond ETF		Put		7/21/17		USD	86.50		2,703		(41,897	)
SPDR S&P 500 ETF Trust		Put		7/21/17		USD	236.00		2,246		(156,097	)
SPDR S&P Oil & Gas Explore & Production ETF		Put		7/21/17		USD	28.50		2,136		(26,700	)
United Continental Holdings, Inc.		Put		7/21/17		USD	77.50		562		(200,915	)
AutoZone, Inc.		Put		8/18/17		USD	510.00		442		(159,120	)
Continental Resources, Inc.		Put		8/18/17		USD	24.00		774		(13,545	)
Energy Select Sector SPDR ETF		Put		8/18/17		USD	60.00		2,009		(76,342	)
U.S. Treasury Notes (10 Year)		Put		8/25/17		USD	125.00		441		(268,734	)
Energy Select Sector SPDR ETF		Put		9/29/17		USD	60.00		2,805		(272,085	)
Euro Dollar (1 Year) Mid-Curve		Put		10/13/17		USD	97.50		4,843		(60,538	)
Euro Dollar (1 Year) Mid-Curve		Put		10/13/17		USD	97.63		9,688		(181,650	)
Total										$	(2,594,308	)

Description

Put/
Call

Counterparty

Expiration

Date

Strike
Price

Notional

Amount

(000)

Value

USD Currency¹

Call

Goldman Sachs International

7/03/17

MXN

22.60

USD

5,020

)

USD Currency¹

Call

Morgan Stanley & Co. International PLC

7/03/17

MXN

19.00

USD

3,013

—

USD Currency

Call

BNP Paribas S.A.

7/05/17

JPY

112.25

USD

18,700

(81,860

)

USD Currency

Call

Goldman Sachs International

7/05/17

JPY

112.25

USD

13,400

(58,659

)

Fannie Mae Mortgage-Backed Securities

Call

JPMorgan Chase Bank N.A.

7/06/17

USD

100.00

USD

14,810

(17,263

)

USD Currency

Call

Citibank N.A.

7/06/17

BRL

3.31

USD

5,271

(29,645

)

USD Currency

Call

Deutsche Bank AG

7/17/17

ZAR

14.00

USD

2,510

(2,511

)

EUR Currency

Call

Deutsche Bank AG

7/21/17

JPY

125.00

EUR

21,400

(649,521

)

EUR Currency

Call

HSBC Bank PLC

7/21/17

JPY

130.00

EUR

26,700

(104,295

)

USD Currency

Call

Citibank N.A.

7/27/17

TRY

3.65

USD

10,486

(38,777

)

EUR Currency

Call

HSBC Bank PLC

7/28/17

GBP

0.92

EUR

10,700

(3,992

)

EUR Currency

Call

Morgan Stanley & Co. International PLC

7/28/17

GBP

0.88

EUR

10,700

(92,922

)

GBP Currency

Call

HSBC Bank PLC

7/28/17

JPY

145.00

GBP

21,400

(392,314

)

GBP Currency

Call

HSBC Bank PLC

7/28/17

JPY

150.00

GBP

26,700

(65,569

)

TRY Currency

Call

BNP Paribas S.A.

7/28/17

ZAR

3.68

TRY

12,647

(62,768

)

USD Currency

Call

Morgan Stanley & Co. International PLC

8/09/17

JPY

118.00

USD

66,300

(21,439

)

USD Currency

Call

Barclays Bank PLC

8/10/17

BRL

3.40

USD

3,190

(33,638

)

USD Currency

Call

Deutsche Bank AG

8/11/17

CNH

6.80

USD

10,700

(54,148

)

USD Currency

Call

Deutsche Bank AG

8/11/17

CAD

1.35

USD

22,100

(19,270

)

USD Currency

Call

HSBC Bank PLC

8/11/17

CNH

7.10

USD

10,700

(433

)

AUD Currency

Call

Bank of America N.A.

8/14/17

NZD

1.12

AUD

10,775

(385

)

AUD Currency

Call

Bank of America N.A.

8/14/17

NZD

1.08

AUD

44,775

(46,989

)

AUD Currency

Call

Citibank N.A.

8/14/17

NZD

1.12

AUD

45,000

(1,642

)

EUR Currency

Call

Barclays Bank PLC

8/16/17

USD

1.14

EUR

33,000

(427,312

)

EUR Currency

Call

BNP Paribas S.A.

8/16/17

USD

1.11

EUR

33,000

(1,169,298

)

USD Currency

Call

Barclays Bank PLC

8/25/17

CAD

1.38

USD

22,000

(6,449

)

EUR Currency

Call

JPMorgan Chase Bank N.A.

8/29/17

MXN

21.50

EUR

4,256

(43,679

)

EUR Currency

Call

Citibank N.A.

9/18/17

USD

1.11

EUR

104,085

(4,089,387

)

USD Currency

Call

HSBC Bank PLC

9/29/17

CAD

1.37

USD

22,100

(33,316

)

USD Currency

Call

HSBC Bank PLC

11/10/17

HKD

7.74

USD

20,500

(126,259

)

USD Currency

Call

HSBC Bank PLC

11/10/17

HKD

7.74

USD

20,500

(131,548

)

USD Currency

Call

HSBC Bank PLC

11/15/17

JPY

120.00

USD

67,000

(143,192

)

USD Currency

Call

Goldman Sachs International

12/18/17

HKD

7.78

USD

20,500

(44,017

)

GBP Currency

Put

Deutsche Bank AG

7/03/17

USD

1.28

GBP

3,360

)

GBP Currency¹

Put

UBS AG

7/03/17

USD

1.25

GBP

22,425

)

USD Currency

Put

Citibank N.A.

7/03/17

CNH

6.76

USD

54,375

(29,817

)

USD Currency

Put

Citibank N.A.

7/03/17

CNH

6.75

USD

208,766

(79,028

)

Fannie Mae Mortgage-Backed Securities

Put

Credit Suisse International

7/06/17

USD

99.00

USD

8,052

(700

)

USD Currency

Put

Deutsche Bank AG

7/07/17

CAD

1.31

USD

10,700

(106,859

)

USD Currency

Put

Deutsche Bank AG

7/17/17

ZAR

13.00

USD

2,510

(20,609

)

AUD Currency

Put

Barclays Bank PLC

7/27/17

USD

0.72

AUD

6,335

(245

)

GBP Currency¹

Put

HSBC Bank PLC

7/28/17

USD

1.17

GBP

10,700

)

USD Currency

Put

HSBC Bank PLC

7/28/17

CNH

6.88

USD

10,619

—

USD Currency

Put

BNP Paribas S.A.

8/04/17

RUB

55.00

USD

42,800

(12,065

)

USD Currency

Put

Société Générale

8/04/17

RUB

58.00

USD

21,400

(121,032

)

USD Currency

Put

Barclays Bank PLC

8/10/17

BRL

3.30

USD

3,190

(38,942

)

CAD Currency

Put

Goldman Sachs International

8/15/17

MXN

13.50

CAD

21,500

(37,447

)

CAD Currency

Put

JPMorgan Chase Bank N.A.

8/15/17

MXN

14.00

CAD

21,500

(219,696

)

USD Currency

Put

HSBC Bank PLC

9/01/17

TWD

30.00

USD

7,968

(24,989

)

Fixed Rate

Floating Rate

Effective Date

Expiration Date

Notional

Amount

(000)

Unrealized

Appreciation

(Depreciation)

7.36%¹

28-day MXIBTIIE

N/A

1/28/19

MXN

728,739

$(230,861

)

7.32%²

28-day MXIBTIIE

N/A

2/20/20

MXN

674,413

507,687

7.16%²

28-day MXIBTIIE

N/A

4/29/20

MXN

702,890

416,940

7.05%²

28-day MXIBTIIE

N/A

6/11/20

MXN

375,000

173,206

7.45%²

28-day MXIBTIIE

N/A

3/07/22

MXN

230,990

335,116

7.48%²

28-day MXIBTIIE

N/A

3/07/22

MXN

115,492

176,444

7.47%²

28-day MXIBTIIE

N/A

3/07/22

MXN

115,490

173,898

7.16%²

28-day MXIBTIIE

N/A

6/01/22

MXN

275,071

228,787

6.32%²

28-day MXIBTIIE

N/A

7/17/25

MXN

73,475

(187,496

)

2.13%²

3-month LIBOR

N/A

8/25/25

USD

2,360

(7,907

)

2.27%¹

3-month LIBOR

N/A

9/11/25

USD

1,800

(12,767

)

3.46%²

UK RPI All Items Monthly

N/A

10/15/26

GBP

27,662

183,477

3.45%²

UK RPI All Items Monthly

N/A

10/15/26

GBP

20,580

95,403

3.43%²

UK RPI All Items Monthly

N/A

10/15/26

GBP

20,281

37,387

7.41%²

28-day MXIBTIIE

N/A

5/25/27

MXN

157,720

143,715

7.38%²

28-day MXIBTIIE

N/A

5/25/27

MXN

25,663

19,818

7.20%¹

28-day MXIBTIIE

N/A

6/03/27

MXN

141,000

(7,634

)

7.82%²

28-day MXIBTIIE

N/A

3/04/37

MXN

55,688

77,791

7.92%²

28-day MXIBTIIE

N/A

5/01/37

MXN

72,507

142,817

7.95%²

28-day MXIBTIIE

N/A

5/01/37

MXN

66,714

143,384

Total

$2,409,205


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date		Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.9.A		2.00	%	J.P. Morgan Securities LLC	9/17/58	USD		1,021		$ 178,887			$ 140,799			$ 38,088
CMBX.NA.9.A		2.00	%	Morgan Stanley & Co. International PLC	9/17/58	USD		1,780		292,300			225,926			66,374
CMBX.NA.9.AAA		0.50	%	Credit Suisse International	9/17/58	USD		4,540		117,896			55,763			62,133
CMBX.NA.9.AAA		0.50	%	Deutsche Bank AG	9/17/58	USD		3,620		94,649			45,107			49,542
CMBX.NA.9.AAA		0.50	%	Morgan Stanley & Co. International PLC	9/17/58	USD		5,520		157,148			81,604			75,544
CMBX.NA.9.AAA		0.50	%	Morgan Stanley & Co. International PLC	9/17/58	USD		3,050		79,203			37,462			41,741
CMBX.NA.9.AAA		0.50	%	Morgan Stanley & Co. International PLC	9/17/58	USD		2,530		65,700			31,075			34,625
CMBX.NA.6.BBB-		3.00	%	Deutsche Bank AG	5/11/63	USD		1,700		354,668			156,167			198,501
CMBX.NA.6.BBB-		3.00	%	J.P. Morgan Securities LLC	5/11/63	USD		850		184,680			85,430			99,250
CMBX.NA.6.BBB-		3.00	%	Morgan Stanley & Co. International PLC	5/11/63	USD		850		147,992			48,742			99,250
Buoni Poliennali Del Tesoro		1.00	%	Barclays Bank PLC	3/20/18	USD		6,000		15,852			52,488			(36,636	)
ITRAXX.FINSR.19.V1		1.00	%	Citibank N.A.	6/20/18	EUR		8,200		(137,168	)		(50,933	)		(86,235	)
ITRAXX.FINSR.20.V1		1.00	%	Barclays Bank PLC	12/20/18	EUR		1,450		(25,876	)		(3,653	)		(22,223	)
ITRAXX.FINSR.20.V1		1.00	%	Citibank N.A.	12/20/18	EUR		5,900		(138,570	)		(48,147	)		(90,423	)
ITRAXX.FINSR.20.V1		1.00	%	Citibank N.A.	12/20/18	EUR		3,120		(55,519	)		(7,702	)		(47,817	)
Hertz Global Holdings, Inc.		5.00	%	Barclays Bank PLC	6/20/19	USD		300		145			1,451			(1,306	)
Republic of Portugal		1.00	%	BNP Paribas S.A.	9/20/19	USD		875		6,578			11,418			(4,840	)
United Mexican States		1.00	%	JPMorgan Chase Bank N.A.	6/20/20	USD		7,452		(42,285	)		38,920			(81,205	)
United Mexican States		1.00	%	Bank of America N.A.	9/20/20	USD		7,452		(11,342	)		60,327			(71,669	)


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Cable & Wireless Communications Ltd.		5.00	%	Goldman Sachs International	6/20/22	EUR	450	$	(159,996	)	$	(72,806	)	$	(87,190	)
CBS Corp.		1.00	%	Credit Suisse International	6/20/22	USD	4,500		(159,698	)		(79,986	)		(79,712	)
CBS Corp.		1.00	%	JPMorgan Chase Bank N.A.	6/20/22	USD	7,500		(269,905	)		(137,052	)		(132,853	)
CBS Corp.		1.00	%	JPMorgan Chase Bank N.A.	6/20/22	USD	5,400		(191,778	)		(96,124	)		(95,654	)
Fiat Chrysler Automobiles NV		5.00	%	Bank of America N.A.	6/20/22	EUR	1,400		(316,133	)		(156,497	)		(159,636	)
Glencore International AG		5.00	%	Goldman Sachs International	6/20/22	EUR	5,300		(1,838,957	)		(879,943	)		(959,014	)
Halliburton Co.		1.00	%	Morgan Stanley & Co. International PLC	6/20/22	USD	8,400		(238,323	)		(112,590	)		(125,733	)
Iceland Bondco PLC		5.00	%	Citibank N.A.	6/20/22	EUR	400		(75,564	)		(28,741	)		(46,823	)
Kingdom of Saudi Arabia		1.00	%	Barclays Bank PLC	6/20/22	USD	2,210		(13,628	)		(9,255	)		(4,373	)
Kingdom of Saudi Arabia		1.00	%	Citibank N.A.	6/20/22	USD	11,050		(63,008	)		(41,145	)		(21,863	)
Kingdom of Saudi Arabia		1.00	%	Morgan Stanley & Co. International PLC	6/20/22	USD	3,315		(18,901	)		(12,342	)		(6,559	)
Lanxess AG		1.00	%	JPMorgan Chase Bank N.A.	6/20/22	EUR	2,167		(77,608	)		(28,189	)		(49,419	)
Marks & Spencer PLC		1.00	%	Bank of America N.A.	6/20/22	EUR	1,630		89,424			54,928			34,496
Marks & Spencer PLC		1.00	%	Barclays Bank PLC	6/20/22	EUR	1,650		93,097			58,178			34,919
Melia Hotels International SA		5.00	%	JPMorgan Chase Bank N.A.	6/20/22	EUR	870		(384,763	)		(178,552	)		(206,211	)
New Look Senior Issuer PLC		5.00	%	JPMorgan Chase Bank N.A.	6/20/22	EUR	940		595,740			247,783			347,957
People’s Republic of China		1.00	%	Bank of America N.A.	6/20/22	USD	2,001		(45,522	)		(16,707	)		(28,815	)
People’s Republic of China		1.00	%	Barclays Bank PLC	6/20/22	USD	4,600		(107,836	)		(41,599	)		(66,237	)
People’s Republic of China		1.00	%	Barclays Bank PLC	6/20/22	USD	3,159		(64,261	)		(18,773	)		(45,488	)
People’s Republic of China		1.00	%	Barclays Bank PLC	6/20/22	USD	1,387		(32,211	)		(12,236	)		(19,975	)
People’s Republic of China		1.00	%	Goldman Sachs International	6/20/22	USD	2,641		(52,487	)		(14,459	)		(38,028	)
People’s Republic of China		1.00	%	JPMorgan Chase Bank N.A.	6/20/22	USD	1,212		(29,874	)		(12,427	)		(17,447	)
Republic of Argentina		5.00	%	Barclays Bank PLC	6/20/22	USD	5,924		(722,740	)		(270,960	)		(451,780	)
Republic of Argentina		5.00	%	Barclays Bank PLC	6/20/22	USD	1,867		(280,554	)		(138,167	)		(142,387	)
Republic of Argentina		5.00	%	Barclays Bank PLC	6/20/22	USD	1,028		(161,292	)		(82,891	)		(78,401	)
Republic of Argentina		5.00	%	Barclays Bank PLC	6/20/22	USD	967		(153,055	)		(79,307	)		(73,748	)
Republic of Argentina		5.00	%	Barclays Bank PLC	6/20/22	USD	967		(153,055	)		(79,307	)		(73,748	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	5,500		7,627			13,181			(5,554	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	1,344		16,257			17,614			(1,357	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	1,237		13,538			14,787			(1,249	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	1,200		13,133			14,345			(1,212	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	780		9,975			10,763			(788	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	780		7,985			8,773			(788	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	640		8,185			8,831			(646	)
Republic of France		0.25	%	Bank of America N.A.	6/20/22	USD	618		6,763			7,387			(624	)
Republic of France		0.25	%	Goldman Sachs International	6/20/22	USD	1,656		16,971			18,643			(1,672	)
Republic of France		0.25	%	Goldman Sachs International	6/20/22	USD	780		7,993			8,781			(788	)
Republic of France		0.25	%	Goldman Sachs International	6/20/22	USD	618		8,046			8,670			(624	)
Republic of France		0.25	%	JPMorgan Chase Bank N.A.	6/20/22	USD	770		8,952			9,730			(778	)
Republic of Indonesia		1.00	%	Citibank N.A.	6/20/22	USD	681		13,686			8,342			5,344
Republic of Indonesia		1.00	%	Goldman Sachs International	6/20/22	USD	1,010		20,572			12,645			7,927
Republic of Indonesia		1.00	%	JPMorgan Chase Bank N.A.	6/20/22	USD	908		19,468			12,343			7,125
Republic of Korea		1.00	%	JPMorgan Chase Bank N.A.	6/20/22	USD	5,000		(232,042	)		(120,471	)		(111,571	)
Republic of South Africa		1.00	%	Bank of America N.A.	6/20/22	USD	4,065		374,225			198,331			175,894


Issuer/Index	Pay Fixed Rate			Counterparty	Expiration Date		Notional Amount (000)		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
Republic of South Africa		1.00	%	Barclays Bank PLC		6/20/22	USD	5,930		$ 516,689			$ 260,095			$ 256,594
Republic of South Africa		1.00	%	Barclays Bank PLC		6/20/22	USD	133		12,173			6,418			5,755
Republic of South Africa		1.00	%	Citibank N.A.		6/20/22	USD	9,965		917,381			486,191			431,190
Republic of South Africa		1.00	%	Goldman Sachs International		6/20/22	USD	2,487		228,687			121,074			107,613
Republic of South Africa		1.00	%	HSBC Bank PLC		6/20/22	USD	4,445		404,928			212,591			192,337
Republic of the Philippines		1.00	%	JPMorgan Chase Bank N.A.		6/20/22	USD	18,547		(250,225	)		(45,765	)		(204,460	)
Rio Tinto PLC		1.00	%	Goldman Sachs International		6/20/22	USD	10,600		(81,827	)		(31,827	)		(50,000	)
SFR Group SA		5.00	%	Barclays Bank PLC		6/20/22	EUR	1,500		(383,879	)		(180,102	)		(203,777	)
Simon Property Group, Inc.		1.00	%	Barclays Bank PLC		6/20/22	USD	4,200		(34,958	)		(5,561	)		(29,397	)
STMicroelectronics NV		1.00	%	JPMorgan Chase Bank N.A.		6/20/22	EUR	888		(16,962	)		(5,025	)		(11,937	)
Target Corp.		1.00	%	Goldman Sachs International		6/20/22	USD	11,000		(342,762	)		(185,209	)		(157,553	)
Tata Motors Ltd.		5.00	%	Credit Suisse International		6/20/22	EUR	400		(139,527	)		(59,725	)		(79,802	)
Tata Motors Ltd.		5.00	%	Credit Suisse International		6/20/22	EUR	300		(104,142	)		(44,291	)		(59,851	)
Tata Motors Ltd.		5.00	%	JPMorgan Chase Bank N.A.		6/20/22	EUR	800		(276,260	)		(116,656	)		(159,604	)
Vodafone Group PLC		1.00	%	Barclays Bank PLC		6/20/22	EUR	5,530		(158,461	)		(37,060	)		(121,401	)
CMBX.NA.6.AAA		0.50	%	Deutsche Bank AG		5/11/63	USD	6,505		(8,499	)		2,136			(10,635	)
CMBX.NA.6.AAA		0.50	%	Deutsche Bank AG		5/11/63	USD	5,788		(11,385	)		(1,923	)		(9,462	)
CMBX.NA.6.AAA		0.50	%	Deutsche Bank AG		5/11/63	USD	4,064		(5,839	)		806			(6,645	)
CMBX.NA.6.BBB-		3.00	%	J.P. Morgan Securities LLC		5/11/63	USD	840		152,885			54,802			98,083
CMBX.NA.6.BBB-		3.00	%	J.P. Morgan Securities LLC		5/11/63	USD	840		152,885			54,802			98,083
Total										$(4,130,098	)		$(934,019	)		$(3,196,079	)


Issuer/Index	Receive Fixed Rate			Counterparty	Expiration Date	Credit Rating¹		Notional Amount (000)²		Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.4.AM		0.50	%	Deutsche Bank AG	2/17/51		BBB-	USD	1,840		$(256,390	)		$(245,463	)		$ (10,927	)
CMBX.NA.8.A		2.00	%	Goldman Sachs International	10/17/57		Not Rated	USD	1,710		(183,844	)		(97,401	)		(86,443	)
CMBX.NA.8.A		2.00	%	Goldman Sachs International	10/17/57		Not Rated	USD	440		(67,106	)		(44,863	)		(22,243	)
CMBX.NA.8.A		2.00	%	Morgan Stanley & Co. International PLC	10/17/57		Not Rated	USD	290		(39,633	)		(24,973	)		(14,660	)
CMBX.NA.9.A		2.00	%	Credit Suisse International	9/17/58		Not Rated	USD	1,790		(124,712	)		(57,965	)		(66,747	)
CMBX.NA.9.A		2.00	%	Credit Suisse International	9/17/58		Not Rated	USD	1,360		(121,053	)		(70,340	)		(50,713	)
CMBX.NA.9.A		2.00	%	Credit Suisse International	9/17/58		Not Rated	USD	400		(71,230	)		(56,314	)		(14,916	)
CMBX.NA.9.A		2.00	%	Deutsche Bank AG	9/17/58		Not Rated	USD	1,850		(261,953	)		(192,969	)		(68,984	)
CMBX.NA.9.A		2.00	%	Deutsche Bank AG	9/17/58		Not Rated	USD	1,530		(136,140	)		(79,088	)		(57,052	)
CMBX.NA.9.A		2.00	%	J.P. Morgan Securities LLC	9/17/58		Not Rated	USD	4,880		(442,044	)		(260,074	)		(181,970	)
CMBX.NA.9.A		2.00	%	J.P. Morgan Securities LLC	9/17/58		Not Rated	USD	551		(88,939	)		(68,377	)		(20,562	)
CMBX.NA.9.A		2.00	%	Morgan Stanley & Co. International PLC	9/17/58		Not Rated	USD	2,740		(165,184	)		(63,013	)		(102,171	)
CMBX.NA.9.A		2.00	%	Morgan Stanley & Co. International PLC	9/17/58		Not Rated	USD	1,810		(159,795	)		(92,302	)		(67,493	)
CMBX.NA.9.A		2.00	%	Morgan Stanley & Co. International PLC	9/17/58		Not Rated	USD	1,630		(149,520	)		(88,739	)		(60,781	)
CMBX.NA.9.A		2.00	%	Morgan Stanley & Co. International PLC	9/17/58		Not Rated	USD	890		(76,703	)		(43,516	)		(33,187	)
CMBX.NA.9.BBB-		3.00	%	Credit Suisse International	9/17/58		Not Rated	USD	2,570		(575,329	)		(271,748	)		(303,581	)
CMBX.NA.9.BBB-		3.00	%	Morgan Stanley & Co. International PLC	9/17/58		Not Rated	USD	3,860		(950,420	)		(494,457	)		(455,963	)
CMBX.NA.9.BBB-		3.00	%	Morgan Stanley & Co. International PLC	9/17/58		Not Rated	USD	2,760		(622,976	)		(296,951	)		(326,025	)
CMBX.NA.9.BBB-		3.00	%	Morgan Stanley & Co. International PLC	9/17/58		Not Rated	USD	940		(214,753	)		(103,715	)		(111,038	)


Issuer/Index	Receive Fixed Rate			Counterparty	Expiration Date		Credit Rating¹		Notional Amount (000)²			Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
CMBX.NA.10.A		2.00	%	Deutsche Bank AG		11/17/59		A-		USD	3,340	$	(253,846	)	$	(151,132	)	$	(102,714	)
CMBX.NA.10.A		2.00	%	Deutsche Bank AG		11/17/59		A-		USD	1,670		(128,193	)		(76,836	)		(51,357	)
CMBX.NA.10.BBB-		3.00	%	J.P. Morgan Securities LLC		11/17/59		BBB-		USD	60		(11,857	)		(5,372	)		(6,485	)
SAS AB		5.00	%	Goldman Sachs International		12/20/17		Not Rated		EUR	270		1,377			(2,920	)		4,297
Buoni Poliennali Del Tesoro		1.00	%	Barclays Bank PLC		3/20/18		BBB-		EUR	4,500		(30,486	)		(64,322	)		33,836
Buoni Poliennali Del Tesoro		1.00	%	Barclays Bank PLC		3/20/18		BBB-		USD	37		(198	)		(424	)		226
ITRAXX.FINSUB.19.V1		5.00	%	Citibank N.A.		6/20/18		BBB		EUR	5,900		594,289			276,260			318,029
ITRAXX.FINSUB.20.V1		5.00	%	Barclays Bank PLC		12/20/18		BBB		EUR	1,160		205,112			111,324			93,788
ITRAXX.FINSUB.20.V1		5.00	%	Citibank N.A.		12/20/18		BBB		EUR	4,600		682,900			310,982			371,918
ITRAXX.FINSUB.20.V1		5.00	%	Citibank N.A.		12/20/18		BBB		EUR	1,660		292,082			157,868			134,214
ITRAXX.FINSUB.20.V1		5.00	%	Deutsche Bank AG		12/20/18		BBB		EUR	830		146,402			79,295			67,107
SAS AB		5.00	%	Goldman Sachs International		6/20/19		Not Rated		EUR	1,000		(37,083	)		(57,165	)		20,082
Transocean Ltd.		1.00	%	Goldman Sachs International		6/20/19		B+		USD	350		(10,908	)		(4,307	)		(6,601	)
United Mexican States		1.00	%	Bank of America N.A.		6/20/20		BBB+		USD	7,452		36,092			(45,113	)		81,205
People’s Republic of China		1.00	%	Barclays Bank PLC		9/20/20		AA-		USD	1,000		12,682			(5,219	)		17,901
People’s Republic of China		1.00	%	Goldman Sachs International		9/20/20		AA-		USD	1,000		12,382			(5,519	)		17,901
United Mexican States		1.00	%	JPMorgan Chase Bank N.A.		9/20/20		BBB+		USD	7,452		19,114			(52,555	)		71,669
ITRAXX.ASIA.XJ.IG.24.V1		1.00	%	Goldman Sachs International		12/20/20		A-		USD	1,825		(4,500	)		(35,368	)		30,868
Federative Republic of Brazil		1.00	%	Citibank N.A.		6/20/21		BB		USD	700		(63,495	)		(39,780	)		(23,715	)
Hellenic Telecommunications Organization SA		5.00	%	Barclays Bank PLC		12/20/21		B+		EUR	1,000		214,998			59,732			155,266
Avis Budget Group, Inc.		5.00	%	JPMorgan Chase Bank N.A.		6/20/22		BB-		USD	188		3,604			1,852			1,752
Avis Budget Group, Inc.		5.00	%	JPMorgan Chase Bank N.A.		6/20/22		BB-		USD	83		1,918			1,147			771
Hertz Global Holdings, Inc.		5.00	%	Citibank N.A.		6/20/22		B-		USD	300		(83,119	)		(29,638	)		(53,481	)
Republic of France		0.25	%	Bank of America N.A.		6/20/22		AA		USD	5,500		36,538			14,403			22,135
CMBX.NA.7.AAA		0.50	%	Morgan Stanley & Co. International PLC		1/17/47		AAA		USD	5,000		(162,680	)		(160,086	)		(2,594	)
CMBX.NA.3.AM		0.50	%	Credit Suisse International		12/13/49		BBB+		USD	140		(13,041	)		(12,357	)		(684	)
CMBX.NA.3.AM		0.50	%	Goldman Sachs International		12/13/49		BBB+		USD	353		(33,280	)		(31,555	)		(1,725	)
CMBX.NA.3.AM		0.50	%	JPMorgan Chase Bank N.A.		12/13/49		BBB+		USD	762		(68,250	)		(64,531	)		(3,719	)
CMBX.NA.9.A		2.00	%	Deutsche Bank AG		9/17/58		Not Rated		USD	1,630		(144,844	)		(84,063	)		(60,781	)
CMBX.NA.6.BBB-		3.00	%	Credit Suisse International		5/11/63		BBB-		USD	850		(168,431	)		(69,181	)		(99,250	)
Total												$	(3,662,445	)	$	(2,636,848	)	$	(1,025,597	)


Fixed Rate	Floating Rate	Counterparty	Expiration Date		Notional Amount (000)			Value			Premiums Paid (Received)			Unrealized Appreciation (Depreciation)
4.30%¹	28-day MXIBTIIE	Bank of America N.A.		12/07/17		MXN	23,670	$	17,360		$	15		$	17,345
9.99%¹	1-day BZDIOVER	Citibank N.A.		1/02/18		BRL	91,638		(95,831	)		—			(95,831	)
8.98%¹	1-day BZDIOVER	Citibank N.A.		1/02/18		BRL	31,295		14,733			—			14,733
9.98%¹	1-day BZDIOVER	JPMorgan Chase Bank N.A.		1/02/18		BRL	91,641		(62,870	)		—			(62,870	)
4.55%¹	28-day MXIBTIIE	Barclays Bank PLC		3/21/18		MXN	39,525		43,267			505			42,762
4.85%¹	28-day MXIBTIIE	Bank of America N.A.		11/01/18		MXN	23,232		36,525			41			36,484
7.07%²	28-day MXIBTIIE	Citibank N.A.		11/21/18		MXN	231,800		4,560			—			4,560
7.06%²	28-day MXIBTIIE	JPMorgan Chase Bank N.A.		11/21/18		MXN	278,160		3,417			—			3,417
6.98%²	28-day MXIBTIIE	Citibank N.A.		11/28/18		MXN	395,600		(15,589	)		(516	)		(15,073	)
6.98%²	28-day MXIBTIIE	JPMorgan Chase Bank N.A.		11/28/18		MXN	224,417		(8,844	)		(293	)		(8,551	)
4.77%¹	28-day MXIBTIIE	Citibank N.A.		12/05/18		MXN	16,034		27,451			22			27,429
4.70%¹	28-day MXIBTIIE	Bank of America N.A.		12/06/18		MXN	16,034		28,340			21			28,319
4.76%¹	28-day MXIBTIIE	Citibank N.A.		12/06/18		MXN	16,034		27,611			22			27,589
9.25%²	1-day BZDIOVER	Citibank N.A.		1/02/19		BRL	84,850		79,915			—			79,915
9.28%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.		1/02/19		BRL	80,549		83,632			—			83,632
9.73%²	1-day BZDIOVER	JPMorgan Chase Bank N.A.		1/02/20		BRL	54,985		56,371			—			56,371
3.27%¹	3-month LIBOR	Deutsche Bank AG		5/16/21		USD	9,510		(512,079	)		—			(512,079	)
3.78%²	7-day China Fixing Repo Rates	Bank of America N.A.		6/02/22		CNY	27,338		2,599			—			2,599
5.73%¹	28-day MXIBTIIE	Bank of America N.A.		1/03/25		MXN	23,376		98,986			262			98,724
6.33%²	28-day MXIBTIIE	Citibank N.A.		6/09/25		MXN	14,869		(36,542	)		(80	)		(36,462	)
6.33%²	28-day MXIBTIIE	Citibank N.A.		7/17/25		MXN	36,610		(92,525	)		(157	)		(92,368	)
6.32%²	28-day MXIBTIIE	Goldman Sachs International		8/06/25		MXN	109,616		(280,942	)		(465	)		(280,477	)
6.31%¹	28-day MXIBTIIE	Bank of America N.A.		8/11/25		MXN	36,783		96,062			154			95,908
6.31%¹	28-day MXIBTIIE	Bank of America N.A.		8/11/25		MXN	36,783		96,062			154			95,908
6.31%¹	28-day MXIBTIIE	Deutsche Bank AG		8/11/25		MXN	136,536		357,901			571			357,330
6.27%²	28-day MXIBTIIE	Bank of America N.A.		12/05/25		MXN	4,348		(12,671	)		(51	)		(12,620	)
Total								$	(146,735	)	$	4,928		$	(151,663	)


Reference Entity	Floating Rate	Counterparty	Expiration Date		Contract Amount		Value			Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
AutoZone, Inc.	1-month LIBOR minus 0.35%¹	Citibank N.A.		9/15/17	USD	7,712	$	329,278			—	$	329,278
Financial Select Sector SPDR Fund	1-month LIBOR plus 0.40%¹	Merrill Lynch International		9/15/17	USD	116,769		(39,950	)		—		(39,950	)
Financial Select Sector SPDR Fund	1-month LIBOR plus 0.40%¹	Merrill Lynch International		9/15/17	USD	85,577		(29,278	)		—		(29,278	)
SPDR S&P Retail ETF	1-month LIBOR minus 0.65%¹	Citibank N.A.		9/15/17	USD	31,937		(8,081	)		—		(8,081	)
SPDR S&P Retail ETF	1-month LIBOR minus 0.80%¹	Citibank N.A.		9/15/17	USD	134,000		(144,948	)		—		(144,948	)
SPDR S&P Retail ETF	1-month LIBOR minus 1.50%¹	BNP Paribas S.A.		9/15/17	USD	66,610		(17,540	)		—		(17,540	)
SPDR S&P Retail ETF	1-month LIBOR minus 1.60%¹	Merrill Lynch International		9/15/17	USD	66,692		(17,637	)		—		(17,637	)
SPDR S&P Retail ETF	1-month LIBOR minus 1.60%¹	Merrill Lynch International		9/15/17	USD	52,762		(13,953	)		—		(13,953	)
Aetna, Inc.	3-month LIBOR plus 0.20%²	Bank of America N.A.		12/15/17	USD	10,790		26,639			—		26,639


Reference Entity	Floating Rate	Counterparty	Expiration Date		Contract Amount		Value			Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
Centene Corp.	3-month LIBOR plus 0.20%²	Bank of America N.A.		12/15/17	USD	16,455	$	13,619			—	$	13,619
SPDR S&P Oil & Gas Exploration & Production ETF	1-month LIBOR minus 0.85%¹	Merrill Lynch International		12/15/17	USD	339,879		567,510			—		567,510
Ally Financial, Inc.	3-month LIBOR minus 0.30%¹	Merrill Lynch International		1/24/18	USD	1,100		(526	)		—		(526	)
O’Reilly Automotive, Inc.	3-month LIBOR minus 0.20%¹	Goldman Sachs International		5/10/18	USD	16,560		285,615			—		285,615
Total							$	950,748			—	$	950,748

The following tables represents the individual long and short positions and related values of equity securities underlying the total return swap with Bank of America N.A., as of June 30, 2017, expiration dates 11/15/18-1/15/19:

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 semi-annual report.

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


	Level 1			Level 2			Level 3		Total
Derivative Financial Instruments¹
Assets:
Commodity contracts	$	768,229			—			—	$	768,229
Credit contracts		—		$	8,401,883			—		8,401,883
Equity contracts		255,184			1,407,100			—		1,662,284
Foreign currency exchange contracts		—			12,122,561			—		12,122,561
Interest rate contracts		2,255,198			3,945,405			—		6,200,603
Liabilities:
Commodity contracts		(733,730	)		—			—		(733,730	)
Credit contracts		—			(16,339,992	)		—		(16,339,992	)
Equity contracts		(2,308,066	)		(271,913	)		—		(2,579,979	)
Foreign currency exchange contracts		—			(25,522,909	)		$(5)		(25,522,914	)
Interest rate contracts		(10,700,414	)		(2,373,902	)		—		(13,074,316	)

Total	$	(10,463,599	)	$	(18,631,767	)		$(5)	$	(29,095,371	)

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 $2,677,770,258 are categorized as Level 2 within the disclosure hierarchy.

During the period ended June 30, 2017, there were no transfers between Level 1 and Level 2.

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


	Asset-Backed Securities			Common Stocks			Corporate Bonds			Floating Rate Loan Interests			Non-Agency Mortgage- Backed Securities
Assets:
Opening Balance, as of September 30, 2016	$	266,733,316			—		$	261,490		$	386,154		$	103,933,840
Transfers into Level 3		4,596,177			—			—			—			5,668,621
Transfers out of Level 3¹		(168,834,640	)		—			(168,475	)		—			(35,456,634	)
Other²		4,430,000			—			—			—			(4,430,000	)
Accrued discounts/premiums		65,296			—			(3,523	)		(938	)		454,996
Net realized gain (loss)		208,295			—			4,571			—			108,969
Net change in unrealized appreciation
(depreciation)³		(594,733	)	$	(1,013,998	)		(16,460	)		11,325			(1,900,580	)
Purchases		174,359,002			1,304,287			—			35,936,559			97,515,765
Sales.		(85,391,127	)		—			(43,307	)		—			(54,290,211	)

Closing Balance, as of June 30, 2017	$	195,571,586		$	290,289		$	34,296		$	36,333,100		$	111,604,766

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2017³	$	(263,112	)	$	(1,013,998	)	$	(16,460	)	$	11,325		$	(1,243,177	)


	Other Interests			Preferred Securities			U.S. Government Sponsored Agency Securities			Options Purchased			Total
Assets:
Opening Balance, as of September 30, 2016	$	1		$	1,611,077		$	7,671,767			—		$	380,597,645
Transfers into Level 3		—			—			—			—			10,264,798
Transfers out of Level 3¹		—			—			(7,581,314	)		—			(212,041,063	)
Other²		—			—			—			—			—
Accrued discounts/premiums		—			—			—			—			515,831
Net realized gain (loss)		—			—			37,201			—			359,036
Net change in unrealized appreciation (depreciation)³		(1	)		(1,290,592	)		(61,569	)	$	(161,776	)		(5,028,384	)
Purchases		—			—			5,649,997			161,781			314,927,391
Sales.		—			—			(1,886,591	)		—			(141,611,236	)

Closing Balance, as of June 30, 2017		—		$	320,485		$	3,829,491		$	5		$	347,984,018

Net change in unrealized appreciation (depreciation) on investments still held at June 30, 2017³		—		$	(1,290,592	)	$	(11,577	)	$	(161,776	)	$	(3,989,367	)

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 Advantage Large Cap Core Portfolio (Formerly Large Cap Core Portfolio) of Master Large Cap Series, LLC and Master Total Return Portfolio of Master Bond LLC

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of each registrant and in the capacities and on the dates indicated.


Investment Companies	Shares		Value
iShares Core U.S. Aggregate Bond ETF (a)		433,593	$	47,482,769
Vanguard Total Bonds Market ETF		472,301		38,648,391
Total Investment Companies — 8.3%				86,131,160

Mutual Funds
Master Large Cap Core Portfolio of Master Large Cap Series LLC (a)		—		604,323,869
Master Total Return Portfolio of Master Bond LLC (a)		—		273,700,054
Total Mutual Funds — 84.8%				878,023,923

Total Long-Term Investments (Cost — $888,515,395) — 93.1%				964,155,083


Tax cost	$	937,091,314

Gross unrealized appreciation	$	99,496,476
Gross unrealized depreciation		(728,856	)

Net unrealized appreciation	$	98,767,620


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


Tax cost	$	2,005,654,368

Gross unrealized appreciation	$	296,891,367
Gross unrealized depreciation		(24,190,766	)

Net unrealized appreciation	$	272,700,601


Portfolio Abbreviations
ABS	Asset-Backed Security	EUR	Euro	OTC	Over-the-counter
ADR	American Depositary Receipt	FKA	Formerly Known As	PIK	Payment-in-kind
AGM	Assured Guaranty Municipal Corp.	GBP	British Pound	RB	Revenue Bonds
AKA	Also Known As	GO	General Obligation	REIT	Real Estate Investment Trust
AMBAC	American Municipal Bond Assurance Corporation	HKD	Hong Kong Dollar	REMIC	Real Estate Mortgage Investment Conduit
AUD	Australian Dollar	HUF	Hungarian Forint	RUB	Russian Ruble
BRL	Brazilian Real	IDR	Indonesian Rupiah	S&P	Standard & Poor’s
BZDIOVER	Overnight Brazil CETIP — Interbank Rate	INR	Indian Rupee	SEK	Swedish Krona
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 Ofd 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	MYR	Malaysian Ringgit	USD	U.S. Dollar
CNH	Chinese Yuan Offshore	NOK	Norwegian Krone	WTI	West Texas Intermediate
COP	Columbian Peso	NZD	New Zealand Dollar	ZAR	South African Rand
ETF	Exchange-Traded Fund


Schedule of Investments June 30, 2017 (Unaudited)			BlackRock Balanced Capital Fund, Inc.
			(Percentages shown are based on Net Assets)


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


Futures Contracts
Contracts Long		Issue	Expiration		Notional Value			Unrealized Appreciation (Depreciation)
	89	CAC 40 10 Euro Index		July 2017		USD	5,201,002		$(152,389	)
	76	U.S. Treasury Notes (10 Year)		September 2017		USD	9,540,375		(28,411	)
	116	Nikkei 225 Index		September 2017		USD	20,647,433		20,022
	15	DAX Index		September 2017		USD	5,276,744		(178,322	)
	38	Euro Currency		September 2017		USD	5,446,825		112,401
	Total								$(226,699	)


¹ As of June 30, 2017, certain investments of the Fund were fair 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.


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


¹ Derivative financial instruments are futures contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.


Schedule of Investments June 30, 2017 (Unaudited)		Master Advantage Large Cap Core Portfolio (formerly Master Large Cap Core Portfolio)
		(Percentages shown are based on Net Assets)


Affiliate	Shares Held at September 30, 2016		Net Activity			Shares Held at June 30, 2017		Value at June 30, 2017		Income			Net Realized Gain¹		Change in Unrealized (Depreciation)
BlackRock Liquidity Funds, T-Fund, Institutional Class		73,479,703		5,233,269			78,712,972	$	78,712,972	$	190,180		$	350		—
SL Liquidity Series, LLC, Money Market Series		5,154,808		(4,687,552	)		467,256		467,303		19,380	²		756	$	(46	)
Total								$	79,180,275	$	209,560		$	1,106	$	(46	)


Consolidated Schedule of Investments June 30, 2017 (Unaudited)			Master Total Return Portfolio
			(Percentages shown are based on Net Assets)


		MASTER TOTAL RETURN PORTFOLIO OF MASTER BOND LLC		JUNE 30, 2017		1


Consolidated Schedule of Investments (continued)			Master Total Return Portfolio


* As of June 30, 2017, gross unrealized appreciation and depreciation based on cost for U.S. federal income tax purposes were as follows:
Tax cost	$	16,203,093,128

Gross unrealized appreciation	$	154,551,591
Gross unrealized depreciation		(81,468,568	)

Net unrealized appreciation	$	73,083,023


Affiliate	Par/Shares Held at September 30, 2016		Par/Shares Purchased			Par/Shares Sold		Par/Shares Held at June 30, 2017		Value at June 30, 2017		Income			Net Realized Gain (Loss)			Change in Unrealized Appreciation (Depreciation)
BlackRock Capital Finance LP, Series 1997-R2, Class AP		$ 7,020		—			$ (3,646)		$ 3,374		$ 3,126		$ 20			$ 18			$ (156)
BlackRock Liquidity Funds, T-Fund, Institutional Class		277,766,479		—			(277,766,479)¹		—		—		57,334			—			—
iShares China Large-Cap ETF		—		148,380			(39,073)		109,307		4,340,581		19,228			28,107			106,028
iShares Core MSCI Emerging Markets ETF		70,243		382,863			(406,819)		46,287		1,915,819		8,874			118,939			96,418
iShares iBoxx $ High Yield Corporate Bond ETF		—		4,947,533			(3,711,803)		1,235,730		109,226,175		2,258,775			4,421,189			955,096
iShares J.P. Morgan USD Emerging Markets Bond ETF		—		20,580			(20,580)		—		—		—			2,976			—
iShares U.S. Home Construction ETF		—		102,570			—		102,570		3,481,226		3,170			—			96,994
SL Liquidity Series, LLC, Money Market Series		2,081,765		115,382,130	²		—		117,463,895		117,475,642		449,596	³		(1,812	)		(11,374	)
Total											$236,442,569		$2,796,997			$4,569,417			$1,243,006


Index	Pay Fixed Rate			Expiration Date		Notional Amount (000)			Unrealized Appreciation (Depreciation)
ITRAXX.FINSR.25.V1		1.00	%		6/20/21		EUR	2,000	$	(52,787	)
ITRAXX.FINSR.27.V1		1.00	%		6/20/22		EUR	27,620		(725,243	)
ITRAXX.XO.27.V1		5.00	%		6/20/22		EUR	55,490		(7,319,396	)
Total									$	(8,097,426	)


Fixed Rate	Floating Rate	Counterparty	Expiration Date	Notional Amount (000)		Value			Premiums Paid (Received)		Unrealized Appreciation (Depreciation)
13.13%¹	1-day BZDIOVER	Bank of America N.A.	7/03/17	BRL	41,038	$	(49,844	)		—	$	(49,844	)
13.11%¹	1-day BZDIOVER	Citibank N.A.	7/03/17	BRL	49,252		(57,484	)		—		(57,484	)
12.85%¹	1-day BZDIOVER	JPMorgan Chase Bank N.A.	7/03/17	BRL	6,329		(4,856	)		—		(4,856	)
9.50%¹	1-day BZDIOVER	Bank of America N.A.	10/02/17	BRL	128,137		(3,567	)		—		(3,567	)
1.92%²	3-month KRW Certificate of Deposit	Deutsche Bank AG	11/10/17	KRW	10,139,328		21,233		$	4,723		16,510
1.69%¹	3-month KRW Certificate of Deposit	Deutsche Bank AG	11/10/17	KRW	10,139,328		(9,116	)		—		(9,116	)


	Shares		Value
Reference Entity — Long
Eurobank Ergasias SA		462,691	$	517,346
Hellenic Telecommunications Organization SA		135,862		1,635,331
JPMorgan Chase & Co.		12,069		1,103,107
National Bank of Greece SA		2,614,779		995,037
Total Reference Entity — Long				4,250,821


	Shares			Value
Reference Entity — Short
Anglo American PLC		(115,693	)	$	(1,545,634	)
Tullow Oil PLC		(255,091	)		(501,461	)
Total Reference Entity — Short					(2,047,095	)
Net Value of Reference Entity — Bank of America N.A.				$	2,203,726


	Foreign Currency Exchange 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		—	$	354,833
Purchases		—		—
Issues		—		—
Sales		—		(354,838	)
Settlements		—		—
Closing Balance, as of June 30, 2017		—	$	(5	)

Net change in unrealized appreciation (depreciation) on derivative financial instruments still held at June 30, 2017¹		—	$	354,833


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


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

Date: August 22, 2017


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

Date: August 22, 2017