NPORT-EX 1 QTLY_1158_20190531.htm

Quarterly Holdings Report
for

Fidelity® Total Bond Fund

May 31, 2019







TBD-QTLY-0719
1.800361.115





Schedule of Investments May 31, 2019 (Unaudited)

Showing Percentage of Net Assets

Corporate Bonds - 33.9%   
 Principal Amount(a) Value 
Convertible Bonds - 0.0%   
COMMUNICATION SERVICES - 0.0%   
Media - 0.0%   
DISH Network Corp.:   
2.375% 3/15/24 $3,638,000 $3,156,192 
3.375% 8/15/26 1,918,000 1,762,410 
  4,918,602 
Nonconvertible Bonds - 33.9%   
COMMUNICATION SERVICES - 3.4%   
Diversified Telecommunication Services - 1.1%   
Altice Finco SA 7.625% 2/15/25 (b) 5,099,000 4,703,828 
AT&T, Inc.:   
2.45% 6/30/20 7,195,000 7,176,792 
3% 6/30/22 7,993,000 8,054,865 
3.4% 5/15/25 25,177,000 25,440,642 
3.6% 2/17/23 26,826,000 27,516,583 
3.6% 7/15/25 (c) 4,081,000 4,161,167 
4.45% 4/1/24 1,500,000 1,600,625 
4.5% 3/9/48 8,039,000 7,739,320 
5.15% 11/15/46 12,000,000 12,577,875 
6.2% 3/15/40 (c) 7,512,000 8,861,809 
6.3% 1/15/38 10,617,000 12,568,505 
Axtel S.A.B. de CV 6.375% 11/14/24 (b) 976,000 976,293 
BellSouth Capital Funding Corp. 7.875% 2/15/30 25,000 31,211 
C&W Senior Financing Designated Activity Co.:   
6.875% 9/15/27 (b) 2,850,000 2,835,750 
7.5% 10/15/26 (b) 5,875,000 6,021,875 
Colombia Telecomunicaciones SA 5.375% 9/27/22 (b) 651,000 660,374 
Frontier Communications Corp. 8% 4/1/27 (b) 5,385,000 5,586,938 
GTH Finance BV 7.25% 4/26/23 (b) 2,560,000 2,760,806 
Iliad SA 0.625% 11/25/21 (Reg. S) EUR8,500,000 9,418,176 
Level 3 Communications, Inc. 5.75% 12/1/22 3,067,000 3,074,668 
Level 3 Financing, Inc.:   
5.375% 1/15/24 7,175,000 7,192,938 
5.375% 5/1/25 1,758,000 1,760,198 
Oztel Holdings SPC Ltd. 5.625% 10/24/23 (b) 538,000 542,059 
Qwest Corp. 6.75% 12/1/21 1,650,000 1,742,813 
Sable International Finance Ltd. 6.875% 8/1/22 (b) 808,000 829,889 
SFR Group SA:   
6.25% 5/15/24 (b) 5,358,000 5,431,673 
7.375% 5/1/26 (b) 5,971,000 5,832,921 
8.125% 2/1/27 (b) 3,701,000 3,696,374 
Telecom Italia Capital SA:   
6% 9/30/34 1,570,000 1,464,025 
6.375% 11/15/33 885,000 851,813 
Telecom Italia SpA:   
4% 4/11/24 (Reg. S) EUR2,200,000 2,550,544 
5.303% 5/30/24 (b) 8,625,000 8,527,538 
Telefonica Celular del Paraguay SA 5.875% 4/15/27 (b) 625,000 643,003 
Telenet Finance Luxembourg Notes SARL 5.5% 3/1/28 (b) 7,200,000 7,095,600 
Turk Telekomunikasyon A/S:   
3.75% 6/19/19 (b) 790,000 786,386 
6.875% 2/28/25 (b) 625,000 588,813 
U.S. West Communications 7.25% 9/15/25 1,800,000 1,961,812 
Verizon Communications, Inc.:   
4.862% 8/21/46 10,531,000 11,604,136 
5.012% 4/15/49 5,836,000 6,596,603 
5.5% 3/16/47 22,998,000 27,783,657 
  249,250,897 
Entertainment - 0.1%   
NBCUniversal, Inc.:   
4.45% 1/15/43 6,238,000 6,572,299 
5.15% 4/30/20 7,399,000 7,567,793 
5.95% 4/1/41 4,363,000 5,440,127 
The Walt Disney Co.:   
6.15% 3/1/37 (b) 4,759,000 6,319,378 
7.75% 12/1/45 (b) 3,932,000 6,396,816 
  32,296,413 
Media - 1.9%   
Altice Financing SA:   
6.625% 2/15/23 (b) 1,771,000 1,797,565 
7.5% 5/15/26 (b) 12,063,000 11,794,357 
Altice SA 7.75% 5/15/22 (b) 3,450,000 3,510,375 
Cablevision SA 6.5% 6/15/21 (b) 645,000 625,650 
Cablevision Systems Corp. 5.875% 9/15/22 1,988,000 2,056,984 
CCO Holdings LLC/CCO Holdings Capital Corp.:   
4% 3/1/23 (b) 4,074,000 4,032,038 
5% 2/1/28 (b) 12,200,000 12,078,000 
5.125% 2/15/23 720,000 725,422 
5.125% 5/1/23 (b) 6,996,000 7,063,861 
5.125% 5/1/27 (b) 7,097,000 7,101,436 
5.375% 5/1/25 (b) 880,000 898,436 
5.5% 5/1/26 (b) 7,769,000 7,956,388 
5.75% 1/15/24 5,915,000 6,018,513 
5.75% 2/15/26 (b) 7,122,000 7,389,075 
Charter Communications Operating LLC/Charter Communications Operating Capital Corp.:   
4.464% 7/23/22 13,008,000 13,485,093 
4.908% 7/23/25 13,008,000 13,762,941 
5.375% 5/1/47 32,692,000 32,769,416 
6.484% 10/23/45 5,223,000 5,886,482 
Comcast Corp.:   
3.9% 3/1/38 3,341,000 3,383,942 
3.969% 11/1/47 10,806,000 10,707,268 
4.6% 8/15/45 8,807,000 9,523,419 
4.65% 7/15/42 7,870,000 8,676,023 
6.45% 3/15/37 1,399,000 1,825,554 
CSC Holdings LLC:   
5.25% 6/1/24 2,729,000 2,750,286 
5.375% 7/15/23 (b) 6,090,000 6,181,350 
5.5% 5/15/26 (b) 4,409,000 4,473,812 
5.5% 4/15/27 (b) 2,577,000 2,620,938 
6.75% 11/15/21 5,240,000 5,587,150 
7.5% 4/1/28 (b) 3,026,000 3,222,690 
7.75% 7/15/25 (b) 9,531,000 10,138,601 
DISH DBS Corp.:   
5.875% 7/15/22 2,548,000 2,504,174 
5.875% 11/15/24 8,151,000 7,328,157 
7.75% 7/1/26 863,000 790,077 
E.W. Scripps Co. 5.125% 5/15/25 (b) 1,988,000 1,868,720 
Fox Corp.:   
3.666% 1/25/22 (b) 2,306,000 2,364,569 
4.03% 1/25/24 (b) 4,055,000 4,247,908 
4.709% 1/25/29 (b) 5,868,000 6,417,366 
5.476% 1/25/39 (b) 5,787,000 6,595,669 
5.576% 1/25/49 (b) 3,840,000 4,481,944 
Globo Comunicacao e Participacoes SA:   
4.843% 6/8/25 (b) 1,164,000 1,156,143 
4.875% 4/11/22 (b) 360,000 366,107 
5.125% 3/31/27 (b) 370,000 362,138 
iHeartCommunications, Inc.:   
6.375% 5/1/26 78,393 81,431 
8.375% 5/1/27 142,088 148,660 
Lagardere S.C.A.:   
1.625% 6/21/24 (Reg. S) EUR3,100,000 3,431,131 
2.75% 4/13/23 (Reg. S) EUR4,400,000 5,107,355 
MDC Partners, Inc. 6.5% 5/1/24 (b) 5,816,000 5,321,640 
Nielsen Co. SARL (Luxembourg):   
5% 2/1/25 (b) 2,504,000 2,438,520 
5.5% 10/1/21 (b) 561,000 559,598 
Nielsen Finance LLC/Nielsen Finance Co. 5% 4/15/22 (b) 5,574,000 5,526,788 
Sirius XM Radio, Inc.:   
3.875% 8/1/22 (b) 3,880,000 3,850,900 
4.625% 5/15/23 (b) 6,125,000 6,167,691 
5% 8/1/27 (b) 5,281,000 5,201,785 
5.375% 4/15/25 (b) 4,109,000 4,137,845 
6% 7/15/24 (b) 4,182,000 4,297,841 
Time Warner Cable, Inc.:   
4% 9/1/21 12,918,000 13,176,946 
4.5% 9/15/42 20,648,000 18,309,997 
5.5% 9/1/41 8,265,000 8,271,986 
5.875% 11/15/40 10,540,000 10,906,590 
6.55% 5/1/37 29,622,000 32,789,259 
7.3% 7/1/38 24,672,000 28,887,366 
TV Azteca SA de CV 8.25% 8/9/24 (Reg. S) 5,831,000 5,685,108 
Virgin Media Secured Finance PLC 5.5% 8/15/26 (b) 2,762,000 2,774,926 
VTR Finance BV 6.875% 1/15/24 (b) 2,909,000 2,980,489 
Ziggo Bond Finance BV:   
5.875% 1/15/25 (b) 4,982,000 4,944,635 
6% 1/15/27 (b) 3,571,000 3,468,334 
Ziggo Secured Finance BV 5.5% 1/15/27 (b) 8,495,000 8,282,625 
  433,275,483 
Wireless Telecommunication Services - 0.3%   
America Movil S.A.B. de CV 3.125% 7/16/22 5,873,000 5,931,730 
Citizens Utilities Co. 7.05% 10/1/46 6,489,000 3,439,170 
Comcel Trust 6.875% 2/6/24 (b) 2,464,000 2,545,066 
Digicel Group Ltd. 6.75% 3/1/23 (b) 806,000 532,968 
Intelsat Jackson Holdings SA 8.5% 10/15/24 (b) 4,545,000 4,420,013 
Millicom International Cellular SA:   
6% 3/15/25 (b) 1,398,000 1,452,173 
6.625% 10/15/26 (b) 10,781,000 11,608,657 
6.625% 10/15/26 (Reg. S) 350,000 376,870 
MTN (Mauritius) Investments Ltd.:   
5.373% 2/13/22 (b) 525,000 536,156 
6.5% 10/13/26 (b) 424,000 448,380 
MTS International Funding Ltd. 5% 5/30/23 (b) 859,000 874,033 
Neptune Finco Corp. 6.625% 10/15/25 (b) 2,105,000 2,206,987 
Sprint Communications, Inc. 6% 11/15/22 8,846,000 9,025,751 
Sprint Corp. 7.875% 9/15/23 18,768,000 20,160,023 
T-Mobile U.S.A., Inc.:   
4.5% 2/1/26 2,583,000 2,547,484 
6.375% 3/1/25 3,096,000 3,208,540 
TBG Global Pte. Ltd. 5.25% 2/10/22 (Reg. S) 1,258,000 1,264,290 
  70,578,291 
TOTAL COMMUNICATION SERVICES  785,401,084 
CONSUMER DISCRETIONARY - 1.1%   
Auto Components - 0.0%   
Metalsa SA de CV 4.9% 4/24/23 (b) 2,803,000 2,772,966 
Samvardhana Motherson Automotive Systems Group BV 1.8% 7/6/24 (Reg. S) EUR6,313,000 6,301,469 
  9,074,435 
Automobiles - 0.4%   
General Motors Financial Co., Inc.:   
3.15% 1/15/20 17,361,000 17,387,910 
3.2% 7/13/20 12,869,000 12,906,640 
3.5% 7/10/19 6,856,000 6,861,489 
4% 1/15/25 11,521,000 11,397,118 
4.2% 3/1/21 16,735,000 17,005,587 
4.25% 5/15/23 3,453,000 3,510,598 
4.375% 9/25/21 30,556,000 31,304,817 
  100,374,159 
Diversified Consumer Services - 0.1%   
Bonitron Designated Activity Co. 8.75% 10/30/22 (b) 1,535,000 1,597,083 
Frontdoor, Inc. 6.75% 8/15/26 (b) 2,244,000 2,356,200 
Ingersoll-Rand Global Holding Co. Ltd. 4.25% 6/15/23 5,393,000 5,677,238 
Laureate Education, Inc. 8.25% 5/1/25 (b) 6,345,000 6,836,738 
Service Corp. International 5.125% 6/1/29 2,220,000 2,258,339 
  18,725,598 
Hotels, Restaurants & Leisure - 0.5%   
1011778 BC Unlimited Liability Co./New Red Finance, Inc.:   
4.25% 5/15/24 (b) 1,870,000 1,846,625 
5% 10/15/25 (b) 3,361,000 3,293,780 
Aramark Services, Inc.:   
4.75% 6/1/26 4,603,000 4,574,231 
5.125% 1/15/24 1,605,000 1,624,725 
Eldorado Resorts, Inc.:   
6% 4/1/25 4,324,000 4,394,611 
6% 9/15/26 615,000 632,429 
ESH Hospitality, Inc. 5.25% 5/1/25 (b) 1,169,000 1,169,000 
GLP Capital LP/GLP Financing II, Inc. 5.25% 6/1/25 3,243,000 3,424,446 
Golden Entertainment, Inc. 7.625% 4/15/26 (b) 3,895,000 3,891,300 
Golden Nugget, Inc. 6.75% 10/15/24 (b) 8,330,000 8,267,525 
Hilton Escrow Issuer LLC 4.25% 9/1/24 4,638,000 4,577,799 
Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp.:   
4.625% 4/1/25 1,644,000 1,650,165 
4.875% 4/1/27 975,000 980,645 
MCE Finance Ltd. 4.875% 6/6/25 (b) 7,973,000 7,893,948 
MGM Growth Properties Operating Partnership LP:   
4.5% 9/1/26 10,728,000 10,456,582 
4.5% 1/15/28 3,959,000 3,731,358 
5.75% 2/1/27 (b) 1,410,000 1,452,300 
RHP Hotel Properties LP/RHP Finance Corp. 5% 4/15/23 597,000 599,985 
Scientific Games Corp.:   
5% 10/15/25 (b) 3,249,000 3,200,265 
10% 12/1/22 2,618,000 2,745,628 
Stars Group Holdings BV 7% 7/15/26 (b) 13,265,000 13,646,369 
Station Casinos LLC 5% 10/1/25 (b) 2,733,000 2,630,513 
Studio City Co. Ltd.:   
5.875% 11/30/19 (b) 663,000 665,486 
7.25% 11/30/21 (b) 956,000 988,265 
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 5.875% 5/15/25 (b) 618,000 605,640 
Times Square Hotel Trust 8.528% 8/1/26 (b) 1,238,989 1,446,010 
Wyndham Hotels & Resorts, Inc. 5.375% 4/15/26 (b) 3,284,000 3,333,260 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.25% 5/15/27 (b) 3,013,000 2,869,883 
Wynn Macau Ltd.:   
4.875% 10/1/24 (b) 5,990,000 5,860,945 
5.5% 10/1/27 (b) 7,900,000 7,645,186 
  110,098,904 
Household Durables - 0.0%   
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) SA:   
3 month U.S. LIBOR + 3.500% 6.0968% 7/15/21 (b)(d)(e) 898,000 901,368 
5.125% 7/15/23 (b) 2,774,000 2,774,555 
7% 7/15/24 (b) 2,995,000 3,026,822 
  6,702,745 
Internet & Direct Marketing Retail - 0.1%   
Zayo Group LLC/Zayo Capital, Inc.:   
5.75% 1/15/27 (b) 3,806,000 3,910,665 
6.375% 5/15/25 5,170,000 5,318,638 
  9,229,303 
Leisure Products - 0.0%   
Mattel, Inc. 6.75% 12/31/25 (b) 3,727,000 3,670,014 
Multiline Retail - 0.0%   
John Lewis PLC 6.125% 1/21/25 GBP1,115,000 1,575,367 
Specialty Retail - 0.0%   
Staples, Inc. 10.75% 4/15/27 (b) 750,000 716,250 
Textiles, Apparel & Luxury Goods - 0.0%   
Delta Merlin Dunia Tekstil PT 8.625% 3/12/24 (b) 425,000 425,000 
The William Carter Co. 5.625% 3/15/27 (b) 2,460,000 2,512,275 
  2,937,275 
TOTAL CONSUMER DISCRETIONARY  263,104,050 
CONSUMER STAPLES - 2.1%   
Beverages - 0.8%   
Anheuser-Busch InBev Finance, Inc.:   
4.7% 2/1/36 25,085,000 25,911,630 
4.9% 2/1/46 28,689,000 29,479,140 
Anheuser-Busch InBev Worldwide, Inc.:   
4.75% 4/15/58 17,929,000 17,936,865 
5.45% 1/23/39 18,170,000 20,296,415 
5.55% 1/23/49 34,229,000 38,848,526 
5.8% 1/23/59 (Reg. S) 36,395,000 42,312,739 
Central American Bottling Corp. 5.75% 1/31/27 (b) 188,000 194,651 
Coca Cola HBC Finance BV 1% 5/14/27 (Reg. S) EUR3,500,000 3,937,712 
Constellation Brands, Inc.:   
3.875% 11/15/19 1,503,000 1,510,220 
4.25% 5/1/23 3,316,000 3,488,283 
  183,916,181 
Food & Staples Retailing - 0.1%   
C&S Group Enterprises LLC 5.375% 7/15/22 (b) 3,010,000 2,964,850 
Casino Guichard Perrachon SA 5.244% 3/9/20 (d) EUR1,400,000 1,529,833 
ESAL GmbH 6.25% 2/5/23 (b) 650,000 658,125 
Walgreens Boots Alliance, Inc.:   
2.7% 11/18/19 5,398,000 5,394,316 
3.3% 11/18/21 6,403,000 6,493,400 
  17,040,524 
Food Products - 0.2%   
CF Industries Holdings, Inc. 5.15% 3/15/34 178,000 166,875 
Gruma S.A.B. de CV 4.875% 12/1/24 (Reg. S) 1,207,000 1,256,704 
JBS Investments II GmbH 7% 1/15/26 (b) 1,192,000 1,250,110 
JBS U.S.A. LLC/JBS U.S.A. Finance, Inc.:   
5.75% 6/15/25 (b) 9,555,000 9,769,988 
5.875% 7/15/24 (b) 17,400,000 17,835,000 
6.75% 2/15/28 (b) 1,480,000 1,563,250 
JBS U.S.A. Lux SA / JBS Food Co. 6.5% 4/15/29 (b) 3,995,000 4,194,750 
Lamb Weston Holdings, Inc.:   
4.625% 11/1/24 (b) 1,367,000 1,363,583 
4.875% 11/1/26 (b) 991,000 993,478 
Post Holdings, Inc.:   
5% 8/15/26 (b) 2,064,000 2,030,460 
5.75% 3/1/27 (b) 1,714,000 1,718,285 
  42,142,483 
Personal Products - 0.0%   
Prestige Brands, Inc. 6.375% 3/1/24 (b) 1,223,000 1,256,633 
Tobacco - 1.0%   
Altria Group, Inc.:   
2.85% 8/9/22 6,099,000 6,100,489 
3.875% 9/16/46 28,850,000 24,170,063 
4% 1/31/24 4,082,000 4,232,642 
4.25% 8/9/42 17,795,000 15,885,630 
4.5% 5/2/43 11,887,000 10,788,775 
4.8% 2/14/29 17,974,000 18,772,280 
5.375% 1/31/44 21,453,000 21,850,013 
5.95% 2/14/49 14,275,000 15,446,978 
BAT International Finance PLC:   
1.25% 3/13/27 (Reg. S) EUR1,395,000 1,511,519 
3.95% 6/15/25 (b) 3,070,000 3,115,139 
Imperial Tobacco Finance PLC:   
1.125% 8/14/23 (Reg. S) EUR4,750,000 5,380,286 
2.95% 7/21/20 (b) 12,741,000 12,753,602 
3.375% 2/26/26 (Reg. S) EUR3,971,000 4,952,253 
3.75% 7/21/22 (b) 12,933,000 13,137,745 
4.25% 7/21/25 (b) 11,765,000 12,161,688 
8.125% 3/15/24 GBP1,360,000 2,170,050 
Reynolds American, Inc.:   
3.25% 6/12/20 2,086,000 2,096,192 
4% 6/12/22 7,254,000 7,461,677 
4.45% 6/12/25 17,299,000 17,971,939 
5.7% 8/15/35 2,699,000 2,860,912 
5.85% 8/15/45 22,737,000 23,588,220 
6.15% 9/15/43 2,874,000 3,167,591 
7.25% 6/15/37 3,221,000 3,898,631 
Vector Group Ltd. 6.125% 2/1/25 (b) 9,591,000 8,791,878 
  242,266,192 
TOTAL CONSUMER STAPLES  486,622,013 
ENERGY - 6.6%   
Energy Equipment & Services - 0.3%   
Archrock Partners LP / Archrock Partners Finance Corp. 6.875% 4/1/27 (b) 2,165,000 2,224,538 
Borets Finance DAC 6.5% 4/7/22 (b) 1,781,000 1,785,907 
El Paso Pipeline Partners Operating Co. LLC:   
5% 10/1/21 12,030,000 12,559,946 
6.5% 4/1/20 470,000 484,126 
Ensco PLC:   
4.5% 10/1/24 4,029,000 2,787,585 
5.2% 3/15/25 8,288,000 5,739,440 
5.75% 10/1/44 4,970,000 2,882,600 
Halliburton Co.:   
3.8% 11/15/25 6,237,000 6,424,779 
4.85% 11/15/35 5,447,000 5,832,097 
Jonah Energy LLC 7.25% 10/15/25 (b) 4,725,000 2,775,938 
Nabors Industries, Inc.:   
5.5% 1/15/23 2,116,000 1,856,155 
5.75% 2/1/25 1,880,000 1,529,286 
Noble Holding International Ltd.:   
5.25% 3/15/42 1,204,000 665,210 
7.875% 2/1/26 (b) 1,230,000 1,063,950 
7.95% 4/1/25 (d) 4,823,000 3,713,710 
8.95% 4/1/45 (d) 4,655,000 3,351,600 
Southern Gas Corridor CJSC 6.875% 3/24/26 (b) 1,516,000 1,724,450 
Summit Midstream Holdings LLC:   
5.5% 8/15/22 1,790,000 1,731,825 
5.75% 4/15/25 7,252,000 6,436,150 
The Oil and Gas Holding Co.:   
7.5% 10/25/27 (b) 1,182,000 1,228,092 
7.625% 11/7/24 (b) 415,000 444,444 
Weatherford International Ltd.:   
5.95% 4/15/42 822,000 390,450 
6.5% 8/1/36 1,134,000 552,825 
7% 3/15/38 322,000 156,975 
9.875% 2/15/24 3,825,000 1,874,250 
Weatherford International, Inc. 9.875% 3/1/25 9,685,000 4,697,225 
  74,913,553 
Oil, Gas & Consumable Fuels - 6.3%   
Amerada Hess Corp. 7.3% 8/15/31 4,354,000 5,226,188 
Anadarko Finance Co. 7.5% 5/1/31 21,425,000 28,005,762 
Anadarko Petroleum Corp.:   
4.5% 7/15/44 30,708,000 30,499,933 
4.85% 3/15/21 4,287,000 4,428,208 
5.55% 3/15/26 14,762,000 16,267,661 
6.45% 9/15/36 16,266,000 19,522,719 
6.6% 3/15/46 18,160,000 23,315,365 
California Resources Corp. 8% 12/15/22 (b) 13,185,000 9,196,538 
Canadian Natural Resources Ltd.:   
3.9% 2/1/25 15,925,000 16,513,489 
5.85% 2/1/35 6,942,000 7,860,111 
Cenovus Energy, Inc. 4.25% 4/15/27 19,799,000 19,747,568 
Cheniere Corpus Christi Holdings LLC:   
5.125% 6/30/27 3,564,000 3,688,811 
5.875% 3/31/25 3,373,000 3,620,342 
7% 6/30/24 7,430,000 8,282,221 
Cheniere Energy Partners LP:   
5.25% 10/1/25 19,337,000 19,303,547 
5.625% 10/1/26 (b) 1,507,000 1,525,838 
Chesapeake Energy Corp.:   
8% 1/15/25 3,631,000 3,340,520 
8% 6/15/27 2,994,000 2,649,690 
Citgo Holding, Inc. 10.75% 2/15/20 (b) 2,935,000 3,012,044 
Citgo Petroleum Corp. 6.25% 8/15/22 (b) 4,388,000 4,377,030 
Columbia Pipeline Group, Inc.:   
3.3% 6/1/20 9,868,000 9,918,112 
4.5% 6/1/25 2,999,000 3,204,720 
Comstock Escrow Corp. 9.75% 8/15/26 6,349,000 4,888,730 
Consolidated Energy Finance SA:   
3 month U.S. LIBOR + 3.750% 6.3609% 6/15/22 (b)(d)(e) 11,927,000 11,867,818 
6.5% 5/15/26 (b) 2,695,000 2,661,313 
6.875% 6/15/25 (b) 2,994,000 3,008,970 
Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp.:   
5.75% 4/1/25 3,855,000 3,883,913 
6.25% 4/1/23 4,235,000 4,270,151 
CVR Refining LLC/Coffeyville Finance, Inc. 6.5% 11/1/22 5,549,000 5,590,618 
DCP Midstream LLC:   
4.75% 9/30/21 (b) 7,220,000 7,293,283 
5.85% 5/21/43 (b)(d) 16,107,000 14,939,243 
DCP Midstream Operating LP:   
3.875% 3/15/23 3,524,000 3,479,950 
5.125% 5/15/29 5,000,000 5,043,750 
5.375% 7/15/25 5,606,000 5,824,970 
Denbury Resources, Inc.:   
9% 5/15/21 (b) 4,001,000 3,890,973 
9.25% 3/31/22 (b) 6,719,000 6,483,835 
DTEK Finance PLC 10.75% 12/31/24 pay-in-kind (d) 5,217,087 5,046,619 
Duke Energy Field Services 6.45% 11/3/36 (b) 8,754,000 8,972,850 
El Paso Corp. 6.5% 9/15/20 10,282,000 10,765,848 
Empresa Nacional de Petroleo 4.375% 10/30/24 (b) 5,762,000 5,990,838 
Enable Midstream Partners LP 3.9% 5/15/24 (d) 2,707,000 2,707,741 
Enbridge Energy Partners LP:   
4.2% 9/15/21 8,493,000 8,700,269 
4.375% 10/15/20 7,211,000 7,358,384 
Enbridge, Inc. 4.25% 12/1/26 4,925,000 5,238,924 
Endeavor Energy Resources LP/EER Finance, Inc.:   
5.5% 1/30/26 (b) 548,000 553,480 
5.75% 1/30/28 (b) 551,000 570,974 
Energy Transfer Partners LP:   
4.2% 9/15/23 3,683,000 3,807,515 
4.5% 4/15/24 4,042,000 4,226,517 
4.95% 6/15/28 12,566,000 13,255,951 
5.25% 4/15/29 6,576,000 7,096,539 
5.8% 6/15/38 7,006,000 7,466,779 
6% 6/15/48 4,563,000 4,937,738 
6.25% 4/15/49 10,251,000 11,450,650 
Enterprise Products Operating LP:   
2.55% 10/15/19 1,893,000 1,890,897 
3.75% 2/15/25 6,359,000 6,590,419 
EP Energy LLC/Everest Acquisition Finance, Inc.:   
7.75% 5/15/26 (b) 3,211,000 2,721,323 
8% 11/29/24 (b) 6,676,000 4,139,120 
Frontera Energy Corp. 9.7% 6/25/23 (b) 1,163,000 1,231,640 
Georgian Oil & Gas Corp. 6.75% 4/26/21 (b) 1,614,000 1,674,508 
Global Partners LP/GLP Finance Corp.:   
6.25% 7/15/22 3,290,000 3,290,000 
7% 6/15/23 6,352,000 6,439,340 
Gran Tierra Energy International Holdings Ltd. 6.25% 2/15/25 (b) 414,000 392,269 
Hess Infrastructure Partners LP 5.625% 2/15/26 (b) 8,157,000 8,401,710 
Hilcorp Energy I LP/Hilcorp Finance Co.:   
5% 12/1/24 (b) 4,784,000 4,628,520 
5.75% 10/1/25 (b) 1,360,000 1,336,200 
Indigo Natural Resources LLC 6.875% 2/15/26 (b) 3,064,000 2,749,940 
Indika Energy Capital II Pte. Ltd. 6.875% 4/10/22 (b) 2,961,000 3,028,230 
KazMunaiGaz Finance Sub BV 4.75% 4/24/25 (b) 538,000 563,286 
Kinder Morgan Energy Partners LP:   
3.5% 3/1/21 7,224,000 7,315,453 
5.5% 3/1/44 27,364,000 29,112,419 
6.55% 9/15/40 1,203,000 1,417,170 
Kinder Morgan, Inc.:   
5% 2/15/21 (b) 6,757,000 6,992,095 
5.05% 2/15/46 3,092,000 3,148,687 
5.55% 6/1/45 7,786,000 8,445,530 
Kosmos Energy Ltd. 7.125% 4/4/26 (b) 2,940,000 2,903,250 
Magnolia Oil & Gas Operating LLC 6% 8/1/26 (b) 3,023,000 3,038,115 
Marathon Petroleum Corp. 5.125% 3/1/21 6,484,000 6,756,552 
Medco Oak Tree Pte Ltd. 7.375% 5/14/26 (b) 605,000 594,413 
Medco Strait Services Pte. Ltd. 8.5% 8/17/22 (b) 545,000 576,793 
MEG Energy Corp. 7% 3/31/24 (b) 3,780,000 3,373,650 
MPLX LP:   
4.5% 7/15/23 6,299,000 6,610,112 
4.8% 2/15/29 3,672,000 3,898,268 
4.875% 12/1/24 8,532,000 9,134,824 
5.5% 2/15/49 11,018,000 11,647,421 
Nakilat, Inc. 6.067% 12/31/33 (b) 1,258,000 1,440,410 
Nostrum Oil & Gas Finance BV 8% 7/25/22 (b) 6,591,000 4,497,896 
Pan American Energy LLC 7.875% 5/7/21 (b) 310,000 317,750 
Parsley Energy LLC/Parsley:   
5.25% 8/15/25 (b) 456,000 446,880 
5.375% 1/15/25 (b) 5,010,000 4,997,475 
PBF Holding Co. LLC/PBF Finance Corp. 7% 11/15/23 637,000 649,740 
PBF Logistics LP/PBF Logistics Finance, Inc. 6.875% 5/15/23 4,743,000 4,790,430 
Pemex Project Funding Master Trust 6.625% 6/15/35 4,703,000 4,410,003 
Petrobras Energia SA 7.375% 7/21/23 (b) 823,000 760,530 
Petrobras Global Finance BV:   
5.299% 1/27/25 12,800,000 13,288,320 
5.75% 2/1/29 25,591,000 25,799,311 
5.999% 1/27/28 37,982,000 39,102,469 
6.25% 3/17/24 12,741,000 13,793,407 
7.25% 3/17/44 28,700,000 30,442,090 
7.375% 1/17/27 26,190,000 29,353,752 
8.75% 5/23/26 43,997,000 53,044,983 
Petrobras International Finance Co. Ltd. 6.875% 1/20/40 870,000 897,231 
Petroleos de Venezuela SA:   
5.375% 4/12/27 (f) 621,100 124,531 
6% 5/16/24 (b)(f) 3,207,669 627,099 
6% 11/15/26 (b)(f) 2,790,167 558,033 
12.75% 2/17/22 (b)(f) 172,000 42,140 
Petroleos Mexicanos:   
2.5% 11/24/22 (Reg. S) EUR454,000 509,722 
2.75% 4/21/27 (Reg. S) EUR2,345,000 2,296,404 
3.5% 1/30/23 8,705,000 8,370,728 
3.625% 11/24/25 (Reg. S) EUR1,421,000 1,528,646 
3.75% 2/21/24 (Reg. S) EUR8,001,000 9,077,085 
4.5% 1/23/26 29,333,000 27,455,688 
4.625% 9/21/23 50,278,000 49,960,997 
4.875% 1/24/22 8,927,000 9,051,085 
4.875% 1/18/24 11,589,000 11,558,869 
5.5% 1/21/21 7,147,000 7,343,543 
5.5% 6/27/44 6,885,000 5,552,993 
5.625% 1/23/46 22,750,000 18,518,500 
6% 3/5/20 2,491,000 2,540,484 
6.35% 2/12/48 55,632,000 48,561,173 
6.375% 1/23/45 18,303,000 16,069,576 
6.5% 3/13/27 58,538,000 58,929,034 
6.5% 6/2/41 21,575,000 19,498,406 
6.75% 9/21/47 34,958,000 31,560,082 
6.875% 8/4/26 26,215,000 27,198,063 
Phillips 66 Partners LP 2.646% 2/15/20 838,000 837,486 
Plains All American Pipeline LP/PAA Finance Corp. 3.65% 6/1/22 4,550,000 4,621,808 
PT Pertamina Persero:   
6.5% 5/27/41 (b) 640,000 731,200 
6.5% 11/7/48 (b) 525,000 610,247 
Rose Rock Midstream LP/Rose Rock Finance Corp.:   
5.625% 7/15/22 2,055,000 2,034,450 
5.625% 11/15/23 7,846,000 7,453,700 
Sanchez Energy Corp. 7.25% 2/15/23 (b) 8,790,000 7,427,550 
Saudi Arabian Oil Co.:   
2.875% 4/16/24 (b) 600,000 593,406 
3.5% 4/16/29 (b) 1,440,000 1,420,704 
4.375% 4/16/49 (b) 1,480,000 1,443,370 
SemGroup Corp.:   
6.375% 3/15/25 6,253,000 6,002,880 
7.25% 3/15/26 6,586,000 6,421,350 
Southwestern Energy Co.:   
6.2% 1/23/25 (d) 21,859,000 20,322,094 
7.75% 10/1/27 2,395,000 2,287,225 
Sunoco Logistics Partner Operations LP 5.4% 10/1/47 32,027,000 32,342,603 
Sunoco LP/Sunoco Finance Corp.:   
4.875% 1/15/23 3,130,000 3,154,164 
5.5% 2/15/26 2,245,000 2,267,450 
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:   
4.25% 11/15/23 5,050,000 4,961,625 
5.125% 2/1/25 6,329,000 6,344,823 
5.25% 5/1/23 1,340,000 1,344,623 
5.875% 4/15/26 3,705,000 3,830,044 
6.75% 3/15/24 2,816,000 2,921,600 
Teine Energy Ltd. 6.875% 9/30/22 (b) 2,790,000 2,810,925 
The Williams Companies, Inc.:   
4.55% 6/24/24 21,661,000 22,837,192 
5.75% 6/24/44 12,223,000 13,344,724 
Transportadora de Gas del Sur SA 6.75% 5/2/25 (b) 1,328,000 1,218,194 
Tullow Oil PLC:   
6.25% 4/15/22 (b) 600,000 599,700 
7% 3/1/25 (b) 513,000 514,949 
Western Gas Partners LP:   
4.65% 7/1/26 3,106,000 3,115,808 
4.75% 8/15/28 3,701,000 3,701,894 
5.375% 6/1/21 28,072,000 28,928,428 
Williams Partners LP:   
3.6% 3/15/22 6,891,000 7,008,645 
3.9% 1/15/25 16,989,000 17,488,560 
4% 11/15/21 4,279,000 4,398,878 
4% 9/15/25 1,911,000 1,987,951 
4.125% 11/15/20 1,528,000 1,553,538 
4.3% 3/4/24 26,077,000 27,379,931 
4.5% 11/15/23 4,667,000 4,917,187 
YPF SA:   
8.5% 3/23/21 (b) 1,245,000 1,214,510 
8.5% 3/23/21 (Reg. S) 4,650,000 4,536,122 
8.75% 4/4/24 (b) 5,384,000 5,265,552 
  1,445,986,352 
TOTAL ENERGY  1,520,899,905 
FINANCIALS - 12.2%   
Banks - 4.3%   
ABN AMRO Bank NV 4.4% 3/27/28 (Reg. S) (d) 600,000 610,147 
Access Bank PLC 9.25% 6/24/21 (b)(d) 1,429,000 1,438,289 
Akbank TAS/Ak Finansal Kiralama A/S 7.2% 3/16/27 (b)(d) 1,282,000 1,035,215 
Allied Irish Banks PLC 4.125% 11/26/25 (Reg. S) (d) EUR5,819,000 6,775,870 
Banca Monte dei Paschi di Siena SpA 5.375% 1/18/28 (d) EUR3,146,000 1,872,695 
Banco de Bogota SA 6.25% 5/12/26 (b) 440,000 478,720 
Banco de Reservas de La Republica Dominicana 7% 2/1/23 (b) 582,000 600,726 
Banco Do Brasil SA:   
4.625% 1/15/25 (b) 503,000 509,335 
4.875% 4/19/23 (b) 298,000 307,029 
Banco Espirito Santo SA 4% 12/31/49 (Reg. S) (f) EUR1,300,000 363,074 
Banco Hipotecario SA 9.75% 11/30/20 (b) 1,657,000 1,570,645 
Banco Macro SA 6.75% 11/4/26 (b)(d) 3,085,000 2,424,486 
Bank Ireland Group PLC 3.125% 9/19/27 (Reg. S) (d) GBP500,000 619,814 
Bank of America Corp.:   
3.004% 12/20/23 (d) 9,031,000 9,086,134 
3.3% 1/11/23 574,000 583,776 
3.419% 12/20/28 (d) 14,844,000 14,822,347 
3.5% 4/19/26 13,098,000 13,378,234 
3.705% 4/24/28 (d) 20,736,000 21,075,613 
3.864% 7/23/24 (d) 43,427,000 45,027,185 
3.95% 4/21/25 10,930,000 11,197,285 
4.1% 7/24/23 7,314,000 7,672,640 
4.2% 8/26/24 25,822,000 27,045,111 
4.25% 10/22/26 9,380,000 9,774,469 
4.45% 3/3/26 4,916,000 5,183,073 
Banque Centrale de Tunisie 5.75% 1/30/25 (b) 1,325,000 1,175,938 
Barclays PLC:   
2% 2/7/28 (Reg. S) (d) EUR2,350,000 2,519,240 
2.625% 11/11/25 (Reg. S) (d) EUR4,350,000 4,897,148 
2.75% 11/8/19 7,803,000 7,791,935 
3.25% 1/12/21 13,452,000 13,475,433 
3.932% 5/7/25 (d) 5,127,000 5,097,331 
4.375% 1/12/26 15,982,000 16,153,966 
BBVA Bancomer SA 7.25% 4/22/20 (b) 595,000 618,800 
Biz Finance PLC 9.625% 4/27/22 (b) 1,741,500 1,757,618 
BTA Bank JSC 5.5% 12/21/22 (b) 303,377 303,394 
CaixaBank SA:   
1.75% 10/24/23 (Reg. S) EUR6,000,000 6,854,989 
2.75% 7/14/28 (Reg. S) (d) EUR2,200,000 2,501,576 
CBOM Finance PLC 5.55% 2/14/23 (b) 1,038,000 999,075 
Citigroup, Inc.:   
2.4% 2/18/20 22,872,000 22,841,328 
2.75% 4/25/22 15,927,000 15,935,919 
3.142% 1/24/23 (d) 14,530,000 14,615,630 
4.05% 7/30/22 3,378,000 3,497,366 
4.3% 11/20/26 7,797,000 8,086,173 
4.4% 6/10/25 28,565,000 29,917,065 
4.45% 9/29/27 11,404,000 11,931,798 
5.5% 9/13/25 14,874,000 16,518,655 
Citizens Bank NA 2.55% 5/13/21 4,182,000 4,169,269 
Citizens Financial Group, Inc. 4.15% 9/28/22 (b) 10,185,000 10,449,573 
Credit Suisse Group Funding Guernsey Ltd.:   
2.75% 3/26/20 12,394,000 12,392,686 
3.75% 3/26/25 12,391,000 12,615,716 
3.8% 9/15/22 19,558,000 20,119,230 
3.8% 6/9/23 23,347,000 23,919,639 
CYBG PLC 3.125% 6/22/25 (Reg. S) (d) GBP1,489,000 1,799,406 
Danske Bank A/S:   
1.375% 5/24/22 (Reg. S) EUR2,150,000 2,434,178 
5% 1/12/22 (b) 5,210,000 5,394,051 
5.375% 1/12/24 (Reg. S) 6,050,000 6,392,929 
Development Bank of Mongolia 7.25% 10/23/23 (b) 436,000 443,610 
Development Bank of the Republic of Belarus 6.75% 5/2/24 (b) 300,000 304,125 
Discover Bank:   
4.2% 8/8/23 11,373,000 11,949,428 
7% 4/15/20 1,293,000 1,338,424 
Ecobank Transnational, Inc. 9.5% 4/18/24 (b) 1,175,000 1,236,317 
Fidelity Bank PLC 10.5% 10/16/22 (b) 1,056,000 1,116,720 
Fifth Third Bancorp 8.25% 3/1/38 2,973,000 4,268,223 
HSBC Holdings PLC 4.25% 3/14/24 3,945,000 4,077,435 
Huntington Bancshares, Inc. 7% 12/15/20 1,816,000 1,932,146 
Intesa Sanpaolo SpA:   
5.017% 6/26/24 (b) 4,094,000 3,880,269 
5.71% 1/15/26 (b) 27,047,000 25,818,914 
Itau Unibanco Holding SA:   
5.125% 5/13/23 (Reg. S) 1,290,000 1,344,825 
5.5% 8/6/22 (b) 736,000 767,280 
6.2% 12/21/21 (Reg. S) 624,000 659,256 
JPMorgan Chase & Co.:   
2.95% 10/1/26 11,773,000 11,660,884 
3.25% 9/23/22 11,737,000 11,948,218 
3.797% 7/23/24 (d) 44,260,000 45,743,904 
3.875% 9/10/24 22,801,000 23,699,652 
4.125% 12/15/26 20,651,000 21,676,858 
4.25% 10/15/20 4,456,000 4,557,797 
4.35% 8/15/21 12,911,000 13,394,479 
4.452% 12/5/29 (d) 40,200,000 43,534,155 
4.5% 1/24/22 14,045,000 14,711,681 
4.625% 5/10/21 4,382,000 4,554,619 
JSC BGEO Group 6% 7/26/23 (b) 2,003,000 2,040,556 
Nykredit Realkredit A/S 4% 6/3/36 (Reg. S) (d) EUR6,934,000 8,114,268 
Oschadbank Via SSB #1 PLC 9.375% 3/10/23 (b) 782,000 788,737 
Rabobank Nederland 4.375% 8/4/25 16,524,000 17,107,297 
Regions Bank 6.45% 6/26/37 15,683,000 19,493,250 
Regions Financial Corp. 3.2% 2/8/21 7,591,000 7,647,714 
Royal Bank of Scotland Group PLC:   
4.8% 4/5/26 32,141,000 33,694,804 
5.125% 5/28/24 40,776,000 41,955,568 
6% 12/19/23 29,324,000 31,290,017 
6.1% 6/10/23 26,301,000 27,904,096 
6.125% 12/15/22 27,112,000 28,835,123 
T.C. Ziraat Bankasi A/S:   
4.25% 7/3/19 (b) 995,000 987,637 
4.75% 4/29/21 (b) 675,000 625,219 
Trade and Development Bank of Mongolia LLC 9.375% 5/19/20 (b) 1,411,000 1,458,628 
Turkiye Garanti Bankasi A/S:   
3.375% 7/8/19 (Reg. S) EUR1,224,000 1,362,948 
4.75% 10/17/19 (b) 424,000 420,820 
6.125% 5/24/27 (b)(d) 1,355,000 1,060,288 
6.25% 4/20/21 (b) 621,000 608,580 
6.25% 4/20/21 (Reg. S) 2,600,000 2,548,000 
Turkiye Is Bankasi A/S 5.5% 4/21/22 (b) 901,000 813,153 
Turkiye Vakiflar Bankasi TAO:   
5.75% 1/30/23 (b) 3,912,000 3,354,932 
6.875% 2/3/25 (Reg. S) (d) 998,000 832,083 
UniCredit SpA:   
4.375% 1/3/27 (Reg. S) (d) EUR1,950,000 2,221,589 
6.572% 1/14/22 (b) 23,534,000 24,590,783 
Zenith Bank PLC 7.375% 5/30/22 (b) 3,919,000 4,105,153 
  989,109,428 
Capital Markets - 3.7%   
Affiliated Managers Group, Inc.:   
3.5% 8/1/25 13,384,000 13,711,363 
4.25% 2/15/24 9,340,000 9,854,751 
Banco BTG Pactual SA 7.75% 2/15/29 (b)(d) 625,000 639,844 
Blackstone Property Partners Europe LP:   
1.4% 7/6/22 (Reg. S) EUR4,721,000 5,348,366 
2% 2/15/24 (Reg. S) EUR1,900,000 2,190,886 
2.2% 7/24/25 (Reg. S) EUR5,216,000 6,006,411 
Credit Suisse Group AG:   
3.869% 1/12/29 (b)(d) 11,793,000 11,778,248 
4.207% 6/12/24 (b)(d) 18,061,000 18,687,969 
5.75% 9/18/25 (Reg. S) (d) EUR3,925,000 4,662,995 
6.5% 8/8/23 (Reg. S) 10,235,000 11,076,829 
Deutsche Bank AG:   
1.625% 2/12/21 (Reg. S) EUR12,400,000 13,879,271 
4.5% 4/1/25 51,329,000 48,163,771 
5% 6/24/20 EUR4,850,000 5,582,235 
Deutsche Bank AG New York Branch:   
3.15% 1/22/21 18,290,000 18,067,904 
3.3% 11/16/22 30,321,000 29,474,589 
5% 2/14/22 29,755,000 30,378,944 
EG Global Finance PLC 6.75% 2/7/25 (b) 625,000 613,281 
Goldman Sachs Group, Inc.:   
2.876% 10/31/22 (d) 64,328,000 64,258,653 
3.2% 2/23/23 10,830,000 10,952,462 
3.691% 6/5/28 (d) 128,004,000 128,706,696 
3.75% 5/22/25 12,741,000 13,038,587 
4.25% 10/21/25 5,020,000 5,201,962 
6.75% 10/1/37 6,976,000 8,784,004 
IntercontinentalExchange, Inc. 2.75% 12/1/20 4,134,000 4,144,689 
Merrill Lynch & Co., Inc. 5.5% 11/22/21 GBP780,000 1,071,598 
Moody's Corp.:   
3.25% 1/15/28 7,339,000 7,346,584 
4.875% 2/15/24 6,892,000 7,479,665 
Morgan Stanley:   
3.125% 1/23/23 8,282,000 8,355,826 
3.125% 7/27/26 69,344,000 68,867,777 
3.7% 10/23/24 23,877,000 24,700,527 
3.737% 4/24/24 (d) 79,634,000 82,063,913 
3.95% 4/23/27 2,007,000 2,048,135 
4.431% 1/23/30 (d) 14,132,000 15,179,675 
4.875% 11/1/22 16,717,000 17,787,199 
5% 11/24/25 27,517,000 29,984,259 
5.5% 1/26/20 56,062,000 57,065,682 
5.625% 9/23/19 8,100,000 8,168,653 
5.75% 1/25/21 12,664,000 13,275,301 
MSCI, Inc.:   
4.75% 8/1/26 (b) 2,641,000 2,693,028 
5.25% 11/15/24 (b) 2,816,000 2,886,400 
UBS AG 4.75% 2/12/26 (Reg. S) (d) EUR13,533,000 16,044,392 
UBS Group Funding Ltd. 4.125% 9/24/25 (b) 12,029,000 12,613,483 
  842,836,807 
Consumer Finance - 1.6%   
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust:   
3.5% 5/26/22 4,764,000 4,791,791 
4.125% 7/3/23 13,016,000 13,412,387 
4.45% 12/16/21 9,385,000 9,678,176 
4.45% 4/3/26 10,546,000 10,760,626 
4.875% 1/16/24 16,603,000 17,549,228 
Ally Financial, Inc.:   
3.875% 5/21/24 2,530,000 2,491,544 
4.625% 3/30/25 2,128,000 2,175,880 
5.75% 11/20/25 25,796,000 27,601,720 
8% 11/1/31 4,533,000 5,745,578 
Capital One Financial Corp. 3.8% 1/31/28 14,203,000 14,200,017 
Credito Real S.A.B. de CV 9.5% 2/7/26 (b) 815,000 882,319 
Discover Financial Services:   
3.85% 11/21/22 22,201,000 22,915,726 
3.95% 11/6/24 9,389,000 9,715,859 
4.1% 2/9/27 15,432,000 15,616,453 
4.5% 1/30/26 15,184,000 15,868,974 
5.2% 4/27/22 7,992,000 8,506,655 
Ford Motor Credit Co. LLC:   
2.597% 11/4/19 33,261,000 33,228,783 
5.085% 1/7/21 9,629,000 9,888,148 
5.584% 3/18/24 20,831,000 21,689,177 
5.596% 1/7/22 19,922,000 20,848,404 
Navient Corp.:   
5.5% 1/25/23 5,602,000 5,586,595 
5.875% 10/25/24 475,000 475,000 
6.125% 3/25/24 1,297,000 1,303,485 
6.5% 6/15/22 7,023,000 7,314,665 
6.625% 7/26/21 4,025,000 4,174,770 
6.75% 6/15/26 3,350,000 3,366,750 
7.25% 1/25/22 2,491,000 2,626,809 
7.25% 9/25/23 3,210,000 3,369,537 
Springleaf Financial Corp.:   
6.875% 3/15/25 5,415,000 5,643,513 
7.125% 3/15/26 1,390,000 1,437,260 
Synchrony Financial:   
3% 8/15/19 1,705,000 1,705,162 
3.75% 8/15/21 4,720,000 4,797,004 
3.95% 12/1/27 24,512,000 23,714,767 
4.25% 8/15/24 4,751,000 4,852,899 
4.375% 3/19/24 7,611,000 7,824,415 
5.15% 3/19/29 29,391,000 30,499,517 
  376,259,593 
Diversified Financial Services - 1.4%   
1MDB Global Investments Ltd. 4.4% 3/9/23 5,800,000 5,453,421 
ADES International Holding Ltd. 8.625% 4/24/24 (b) 1,275,000 1,252,688 
Avolon Holdings Funding Ltd.:   
3.625% 5/1/22 (b) 5,364,000 5,369,310 
3.95% 7/1/24 (b) 7,125,000 7,077,619 
4.375% 5/1/26 (b) 6,884,000 6,899,351 
5.125% 10/1/23 (b) 17,344,000 17,951,040 
5.25% 5/15/24 (b) 7,361,000 7,646,607 
5.5% 1/15/23(b) 3,615,000 3,755,624 
AXA Equitable Holdings, Inc. 3.9% 4/20/23 3,251,000 3,368,245 
Brixmor Operating Partnership LP:   
3.25% 9/15/23 16,257,000 16,268,240 
3.85% 2/1/25 9,126,000 9,272,147 
3.875% 8/15/22 13,396,000 13,695,298 
4.125% 6/15/26 5,509,000 5,644,343 
4.125% 5/15/29 2,732,000 2,777,660 
Chobani LLC/Finance Corp., Inc. 7.5% 4/15/25 (b) 1,647,000 1,498,770 
Cigna Corp.:   
4.125% 11/15/25 (b) 7,592,000 7,930,390 
4.375% 10/15/28 (b) 19,595,000 20,568,623 
4.8% 8/15/38 (b) 12,201,000 12,482,881 
4.9% 12/15/48 (b) 12,189,000 12,473,058 
Cimpor Financial Operations BV 5.75% 7/17/24 (b) 1,962,000 1,666,974 
CRC Escrow Issuer LLC/CRC Finance LLC 5.25% 10/15/25 (b) 10,264,000 10,038,192 
Crown Americas LLC/Crown Americas Capital Corp. IV 4.75% 2/1/26 2,332,000 2,344,826 
Eagle Intermediate Global Holding BV 7.5% 5/1/25 (b) 363,000 354,646 
HTA Group Ltd. 9.125% 3/8/22 (b) 1,445,000 1,505,654 
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:   
5.875% 2/1/22 15,778,000 15,916,058 
6% 8/1/20 1,790,000 1,790,000 
6.25% 2/1/22 4,737,000 4,825,819 
6.25% 5/15/26 (b) 3,650,000 3,627,188 
6.375% 12/15/25 4,491,000 4,513,455 
6.75% 2/1/24 1,274,000 1,305,850 
Park Aerospace Holdings Ltd.:   
4.5% 3/15/23 (b) 2,210,000 2,234,686 
5.25% 8/15/22 (b) 3,250,000 3,380,000 
5.5% 2/15/24 (b) 23,962,000 25,119,604 
Pine Street Trust I:   
4.572% 2/15/29 (b) 19,248,000 19,790,281 
5.568% 2/15/49 (b) 19,200,000 20,178,426 
PT Bukit Makmur Mandiri Utama 7.75% 2/13/22 (b) 2,738,000 2,779,070 
Radiate Holdco LLC/Radiate Financial Service Ltd.:   
6.625% 2/15/25 (b) 8,565,000 8,372,288 
6.875% 2/15/23 (b) 1,509,000 1,524,090 
Solera LLC/Solera Finance, Inc. 10.5% 3/1/24 (b) 13,589,000 14,624,482 
Sparc Em Spc 0% 12/5/22 (b) 175,103 163,459 
Tempo Acquisition LLC 6.75% 6/1/25 (b) 4,698,000 4,733,235 
Transocean Poseidon Ltd. 6.875% 2/1/27 (b) 645,000 663,544 
Valvoline, Inc. 5.5% 7/15/24 1,790,000 1,812,375 
Vedanta Resources Finance II PLC 9.25% 4/23/26 (b) 840,000 815,850 
Voya Financial, Inc. 3.125% 7/15/24 8,794,000 8,821,213 
WPC Eurobond BV 2.25% 4/9/26 EUR1,380,000 1,592,910 
  325,879,490 
Insurance - 1.1%   
American International Group, Inc.:   
2.3% 7/16/19 4,116,000 4,115,220 
3.3% 3/1/21 6,125,000 6,185,336 
3.875% 1/15/35 12,130,000 11,675,061 
4.875% 6/1/22 11,590,000 12,300,205 
AmWINS Group, Inc. 7.75% 7/1/26 (b) 3,905,000 3,934,288 
Aon Corp. 5% 9/30/20 2,455,000 2,533,414 
Aquarius + Investments PLC for Swiss Reinsurance Co. Ltd. 6.375% 9/1/24 (d) 1,324,000 1,331,335 
Demeter Investments BV:   
5.625% 8/15/52 (Reg. S) (d) 1,117,000 1,150,369 
5.75% 8/15/50 (Reg. S) (d) 2,324,000 2,416,960 
Hartford Financial Services Group, Inc. 5.125% 4/15/22 9,420,000 10,054,489 
Liberty Mutual Group, Inc. 4.569% 2/1/29 (b) 8,055,000 8,583,221 
Marsh & McLennan Companies, Inc.:   
1.349% 9/21/26 EUR2,600,000 2,966,824 
4.375% 3/15/29 12,747,000 13,691,764 
4.75% 3/15/39 5,849,000 6,483,236 
4.8% 7/15/21 4,517,000 4,699,939 
4.9% 3/15/49 11,640,000 13,133,360 
Massachusetts Mutual Life Insurance Co. 4.5% 4/15/65 (b) 19,445,000 20,550,982 
MetLife, Inc.:   
3.048% 12/15/22 (d) 7,921,000 8,011,332 
4.75% 2/8/21 836,000 866,248 
Metropolitan Life Global Funding I 3% 1/10/23 (b) 5,030,000 5,101,964 
Pacific LifeCorp 5.125% 1/30/43 (b) 21,516,000 23,892,373 
Pricoa Global Funding I 5.375% 5/15/45 (d) 11,144,000 11,366,880 
Prudential Financial, Inc. 7.375% 6/15/19 2,058,000 2,060,812 
Swiss Re Finance Luxembourg SA 5% 4/2/49 (b)(d) 7,600,000 7,856,500 
Teachers Insurance & Annuity Association of America 4.9% 9/15/44(b) 11,520,000 13,410,142 
TIAA Asset Management Finance LLC 4.125% 11/1/24 (b) 3,853,000 4,102,720 
Unum Group:   
3.875% 11/5/25 13,752,000 14,101,877 
4% 3/15/24 12,741,000 13,181,918 
5.625% 9/15/20 5,342,000 5,546,868 
5.75% 8/15/42 16,274,000 18,316,984 
USIS Merger Sub, Inc. 6.875% 5/1/25 (b) 3,985,000 3,865,450 
  257,488,071 
Mortgage Real Estate Investment Trusts - 0.0%   
Starwood Property Trust, Inc. 4.75% 3/15/25 1,226,000 1,213,740 
Thrifts & Mortgage Finance - 0.1%   
Nationwide Building Society 3.622% 4/26/23 (b)(d) 5,100,000 5,150,672 
Prime Securities Services Borrower LLC/Prime Finance, Inc. 9.25% 5/15/23 (b) 1,657,000 1,735,708 
Quicken Loans, Inc. 5.25% 1/15/28 (b) 6,365,000 5,917,541 
  12,803,921 
TOTAL FINANCIALS  2,805,591,050 
HEALTH CARE - 2.3%   
Health Care Equipment & Supplies - 0.0%   
Hologic, Inc.:   
4.375% 10/15/25 (b) 2,379,000 2,352,236 
4.625% 2/1/28 (b) 443,000 433,033 
Teleflex, Inc. 4.875% 6/1/26 4,444,000 4,510,660 
  7,295,929 
Health Care Providers & Services - 1.6%   
Aetna, Inc. 2.75% 11/15/22 1,281,000 1,280,100 
Cigna Corp. 3.75% 7/15/23 (b) 15,701,000 16,111,619 
Community Health Systems, Inc.:   
5.125% 8/1/21 3,220,000 3,147,550 
6.25% 3/31/23 14,608,000 13,909,738 
8% 3/15/26 (b) 2,685,000 2,568,364 
8.625% 1/15/24 (b) 8,598,000 8,598,000 
CVS Health Corp.:   
3.7% 3/9/23 5,734,000 5,860,816 
4% 12/5/23 5,431,000 5,616,671 
4.1% 3/25/25 45,449,000 47,048,353 
4.3% 3/25/28 41,514,000 42,779,959 
4.78% 3/25/38 18,481,000 18,416,685 
5.05% 3/25/48 27,172,000 27,619,519 
Elanco Animal Health, Inc.:   
3.912% 8/27/21 (b) 3,218,000 3,284,799 
4.272% 8/28/23 (b) 10,157,000 10,662,803 
4.9% 8/28/28 (b) 4,279,000 4,639,087 
HCA Holdings, Inc.:   
4.25% 10/15/19 4,835,000 4,854,194 
4.5% 2/15/27 3,357,000 3,476,870 
4.75% 5/1/23 379,000 399,190 
5% 3/15/24 4,061,000 4,334,958 
5.25% 6/15/26 7,307,000 7,878,635 
5.875% 3/15/22 456,000 487,708 
5.875% 2/15/26 2,434,000 2,580,064 
6.5% 2/15/20 19,305,000 19,761,105 
Medco Health Solutions, Inc. 4.125% 9/15/20 4,769,000 4,855,257 
Rede D Oregon Finance Sarl 4.95% 1/17/28 (b) 525,000 490,334 
Sabra Health Care LP/Sabra Capital Corp.:   
5.375% 6/1/23 649,000 657,924 
5.5% 2/1/21 991,000 1,005,251 
Tenet Healthcare Corp.:   
4.375% 10/1/21 2,437,000 2,455,765 
4.625% 7/15/24 3,529,000 3,503,238 
5.125% 5/1/25 2,803,000 2,781,978 
6.25% 2/1/27 (b) 2,480,000 2,529,600 
6.75% 6/15/23 6,838,000 6,811,810 
8.125% 4/1/22 19,870,000 20,708,713 
THC Escrow Corp. III 7% 8/1/25 4,453,000 4,376,765 
Toledo Hospital:   
5.325% 11/15/28 6,970,000 7,500,853 
6.015% 11/15/48 28,895,000 32,845,828 
Vizient, Inc. 6.25% 5/15/27 (b) 375,000 390,469 
Wellcare Health Plans, Inc.:   
5.25% 4/1/25 2,125,000 2,153,581 
5.375% 8/15/26 (b) 6,204,000 6,357,239 
WellPoint, Inc. 3.3% 1/15/23 4,104,000 4,166,955 
  358,908,347 
Health Care Technology - 0.0%   
IMS Health, Inc. 5% 5/15/27 (b) 4,290,000 4,351,819 
Life Sciences Tools & Services - 0.0%   
Charles River Laboratories International, Inc. 5.5% 4/1/26 (b) 1,805,000 1,874,944 
Pharmaceuticals - 0.7%   
Actavis Funding SCS 3.45% 3/15/22 30,800,000 30,976,887 
Bayer AG:   
2.375% 4/2/75 (Reg. S) (d) EUR2,300,000 2,469,709 
3% 7/1/75 (Reg S.) (d) EUR2,200,000 2,466,883 
Bayer U.S. Finance II LLC 4.25% 12/15/25 (b) 22,606,000 23,248,885 
Catalent Pharma Solutions 4.875% 1/15/26 (b) 3,265,000 3,232,350 
Mylan NV:   
2.25% 11/22/24 (Reg. S) EUR1,172,000 1,305,996 
2.5% 6/7/19 5,750,000 5,749,618 
3.15% 6/15/21 13,528,000 13,460,242 
3.95% 6/15/26 7,088,000 6,663,725 
4.55% 4/15/28 13,507,000 12,938,136 
Perrigo Finance PLC 3.5% 12/15/21 982,000 972,197 
Teva Pharmaceutical Finance Co. BV:   
2.95% 12/18/22 669,000 595,410 
3.65% 11/10/21 956,000 893,860 
Teva Pharmaceutical Finance IV BV 3.65% 11/10/21 2,006,000 1,875,610 
Teva Pharmaceutical Finance IV LLC 2.25% 3/18/20 577,000 564,219 
Teva Pharmaceutical Finance Netherlands III BV:   
0.375% 7/25/20 (Reg. S) EUR7,071,000 7,642,662 
2.2% 7/21/21 9,555,000 8,816,399 
2.8% 7/21/23 13,994,000 11,698,144 
4.5% 3/1/25 EUR2,072,000 2,148,852 
Valeant Pharmaceuticals International, Inc.:   
5.5% 11/1/25 (b) 2,322,000 2,330,708 
5.875% 5/15/23 (b) 1,173,000 1,175,674 
6.5% 3/15/22 (b) 1,593,000 1,647,098 
7% 3/15/24 (b) 7,310,000 7,634,381 
9% 12/15/25 (b) 618,000 665,123 
Zoetis, Inc.:   
3.25% 2/1/23 3,117,000 3,165,209 
3.45% 11/13/20 3,299,000 3,337,712 
  157,675,689 
TOTAL HEALTH CARE  530,106,728 
INDUSTRIALS - 1.0%   
Aerospace & Defense - 0.3%   
BAE Systems Holdings, Inc.:   
3.8% 10/7/24 (b) 5,811,000 5,998,535 
6.375% 6/1/19 (b) 5,142,000 5,142,000 
BBA U.S. Holdings, Inc. 5.375% 5/1/26 (b) 6,329,000 6,408,113 
Bombardier, Inc.:   
6.125% 1/15/23 (b) 8,365,000 8,132,453 
7.5% 12/1/24 (b) 6,813,000 6,693,773 
7.5% 3/15/25 (b) 1,914,000 1,856,006 
7.875% 4/15/27 (b) 4,565,000 4,381,031 
BWX Technologies, Inc. 5.375% 7/15/26 (b) 6,413,000 6,541,260 
Rolls-Royce PLC 3.375% 6/18/26 GBP260,000 353,195 
TransDigm, Inc.:   
6% 7/15/22 2,555,000 2,564,581 
6.25% 3/15/26 (b) 9,375,000 9,562,500 
6.375% 6/15/26 615,000 604,238 
6.5% 7/15/24 4,365,000 4,349,068 
6.5% 5/15/25 5,288,000 5,248,340 
  67,835,093 
Air Freight & Logistics - 0.1%   
Aercap Global Aviation Trust 6.5% 6/15/45 (b)(d) 9,097,000 9,187,970 
Rumo Luxembourg Sarl 7.375% 2/9/24 (b) 1,953,000 2,094,593 
  11,282,563 
Airlines - 0.0%   
Azul Investments LLP 5.875% 10/26/24 (b) 768,000 728,141 
Building Products - 0.0%   
Elementia S.A.B. de CV 5.5% 1/15/25 (b) 850,000 833,344 
Commercial Services & Supplies - 0.1%   
APX Group, Inc.:   
7.625% 9/1/23 4,231,000 3,384,800 
7.875% 12/1/22 3,230,000 2,979,675 
8.75% 12/1/20 2,842,000 2,657,270 
Brand Energy & Infrastructure Services, Inc. 8.5% 7/15/25 (b) 3,087,000 2,608,515 
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (b) 3,899,000 3,825,894 
Prime Security One MS, Inc. 4.875% 7/15/32 (b) 2,657,000 2,198,668 
Tervita Escrow Corp. 7.625% 12/1/21 (b) 963,000 965,408 
  18,620,230 
Construction & Engineering - 0.1%   
AECOM:   
5.125% 3/15/27 7,722,000 7,582,039 
5.875% 10/15/24 4,702,000 4,844,565 
Cementos Progreso Trust 7.125% 11/6/23 (b) 1,036,000 1,069,924 
Odebrecht Finance Ltd.:   
4.375% 4/25/25 (b)(f) 1,640,000 236,447 
7.125% 6/26/42 (b)(f) 2,456,000 352,276 
  14,085,251 
Electrical Equipment - 0.0%   
Sensata Technologies BV 5% 10/1/25 (b) 2,730,000 2,730,000 
Vestas Wind Systems A/S 2.75% 3/11/22 (Reg. S) EUR1,994,000 2,345,604 
  5,075,604 
Industrial Conglomerates - 0.0%   
Turk Sise ve Cam Fabrikalari A/S 6.95% 3/14/26 (b) 625,000 594,531 
Machinery - 0.0%   
U.S.A. Compression Partners LP:   
6.875% 4/1/26 3,685,000 3,777,125 
6.875% 9/1/27 (b) 1,210,000 1,235,713 
  5,012,838 
Professional Services - 0.0%   
Thomson Reuters Corp. 3.85% 9/29/24 2,221,000 2,270,750 
Road & Rail - 0.0%   
Alpha Trains Finance SA 2.064% 6/30/25 EUR4,151,000 4,822,781 
JSC Georgian Railway 7.75% 7/11/22 (b) 347,000 374,326 
Uber Technologies, Inc. 7.5% 11/1/23 (b) 956,000 999,020 
Ukraine Railways via Shortline PLC 9.875% 9/15/21 (b) 1,431,500 1,440,447 
  7,636,574 
Trading Companies & Distributors - 0.4%   
Air Lease Corp.:   
3% 9/15/23 2,041,000 2,025,948 
3.375% 6/1/21 6,685,000 6,748,401 
3.75% 2/1/22 16,816,000 17,153,238 
3.875% 4/1/21 7,396,000 7,524,884 
4.25% 2/1/24 18,355,000 19,068,608 
4.25% 9/15/24 7,664,000 7,980,480 
4.75% 3/1/20 7,515,000 7,619,306 
Avantor, Inc. 6% 10/1/24 (b) 1,863,000 1,934,726 
FLY Leasing Ltd.:   
5.25% 10/15/24 7,453,000 7,154,880 
6.375% 10/15/21 3,822,000 3,869,775 
Travis Perkins PLC:   
4.375% 9/15/21 (Reg. S) GBP1,121,000 1,458,315 
4.5% 9/7/23 (Reg. S) GBP1,536,000 1,972,508 
  84,511,069 
Transportation Infrastructure - 0.0%   
Aeropuertos Argentina 2000 SA 6.875% 2/1/27 (b) 3,635,719 3,486,000 
Heathrow Funding Ltd. 7.125% 2/14/24 GBP3,200,000 4,878,144 
  8,364,144 
TOTAL INDUSTRIALS  226,850,132 
INFORMATION TECHNOLOGY - 0.4%   
Communications Equipment - 0.0%   
CommScope Finance LLC:   
5.5% 3/1/24 (b) 600,000 605,982 
6% 3/1/26 (b) 600,000 600,000 
  1,205,982 
Electronic Equipment & Components - 0.1%   
Diamond 1 Finance Corp./Diamond 2 Finance Corp.:   
4.42% 6/15/21 (b) 1,529,000 1,566,907 
5.45% 6/15/23 (b) 14,700,000 15,627,412 
6.02% 6/15/26 (b) 5,064,000 5,453,037 
TTM Technologies, Inc. 5.625% 10/1/25 (b) 10,935,000 10,524,938 
  33,172,294 
IT Services - 0.0%   
First Data Corp. 5.75% 1/15/24 (b) 2,365,000 2,419,986 
Gartner, Inc. 5.125% 4/1/25 (b) 850,000 856,375 
Indra Sistemas SA 3% 4/19/24 (Reg. S) EUR1,900,000 2,167,372 
  5,443,733 
Semiconductors & Semiconductor Equipment - 0.1%   
Micron Technology, Inc. 5.5% 2/1/25 4,545,000 4,658,171 
NXP BV/NXP Funding LLC 4.125% 6/1/21 (b) 1,347,000 1,367,744 
Qorvo, Inc. 5.5% 7/15/26 (b) 2,714,000 2,761,495 
Sensata Technologies UK Financing Co. PLC 6.25% 2/15/26 (b) 1,927,000 2,004,080 
  10,791,490 
Software - 0.2%   
Ascend Learning LLC:   
6.875% 8/1/25 (b) 3,245,000 3,236,888 
6.875% 8/1/25 (b) 345,000 346,725 
CDK Global, Inc.:   
4.875% 6/1/27 1,159,000 1,134,371 
5.25% 5/15/29 (b) 730,000 727,263 
5.875% 6/15/26 2,418,000 2,502,630 
Ensemble S Merger Sub, Inc. 9% 9/30/23 (b) 6,506,000 6,701,180 
Fair Isaac Corp. 5.25% 5/15/26 (b) 5,794,000 6,040,245 
Nuance Communications, Inc. 5.625% 12/15/26 2,663,000 2,719,615 
Open Text Corp. 5.875% 6/1/26 (b) 7,059,000 7,359,008 
SS&C Technologies, Inc. 5.5% 9/30/27 (b) 3,225,000 3,249,833 
Symantec Corp. 5% 4/15/25 (b) 11,289,000 11,286,720 
  45,304,478 
TOTAL INFORMATION TECHNOLOGY  95,917,977 
MATERIALS - 0.7%   
Chemicals - 0.3%   
Braskem Finance Ltd.:   
5.375% 5/2/22 (b) 771,000 798,405 
5.75% 4/15/21 (b) 529,000 546,986 
Element Solutions, Inc. 5.875% 12/1/25 (b) 5,514,000 5,589,818 
International Flavors & Fragrances, Inc. 1.8% 9/25/26 EUR4,273,000 4,981,238 
Nufarm Australia Ltd. 5.75% 4/30/26 (b) 4,026,000 3,794,505 
Nutrien Ltd.:   
4.2% 4/1/29 2,050,000 2,133,555 
5% 4/1/49 3,569,000 3,709,990 
OCI NV 6.625% 4/15/23 (b) 6,832,000 6,968,640 
OCP SA 5.625% 4/25/24 (b) 567,000 605,981 
Olin Corp. 5.125% 9/15/27 3,663,000 3,616,114 
Petkim Petrokimya Holding A/S 5.875% 1/26/23 (b) 2,383,000 2,198,318 
SABIC Capital II BV 4% 10/10/23 (b) 1,108,000 1,132,930 
Sasol Financing U.S.A. LLC 5.875% 3/27/24 704,000 742,016 
The Chemours Co. LLC 5.375% 5/15/27 3,380,000 3,058,900 
The Dow Chemical Co.:   
4.125% 11/15/21 6,936,000 7,156,336 
4.25% 11/15/20 2,327,000 2,371,156 
TPC Group, Inc. 8.75% 12/15/20 (b) 8,502,000 8,353,215 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 5.375% 9/1/25 (b) 2,962,000 2,747,255 
Valvoline, Inc. 4.375% 8/15/25 2,450,000 2,358,125 
  62,863,483 
Construction Materials - 0.0%   
CEMEX Finance LLC:   
4.625% 6/15/24 EUR3,086,000 3,620,227 
6% 4/1/24 (b) 589,000 596,952 
CEMEX S.A.B. de CV:   
3.125% 3/19/26 (Reg. S) EUR2,750,000 3,124,690 
7.75% 4/16/26 (b) 1,179,000 1,256,460 
  8,598,329 
Containers & Packaging - 0.1%   
Ard Securities Finance SARL 8.75% 1/31/23 pay-in-kind (b)(d) 4,192,814 4,025,101 
Ardagh Packaging Finance PLC/Ardagh MP Holdings U.S.A., Inc. 6% 2/15/25 (b) 7,298,000 7,226,480 
Crown Americas LLC/Crown Americas Capital Corp. V 4.25% 9/30/26 3,408,000 3,297,240 
Flex Acquisition Co., Inc.:   
6.875% 1/15/25 (b) 3,850,000 3,445,750 
7.875% 7/15/26 (b) 860,000 774,000 
OI European Group BV 4% 3/15/23 (b) 3,440,000 3,379,800 
Owens-Brockway Glass Container, Inc. 5.375% 1/15/25 (b) 2,504,000 2,522,780 
Silgan Holdings, Inc. 4.75% 3/15/25 1,876,000 1,871,310 
  26,542,461 
Metals & Mining - 0.3%   
BHP Billiton Financial (U.S.A.) Ltd.:   
6.25% 10/19/75 (b)(d) 4,471,000 4,629,721 
6.75% 10/19/75 (b)(d) 11,105,000 12,460,587 
Corporacion Nacional del Cobre de Chile (Codelco):   
3.625% 8/1/27 (b) 5,273,000 5,362,667 
4.5% 8/1/47 (b) 4,170,000 4,364,676 
CSN Resources SA:   
6.5% 7/21/20 (b) 471,000 480,557 
7.625% 2/13/23 (b) 2,400,000 2,466,000 
First Quantum Minerals Ltd.:   
6.5% 3/1/24 (b) 2,201,000 1,930,277 
7.25% 5/15/22 (b) 1,414,000 1,343,300 
7.25% 4/1/23 (b) 10,207,000 9,313,888 
Freeport-McMoRan, Inc.:   
3.55% 3/1/22 3,329,000 3,255,096 
3.875% 3/15/23 1,962,000 1,889,367 
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (b) 767,000 777,742 
Metinvest BV 7.75% 4/23/23 (b) 4,349,000 4,297,356 
Polyus Finance PLC 5.25% 2/7/23 (b) 1,478,000 1,519,177 
POSCO 4% 8/1/23 (b) 615,000 639,470 
Stillwater Mining Co. 6.125% 6/27/22 (b) 3,792,000 3,741,187 
Vale Overseas Ltd. 4.375% 1/11/22 435,000 443,918 
Vedanta Resources PLC:   
6.375% 7/30/22 (b) 2,380,000 2,278,850 
8.25% 6/7/21 (b) 2,210,000 2,270,101 
  63,463,937 
Paper & Forest Products - 0.0%   
Berry Global Escrow Corp. 4.875% 7/15/26 (b)(c) 3,335,000 3,317,425 
TOTAL MATERIALS  164,785,635 
REAL ESTATE - 2.5%   
Equity Real Estate Investment Trusts (REITs) - 1.5%   
Alexandria Real Estate Equities, Inc.:   
2.75% 1/15/20 1,837,000 1,836,806 
4.6% 4/1/22 3,119,000 3,281,967 
alstria office REIT-AG 1.5% 11/15/27 (Reg. S) EUR4,200,000 4,624,812 
American Campus Communities Operating Partnership LP 3.75% 4/15/23 2,224,000 2,277,690 
American Homes 4 Rent 4.25% 2/15/28 896,000 909,180 
AvalonBay Communities, Inc. 3.625% 10/1/20 3,189,000 3,229,334 
Boston Properties, Inc.:   
3.85% 2/1/23 3,713,000 3,850,855 
4.5% 12/1/28 12,665,000 13,754,739 
Camden Property Trust:   
2.95% 12/15/22 4,218,000 4,255,362 
4.25% 1/15/24 5,855,000 6,202,932 
Care Capital Properties LP 5.125% 8/15/26 4,710,000 4,756,742 
CommonWealth REIT 5.875% 9/15/20 1,357,000 1,388,774 
Corporate Office Properties LP 5% 7/1/25 7,885,000 8,345,979 
Corrections Corp. of America:   
4.625% 5/1/23 3,895,000 3,826,838 
5% 10/15/22 3,180,000 3,187,950 
CTR Partnership LP/CareTrust Capital Corp. 5.25% 6/1/25 3,260,000 3,341,500 
DDR Corp.:   
3.625% 2/1/25 5,451,000 5,435,704 
4.25% 2/1/26 18,338,000 18,781,435 
4.625% 7/15/22 4,060,000 4,211,896 
4.7% 6/1/27 904,000 950,444 
Duke Realty LP:   
3.625% 4/15/23 4,005,000 4,117,688 
3.75% 12/1/24 3,445,000 3,582,413 
3.875% 10/15/22 11,077,000 11,450,948 
Equity One, Inc. 3.75% 11/15/22 11,531,000 11,904,425 
ERP Operating LP:   
2.375% 7/1/19 5,592,000 5,590,671 
4.75% 7/15/20 4,905,000 5,000,712 
Hudson Pacific Properties LP 4.65% 4/1/29 4,561,000 4,807,443 
iStar Financial, Inc. 6% 4/1/22 832,000 841,360 
Lexington Corporate Properties Trust 4.4% 6/15/24 2,936,000 2,995,660 
MPT Operating Partnership LP/MPT Finance Corp.:   
5% 10/15/27 3,424,000 3,381,200 
5.25% 8/1/26 3,615,000 3,644,282 
6.375% 3/1/24 1,433,000 1,493,903 
Omega Healthcare Investors, Inc.:   
4.375% 8/1/23 26,812,000 27,694,137 
4.5% 1/15/25 6,808,000 7,040,595 
4.5% 4/1/27 32,478,000 33,431,841 
4.75% 1/15/28 18,782,000 19,550,207 
4.95% 4/1/24 11,179,000 11,742,644 
5.25% 1/15/26 18,623,000 19,870,266 
Retail Opportunity Investments Partnership LP:   
4% 12/15/24 2,151,000 2,119,543 
5% 12/15/23 1,293,000 1,336,279 
Samhallsbyggnadsbolaget I Norden AB 1.75% 1/14/25 (Reg. S) EUR5,290,000 5,855,070 
Senior Housing Properties Trust 6.75% 4/15/20 159,000 160,990 
Store Capital Corp. 4.625% 3/15/29 5,948,000 6,229,162 
Ventas Realty LP:   
3.125% 6/15/23 3,477,000 3,528,138 
3.5% 2/1/25 3,798,000 3,878,569 
3.75% 5/1/24 15,927,000 16,450,103 
4% 3/1/28 6,996,000 7,216,153 
4.125% 1/15/26 3,540,000 3,696,685 
Weingarten Realty Investors 3.375% 10/15/22 1,739,000 1,759,959 
WP Carey, Inc. 4% 2/1/25 21,671,000 22,072,509 
  350,894,494 
Real Estate Management & Development - 1.0%   
Altareit SCA 2.875% 7/2/25 (Reg. S) EUR1,100,000 1,248,833 
Brandywine Operating Partnership LP:   
3.95% 2/15/23 18,541,000 19,168,726 
3.95% 11/15/27 14,429,000 14,554,296 
4.1% 10/1/24 10,117,000 10,454,565 
4.55% 10/1/29 10,929,000 11,344,571 
CPI Property Group SA 1.45% 4/14/22 (Reg. S) EUR7,475,000 8,322,805 
Deutsche Annington Finance BV 5% 10/2/23 (b) 3,695,000 3,862,121 
Digital Realty Trust LP:   
3.4% 10/1/20 11,281,000 11,391,488 
3.625% 10/1/22 5,865,000 6,009,173 
3.95% 7/1/22 7,543,000 7,820,746 
4.75% 10/1/25 19,502,000 21,130,152 
5.25% 3/15/21 3,636,000 3,772,099 
Essex Portfolio LP 3.875% 5/1/24 5,607,000 5,826,376 
Greystar Real Estate Partners 5.75% 12/1/25 (b) 459,000 455,558 
Heimstaden Bostad AB 1.75% 12/7/21 (Reg. S) EUR7,530,000 8,610,077 
Host Hotels & Resorts LP 4.75% 3/1/23 96,000 101,472 
Howard Hughes Corp. 5.375% 3/15/25 (b) 7,035,000 6,947,063 
Inversiones y Representaciones SA 11.5% 7/20/20 (Reg. S) 5,000 4,999 
IRSA Propiedades Comerciales SA 8.75% 3/23/23 (b) 978,000 905,222 
Kennedy-Wilson, Inc. 5.875% 4/1/24 516,000 513,492 
Liberty Property LP:   
3.375% 6/15/23 5,207,000 5,293,256 
4.125% 6/15/22 9,480,000 9,830,202 
4.4% 2/15/24 8,293,000 8,797,945 
4.75% 10/1/20 7,187,000 7,351,426 
Mack-Cali Realty LP:   
3.15% 5/15/23 9,387,000 8,653,177 
4.5% 4/18/22 11,063,000 10,830,984 
Post Apartment Homes LP 3.375% 12/1/22 1,637,000 1,663,130 
Shimao Property Holdings Ltd. 4.75% 7/3/22 1,475,000 1,477,072 
Tanger Properties LP:   
3.125% 9/1/26 8,723,000 8,186,141 
3.75% 12/1/24 15,395,000 15,372,485 
3.875% 12/1/23 3,066,000 3,103,855 
Twin River Worldwide Holdings, Inc. 6.75% 6/1/27 (b) 945,000 959,033 
Ventas Realty LP/Ventas Capital Corp. 4.25% 3/1/22 191,000 197,962 
Vesteda Finance BV 1.5% 5/24/27 (Reg. S) EUR1,120,000 1,260,503 
  225,421,005 
TOTAL REAL ESTATE  576,315,499 
UTILITIES - 1.6%   
Electric Utilities - 0.9%   
American Electric Power Co., Inc. 2.95% 12/15/22 3,144,000 3,184,669 
Clearway Energy Operating LLC 5.75% 10/15/25 (b) 2,198,000 2,192,505 
DONG Energy A/S 2.125% 5/17/27 (Reg. S) GBP2,500,000 3,194,807 
Duquesne Light Holdings, Inc.:   
5.9% 12/1/21 (b) 18,694,000 19,914,527 
6.4% 9/15/20 (b) 16,498,000 17,213,304 
Eskom Holdings SOC Ltd.:   
5.75% 1/26/21 (b) 1,095,000 1,092,263 
5.75% 1/26/21 (Reg. S) 1,685,000 1,680,788 
6.75% 8/6/23 (b) 1,020,000 1,045,500 
Eversource Energy 2.8% 5/1/23 9,622,000 9,664,705 
Exelon Corp. 2.85% 6/15/20 3,114,000 3,117,368 
FirstEnergy Corp.:   
4.25% 3/15/23 19,904,000 20,862,814 
7.375% 11/15/31 40,851,000 54,859,276 
InterGen NV 7% 6/30/23 (b) 7,075,000 6,367,500 
IPALCO Enterprises, Inc.:   
3.45% 7/15/20 17,516,000 17,617,790 
3.7% 9/1/24 6,665,000 6,808,158 
Israel Electric Corp. Ltd. 7.75% 12/15/27 (Reg. S) 600,000 759,426 
LG&E and KU Energy LLC 3.75% 11/15/20 924,000 936,351 
Monongahela Power Co. 4.1% 4/15/24 (b) 2,537,000 2,689,053 
NRG Yield Operating LLC 5% 9/15/26 2,513,000 2,425,045 
NSG Holdings II LLC/NSG Holdings, Inc. 7.75% 12/15/25 (b) 5,463,451 5,832,234 
NV Energy, Inc. 6.25% 11/15/20 2,230,000 2,344,972 
Pampa Holding SA 7.5% 1/24/27 (b) 564,000 493,500 
PPL Capital Funding, Inc. 3.4% 6/1/23 4,577,000 4,652,943 
TECO Finance, Inc. 5.15% 3/15/20 2,396,000 2,440,296 
Vistra Operations Co. LLC 5.5% 9/1/26 (b) 11,371,000 11,638,787 
  203,028,581 
Gas Utilities - 0.0%   
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21 2,323,000 2,389,181 
Independent Power and Renewable Electricity Producers - 0.4%   
Dolphin Subsidiary II, Inc. 7.25% 10/15/21 31,275,000 33,307,875 
Dynegy, Inc. 7.625% 11/1/24 3,472,000 3,652,370 
Emera U.S. Finance LP:   
2.15% 6/15/19 3,272,000 3,270,956 
2.7% 6/15/21 3,220,000 3,209,111 
3.55% 6/15/26 5,152,000 5,181,875 
NextEra Energy Partners LP:   
4.25% 9/15/24 (b) 3,341,000 3,320,119 
4.5% 9/15/27 (b) 596,000 578,120 
NRG Energy, Inc.:   
5.25% 6/15/29 (b) 3,295,000 3,386,173 
5.75% 1/15/28 2,250,000 2,353,928 
6.625% 1/15/27 1,080,000 1,148,850 
Talen Energy Supply LLC:   
6.5% 6/1/25 538,000 457,300 
10.5% 1/15/26 (b) 10,735,000 10,735,000 
TerraForm Power Operating LLC:   
4.25% 1/31/23 (b) 1,293,000 1,250,978 
5% 1/31/28 (b) 1,443,000 1,387,084 
6.625% 6/15/25 (b)(d) 3,430,000 3,541,475 
The AES Corp.:   
4.5% 3/15/23 1,851,000 1,862,569 
4.875% 5/15/23 6,062,000 6,087,824 
5.125% 9/1/27 4,638,000 4,730,760 
6% 5/15/26 984,000 1,028,280 
  90,490,647 
Multi-Utilities - 0.3%   
Dominion Resources, Inc.:   
3 month U.S. LIBOR + 2.300% 4.901% 9/30/66 (d)(e) 22,443,000 20,647,560 
3 month U.S. LIBOR + 2.825% 5.4168% 6/30/66 (d)(e) 6,590,000 6,194,600 
NiSource Finance Corp.:   
5.25% 2/15/43 8,116,000 9,226,244 
5.8% 2/1/42 4,036,000 4,895,675 
5.95% 6/15/41 7,538,000 9,104,593 
Puget Energy, Inc.:   
6% 9/1/21 9,916,000 10,570,612 
6.5% 12/15/20 3,265,000 3,444,813 
Sempra Energy:   
2.875% 10/1/22 3,670,000 3,665,088 
6% 10/15/39 9,562,000 11,517,519 
Wisconsin Energy Corp. 3 month U.S. LIBOR + 2.113% 4.6305% 5/15/67 (d)(e) 2,459,000 2,054,495 
  81,321,199 
TOTAL UTILITIES  377,229,608 
TOTAL NONCONVERTIBLE BONDS  7,832,823,681 
TOTAL CORPORATE BONDS   
(Cost $7,686,223,822)  7,837,742,283 
U.S. Government and Government Agency Obligations - 33.2%   
U.S. Treasury Inflation-Protected Obligations - 3.2%   
U.S. Treasury Inflation-Indexed Bonds:   
0.75% 2/15/45 $90,996,700 $98,128,825 
1% 2/15/46 44,968,900 51,106,614 
U.S. Treasury Inflation-Indexed Notes:   
0.125% 7/15/24 31,431,100 33,441,583 
0.375% 7/15/25 161,548,600 174,080,679 
0.375% 1/15/27 137,872,800 145,227,671 
0.625% 1/15/26 120,265,000 131,003,588 
0.75% 7/15/28 99,854,400 104,731,635 
TOTAL U.S. TREASURY INFLATION-PROTECTED OBLIGATIONS  737,720,595 
U.S. Treasury Obligations - 30.0%   
U.S. Treasury Bonds:   
2.25% 8/15/46 (g)(h) 261,200 244,681 
2.75% 11/15/47 182,698,900 189,057,679 
3% 5/15/45 42,618,500 46,236,078 
3% 2/15/48 14,982,100 16,262,601 
3% 2/15/49 (i) 639,830,000 696,614,843 
5% 5/15/37 (h) 16,600 23,151 
U.S. Treasury Notes:   
1.25% 10/31/21 (g)(h) 3,057,900 3,010,001 
1.625% 5/15/26 15,926,700 15,510,491 
1.75% 6/30/22 607,029,000 604,634,082 
1.875% 3/31/22 527,421,700 527,298,083 
1.875% 7/31/22 575,545,600 575,163,403 
2% 4/30/24 15,926,700 15,970,872 
2% 11/15/26 20,453,000 20,385,889 
2.125% 12/31/22 275,186,800 277,304,448 
2.125% 3/31/24 253,410,000 255,617,439 
2.125% 7/31/24 222,547,000 224,468,206 
2.125% 11/30/24 51,867,300 52,296,826 
2.125% 5/15/25 (g)(h)(j) 1,465,300 1,476,061 
2.125% 5/31/26 319,120,000 320,765,463 
2.25% 4/30/24 676,960,000 687,061,516 
2.25% 12/31/24 394,208,100 400,013,429 
2.25% 11/15/27 200,057,200 202,409,435 
2.375% 4/30/26 169,040,000 172,876,415 
2.5% 3/31/23 416,562,200 425,609,410 
2.5% 2/28/26 616,204,000 634,786,402 
2.75% 11/30/20 (g) 1,228,000 1,240,472 
2.75% 8/15/21 9,492,300 9,659,157 
2.75% 2/15/28 96,082,900 100,984,629 
2.875% 9/30/23 46,915,700 48,753,843 
3.125% 11/15/28 373,000,000 404,603,007 
TOTAL U.S. TREASURY OBLIGATIONS  6,930,338,012 
TOTAL U.S. GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $7,481,922,248)  7,668,058,607 
U.S. Government Agency - Mortgage Securities - 25.9%   
Fannie Mae - 14.4%   
12 month U.S. LIBOR + 1.445% 4.497% 4/1/37 (d)(e) 34,061 35,518 
12 month U.S. LIBOR + 1.480% 4.287% 7/1/34 (d)(e) 12,015 12,480 
12 month U.S. LIBOR + 1.495% 4.511% 1/1/35 (d)(e) 37,601 39,136 
12 month U.S. LIBOR + 1.553% 4.268% 6/1/36 (d)(e) 30,120 31,460 
12 month U.S. LIBOR + 1.565% 4.69% 3/1/37 (d)(e) 15,181 15,884 
12 month U.S. LIBOR + 1.594% 4.308% 5/1/36 (d)(e) 71,791 75,048 
12 month U.S. LIBOR + 1.617% 4.582% 3/1/33 (d)(e) 27,615 28,789 
12 month U.S. LIBOR + 1.641% 4.375% 9/1/36 (d)(e) 24,265 25,361 
12 month U.S. LIBOR + 1.645% 4.693% 6/1/47 (d)(e) 31,279 32,984 
12 month U.S. LIBOR + 1.718% 4.406% 5/1/35 (d)(e) 58,937 61,553 
12 month U.S. LIBOR + 1.725% 3.252% 6/1/42 (d)(e) 71,376 73,842 
12 month U.S. LIBOR + 1.728% 4.54% 11/1/36 (d)(e) 20,877 21,851 
12 month U.S. LIBOR + 1.741% 4.73% 3/1/40 (d)(e) 90,968 95,347 
12 month U.S. LIBOR + 1.745% 4.742% 7/1/35 (d)(e) 28,825 30,176 
12 month U.S. LIBOR + 1.750% 4.5% 8/1/41 (d)(e) 103,663 108,003 
12 month U.S. LIBOR + 1.788% 4.913% 2/1/36 (d)(e) 74,838 78,536 
12 month U.S. LIBOR + 1.800% 4.546% 7/1/41 (d)(e) 72,282 75,398 
12 month U.S. LIBOR + 1.800% 4.788% 1/1/42 (d)(e) 224,625 234,106 
12 month U.S. LIBOR + 1.810% 4.81% 12/1/39 (d)(e) 30,311 31,671 
12 month U.S. LIBOR + 1.812% 4.609% 12/1/40 (d)(e) 2,246,439 2,342,482 
12 month U.S. LIBOR + 1.818% 4.546% 7/1/41 (d)(e) 41,554 43,366 
12 month U.S. LIBOR + 1.818% 4.568% 9/1/41 (d)(e) 25,352 26,481 
12 month U.S. LIBOR + 1.818% 4.933% 2/1/42 (d)(e) 183,092 191,444 
12 month U.S. LIBOR + 1.820% 4.82% 12/1/35 (d)(e) 89,282 93,831 
12 month U.S. LIBOR + 1.830% 4.657% 10/1/41 (d)(e) 25,368 26,513 
12 month U.S. LIBOR + 1.851% 4.512% 5/1/36 (d)(e) 24,733 25,959 
12 month U.S. LIBOR + 1.900% 4.634% 7/1/37 (d)(e) 22,326 23,583 
6 month U.S. LIBOR + 1.475% 4.178% 10/1/33 (d)(e) 620 640 
6 month U.S. LIBOR + 1.505% 4.255% 1/1/35 (d)(e) 63,713 65,800 
6 month U.S. LIBOR + 1.510% 4.315% 2/1/33 (d)(e)(k) 648 669 
6 month U.S. LIBOR + 1.535% 4.39% 12/1/34 (d)(e) 14,368 14,856 
6 month U.S. LIBOR + 1.535% 4.41% 3/1/35 (d)(e) 9,127 9,441 
6 month U.S. LIBOR + 1.556% 4.33% 10/1/33 (d)(e) 5,215 5,391 
6 month U.S. LIBOR + 1.565% 4.42% 7/1/35 (d)(e) 5,767 5,970 
6 month U.S. LIBOR + 1.740% 4.365% 12/1/34 (d)(e) 855 891 
6 month U.S. LIBOR + 1.960% 4.725% 9/1/35 (d)(e) 10,470 10,959 
U.S. TREASURY 1 YEAR INDEX + 1.945% 4.183% 10/1/33 (d)(e) 110,273 114,941 
U.S. TREASURY 1 YEAR INDEX + 2.208% 4.833% 3/1/35 (d)(e) 9,051 9,461 
U.S. TREASURY 1 YEAR INDEX + 2.270% 4.676% 6/1/36 (d)(e) 69,254 72,215 
U.S. TREASURY 1 YEAR INDEX + 2.295% 4.678% 10/1/33 (d)(e) 32,897 34,292 
U.S. TREASURY 1 YEAR INDEX + 2.447% 4.872% 7/1/34 (d)(e) 76,823 80,172 
2.5% 6/1/34 (c) 14,875,000 14,884,596 
2.5% 4/1/37 to 8/1/43 72,108,145 71,817,833 
3% 6/1/34 (c) 19,500,000 19,785,494 
3% 6/1/34 (c) 33,600,000 34,091,928 
3% 6/1/34 (c) 40,300,000 40,890,020 
3% 6/1/34 (c) 32,150,000 32,620,699 
3% 6/1/34 (c) 56,250,000 57,073,539 
3% 6/1/34 (c) 40,000,000 40,585,628 
3% 7/1/34 (c) 40,450,000 41,031,157 
3% 7/1/34 (c) 40,000,000 40,574,692 
3% 7/1/34 (c) 27,000,000 27,387,917 
3% 6/1/49 (c) 51,900,000 52,107,896 
3% 6/1/49 (c) 10,350,000 10,391,459 
3% 6/1/49 (c) 10,350,000 10,391,459 
3% 6/1/49 (c) 22,300,000 22,389,327 
3% 6/1/49 (c) 14,950,000 15,009,885 
3% 6/1/49 (c) 24,950,000 25,049,942 
3% 6/1/49 (c) 6,100,000 6,124,435 
3% 6/1/49 (c) 22,700,000 22,790,929 
3% 6/1/49 (c) 74,700,000 74,999,226 
3% 6/1/49 (c) 22,700,000 22,790,929 
3% 6/1/49 (c) 41,800,000 41,967,438 
3% 6/1/49 (c) 22,700,000 22,790,929 
3% 6/1/49 (c) 52,400,000 52,609,899 
3% 6/1/49 (c) 51,650,000 51,856,894 
3% 6/1/49 (c) 10,600,000 10,642,460 
3% 6/1/49 (c) 7,800,000 7,831,244 
3% 6/1/49 (c) 6,250,000 6,275,036 
3% 6/1/49 (c) 8,100,000 8,132,446 
3% 6/1/49 (c) 31,200,000 31,324,978 
3% 6/1/49 (c) 7,700,000 7,730,844 
3% 6/1/49 (c) 13,300,000 13,353,276 
3% 7/1/49 (c) 22,300,000 22,377,131 
3% 7/1/49 (c) 22,300,000 22,377,131 
3% 7/1/49 (c) 76,500,000 76,764,598 
3.5% 7/1/32 to 2/1/57 406,139,468 418,618,719 
3.5% 6/1/49 (c) 75,650,000 77,152,833 
3.5% 6/1/49 (c) 73,050,000 74,501,182 
3.5% 6/1/49 (c) 64,900,000 66,189,277 
3.5% 6/1/49 (c) 21,900,000 22,335,057 
3.5% 6/1/49 (c) 2,800,000 2,855,624 
3.5% 6/1/49 (c) 41,400,000 42,222,436 
3.5% 6/1/49 (c) 17,100,000 17,439,702 
3.5% 6/1/49 (c) 18,650,000 19,020,493 
3.5% 6/1/49 (c) 18,700,000 19,071,487 
3.5% 6/1/49 (c) 18,650,000 19,020,493 
3.5% 6/1/49 (c) 18,700,000 19,071,487 
3.5% 7/1/49 (c) 76,850,000 78,230,898 
4% 11/1/31 to 9/1/48 339,608,752 354,319,509 
4% 6/1/49 (c) 46,700,000 48,202,965 
4% 6/1/49 (c) 46,700,000 48,202,965 
4% 6/1/49 (c) 39,000,000 40,255,153 
4.5% 6/1/33 to 8/1/56 243,595,326 258,632,178 
5% 12/1/19 to 8/1/56 65,907,144 71,652,557 
5.253% 8/1/41 1,158,889 1,253,042 
5.5% 9/1/21 to 5/1/44 14,344,491 15,645,173 
6% 7/1/19 to 1/1/42 7,494,422 8,458,489 
6.5% 8/1/20 to 8/1/39 12,163,749 13,671,140 
6.532% 2/1/39 1,394,188 1,503,693 
7% 9/1/21 to 7/1/37 530,182 596,893 
7.5% 6/1/25 to 2/1/32 233,060 262,345 
8% 8/1/29 to 3/1/37 7,241 8,605 
9.5% 9/1/21 148 152 
3% 4/1/22 to 9/1/48 523,364,652 530,779,544 
TOTAL FANNIE MAE  3,332,303,885 
Freddie Mac - 4.9%   
12 month U.S. LIBOR + 1.325% 4.205% 1/1/36 (d)(e) 23,457 24,238 
12 month U.S. LIBOR + 1.375% 4.28% 3/1/36 (d)(e) 63,082 65,397 
12 month U.S. LIBOR + 1.500% 4.53% 3/1/36 (d)(e) 55,631 57,898 
12 month U.S. LIBOR + 1.515% 4.39% 11/1/35 (d)(e) 16,448 17,087 
12 month U.S. LIBOR + 1.750% 4.5% 7/1/41 (d)(e) 220,400 229,249 
12 month U.S. LIBOR + 1.750% 4.643% 12/1/40 (d)(e) 1,194,490 1,242,223 
12 month U.S. LIBOR + 1.754% 4.505% 9/1/41 (d)(e) 381,335 396,816 
12 month U.S. LIBOR + 1.793% 4.695% 4/1/37 (d)(e) 21,589 22,642 
12 month U.S. LIBOR + 1.864% 4.739% 4/1/36 (d)(e)(k) 21,550 22,724 
12 month U.S. LIBOR + 1.877% 4.785% 4/1/41 (d)(e) 30,762 32,127 
12 month U.S. LIBOR + 1.880% 4.63% 9/1/41 (d)(e) 30,470 31,842 
12 month U.S. LIBOR + 1.884% 4.668% 10/1/42 (d)(e) 360,785 375,855 
12 month U.S. LIBOR + 1.910% 4.594% 5/1/41 (d)(e) 46,807 48,968 
12 month U.S. LIBOR + 1.910% 4.62% 6/1/41 (d)(e) 63,079 65,766 
12 month U.S. LIBOR + 1.910% 4.66% 6/1/41 (d)(e) 28,672 29,850 
12 month U.S. LIBOR + 1.910% 4.69% 5/1/41 (d)(e) 72,845 76,099 
12 month U.S. LIBOR + 1.920% 4.67% 6/1/36 (d)(e) 12,308 12,927 
12 month U.S. LIBOR + 1.998% 4.913% 4/1/38 (d)(e) 62,004 65,462 
12 month U.S. LIBOR + 2.045% 4.778% 7/1/36 (d)(e) 34,324 35,966 
12 month U.S. LIBOR + 2.073% 5.004% 3/1/33 (d)(e) 971 1,016 
12 month U.S. LIBOR + 2.200% 5.075% 12/1/36 (d)(e) 52,994 55,696 
6 month U.S. LIBOR + 1.125% 3.924% 8/1/37 (d)(e) 20,335 20,742 
6 month U.S. LIBOR + 1.445% 4.195% 3/1/35 (d)(e) 22,144 22,821 
6 month U.S. LIBOR + 1.608% 4.205% 12/1/35 (d)(e) 19,120 19,777 
6 month U.S. LIBOR + 1.647% 4.438% 2/1/37 (d)(e) 82,148 85,153 
6 month U.S. LIBOR + 1.720% 4.567% 8/1/37 (d)(e) 31,474 32,760 
6 month U.S. LIBOR + 1.746% 4.58% 5/1/37 (d)(e) 8,165 8,520 
6 month U.S. LIBOR + 1.843% 4.609% 10/1/36 (d)(e) 91,347 95,275 
6 month U.S. LIBOR + 1.912% 4.684% 10/1/35 (d)(e) 55,479 57,838 
6 month U.S. LIBOR + 2.020% 4.692% 6/1/37 (d)(e) 16,044 16,744 
6 month U.S. LIBOR + 2.040% 4.726% 6/1/37 (d)(e) 24,157 25,224 
6 month U.S. LIBOR + 2.286% 5.015% 10/1/35 (d)(e) 25,545 26,564 
U.S. TREASURY 1 YEAR INDEX + 2.035% 4.393% 6/1/33 (d)(e) 78,551 81,903 
U.S. TREASURY 1 YEAR INDEX + 2.282% 4.532% 6/1/33 (d)(e) 161,219 168,006 
U.S. TREASURY 1 YEAR INDEX + 2.410% 4.826% 3/1/35 (d)(e) 314,806 327,542 
3% 6/1/31 to 2/1/47 257,939,799 261,183,440 
3.5% 1/1/32 to 3/1/48 (g)(h) 420,752,620 434,112,051 
3.5% 8/1/47 113,095 116,403 
4% 7/1/31 to 9/1/48 324,739,430 339,272,768 
4% 4/1/48 1,016,943 1,054,033 
4.5% 6/1/25 to 12/1/48 69,041,512 73,678,475 
5% 6/1/20 to 7/1/41 10,559,148 11,503,866 
5.5% 10/1/19 to 3/1/41 3,664,806 4,047,645 
6% 10/1/21 to 12/1/37 1,049,432 1,177,125 
6.5% 7/1/21 to 9/1/39 1,376,598 1,562,219 
7% 6/1/21 to 9/1/36 487,124 554,054 
7.5% 1/1/27 to 4/1/32 10,963 12,483 
8% 7/1/24 to 4/1/32 13,729 15,679 
8.5% 9/1/19 to 1/1/28 11,892 13,255 
9% 10/1/20 3 3 
9.5% 5/1/21 1 1 
TOTAL FREDDIE MAC  1,132,202,217 
Freddie Mac Multi-family Structured pass-thru certificates - 0.0%   
3% 10/1/31 962,351 979,914 
Ginnie Mae - 6.6%   
3.5% 11/15/40 to 7/20/47 219,720,066 226,749,582 
4% 5/20/33 to 5/20/49 86,184,357 90,330,988 
4.5% 6/20/33 to 4/20/47 93,495,814 98,603,967 
5% 12/15/32 to 9/15/41 11,220,150 12,135,087 
5.5% 7/15/33 to 9/15/39 873,071 962,745 
6% 10/15/30 to 11/15/39 279,544 314,990 
7% 10/15/22 to 3/15/33 556,169 632,576 
7.5% 11/15/21 to 9/15/31 221,653 244,887 
8% 11/15/21 to 11/15/29 59,229 64,410 
8.5% 10/15/21 to 1/15/31 11,554 13,051 
9% 10/15/19 to 1/15/23 120 128 
9.5% 12/15/20 to 3/15/23 60 62 
3% 5/20/42 to 9/20/48 295,337,239 300,124,864 
3% 6/1/49 (c) 34,325,000 34,840,802 
3% 6/1/49 (c) 44,050,000 44,711,939 
3% 6/1/49 (c) 30,350,000 30,806,069 
3% 6/1/49 (c) 35,225,000 35,754,326 
3% 6/1/49 (c) 29,475,000 29,917,921 
3.5% 6/1/49 (c) 124,700,000 128,179,729 
3.5% 6/1/49 (c) 78,150,000 80,330,760 
3.5% 6/1/49 (c) 16,900,000 17,371,591 
3.5% 6/1/49 (c) 25,650,000 26,365,758 
3.5% 6/1/49 (c) 25,750,000 26,468,549 
3.5% 6/1/49 (c) 21,175,000 21,765,884 
3.5% 6/1/49 (c) 19,050,000 19,581,586 
3.5% 6/1/49 (c) 21,175,000 21,765,884 
3.5% 7/1/49 (c) 138,400,000 142,097,875 
4% 6/1/49 113,645,000 117,552,899 
6.5% 3/20/31 to 6/15/37 156,298 179,360 
11% 9/20/19 6 6 
TOTAL GINNIE MAE  1,507,868,275 
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES   
(Cost $5,921,882,642)  5,973,354,291 
Asset-Backed Securities - 2.3%   
AASET Trust Series 2018-1A Class A, 3.844% 1/16/38 (b) $13,412,750 $13,479,568 
Aimco Series 2019-10A Class A, 3 month U.S. LIBOR + 1.320% 1.32% 7/22/32 (b)(d)(e) 22,128,000 22,128,000 
ALG Student Loan Trust I Series 2006-1A Class A3, 3 month U.S. LIBOR + 0.150% 2.7324% 10/28/23 (b)(d)(e) 9,279,920 9,242,053 
American Homes 4 Rent:   
Series 2014-SFR2 Class E, 6.231% 10/17/36 (b) 221,000 246,147 
Series 2014-SFR3 Class E, 6.418% 12/17/36 (b) 478,000 535,240 
Series 2015-SFR1 Class E, 5.639% 4/17/52 (b) 662,438 718,977 
Series 2015-SFR2:   
Class E, 6.07% 10/17/52 (b) 1,118,000 1,246,660 
Class XS, 0% 10/17/52 (b)(d)(k)(l) 779,164 8 
Argent Securities, Inc. pass-thru certificates Series 2004-W9 Class M7, 1 month U.S. LIBOR + 4.200% 4.1071% 6/26/34 (b)(d)(e) 8,079 16,204 
Blackbird Capital Aircraft Series 2016-1A:   
Class A, 4.213% 12/16/41 (b) 25,104,813 25,834,328 
Class AA, 2.487% 12/16/41 (b) 5,006,500 4,961,118 
Brazos Higher Education Authority, Inc. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.850% 3.4303% 7/25/29 (d)(e) 3,413,009 3,429,003 
CAM Mortgage Trust Series 2018-1 Class A1, 3.96% 12/1/65 (b) 2,417,703 2,416,273 
Capital Trust RE CDO Ltd. Series 2005-1A Class E, 1 month U.S. LIBOR + 2.100% 4.5406% 3/20/50 (b)(d)(e)(l) 330,000 33 
Castlelake Aircraft Securitization Trust Series 2019-1A:   
Class A, 3.967% 4/15/39 (b) 22,008,190 22,301,669 
Class B, 5.095% 4/15/39 (b) 7,550,117 7,704,358 
Castlelake Aircraft Structured Trust Series 2018-1 Class A, 4.125% 6/15/43 (b) 21,060,186 21,455,191 
Cedar Funding Ltd. Series 2019-11A Class A1A, 3 month U.S. LIBOR + 1.350% 3.8749% 5/29/32 (b)(d)(e) 11,001,000 11,001,000 
Citi Mortgage Loan Trust Series 2007-1 Class 1A, 1 month U.S. LIBOR + 1.350% 3.836% 10/25/37 (b)(d)(e) 8,766,081 8,867,311 
Collegiate Funding Services Education Loan Trust Series 2004-A Class A4, 3 month U.S. LIBOR + 0.340% 2.9374% 9/28/30 (d)(e) 7,916,653 7,908,345 
Consumer Lending Receivables Trust Series 2019-A Class A, 3.52% 4/15/26 (b) 7,657,864 7,681,325 
Countrywide Home Loans, Inc.:   
Series 2003-BC1 Class B1, 1 month U.S. LIBOR + 5.250% 7.6798% 3/25/32 (d)(e) 2,025 2,062 
Series 2004-7 Class AF5, 4.7279% 1/25/35 150,309 150,169 
Crest Ltd. Series 2004-1A Class H1, 3 month U.S. LIBOR + 3.690% 6.2724% 1/28/40 (b)(d)(e)(l) 354,500 35 
DB Master Finance LLC Series 2017-1A:   
Class A2I, 3.629% 11/20/47 (b) 10,899,025 11,169,103 
Class A2II, 4.03% 11/20/47 (b) 18,463,825 19,018,478 
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27 43,254 43,727 
Dryden Senior Loan Fund:   
Series 2014-36A Class AR2, 3 month U.S. LIBOR + 1.280% 3.8768% 4/15/29 (b)(d)(e) 25,370,000 25,481,476 
Series 2019-72A Class A, 3 month U.S. LIBOR + 1.330% 1.33% 5/15/32 (b)(c)(d)(e) 17,982,000 17,982,000 
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1 month U.S. LIBOR + 0.825% 3.2548% 3/25/34 (d)(e) 1,373 1,279 
Ford Credit Floorplan Master Owner Trust Series 2018-4 Class A, 4.06% 11/15/30 11,770,000 12,541,707 
GE Business Loan Trust Series 2006-2A:   
Class A, 1 month U.S. LIBOR + 0.180% 2.6196% 11/15/34 (b)(d)(e) 181,382 178,500 
Class B, 1 month U.S. LIBOR + 0.280% 2.7196% 11/15/34 (b)(d)(e) 65,516 64,399 
Class C, 1 month U.S. LIBOR + 0.380% 2.8196% 11/15/34 (b)(d)(e) 108,908 104,154 
Class D, 1 month U.S. LIBOR + 0.750% 3.1896% 11/15/34 (b)(d)(e) 41,313 39,121 
Home Partners of America Credit Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.650% 5.0824% 7/17/34 (b)(d)(e) 231,000 231,338 
Class F, 1 month U.S. LIBOR + 3.539% 5.9714% 7/17/34 (b)(d)(e) 360,000 360,927 
Home Partners of America Trust Series 2018-1 Class F, 1 month U.S. LIBOR + 2.350% 4.7824% 7/17/37 (b)(d)(e) 708,000 701,787 
Horizon Aircraft Finance I Ltd. Series 2018-1 Class A, 4.458% 12/15/38 (b) 9,507,139 9,821,811 
Invitation Homes Trust:   
Series 2017-SFR2 Class E, 1 month U.S. LIBOR + 2.250% 4.6824% 12/17/36 (b)(d)(e) 560,702 559,583 
Series 2018-SFR1 Class F, 1 month U.S. LIBOR + 2.500% 4.9324% 3/17/37 (b)(d)(e) 248,030 246,377 
Series 2018-SFR2 Class F, 1 month U.S. LIBOR + 2.250% 4.6896% 6/17/37 (b)(d)(e) 1,275,000 1,263,813 
Madison Park Funding Ltd.:   
Series 2012-10A Class AR2, 3 month U.S. LIBOR + 1.220% 1.22% 1/20/29 (b)(d)(e) 8,925,000 8,925,000 
Series 2019-37A Class A1, 3 month U.S. LIBOR + 1.300% 1.3% 7/15/32 (b)(c)(d)(e) 22,042,000 22,042,000 
Magnetite CLO Ltd. Series 2019-21A Class A, 3 month U.S. LIBOR + 1.280% 3.9086% 4/20/30 (b)(d)(e) 18,545,000 18,554,736 
Merit Securities Corp. Series 13 Class M1, 7.9536% 12/28/33 (d) 153,200 159,837 
Metlife Securitization Trust Series 2019-1A Class A1A, 3.75% 4/25/58 (b) 10,796,458 11,143,258 
Nationstar HECM Loan Trust:   
Series 2018-2A Class A, 3.1877% 7/25/28 (b) 9,007,987 9,010,160 
Series 2018-3A Class A 3.5545% 11/25/28 (b) 8,255,962 8,232,177 
Navient Student Loan Trust Series 2017-3A Class A2, 1 month U.S. LIBOR + 0.600% 3.0298% 7/26/66 (b)(d)(e) 2,238,000 2,238,532 
New Century Home Equity Loan Trust Series 2005-4 Class M2, 1 month U.S. LIBOR + 0.510% 2.9398% 9/25/35 (d)(e) 546,904 544,723 
Niagara Park CLO, Ltd. Series 2019-1A Class A, 3 month U.S. LIBOR + 1.300% 1.3% 7/17/32 (b)(c)(d)(e) 22,017,000 22,017,000 
North Carolina State Ed Assistance Auth. Student Loan Rev. Series 2011-2 Class A2, 3 month U.S. LIBOR + 0.800% 3.3803% 7/25/25 (d)(e) 3,397,941 3,407,524 
Park Place Securities, Inc. Series 2005-WCH1 Class M4, 1 month U.S. LIBOR + 1.245% 3.6748% 1/25/36 (d)(e) 939,804 945,014 
Progress Residential Trust:   
Series 2015-SFR3 Class F, 6.643% 11/12/32 (b) 168,000 170,450 
Series 2017-SFR1 Class F, 5.35% 8/17/34 (b) 160,000 163,599 
Series 2017-SFR2 Class F, 1 month U.S. LIBOR + 2.750% 4.836% 12/17/34 (b) 160,000 162,014 
Series 2018-SFR1 Class F, 4.778% 3/17/35 (b) 472,000 477,478 
Series 2018-SFR2 Class F, 4.953% 8/17/35 (b) 292,000 297,594 
Series 2018-SFR3 Class F, 5.368% 10/17/35 (b) 689,000 708,695 
Series 2019-SFR1 Class F, 5.061% 8/17/35 (b) 600,000 613,034 
Series 2019-SFR2 Class F, 4.837% 5/17/36 (b) 208,000 209,780 
Residential Asset Securities Corp. Series 2003-KS10 Class MI3, 5.5606% 12/25/33 26,816 17,480 
SLM Student Loan Trust Series 2003-10A Class A3, 3 month U.S. LIBOR + 0.470% 3.0809% 12/15/27 (b)(d)(e) 23,617,403 23,581,852 
Starwood Waypoint Homes Trust Series 2017-1:   
Class E, 1 month U.S. LIBOR + 2.600% 5.0396% 1/17/35 (b)(d)(e) 954,000 955,607 
Class F, 1 month U.S. LIBOR + 3.400% 5.8396% 1/17/35 (b)(d)(e) 963,000 966,543 
Taberna Preferred Funding III Ltd. Series 2005-3A Class D, 3 month U.S. LIBOR + 2.650% 5.2151% 2/5/36 (b)(d)(e)(l) 330,479 25 
Taberna Preferred Funding VI Ltd. Series 2006-6A Class F1, 3 month U.S. LIBOR + 4.500% 7.0651% 12/5/36 (b)(d)(e)(l) 636,700 48 
Terwin Mortgage Trust Series 2003-4HE Class A1, 1 month U.S. LIBOR + 0.860% 3.2898% 9/25/34 (d)(e) 15,831 15,080 
Thunderbolt Aircraft Lease Ltd.:   
Series 2017-A Class A, 4.212% 5/17/32 (b) 14,736,972 15,111,496 
Series 2018-A Class A, 4.147% 9/15/38 (b) 21,446,667 21,842,113 
Towd Point Mortgage Trust:   
Series 2018-3 Class A1, 3.75% 5/25/58 (b) 18,711,342 19,363,756 
Series 2018-6 Class A1A, 3.75% 3/25/58 (b) 24,687,547 25,292,390 
Series 2019-1 Class A1, 3.75% 3/25/58 (b) 8,932,044 9,257,335 
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 3 month U.S. LIBOR + 0.560% 3.1486% 4/6/42 (b)(d)(e)(l) 1,639,000 1,219,654 
Tricon American Homes:   
Series 2016-SFR1:   
Class B, 2.989% 11/17/33 (b) 329,000 328,388 
Class F, 5.769% 11/17/33 (b) 807,000 827,624 
Series 2017-SFR1 Class F, 5.151% 9/17/34 (b) 1,681,000 1,714,888 
Series 2017-SFR2 Class F, 5.104% 1/17/36 (b) 280,000 286,401 
Series 2018-SFR1 Class F, 4.96% 5/17/37 (b) 1,331,000 1,356,292 
Upgrade Receivables Trust Series 2019-1A Class A, 3.48% 3/15/25 (b) 7,505,544 7,525,318 
VB-S1 Issuer LLC Series 2018-1A Class F, 5.25% 2/15/48 (b) 734,000 723,736 
Verde CLO Ltd. Series 2019-1A Class A, 3.9137% 4/15/32 (b)(d) 21,084,000 21,072,130 
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A Class D, 3 month U.S. LIBOR + 0.850% 3.3719% 11/21/40 (b)(d)(e) 305,000 303,292 
TOTAL ASSET-BACKED SECURITIES   
(Cost $524,238,300)  532,918,710 
Collateralized Mortgage Obligations - 2.5%   
Private Sponsor - 0.8%   
Banc of America Funding Corp. Series 2015-R3 Class 10A1, 1 month U.S. LIBOR + 0.140% 2.6166% 6/27/36 (b)(d)(e) 2,975,097 2,916,139 
BCAP LLC Trust sequential payer Series 2012-RR5 Class 8A5, 2.6805% 7/26/36 (b)(d) 552,951 542,859 
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 1 month U.S. LIBOR + 0.560% 2.9898% 1/25/35 (d)(e) 72,542 72,218 
Citigroup Mortgage Loan Trust sequential payer Series 2014-8 Class 2A1, 3.45% 6/27/37 (b)(d) 3,026,095 3,054,901 
Citigroup Mortgage Loan Trust, Inc. sequential payer Series 2009-5 Class 5A1, 4.8238% 1/25/37 (b)(d) 639,954 651,816 
Countrywide Home Loans, Inc. Series 2003-R1:   
Class 2B4, 3.3614% 2/25/43 (b)(d)(l) 4,810 1,066 
Class 2B5, 3.3614% 2/25/43 (b)(d) 2,663 121 
Credit Suisse Mortgage Trust Series 2010-9R Class 2A5, 4% 2/27/38 (b) 2,620,703 2,632,205 
CSMC:   
floater Series 2015-1R Class 6A1, 1 month U.S. LIBOR + 0.280% 4.0554% 5/27/37 (b)(d)(e) 3,395,126 3,274,917 
Series 2014-3R Class 2A1, 1 month U.S. LIBOR + 0.700% 3.1766% 5/27/37 (b)(d)(e) 280,819 270,765 
FirstKey Mortgage Trust sequential payer Series 2015-1 Class A9, 3% 3/25/45 (b)(d) 6,786,026 6,751,327 
FREMF Mortgage Trust:   
Series 2010-K6 Class B, 5.372% 12/25/46 (b)(d) 580,000 587,326 
Series 2010-K7 Class B, 5.5007% 4/25/20 (b)(d) 637,070 649,203 
Gosforth Funding PLC floater Series 2018-1A Class A1, 3 month U.S. LIBOR + 0.450% 2.9706% 8/25/60 (b)(e) 16,018,776 15,984,993 
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.3284% 3/25/37 (d) 71,622 71,045 
Holmes Master Issuer PLC floater Series 2018-2A Class A2, 3 month U.S. LIBOR + 0.420% 3.0168% 10/15/54 (b)(d)(e) 19,813,000 19,805,649 
JP Morgan Resecuritization Trust floater Series 2012-2 Class 6A1, 1 month U.S. LIBOR + 0.210% 2.6934% 6/21/36 (b)(d)(e) 1,188,552 1,181,550 
Lanark Master Issuer PLC:   
floater Series 2019-1A Class 1A1, 3 month U.S. LIBOR + 0.770% 3.2948% 12/22/69 (b)(d)(e) 12,067,000 12,087,309 
Series 2019-2A Class 1A, 0.67% 12/22/69 (b)(m) 42,614,000 42,614,000 
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 1 month U.S. LIBOR + 0.170% 2.6466% 2/25/37 (d)(e) 305,241 303,315 
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 1 month U.S. LIBOR + 0.290% 2.7198% 7/25/35 (d)(e) 81,673 81,619 
Permanent Master Issuer PLC floater Series 2018-1A Class 1A1, 3 month U.S. LIBOR + 0.380% 2.9768% 7/15/58 (b)(d)(e) 38,785,000 38,742,375 
RBSSP Resecuritization Trust sequential payer Series 2010-1 Class 2A1, 3.9548% 7/26/45 (b)(d) 2,835,270 2,865,321 
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 6 month U.S. LIBOR + 0.880% 3.3769% 7/20/34 (d)(e) 7,883 7,745 
Silverstone Master Issuer PLC floater Series 2019-1A Class 1A, 3 month U.S. LIBOR + 0.570% 3.1485% 1/21/70 (b)(e) 22,400,000 22,443,344 
Thornburg Mortgage Securities Trust floater Series 2003-4 Class A1, 1 month U.S. LIBOR + 0.640% 3.0698% 9/25/43 (d)(e) 3,303,852 3,315,537 
Wells Fargo Mortgage Backed Securities Trust:   
Series 2004-BB Class A2, 4.9485% 1/25/35 (d) 579,120 592,564 
Series 2005-AR10 Class 2A15, 4.9041% 6/25/35 (d) 3,355,934 3,355,578 
Series 2005-AR2 Class 1A2, 5.0997% 3/25/35 (d) 449,838 458,507 
Wells Fargo Mortgage Loan Trust sequential payer Series 2011-RR4 Class 2A1, 4.0884% 6/27/36 (b)(d) 17,340 17,292 
Winwater Mortgage Loan Trust sequential payer Series 2015-1 Class A9, 2.5% 1/20/45 (b) 2,745,784 2,731,055 
TOTAL PRIVATE SPONSOR  188,063,661 
U.S. Government Agency - 1.7%   
Fannie Mae:   
floater:   
Series 2002-18 Class FD, 1 month U.S. LIBOR + 0.800% 3.2298% 2/25/32 (d)(e) 10,109 10,230 
Series 2002-39 Class FD, 1 month U.S. LIBOR + 1.000% 3.4406% 3/18/32 (d)(e) 18,647 19,012 
Series 2002-60 Class FV, 1 month U.S. LIBOR + 1.000% 3.4298% 4/25/32 (d)(e) 21,634 22,002 
Series 2002-63 Class FN, 1 month U.S. LIBOR + 1.000% 3.4298% 10/25/32 (d)(e) 28,155 28,638 
Series 2002-7 Class FC, 1 month U.S. LIBOR + 0.750% 3.1798% 1/25/32 (d)(e) 10,417 10,527 
Series 2003-118 Class S, 8.100% - 1 month U.S. LIBOR 5.6703% 12/25/33 (d)(k)(n) 340,074 81,712 
Series 2006-104 Class GI, 6.680% - 1 month U.S. LIBOR 4.2503% 11/25/36 (d)(k)(n) 248,576 46,745 
planned amortization class:   
Series 1992-168 Class KB, 7% 10/25/22 8,551 8,894 
Series 1993-207 Class H, 6.5% 11/25/23 125,574 133,469 
Series 1996-28 Class PK, 6.5% 7/25/25 42,729 45,532 
Series 1999-17 Class PG, 6% 4/25/29 151,985 165,819 
Series 1999-32 Class PL, 6% 7/25/29 145,568 159,156 
Series 1999-33 Class PK, 6% 7/25/29 104,573 114,009 
Series 2001-52 Class YZ, 6.5% 10/25/31 13,058 14,843 
Series 2003-28 Class KG, 5.5% 4/25/23 73,335 75,833 
Series 2005-102 Class CO 11/25/35 (o) 77,887 70,261 
Series 2005-73 Class SA, 17.500% - 1 month U.S. LIBOR 11.2327% 8/25/35 (d)(n) 23,469 28,797 
Series 2005-81 Class PC, 5.5% 9/25/35 202,160 222,961 
Series 2006-12 Class BO 10/25/35 (o) 348,821 314,872 
Series 2006-37 Class OW 5/25/36 (o) 33,018 29,139 
Series 2006-45 Class OP 6/25/36 (o) 113,596 100,199 
Series 2006-62 Class KP 4/25/36 (o) 192,023 170,223 
Series 2012-149:   
Class DA, 1.75% 1/25/43 3,986,903 3,900,466 
Class GA, 1.75% 6/25/42 4,100,824 4,021,109 
sequential payer:   
Series 1997-41 Class J, 7.5% 6/18/27 31,530 35,486 
Series 1999-25 Class Z, 6% 6/25/29 116,790 129,214 
Series 2001-20 Class Z, 6% 5/25/31 160,172 175,711 
Series 2001-31 Class ZC, 6.5% 7/25/31 88,528 99,428 
Series 2002-16 Class ZD, 6.5% 4/25/32 48,320 55,011 
Series 2002-74 Class SV, 7.550% - 1 month U.S. LIBOR 5.1203% 11/25/32 (d)(k)(n) 201,492 27,676 
Series 2012-67 Class AI, 4.5% 7/25/27 (k) 877,419 75,236 
Series 06-116 Class SG, 6.640% - 1 month U.S. LIBOR 4.2103% 12/25/36 (d)(k)(n) 171,700 37,249 
Series 07-40 Class SE, 6.440% - 1 month U.S. LIBOR 4.0103% 5/25/37 (d)(k)(n) 98,035 18,433 
Series 1993-165 Class SH, 19.800% - 1 month U.S. LIBOR 12.9272% 9/25/23 (d)(n) 5,948 6,958 
Series 2003-21 Class SK, 8.100% - 1 month U.S. LIBOR 5.6703% 3/25/33 (d)(k)(n) 25,174 5,026 
Series 2005-72 Class ZC, 5.5% 8/25/35 1,342,762 1,456,414 
Series 2005-79 Class ZC, 5.9% 9/25/35 878,544 996,858 
Series 2007-57 Class SA, 40.600% - 1 month U.S. LIBOR 26.0415% 6/25/37 (d)(n) 81,490 159,533 
Series 2007-66:   
Class SA, 39.600% - 1 month U.S. LIBOR 25.0215% 7/25/37 (d)(n) 124,339 241,790 
Class SB, 39.600% - 1 month U.S. LIBOR 25.0215% 7/25/37 (d)(n) 46,489 79,054 
Series 2007-75 Class JI, 6.545% - 1 month U.S. LIBOR 4.1153% 8/25/37 (d)(k)(n) 3,699,410 685,252 
Series 2008-12 Class SG, 6.350% - 1 month U.S. LIBOR 3.9203% 3/25/38 (d)(k)(n) 657,440 113,663 
Series 2009-76 Class MI, 5.5% 9/25/24 (k) 201 0 
Series 2009-85 Class IB, 4.5% 8/25/24 (k) 10,431 81 
Series 2009-93 Class IC, 4.5% 9/25/24 (k) 8,568 31 
Series 2010-112 Class SG, 6.360% - 1 month U.S. LIBOR 3.9303% 6/25/21 (d)(k)(n) 2,384 28 
Series 2010-135:   
Class LS, 6.050% - 1 month U.S. LIBOR 3.6203% 12/25/40 (d)(k)(n) 614,423 98,814 
Class ZA, 4.5% 12/25/40 2,620,686 2,858,769 
Series 2010-139 Class NI, 4.5% 2/25/40 (k) 478,459 37,460 
Series 2010-150 Class ZC, 4.75% 1/25/41 3,125,403 3,463,652 
Series 2010-17 Class DI, 4.5% 6/25/21 (k) 2,967 31 
Series 2010-95 Class ZC, 5% 9/25/40 6,490,914 7,233,530 
Series 2010-97 Class CI, 4.5% 8/25/25 (k) 69,280 1,495 
Series 2011-39 Class ZA, 6% 11/25/32 437,923 492,991 
Series 2011-4 Class PZ, 5% 2/25/41 1,398,915 1,596,231 
Series 2011-67 Class AI, 4% 7/25/26 (k) 151,269 11,386 
Series 2011-83 Class DI, 6% 9/25/26 (k) 152,844 9,551 
Series 2012-100 Class WI, 3% 9/25/27 (k) 2,766,136 228,703 
Series 2012-14 Class JS, 6.650% - 1 month U.S. LIBOR 4.2203% 12/25/30 (d)(k)(n) 880,347 89,791 
Series 2012-9 Class SH, 6.550% - 1 month U.S. LIBOR 4.1203% 6/25/41 (d)(k)(n) 1,132,325 136,624 
Series 2013-133 Class IB, 3% 4/25/32 (k) 1,736,013 132,641 
Series 2013-134 Class SA, 6.050% - 1 month U.S. LIBOR 3.6203% 1/25/44 (d)(k)(n) 942,555 150,232 
Series 2013-51 Class GI, 3% 10/25/32 (k) 2,607,216 228,007 
Series 2013-N1 Class A, 6.720% - 1 month U.S. LIBOR 4.2903% 6/25/35 (d)(k)(n) 511,134 94,672 
Series 2015-42 Class IL, 6% 6/25/45 (k) 3,823,539 835,038 
Series 2015-70 Class JC, 3% 10/25/45 3,272,539 3,337,462 
Series 2017-30 Class AI, 5.5% 5/25/47 2,044,548 421,611 
Fannie Mae Stripped Mortgage-Backed Securities:   
Series 339 Class 5, 5.5% 7/25/33 (k) 95,824 20,121 
Series 343 Class 16, 5.5% 5/25/34 (k) 82,699 15,282 
Series 348 Class 14, 6.5% 8/25/34 (d)(k) 57,415 12,796 
Series 351:   
Class 12, 5.5% 4/25/34 (d)(k) 37,922 7,015 
Class 13, 6% 3/25/34 (k) 50,867 10,345 
Series 359 Class 19, 6% 7/25/35 (d)(k) 31,677 6,666 
Series 384 Class 6, 5% 7/25/37 (k) 402,016 72,525 
Freddie Mac:   
floater:   
Series 2412 Class FK, 1 month U.S. LIBOR + 0.800% 3.2396% 1/15/32 (d)(e) 8,264 8,363 
Series 2423 Class FA, 1 month U.S. LIBOR + 0.900% 3.3396% 3/15/32 (d)(e) 11,678 11,849 
Series 2424 Class FM, 1 month U.S. LIBOR + 1.000% 3.4396% 3/15/32 (d)(e) 11,455 11,650 
Series 2432:   
Class FE, 1 month U.S. LIBOR + 0.900% 3.3396% 6/15/31 (d)(e) 21,294 21,596 
Class FG, 1 month U.S. LIBOR + 0.900% 3.3396% 3/15/32 (d)(e) 6,455 6,550 
floater target amortization class Series 3366 Class FD, 1 month U.S. LIBOR + 0.250% 2.6896% 5/15/37 (d)(e) 480,302 477,089 
planned amortization class:   
Series 2006-15 Class OP 3/25/36 (o) 339,959 301,611 
Series 2095 Class PE, 6% 11/15/28 174,493 190,348 
Series 2101 Class PD, 6% 11/15/28 13,728 15,001 
Series 2121 Class MG, 6% 2/15/29 69,618 76,220 
Series 2131 Class BG, 6% 3/15/29 484,326 529,590 
Series 2137 Class PG, 6% 3/15/29 73,114 80,262 
Series 2154 Class PT, 6% 5/15/29 121,432 133,312 
Series 2162 Class PH, 6% 6/15/29 26,768 29,134 
Series 2520 Class BE, 6% 11/15/32 168,894 188,671 
Series 2585 Class KS, 7.600% - 1 month U.S. LIBOR 5.1604% 3/15/23 (d)(k)(n) 4,488 163 
Series 2693 Class MD, 5.5% 10/15/33 1,857,451 2,059,498 
Series 2802 Class OB, 6% 5/15/34 238,555 257,755 
Series 2962 Class BE, 4.5% 4/15/20 50,675 50,914 
Series 3002 Class NE, 5% 7/15/35 471,375 505,545 
Series 3110 Class OP 9/15/35 (o) 200,764 187,070 
Series 3119 Class PO 2/15/36 (o) 409,292 361,864 
Series 3121 Class KO 3/15/36 (o) 68,426 61,020 
Series 3123 Class LO 3/15/36 (o) 228,903 202,889 
Series 3145 Class GO 4/15/36 (o) 222,570 197,587 
Series 3189 Class PD, 6% 7/15/36 387,816 442,794 
Series 3225 Class EO 10/15/36 (o) 123,798 109,481 
Series 3258 Class PM, 5.5% 12/15/36 200,527 217,230 
Series 3415 Class PC, 5% 12/15/37 153,249 165,874 
Series 3786 Class HI, 4% 3/15/38 (k) 407,512 20,436 
Series 3806 Class UP, 4.5% 2/15/41 1,278,215 1,370,186 
Series 3832 Class PE, 5% 3/15/41 1,513,210 1,649,628 
Series 4135 Class AB, 1.75% 6/15/42 3,109,755 3,044,361 
sequential payer:   
Series 2135 Class JE, 6% 3/15/29 31,842 34,904 
Series 2274 Class ZM, 6.5% 1/15/31 41,181 46,150 
Series 2281 Class ZB, 6% 3/15/30 95,507 103,511 
Series 2303 Class ZV, 6% 4/15/31 40,455 44,377 
Series 2357 Class ZB, 6.5% 9/15/31 316,258 359,445 
Series 2502 Class ZC, 6% 9/15/32 79,480 88,675 
Series 2519 Class ZD, 5.5% 11/15/32 121,967 134,318 
Series 2546 Class MJ, 5.5% 3/15/23 44,570 46,086 
Series 2601 Class TB, 5.5% 4/15/23 21,535 22,468 
Series 2998 Class LY, 5.5% 7/15/25 72,503 76,592 
Series 3871 Class KB, 5.5% 6/15/41 2,613,632 2,977,217 
Series 06-3115 Class SM, 6.600% - 1 month U.S. LIBOR 4.1604% 2/15/36 (d)(k)(n) 140,675 28,579 
Series 2013-4281 Class AI, 4% 12/15/28 (k) 1,440,634 100,286 
Series 2017-4683 Class LM, 3% 5/15/47 4,628,918 4,677,279 
Series 2844:   
Class SC, 46.800% - 1 month U.S. LIBOR 30.9424% 8/15/24 (d)(n) 2,017 2,524 
Class SD, 86.400% - 1 month U.S. LIBOR 54.7348% 8/15/24 (d)(n) 2,964 4,377 
Series 2933 Class ZM, 5.75% 2/15/35 1,751,493 2,019,909 
Series 2935 Class ZK, 5.5% 2/15/35 1,758,053 1,954,014 
Series 2947 Class XZ, 6% 3/15/35 597,518 671,676 
Series 2996 Class ZD, 5.5% 6/15/35 1,280,889 1,457,913 
Series 3055 Class CS, 6.590% - 1 month U.S. LIBOR 4.1504% 10/15/35 (d)(k)(n) 203,652 39,348 
Series 3237 Class C, 5.5% 11/15/36 1,833,273 2,053,858 
Series 3244 Class SG, 6.660% - 1 month U.S. LIBOR 4.2204% 11/15/36 (d)(k)(n) 516,617 101,470 
Series 3287 Class SD, 6.750% - 1 month U.S. LIBOR 4.3104% 3/15/37 (d)(k)(n) 744,905 153,702 
Series 3297 Class BI, 6.760% - 1 month U.S. LIBOR 4.3204% 4/15/37 (d)(k)(n) 1,078,430 228,736 
Series 3336 Class LI, 6.580% - 1 month U.S. LIBOR 4.1404% 6/15/37 (d)(k)(n) 389,603 69,372 
Series 3949 Class MK, 4.5% 10/15/34 335,715 354,673 
Series 3955 Class YI, 3% 11/15/21 (k) 430,766 10,728 
Series 4055 Class BI, 3.5% 5/15/31 (k) 1,548,723 130,856 
Series 4149 Class IO, 3% 1/15/33 (k) 1,175,033 137,924 
Series 4314 Class AI, 5% 3/15/34 (k) 474,595 41,164 
Series 4427 Class LI, 3.5% 2/15/34 (k) 2,986,622 317,720 
Series 4471 Class PA 4% 12/15/40 3,292,088 3,388,573 
target amortization class Series 2156 Class TC, 6.25% 5/15/29 89,077 95,212 
Freddie Mac Manufactured Housing participation certificates guaranteed:   
floater Series 1686 Class FA, 1 month U.S. LIBOR + 0.900% 3.3396% 2/15/24 (d)(e) 30,849 31,067 
sequential payer:   
Series 2043 Class ZH, 6% 4/15/28 67,240 73,354 
Series 2056 Class Z, 6% 5/15/28 125,436 136,847 
Freddie Mac Multi-family Structured pass-thru certificates Series 4386 Class AZ, 4.5% 11/15/40 4,007,613 4,242,390 
Freddie Mac Seasoned Credit Risk Transfer Trust:   
sequential payer:   
Series 2017-1 Class MA, 3% 1/25/56 10,167,599 10,296,052 
Series 2018-2 Class MA, 3.5% 11/25/57 3,296,440 3,400,616 
Series 2018-3 Class MA, 3.5% 8/25/57 61,972,110 63,351,274 
Series 2018-4 Class MA, 3.5% 3/25/58 8,624,003 8,870,004 
Series 2019-1 Class MA, 3.5% 7/25/58 30,514,545 31,610,170 
Series 2019-2 Class MA, 3.5% 8/25/58 21,258,989 21,897,227 
Series 2018-3 Class M55D, 4% 8/25/57 9,056,762 9,433,342 
Ginnie Mae guaranteed REMIC pass-thru certificates:   
floater:   
Series 2007-37 Class TS, 6.690% - 1 month U.S. LIBOR 4.2524% 6/16/37 (d)(k)(n) 224,656 44,905 
Series 2010-H03 Class FA, 1 month U.S. LIBOR + 0.550% 3.0285% 3/20/60 (d)(e)(p) 2,919,077 2,922,945 
Series 2010-H17 Class FA, 1 month U.S. LIBOR + 0.330% 2.8085% 7/20/60 (d)(e)(p) 346,097 344,533 
Series 2010-H18 Class AF, 1 month U.S. LIBOR + 0.300% 2.7934% 9/20/60 (d)(e)(p) 416,562 414,493 
Series 2010-H19 Class FG, 1 month U.S. LIBOR + 0.300% 2.7934% 8/20/60 (d)(e)(p) 477,196 474,896 
Series 2010-H27 Series FA, 1 month U.S. LIBOR + 0.380% 2.8734% 12/20/60 (d)(e)(p) 876,245 873,614 
Series 2011-H05 Class FA, 1 month U.S. LIBOR + 0.500% 2.9934% 12/20/60 (d)(e)(p) 1,279,403 1,279,681 
Series 2011-H07 Class FA, 1 month U.S. LIBOR + 0.500% 2.9934% 2/20/61 (d)(e)(p) 2,592,202 2,592,704 
Series 2011-H12 Class FA, 1 month U.S. LIBOR + 0.490% 2.9834% 2/20/61 (d)(e)(p) 3,394,946 3,395,018 
Series 2011-H13 Class FA, 1 month U.S. LIBOR + 0.500% 2.9934% 4/20/61 (d)(e)(p) 1,122,445 1,122,686 
Series 2011-H14:   
Class FB, 1 month U.S. LIBOR + 0.500% 2.9934% 5/20/61 (d)(e)(p) 1,409,386 1,409,726 
Class FC, 1 month U.S. LIBOR + 0.500% 2.9934% 5/20/61 (d)(e)(p) 1,264,417 1,264,700 
Series 2011-H17 Class FA, 1 month U.S. LIBOR + 0.530% 3.0234% 6/20/61 (d)(e)(p) 1,578,110 1,579,457 
Series 2011-H21 Class FA, 1 month U.S. LIBOR + 0.600% 3.0934% 10/20/61 (d)(e)(p) 3,082,002 3,089,709 
Series 2012-H01 Class FA, 1 month U.S. LIBOR + 0.700% 3.1934% 11/20/61 (d)(e)(p) 1,571,685 1,579,357 
Series 2012-H03 Class FA, 1 month U.S. LIBOR + 0.700% 3.1934% 1/20/62 (d)(e)(p) 1,019,827 1,024,590 
Series 2012-H06 Class FA, 1 month U.S. LIBOR + 0.630% 3.1234% 1/20/62 (d)(e)(p) 1,480,542 1,485,364 
Series 2012-H07 Class FA, 1 month U.S. LIBOR + 0.630% 3.1234% 3/20/62 (d)(e)(p) 887,225 888,325 
Series 2012-H21 Class DF, 1 month U.S. LIBOR + 0.650% 3.1434% 5/20/61 (d)(e)(p) 106,781 107,029 
Series 2012-H23 Class WA, 1 month U.S. LIBOR + 0.520% 3.0134% 10/20/62 (d)(e)(p) 838,355 838,911 
Series 2012-H26, Class CA, 1 month U.S. LIBOR + 0.530% 3.0234% 7/20/60 (d)(e)(p) 709,277 709,367 
Series 2013-H07 Class BA, 1 month U.S. LIBOR + 0.360% 2.8534% 3/20/63 (d)(e)(p) 1,407,322 1,402,839 
Series 2014-H03 Class FA, 1 month U.S. LIBOR + 0.600% 3.0934% 1/20/64 (d)(e)(p) 1,486,133 1,489,571 
Series 2014-H05 Class FB, 1 month U.S. LIBOR + 0.600% 3.0934% 12/20/63 (d)(e)(p) 4,465,027 4,477,145 
Series 2014-H11 Class BA, 1 month U.S. LIBOR + 0.500% 2.9934% 6/20/64 (d)(e)(p) 6,092,305 6,093,697 
Series 2014-H20 Class BF, 1 month U.S. LIBOR + 0.500% 2.9934% 9/20/64 (d)(e)(p) 19,295,801 19,300,245 
Series 2016-H20 Class FM, 1 month U.S. LIBOR + 0.400% 2.8934% 12/20/62 (d)(e)(p) 996,477 995,893 
planned amortization class:   
Series 1997-8 Class PE, 7.5% 5/16/27 80,413 91,124 
Series 2010-158 Class MS, 10.000% - 1 month U.S. LIBOR 5.1187% 12/20/40 (d)(n) 3,619,000 4,154,793 
Series 2011-136 Class WI, 4.5% 5/20/40 (k) 327,410 30,955 
Series 2017-134 Class BA, 2.5% 11/20/46 3,942,505 3,939,861 
sequential payer:   
Series 2004-24 Class ZM, 5% 4/20/34 692,411 752,660 
Series 2010-160 Class DY, 4% 12/20/40 8,418,675 9,015,002 
Series 2010-170 Class B, 4% 12/20/40 1,897,540 2,032,005 
Series 2004-32 Class GS, 6.500% - 1 month U.S. LIBOR 4.0624% 5/16/34 (d)(k)(n) 126,176 21,597 
Series 2004-73 Class AL, 7.200% - 1 month U.S. LIBOR 4.7624% 8/17/34 (d)(k)(n) 143,376 29,601 
Series 2007-35 Class SC, 40.200% - 1 month U.S. LIBOR 25.5742% 6/16/37 (d)(n) 13,285 23,237 
Series 2010-116 Class QB, 4% 9/16/40 18,054,124 18,750,235 
Series 2010-H10 Class FA, 1 month U.S. LIBOR + 0.330% 2.8085% 5/20/60 (d)(e)(p) 1,186,438 1,181,675 
Series 2011-94 Class SA, 6.100% - 1 month U.S. LIBOR 3.6594% 7/20/41 (d)(k)(n) 724,341 122,953 
Series 2012-76 Class GS, 6.700% - 1 month U.S. LIBOR 4.2624% 6/16/42 (d)(k)(n) 463,288 85,711 
Series 2013-124:   
Class ES, 8.667% - 1 month U.S. LIBOR 5.4125% 4/20/39 (d)(n) 741,268 759,310 
Class ST, 8.800% - 1 month U.S. LIBOR 5.5458% 8/20/39 (d)(n) 2,495,775 2,580,028 
Series 2013-149 Class MA, 2.5% 5/20/40 9,945,228 9,973,714 
Series 2014-2 Class BA, 3% 1/20/44 8,270,226 8,452,520 
Series 2014-21 Class HA, 3% 2/20/44 3,790,509 3,879,831 
Series 2014-25 Class HC, 3% 2/20/44 5,684,072 5,825,621 
Series 2014-5 Class A, 3% 1/20/44 5,036,006 5,146,895 
Series 2015-H13 Class HA, 2.5% 8/20/64 (p) 6,413,247 6,396,044 
Series 2015-H21:   
Class HA, 2.5% 6/20/63 (p) 933,400 931,052 
Class JA, 2.5% 6/20/65 (p) 5,405,912 5,391,354 
Series 2017-186 Class HK, 3% 11/16/45 8,161,296 8,239,380 
Series 2017-H06 Class FA, U.S. TREASURY 1 YEAR INDEX + 0.350% 2.76% 8/20/66 (d)(e)(p) 12,618,556 12,644,696 
TOTAL U.S. GOVERNMENT AGENCY  395,750,795 
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS   
(Cost $579,110,932)  583,814,456 
Commercial Mortgage Securities - 3.6%   
280 Park Avenue Mortgage Trust floater Series 2017-280P Class F, 1 month U.S. LIBOR + 2.827% 5.2666% 9/15/34 (b)(d)(e) 1,278,000 1,281,190 
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (b) 352,000 371,557 
Asset Securitization Corp. Series 1997-D5 Class PS1, 1.8345% 2/14/43 (d)(k) 9,781 36 
Banc of America Merrill Lynch Large Loan, Inc.:   
floater:   
Series 2019-AHT Class E, 1 month U.S. LIBOR + 3.200% 5.6396% 3/15/34 (b)(d)(e) 987,000 990,142 
Series 2019-RLJ Class D, 1 month U.S. LIBOR + 1.950% 4.45% 4/15/36 (b)(d)(e) 1,365,000 1,364,349 
Series 2015-200P Class F, 3.5958% 4/14/33 (b)(d) 831,000 819,665 
BANK:   
Series 2017-BNK4 Class D, 3.357% 5/15/50 (b) 1,426,000 1,260,798 
Series 2017-BNK6 Class D, 3.1% 7/15/60 (b) 830,000 734,751 
Series 2017-BNK8 Class D, 2.6% 11/15/50 (b) 1,024,000 867,788 
Series 2018-BN12 Class D, 3% 5/15/61 (b) 321,000 270,318 
Bank Series 2018-BN15:   
Class D, 3% 11/15/61 (b) 735,000 625,847 
Class E, 3% 11/15/61 (b) 735,000 577,977 
BANK Series 2019-BN18:   
Class D, 3% 5/15/62 (b) 336,000 296,665 
Class E, 3% 5/15/62 (b) 588,000 479,878 
Bank of America Commercial Mortgage Securities Trust Series 2017-BNK3:   
Class C, 4.352% 2/15/50 (d) 610,000 630,397 
Class D, 3.25% 2/15/50 (b) 1,222,000 1,083,118 
Bank of America Commercial Mortgage Trust Series 2016-UB10 Class XA, 1.9727% 7/15/49 (d)(k) 28,779,410 2,502,862 
Barclays Commercial Mortgage Securities LLC:   
Series 2015-STP Class E, 4.2844% 9/10/28 (b)(d) 2,007,000 1,974,025 
Series 2018-C2 Class A5, 4.314% 12/15/51 9,200,000 10,194,200 
Bayview Commercial Asset Trust Series 2006-3A, Class IO, 0% 10/25/36 (b)(d)(k)(l) 1,821,223 0 
BBCMS Mortgage Trust Series 2016-ETC:   
Class D, 3.6089% 8/14/36 (b)(d) 868,000 840,364 
Class E, 3.6089% 8/14/36 (b)(d) 637,000 581,275 
Benchmark Mortgage Trust:   
Series 2018-B7:   
Class D, 3% 5/15/53 (b)(d) 614,000 538,853 
Class E, 3% 5/15/53 (b)(d) 614,000 491,996 
Series 2018-B8 Class A5, 4.2317% 1/15/52 16,084,000 17,756,939 
Braemar Hotels & Resorts Trust floater Series 2018-PRME Class E, 1 month U.S. LIBOR + 2.400% 4.8396% 6/15/35 (b)(d)(e) 294,000 293,806 
BWAY Mortgage Trust Series 2015-1740 Class E, 4.4499% 1/10/35 (b)(d) 637,000 657,850 
BX Commercial Mortgage Trust floater Series 2018-BIOA Class F, 1 month U.S. LIBOR + 2.471% 4.9107% 3/15/37 (b)(d)(e) 613,000 613,276 
BX Trust:   
floater:   
Series 2018-EXCL Class D, 1 month U.S. LIBOR + 2.625% 5.0646% 9/15/37 (b)(d)(e) 6,299,990 6,233,877 
Series 2018-IND:   
Class F, 1 month U.S. LIBOR + 1.800% 4.2396% 11/15/35 (b)(d)(e) 7,845,927 7,857,715 
Class G, 1 month U.S. LIBOR + 2.050% 4.4896% 11/15/35 (b)(d)(e) 1,104,488 1,107,539 
Class H, 1 month U.S. LIBOR + 3.000% 5.4396% 11/15/35 (b)(d)(e) 416,619 417,784 
Series 2019-IMC:   
Class B, 1 month U.S. LIBOR + 1.300% 3.8% 4/15/34 (b)(d)(e) 11,328,000 11,345,750 
Class C, 1 month U.S. LIBOR + 1.600% 4.1% 4/15/34 (b)(d)(e) 7,490,000 7,506,422 
Class D, 1 month U.S. LIBOR + 1.900% 4.4% 4/15/34 (b)(d)(e) 7,862,000 7,884,194 
Class G, 1 month U.S. LIBOR + 3.600% 6.1% 4/15/34 (b)(d)(e) 1,533,000 1,539,723 
floater, sequential payer Series 2019-IMC Class A, 1 month U.S. LIBOR + 1.000% 3.5% 4/15/34 (b)(d)(e) 19,667,000 19,685,491 
BXMT Ltd. floater Series 2017-FL1 Class D, 1 month U.S. LIBOR + 2.700% 5.1324% 6/15/35 (b)(d)(e) 533,000 534,496 
CALI Mortgage Trust Series 2019-101C Class F, 4.3244% 3/10/39 (b)(d) 987,000 986,707 
CAMB Commercial Mortgage Trust floater Series 2019-LIFE Class G, 1 month U.S. LIBOR + 3.250% 5.6896% 12/15/37 (b)(d)(e) 1,264,000 1,274,625 
CCRESG Commercial Mortgage Trust Series 2016-HEAT Class E, 5.4883% 4/10/29 (b)(d) 769,000 778,272 
CD Mortgage Trust Series 2017-CD3:   
Class C, 4.5611% 2/10/50 (d) 1,482,000 1,561,636 
Class D, 3.25% 2/10/50 (b) 1,340,000 1,217,684 
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7477% 12/15/47 (b)(d) 478,000 506,817 
CGBAM Commercial Mortgage Trust Series 2015-SMRT:   
Class E, 3.7859% 4/10/28 (b)(d) 237,000 238,707 
Class F, 3.7859% 4/10/28 (b)(d) 1,161,000 1,169,854 
Citigroup Commercial Mortgage Trust:   
Series 19-SMRT Class E, 4.7449% 1/10/24 (b) 791,000 813,884 
Series 2013-375P Class E, 3.5176% 5/10/35 (b)(d) 1,306,000 1,289,399 
Series 2013-GC15 Class D, 5.2154% 9/10/46 (b)(d) 2,196,000 2,289,344 
Series 2015-GC29 Class XA, 1.1045% 4/10/48 (d)(k) 41,715,128 1,899,707 
Series 2015-GC33 Class XA, 0.9301% 9/10/58 (d)(k) 57,846,377 2,597,603 
Series 2015-SHP2 Class E, 1 month U.S. LIBOR + 4.350% 6.7896% 7/15/27 (b)(d)(e) 834,000 833,460 
Series 2016-C3 Class D, 3% 11/15/49 (b) 1,507,000 1,223,778 
Series 2016-P6 Class XA, 0.8084% 12/10/49 (d)(k) 52,323,063 1,982,516 
Series 2018-C6 Class A4, 4.412% 11/10/51 10,946,000 12,241,443 
COMM Mortgage Trust:   
floater Series 2018-HCLV:   
Class F, 1 month U.S. LIBOR + 3.050% 5.4896% 9/15/33 (b)(d)(e) 468,000 468,473 
Class G, 1 month U.S. LIBOR + 5.056% 7.4959% 9/15/33 (b)(d)(e) 544,000 523,043 
sequential payer:   
Series 2013-CR7 Class AM, 3.314% 3/10/46 (b) 5,924,751 6,049,150 
Series 2013-LC6 Class E, 3.5% 1/10/46 (b) 1,476,000 1,238,923 
Series 2012-CR1:   
Class C, 5.3204% 5/15/45 (d) 769,000 802,478 
Class D, 5.3204% 5/15/45 (b)(d) 2,108,000 2,133,859 
Class G, 2.462% 5/15/45 (b) 774,000 612,209 
Series 2012-LC4:   
Class C, 5.5382% 12/10/44 (d) 166,000 172,823 
Class D, 5.5382% 12/10/44 (b)(d) 1,199,470 1,033,045 
Series 2013-CR10:   
Class C, 4.7923% 8/10/46 (b)(d) 314,000 330,877 
Class D, 4.7923% 8/10/46 (b)(d) 1,490,000 1,497,843 
Series 2013-CR12 Class D, 5.0841% 10/10/46 (b)(d) 1,205,000 1,103,273 
Series 2013-CR9 Class C, 4.2558% 7/10/45 (b)(d) 334,462 332,921 
Series 2013-LC6 Class D, 4.2625% 1/10/46 (b)(d) 1,664,000 1,690,668 
Series 2014-CR15 Class D, 4.7501% 2/10/47 (b)(d) 298,000 314,186 
Series 2014-CR17 Class E, 4.8417% 5/10/47 (b)(d) 255,000 240,174 
Series 2014-CR19 Class XA, 1.129% 8/10/47 (d)(k) 88,841,463 3,543,371 
Series 2014-CR20 Class XA, 1.1078% 11/10/47 (d)(k) 78,168,040 3,269,691 
Series 2014-LC17 Class XA, 0.8851% 10/10/47 (d)(k) 65,956,039 1,700,973 
Series 2014-UBS2 Class D, 5.0024% 3/10/47 (b)(d) 994,000 921,543 
Series 2014-UBS4 Class XA, 1.1579% 8/10/47 (d)(k) 64,743,772 2,846,363 
Series 2014-UBS6 Class XA, 0.9401% 12/10/47 (d)(k) 91,574,406 3,428,344 
Series 2015-3BP Class F, 3.2384% 2/10/35 (b)(d) 1,538,000 1,458,345 
Series 2015-CR23 Class CME, 3.6845% 5/10/48 (b)(d) 308,000 306,842 
Series 2015-DC1 Class XA, 1.1255% 2/10/48 (d)(k) 95,887,948 3,917,982 
Series 2016-CD1 Class D, 2.7682% 8/10/49 (b)(d) 947,000 811,918 
Series 2017-CD4 Class D, 3.3% 5/10/50 (b) 1,079,000 945,293 
COMM Mortgage Trust pass-thru certificates Series 2005-LP5 Class F, 4.5232% 5/10/43 (b)(d) 441,277 438,545 
COMM Trust Series 2017-COR2 Class D, 3% 9/10/50 (b) 368,000 331,167 
Commercial Mortgage Trust Series 2016-CD2:   
Class C, 4.029% 11/10/49 (d) 619,000 636,311 
Class D, 2.779% 11/10/49 (d) 546,000 465,037 
Commercial Mortgage Trust pass-thru certificates:   
Series 2012-CR2:   
Class D, 4.8315% 8/15/45 (b)(d) 105,000 105,422 
Class E, 4.8315% 8/15/45 (b)(d) 1,801,000 1,750,276 
Class F, 4.25% 8/15/45 (b) 1,773,000 1,499,084 
Series 2014-CR2 Class G, 4.25% 8/15/45 (b) 522,000 353,966 
Core Industrial Trust:   
floater Series 2019-CORE Class A, 1 month U.S. LIBOR + 0.880% 3.3196% 12/15/31 (b)(d)(e) 10,250,000 10,266,865 
Series 2015-CALW Class G, 3.8504% 2/10/34 (b)(d) 740,000 746,248 
Series 2015-TEXW Class F, 3.8487% 2/10/34 (b)(d) 1,347,000 1,356,604 
Series 2015-WEST Class F, 4.2268% 2/10/37 (b)(d) 1,711,000 1,741,960 
Credit Suisse First Boston Mortgage Securities Corp. Series 1998-C1 Class H, 6% 5/17/40 (b) 213,137 169,822 
Credit Suisse Mortgage Trust:   
floater:   
Series 2019-ICE4:   
Class A, 1 month U.S. LIBOR + 0.980% 3.443% 5/15/36 (b)(d)(e) 46,000,000 46,000,000 
Class F, 1 month U.S. LIBOR + 2.650% 5.113% 5/15/36 (b)(d)(e) 693,000 693,000 
Series 2019-SKLZ Class D, 1 month U.S. LIBOR + 3.600% 6.0396% 1/15/34 (b)(d)(e) 647,000 650,276 
Series 2018-SITE:   
Class A, 4.284% 4/15/36 (b) 11,930,000 12,566,315 
Class B, 4.5349% 4/15/36 (b) 3,730,000 3,922,938 
Class C, 4.782% 4/15/36 (b) 2,462,000 2,568,455 
Class D, 4.782% 4/15/36 (b) 4,923,000 5,044,289 
CSAIL Commercial Mortgage Trust:   
Series 2017-C8 Class D, 4.4701% 6/15/50 (b) 1,278,000 1,200,982 
Series 2017-CX10 Class UESD, 4.2366% 10/15/32 (b)(d) 1,055,000 1,057,187 
Series 2017-CX9 Class D, 4.156% 9/15/50 (b)(d) 518,000 484,080 
Series 2018-CX11 Class C, 4.7927% 4/15/51 (d) 495,000 527,867 
CSAIL Commercial Mtg Trust Series 2018-C14 Class A4 4.4216% 11/15/51 8,986,000 10,004,844 
CSMC Trust Series 2017-MOON Class E, 3.1965% 7/10/34 (b)(d) 1,363,000 1,336,982 
DBCCRE Mortgage Trust Series 2014-ARCP:   
Class D, 4.9345% 1/10/34 (b)(d) 458,000 470,513 
Class E, 4.9345% 1/10/34 (b)(d) 1,487,000 1,490,411 
DBGS Mortgage Trust Series 2019-1735 Class F, 4.1946% 4/10/37 (b)(d) 1,188,000 1,127,001 
DBUBS Mortgage Trust:   
Series 2011-LC1A:   
Class E, 5.6984% 11/10/46 (b)(d) 2,136,000 2,216,997 
Class F, 5.6984% 11/10/46 (b)(d) 2,129,000 2,170,268 
Class G, 4.652% 11/10/46 (b) 2,273,000 2,132,739 
Class XB, 0.3062% 11/10/46 (b)(d)(k) 13,328,000 69,895 
Series 2011-LC3A Class D, 5.3383% 8/10/44 (b)(d) 969,000 1,008,402 
Deutsche Bank Commercial Mortgage Trust Series 2016-C3 Class C, 3.4921% 8/10/49 (d) 382,000 379,947 
Fannie Mae Series 2017-T1 Class A, 2.898% 6/25/27 27,623,403 27,905,698 
Freddie Mac:   
pass-thru certificates:   
Series K011 Class X3, 2.5734% 12/25/43 (d)(k) 1,045,000 39,760 
Series K012 Class X3, 2.329% 1/25/41 (d)(k) 1,128,055 39,190 
Series K013 Class X3, 2.8143% 1/25/43 (d)(k) 1,113,000 49,119 
sequential payer:   
Series K069 Class A2, 3.187% 9/25/27 11,850,000 12,352,676 
Series K155 Class A1, 3.75% 11/25/29 753,972 810,642 
Series K734 Class A2, 3.208% 2/25/51 7,500,000 7,819,154 
Series KAIV Class X2, 3.6147% 6/25/41 (d)(k) 574,000 38,699 
FREMF Mortgage Trust:   
Series 2010-K9 Class B, 5.2084% 9/25/45 (b)(d) 1,156,000 1,185,067 
Series 2011-K10 Class B, 4.6218% 11/25/49 (b)(d) 319,000 326,057 
Series 2011-K11 Class B, 4.4177% 12/25/48 (b)(d) 478,000 489,016 
GAHR Commercial Mortgage Trust Series 2015-NRF:   
Class BFX, 3.3822% 12/15/34 (b)(d) 12,047,000 12,010,352 
Class CFX, 3.3822% 12/15/34 (b)(d) 9,016,000 8,979,559 
Class DFX, 3.3822% 12/15/34 (b)(d) 17,713,000 17,631,171 
Class EFX, 3.3822% 12/15/34 (b)(d) 1,115,000 1,107,046 
Class FFX, 3.3822% 12/15/34 (b)(d) 2,384,000 2,360,161 
Class GFX, 3.3822% 12/15/34 (b)(d) 3,474,000 3,421,124 
GMAC Commercial Mortgage Securities, Inc.:   
Series 1997-C2 Class H, 6.75% 4/15/29 (d) 544,079 455,734 
Series 1999-C2I Class K, 6.481% 9/15/33 (q) 1,054,547 1,069,842 
GPMT Ltd. floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.950% 5.3919% 11/21/35 (b)(d)(e) 424,000 425,590 
Grace Mortgage Trust Series 2014-GRCE Class F, 3.5901% 6/10/28 (b)(d) 1,219,000 1,218,771 
GS Mortgage Securities Corp. II Series 2010-C1 Class X, 1.3432% 8/10/43 (b)(d)(k) 2,928,220 33,108 
GS Mortgage Securities Corp. Trust floater Series 2019-SOHO Class E, 1 month U.S. LIBOR + 1.875% 4.3246% 6/15/36 (b)(c)(d)(e) 900,000 896,799 
GS Mortgage Securities Trust:   
floater:   
Series 2018-3PCK Class A, 1 month U.S. LIBOR + 1.450% 3.8896% 9/15/31 (b)(d)(e) 38,854,000 38,773,498 
Series 2018-HART Class A, 1 month U.S. LIBOR + 1.090% 3.5296% 10/15/31 (b)(d)(e) 10,027,000 10,023,830 
sequential payer:   
Series 2017-GS8 Class A4, 3.469% 11/10/50 3,190,000 3,310,083 
Series 2018-GS10 Class A5, 4.155% 7/10/51 2,990,000 3,270,742 
Series 2010-C2:   
Class D, 5.1807% 12/10/43 (b)(d) 910,000 936,898 
Class XA, 0.0735% 12/10/43 (b)(d)(k) 1,954,981 3,182 
Series 2011-GC3 Class D, 5.6369% 3/10/44 (b)(d) 323,000 336,763 
Series 2011-GC5:   
Class C, 5.3904% 8/10/44 (b)(d) 908,923 942,972 
Class D, 5.3904% 8/10/44 (b)(d) 2,158,688 2,113,754 
Class E, 5.3904% 8/10/44 (b)(d) 773,957 693,357 
Class F, 4.5% 8/10/44 (b) 1,339,218 898,822 
Series 2012-GC6:   
Class D, 5.6515% 1/10/45(b)(d) 1,837,000 1,875,008 
Class E, 5% 1/10/45 (b)(d) 463,000 421,715 
Series 2012-GC6I Class F, 5% 1/10/45 (d) 447,457 345,086 
Series 2012-GCJ7:   
Class C, 5.6805% 5/10/45 (d) 1,043,000 1,095,905 
Class D, 5.6805% 5/10/45 (b)(d) 2,561,000 2,534,078 
Class E, 5% 5/10/45 (b) 845,140 612,631 
Class F, 5% 5/10/45 (b) 2,253,469 813,385 
Series 2012-GCJ9:   
Class D, 4.7441% 11/10/45 (b)(d) 1,910,000 1,935,793 
Class E, 4.7441% 11/10/45 (b)(d) 896,000 840,762 
Series 2013-GC10 Class D, 4.3968% 2/10/46 (b)(d) 586,000 579,510 
Series 2013-GC12:   
Class D, 4.4504% 6/10/46 (b)(d) 254,518 243,222 
Class XA, 1.4252% 6/10/46 (d)(k) 16,599,499 766,108 
Series 2013-GC13 Class D, 4.0824% 7/10/46 (b)(d) 1,907,000 1,836,415 
Series 2013-GC16:   
Class C, 5.3106% 11/10/46 (d) 421,844 458,769 
Class D, 5.3106% 11/10/46 (b)(d) 1,161,000 1,240,051 
Class F, 3.5% 11/10/46 (b) 970,000 753,222 
Series 2014-GC20 Class XA, 1.0627% 4/10/47 (d)(k) 89,325,497 3,188,563 
Series 2015-GC34 Class XA, 1.3285% 10/10/48 (d)(k) 18,301,469 1,148,981 
Series 2016-GS2:   
Class C, 4.5279% 5/10/49 (d) 771,000 821,935 
Class D, 2.753% 5/10/49 (b) 703,000 610,959 
Series 2016-GS3 Class D, 2.62% 10/10/49 (b) 1,935,000 1,666,496 
Series 2016-GS4 Class C, 3.8012% 11/10/49 (d) 464,000 456,945 
Series 2016-REMZ Class MZB, 7.727% 2/10/21 (b) 1,224,000 1,229,708 
Series 2016-RENT:   
Class E, 4.0667% 2/10/29 (b)(d) 3,220,000 3,231,472 
Class F, 4.0667% 2/10/29 (b)(d) 2,468,000 2,460,908 
Series 2017-GS6 Class D, 3.243% 5/10/50 (b) 1,195,000 1,014,026 
Series 2018-GS9 Class D, 3% 3/10/51 (b) 835,000 682,805 
Series 2019-GC38 Class D, 3% 2/10/52 (b) 446,000 390,258 
Series 2019-GC39 Class D, 3% 5/10/52 (b) 1,176,000 1,043,348 
Hilton U.S.A. Trust:   
Series 2016-HHV Class F, 4.1935% 11/5/38 (b)(d) 1,817,000 1,757,140 
Series 2016-SFP Class F, 6.1552% 11/5/35 (b) 2,130,000 2,175,178 
IMT Trust Series 2017-APTS:   
Class EFL, 1 month U.S. LIBOR + 2.150% 4.5896% 6/15/34 (b)(d)(e) 608,000 603,980 
Class FFL, 1 month U.S. LIBOR + 2.850% 5.2896% 6/15/34 (b)(d)(e) 228,000 226,250 
Independence Plaza Trust Series 2018-INDP Class E, 4.996% 7/10/35 (b) 1,064,000 1,110,891 
Invitation Homes Trust floater:   
Series 2018-SFR3 Class F, 1 month U.S. LIBOR + 2.250% 4.6824% 7/17/37 (b)(d)(e) 1,184,000 1,172,125 
Series 2018-SFR4 Class F, 1 month U.S. LIBOR + 2.200% 4.6324% 1/17/38 (b)(d)(e) 744,000 730,671 
JP Morgan Chase Commercial Mortgage Securities Trust floater Series 2018-LAQ Class E, 1 month U.S. LIBOR + 3.000% 5.4396% 6/15/35 (b)(d)(e) 65,764 66,120 
JPMBB Commercial Mortgage Securities Trust:   
Series 2014-C19 Class XA, 0.7991% 4/15/47 (d)(k) 8,280,235 195,970 
Series 2014-C23 Class UH5, 4.7094% 9/15/47 (b) 194,000 162,836 
Series 2014-C26 Class D, 3.9086% 1/15/48 (b)(d) 758,000 720,574 
Series 2015-C30 Class XA, 0.5352% 7/15/48 (d)(k) 47,837,067 1,323,432 
Series 2015-C32 Class C, 4.6663% 11/15/48 (d) 1,942,000 2,050,731 
JPMCC Commercial Mortgage Securities Trust Series 2016-JP4 Class D, 3.4412% 12/15/49 (b)(d) 1,251,000 1,100,025 
JPMDB Commercial Mortgage Securities Trust:   
Series 2016-C4:   
Class C, 3.0924% 12/15/49 (d) 603,000 584,641 
Class D, 3.0924% 12/15/49 (b)(d) 1,242,000 1,093,261 
Series 2017-C7:   
Class C, 4.1848% 10/15/50 (d) 347,000 361,317 
Class D, 3% 10/15/50 (b) 602,000 515,188 
Series 2018-C8 Class D, 3.2451% 6/15/51 (b)(d) 406,000 353,728 
JPMorgan Chase Commercial Mortgage Securities Corp.:   
Series 2009-IWST:   
Class C, 7.4453% 12/5/27 (b)(d) 242,000 245,347 
Class D, 7.4453% 12/5/27 (b)(d) 1,201,000 1,217,610 
Series 2012-CBX:   
Class C, 5.1909% 6/15/45 (d) 159,000 164,833 
Class D, 5.1909% 6/15/45 (b)(d) 886,000 894,145 
Class E, 5.1909% 6/15/45 (b)(d) 1,135,000 1,083,053 
Class F, 4% 6/15/45 (b) 1,124,000 932,003 
Class G 4% 6/15/45 (b) 1,233,000 718,888 
JPMorgan Chase Commercial Mortgage Securities Trust:   
Series 2004-CBX Class D, 5.097% 1/12/37 (d) 242,000 242,324 
Series 2005-LDP2 Class F, 5.01% 7/15/42 (d) 7,320 7,311 
Series 2011-C3:   
Class E, 5.6606% 2/15/46 (b)(d) 1,156,000 1,099,801 
Class G, 4.409% 2/15/46 (b)(d) 368,000 312,754 
Class H, 4.409% 2/15/46 (b)(d) 828,000 671,442 
Class J, 4.409% 2/15/46 (b)(d) 106,000 78,451 
Series 2011-C4:   
Class E, 5.5353% 7/15/46 (b)(d) 1,398,000 1,458,868 
Class F, 3.873% 7/15/46 (b) 166,000 165,796 
Class H, 3.873% 7/15/46 (b) 784,250 742,151 
Class NR, 3.873% 7/15/46 (b) 420,000 323,586 
Series 2011-C5:   
Class B. 5.3746% 8/15/46 (b)(d) 726,000 761,704 
Class C, 5.3746% 8/15/46 (b)(d) 414,648 432,415 
Series 2013-LC11:   
Class C, 3.9582% 4/15/46 (d) 1,025,000 1,037,274 
Class D, 4.1681% 4/15/46 (d) 1,638,000 1,458,986 
Class F, 3.25% 4/15/46 (b)(d) 1,851,000 1,141,424 
Series 2014-DSTY:   
Class D, 3.8046% 6/10/27 (b)(d) 945,000 590,823 
Class E, 3.8046% 6/10/27 (b)(d) 1,519,000 472,286 
Series 2015-UES Class F, 3.621% 9/5/32 (b)(d) 1,253,000 1,229,612 
Series 2018-AON Class F, 4.6132% 7/5/31 (b) 743,000 730,264 
Series 2018-WPT:   
Class CFX, 4.9498% 7/5/33 (b) 2,322,000 2,456,279 
Class DFX, 5.3503% 7/5/33 (b) 3,571,000 3,786,141 
Class EFX, 5.5422% 7/5/33 (b) 4,886,000 5,157,559 
Class XAFX, 1.116% 7/5/33 (b)(d)(k) 35,039,000 1,515,829 
Series 2019-OSB Class E, 3.7828% 6/5/39 (b) 1,071,000 1,069,184 
KNDL 2019-KNSQ Mortgage Trust floater Series 2019-KNSQ Class F, 1 month U.S. LIBOR + 2.000% 4.5% 5/15/36 (b)(d)(e) 1,113,000 1,114,448 
Ladder Capital Commercial Mortgage Securities Trust Series 2014-909 Class E, 3.8979% 5/15/31 (b)(d) 1,339,000 1,338,420 
Liberty Street Trust Series 2016-225L:   
Class D, 4.6485% 2/10/36 (b)(d) 375,000 399,911 
Class E, 4.6485% 2/10/36 (b)(d) 942,000 979,216 
LSTAR Commercial Mortgage Trust Series 2014-2:   
Class D, 5.6452% 1/20/41 (b)(d) 298,000 297,035 
Class E, 5.6452% 1/20/41 (b)(d) 466,000 449,648 
Mach One Trust LLC Series 2004-1A Class M, 5.45% 5/28/40 (b)(d) 68,974 68,470 
Merrill Lynch Mortgage Trust Series 2006-C1 Class AJ, 5.5933% 5/12/39 (d) 276,950 279,001 
Morgan Stanley BAML Trust:   
sequential payer Series 2014-C18 Class 300E, 4.6896% 8/15/31 698,000 698,413 
Series 2012-C5 Class E, 4.6848% 8/15/45 (b)(d) 288,000 295,451 
Series 2012-C6 Class D, 4.609% 11/15/45 (b)(d) 1,469,000 1,513,145 
Series 2013-C12 Class D, 4.7658% 10/15/46 (b)(d) 1,299,000 1,319,990 
Series 2013-C13:   
Class D, 4.9086% 11/15/46 (b)(d) 1,579,000 1,633,882 
Class E, 4.9086% 11/15/46 (b)(d) 785,081 717,024 
Series 2013-C7:   
Class C, 4.1158% 2/15/46 (d) 308,000 314,748 
Class D, 4.2318% 2/15/46 (b)(d) 1,341,000 1,290,001 
Class E, 4.2318% 2/15/46 (b)(d) 391,000 333,697 
Series 2013-C8 Class D, 4.0584% 12/15/48 (b)(d) 504,000 504,737 
Series 2013-C9:   
Class C, 4.0368% 5/15/46 (d) 920,000 933,511 
Class D, 4.1248% 5/15/46 (b)(d) 1,700,000 1,647,269 
Series 2014-C17 Class XA, 1.1383% 8/15/47 (d)(k) 84,797,734 3,606,142 
Series 2015-C25 Class XA, 1.1102% 10/15/48 (d)(k) 29,747,689 1,555,358 
Series 2016-C30:   
Class C, 4.1263% 9/15/49 (d) 266,000 266,881 
Class D, 3% 9/15/49 (b) 495,000 407,833 
Series 2016-C31:   
Class C, 4.3157% 11/15/49 (d) 603,000 607,673 
Class D, 3% 11/15/49 (b)(d) 772,000 636,724 
Series 2016-C32:   
Class C, 4.2931% 12/15/49 (d) 415,000 419,498 
Class D, 3.396% 12/15/49 (b) 997,000 837,318 
Series 2017-C33 Class D, 3.356% 5/15/50 (b) 947,000 837,484 
Morgan Stanley Capital I Trust:   
floater Series 2019-AGLN:   
Class A, 1 month U.S. LIBOR + 0.950% 3.3896% 3/15/34 (b)(d)(e) 13,540,000 13,539,973 
Class F, 1 month U.S. LIBOR + 2.600% 5.0396% 3/15/34 (b)(d)(e) 1,890,000 1,892,364 
Class G, 1 month U.S. LIBOR + 3.150% 5.5896% 3/15/34 (b)(d)(e) 420,000 421,051 
sequential payer Series 2018-L1 Class A4, 4.407% 10/15/51 8,710,000 9,697,353 
Series 1998-CF1 Class G, 7.35% 7/15/32 (b) 40,813 35,576 
Series 2011-C1:   
Class D, 5.3749% 9/15/47 (b)(d) 2,059,000 2,140,086 
Class E, 5.3749% 9/15/47 (b)(d) 530,100 551,326 
Series 2011-C2:   
Class D, 5.4847% 6/15/44 (b)(d) 1,788,000 1,814,973 
Class E, 5.4847% 6/15/44 (b)(d) 921,000 905,044 
Class F, 5.4847% 6/15/44 (b)(d) 748,000 677,665 
Class XB, 0.5352% 6/15/44 (b)(d)(k) 5,734,008 57,630 
Series 2011-C3:   
Class D, 5.1113% 7/15/49 (b)(d) 2,163,000 2,179,314 
Class E, 5.1113% 7/15/49 (b)(d) 1,210,000 1,188,743 
Class F, 5.1113% 7/15/49 (b)(d) 332,000 315,765 
Class G, 5.1113% 7/15/49 (b)(d) 1,117,000 989,968 
Series 2012-C4 Class D, 5.4197% 3/15/45 (b)(d) 425,000 417,237 
Series 2014-150E:   
Class C, 4.295% 9/9/32 (b)(d) 418,000 440,999 
Class F, 4.295% 9/9/32 (b)(d) 734,000 747,118 
Series 2014-CPT Class F, 3.4455% 7/13/29 (b)(d) 915,000 914,559 
Series 2015-MS1:   
Class C, 4.0308% 5/15/48 (d) 468,000 478,623 
Class D, 4.0308% 5/15/48 (b)(d) 1,371,000 1,309,534 
Series 2015-UBS8 Class D, 3.18% 12/15/48 (b) 883,000 769,539 
Series 2016-BNK2:   
Class C, 3% 11/15/49 (b) 1,456,000 1,287,239 
Class D, 3.9071% 11/15/49(d) 603,000 614,770 
Series 2017-CLS Class F, 1 month U.S. LIBOR + 2.600% 5.0396% 11/15/34 (b)(d)(e) 822,000 818,389 
Series 2018-H4 Class A4, 4.31% 12/15/51 33,617,000 37,263,083 
Series 2018-MP Class E, 4.276% 7/11/40 (b) 1,318,000 1,281,418 
Morgan Stanley Dean Witter Capital I Trust Series 2001-TOP3 Class E, 7.6208% 7/15/33 (b)(d) 93,607 98,219 
Motel 6 Trust floater:   
Series 2017-M6MZ, Class M, 1 month U.S. LIBOR + 6.927% 9.3661% 8/15/19 (b)(d)(e) 604,941 610,072 
Series 2017-MTL6, Class F, 1 month U.S. LIBOR + 4.250% 6.6896% 8/15/34 (b)(d)(e) 3,117,644 3,135,471 
MSCCG Trust floater Series 2018-SELF Class E, 1 month U.S. LIBOR + 2.150% 4.5896% 10/15/37 (b)(d)(e) 679,000 679,847 
MSCG Trust Series 2016-SNR:   
Class A, 3.348% 11/15/34 (b)(d) 10,823,096 10,754,844 
Class B, 4.181% 11/15/34 (b) 4,567,900 4,561,778 
Class C, 5.205% 11/15/34 (b) 3,195,150 3,222,133 
Class D, 6.55% 11/15/34 (b) 2,028,100 2,042,726 
Class E, 6.8087% 11/15/34 (b) 561,000 545,194 
MSJP Commercial Securities Mortgage Trust Series 2015-HAUL Class E, 4.851% 9/5/47 (b)(d) 311,000 313,091 
MTRO Commercial Mortgage Trust floater Series 2019-TECH Class E, 1 month U.S. LIBOR + 2.050% 4.4896% 12/15/33 (b)(d)(e) 742,000 741,100 
NationsLink Funding Corp. Series 1999-LTL1 Class D, 6.45% 1/22/26 (b) 67,435 67,812 
Natixis Commercial Mortgage Securities Series 2019-10K Class F, 4.2724% 5/15/39 (b)(d) 1,374,000 1,231,661 
Natixis Commercial Mortgage Securities Trust:   
floater Series 2018-FL1:   
Class WAN1, 1 month U.S. LIBOR + 2.750% 5.223% 6/15/35 (b)(d)(e) 132,000 131,811 
Class WAN2, 1 month U.S. LIBOR + 3.750% 6.223% 6/15/35 (b)(d)(e) 128,000 126,817 
Series 2018-285M Class F, 3.7904% 11/15/32 (b)(d) 307,000 298,874 
Series 2018-TECH Class F, 1 month U.S. LIBOR + 3.000% 5.4396% 11/15/34 (b)(d)(e) 245,000 241,078 
NYT Mortgage Trust floater Series 2019-NYT Class F, 1 month U.S. LIBOR + 3.000% 5.4396% 11/15/35 (b)(d)(e) 1,385,000 1,395,752 
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (b) 1,154,952 1,411,866 
RETL floater Series 2019-RVP:   
Class A, 1 month U.S. LIBOR + 1.150% 3.5896% 3/15/36 (b)(d)(e) 17,941,914 17,948,255 
Class B, 1 month U.S. LIBOR + 1.550% 3.9896% 3/15/36 (b)(d)(e) 12,500,000 12,512,380 
Class C, 1 month U.S. LIBOR + 2.100% 4.5396% 3/15/36 (b)(d)(e) 16,734,000 16,771,717 
TIAA Seasoned Commercial Mortgage Trust:   
sequential payer Series 2007-C4 Class AJ, 5.4825% 8/15/39 (d) 19,404 19,453 
Series 2007-C4 Class F, 5.4825% 8/15/39 (d) 1,110,000 1,087,615 
TPG Real Estate Finance floater Series 2018-FL1 Class D, 1 month U.S. LIBOR + 2.700% 5.1324% 2/15/35 (b)(d)(e) 323,000 323,808 
UBS Commercial Mortgage Trust:   
Series 2012-C1:   
Class D, 5.5434% 5/10/45 (b)(d) 1,367,000 1,374,439 
Class E, 5% 5/10/45 (b)(d) 595,000 544,017 
Class F, 5% 5/10/45 (b)(d) 762,700 589,446 
Series 2017-C7 Class XA, 1.0654% 12/15/50 (d)(k) 53,950,266 3,650,647 
UBS-BAMLL Trust:   
Series 12-WRM Class D, 4.238% 6/10/30 (b)(d) 746,000 721,361 
Series 2012-WRM:   
Class C, 4.238% 6/10/30 (b)(d) 110,000 110,156 
Class E, 4.238% 6/10/30 (b)(d) 849,000 806,573 
VNO Mortgage Trust Series 2012-6AVE Class D, 3.3372% 11/15/30 (b)(d) 828,000 826,551 
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (b) 180,000 185,724 
Wells Fargo Commercial Mortgage Trust:   
Series 2010-C1 Class XB, 0.5693% 11/15/43 (b)(d)(k) 15,792,866 116,161 
Series 2012-LC5:   
Class C, 4.693% 10/15/45 (d) 362,000 379,153 
Class D, 4.7608% 10/15/45 (b)(d) 1,939,000 2,005,084 
Class E, 4.7608% 10/15/45 (b)(d) 869,082 859,740 
Series 2015-C31 Class XA, 1.0306% 11/15/48 (d)(k) 23,482,913 1,255,089 
Series 2015-NXS4 Class E, 3.5981% 12/15/48 (b)(d) 645,000 557,607 
Series 2016-BNK1:   
Class C, 3.071% 8/15/49 446,000 425,655 
Class D, 3% 8/15/49 (b) 487,000 409,168 
Series 2016-C34 Class XA, 2.1478% 6/15/49 (d)(k) 21,444,742 2,134,419 
Series 2016-C35 Class D, 3.142% 7/15/48 (b) 1,739,000 1,435,383 
Series 2016-LC25 Class C, 4.4195% 12/15/59 (d) 575,000 593,174 
Series 2016-NXS6 Class D, 3.059% 11/15/49 (b) 1,337,000 1,151,507 
Series 2017-C38 Class D, 3% 7/15/50 (b)(d) 1,478,000 1,243,261 
Series 2017-RB1 Class D, 3.401% 3/15/50 (b) 595,000 523,340 
Series 2018-C43 Class C, 4.514% 3/15/51 401,000 399,566 
Series 2018-C46 Class XA, 0.9479% 8/15/51 (d)(k) 47,176,023 2,873,119 
Series 2018-C48 Class A5, 4.302% 1/15/52 22,325,000 24,702,773 
WF-RBS Commercial Mortgage Trust:   
floater Series 2013-C14 Class A3, 1 month U.S. LIBOR + 0.720% 3.1524% 6/15/46 (b)(d)(e) 19,523,468 19,527,240 
sequential payer Series 2011-C4I Class G, 5% 6/15/44 372,000 250,768 
Series 2011-C3:   
Class C, 5.335% 3/15/44 (b) 229,000 236,624 
Class D, 5.6829% 3/15/44 (b)(d) 949,000 849,518 
Class E, 5% 3/15/44 (b) 733,000 429,166 
Class F, 5% 3/15/44 (b) 761,000 243,329 
Series 2011-C4:   
Class D, 5.2305% 6/15/44 (b)(d) 474,000 476,858 
Class E, 5.2305% 6/15/44 (b)(d) 335,432 331,600 
Series 2011-C5:   
Class C, 5.6693% 11/15/44 (b)(d) 160,000 168,398 
Class D, 5.6693% 11/15/44 (b)(d) 1,195,000 1,245,085 
Class E, 5.6693% 11/15/44 (b)(d) 1,670,000 1,705,902 
Class F, 5.25% 11/15/44 (b)(d) 1,099,000 1,014,115 
Class G, 5.25% 11/15/44 (b)(d) 376,000 329,208 
Class XA, 1.725% 11/15/44 (b)(d)(k) 2,356,740 72,846 
Series 2012-C6 Class D, 5.582% 4/15/45 (b)(d) 702,000 732,229 
Series 2012-C7:   
Class C, 4.8153% 6/15/45 (d) 1,226,000 1,248,551 
Class E, 4.8153% 6/15/45 (b)(d) 2,074,312 1,813,383 
Class F, 4.5% 6/15/45 (b) 421,434 264,594 
Class G, 4.5% 6/15/45 (b) 1,242,487 469,987 
Series 2012-C8:   
Class D, 4.8905% 8/15/45 (b)(d) 524,000 529,599 
Class E, 4.8905% 8/15/45 (b)(d) 367,000 365,692 
Series 2013-C11:   
Class D, 4.2647% 3/15/45 (b)(d) 801,251 789,692 
Class E, 4.2647% 3/15/45 (b)(d) 1,774,872 1,678,575 
Series 2013-C13 Class D, 4.1322% 5/15/45 (b)(d) 580,000 583,226 
Series 2013-C16 Class D, 5.0267% 9/15/46 (b)(d) 211,000 204,375 
Series 2013-UBS1 Class D, 4.7407% 3/15/46 (b)(d) 830,625 832,299 
Series 2014-C21 Class XA, 1.0585% 8/15/47 (d)(k) 63,842,369 2,577,789 
Series 2014-C24 Class XA, 0.868% 11/15/47 (d)(k) 20,821,027 708,556 
Series 2014-LC14 Class XA, 1.2295% 3/15/47 (d)(k) 35,724,284 1,586,555 
WFCG Commercial Mortgage Trust floater Series 2015-BXRP:   
Class F, 1 month U.S. LIBOR + 3.720% 6.1599% 11/15/29 (b)(d)(e) 1,153,721 1,152,445 
Class G, 1 month U.S. LIBOR + 3.020% 5.4596% 11/15/29 (b)(d)(e) 496,518 492,399 
Worldwide Plaza Trust Series 2017-WWP:   
Class E, 3.5955% 11/10/36 (b)(d) 348,000 331,879 
Class F, 3.5955% 11/10/36 (b)(d) 1,960,000 1,797,860 
WP Glimcher Mall Trust Series 2015-WPG:   
Class PR1, 3.516% 6/5/35 (b)(d) 528,000 442,365 
Class PR2, 3.516% 6/5/35 (b)(d) 1,378,000 1,101,624 
TOTAL COMMERCIAL MORTGAGE SECURITIES   
(Cost $818,170,540)  833,349,240 
Municipal Securities - 0.7%   
California Gen. Oblig.:   
Series 2009: $ $ 
7.35% 11/1/39 1,690,000 2,540,847 
7.5% 4/1/34 5,800,000 8,647,800 
7.55% 4/1/39 11,940,000 18,710,577 
Series 2010, 7.625% 3/1/40 6,440,000 10,091,029 
7.3% 10/1/39 17,580,000 26,274,365 
Chicago Gen. Oblig. (Taxable Proj.):   
Series 2008 B, 5.63% 1/1/22 1,040,000 1,061,226 
Series 2010 C1, 7.781% 1/1/35 8,885,000 10,639,699 
Series 2012 B, 5.432% 1/1/42 2,095,000 2,000,935 
Illinois Gen. Oblig.:   
Series 2003:   
4.95% 6/1/23 15,445,000 15,975,690 
5.1% 6/1/33 40,165,000 41,441,042 
Series 2010-1, 6.63% 2/1/35 7,610,000 8,625,631 
Series 2010-3:   
6.725% 4/1/35 11,345,000 12,930,464 
7.35% 7/1/35 5,200,000 6,133,764 
Series 2010-5, 6.2% 7/1/21 3,120,000 3,219,310 
TOTAL MUNICIPAL SECURITIES   
(Cost $157,381,250)  168,292,379 
Foreign Government and Government Agency Obligations - 1.3%   
Arab Republic of Egypt:   
5.577% 2/21/23 (b) $652,000 $644,665 
6.125% 1/31/22 (b) 9,267,000 9,359,670 
6.2004% 3/1/24 (b) 720,000 723,600 
7.5% 1/31/27 (b) 4,202,000 4,259,778 
7.6003% 3/1/29 (b) 720,000 718,200 
7.903% 2/21/48 (b) 806,000 751,595 
8.5% 1/31/47 (b) 1,586,000 1,556,263 
Argentine Republic:   
5.625% 1/26/22 6,915,000 5,359,367 
6.875% 4/22/21 11,786,000 9,752,915 
7.5% 4/22/26 13,752,000 10,321,632 
8.75% 5/7/24 533,376 355,849 
Azerbaijan Republic 4.75% 3/18/24 (b) 635,000 659,765 
Bahamian Republic 6% 11/21/28 (b) 373,000 395,307 
Barbados Government:   
7% 8/4/22 (b)(f) 972,000 606,771 
7.25% 12/15/21 (b)(f) 57,000 35,582 
Belarus Republic:   
6.875% 2/28/23 (b) 2,836,000 2,970,710 
7.625% 6/29/27 (b) 853,000 922,306 
Bermuda Government:   
3.717% 1/25/27 (b) 590,000 592,213 
4.75% 2/15/29 (b) 1,565,000 1,684,183 
Brazilian Federative Republic:   
4.25% 1/7/25 6,374,000 6,517,415 
5.625% 1/7/41 8,421,000 8,541,968 
5.625% 2/21/47 809,000 809,854 
8.25% 1/20/34 4,929,000 6,316,193 
Buenos Aires Province:   
9.95% 6/9/21 (b) 2,314,379 1,961,436 
10.875% 1/26/21 (b) 1,603,333 1,459,033 
10.875% 1/26/21 (Reg. S) 6,160,000 5,605,600 
Cameroon Republic 9.5% 11/19/25 (b) 2,531,000 2,670,850 
City of Buenos Aires:   
7.5% 6/1/27 (Reg. S) 450,000 385,445 
8.95% 2/19/21 (b) 1,224,760 1,206,389 
Colombian Republic:   
7.375% 9/18/37 777,000 1,010,943 
10.375% 1/28/33 1,144,000 1,765,621 
Costa Rican Republic 4.25% 1/26/23 (b) 325,000 312,229 
Democratic Socialist Republic of Sri Lanka:   
5.75% 4/18/23 (b) 516,000 499,898 
6.2% 5/11/27 (b) 305,000 279,622 
6.25% 10/4/20 (b) 559,000 560,171 
6.25% 7/27/21 (b) 360,000 360,121 
6.85% 3/14/24 (b) 810,000 806,963 
Dominican Republic:   
5.95% 1/25/27 (b) 551,000 579,928 
6% 7/19/28 (b) 666,000 701,634 
6.4% 6/5/49 (b) 1,615,000 1,603,695 
6.6% 1/28/24 (b) 743,000 810,799 
6.85% 1/27/45 (b) 788,000 831,340 
6.875% 1/29/26 (b) 1,117,000 1,238,474 
7.45% 4/30/44 (b) 934,000 1,044,913 
Ecuador Republic:   
8.875% 10/23/27 (b) 748,000 750,427 
9.65% 12/13/26 (b) 362,000 379,700 
El Salvador Republic:   
5.875% 1/30/25 (Reg.S) 630,000 608,823 
6.375% 1/18/27 (b) 615,000 594,733 
7.375% 12/1/19 (b) 2,452,000 2,477,905 
7.75% 1/24/23 (b) 898,000 945,145 
Georgia Republic 6.875% 4/12/21 (b) 525,000 552,455 
German Federal Republic 0.25% 2/15/29 EUR950,000 1,109,370 
Ghana Republic:   
7.875% 8/7/23 (b) 835,594 873,196 
7.875% 8/7/23 (Reg.S) 275,000 287,375 
7.875% 3/26/27 (b) 310,000 308,838 
8.125% 1/18/26 (b) 275,000 282,219 
Guatemalan Republic 4.9% 6/1/30 (b) 995,000 980,568 
Indonesian Republic:   
2.625% 6/14/23 EUR5,863,000 7,024,715 
6.75% 1/15/44 (b) 450,000 587,275 
7.75% 1/17/38 (b) 1,803,000 2,513,932 
8.5% 10/12/35 (b) 380,000 552,397 
8.5% 10/12/35 (Reg. S) 2,025,000 2,943,692 
Islamic Republic of Pakistan:   
6.75% 12/3/19 (b) 1,298,000 1,307,028 
8.25% 4/15/24 (b) 436,000 464,133 
Italian Republic 3.75% 5/1/21 (b) EUR26,900,000 31,733,909 
Ivory Coast 5.75% 12/31/32 1,838,960 1,687,246 
Kingdom of Saudi Arabia:   
3.625% 3/4/28 (b) 1,233,000 1,234,233 
4.375% 4/16/29 (b) 2,140,000 2,264,120 
4.5% 10/26/46 (b) 705,000 698,831 
5.25% 1/16/50 (b) 1,125,000 1,239,261 
Lebanese Republic:   
5.45% 11/28/19 3,536,000 3,471,875 
5.8% 4/14/20 1,104,000 1,062,600 
6.15% 6/19/20 770,000 740,405 
6.375% 3/9/20 2,881,000 2,817,171 
8.25% 4/12/21 (Reg.S) 300,000 283,500 
Ministry of Finance of the Russian Federation:   
5.1% 3/28/35 (b) 4,200,000 4,380,600 
5.25% 6/23/47 (b) 5,000,000 5,239,125 
5.625% 4/4/42 (b) 1,250,000 1,391,875 
5.875% 9/16/43 (b) 540,000 622,890 
12.75% 6/24/28 (Reg. S) 1,358,000 2,210,145 
Mongolian People's Republic 8.75% 3/9/24 (b) 982,000 1,082,454 
Moroccan Kingdom 4.25% 12/11/22 (b) 2,170,000 2,240,525 
Papua New Guinea 8.375% 10/4/28 (b) 515,000 537,652 
Peruvian Republic 4% 3/7/27 (m) 866,000 867,057 
Plurinational State of Bolivia 5.95% 8/22/23 (b) 275,000 289,120 
Province of Santa Fe 7% 3/23/23 (b) 3,739,000 3,047,285 
Provincia de Cordoba:   
7.125% 6/10/21 (b) 7,652,000 6,332,030 
7.45% 9/1/24 (b) 1,893,000 1,390,721 
Republic of Angola 7% 8/17/19 (Issued by Northern Lights III BV for Republic of Angola) (Reg. S) 137,375 137,787 
Republic of Armenia 6% 9/30/20 (b) 440,000 449,352 
Republic of Iraq 5.8% 1/15/28 (Reg. S) 8,001,000 7,506,098 
Republic of Kenya:   
6.875% 6/24/24 (b) 205,000 208,588 
8% 5/22/32 (b) 580,000 566,946 
Republic of Nigeria:   
6.375% 7/12/23 (b) 1,665,000 1,706,816 
6.75% 1/28/21 (b) 240,000 246,900 
Republic of Paraguay 5.4% 3/30/50 (b) 505,000 530,503 
Republic of Serbia 7.25% 9/28/21 (b) 600,000 652,500 
Rwanda Republic 6.625% 5/2/23 (b) 573,000 596,638 
State of Qatar:   
4% 3/14/29 (b) 4,385,000 4,615,892 
4.5% 4/23/28 (b) 3,544,000 3,867,390 
4.817% 3/14/49 (b) 1,940,000 2,134,000 
5.103% 4/23/48 (b) 1,985,000 2,272,180 
9.75% 6/15/30 (b) 917,000 1,450,006 
Sultanate of Oman:   
3.875% 3/8/22 (b) 2,125,000 2,050,625 
4.125% 1/17/23 (b) 325,000 308,750 
6.75% 1/17/48 (b) 924,000 783,090 
Turkish Republic:   
5.125% 3/25/22 2,120,000 2,007,841 
5.625% 3/30/21 5,033,000 4,950,333 
5.75% 5/11/47 573,000 446,897 
6.25% 9/26/22 10,240,000 9,936,538 
7% 6/5/20 2,722,000 2,749,220 
7.25% 12/23/23 2,419,000 2,371,793 
7.375% 2/5/25 932,000 915,201 
Turkiye Ihracat Kredi Bankasi A/S 5.375% 2/8/21 (b) 1,070,000 1,016,382 
Ukraine Government:   
7.75% 9/1/19 (b) 3,108,000 3,117,324 
7.75% 9/1/20 (b) 8,495,000 8,543,209 
7.75% 9/1/21 (b) 9,285,000 9,331,425 
7.75% 9/1/22 (b) 5,304,000 5,290,740 
7.75% 9/1/24 (b) 820,000 785,150 
7.75% 9/1/26 (b) 915,000 860,100 
7.75% 9/1/27 (b) 985,000 917,528 
United Kingdom, Great Britain and Northern Ireland:   
1.625% 10/22/28 GBP350,000 472,932 
1.75% 9/7/37 (g)(h) GBP1,125,991 1,516,730 
4.25% 3/7/36 (g)(h) GBP697,592 1,274,637 
4.25% 12/7/49 (h) GBP2,755,717 5,871,094 
United Mexican States:   
4.5% 4/22/29 1,285,000 1,333,830 
5.75% 10/12/10 835,000 860,012 
6.05% 1/11/40 2,270,000 2,599,150 
Uruguay Republic 7.875% 1/15/33 pay-in-kind 331,276 458,607 
Venezuelan Republic:   
9.25% 9/15/27 (f) 7,846,000 2,334,185 
11.95% 8/5/31 (Reg. S) (f) 1,641,700 467,885 
12.75% 8/23/22 (f) 350,400 103,368 
Vietnamese Socialist Republic:   
6 month U.S. LIBOR + 0.813% 3.5% 3/13/28 (d)(e) 124,000 123,434 
5.5% 3/12/28 4,070,983 4,025,694 
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS   
(Cost $314,619,189)  306,724,761 
 Shares Value 
Common Stocks - 0.1%   
COMMUNICATION SERVICES - 0.0%   
Media - 0.0%   
Clear Channel Outdoor Holdings, Inc. (r) 32,596 165,588 
iHeartMedia, Inc. (r) 13,857 228,641 
iHeartMedia, Inc. warrants 5/1/39 (r) 5 83 
  394,312 
Wireless Telecommunication Services - 0.0%   
CUI Acquisition Corp. Class E (l)(r) 1 34,600 
TOTAL COMMUNICATION SERVICES  428,912 
CONSUMER DISCRETIONARY - 0.0%   
Specialty Retail - 0.0%   
David's Bridal, Inc. (l) 3,431 1,784 
ENERGY - 0.1%   
Energy Equipment & Services - 0.1%   
Expro Holdings U.S., Inc. (l)(r) 179,923 3,238,614 
Expro Holdings U.S., Inc. (b)(l)(r) 66,030 1,188,540 
Forbes Energy Services Ltd. (r) 88,825 244,269 
  4,671,423 
INDUSTRIALS - 0.0%   
Commercial Services & Supplies - 0.0%   
Cenveo Corp. (l) 2,500 72,900 
MATERIALS - 0.0%   
Chemicals - 0.0%   
LyondellBasell Industries NV Class A 20,000 1,485,000 
UTILITIES - 0.0%   
Electric Utilities - 0.0%   
TexGen Power LLC (l)(r) 88,700 3,432,690 
TOTAL COMMON STOCKS   
(Cost $16,711,145)  10,092,709 
Preferred Stocks - 0.0%   
Convertible Preferred Stocks - 0.0%   
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Alexandria Real Estate Equities, Inc. Series D, 7.00% 12,775 486,472 
RLJ Lodging Trust Series A, 1.95% 20,725 533,669 
  1,020,141 
Nonconvertible Preferred Stocks - 0.0%   
FINANCIALS - 0.0%   
Mortgage Real Estate Investment Trusts - 0.0%   
Annaly Capital Management, Inc. Series C, 7.625% 13,302 335,210 
MFA Financial, Inc. Series B, 7.50% 24,975 621,878 
  957,088 
Thrifts & Mortgage Finance - 0.0%   
Nationwide Building Society 10.25% 9,106 1,706,693 
TOTAL FINANCIALS  2,663,781 
REAL ESTATE - 0.0%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
American Homes 4 Rent Series D, 6.50% 26,975 726,167 
Boston Properties, Inc. 5.25% 11,150 277,412 
Cedar Realty Trust, Inc.:   
Series B, 7.25% 1,766 43,973 
Series C, 6.50% 26,075 585,645 
DDR Corp. Series K, 6.25% 21,323 542,884 
National Storage Affiliates Trust Series A, 6.00% 12,600 321,300 
PS Business Parks, Inc. Series W, 5.20% 14,075 344,275 
Public Storage Series F, 5.15% 39,800 1,000,174 
Rexford Industrial Realty, Inc. Series B, 5.875% 30,100 753,888 
Spirit Realty Capital, Inc. Series A, 6.00% 18,100 449,061 
Taubman Centers, Inc. Series J, 6.50% 14,513 375,451 
UMH Properties, Inc. Series C, 6.75% 12,984 324,600 
  5,744,830 
TOTAL NONCONVERTIBLE PREFERRED STOCKS  8,408,611 
TOTAL PREFERRED STOCKS   
(Cost $9,226,521)  9,428,752 
 Principal Amount(a) Value 
Bank Loan Obligations - 4.8%   
COMMUNICATION SERVICES - 0.6%   
Diversified Telecommunication Services - 0.2%   
Frontier Communications Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.19% 6/15/24 (d)(e) 21,142,030 20,710,309 
Level 3 Financing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 2/22/24 (d)(e) 7,521,000 7,395,023 
Sable International Finance Ltd. Tranche B 4LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 2/2/26 (d)(e) 4,179,157 4,178,489 
Securus Technologies, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 4.500% 6.9385% 11/1/24 (d)(e) 2,516,259 2,403,028 
3 month U.S. LIBOR + 8.250% 10.6885% 11/1/25 (d)(e) 956,000 912,980 
SFR Group SA:   
Tranche B 11LN, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 7/31/25 (d)(e) 4,917,025 4,667,683 
Tranche B 12LN, term loan 3 month U.S. LIBOR + 3.688% 6.1271% 1/31/26 (d)(e) 994,950 955,858 
Tranche B 13LN, term loan 3 month U.S. LIBOR + 4.000% 6.4396% 8/14/26 (d)(e) 2,535,260 2,462,371 
Windstream Services LLC 1LN, term loan 3 month U.S. LIBOR + 2.500% 5% 2/26/21 (d)(e) 1,500,000 1,500,000 
  45,185,741 
Entertainment - 0.0%   
AMC Entertainment Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.44% 4/22/26 (d)(e) 2,500,000 2,488,400 
CDS U.S. Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2874% 7/8/22 (d)(e) 2,231,372 2,181,166 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.8007% 7/8/23 (d)(e) 296,000 263,440 
  4,933,006 
Media - 0.3%   
Acosta, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.7331% 9/26/21 (d)(e) 1,098,052 453,638 
Altice Financing SA Tranche B, term loan:   
3 month U.S. LIBOR + 2.750% 5.1824% 1/31/26 (d)(e) 2,498,318 2,385,894 
3 month U.S. LIBOR + 2.750% 5.1896% 7/15/25 (d)(e) 936,721 894,765 
Cable One, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.24% 5/1/24 (d)(e) 638,003 633,218 
CBS Radio, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.1781% 11/18/24 (d)(e) 2,075,773 2,070,583 
Cengage Learning, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.6798% 6/7/23 (d)(e) 3,850,428 3,661,334 
Charter Communication Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.44% 4/30/25 (d)(e) 14,869,326 14,833,788 
CSC Holdings LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9396% 1/25/26 (d)(e) 2,816,451 2,781,245 
Tranche B3 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.6896% 1/15/26 (d)(e) 1,270,815 1,246,352 
Tranche B4 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4396% 4/6/27 (d)(e) 1,000,000 997,750 
Getty Images, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 7% 2/12/26 (d)(e) 1,371,563 1,365,733 
Houghton Mifflin Harcourt Publishing, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 5/29/21 (d)(e) 2,245,053 2,147,775 
iHeartCommunications, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.000% 5/1/26 (d)(e)(s) 342,952 343,048 
ION Media Networks, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.19% 12/18/20 (d)(e) 1,152,413 1,148,576 
Lamar Media Corp. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.25% 3/16/25 (d)(e) 1,343,564 1,343,981 
McGraw-Hill Global Education Holdings, LLC term loan 3 month U.S. LIBOR + 4.000% 6.4385% 5/4/22 (d)(e) 2,658,015 2,520,542 
NEP/NCP Holdco, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 10/19/25 (d)(e) 568,575 567,330 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.4385% 10/19/26 (d)(e) 478,000 471,131 
Nielsen Finance LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 4.4628% 10/4/23 (d)(e) 1,745,547 1,716,449 
Proquest LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.851% 10/24/21 (d)(e) 1,022,965 1,019,128 
Springer Science+Business Media Deutschland GmbH Tranche B 13LN, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 8/24/22 (d)(e) 4,150,536 4,142,484 
WideOpenWest Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.6796% 8/19/23 (d)(e) 9,663,653 9,403,991 
  56,148,735 
Wireless Telecommunication Services - 0.1%   
Intelsat Jackson Holdings SA:   
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1798% 11/27/23 (d)(e) 18,395,000 18,126,801 
Tranche B-4, term loan 3 month U.S. LIBOR + 4.500% 6.9297% 1/2/24 (d)(e) 2,230,000 2,228,328 
Tranche B-5, term loan 6.625% 1/2/24 3,017,000 3,015,129 
SBA Senior Finance II, LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.44% 4/11/25 (d)(e) 1,995,920 1,964,484 
Sprint Communications, Inc.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 3.000% 5.5% 2/2/24 (d)(e) 1,745,625 1,724,538 
Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 2/3/24 (d)(e) 922,955 901,616 
Syniverse Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4396% 3/9/23 (d)(e) 2,838,166 2,638,302 
  30,599,198 
TOTAL COMMUNICATION SERVICES  136,866,680 
CONSUMER DISCRETIONARY - 1.1%   
Auto Components - 0.0%   
North American Lifting Holdings, Inc.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.101% 11/27/20 (d)(e) 2,840,749 2,668,883 
Tranche 2LN, term loan 3 month U.S. LIBOR + 9.000% 11.601% 11/27/21 (d)(e) 1,015,000 832,300 
  3,501,183 
Automobiles - 0.0%   
UOS LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.9377% 4/18/23 (d)(e) 1,544,434 1,552,156 
Distributors - 0.0%   
Owens & Minor Distribution, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.9859% 4/30/25 (d)(e) 1,896,668 1,593,201 
Diversified Consumer Services - 0.2%   
Alpine Finance Merger Sub LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 7/12/24 (d)(e) 1,566,025 1,549,707 
Bright Horizons Family Solutions Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.1885% 11/7/23 (d)(e) 941,735 938,796 
CSM Bakery Supplies Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.59% 7/3/20 (d)(e) 1,547,725 1,468,404 
Frontdoor, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 8/16/25 (d)(e) 935,300 932,962 
KUEHG Corp.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 8.250% 10.851% 8/22/25 (d)(e) 637,000 633,019 
Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.351% 2/21/25 (d)(e) 4,661,172 4,632,879 
Laureate Education, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 8% 4/26/24 (d)(e) 7,766,333 7,754,684 
Learning Care Group (U.S.) No 2 Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.8191% 3/13/25 (d)(e) 1,406,745 1,385,644 
SMG U.S. Midco 2, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 1/23/25 (d)(e) 879,583 871,060 
Spin Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.851% 11/14/22 (d)(e) 7,560,952 7,407,842 
SSH Group Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.8326% 7/30/25 (d)(e) 1,496,241 1,480,650 
WASH Multifamily Acquisition, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.4385% 5/15/23 (d)(e) 34,131 33,192 
Tranche B 1LN, term loan:   
3 month U.S. LIBOR + 3.250% 5.7331% 5/14/22 (d)(e) 445,495 435,471 
3 month U.S. LIBOR + 3.250% 5.7331% 5/14/22 (d)(e) 2,543,801 2,486,566 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.4385% 5/14/23 (d)(e) 194,870 189,511 
Weight Watchers International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.35% 11/29/24 (d)(e) 4,612,140 4,519,897 
  36,720,284 
Hotels, Restaurants & Leisure - 0.6%   
Affinity Gaming LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.7331% 7/1/23 (d)(e) 1,191,181 1,134,302 
Aimbridge Acquisition Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2359% 2/1/26 (d)(e) 1,135,000 1,137,838 
Alterra Mountain Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 7/31/24 (d)(e) 2,148,509 2,140,452 
AP Gaming I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.9831% 2/15/24 (d)(e) 1,124,620 1,120,965 
Aramark Services, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.1885% 3/11/25 (d)(e) 3,416,809 3,395,454 
Aristocrat Technologies, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.3415% 10/19/24 (d)(e) 2,323,988 2,296,239 
Boyd Gaming Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.6409% 9/15/23 (d)(e) 1,254,505 1,246,664 
Burger King Worldwide, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 2/17/24 (d)(e) 7,668,900 7,565,830 
Caesars Resort Collection LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 12/22/24 (d)(e) 16,158,498 16,029,230 
CCM Merger, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 8/8/21 (d)(e) 682,836 681,340 
CEC Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 2/14/21 (d)(e) 1,894,511 1,881,022 
CityCenter Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 4/18/24 (d)(e) 2,117,323 2,095,006 
Delta 2 SARL Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 2/1/24 (d)(e) 9,115,709 8,892,374 
Eldorado Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.6069% 4/17/24 (d)(e) 2,042,762 2,035,102 
Equinox Holdings, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.4385% 9/8/24 (d)(e) 599,000 600,498 
Tranche B-1, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 3/8/24 (d)(e) 3,656,334 3,640,795 
ESH Hospitality, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 8/30/23 (d)(e) 1,888,052 1,880,179 
Four Seasons Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 11/30/23 (d)(e) 4,040,517 4,018,617 
Gaming VC Holdings SA Tranche B2 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 3/15/24 (d)(e) 1,901,322 1,897,044 
Gateway Casinos & Entertainment Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.601% 3/13/25 (d)(e) 1,846,398 1,843,518 
Golden Entertainment, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.43% 10/20/24 (d)(e) 6,516,788 6,492,350 
Golden Nugget, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.189% 10/4/23 (d)(e) 9,295,228 9,230,719 
Hilton Worldwide Finance LLC Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 4.1798% 10/25/23 (d)(e) 2,928,862 2,919,958 
K-Mac Holdings Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6798% 3/16/25 (d)(e) 355,462 352,085 
KFC Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.1906% 4/3/25 (d)(e) 1,863,960 1,858,424 
Las Vegas Sands LLC Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.1885% 3/27/25 (d)(e) 3,153,075 3,115,648 
LTF Merger Sub, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.3789% 6/10/22 (d)(e) 3,294,114 3,277,644 
Marriott Ownership Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 8/31/25 (d)(e) 2,068,815 2,063,643 
Mohegan Tribal Gaming Authority Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4831% 10/14/23 (d)(e) 865,157 811,084 
PCI Gaming Authority 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 5/15/26 (d)(e) 1,670,000 1,669,065 
Penn National Gaming, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 10/15/25 (d)(e) 1,906,223 1,895,376 
PFC Acquisition Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 6.500% 9.0918% 3/1/26 (d)(e) 2,125,000 2,058,594 
Playa Resorts Holding BV Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.19% 4/27/24 (d)(e) 306,194 299,592 
PlayPower, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 5/7/26 (d)(e)(l)(s) 750,000 750,938 
Red Lobster Hospitality LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 7.6885% 7/28/21 (d)(e) 1,497,734 1,477,140 
Restaurant Technologies, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 10/1/25 (d)(e) 508,725 507,295 
2LN, term loan 3 month U.S. LIBOR + 6.500% 8.9385% 10/1/26 (d)(e)(l) 319,000 317,405 
Ryman Hospitality Properties, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.61% 5/11/24 (d)(e) 733,736 730,294 
Scientific Games Corp. Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.750% 5.2228% 8/14/24 (d)(e) 10,193,308 10,021,346 
SeaWorld Parks & Entertainment, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 3/31/24 (d)(e) 1,260,568 1,255,388 
Seminole Tribe of Florida Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.1885% 7/6/24 (d)(e) 1,569,035 1,566,792 
Stars Group Holdings BV Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.101% 7/10/25 (d)(e) 7,114,408 7,111,064 
Station Casinos LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.94% 6/8/23 (d)(e) 3,767,644 3,737,051 
Tacala Investment Corp. term loan 3 month U.S. LIBOR + 3.250% 5.6885% 2/1/25 (d)(e) 1,084,921 1,075,428 
Travelport Finance Luxembourg SARL:   
1LN, term loan 3 month U.S. LIBOR + 5.000% 3/18/26 (d)(e)(s) 2,500,000 2,386,450 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 9.000% 3/18/27 (d)(e)(l)(s) 1,250,000 1,212,500 
Twin River Management Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.2014% 5/10/26 (d)(e) 305,000 304,390 
Wyndham Hotels & Resorts, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.2331% 5/30/25 (d)(e) 2,503,420 2,489,351 
Wynn America LLC Tranche A 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.19% 12/31/21 (d)(e) 1,618,000 1,593,730 
Wynn Resorts Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.69% 10/30/24 (d)(e) 1,474,305 1,461,773 
  139,574,986 
Internet & Direct Marketing Retail - 0.1%   
Bass Pro Shops LLC. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4385% 9/25/24 (d)(e) 29,348,250 28,513,586 
Harbor Freight Tools U.S.A., Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 8/19/23 (d)(e) 2,431,417 2,356,043 
  30,869,629 
Leisure Products - 0.0%   
Callaway Golf Co. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.9671% 1/4/26 (d)(e) 1,376,550 1,390,316 
SP PF Buyer LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.9523% 12/21/25 (d)(e) 1,625,000 1,543,750 
Varsity Brands Holding Co., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 12/15/24 (d)(e) 3,145,601 3,089,767 
  6,023,833 
Media - 0.1%   
AppLovin Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 8/15/25 (d)(e) 3,121,223 3,119,287 
Crown Finance U.S., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 2/28/25 (d)(e) 5,377,088 5,279,333 
MCC Iowa LLC Tranche M, term loan 3 month U.S. LIBOR + 2.000% 4.4% 1/15/25 (d)(e) 521,055 518,288 
Neptune Finco Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6896% 7/17/25 (d)(e) 4,784,342 4,685,689 
Virgin Media Bristol LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9396% 1/15/26 (d)(e) 3,185,000 3,154,360 
  16,756,957 
Specialty Retail - 0.1%   
ABB Optical Group LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.5659% 6/15/23 (d)(e) 835,814 790,889 
Academy Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.485% 7/2/22 (d)(e) 3,217,140 2,329,756 
ACProducts, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 7.9831% 2/15/24 (d)(e)(l) 1,625,000 1,543,750 
Burlington Coat Factory Warehouse Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.44% 11/17/24 (d)(e) 2,340,664 2,335,538 
David's Bridal, Inc. term loan:   
3 month U.S. LIBOR + 7.500% 9.95% 7/18/23 (d)(e) 44,900 44,956 
3 month U.S. LIBOR + 8.000% 10.45% 1/18/24 (d)(e) 179,599 145,834 
IAA Spinco, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 5/22/26 (d)(e)(s) 1,500,000 1,503,750 
Party City Holdings, Inc. term loan 3 month U.S. LIBOR + 2.500% 4.94% 8/19/22 (d)(e) 1,951,608 1,936,971 
PETCO Animal Supplies, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.8328% 1/26/23 (d)(e) 2,318,707 1,765,533 
PetSmart, Inc. term loan 3 month U.S. LIBOR + 4.250% 6.72% 3/11/22 (d)(e) 1,601,130 1,537,982 
Sports Authority, Inc. Tranche B, term loan 3 month U.S. LIBOR + 6.000% 11/16/17 (d)(e)(f)(l) 1,812,470 1,812 
Staples, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.601% 4/9/26 (d)(e) 3,000,000 2,895,000 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.500% 7.101% 9/12/24 (d)(e) 500,000 487,500 
  17,319,271 
TOTAL CONSUMER DISCRETIONARY  253,911,500 
CONSUMER STAPLES - 0.2%   
Beverages - 0.0%   
Arterra Wines Canada, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.3646% 12/16/23 (d)(e) 1,245,629 1,231,615 
Food & Staples Retailing - 0.1%   
8th Avenue Food & Provisions, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 10.2171% 10/1/26 (d)(e) 172,000 170,280 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2171% 10/1/25 (d)(e) 504,735 503,948 
Agro Merchants Intermediate Ho Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.351% 12/6/24 (d)(e) 1,406,780 1,391,840 
Albertson's LLC:   
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 5.4831% 10/29/25 (d)(e) 1,591,013 1,579,334 
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.6088% 12/21/22 (d)(e) 3,330,066 3,319,244 
BI-LO LLC Tranche B, term loan 3 month U.S. LIBOR + 8.000% 10.5852% 5/31/24 (d)(e) 6,064,889 5,822,293 
BJ's Wholesale Club, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4534% 2/3/24 (d)(e) 6,801,350 6,799,242 
Eg Finco Ltd. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.601% 2/6/25 (d)(e) 1,704,341 1,671,669 
GOBP Holdings, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.250% 9.851% 10/22/26 (d)(e) 319,000 318,601 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.351% 10/22/25 (d)(e) 1,560,090 1,556,580 
JP Intermediate B LLC Tranche B, term loan 3 month U.S. LIBOR + 5.500% 8.0828% 11/20/25 (d)(e) 1,675,050 1,478,232 
Shearer's Foods, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 9.1885% 6/30/22 (d)(e) 1,823,004 1,804,774 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.6885% 6/30/21 (d)(e) 2,044,254 2,036,588 
Smart & Final, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.1289% 11/15/22 (d)(e) 4,014,000 4,003,965 
U.S. Foods, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 6/27/23 (d)(e) 2,168,103 2,146,812 
U.S. Salt LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.750% 7.1885% 1/16/26 (d)(e)(l) 755,000 753,113 
  35,356,515 
Food Products - 0.1%   
Chobani LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 10/7/23 (d)(e) 6,208,271 6,076,345 
Hostess Brands LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7739% 8/3/22 (d)(e) 662,749 656,288 
JBS U.S.A. Lux SA Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 5.0254% 5/1/26 (d)(e) 5,175,000 5,160,976 
Post Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.44% 5/24/24 (d)(e) 2,068,965 2,058,620 
  13,952,229 
Personal Products - 0.0%   
Coty, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.7166% 4/5/25 (d)(e) 1,141,251 1,090,842 
Prestige Brands, Inc. term loan 3 month U.S. LIBOR + 2.000% 4.4385% 1/26/24 (d)(e) 790,458 783,052 
Rodan & Fields LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4396% 6/15/25 (d)(e) 762,148 673,076 
  2,546,970 
TOTAL CONSUMER STAPLES  53,087,329 
ENERGY - 0.3%   
Energy Equipment & Services - 0.0%   
BCP Raptor II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.1885% 11/3/25 (d)(e) 2,230,000 2,157,525 
Brazos Delaware II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4419% 5/21/25 (d)(e) 1,100,108 1,044,420 
FTS International, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.1885% 4/16/21 (d)(e) 239,974 239,134 
  3,441,079 
Oil, Gas & Consumable Fuels - 0.3%   
Arctic LNG Carriers Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.9834% 5/18/23 (d)(e) 3,961,489 3,832,740 
BCP Raptor LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.8789% 6/22/24 (d)(e) 3,277,163 3,173,375 
California Resources Corp.:   
Tranche 1LN, term loan 3 month U.S. LIBOR + 10.375% 12.8031% 12/31/21 (d)(e) 5,326,000 5,362,643 
Tranche B, term loan 3 month U.S. LIBOR + 4.750% 7.1781% 12/31/22 (d)(e) 9,202,000 8,734,262 
Citgo Petroleum Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.5997% 3/27/24 (d)(e) 4,750,000 4,744,063 
Tranche B, term loan 3 month U.S. LIBOR + 4.500% 7.0998% 7/29/21 (d)(e) 4,665,657 4,638,456 
Consolidated Energy Finance SA Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9396% 5/7/25 (d)(e) 3,161,573 3,074,629 
Delek U.S. Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 3/13/25 (d)(e) 1,913,893 1,897,950 
EG America LLC:   
2LN, term loan 3 month U.S. LIBOR + 8.000% 10.601% 3/23/26 (d)(e) 427,910 422,561 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.601% 2/6/25 (d)(e) 294,513 288,868 
Epic Crude Services LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.44% 3/1/26 (d)(e) 3,000,000 2,954,070 
Equitrans Midstream Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.9385% 1/31/24 (d)(e) 1,221,938 1,228,964 
Foresight Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.750% 8.2718% 3/28/22 (d)(e) 1,144,829 996,413 
Gavilan Resources LLC Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 8.4298% 3/1/24 (d)(e) 3,441,000 2,477,520 
GIP III Stetson I LP Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.6906% 7/18/25 (d)(e) 5,751,056 5,743,867 
Houston Fuel Oil Terminal Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.19% 6/26/25 (d)(e) 3,477,730 3,471,227 
Limetree Bay Terminals LLC term loan 3 month U.S. LIBOR + 4.000% 6.4385% 2/15/24 (d)(e) 1,788,904 1,737,097 
Lower Cadence Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.436% 5/10/26 (d)(e) 2,750,000 2,744,858 
Medallion Midland Acquisition Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 10/30/24 (d)(e) 2,044,565 2,010,482 
Moxie Patriot LLC Tranche B, term loan 3 month U.S. LIBOR + 5.750% 8.351% 12/19/20 (d)(e) 3,475,407 3,319,014 
Natgasoline LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.125% 11/14/25 (d)(e) 1,800,488 1,795,986 
  64,649,045 
TOTAL ENERGY  68,090,124 
FINANCIALS - 0.5%   
Capital Markets - 0.1%   
AssuredPartners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 10/22/24 (d)(e) 2,976,438 2,940,155 
Citadel Securities LP Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 2/22/26 (d)(e)(l) 2,500,000 2,500,000 
Cypress Intermediate Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.19% 4/27/24 (d)(e) 1,906,237 1,894,323 
HarbourVest Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.7453% 3/1/25 (d)(e) 3,425,607 3,396,695 
Recess Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 9/29/24 (d)(e) 462,376 456,596 
  11,187,769 
Diversified Financial Services - 0.2%   
Avolon TLB Borrower 1 (U.S.) LLC Tranche B3 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.1906% 1/15/25 (d)(e) 6,152,417 6,131,129 
BCP Renaissance Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.0828% 10/31/24 (d)(e) 2,159,583 2,146,086 
Deerfield Dakota Holding LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.4385% 2/13/25 (d)(e) 495,000 491,288 
Delos Finance SARL Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.351% 10/6/23 (d)(e) 2,623,000 2,615,341 
Extell Boston 5.154% 8/31/21 (d)(l) 692,945 692,806 
Financial & Risk U.S. Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 10/1/25 (d)(e) 8,344,665 8,129,540 
Finco I LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 12/27/22 (d)(e) 1,561,707 1,558,646 
Flying Fortress Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.351% 10/30/22 (d)(e) 2,274,000 2,268,724 
Focus Financial Partners LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 7/3/24 (d)(e) 882,754 881,430 
Franklin Square Holdings LP Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9375% 8/3/25 (d)(e) 951,220 950,031 
Greensky Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.75% 3/29/25 (d)(e) 879,583 874,085 
Kingpin Intermediate Holdings LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.94% 7/3/24 (d)(e) 627,845 626,671 
Lions Gate Capital Holdings Ll Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7331% 3/24/25 (d)(e) 1,129,093 1,120,625 
NAB Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.601% 6/30/24 (d)(e) 1,100,934 1,086,258 
Onvoy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.101% 2/10/24 (d)(e) 1,716,990 1,382,898 
RegionalCare Hospital Partners Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.9296% 11/16/25 (d)(e) 4,738,125 4,723,721 
TransUnion LLC:   
Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 6/19/25 (d)(e) 1,264,629 1,260,114 
Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 4/9/23 (d)(e) 2,859,469 2,850,347 
Veritas-B Junior Mezz C LLC 10.48% 2/6/21 (d)(l) 898,000 927,365 
  40,717,105 
Insurance - 0.2%   
Acrisure LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.8789% 11/22/23 (d)(e) 2,737,953 2,720,840 
Alliant Holdings Intermediate LLC:   
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4296% 5/10/25 (d)(e) 3,415,551 3,324,185 
Tranche B-2 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.7014% 5/10/25 (d)(e) 1,000,000 985,830 
AmWINS Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.195% 1/25/24 (d)(e) 1,882,315 1,864,169 
Asurion LLC:   
Tranche B 6LN, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 11/3/23 (d)(e) 4,642,016 4,622,101 
Tranche B 7LN, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 11/3/24 (d)(e) 3,782,942 3,763,347 
Tranche B, term loan:   
3 month U.S. LIBOR + 3.000% 5.4385% 8/4/22 (d)(e) 8,920,982 8,881,194 
3 month U.S. LIBOR + 6.500% 8.9385% 8/4/25 (d)(e) 8,606,000 8,738,705 
HUB International Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.3363% 4/25/25 (d)(e) 8,727,317 8,492,029 
USI, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.601% 5/16/24 (d)(e) 3,539,632 3,436,983 
  46,829,383 
Real Estate Management & Development - 0.0%   
MGM Growth Properties Operating Partner LP Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 3/23/25 (d)(e) 3,009,979 2,985,538 
Thrifts & Mortgage Finance - 0.0%   
Ocwen Loan Servicing LLC Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4766% 12/5/20 (d)(e) 1,533,925 1,530,090 
TOTAL FINANCIALS  103,249,885 
HEALTH CARE - 0.3%   
Health Care Equipment & Supplies - 0.1%   
American Renal Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 7.9385% 6/22/24 (d)(e) 3,165,133 3,174,027 
Ortho-Clinical Diagnostics, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.695% 6/30/25 (d)(e) 5,536,729 5,345,269 
VVC Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 7.0451% 2/11/26 (d)(e) 8,000,000 7,983,360 
  16,502,656 
Health Care Providers & Services - 0.1%   
Accelerated Health Systems LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.9671% 11/1/25 (d)(e) 997,500 998,747 
CVS Holdings I LP:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.750% 9.24% 2/6/26 (d)(e) 478,000 472,924 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.19% 2/6/25 (d)(e) 772,971 758,153 
HCA Holdings, Inc.:   
Tranche B 10LN, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 3/13/25 (d)(e) 1,892,442 1,891,136 
Tranche B 11LN, term loan 3 month U.S. LIBOR + 1.750% 4.1885% 3/18/23 (d)(e) 4,148,539 4,145,096 
MPH Acquisition Holdings LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.351% 6/7/23 (d)(e) 1,243,606 1,214,854 
Prospect Medical Holdings, Inc. Tranche 1LN, term loan 3 month U.S. LIBOR + 5.500% 8% 2/22/24 (d)(e) 1,343,564 1,262,950 
Surgery Center Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.69% 8/31/24 (d)(e) 2,443,797 2,396,754 
Tivity Health, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 7.6885% 3/8/26 (d)(e) 956,325 952,146 
U.S. Anesthesia Partners, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 6/23/24 (d)(e) 1,438,411 1,433,017 
U.S. Renal Care, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.851% 12/31/22 (d)(e) 4,073,883 4,073,028 
Vizient, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.2171% 5/6/26 (d)(e) 875,000 872,086 
Wink Holdco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 12/1/24 (d)(e) 1,572,289 1,534,460 
  22,005,351 
Health Care Technology - 0.0%   
Press Ganey Holdings, Inc. Tranche 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 10/21/23 (d)(e) 1,519,328 1,507,553 
Life Sciences Tools & Services - 0.0%   
PAREXEL International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 9/27/24 (d)(e) 2,419,149 2,297,175 
Pharmaceuticals - 0.1%   
Catalent Pharma Solutions Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6824% 5/9/26 (d)(e) 1,250,000 1,247,400 
HLF Financing SARL LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 8/18/25 (d)(e) 1,990,000 1,989,682 
Innoviva, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 7.0219% 8/18/22 (d)(e)(l) 88,700 86,926 
Lannett Co., Inc.:   
Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4385% 11/25/20 (d)(e) 133,875 130,863 
Tranche B, term loan 3 month U.S. LIBOR + 5.375% 7.8135% 11/25/22 (d)(e) 7,250,767 6,785,486 
NVA Holdings, Inc.:   
1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 2/2/25 (d)(e) 375,000 373,594 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 2/2/25 (d)(e) 1,324,913 1,280,197 
RPI Finance Trust Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 3/27/23 (d)(e) 3,644,376 3,640,404 
Valeant Pharmaceuticals International, Inc.:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.750% 5.2166% 11/27/25 (d)(e) 1,425,000 1,414,512 
Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4666% 6/1/25 (d)(e) 10,927,171 10,884,664 
  27,833,728 
TOTAL HEALTH CARE  70,146,463 
INDUSTRIALS - 0.4%   
Aerospace & Defense - 0.1%   
TransDigm, Inc.:   
Tranche E, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 5/30/25 (d)(e) 1,876,608 1,838,288 
Tranche F, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 6/9/23 (d)(e) 7,424,428 7,289,898 
Tranche G, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 8/22/24 (d)(e) 2,503,474 2,453,405 
Wesco Aircraft Hardware Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.94% 2/28/21 (d)(e) 1,274,000 1,258,075 
WP CPP Holdings LLC:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.3397% 4/30/25 (d)(e) 1,585,035 1,583,719 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.750% 10.34% 4/30/26 (d)(e) 319,000 315,277 
  14,738,662 
Air Freight & Logistics - 0.0%   
Dynasty Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.6024% 4/4/26 (d)(e) 2,237,203 2,240,693 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 4.000% 6.6024% 4/4/26 (d)(e) 1,202,797 1,204,674 
Hanjin International Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9296% 10/18/20 (d)(e) 678,000 669,525 
Transplace Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.1796% 10/5/24 (d)(e) 1,180,001 1,176,320 
XPO Logistics, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 2/23/25 (d)(e) 940,000 931,286 
  6,222,498 
Building Products - 0.0%   
GYP Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 6/1/25 (d)(e) 2,382,242 2,336,574 
HD Supply, Inc. Tranche B 5LN, term loan 3 month U.S. LIBOR + 1.750% 4.1885% 10/17/23 (d)(e) 633,815 632,547 
The Hillman Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4385% 5/31/25 (d)(e) 1,611,382 1,568,681 
  4,537,802 
Commercial Services & Supplies - 0.1%   
Brand Energy & Infrastructure Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.8233% 6/21/24 (d)(e) 7,560,869 7,326,936 
Filtration Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 3/29/25 (d)(e) 2,705,719 2,696,141 
Harland Clarke Holdings Corp. Tranche B 7LN, term loan 3 month U.S. LIBOR + 4.750% 7.351% 11/3/23 (d)(e) 2,874,706 2,392,474 
KAR Auction Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.125% 3/9/23 (d)(e) 701,660 699,323 
Lineage Logistics Holdings, LLC. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 2/27/25 (d)(e) 10,533,213 10,421,351 
Merrill Communications LLC Tranche B, term loan 3 month U.S. LIBOR + 5.250% 7.8328% 6/1/22 (d)(e) 465,766 468,095 
SuperMoose Borrower LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 8/29/25 (d)(e) 1,525,178 1,506,753 
The Brickman Group, Ltd. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5% 8/15/25 (d)(e) 2,262,117 2,255,511 
Thomson Reuters IP&S Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.6794% 10/3/23 (d)(e) 1,333,082 1,331,136 
TMK Hawk Parent Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.94% 9/26/24 (d)(e) 815,997 681,358 
Tunnel Hill Partners LP Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 2/8/26 (d)(e) 554,000 550,538 
WTG Holdings III Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 12/20/24 (d)(e) 2,136,347 2,125,666 
  32,455,282 
Construction & Engineering - 0.1%   
AECOM Tranche B, term loan 3 month U.S. LIBOR + 1.750% 4.2331% 3/13/25 (d)(e) 1,178,302 1,172,045 
Hamilton Holdco LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.61% 7/2/25 (d)(e) 1,422,210 1,411,544 
JMC Steel Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.68% 6/14/21 (d)(e) 1,771,156 1,761,202 
Pike Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.94% 3/23/25 (d)(e) 830,031 831,326 
Pisces Midco, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.3535% 4/12/25 (d)(e) 592,729 583,589 
Traverse Midstream Partners Ll Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.59% 9/27/24 (d)(e) 1,708,415 1,686,206 
Ventia Deco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.101% 5/21/22 (d)(e) 2,001,438 2,000,197 
  9,446,109 
Electrical Equipment - 0.0%   
Vertiv Group Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4385% 11/30/23 (d)(e) 3,735,499 3,511,369 
Machinery - 0.0%   
Altra Industrial Motion Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.4831% 10/1/25 (d)(e) 1,655,157 1,637,579 
Apergy Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 5.029% 5/9/25 (d)(e) 638,405 636,011 
CPM Holdings, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.6885% 11/15/26 (d)(e) 280,000 274,400 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 11/15/25 (d)(e) 927,675 916,079 
Sundyne U.S. Purchaser, Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4385% 4/23/26 (d)(e) 1,000,000 997,500 
The Gates Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 3/31/24 (d)(e) 1,991,421 1,975,489 
  6,437,058 
Marine - 0.0%   
International Seaways Operating Corp. Tranche B, term loan 3 month U.S. LIBOR + 5.500% 8.44% 6/22/22 (d)(e) 2,919,398 2,919,398 
Navios Maritime Partners LP Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.6% 9/14/20 (d)(e) 1,414,026 1,404,312 
  4,323,710 
Professional Services - 0.0%   
AlixPartners LLP Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.2331% 4/4/24 (d)(e) 2,106,627 2,088,952 
Cast & Crew Payroll LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.44% 2/7/26 (d)(e) 1,200,000 1,205,700 
  3,294,652 
Road & Rail - 0.1%   
Hertz Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.19% 6/30/23 (d)(e) 2,092,850 2,068,427 
IBC Capital Ltd.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.6146% 9/11/24 (d)(e) 280,000 259,000 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.3646% 9/11/23 (d)(e) 1,892,442 1,864,056 
Uber Technologies, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 5.9296% 7/13/23 (d)(e) 3,752,387 3,736,739 
3 month U.S. LIBOR + 4.000% 6.4534% 4/4/25 (d)(e) 2,845,415 2,837,704 
  10,765,926 
Trading Companies & Distributors - 0.0%   
Avantor, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 11/21/24 (d)(e) 1,018,754 1,018,327 
Fly Funding II SARL Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.56% 2/9/23 (d)(e) 2,100,634 2,083,997 
  3,102,324 
TOTAL INDUSTRIALS  98,835,392 
INFORMATION TECHNOLOGY - 0.9%   
Communications Equipment - 0.1%   
Anastasia Parent LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 8/10/25 (d)(e) 2,424,815 2,100,496 
CommScope, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 4/4/26 (d)(e) 6,035,000 6,004,825 
Radiate Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 2/1/24 (d)(e) 8,089,995 7,963,629 
Sabre Industries, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.500% 6.9396% 4/15/26 (d)(e) 1,750,000 1,748,915 
  17,817,865 
Electronic Equipment & Components - 0.1%   
ATS Consolidated, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2331% 2/28/25 (d)(e) 3,808,337 3,805,976 
DG Investment Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4831% 2/1/25 (d)(e) 729,023 709,886 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 6.750% 9.1885% 2/1/26 (d)(e)(l) 277,000 265,920 
Electro Rent Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.000% 7.5412% 1/31/24 (d)(e) 489,816 491,041 
EPV Merger Sub, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.6885% 3/8/26 (d)(e) 226,000 219,785 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 3/8/25 (d)(e) 778,006 743,485 
EXC Holdings III Corp. Tranche B, term loan:   
3 month U.S. LIBOR + 3.500% 6.101% 12/2/24 (d)(e) 1,235,783 1,232,694 
3 month U.S. LIBOR + 7.500% 10.0955% 12/1/25 (d)(e) 478,000 476,805 
Go Daddy Operating Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 2/15/24 (d)(e) 4,948,628 4,936,900 
II-VI, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6/28/26 (d)(e)(s) 1,000,000 991,880 
Infor U.S., Inc. Tranche B 6LN, term loan 3 month U.S. LIBOR + 2.750% 5.2331% 2/1/22 (d)(e) 1,375,040 1,369,141 
LMBE-MC HoldCo II LLC Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.61% 12/3/25 (d)(e) 978,578 977,355 
TTM Technologies, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9859% 9/28/24 (d)(e) 4,168,034 4,084,673 
  20,305,541 
Internet Software & Services - 0.0%   
Ancestry.Com Operations, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.69% 10/19/23 (d)(e) 3,097,574 3,090,605 
McAfee LLC Tranche B, term loan:   
3 month U.S. LIBOR + 3.750% 6.1781% 9/29/24 (d)(e) 4,610,607 4,602,908 
3 month U.S. LIBOR + 8.500% 10.9281% 9/29/25 (d)(e) 1,747,833 1,768,598 
Severin Acquisition LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.8151% 8/1/25 (d)(e) 1,458,345 1,436,470 
  10,898,581 
IT Services - 0.2%   
Datto, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.6885% 4/2/26 (d)(e) 1,250,000 1,257,813 
EIG Investors Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.2701% 2/9/23 (d)(e) 1,804,237 1,796,569 
First Data Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.437% 7/10/22 (d)(e) 10,553,425 10,534,640 
Global Payments, Inc. Tranche B 3LN, term loan 3 month U.S. LIBOR + 1.750% 4.1885% 4/22/23 (d)(e) 776,977 776,200 
GTT Communications, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.19% 5/31/25 (d)(e) 4,370,712 4,030,627 
Sedgwick Claims Management Services, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 12/31/25 (d)(e) 997,500 982,119 
Tempo Acquisition LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4385% 5/1/24 (d)(e) 3,360,772 3,342,556 
Vantiv LLC Tranche B 4LN, term loan 3 month U.S. LIBOR + 1.750% 4.1746% 8/9/24 (d)(e) 2,365,304 2,363,152 
Verscend Holding Corp. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.9831% 8/27/25 (d)(e) 3,409,865 3,406,455 
VFH Parent LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6.1261% 3/1/26 (d)(e) 3,832,833 3,834,022 
Web.com Group, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.750% 10.2034% 10/11/26 (d)(e) 699,610 685,618 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2034% 10/11/25 (d)(e) 2,232,219 2,204,874 
WEX, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.7331% 5/17/26 (d)(e) 2,008,776 1,992,867 
Xerox Business Services LLC Tranche B, term loan 3 month U.S. LIBOR + 2.500% 4.9385% 12/7/23 (d)(e) 1,167,712 1,144,358 
  38,351,870 
Multi Inds Software & Services - 0.0%   
Brave Parent Holdings, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.5826% 4/19/25 (d)(e) 633,807 633,807 
Semiconductors & Semiconductor Equipment - 0.0%   
Cabot Microelectronics Corp. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.75% 11/15/25 (d)(e) 1,766,544 1,762,128 
Microchip Technology, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.44% 5/29/25 (d)(e) 1,831,262 1,823,937 
  3,586,065 
Software - 0.5%   
Almonde, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.851% 6/13/25 (d)(e) 4,012,000 3,999,483 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 6.101% 6/13/24 (d)(e) 7,610,508 7,445,360 
Aptean, Inc. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.7374% 4/23/26 (d)(e) 1,000,000 1,000,420 
Boxer Parent Co., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.851% 10/2/25 (d)(e) 3,469,125 3,404,079 
Bracket Intermediate Holding Corp. 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.8151% 9/5/25 (d)(e) 1,267,630 1,261,292 
Ceridian HCM Holding, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.4859% 4/30/25 (d)(e) 2,218,850 2,215,145 
Compuware Corp. 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 8/23/25 (d)(e) 956,603 958,994 
Cvent, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 11/29/24 (d)(e) 1,576,538 1,557,493 
Digicert Holdings, Inc. Tranche B, term loan:   
3 month U.S. LIBOR + 4.000% 6.4385% 10/31/24 (d)(e) 5,769,918 5,749,492 
3 month U.S. LIBOR + 8.000% 10.4385% 10/31/25 (d)(e) 1,347,800 1,334,322 
Dynatrace LLC:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.4385% 8/23/26 (d)(e) 139,500 140,895 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 8/23/25 (d)(e) 1,694,008 1,690,619 
EagleView Technology Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9296% 8/14/25 (d)(e) 1,226,925 1,177,848 
Epicor Software Corp. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.69% 6/1/22 (d)(e) 3,055,556 3,040,278 
Evo Payments International LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.68% 12/22/23 (d)(e) 1,934,798 1,929,961 
Flexera Software LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.94% 2/26/25 (d)(e) 750,000 748,875 
Hyland Software, Inc.:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.4385% 7/7/25 (d)(e) 121,000 121,303 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.6885% 7/1/24 (d)(e) 997,943 996,695 
Ion Trading Finance Ltd. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.6508% 11/21/24 (d)(e) 2,818,062 2,743,073 
Kronos, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 8.250% 10.829% 11/1/24 (d)(e) 4,746,000 4,882,448 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.579% 11/1/23 (d)(e) 8,299,630 8,271,993 
Landesk Group, Inc. term loan:   
3 month U.S. LIBOR + 4.250% 6.72% 1/20/24 (d)(e) 3,272,269 3,248,414 
3 month U.S. LIBOR + 9.000% 11.47% 1/20/25 (d)(e) 637,000 625,324 
MA FinanceCo. LLC:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 11/20/21 (d)(e) 285,335 281,768 
Tranche B 3LN, term loan:   
3 month U.S. LIBOR + 2.500% 4.9385% 6/21/24 (d)(e) 9,876,639 9,728,490 
3 month U.S. LIBOR + 2.500% 4.9385% 6/21/24 (d)(e) 1,470,446 1,448,389 
MH Sub I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.1798% 9/15/24 (d)(e) 1,254,631 1,243,653 
NAVEX TopCo, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 7.000% 9.44% 9/4/26 (d)(e) 175,000 172,813 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.74% 9/4/25 (d)(e) 719,385 706,494 
Project Alpha Intermediate Holding, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.78% 4/26/24 (d)(e) 1,000,000 998,750 
Project Boost Purchaser LLC 1LN, term loan 3 month U.S. LIBOR + 3.500% 5/22/26 (d)(e)(s) 625,000 622,656 
Renaissance Holding Corp.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.7311% 5/31/25 (d)(e) 1,561,552 1,527,073 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.000% 9.4811% 5/31/26 (d)(e) 899,000 858,545 
Solera LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 3/3/23 (d)(e) 3,076,652 3,052,808 
Sophia L.P. term loan 3 month U.S. LIBOR + 3.250% 5.851% 9/30/22 (d)(e) 4,605,393 4,576,609 
SS&C Technologies, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 7/8/22 (d)(e) 728,289 726,351 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 4/16/25 (d)(e) 4,381,664 4,351,256 
Tranche B 4LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 4/16/25 (d)(e) 3,073,650 3,052,319 
Tranche B 5LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 4/16/25 (d)(e) 5,786,070 5,747,477 
Sybil Software LLC. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.851% 9/30/23 (d)(e) 878,545 875,523 
TIBCO Software, Inc. Tranche B, term loan 3 month U.S. LIBOR + 3.500% 5.94% 12/4/20 (d)(e) 1,449,074 1,446,060 
Ultimate Software Group, Inc. 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.2744% 4/8/26 (d)(e) 3,650,000 3,650,000 
Veritas U.S., Inc. Tranche B, term loan 3 month U.S. LIBOR + 4.500% 6.9741% 1/27/23 (d)(e) 987,481 897,729 
Vertafore, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 7/2/25 (d)(e) 5,380,648 5,176,183 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.6885% 7/2/26 (d)(e) 1,433,000 1,399,984 
  111,084,736 
Technology Hardware, Storage & Peripherals - 0.0%   
Dell International LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.44% 9/7/23 (d)(e) 1,009,453 1,003,618 
TOTAL INFORMATION TECHNOLOGY  203,682,083 
MATERIALS - 0.3%   
Chemicals - 0.1%   
American Rock Salt Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 3.750% 6.2331% 3/21/25 (d)(e) 1,914,366 1,906,383 
ASP Chromaflo Dutch I BV Tranche B-2 1LN, term loan:   
3 month U.S. LIBOR + 3.500% 5.9385% 11/18/23 (d)(e) 640,659 629,448 
3 month U.S. LIBOR + 4.250% 6.7331% 11/18/23 (d)(e) 211,979 210,654 
ASP Chromaflo Intermediate Holdings, Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 11/18/23 (d)(e) 492,694 484,072 
Tranche B3/B4 1LN, term loan 3 month U.S. LIBOR + 4.250% 6.6885% 11/18/23 (d)(e)(l) 163,021 162,002 
Hexion International Holdings 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.35% 10/12/20 (d)(e) 800,000 797,664 
Invictus U.S. Newco LLC Tranche 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.5218% 3/28/25 (d)(e) 860,828 832,851 
MacDermid, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 1/31/26 (d)(e) 1,276,800 1,270,416 
Messer Industries U.S.A., Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 5.101% 3/1/26 (d)(e) 3,185,000 3,121,300 
OCI Partners LP Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.601% 3/13/25 (d)(e) 2,224,900 2,219,338 
Oxea Corp. Tranche B2, term loan 3 month U.S. LIBOR + 3.500% 6.125% 10/11/24 (d)(e) 2,396,107 2,390,116 
Starfruit U.S. Holdco LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.7171% 10/1/25 (d)(e) 6,982,000 6,919,441 
The Chemours Co. LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.19% 4/3/25 (d)(e) 2,110,333 2,052,299 
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. term loan 3 month U.S. LIBOR + 2.000% 4.4385% 9/6/24 (d)(e) 1,254,631 1,238,948 
Tronox Finance LLC Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.2331% 9/22/24 (d)(e) 3,142,417 3,099,994 
Univar, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 7/1/24 (d)(e) 561,577 558,690 
W. R. Grace & Co.-Conn.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 1.750% 4.351% 4/3/25 (d)(e) 471,839 469,678 
Tranche B 2LN, term loan 3 month U.S. LIBOR + 1.750% 4.351% 4/3/25 (d)(e) 808,726 805,022 
  29,168,316 
Containers & Packaging - 0.2%   
Berlin Packaging, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.4835% 11/7/25 (d)(e) 5,268,762 5,112,333 
Berry Global Group, Inc. Tranche U, term loan 3 month U.S. LIBOR + 2.500% 5/17/26 (d)(e)(s) 4,500,000 4,474,710 
Berry Global, Inc.:   
Tranche Q, term loan 3 month U.S. LIBOR + 2.000% 4.4514% 10/1/22 (d)(e) 5,090,205 5,048,058 
Tranche T, term loan 3 month U.S. LIBOR + 1.750% 4.2014% 1/6/21 (d)(e) 2,263,000 2,252,771 
BWAY Holding Co. Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.8535% 4/3/24 (d)(e) 626,313 609,264 
Charter Nex U.S., Inc.:   
1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9385% 5/16/24 (d)(e) 770,000 767,305 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.4385% 5/16/24 (d)(e) 772,631 756,405 
Consolidated Container Co. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 5/22/24 (d)(e) 1,436,868 1,422,499 
Crown Americas LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.4534% 4/3/25 (d)(e) 805,333 807,781 
Flex Acquisition Co., Inc.:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.000% 5.6261% 12/29/23 (d)(e) 4,056,507 3,888,162 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.250% 5.8761% 6/29/25 (d)(e) 3,920,440 3,762,642 
Reynolds Group Holdings, Inc. Tranche B, term loan 3 month U.S. LIBOR + 2.750% 5.1885% 2/5/23 (d)(e) 10,652,283 10,552,471 
  39,454,401 
Metals & Mining - 0.0%   
Gulf Finance LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.250% 7.7849% 8/25/23 (d)(e) 2,929,168 2,411,672 
Murray Energy Corp. Tranche B 2LN, term loan 3 month U.S. LIBOR + 7.250% 9.7717% 10/17/22 (d)(e) 3,741,376 2,880,860 
Tank Holding Corp. Tranche B 1LN, term loan 3 month U.S. LIBOR + 4.000% 6.6819% 3/26/26 (d)(e) 920,000 921,610 
  6,214,142 
TOTAL MATERIALS  74,836,859 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Invitation Homes Operating Par Tranche B, term loan 3 month U.S. LIBOR + 1.700% 4.137% 2/6/22 (d)(e)(l) 1,367,000 1,332,825 
iStar Financial, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.750% 5.2044% 6/28/23 (d)(e) 1,123,590 1,117,972 
The GEO Group, Inc. Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.43% 3/23/24 (d)(e) 616,951 592,273 
Uniti Group, Inc. Tranche B, term loan 3 month U.S. LIBOR + 5.000% 7.4385% 10/24/22 (d)(e) 1,623,367 1,579,017 
  4,622,087 
Real Estate Management & Development - 0.1%   
Capital Automotive LP:   
Tranche 2LN, term loan 3 month U.S. LIBOR + 6.000% 8.44% 3/24/25 (d)(e) 939,161 939,161 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.500% 4.94% 3/24/24 (d)(e) 1,276,430 1,261,381 
DTZ U.S. Borrower LLC Tranche B, term loan 3 month U.S. LIBOR + 3.250% 5.6885% 8/21/25 (d)(e) 4,973,010 4,955,903 
Forest City Enterprises LP Tranche B, term loan 3 month U.S. LIBOR + 4.000% 6.4831% 12/7/25 (d)(e) 1,177,050 1,179,498 
Realogy Group LLC Tranche B, term loan 3 month U.S. LIBOR + 2.250% 4.6906% 2/8/25 (d)(e) 1,995,711 1,899,259 
VICI Properties, LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 2.000% 4.436% 12/22/24 (d)(e) 6,732,909 6,674,939 
  16,910,141 
TOTAL REAL ESTATE  21,532,228 
UTILITIES - 0.1%   
Electric Utilities - 0.1%   
Brookfield WEC Holdings, Inc.:   
2LN, term loan 3 month U.S. LIBOR + 6.750% 9.2331% 8/1/26 (d)(e) 2,576,000 2,592,100 
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.500% 5.9376% 8/1/25 (d)(e) 5,084,258 5,069,717 
ExGen Renewables IV, LLC Tranche B, term loan 3 month U.S. LIBOR + 3.000% 5.53% 11/28/24 (d)(e) 1,789,924 1,697,636 
Green Energy Partners/Stonewall LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 5.500% 8.101% 11/13/21 (d)(e) 1,908,890 1,851,623 
Invenergy Thermal Operating I LLC Tranche B, term loan 3 month U.S. LIBOR + 3.500% 6.101% 8/28/25 (d)(e) 1,563,037 1,572,150 
Lightstone Holdco LLC:   
Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 1/30/24 (d)(e) 2,910,188 2,875,644 
Tranche C 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 1/30/24 (d)(e) 164,139 162,191 
Tex Operations Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 8/4/23 (d)(e) 5,206,077 5,187,751 
Vistra Operations Co. LLC:   
Tranche B 2LN, term loan 3 month U.S. LIBOR + 2.250% 4.6885% 12/14/23 (d)(e) 933,973 932,693 
Tranche B 3LN, term loan 3 month U.S. LIBOR + 2.000% 4.434% 12/31/25 (d)(e) 4,851,400 4,832,625 
  26,774,130 
Independent Power and Renewable Electricity Producers - 0.0%   
Oregon Clean Energy LLC Tranche B 1LN, term loan 3 month U.S. LIBOR + 3.750% 6.1885% 3/1/26 (d)(e) 875,000 875,000 
Terra-Gen Finance Co. LLC Tranche B, term loan 3 month U.S. LIBOR + 4.250% 6.69% 12/9/21 (d)(e) 1,559,829 1,403,846 
TerraForm Power Operating LLC Tranche B, term loan 3 month U.S. LIBOR + 2.000% 4.4385% 11/8/22 (d)(e) 509,346 504,573 
  2,783,419 
TOTAL UTILITIES  29,557,549 
TOTAL BANK LOAN OBLIGATIONS   
(Cost $1,127,013,018)  1,113,796,092 
Bank Notes - 0.3%   
Capital One NA 2.95% 7/23/21 11,994,000 12,078,216 
Discover Bank:   
(Delaware) 3.2% 8/9/21 $16,424,000 $16,588,133 
3.1% 6/4/20 14,388,000 14,432,464 
4.682% 8/9/28 (d) 8,844,000 9,010,267 
8.7% 11/18/19 1,884,000 1,932,987 
KeyBank NA 6.95% 2/1/28 1,259,000 1,559,079 
Synchrony Bank 3.65% 5/24/21 14,890,000 15,087,403 
TOTAL BANK NOTES   
(Cost $69,664,082)  70,688,549 
Preferred Securities - 0.7%   
COMMUNICATION SERVICES - 0.0%   
Diversified Telecommunication Services - 0.0%   
Colombia Telecomunicaciones SA 8.5% (b)(d)(t) $930,000 $961,155 
CONSUMER DISCRETIONARY - 0.1%   
Automobiles - 0.1%   
Volkswagen International Finance NV:   
2.5%(Reg. S) (d)(t) EUR7,214,000 7,948,307 
2.7%(Reg. S) (d)(t) EUR1,900,000 2,094,885 
3.75% (d)(t) EUR4,600,000 5,301,176 
  15,344,368 
CONSUMER STAPLES - 0.0%   
Food Products - 0.0%   
Cosan Overseas Ltd. 8.25% (t) 4,538,000 4,651,450 
Danone SA 1.75% (Reg. S) (d)(t) EUR2,300,000 2,525,764 
  7,177,214 
ENERGY - 0.0%   
Oil, Gas & Consumable Fuels - 0.0%   
Andeavor Logistics LP 6.875% (d)(t) 4,950,000 4,974,008 
FINANCIALS - 0.5%   
Banks - 0.4%   
Alfa Bond Issuance PLC 8% (Reg. S) (d)(t) 2,756,000 2,777,345 
Allied Irish Banks PLC 7.375% (Reg. S) (d)(t) EUR2,037,000 2,434,610 
Banco Bilbao Vizcaya Argentaria SA:   
5.875% (Reg. S) (d)(t) EUR3,400,000 3,720,141 
6.75% (Reg. S) (d)(t) EUR4,200,000 4,780,006 
Banco Do Brasil SA 9% (b)(d)(t) 3,690,000 3,931,695 
Banco Mercantil del Norte SA 7.625% (b)(d)(t) 903,000 926,930 
Bank of America Corp.:   
5.875% (d)(t) 2,335,000 2,409,020 
6.1% (d)(t) 5,186,000 5,556,021 
6.25% (d)(t) 3,392,000 3,626,048 
6.5% (d)(t) 1,911,000 2,078,213 
Bank of Nova Scotia 4.65% (d)(t) 4,078,000 3,792,540 
Barclays Bank PLC 7.625% 11/21/22 16,303,000 17,688,266 
Barclays PLC 7.875% (Reg. S) (d)(t) 8,292,000 8,540,760 
CYBG PLC 9.25% (Reg. S) (d)(t) GBP1,400,000 1,807,215 
Danske Bank A/S 5.875% (Reg. S) (d)(t) EUR1,050,000 1,197,934 
Georgia Bank Joint Stock Co. 11.125% (Reg. S) (d)(t) 300,000 306,750 
HSBC Holdings PLC 5.25% (d)(t) EUR4,947,000 5,834,259 
Itau Unibanco Holding SA 6.125% (b)(d)(t) 1,175,000 1,157,963 
Royal Bank of Scotland Group PLC:   
7.5% (d)(t) 7,287,000 7,421,350 
8.625% (d)(t) 2,335,000 2,463,425 
Stichting AK Rabobank Certificaten 6.5% (Reg. S) (t) EUR2,396,800 3,137,166 
Tinkoff Credit Systems 9.25% (Reg. S) (d)(t) 2,892,000 2,972,296 
Wells Fargo & Co. 5.9% (d)(t) 8,500,000 8,744,375 
  97,304,328 
Capital Markets - 0.0%   
Deutsche Bank AG 6% (Reg. S) (d)(t) EUR2,000,000 1,902,216 
Insurance - 0.1%   
Assicurazioni Generali SpA 6.416% (d)(t) GBP2,650,000 3,372,053 
Aviva PLC:   
5.9021% (d)(t) GBP1,750,000 2,248,390 
6.125% (d)(t) GBP8,080,000 10,776,973 
Credit Agricole Assurances SA 4.25% (Reg. S) (d)(t) EUR2,700,000 3,140,619 
QBE Insurance Group Ltd. 5.25% (Reg. S) (d)(t) 3,897,000 3,737,223 
  23,275,258 
TOTAL FINANCIALS  122,481,802 
INDUSTRIALS - 0.0%   
Construction & Engineering - 0.0%   
Odebrecht Finance Ltd.:   
7.5% (b)(f)(t) 4,237,000 656,735 
7.5% (Reg. S) (f)(t) 100,000 15,500 
  672,235 
REAL ESTATE - 0.1%   
Equity Real Estate Investment Trusts (REITs) - 0.0%   
Samhallsbyggnadsbolaget I Norden AB 4.625% (Reg. S) (d)(t) EUR2,830,000 3,125,967 
Real Estate Management & Development - 0.1%   
CPI Property Group SA 4.375% (Reg. S) (d)(t) EUR3,550,000 3,717,904 
Deutsche Annington Finance BV 4% (Reg. S) (d)(t) EUR1,400,000 1,657,643 
Grand City Properties SA 3.75% (d)(t) EUR7,700,000 8,903,127 
  14,278,674 
TOTAL REAL ESTATE  17,404,641 
UTILITIES - 0.0%   
Water Utilities - 0.0%   
Pennon Group PLC 2.875% (Reg. S) (d)(t) GBP1,226,000 1,550,138 
TOTAL PREFERRED SECURITIES   
(Cost $173,464,113)  170,565,561 
 Shares Value 
Money Market Funds - 3.0%   
Fidelity Cash Central Fund 2.41% (u)   
(Cost $696,948,457) 696,865,039 697,004,412 
 Maturity Amount Value 
Repurchase Agreements - 2.5%   
Investments in repurchase agreements in a joint trading account at 2.5%, dated 5/31/19 due 6/3/19 (Collateralized by U.S. Government Obligations) # (v)   
(Cost $567,516,000) 567,634,233 567,516,000 

Purchased Swaptions - 0.1%    
 Expiration Date Notional Amount Value 
Put Options - 0.0%    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.605% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 28,900,000 $532,693 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.61% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 48,600,000 889,732 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.643% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/22/22 38,200,000 668,075 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.651% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 35,200,000 604,588 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.5675% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/4/22 12,000,000 225,300 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.63% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/25/22 44,700,000 796,664 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.645% and receive quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 31,000,000 536,148 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to pay semi-annually a fixed rate of 2.805% and receive quarterly a floating rate based on 3-month LIBOR, expiring February 2029 1/28/22 27,800,000 368,195 
Option with an exercise rate of 3.00% on a credit default swap with Goldman Sachs Bank U.S.A to buy protection on the 5-Year iTraxx Europe Crossover Series 31 Index expiring June 2024, paying 5% quarterly. 7/17/19 EUR 91,500,000 1,403,869 
TOTAL PUT OPTIONS   6,025,264 
Call Options - 0.1%    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.605% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 28,900,000 1,325,239 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.61% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 4/29/22 48,600,000 2,237,640 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.643% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/22/22 38,200,000 1,811,680 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.651% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 35,200,000 1,679,550 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.5675% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/4/22 12,000,000 532,254 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.63% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/25/22 44,700,000 2,097,919 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.645% and pay quarterly a floating rate based on 3-month LIBOR, expiring April 2029 4/14/22 31,000,000 1,471,270 
Option on an interest rate swap with Goldman Sachs Bank U.S.A. to receive semi-annually a fixed rate of 2.805% and pay quarterly a floating rate based on 3-month LIBOR, expiring February 2029 1/28/22 27,800,000 1,522,619 
TOTAL CALL OPTIONS   12,678,171 
TOTAL PURCHASED SWAPTIONS    
(Cost $15,810,943)   18,703,435 
TOTAL INVESTMENT IN SECURITIES - 114.9%    
(Cost $26,159,903,202)   26,562,050,237 
NET OTHER ASSETS (LIABILITIES) - (14.9)%   (3,452,692,039) 
NET ASSETS - 100%   $23,109,358,198 

TBA Sale Commitments   
 Principal Amount Value 
Fannie Mae   
3% 6/1/34 $(40,450,000) $(41,042,216) 
3% 6/1/34 (23,200,000) (23,539,664) 
3% 6/1/34 (17,600,000) (17,857,676) 
3% 6/1/34 (3,200,000) (3,246,850) 
3% 6/1/34 (7,000,000) (7,102,485) 
3% 6/1/34 (12,000,000) (12,175,688) 
3% 6/1/34 (3,000,000) (3,043,922) 
3% 6/1/34 (15,500,000) (15,726,931) 
3% 6/1/34 (8,650,000) (8,776,642) 
3% 6/1/34 (24,200,000) (24,554,305) 
3% 6/1/34 (40,000,000) (40,585,628) 
3% 6/1/34 (27,000,000) (27,395,299) 
3% 6/1/49 (140,800,000) (141,364,003) 
3% 6/1/49 (4,100,000) (4,116,423) 
3% 6/1/49 (10,600,000) (10,642,460) 
3% 6/1/49 (4,900,000) (4,919,628) 
3% 6/1/49 (3,200,000) (3,212,818) 
3% 6/1/49 (3,800,000) (3,815,222) 
3% 6/1/49 (22,300,000) (22,389,327) 
3% 6/1/49 (22,700,000) (22,790,929) 
3% 6/1/49 (52,400,000) (52,609,899) 
3% 6/1/49 (51,650,000) (51,856,894) 
3% 6/1/49 (10,600,000) (10,642,460) 
3% 6/1/49 (7,800,000) (7,831,244) 
3% 6/1/49 (6,250,000) (6,275,036) 
3% 6/1/49 (38,300,000) (38,453,418) 
3% 6/1/49 (26,400,000) (26,505,750) 
3% 6/1/49 (32,200,000) (32,328,984) 
3% 6/1/49 (76,500,000) (76,806,436) 
3% 7/1/49 (22,300,000) (22,377,131) 
3% 7/1/49 (22,300,000) (22,377,131) 
3.5% 6/1/49 (21,900,000) (22,335,057) 
3.5% 6/1/49 (2,800,000) (2,855,624) 
3.5% 6/1/49 (2,800,000) (2,855,624) 
3.5% 6/1/49 (33,400,000) (34,063,511) 
3.5% 6/1/49 (15,900,000) (16,215,863) 
3.5% 6/1/49 (5,700,000) (5,813,234) 
3.5% 6/1/49 (12,700,000) (12,952,293) 
3.5% 6/1/49 (14,500,000) (14,788,051) 
3.5% 6/1/49 (36,200,000) (36,919,135) 
3.5% 6/1/49 (76,850,000) (78,376,671) 
3.5% 6/1/49 (19,275,000) (19,657,909) 
3.5% 6/1/49 (17,350,000) (17,694,668) 
3.5% 6/1/49 (19,275,000) (19,657,909) 
4% 6/1/49 (46,700,000) (48,202,965) 
4% 6/1/49 (46,700,000) (48,202,965) 
4% 6/1/49 (39,000,000) (40,255,153) 
4.5% 6/1/49 (2,500,000) (2,611,833) 
4.5% 6/1/49 (3,500,000) (3,656,566) 
4.5% 6/1/49 (6,600,000) (6,895,239) 
4.5% 6/1/49 (16,800,000) (17,551,518) 
4.5% 6/1/49 (11,500,000) (12,014,432) 
TOTAL FANNIE MAE  (1,249,938,719) 
Ginnie Mae   
3% 6/1/49 (30,000,000) (30,450,810) 
3% 6/1/49 (8,900,000) (9,033,740) 
3.5% 6/1/49 (138,400,000) (142,262,028) 
4% 6/1/49 (6,700,000) (6,930,392) 
TOTAL GINNIE MAE  (188,676,970) 
TOTAL TBA SALE COMMITMENTS   
(Proceeds $1,427,536,227)  $(1,438,615,689) 

Written Swaptions    
 Expiration Date Notional Amount Value 
Put Swaptions    
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 1.975% and receive quarterly a floating rate based on 3-month LIBOR, expiring September 2026 8/30/19 24,000,000 $(229,200) 
Option on an interest rate swap with Bank of America N.A. to pay semi-annually a fixed rate of 2.45% and receive quarterly a floating rate based on 3-month LIBOR, expiring May 2029 5/13/22 11,000,000 (245,217) 
Option on an interest rate swap with Citibank, N.A. to pay semi-annually a fixed rate of 2.265% and receive quarterly a floating rate based on 3-month LIBOR, expiring August 2026 8/13/19 14,000,000 (28,587) 
TOTAL PUT SWAPTIONS   (503,004) 
Call Swaptions    
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 2.45% and pay quarterly a floating rate based on 3-month LIBOR, expiring May 2029 5/13/22 11,000,000 (438,503) 
Option on an interest rate swap with Bank of America N.A. to receive semi-annually a fixed rate of 1.975% and pay quarterly a floating rate based on 3-month LIBOR, expiring September 2026 8/30/19 24,000,000 (229,200) 
Option on an interest rate swap with Citibank, N.A. to receive semi-annually a fixed rate of 2.265% and pay quarterly a floating rate based on 3-month LIBOR, expiring August 2026 8/13/19 14,000,000 (300,227) 
TOTAL CALL SWAPTIONS   (967,930) 
TOTAL WRITTEN SWAPTIONS   $(1,470,934) 

Futures Contracts      
 Number of contracts Expiration Date Notional Amount Value Unrealized Appreciation/(Depreciation) 
Purchased      
Bond Index Contracts      
ASX 10 Year Treasury Bond Index Contracts (Australia) 40 June 2019 $3,939,792 $172,365 $172,365 
ICE Long Gilt Contracts (United Kingdom) 29 Sept. 2019 4,753,390 27,917 27,917 
TME 10 Year Canadian Note Contracts (Canada) 161 Sept. 2019 17,016,018 123,254 123,254 
TOTAL BOND INDEX CONTRACTS     323,536 
Treasury Contracts      
CBOT 2-Year U.S. Treasury Note Contracts (United States) 42 Sept. 2019 9,016,219 28,136 28,136 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 181 Sept. 2019 21,243,461 103,817 103,817 
CBOT Long Term U.S. Treasury Bond Contracts (United States) 181 Sept. 2019 27,823,094 416,757 416,757 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 192 Sept. 2019 26,217,000 257,250 257,250 
CBOT Ultra Long Term U.S. Treasury Bond Contracts (United States) 134 Sept. 2019 23,554,688 496,376 496,376 
TOTAL TREASURY CONTRACTS     1,302,336 
TOTAL PURCHASED     1,625,872 
Sold      
Bond Index Contracts      
Eurex Euro-Bobl Contracts (Germany) 45 June 2019 6,732,393 (59,674) (59,674) 
Treasury Contracts      
CBOT 10-Year U.S. Treasury Note Contracts (United States) 1,588 Sept. 2019 201,279,000 (1,356,667) (1,356,667) 
CBOT 2-Year U.S. Treasury Note Contracts (United States) 462 Sept. 2019 99,178,406 (376,649) (376,649) 
CBOT 5-Year U.S. Treasury Note Contracts (United States) 1,923 Sept. 2019 225,697,102 (2,708,084) (2,708,084) 
CBOT Ultra 10-Year U.S. Treasury Note Contracts (United States) 986 Sept. 2019 134,635,219 (2,743,022) (2,743,022) 
TOTAL TREASURY CONTRACTS     (7,184,422) 
TOTAL SOLD     (7,244,096) 
TOTAL FUTURES CONTRACTS     $(5,618,224) 

The notional amount of futures purchased as a percentage of Net Assets is 0.6%

The notional amount of futures sold as a percentage of Net Assets is 2.9%

Forward Foreign Currency Contracts       
Currency Purchased Currency Sold Counterparty Settlement Date Unrealized Appreciation/(Depreciation) 
USD 3,041,960 EUR 2,691,000 BNP Paribas SA 8/27/19 $14,260 
USD 563,620 EUR 501,000 BNP Paribas SA 8/27/19 (66) 
USD 797,683 EUR 704,000 JPMorgan Chase Bank, N.A. 8/27/19 5,598 
USD 330,280,369 EUR 291,453,000 State Street Bank and Trust Co. 8/27/19 2,360,479 
USD 4,487,482 EUR 4,001,000 State Street Bank and Trust Co. 8/27/19 (14,128) 
USD 52,670,071 GBP 40,456,000 Goldman Sachs Bank USA 8/27/19 1,308,549 
TOTAL FORWARD FOREIGN CURRENCY CONTRACTS      $3,674,692 
     Unrealized Appreciation 3,688,886 
     Unrealized Depreciation (14,194) 

Swaps

Underlying Reference Rating(1) Maturity Date Clearinghouse / Counterparty(2) Fixed Payment Received/(Paid) Payment Frequency Notional Amount(3) Value(1) Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Credit Default Swaps          
Buy Protection          
5-Year iTraxx Europe Series 25 Index  Jun. 2021 ICE (1%) Quarterly EUR 8,300,000 $(58,345) $0 $(58,345) 
Accor SA  Jun. 2022 Citibank, N.A. (1%) Quarterly EUR 4,200,000 (88,923) 57,148 (31,775) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 27,500,000 109,046 (63,298) 45,748 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 26,046,000 103,280 (187,133) (83,853) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Citigroup Global Markets Ltd. (0.5%) Monthly 23,900,000 94,771 (27,387) 67,384 
CMBX N.A. AAA Index Series 11  Nov. 2054 Credit Suisse International (0.5%) Monthly 12,754,000 50,573 (91,634) (41,061) 
CMBX N.A. AAA Index Series 11  Nov. 2054 Credit Suisse International (0.5%) Monthly 17,000,000 67,410 (60,090) 7,320 
CMBX N.A. AAA Index Series 11  Nov. 2054 Credit Suisse International (0.5%) Monthly 11,620,000 46,077 (1,841) 44,236 
CMBX N.A. AAA Index Series 11  Nov. 2054 J.P. Morgan Securities LLC (0.5%) Monthly 13,470,000 53,413 (91,934) (38,521) 
Gas Natural Capital Markets SA  Jun. 2022 BNP Paribas SA (1%) Quarterly EUR 4,200,000 (109,862) 74,241 (35,621) 
Standard Chartered PLC  Jun. 2021 Goldman Sachs Bank USA (1%) Quarterly EUR 1,550,000 (28,889) (64,222) (93,111) 
TOTAL BUY PROTECTION       238,551 (456,150) (217,599) 
Sell Protection          
5-Year iTraxx Europe Senior Financial Series 25 Index NR Jun. 2021 ICE 1% Quarterly EUR 8,300,000 188,990 0 188,990 
Casino Guichard Perrachon SA Ba3 Jun. 2019 JPMorgan Chase Bank, N.A. 1% Quarterly EUR 550,000 (446) 902 456 
TOTAL SELL PROTECTION       188,544 902 189,446 
TOTAL CREDIT DEFAULT SWAPS       $427,095 $(455,248) $(28,153) 

 (1) Ratings are presented for credit default swaps in which the Fund has sold protection on the underlying referenced debt. Ratings for an underlying index represent a weighted average of the ratings of all securities included in the index. The credit rating or value can be measures of the current payment/performance risk. Ratings are from Moody's Investors Service, Inc. Where Moody's® ratings are not available, S&P® ratings are disclosed and are indicated as such. All ratings are as of the report date and do not reflect subsequent changes.

 (2) Swaps with Intercontinental Exchange (ICE) are centrally cleared over-the-counter (OTC) swaps.

 (3) The notional amount of each credit default swap where the Fund has sold protection approximates the maximum potential amount of future payments that the Fund could be required to make if a credit event were to occur.

 (4) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

Swaps

Payment Received Payment Frequency Payment Paid Payment Frequency Clearinghouse / Counterparty(1) Maturity Date Notional Amount Value Upfront Premium Received/(Paid)(4) Unrealized Appreciation/(Depreciation) 
Interest Rate Swaps          
3-month LIBOR(3) Quarterly 3% Semi - annual LCH Jun. 2029 $16,890,000 $(483,138) $0 $(483,138) 
0.75% Annual 6-month EURIBOR(3) Semi - annual LCH Dec. 2029 EUR 3,640,000 66,087 0 66,087 
1.25% Annual 6-month EURIBOR(3) Semi - annual LCH Dec. 2034 EUR 20,770,000 135,763 0 135,763 
1.25% Semi - annual 6-month EURIBOR(3) Semi - annual LCH Dec. 2039 EUR 130,000 160 0 160 
TOTAL INTEREST RATE SWAPS       $(281,128) $0 $(281,128) 

 (1) Swaps with LCH Clearnet Group (LCH) are centrally cleared over-the-counter (OTC) swaps.

 (2) Any premiums for centrally cleared over-the-counter (OTC) swaps are recorded periodically throughout the term of the swap to variation margin and included in unrealized appreciation (depreciation).

 (3) Represents floating rate.

Currency Abbreviations

EUR – European Monetary Unit

GBP – British pound

USD – U.S. dollar

Legend

 (a) Amount is stated in United States dollars unless otherwise noted.

 (b) Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At the end of the period, the value of these securities amounted to $3,081,316,244 or 13.3% of net assets.

 (c) Security or a portion of the security purchased on a delayed delivery or when-issued basis.

 (d) Coupon rates for floating and adjustable rate securities reflect the rates in effect at period end.

 (e) Coupon is indexed to a floating interest rate which may be multiplied by a specified factor and/or subject to caps or floors.

 (f) Non-income producing - Security is in default.

 (g) Security or a portion of the security was pledged to cover margin requirements for futures contracts. At period end, the value of securities pledged amounted to $5,540,404.

 (h) Security or a portion of the security was pledged to cover margin requirements for centrally cleared OTC swaps. At period end, the value of securities pledged amounted to $2,439,358.

 (i) Security or a portion of the security is on loan at period end.

 (j) Security or a portion of the security has been segregated as collateral for open forward foreign currency contracts, options and bi-lateral over-the-counter (OTC) swaps. At period end, the value of securities pledged amounted to $104,770.

 (k) Security represents right to receive monthly interest payments on an underlying pool of mortgages or assets. Principal shown is the outstanding par amount of the pool as of the end of the period.

 (l) Level 3 security

 (m) Security initially issued at one coupon which converts to a higher coupon at a specified date. The rate shown is the rate at period end.

 (n) Coupon is inversely indexed to a floating interest rate multiplied by a specified factor. The price may be considerably more volatile than the price of a comparable fixed rate security.

 (o) Principal Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans.

 (p) Represents an investment in an underlying pool of reverse mortgages which typically do not require regular principal and interest payments as repayment is deferred until a maturity event.

 (q) Restricted securities - Investment in securities not registered under the Securities Act of 1933 (excluding 144A issues). At the end of the period, the value of restricted securities (excluding 144A issues) amounted to $1,069,842 or 0.0% of net assets.

 (r) Non-income producing

 (s) The coupon rate will be determined upon settlement of the loan after period end.

 (t) Security is perpetual in nature with no stated maturity date.

 (u) Affiliated fund that is generally available only to investment companies and other accounts managed by Fidelity Investments. The rate quoted is the annualized seven-day yield of the fund at period end. A complete unaudited listing of the fund's holdings as of its most recent quarter end is available upon request. In addition, each Fidelity Central Fund's financial statements are available on the SEC's website or upon request.

 (v) Includes investment made with cash collateral received from securities on loan.

Additional information on each restricted holding is as follows:

Security Acquisition Date Acquisition Cost 
GMAC Commercial Mortgage Securities, Inc. Series 1999-C2I Class K, 6.481% 9/15/33 3/23/07 - 11/28/18 $1,030,005 

Affiliated Central Funds

Information regarding fiscal year to date income earned by the Fund from investments in Fidelity Central Funds is as follows:

Fund Income earned 
Fidelity Cash Central Fund $12,804,630 
Total $12,804,630 

Amounts in the income column in the above table include any capital gain distributions from underlying funds.

Affiliated Underlying Funds

Fiscal year to date information regarding the Fund's investments in affiliated Underlying Funds, excluding any Money Market Central Funds, is presented below. Exchanges between classes of the same affiliated Underlying Funds may occur.

Fund Value, beginning of period Purchases Sales Proceeds Realized Gain/Loss Change in Unrealized appreciation (depreciation) Value, end of period % ownership, end of period 
Fidelity Real Estate High Income Fund $-- $100,000,000 $100,000,000 $-- $-- $-- 0.0% 
Total $-- $100,000,000 $100,000,000 $-- $-- $--  

Investment Valuation

Investments are valued as of 4:00 p.m. Eastern time on the last calendar day of the period. Security transactions are accounted for as of trade date. The Board of Trustees (the Board) has delegated the day to day responsibility for the valuation of the Fund's investments to the Fair Value Committee (the Committee) established by the Fund's investment adviser. In accordance with valuation policies and procedures approved by the Board, the Fund attempts to obtain prices from one or more third party pricing vendors or brokers to value its investments. When current market prices, quotations or currency exchange rates are not readily available or reliable, investments will be fair valued in good faith by the Committee, in accordance with procedures adopted by the Board. Factors used in determining fair value vary by investment type and may include market or investment specific events, changes in interest rates and credit quality. The frequency with which these procedures are used cannot be predicted and they may be utilized to a significant extent. The Committee oversees the Fund’s valuation policies and procedures and reports to the Board on the Committee's activities and fair value determinations. The Board monitors the appropriateness of the procedures used in valuing the Fund's investments and ratifies the fair value determinations of the Committee. The Fund categorizes the inputs to valuation techniques used to value its investments into a disclosure hierarchy consisting of three levels: Level 1 - quoted prices in active markets for identical investments: Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds etc.): Level 3 - unobservable inputs (including the Fund's own assumptions based on the best information available). Changes in valuation techniques may result in transfers in or out of an assigned level within the disclosure hierarchy. Valuation techniques used to value the Fund's investments by major category are as follows:

Debt securities, including restricted securities, are valued based on evaluated prices received from third party pricing vendors or from brokers who make markets in such securities. Corporate bonds, bank notes, bank loan obligations, foreign government and government agency obligations, municipal securities, preferred securities and U.S. government and government agency obligations are valued by pricing vendors who utilize matrix pricing which considers yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices. Asset backed securities, collateralized mortgage obligations, commercial mortgage securities and U.S. government agency mortgage securities are valued by pricing vendors who utilize matrix pricing which considers prepayment speed assumptions, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity and type or by broker supplied prices.

Swaps are marked-to-market daily based on valuations from third party pricing vendors, registered derivatives clearing organizations (clearinghouses) or broker-supplied valuations. These pricing sources may utilize inputs such as interest rate curves, credit spread curves, default possibilities and recovery rates.

When independent prices are unavailable or unreliable, debt securities and swaps may be valued utilizing pricing methodologies which consider similar factors that would be used by third party pricing vendors. For foreign debt securities, when significant market or security specific market events arise, valuations may be determined in good faith in accordance with procedures adopted by the Board. Debt securities and swaps are generally categorized as Level 2 in the hierarchy but may be Level 3 depending on the circumstances.

Equity securities, including restricted securities, for which market quotations are readily available, are valued at the last reported sale price or official closing price as reported by a third party pricing vendor on the primary market or exchange on which they are traded and are categorized as Level 1 in the hierarchy. In the event there were no sales during the day or closing prices are not available, securities are valued at the last quoted bid price or may be valued using the last available price and are generally categorized as Level 2 in the hierarchy. For foreign equity securities, when market or security specific events arise, comparisons to the valuation of American Depositary Receipts (ADRs), futures contracts, Exchange-Traded Funds (ETFs) and certain indexes as well as quoted prices for similar securities may be used and would be categorized as Level 2 in the hierarchy. For equity securities, including restricted securities, where observable inputs are limited, assumptions about market activity and risk are used and these securities may be categorized as Level 3 in the hierarchy.

The U.S. dollar value of foreign currency contracts is determined using currency exchange rates supplied by a pricing vendor and are categorized as Level 2 in the hierarchy.

Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded and are categorized as Level 1 in the hierarchy.

Options traded over-the-counter are valued using vendor or broker-supplied valuations and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds, including the Fidelity Central Funds, are valued at their closing net asset value each business day and are categorized as Level 1 in the hierarchy.

Short-term securities with remaining maturities of sixty days or less may be valued at amortized cost, which approximates fair value, and are categorized as Level 2 in the hierarchy.

Other Information

# Additional information on each counterparty to the repurchase agreement is as follows:

Repurchase Agreement / Counterparty Value 
$567,516,000 due 6/3/19 at 2.5%  
J.P. Morgan Securities, Inc.  $567,516,000 
 $567,516,000 

Credit Risk.

The Fund invests a portion of its assets in structured securities of issuers backed by commercial and residential mortgage loans, credit card receivables and automotive loans. The value and related income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults.

For additional information on the Fund's significant accounting policies, please refer to the Fund's most recent semiannual or annual shareholder report.





The fund's schedule of investments as of the date on the cover of this report has not been audited. This report is provided for the general information of the fund's shareholders. For more information regarding the fund and its holdings, please see the fund's most recent prospectus and annual report.

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