Goldman Sachs Trust


Principal Amount		Interest Rate			Maturity Date	Value
Secured Debt Obligations – 43.0%
Bank Loans^(a) – 24.7%
Automotive – 1.1%
American Axle & Manufacturing, Inc. (BB/Ba2)
$	2,363,774		3.470	%	04/06/24	$ 2,340,136

Building Materials – 0.3%
Builders FirstSource, Inc. (B+/B3)
	601,960		4.296		02/29/24	601,099

Chemicals – 0.5%
Kraton Polymers LLC (B+/Ba3)
	366,047		5.226		01/06/22	369,070
New Arclin U.S. Holding Corp. (B+/B2)
	693,000		5.670		02/14/24	699,930

						1,069,000

Commercial Services – 0.7%
Garda World Security Corp. (B/B1)
	316,853		5.226		05/24/24	318,700
Monitronics International, Inc. (B-/B2)
	1,125,495		6.796		09/30/22	1,134,871

						1,453,571

Consumer Cyclical Services – 0.7%
TKC Holdings, Inc. (B/B2)
	1,408,550		5.376		02/01/23	1,404,592

Consumer Durables – 0.5%
Comfort Holding LLC (B/B2)
	1,066,000		5.885		02/05/24	1,064,668

Diversified Financial services – 1.0%
Tecomet, Inc. (NR/NR)
	512,000		4.922		05/02/24	511,575
VFH Parent LLC (NR/NR)
	1,483,000		0.000		10/15/21	1,491,038

						2,002,613

Electric – 1.3%
Talen Energy Supply LLC (NR/NR)
	2,991,000		5.226		04/15/24	2,768,559

Food & Beverage – 0.5%
Dole Food Co., Inc. (NR/NR)
	967,110		4.500		03/16/24	968,319

Food & Drug Retailers – 0.7%
BJ’s Wholesale Club, Inc. (B-/B3)
	1,427,612		4.968		02/03/24	1,381,657

Health Care - Services – 2.9%
ATI Holdings Acquisition, Inc. (B/B1)
	319,770		5.650		05/10/23	322,434
Change Healthcare Holdings, Inc. (B+/Ba3)
	926,975		3.976		03/01/24	926,585
Commerce Merger Sub, Inc. (NR/NR)
	566,000		4.750		05/31/24	565,530
Envision Healthcare Corp. (BB-/Ba3)
	1,307,210		4.300		12/01/23	1,312,439


Principal Amount		Interest Rate			Maturity Date	Value
Secured Debt Obligations – (continued)
Greenway Health LLC (B-/B3)
$	827,718		6.050	%	02/14/24	$ 829,787
Kindred Healthcare, Inc. (BB-/Ba3)
	690,664		4.688		04/09/21	692,391
Surgery Center Holdings, Inc. (NR/NR)
	633,000		4.500		06/06/24	634,981
Team Health Holdings, Inc. (NR/NR)
	752,836		3.750		02/06/24	746,016

						6,030,163

Life Insurance – 0.2%
Acrisure LLC (NR/NR)
	386,033		6.296		11/22/23	389,248

Media - Cable – 3.0%
Altice Financing SA (BB-/B1)
	1,287,000		3.908		07/15/25	1,282,573
Cable One, Inc. (NR/NR)
	369,000		3.430		05/01/24	369,922
WideOpenWest Finance LLC (NR/NR)
	3,147,000		4.250		08/16/23	3,141,650
Ziggo Secured Finance BV (BB-/Ba3)
	1,324,000		3.659		04/15/25	1,319,485

						6,113,630

Media - Non Cable – 0.7%
CBS Radio, Inc. (BB-/Ba3)
	1,341,984		4.716		10/17/23	1,343,661

Media-Entertainment – 0.5%
Lions Gate Entertainment Corp. (NR/NR)
	1,065,138		3.982		12/08/23	1,070,793

Packaging – 1.2%
BWAY Holding Co. (B-/B2)
	2,162,465		3.250		04/03/24	2,161,297
Charter NEX US Holdings, Inc. (NR/NR)
	221,000		4.476		05/16/24	220,863

						2,382,160

Restaurant – 0.7%
1011778 B.C. Unlimited Liability Co. (B+/Ba3)
	1,367,715		3.476		02/16/24	1,363,872

Retailers – 0.6%
JC Penney Corp., Inc. (BB-/Ba2)
	860,531		5.450		06/23/23	848,432
PetSmart, Inc. (B+/Ba3)
	480,000		4.220		03/11/22	445,867

						1,294,299

Technolgy - Software – 1.1%
Kronos, Inc. (B/B2)
	699,489		4.680		11/01/23	703,686
MA FinanceCo. LLC (NR/NR)
	134,000		2.750		04/29/24	134,168
Optiv Security, Inc. (B-/B2)
	501,645		4.438		02/01/24	491,823


Principal Amount		Interest Rate			Maturity Date	Value
Secured Debt Obligations – (continued)
Seattle Spinco, Inc. (NR/NR)
$	906,000		2.750	%	04/19/24	$ 907,132

						2,236,809

Technology - Hardware – 0.2%
MaxLinear, Inc. (NR/NR)
	506,000		3.617		05/12/24	505,368

Telecommunications - Wireless – 2.0%
Sprint Communications, Inc. (BB-/Ba2)
	2,157,521		3.750		02/02/24	2,157,068
Telesat Canada (NR/NR)
	1,870,301		3.750		11/17/23	1,878,324

						4,035,392

Telecommunications-Wirelines – 4.3%
CenturyLink, Inc. (NR/NR)
	2,000,000		2.750		01/31/25	1,976,120
Consolidated Communications, Inc. (NR/NR)
	577,000		4.000		10/05/23	578,298
Fairpoint Communications, Inc. (B/B2)
	760,891		9.500		02/14/19	761,050
Frontier Communications Corp. (NR/NR)
	4,539,000		4.910		06/15/24	4,470,507
Windstream Corp. (BB/B1)
	1,084,887		4.534		03/29/21	1,081,719

						8,867,694

TOTAL BANK LOANS						$ 50,687,303

Other Secured Debt Obligations – 18.3%
Building Materials^(b)(c) – 0.5%
Builders FirstSource, Inc. (B+/B3)
	946,000		5.625		09/01/24	983,840

Consumer Cyclical Services^(b) – 3.1%
APX Group, Inc. (B/B1)
	2,846,000		7.875		12/01/22	3,087,910
First Data Corp. (BB/Ba3)^(c)
	492,000		5.000		01/15/24	505,530
The Hertz Corp. (BB-/B1)^(c)
	2,786,000		7.625		06/01/22	2,782,517

						6,375,957

Gaming^(b) – 0.3%
Caesars Growth Properties Holdings LLC/Caesars Growth Properties Finance, Inc. (B/Caa1)
	504,000		9.375		05/01/22	544,320

Health Care - Services^(b) – 1.8%
CHS/Community Health Systems, Inc. (BB-/Ba3)
	1,645,000		6.250		03/31/23	1,702,575
Tenet Healthcare Corp. (B-/Ba3)^(c)
	974,000		5.125		05/01/25	977,652
Tenet Healthcare Corp. (BB-/Ba3)
	492,000		4.746	^(d)	06/15/20	496,920
	220,000		4.625	^(c)	07/15/24	220,275


Principal Amount		Interest Rate			Maturity Date	Value
Secured Debt Obligations – (continued)
THC Escrow Corp. III (BB-/Ba3)^(c)
$	276,000		4.625	%	07/15/24	$ 276,690

						3,674,112

Media - Cable^(b)(c) – 2.8%
Altice Financing SA (BB-/B1)
	913,000		6.625		02/15/23	966,639
Altice US Finance I Corp. (BB/Ba3)
	947,000		5.500		05/15/26	993,166
Charter Communications Operating LLC/Charter Communications Operating Capital (BBB-/Ba1)
	492,000		3.750		02/15/28	484,740
Virgin Media Secured Finance PLC (BB-/Ba3)
	584,000		5.500		08/15/26	611,010
Ziggo Secured Finance BV (BB-/Ba3)
	2,563,000		5.500		01/15/27	2,633,482

						5,689,037

Media - Non Cable^(b)(c) – 1.1%
Univision Communications, Inc. (BB-/B2)
	602,000		5.125		05/15/23	605,763
	1,695,000		5.125		02/15/25	1,675,931

						2,281,694

Noncaptive - Financial^(b)(c) – 0.2%
Orchestra Borrower LLC/Orchestra Co-Issuer, Inc. (B-/NR)
	494,000		6.750		06/15/22	508,820

Oil Field Services^(b)(c) – 1.3%
FTS International, Inc. (B/WR)^(d)
	723,000		8.746		06/15/20	719,385
Transocean Proteus Ltd. (BB/NR)
	1,868,650		6.250		12/01/24	1,906,023

						2,625,408

Packaging^(b)(c) – 1.5%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (BB/Ba3)
	3,067,000		4.625		05/15/23	3,143,675

Pipelines^(b) – 2.0%
Cheniere Corpus Christi Holdings LLC (BB-/Ba3)^(c)
	2,302,000		5.125		06/30/27	2,359,550
Sabine Pass Liquefaction LLC (BBB-/Baa3)
	1,504,000		5.750		05/15/24	1,674,722

						4,034,272

Restaurant^(b)(c) – 1.0%
1011778 BC ULC/New Red Finance, Inc. (B+/Ba3)
	2,035,000		4.250		05/15/24	2,019,738

Retailers^(b)(c)– 0.5%
PetSmart, Inc. (B+/Ba3)
	1,148,000		5.875		06/01/25	1,104,950

Technology - Hardware^(b)(c) – 0.7%
Dell International LLC/EMC Corp. (BBB-/Baa3)
	1,210,000		6.020		06/15/26	1,332,826


Principal Amount		Interest Rate			Maturity Date	Value
Secured Debt Obligations – (continued)
Telecommunications - Wireless – 0.6%
Hughes Satellite Systems Corp. (BBB-/Ba2)
$	1,268,000		5.250	%	08/01/26	$ 1,325,060

Telecommunications-Wirelines^(b)(c) – 0.4%
Uniti Group LP/Uniti Group Finance, Inc./CSL Capital LLC (BB-/B1)
	865,000		6.000		04/15/23	897,438

Transportation^(b) – 0.5%
Jack Cooper Holdings Corp. (D/Ca)
	2,103,000		9.250		06/01/20	1,093,560

TOTAL OTHER SECURED DEBT OBLIGATIONS						$ 37,634,707

TOTAL SECURED DEBT OBLIGATIONS (Cost $89,023,004)						$ 88,322,010


Unsecured Debt Obligations – 41.1%
Aerospace & Defense^(c) – 2.9%
Bombardier, Inc. (B-/B3)
$	652,000		6.000	^%(b)	10/15/22	$ 651,185
	4,638,000		6.125		01/15/23	4,643,797
Booz Allen Hamilton, Inc. (B+/B1)^(b)
	665,000		5.125		05/01/25	653,363

						5,948,345

Automotive^(b) – 6.5%
Adient Global Holdings Ltd. (BB/Ba3)^(c)
	3,917,000		4.875		08/15/26	3,926,792
Cooper-Standard Automotive, Inc. (B+/B2)^(c)
	2,655,000		5.625		11/15/26	2,668,275
Dana Financing Luxembourg Sarl (BB/B1)^(c)
	283,000		5.750		04/15/25	292,905
Dana, Inc. (BB/B1)
	505,000		5.375		09/15/21	518,888
General Motors Financial Co., Inc. (BBB/Baa3)
	1,077,000		5.250		03/01/26	1,163,281
Lear Corp. (BBB-/Baa3)
	965,000		4.750		01/15/23	991,537
Navistar International Corp. (CCC+/Caa1)
	3,737,000		8.250		11/01/21	3,774,370

						13,336,048

Brokerage^(b) – 0.7%
E*Trade Financial Corp. (BBB-/Baa3)
	1,374,000		4.625		09/15/23	1,420,373

Chemicals – 1.1%
Consolidated Energy Finance SA (BB-/B2)^(b)(c)
	488,000		6.875		06/15/25	502,640
NOVA Chemicals Corp. (BB+/Ba2)^(b)(c)
	617,000		5.250		08/01/23	632,795
	246,000		4.875		06/01/24	244,524
	487,000		5.250		06/01/27	485,685
Venator Finance S.a.r.l./Venator Materials Corp. (NR/NR)
	346,000		5.750		07/15/25	349,460

						2,215,104


Principal Amount		Interest Rate			Maturity Date	Value
Unsecured Debt Obligations – (continued)
Construction Machinery^(b)(c) – 0.3%
Terex Corp. (BB/B2)
$	606,000		5.625	%	02/01/25	$ 622,665

Consumer Cyclical Services^(b) – 0.9%
The Hertz Corp. (B-/B3)
	1,980,000		7.375		01/15/21	1,910,700

Consumer Finance – 0.2%
Navient Corp. (B+/Ba3)
	468,000		5.875		03/25/21	496,797

Distributors^(b) – 0.2%
AmeriGas Partners LP/AmeriGas Finance Corp. (NR/Ba3)
	99,000		5.500		05/20/25	100,485
Suburban Propane Partners LP/Suburban Energy Finance Corp. (BB-/B1)
	259,000		5.500		06/01/24	257,705

						358,190

Educational Services^(b)(c) – 0.7%
Cengage Learning, Inc. (CCC+/Caa2)
	1,643,000		9.500		06/15/24	1,437,625

Electric^(b)(c) – 0.5%
Talen Energy Supply LLC (BB-/B1)
	1,250,000		9.500		07/15/22	1,075,000

Energy - Exploration & Production^(b) – 4.4%
Carrizo Oil & Gas, Inc. (B+/B3)
	626,000		7.500		09/15/20	638,520
Covey Park Energy LLC/Covey Park Finance Corp. (B/B3)^(c)
	1,160,000		7.500		05/15/25	1,162,900
CrownRock LP/CrownRock Finance, Inc. (B+/B3)^(c)
	1,826,000		7.125		04/15/21	1,876,215
Gulfport Energy Corp. (B+/B2)
	826,000		6.625		05/01/23	830,130
	2,563,000		6.375	^(c)	05/15/25	2,518,147
Halcon Resources Corp. (B-/Caa1)^(c)
	456,000		6.750		02/15/25	410,400
PDC Energy, Inc. (B+/B2)^(c)
	673,000		6.125		09/15/24	683,095
QEP Resources, Inc. (BB+/Ba3)
	467,000		5.250		05/01/23	443,650
SM Energy Co. (B+/B2)
	521,000		6.500		01/01/23	497,555

						9,060,612

Entertainment^(b)(c) – 1.1%
AMC Entertainment Holdings, Inc. (B+/B2)
	1,165,000		5.875		11/15/26	1,214,512
	517,000		6.125		05/15/27	545,435
Lions Gate Entertainment Corp. (B-/B2)
	493,000		5.875		11/01/24	516,418

						2,276,365

Food & Beverage^(b)(c) – 2.1%
Chobani LLC/Chobani Finance Corp., Inc. (CCC+/Caa2)
	499,000		7.500		04/15/25	525,197
Dean Foods Co. (BB/B2)
	2,000,000		6.500		03/15/23	2,105,000


Principal Amount		Interest Rate			Maturity Date	Value
Unsecured Debt Obligations – (continued)
FAGE International SA/FAGE USA Dairy Industry, Inc. (BB-/B1)
$	1,544,000		5.625	%	08/15/26	$ 1,580,670

						4,210,867

Food & Drug Retailers^(b)(c) – 2.1%
Rite Aid Corp. (B-/B3)
	4,294,000		6.125		04/01/23	4,224,222

Health Care - Services^(b) – 0.7%
Acadia Healthcare Co., Inc. (B/B3)
	319,000		5.625		02/15/23	330,963
LifePoint Health, Inc. (BB-/Ba2)
	861,000		5.875		12/01/23	908,355
THC Escrow Corp. III (CCC+/Caa1)^(c)
	128,000		7.000		08/01/25	127,680

						1,366,998

Home Construction^(b)(c) – 0.6%
AV Homes, Inc. (B-/B3)
	704,000		6.625		05/15/22	721,600
The New Home Co., Inc. (B-/B3)
	494,000		7.250		04/01/22	510,673

						1,232,273

Media - Cable^(b)(c) – 2.0%
CCO Holdings LLC/CCO Holdings Capital Corp. (BB+/B1)
	2,738,000		5.125		05/01/27	2,792,760
Cequel Communications Holdings I LLC/Cequel Capital Corp. (B/Caa1)
	268,000		5.125		12/15/21	273,695
Videotron Ltd./Videotron Ltee (BB/Ba2)
	1,082,000		5.125		04/15/27	1,111,755

						4,178,210

Media - Non Cable^(b) – 0.8%
Lamar Media Corp. (BB-/Ba1)
	1,207,000		5.375		01/15/24	1,262,824
Sirius XM Radio, Inc. (BB/Ba3)^(c)
	295,000		5.000		08/01/27	296,844

						1,559,668

Noncaptive - Financial – 0.3%
Navient Corp. (B+/Ba3)
	290,000		6.750		06/25/25	297,598
Springleaf Finance Corp. (B/B2)
	197,000		6.125		05/15/22	207,835

						505,433

Oil Field Services – 5.1%
SESI LLC (BB-/B2)^(b)
	1,186,000		7.125		12/15/21	1,129,665
Transocean, Inc. (B+/Caa1)^(b)
	885,000		5.550		10/15/22	823,050
Transocean, Inc. (BB-/B1)^(b)(c)
	2,085,000		9.000		07/15/23	2,163,187
Weatherford International Ltd. (B/Caa1)
	955,000		5.125		09/15/20	921,575
	3,401,000		7.750	^(b)	06/15/21	3,426,507


Principal Amount		Interest Rate			Maturity Date	Value
Unsecured Debt Obligations – (continued)
$	1,661,000		4.500	%^(b)	04/15/22	$ 1,465,833
	486,000		9.875	^(b)(c)	02/15/24	506,655

						10,436,472

Packaging^(b)(c) – 0.3%
Crown Americas LLC/Crown Americas Capital Corp. V (B+/Ba3)
	702,000		4.250		09/30/26	700,245

Pharmaceuticals^(b)(c) – 0.5%
Concordia International Corp. (CCC-/Caa3)
	955,000		7.000		04/15/23	143,250
Valeant Pharmaceuticals International, Inc. (B-/Caa1)
	984,000		6.375		10/15/20	954,480

						1,097,730

Pipelines^(b)(c) – 0.7%
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. (BB+/B1)
	1,466,000		5.500		09/15/24	1,487,990

Technology – 0.5%
Seagate HDD Cayman (BBB-/Baa3)
	485,000		4.750		01/01/25	488,743
VeriSign, Inc. (BB+/Ba1)
	450,000		4.750		07/15/27	455,063

						943,806

Technology - Hardware^(b) – 1.0%
CommScope, Inc. (BB-/Ba3)^(c)
	493,000		5.500		06/15/24	512,720
QUALCOMM, Inc. (A/A1)
	501,000		2.900		05/20/24	499,977
Seagate HDD Cayman (BBB-/Baa3)
	1,071,000		4.875		06/01/27	1,069,562

						2,082,259

Technology - Software^(b) – 0.2%
Donnelley Financial Solutions, Inc. (B/B3)
	416,000		8.250		10/15/24	440,960

Telecommunications - Wireless^(b) – 2.6%
Inmarsat Finance PLC (BB+/Ba2)^(c)
	1,404,000		4.875		05/15/22	1,424,935
	1,651,000		6.500		10/01/24	1,764,663
Intelsat Jackson Holdings SA (CCC+/Caa2)
	2,167,000		7.250		04/01/19	2,167,000

						5,356,598

Telecommunications - Wirelines – 1.3%
Frontier Communications Corp. (B+/B2)
	253,000		8.500		04/15/20	265,650
Uniti Group, Inc./CSL Capital LLC (B-/Caa1)^(b)(c)
	2,038,000		7.125		12/15/24	2,007,430
Uniti Group, Inc./Uniti Fiber Holdings, Inc./CSL Capital LLC (B-/NR)^(b)(c)
	288,000		7.125		12/15/24	283,680
Zayo Group LLC/Zayo Capital, Inc. (B/B3)^(b)(c)
	184,000		5.750		01/15/27	192,050

						2,748,810


Principal Amount		Interest Rate			Maturity Date	Value
Unsecured Debt Obligations – (continued)
Metals & Mining^(b)(c) – 0.2%
Kinross Gold Corp. (BB+/Ba1)
$	450,000		4.500	%	07/15/27	$ 450,000

Retailers^(b)(c) – 0.6%
PetSmart, Inc. (B-/B3)
	1,330,000		8.875		06/01/25	1,226,925

TOTAL UNSECURED DEBT OBLIGATIONS (Cost $85,063,436)						$ 84,407,290


U.S. Treasury Obligation^(e) – 2.4%
U.S. Treasury Bill
$	5,000,000		0.000	%	09/14/17	$ 4,990,115
(Cost $4,989,776)



Shares		Description				Value
*Common Stock^ – 0.2%**
Oil, Gas & Consumable Fuels – 0.2%
	1,141,924		Prairie Provident Resources, Inc. (Cost $2,946,424)			$ 445,808



Shares		Distribution Rate				Value
Investment Company^(d)(f) – 20.3%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	41,740,070		0.867%			$ 41,740,070
(Cost $41,740,070)

TOTAL INVESTMENTS – 107.0%
(Cost $223,762,710)						$219,905,293

LIABILITIES IN EXCESS OF OTHER ASSETS – (7.0)%						(14,299,366)

NET ASSETS – 100.0%						$205,605,927



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

*		Non-income producing security.

(a)		Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on June 30, 2017. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(b)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.



(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $82,562,319, which represents approximately 40.2% of net assets as of June 30, 2017.

(d)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(e)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(f)		Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from Standard & Poor’s/Moody’s Investors Service and are unaudited. A description of the ratings is available in the Fund’s Statement of Additional Information.



Currency Abbreviations:
USD		— U.S. Dollar
Investment Abbreviations:
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
PLC		— Public Limited Company


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

Additional information regarding the Fund is available in the Fund’s most recent Annual and Semi-Annual Reports to Shareholders. This information is available on the Securities and Exchange Commission’s website (www.sec.gov).


Principal Amount		Interest Rate			Maturity Date	Value
Foreign Sovereign Debt Obligations – 20.6%
Argentinian Peso – 0.8%
Republic of Argentina
ARS	1,710,000		22.507	%^(a)	10/09/17	$ 102,152
	4,010,000		22.281	^(a)	03/01/18	238,602
	600,000		22.750		03/05/18	36,157
	180,000		21.980	^(a)	03/11/19	10,666
	50,000		18.200		10/03/21	3,181
	180,000		16.000		10/17/23	11,537
	70,000		15.500		10/17/26	4,659

						406,954

Brazilian Real – 1.4%
Brazil Notas do Tesouro Nacional
BRL	2,253,963		6.000		08/15/50	707,854

Dominican Peso – 0.3%
Dominican Republic
DOP	6,700,000		11.375		07/06/29	142,490

Hungarian Forint – 3.5%
Hungary Government Bond
HUF	174,800,000		3.000		06/26/24	670,018
	120,740,000		5.500		06/24/25	533,868
	102,510,000		2.750		12/22/26	369,123
	53,530,000		3.000		10/27/27	195,956
	15,280,000		3.250		10/22/31	54,016

						1,822,981

Japanese Yen – 8.4%
Japanese Government CPI Linked Bond
JPY	471,670,389		0.100		03/10/26	4,379,332

Mexican Peso – 0.4%
United Mexican States
MXN	3,006,300		8.000		11/07/47	181,762

Russian Ruble – 3.5%
Russian Federation Bond
RUB	18,500,000		7.400		12/07/22	308,190
	13,510,000		7.750		09/16/26	229,209
	9,200,000		7.050		01/19/28	148,354
	38,120,000		8.500		09/17/31	685,624
	27,460,000		7.700		03/23/33	457,356

						1,828,733

South African Rand – 2.3%
Republic of South Africa
ZAR	4,140,000		8.000		01/31/30	286,183
	3,630,000		8.250		03/31/32	250,194
	460,000		8.875		02/28/35	32,649
	8,110,000		8.500		01/31/37	549,740
	740,000		8.750		01/31/44	50,440
	540,000		8.750		02/28/48	36,820

						1,206,026

TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS (Cost $10,427,072)						$10,676,132


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – 9.8%
Collateralized Mortgage Obligations – 9.8%
Interest Only^(b) – 1.9%
FHLMC STRIPS Series 304, Class C45
$	408,615		3.000	%	12/15/27	$ 38,305
FNMA REMIC Series 2015-34, Class LS^(a)
	740,356		4.884		06/25/45	143,181
GNMA REMIC Series 2013-183, Class NI
	715,890		4.500		10/20/42	95,377
GNMA REMIC Series 2014-133, Class NI
	527,666		5.000		09/20/44	110,949
GNMA REMIC Series 2015-129, Class IC
	832,582		4.500		09/16/45	138,222
GNMA REMIC Series 2015-14, Class IO
	992,399		5.000		10/20/44	209,456
GNMA REMIC Series 2015-63, Class IY
	841,829		4.000		05/20/45	141,989
GNMA REMIC Series 2015-95, Class GI
	635,419		4.500		07/16/45	134,777

						1,012,256

Inverse Floaters^(a) – 7.9%
FHLMC REMIC Series 3852, Class SW
	709,826		4.841		05/15/41	113,755
FHLMC REMIC Series 4314, Class SE
	1,441,096		4.891		03/15/44	254,553
FHLMC REMIC Series 4372, Class SH
	1,393,953		4.941		08/15/44	245,895
FHLMC REMIC Series 4431, Class ST
	787,216		4.941		01/15/45	163,423
FHLMC REMIC Series 4583, Class ST
	862,175		4.841		05/15/46	168,256
FNMA REMIC Series 2013-96, Class SW
	395,144		4.884		09/25/43	63,631
FNMA REMIC Series 2014-19, Class MS
	372,598		5.384		11/25/39	44,862
FNMA REMIC Series 2014-74, Class SC
	1,515,580		4.884		11/25/44	268,143
FNMA REMIC Series 2015-20, Class ES
	774,980		4.934		04/25/45	163,829
FNMA REMIC Series 2015-22, Class DS
	760,843		4.984		04/25/45	160,642
FNMA REMIC Series 2015-79, Class SA
	614,167		5.034		11/25/45	102,071
FNMA REMIC Series 2015-82, Class MS
	872,041		4.484		11/25/45	127,592
FNMA REMIC Series 2015-86, Class BS
	342,738		4.484		11/25/45	49,346
GNMA REMIC Series 2010-1, Class SD
	91,024		4.578		01/20/40	14,705
GNMA REMIC Series 2010-20, Class SE
	1,282,500		5.038		02/20/40	216,531
GNMA REMIC Series 2010-31, Class SA
	587,525		4.538		03/20/40	88,230
GNMA REMIC Series 2010-37, Class SG
	412,400		4.488		03/20/40	60,984
GNMA REMIC Series 2010-68, Class SD
	684,310		5.368		06/20/40	125,295
GNMA REMIC Series 2010-85, Class SN
	343,591		4.728		07/20/40	63,084


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(a) – (continued)
GNMA REMIC Series 2010-90, Class ES
$	218,213		4.738	%	07/20/40	$ 34,521
GNMA REMIC Series 2013-113, Class SA
	369,122		5.488		08/20/43	69,278
GNMA REMIC Series 2013-134, Class DS
	200,704		4.888		09/20/43	32,875
GNMA REMIC Series 2013-91, Class SP
	558,209		5.088		01/20/42	70,147
GNMA REMIC Series 2014-133, Class BS
	459,682		4.388		09/20/44	65,627
GNMA REMIC Series 2014-41, Class SA
	236,750		4.888		03/20/44	39,757
GNMA REMIC Series 2015-110, Class MS
	1,014,165		4.498		08/20/45	154,191
GNMA REMIC Series 2015-111, Class SM
	603,506		4.988		08/20/45	103,332
GNMA REMIC Series 2015-112, Class SB
	579,523		4.528		08/20/45	88,402
GNMA REMIC Series 2015-123, Class SE
	585,576		4.508		09/20/45	87,130
GNMA REMIC Series 2015-126, Class HS
	1,171,165		4.988		09/20/45	195,705
GNMA REMIC Series 2015-141, Class HS
	266,240		4.988		10/20/45	44,516
GNMA REMIC Series 2015-142, Class SA
	730,374		4.508		10/20/45	109,259
GNMA REMIC Series 2015-168, Class SD
	310,791		4.988		11/20/45	51,254
GNMA REMIC Series 2015-64, Class SG
	1,551,237		4.388		05/20/45	267,071
GNMA REMIC Series 2016-6, Class S
	657,290		4.438		01/20/46	96,602
GNMA REMIC Series 2016-6, Class SB
	697,508		4.438		01/20/46	101,465

						4,105,959

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $5,066,666)						$5,118,215


Asset-Backed Securities^(a)(c) – 0.0%
Collateralized Loan Obligation – 0.0%
OFSI Fund VII Ltd. Series 2014-7A, Class B
	1		3.153	%	10/18/26	$ 1
(Cost $—)


U.S. Treasury Obligations – 30.4%
United States Treasury Bond
$	1,580,000		3.000	%	05/15/47	$1,631,271
United States Treasury Inflation Indexed Bonds
	899,054		0.125		04/15/18	896,248
	782,588		0.125		04/15/19	783,159
	208,814		0.125		04/15/20	209,213
	2,794,250		1.125		01/15/21	2,902,276
	1,031,626		0.125		04/15/21	1,030,656
	514,855		0.125		07/15/24	506,138
	206,456		0.250		01/15/25	202,942
	515,510		0.375		07/15/25	512,005
	1,183,339		0.625		01/15/26	1,191,788
	50,644		0.875		02/15/47	49,228


Principal Amount		Interest Rate			Maturity Date	Value
U.S. Treasury Obligations – (continued)
United States Treasury Note
$	500,000		2.250	%	11/15/25	$ 500,155
United States Treasury Strip Coupon^(d)
	1,000,000		0.000		05/15/35	613,480
	2,600,000		0.000		11/15/35	1,570,348
	1,300,000		0.000		05/15/36	773,045
	4,100,000		0.000		08/15/36	2,414,203

TOTAL U.S. TREASURY OBLIGATIONS (Cost $16,416,721)						$15,786,155



Notional Amount		Exercise Price			Expiration Date	Value
Option Contracts Purchased – 0.2%
Options on Foreign Currency — 0.1%
Citibank NA
Call USD 670,000
Put CAD 918,302			$ 1.37		08/09/17	$ 108
Citibank NA
Put USD 670,000
Call CAD 918,302			1.37		08/09/17	38,940
Morgan Stanley & Co. LLC
Call AUD 506,000
Put USD 384,560			0.76		08/04/17	6,321
Morgan Stanley & Co. LLC
Call AUD 1,518,000
Put USD 1,184,040			0.78		08/04/17	4,579
JPMorgan Securities, Inc.
Put EUR 1,104,000
Call CHF 1,175,760			1.07		02/09/18	8,893



Contracts		Exercise Price			Expiration Date	Value
Options on Futures — 0.1%
Morgan Stanley & Co. LLC Call - Eurodollar
	59		$ 98.13		09/15/17	11,800
Morgan Stanley & Co. LLC Call - Eurodollar
	59		98.13		09/15/17	28,762
Morgan Stanley & Co. LLC Put - Eurodollar
	118		98.50		09/18/17	1,475
Morgan Stanley & Co. LLC Put - Eurodollar
	58		98.13		12/15/17	15,950
Morgan Stanley & Co. LLC Put - Eurodollar
	58		97.63		12/15/17	1,813
Morgan Stanley & Co. LLC Put - Eurodollar
	118		98.13		09/18/17	738



Notional Amount		Exercise Rate			Expiration Date	Value
Interest Rate Swaptions — 0.0%
Morgan Stanley & Co. LLC Put - OTC - 10 year Interest Rate Swap
	1,850,000		0.700	%	10/23/17	$ 3,971
Bank of America Securities LLC Put - OTC - 1 year Interest Rate Swap
	2,200,000		2.250		08/08/17	640

TOTAL OPTION CONTRACTS PURCHASED — 0.2%
(Cost $178,683)						$ 123,990



Shares		Distribution Rate				Value
Investment Company^(a)(e) – 20.3%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	10,530,781		0.845%			$ 10,530,781
(Cost $10,530,781)

TOTAL INVESTMENTS — 81.3% (Cost $42,619,923)						$ 42,235,274



Principal Amount		Interest Rate (Paid) Received			Maturity Date	Value
Reverse Repurchase Agreements – (26.6)%
Citigroup Reverse Repurchase Agreement
$	(3,457,500)		0.930	%	05/30/18	$ (3,457,500)
	(3,457,500)		0.990		05/30/19	(3,457,500)
	(3,457,500)		0.970		05/30/19	(3,457,500)
	(3,457,500)		0.940		05/30/19	(3,457,500)

TOTAL REVERSE REPURCHASE AGREEMENTS (Cost $(13,830,000))						$(13,830,000)

OTHER ASSETS IN EXCESS OF LIABILITIES – 45.3%						23,535,272

NET ASSETS – 100.0%						$ 51,940,546



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1, which represents approximately 0.0% of net assets as of June 30, 2017.

(d)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(e)		Represents an Affiliated fund.



Currency Abbreviations:
ARS		— Argentine Peso
AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CHF		— Swiss Franc
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
DOP		— Dominican Peso
EGP		— Egyptian Pound
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
ILS		— Israeli Shekel
INR		— Indian Rupee
JPY		— Japanese Yen
KRW		— South Korean Won
MXN		— Mexican Peso


MYR		— Malaysian Ringgit
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RUB		— Russian Ruble
SEK		— Swedish Krona
SGD		— Singapore Dollar
THB		— Thai Baht
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand

Investment Abbreviations:
AUDOR		— Australian Dollar Offered Rate
BUBOR		— Budapest Interbank Offered Rate
CDOR		— Canadian Dollar Offered Rate
CHFOR		— Swiss Franc Offered Rate
CPI		— Consumer Price Index
EURO		— Euro Offered Rate
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
HIBOR		— Hong Kong Interbank Offered Rate
IBR		— Interbank Rate
JIBAR		— Johannesburg Interbank Agreed Rate
JYOR		— Japanese Yen Offered Rate
KWCDC		— South Korean Won Certificate of Deposit
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
MIBOR		— Mumbai Interbank Offered Rate
NIBOR		— Norwegian Interbank Offered Rate
OTC		— Over the Counter
PLC		— Public Limited Company
PRIBOR		— Prague Interbank Offered Rate
REMIC		— Real Estate Mortgage Investment Conduit
SHIBOR		— Shanghai Interbank Offered Rate
STIBOR		— Stockholm Interbank Offered Rate
STRIPS		— Separate Trading of Registered Interest and Principal of Securities
TELBOR		— Tel Aviv Interbank Offered Rate
TIIE		— La Tasa de Interbank Equilibrium Interest Rate



For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

†		Formerly known as Goldman Sachs Fixed Income Macro Strategies Fund. Effective June 20, 2017, the Fund changed its name to the Goldman Sachs Strategic Macro Fund.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

WRITTEN OPTIONS CONTRACTS — For the period ended June 30, 2017 the Fund had following written options:

During the period ended June 30, 2017, the Fund had the following currency written options activities:

During the period ended June 30, 2017, the Fund had the following interest rate swaptions activities:

During the period ended June 30, 2017, the Fund had the following futures written options activities:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

Basis of Consolidation for Strategic Macro Fund — The Cayman Commodity - FIMS, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on December 16, 2013 and is currently a wholly-owned subsidiary of the Strategic Macro Fund (the “Fund”). The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary pursuant to a subscription agreement dated as of December 16, 2013, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. Under the Memorandum and Articles of Association of the Subsidiary, shares issued by the Subsidiary confer upon a shareholder the right to vote at general meetings of the Subsidiary and certain rights in connection with any winding-up or repayment of capital, as well as the right to participate in the profits or assets of the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of June 30, 2017, the Fund’s net assets were $51,940,546, of which, $8,507,310, or 16.4%, represented the Subsidiary’s net assets.

Investments and Fair Value Measurements — The accounting principles generally accepted in the United States of America (“GAAP”) defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.

Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.

Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.

When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The investment manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.

Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.

alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

A forward foreign currency contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.

A non-deliverable bond forward is a short term forward contract between two parties to buy or sell a bond denominated in a non-deliverable foreign currency at a specified future time and price. Non-deliverable bond forwards are marked-to-market daily using market quotations. Unrealized gains or losses on non-deliverable bond forwards are recorded by a Fund on a daily basis, and realized gains or losses are recorded on the termination date or sale of a contract

Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for certain derivative contracts. Non-cash collateral pledged by the Funds, if any, is noted on the Schedule of Investments.

Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.

Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

Swap Contracts —Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.

A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.

As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.

The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.

A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.

A cross currency swap is an agreement which a Fund may enter into to gain or mitigate exposure to currency risk. A cross currency swap is an agreement to exchange cash flows on a notional amount of two or more currencies based on the relative value differential among them. Such swaps may involve initial and final exchanges that correspond to the agreed upon notional amount. Cross currency swaps usually involve the delivery of the entire principal value of one designated currency in exchange for another designated currency. Therefore, the entire principal value of a cross currency swap is subject to risk that the other party to the swap will default on its contractual delivery obligations. If there is a default by the counterparty, the Fund may have contractual remedies pursuant to the agreements related to the transactions.

Short Term Investments — Short-term investments having a maturity of 60 days or less are valued using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.

Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximate fair value, and are generally classified as Level 2 of the fair value hierarchy.

Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by a Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of a Master Repurchase Agreement. When a Fund enters into a reverse repurchase agreement, it is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer.

Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Foreign Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Funds invest. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Funds have exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Funds also invest in securities of issuers located in emerging markets, these risks may be more pronounced.

Foreign Custody Risk — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.

Interest Rate Risk— When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. A Fund will identify liquid assets on its books or otherwise cover transactions that may give rise to such risk, to the extent required by applicable law. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy its obligations or to meet segregation requirements when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s investment portfolio may be subject.

Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity

securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.

Senior Loans hold the most senior position in the capital structure of a business entity, and are typically secured with specific collateral, but are nevertheless usually rated below investment grade. Because Second Lien Loans are subordinated or unsecured and thus lower in priority of payment to Senior Loans, they are subject to the additional risk that the cash flow of the borrower and property securing the loan or debt, if any, may be insufficient to meet scheduled payments after giving effect to the senior secured obligations of the borrower. Second Lien Loans generally have greater price volatility than Senior Loans and may be less liquid.

Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.

Non-Diversification Risk — The Funds are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that a Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks, including counterparty risk. If the value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.

Tax Risk — The Strategic Macro Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) has issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes or a wholly-owned foreign subsidiary that invests in commodity-linked instruments are “qualifying income” for purposes of compliance with Subchapter M of the Code. However, the Strategic Macro Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLR, pending review of its position on this matter. The IRS also recently issued proposed regulations that, if finalized, would generally treat the Strategic Macro Fund’s income inclusion with respect to a subsidiary as qualifying income only if there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion. The proposed regulations, if adopted, would apply to taxable years beginning on or after 90 days after the regulations are published as final.

The IRS also recently issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. Strategic Macro Fund has obtained an opinion of counsel that the Portfolio’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Strategic Macro Fund’s income from such investments was not “qualifying income,” in which case the Strategic Macro Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% its gross income was derived from these investments. If the Strategic Macro Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Strategic Macro Fund shareholders.


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – 25.8%
Automotive – 0.6%
Ford Motor Credit Co. LLC
$	2,175,000		5.875	%	08/02/21	$ 2,425,417
General Motors Financial Co., Inc.
	1,050,000		3.500		07/10/19	1,074,406

						3,499,823

Banks – 5.2%
Bank of America Corp.
	625,000		4.125		01/22/24	659,536
	575,000		4.000		04/01/24	602,524
	1,300,000		3.248	^(a)	10/21/27	1,256,233
	1,225,000		4.183	^(a)	11/25/27	1,245,929
	1,250,000		3.824	^(a)(b)	01/20/28	1,271,705
	100,000		6.110		01/29/37	122,395
Barclays PLC
	225,000		4.950		01/10/47	240,107
Citigroup, Inc.
	925,000		4.125		07/25/28	938,990
	225,000		6.250	^(a)(b)	08/15/49	249,188
Compass Bank
	275,000		1.850	^(a)	09/29/17	275,067
	475,000		5.500		04/01/20	504,675
Credit Agricole SA^(c)
	650,000		4.125		01/10/27	679,559
Credit Suisse Group AG^(a)(c)
	475,000		4.282		01/09/28	490,998
	200,000		7.500	^(b)	12/18/49	224,250
Credit Suisse Group Funding Guernsey Ltd.
	250,000		3.750		03/26/25	252,588
Deutsche Bank AG
	225,000		2.500		02/13/19	225,837
Discover Financial Services^(a)
	900,000		3.750		03/04/25	889,264
HSBC Holdings PLC^(a)(b)
	1,150,000		3.262		03/13/23	1,171,791
ING Bank NV^(a)(b)
	700,000		4.125		11/21/23	715,233
ING Groep NV
	425,000		3.150		03/29/22	433,095
Intesa Sanpaolo SpA
	950,000		3.875		01/16/18	958,786
JPMorgan Chase & Co.^(a)
	1,075,000		2.972		01/15/23	1,087,787
	1,200,000		3.625		12/01/27	1,187,714
	350,000		4.260	^(b)	02/22/48	366,139
	1,075,000		5.300	^(b)	05/01/49	1,119,344
Macquarie Bank Ltd.^(c)
	88,000		6.625		04/07/21	99,170
Mitsubishi UFJ Financial Group, Inc.
	525,000		2.950		03/01/21	533,516
	475,000		3.850		03/01/26	496,090
Mizuho Financial Group, Inc.^(c)
	850,000		2.632		04/12/21	849,993
Santander Bank NA
	400,000		8.750		05/30/18	423,992
Santander UK PLC^(c)
	575,000		5.000		11/07/23	616,410
Sumitomo Mitsui Financial Group, Inc.^(c)
	975,000		4.436		04/02/24	1,034,893


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
Synchrony Financial^(a)
$	1,675,000		3.000	%	08/15/19	$ 1,698,614
UBS Group Funding Switzerland AG^(c)
	1,275,000		4.125		09/24/25	1,336,500
UniCredit SpA^(c)
	2,050,000		3.750		04/12/22	2,099,493
	500,000		4.625		04/12/27	526,007
	550,000		5.861	^(a)(b)	06/19/32	562,603
Wells Fargo & Co.
	3,825,000		3.000		10/23/26	3,724,621
Westpac Banking Corp.^(a)(b)
	775,000		4.322		11/23/31	794,320

						31,964,956

Brokerage – 0.6%
Morgan Stanley, Inc.
	1,550,000		2.553	^(a)(b)	10/24/23	1,576,914
	325,000		3.875		04/29/24	337,769
	1,050,000		3.700		10/23/24	1,077,571
	50,000		4.000		07/23/25	52,187
	750,000		5.550	^(a)(b)	07/15/49	787,500

						3,831,941

Building Materials^(a)(c) – 0.1%
HD Supply, Inc.
	300,000		5.250		12/15/21	314,625

Chemicals – 0.5%
LyondellBasell Industries NV^(a)
	300,000		5.000		04/15/19	313,632
The Sherwin-Williams Co.
	725,000		2.250		05/15/20	726,622
	225,000		2.750	^(a)	06/01/22	224,866
	200,000		3.125	^(a)	06/01/24	201,013
	1,125,000		3.450	^(a)	06/01/27	1,132,431
Westlake Chemical Corp.^(a)
	325,000		3.600		08/15/26	322,562

						2,921,126

Consumer Cyclical Services^(a) – 0.2%
The Priceline Group, Inc.
	1,000,000		3.600		06/01/26	1,012,265

Consumer Products^(a) – 0.1%
Sally Holdings LLC/Sally Capital, Inc.
	450,000		5.625		12/01/25	460,687
Spectrum Brands, Inc.
	100,000		6.625		11/15/22	105,000

						565,687

Diversified Financial Services – 0.1%
GE Capital International Funding Co.
	551,000		4.418		11/15/35	599,702

Electric – 0.6%
Consumers Energy Co.^(a)
	850,000		3.950		05/15/43	879,305
Enel Finance International NV^(c)
	1,525,000		2.875		05/25/22	1,527,115


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Electric – (continued)
Puget Sound Energy, Inc.^(a)(b)
$	600,000		6.974	%	06/01/67	$ 576,750
The Southern Co.^(a)
	1,025,000		2.350		07/01/21	1,017,532

						4,000,702

Energy – 1.8%
Anadarko Petroleum Corp.
	475,000		8.700		03/15/19	523,883
	330,000		3.450	^(a)	07/15/24	322,352
	350,000		5.550	^(a)	03/15/26	391,127
	275,000		6.450		09/15/36	323,700
Antero Resources Corp.^(a)
	475,000		5.625		06/01/23	482,125
Apache Corp.^(a)
	100,000		3.250		04/15/22	101,458
	275,000		2.625		01/15/23	268,399
	650,000		4.250		01/15/44	608,834
Cenovus Energy, Inc.^(a)(c)
	350,000		4.250		04/15/27	333,419
ConocoPhillips Co.^(a)
	150,000		4.200		03/15/21	159,037
	155,000		3.350		11/15/24	158,031
	425,000		4.950		03/15/26	473,331
	400,000		4.150		11/15/34	401,959
Devon Energy Corp.^(a)
	250,000		3.250		05/15/22	248,461
	405,000		5.600		07/15/41	420,624
Halliburton Co.^(a)
	350,000		3.800		11/15/25	358,688
	250,000		4.850		11/15/35	267,278
Laredo Petroleum, Inc.^(a)
	150,000		6.250		03/15/23	148,875
Petrobras Global Finance BV
	260,000		8.375		05/23/21	291,108
	20,000		8.750		05/23/26	22,978
	1,060,000		7.375		01/17/27	1,121,215
	230,000		6.850		06/05/15	203,102
Petroleos de Venezuela SA
	5,140,000		6.000		10/28/22	1,709,008
Petroleos Mexicanos
	19,000		6.375		02/04/21	20,573
EUR	410,000		5.125		03/15/23	526,231
$	16,000		5.500		06/27/44	14,064
	10,000		6.375		01/23/45	9,768
Pioneer Natural Resources Co.^(a)
	525,000		3.450		01/15/21	539,391
	410,000		3.950		07/15/22	429,624

						10,878,643

Food & Beverage – 1.1%
Anheuser-Busch InBev Finance, Inc.^(a)
	2,425,000		2.650		02/01/21	2,457,514
	1,400,000		3.650		02/01/26	1,442,378
	225,000		4.900		02/01/46	253,944
Kraft Heinz Foods Co.^(a)
	525,000		2.800		07/02/20	532,853
	325,000		3.950		07/15/25	334,188
	700,000		4.375		06/01/46	685,534


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Food & Beverage – (continued)
Molson Coors Brewing Co.^(a)
$	300,000		2.100	%	07/15/21	$ 295,012
Suntory Holdings Ltd.^(c)
	550,000		2.550		09/29/19	554,437

						6,555,860

Food & Drug Retailers^(a) – 0.6%
CVS Health Corp.
	425,000		3.500		07/20/22	440,752
	1,525,000		3.375		08/12/24	1,550,205
	1,375,000		2.875		06/01/26	1,332,494
Walgreens Boots Alliance, Inc.
	200,000		2.700		11/18/19	203,142
	50,000		4.800		11/18/44	53,208

						3,579,801

Gaming – 0.1%
MGM Resorts International
	475,000		6.750		10/01/20	524,281

Health Care - Services – 0.4%
Aetna, Inc.^(a)
	400,000		2.800		06/15/23	399,306
CHS/Community Health Systems, Inc.^(a)
	100,000		8.000		11/15/19	100,500
Thermo Fisher Scientific, Inc.^(a)
	800,000		3.000		04/15/23	806,494
UnitedHealth Group, Inc.
	450,000		4.625		07/15/35	505,766
	500,000		6.875		02/15/38	710,199

						2,522,265

Health Care Products – 0.6%
Becton Dickinson & Co.
	414,000		2.675		12/15/19	419,069
	1,525,000		2.894	^(a)	06/06/22	1,529,767
	1,475,000		3.363	^(a)	06/06/24	1,478,372
	475,000		4.685	^(a)	12/15/44	489,186

						3,916,394

Life Insurance – 0.5%
Brighthouse Financial, Inc.^(a)(c)
	300,000		3.700		06/22/27	296,746
MetLife, Inc.
	150,000		4.050		03/01/45	151,014
Reliance Standard Life Global Funding II^(c)
	675,000		2.500		01/15/20	676,111
Teachers Insurance & Annuity Association of America^(c)
	295,000		4.900		09/15/44	330,188
The Dai-ichi Life Insurance Co. Ltd.^(a)(b)(c)
	800,000		4.000		07/23/49	792,800
The Northwestern Mutual Life Insurance Co.^(c)
	800,000		6.063		03/30/40	1,040,639

						3,287,498


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Media - Cable – 0.4%
Charter Communications Operating LLC/Charter Communications Operating Capital^(a)
$	275,000		4.464	%	07/23/22	$ 293,003
	925,000		4.908		07/23/25	999,295
SFR Group SA^(a)(c)
	1,000,000		6.000		05/15/22	1,045,000
Time Warner Cable LLC
	225,000		5.000		02/01/20	240,029

						2,577,327

Media - Non Cable – 0.3%
21st Century Fox America, Inc.
	1,125,000		4.000		10/01/23	1,188,160
NBCUniversal Media LLC
	458,000		4.450		01/15/43	486,242

						1,674,402

Metals & Mining^(c) – 0.5%
Glencore Finance Canada Ltd.
	880,000		2.700		10/25/17	881,319
	650,000		4.250		10/25/22	673,379
Glencore Funding LLC
	475,000		4.125		05/30/23	487,393
	950,000		4.000	^(a)	03/27/27	934,702

						2,976,793

Noncaptive - Financial – 0.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
	1,150,000		4.625		07/01/22	1,232,490
Capital One Financial Corp.^(a)
	700,000		4.200		10/29/25	705,839
General Electric Co.
MXN	2,000,000		8.500		04/06/18	110,603
$	200,000		6.150		08/07/37	263,359
	172,000		5.875		01/14/38	222,590
International Lease Finance Corp.^(c)
	575,000		7.125		09/01/18	608,550
Park Aerospace Holdings Ltd.^(c)
	400,000		5.250		08/15/22	417,139
	200,000		5.500		02/15/24	208,277
Roper Technologies, Inc.^(a)
	475,000		3.000		12/15/20	486,159
	800,000		3.800		12/15/26	821,962

						5,076,968

Packaging^(a) – 0.2%
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
	575,000		5.750		10/15/20	587,219
	550,000		5.125	^(c)	07/15/23	569,250

						1,156,469

Pharmaceuticals – 1.3%
AbbVie, Inc.^(a)
	550,000		2.500		05/14/20	556,376
Allergan Funding SCS
	1,125,000		2.350		03/12/18	1,129,697
	150,000		4.850	^(a)	06/15/44	162,218
Bayer US Finance LLC^(c)
	1,025,000		3.000		10/08/21	1,045,689


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Pharmaceuticals – (continued)
EMD Finance LLC^(a)(c)
$	1,500,000		2.950	%	03/19/22	$ 1,526,631
Forest Laboratories LLC^(a)(c)
	278,000		4.375		02/01/19	286,695
	425,000		5.000		12/15/21	464,017
Mylan NV^(a)
	1,675,000		3.950		06/15/26	1,697,175
Teva Pharmaceutical Finance Netherlands III BV
	375,000		3.150		10/01/26	356,129
Valeant Pharmaceuticals International, Inc.^(a)(c)
	450,000		7.000		03/15/24	474,188

						7,698,815

Pipelines – 1.8%
Enbridge, Inc.^(a)
	325,000		3.500		06/10/24	324,858
Energy Transfer LP^(a)
	350,000		4.650		06/01/21	369,207
	70,000		3.600		02/01/23	70,324
	100,000		4.750		01/15/26	104,032
Enterprise Products Operating LLC^(a)(b)
	1,075,000		4.877		08/01/66	1,079,031
Kinder Morgan Energy Partners LP^(a)
	1,025,000		3.500		09/01/23	1,033,483
	300,000		4.250		09/01/24	309,970
Kinder Morgan, Inc.
	1,175,000		3.050	^(a)	12/01/19	1,195,414
	500		7.750		01/15/32	629
Plains All American Pipeline LP/PAA Finance Corp.^(a)
	600,000		3.650		06/01/22	612,095
	600,000		3.850		10/15/23	603,998
	825,000		4.500		12/15/26	834,363
Sabine Pass Liquefaction LLC^(a)
	800,000		6.250		03/15/22	905,899
	1,025,000		5.625		03/01/25	1,132,625
Sunoco Logistics Partners Operations LP^(a)
	200,000		4.250		04/01/24	202,288
Western Gas Partners LP^(a)
	525,000		3.950		06/01/25	521,584
Williams Partners LP^(a)
	915,000		3.600		03/15/22	934,816
	600,000		3.900		01/15/25	606,592

						10,841,208

Property/Casualty Insurance – 0.3%
American International Group, Inc.^(a)
	450,000		3.750		07/10/25	458,361
	600,000		4.800		07/10/45	640,364
The Chubb Corp.^(a)(b)
	500,000		3.408		03/29/67	496,250
The Hartford Financial Services Group, Inc.
	150,000		5.125		04/15/22	166,509

						1,761,484

Real Estate Investment Trust^(a) – 0.8%
American Campus Communities Operating Partnership LP
	800,000		3.750		04/15/23	823,075
Education Realty Operating Partnership LP
	750,000		4.600		12/01/24	761,297


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Real Estate Investment Trust^(a) – (continued)
National Retail Properties, Inc.
$	400,000		4.000	%	11/15/25	$ 409,038
Select Income REIT
	125,000		2.850		02/01/18	125,519
Trust F/1401^(c)
	300,000		5.250		12/15/24	316,485
VEREIT Operating Partnership LP
	575,000		3.000		02/06/19	581,469
	750,000		4.125		06/01/21	781,729
	450,000		4.875		06/01/26	474,750
WEA Finance LLC/Westfield UK & Europe Finance PLC^(c)
	900,000		3.750		09/17/24	911,344

						5,184,706

Retailers^(a) – 0.3%
Amazon.com, Inc.
	1,650,000		3.300		12/05/21	1,719,948
Dollar Tree, Inc.
	50,000		5.250		03/01/20	51,313
	150,000		5.750		03/01/23	158,250

						1,929,511

Schools – 0.1%
Rensselaer Polytechnic Institute
	350,000		5.600		09/01/20	379,228

Technology – 2.2%
Broadcom Corp./Broadcom Cayman Finance Ltd.^(a)(c)
	1,175,000		3.000		01/15/22	1,185,502
	1,375,000		3.625		01/15/24	1,406,622
	50,000		3.875		01/15/27	51,345
Cisco Systems, Inc.
	650,000		2.200		02/28/21	653,513
Fidelity National Information Services, Inc.^(a)
	1,000,000		3.625		10/15/20	1,047,543
Fiserv, Inc.^(a)
	675,000		2.700		06/01/20	682,953
Hewlett Packard Enterprise Co.^(a)
	525,000		4.900		10/15/25	550,409
Microsoft Corp.^(a)
	800,000		3.125		11/03/25	816,269
Nokia OYJ
	579,000		4.375		06/12/27	589,856
NXP BV/NXP Funding LLC^(c)
	1,950,000		4.625		06/01/23	2,106,000
Oracle Corp.^(a)
	775,000		2.500		05/15/22	782,355
QUALCOMM, Inc.^(a)
	800,000		2.600		01/30/23	797,082
	825,000		2.900		05/20/24	823,316
	725,000		3.250		05/20/27	726,657
Symantec Corp.^(a)(c)
	900,000		5.000		04/15/25	940,993
Tech Data Corp.
	400,000		3.750		09/21/17	401,215

						13,561,630


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Tobacco – 0.4%
Reynolds American, Inc.
$	700,000		4.850	%	09/15/23	$ 771,754
	1,375,000		4.450	^(a)	06/12/25	1,473,106

						2,244,860

Transportation^(c) – 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp.
	500,000		2.875		07/17/18	505,016
	750,000		3.050	^(a)	01/09/20	764,704

						1,269,720

Wireless Telecommunications – 0.8%
American Tower Corp.
	300,000		3.400		02/15/19	306,268
	275,000		3.300	^(a)	02/15/21	282,184
AT&T, Inc.^(a)
	250,000		2.800		02/17/21	252,652
	775,000		3.600		02/17/23	793,182
	600,000		4.125		02/17/26	615,161
Crown Castle International Corp.
	300,000		2.250	^(a)	09/01/21	295,141
	575,000		5.250		01/15/23	638,302
Digicel Ltd.^(a)(c)
	800,000		6.750		03/01/23	753,000
Sprint Communications, Inc.^(c)
	250,000		7.000		03/01/20	274,375
T-Mobile USA, Inc.^(a)
	405,000		4.000		04/15/22	421,200
Verizon Communications, Inc.
	100,000		4.125		03/16/27	103,278

						4,734,743

Wirelines Telecommunications – 2.3%
AT&T, Inc.^(a)
	1,250,000		3.200		03/01/22	1,265,250
	1,375,000		3.000		06/30/22	1,375,711
	400,000		4.450		04/01/24	421,079
	175,000		3.950		01/15/25	178,357
	2,150,000		3.400		05/15/25	2,113,644
Telefonica Emisiones SAU
	600,000		5.134		04/27/20	647,099
	150,000		5.462		02/16/21	164,989
	850,000		4.103		03/08/27	878,174
Verizon Communications, Inc.
	1,500,000		4.500		09/15/20	1,602,363
	281,000		2.946	^(c)	03/15/22	282,952
	2,100,000		5.150		09/15/23	2,332,653
	1,775,000		4.150	^(a)	03/15/24	1,868,399
	700,000		2.625		08/15/26	643,857

						13,774,527

TOTAL CORPORATE OBLIGATIONS (Cost $154,238,571)						$156,817,960


Mortgage-Backed Obligations – 32.1%
Adjustable Rate Non-Agency^(b) – 0.6%
Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA, Class A^(c)
EUR	956,901		2.750	%	04/20/20	$ 1,073,798


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate Non-Agency^(b) – (continued)
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA3, Class A1
$	457,115		1.356	%	07/25/47	$ 419,440
DSLA Mortgage Loan Trust Series 2006-AR2, Class 2A1A
	1,815,988		1.204		10/19/36	1,616,440
Lehman XS Trust Series 2007-4N, Class 1A1
	2		1.346		03/25/47	2
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1B
	251,942		1.892		12/25/46	252,203

TOTAL ADJUSTABLE RATE NON-AGENCY						$ 3,361,883

Collateralized Mortgage Obligations – 2.1%
Interest Only^(d) – 0.3%
FHLMC STRIPS Series 304, Class C45
$	408,615		3.000	%	12/15/27	$ 38,305
FNMA REMIC Series 2011-124, Class SC^(b)
	668,543		5.334		12/25/41	122,172
FNMA REMIC Series 2014-6, Class SA^(b)
	650,460		5.384		02/25/44	121,407
FNMA REMIC Series 2016-3, Class IP
	1,549,800		4.000		02/25/46	317,969
GNMA REMIC Series 2014-188, Class IB
	1,094,762		4.000		12/20/44	170,521
GNMA REMIC Series 2015-111, Class IM
	1,345,385		4.000		08/20/45	220,918
GNMA REMIC Series 2015-117, Class KI
	2,075,020		5.000		08/20/45	435,077
GNMA REMIC Series 2015-14, Class IO
	992,399		5.000		10/20/44	209,456
GNMA REMIC Series 2016-27, Class IA
	1,017,396		4.000		06/20/45	152,584

						1,788,409

Inverse Floaters^(b) – 1.1%
FHLMC REMIC Series 4314, Class SE
	1,129,819		4.891		03/15/44	199,569
FHLMC REMIC Series 4320, Class SD
	345,438		4.941		07/15/39	54,892
FHLMC REMIC Series 4326, Class GS
	619,334		4.891		04/15/44	108,686
FHLMC REMIC Series 4431, Class ST
	787,216		4.941		01/15/45	163,423
FHLMC REMIC Series 4583, Class ST
	2,220,101		4.841		05/15/46	433,258
FNMA REMIC Series 2010-126, Class LS
	1,125,574		3.950		11/25/40	176,888
FNMA REMIC Series 2011-63, Class FG
	163,895		1.666		07/25/41	164,747
FNMA REMIC Series 2012-5, Class SA
	859,600		4.734		02/25/42	148,345
FNMA REMIC Series 2012-88, Class SB
	577,530		5.454		07/25/42	108,233
FNMA REMIC Series 2013-121, Class SA
	733,608		4.884		12/25/43	116,235
FNMA REMIC Series 2013-130, Class SN
	1,202,713		5.434		10/25/42	230,780
FNMA REMIC Series 2013-96, Class SW
	331,639		4.884		09/25/43	53,405


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(b) – (continued)
FNMA REMIC Series 2014-87, Class MS
$	1,134,026		5.034	%	01/25/45	$ 182,886
FNMA REMIC Series 2015-28, Class PS
	1,907,839		4.384		08/25/44	284,803
FNMA REMIC Series 2015-79, Class SA
	614,167		5.034		11/25/45	102,071
FNMA REMIC Series 2015-81, Class SA
	2,264,733		4.484		11/25/45	320,250
FNMA REMIC Series 2015-82, Class MS
	740,412		4.484		11/25/45	108,333
FNMA REMIC Series 2015-86, Class BS
	342,738		4.484		11/25/45	49,346
FNMA REMIC Series 2016-1, Class SJ
	1,619,225		4.934		02/25/46	322,020
FNMA REMIC Series 2016-69, Class BS
	3,658,250		4.884		10/25/46	564,974
GNMA REMIC Series 2010-101, Class S
	638,832		4.788		08/20/40	102,940
GNMA REMIC Series 2010-20, Class SE
	1,331,146		5.038		02/20/40	224,744
GNMA REMIC Series 2010-31, Class SA
	497,903		4.538		03/20/40	74,771
GNMA REMIC Series 2012-149, Class MS
	142,254		5.038		12/20/42	23,961
GNMA REMIC Series 2013-113, Class SD
	495,535		5.528		08/16/43	88,329
GNMA REMIC Series 2013-134, Class DS
	181,590		4.888		09/20/43	29,744
GNMA REMIC Series 2013-152, Class SG
	570,579		4.938		06/20/43	94,725
GNMA REMIC Series 2013-167, Class SG
	266,315		4.938		11/20/43	43,841
GNMA REMIC Series 2013-181, Class SA
	752,730		4.888		11/20/43	126,906
GNMA REMIC Series 2014-132, Class SL
	945,217		4.888		10/20/43	136,721
GNMA REMIC Series 2014-133, Class BS
	459,682		4.388		09/20/44	65,627
GNMA REMIC Series 2014-162, Class SA
	434,297		4.388		11/20/44	63,546
GNMA REMIC Series 2014-41, Class SA
	204,466		4.888		03/20/44	34,336
GNMA REMIC Series 2015-110, Class MS
	3,114,934		4.498		08/20/45	473,586
GNMA REMIC Series 2015-119, Class SN
	634,972		5.038		08/20/45	108,952
GNMA REMIC Series 2015-123, Class SP
	667,568		5.038		09/20/45	113,010
GNMA REMIC Series 2015-126, Class HS
	292,791		4.988		09/20/45	48,926
GNMA REMIC Series 2015-167, Class AS
	499,918		5.038		11/20/45	80,787
GNMA REMIC Series 2015-168, Class SD
	310,791		4.988		11/20/45	51,254
GNMA REMIC Series 2015-57, Class AS
	2,564,138		4.388		04/20/45	372,795
GNMA REMIC Series 2015-64, Class SG
	1,551,237		4.388		05/20/45	267,071
GNMA REMIC Series 2016-4, Class SM
	1,049,886		4.438		01/20/46	149,620


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(b) – (continued)
GNMA REMIC Series 2016-6, Class SB
$	854,447		4.438	%	01/20/46	$ 124,295

						6,793,631

Planned Amortization Class – 0.0%
FNMA REMIC Series 2005-70, Class PA
	82,100		5.500		08/25/35	91,792

Sequential Fixed Rate – 0.3%
FNMA REMIC Series 2011-52, Class GB
	639,638		5.000		06/25/41	701,648
FNMA REMIC Series 2012-111, Class B
	59,033		7.000		10/25/42	68,063
FNMA REMIC Series 2012-153, Class B
	156,319		7.000		07/25/42	180,935
NCUA Guaranteed Notes Series A4
	600,000		3.000		06/12/19	615,514

						1,566,160

Sequential Floating Rate^(b) – 0.4%
Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A3
	1,916,764		1.274		11/25/36	1,366,204
FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M3
	260,000		4.324		10/25/27	288,251
FHLMC Structured Agency Credit Risk Debt Notes Series 2015-HQ2, Class M3
	1,000,000		4.274		05/25/25	1,102,460
FNMA Connecticut Avenue Securities Series 2014-C03, Class 1M1
	16,263		2.224		07/25/24	16,287

						2,773,202

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$ 13,013,194

Federal Agencies – 29.4%
Adjustable Rate FHLMC^(b) – 0.0%
$	48,746		3.040	%	09/01/35	$ 51,475

FHLMC – 1.3%
	2,378		5.000		05/01/18	2,438
	194,473		6.000		08/01/27	218,522
	19,490		5.000		08/01/33	21,203
	3,586		5.000		09/01/33	3,901
	4,966		5.000		10/01/33	5,403
	3,153		6.000		12/01/33	3,606
	4,857		5.000		11/01/34	5,307
	273,126		5.000		12/01/34	298,427
	7,399		5.000		07/01/35	8,084
	3,435		5.000		11/01/35	3,737
	33,271		6.500		08/01/37	38,859
	115,363		6.500		10/01/37	135,378
	21,579		6.500		09/01/38	24,814
	199,398		6.000		01/01/39	223,082
	194,297		7.000		02/01/39	224,971
	49,985		5.000		03/01/39	54,440
	12,520		5.000		05/01/39	13,636
	30,927		5.000		04/01/40	33,830
	6,135		5.000		08/01/40	6,707


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FHLMC – (continued)
$	743,303		5.500	%	08/01/40	$ 822,052
	75,625		4.000		02/01/41	79,893
	2,841		5.000		04/01/41	3,119
	4,973		5.000		06/01/41	5,436
	484,883		3.500		06/01/45	500,794
	383,286		3.500		10/01/45	395,743
	3,550,335		3.500		03/01/46	3,665,721
	922,450		3.500		06/01/46	957,619

						7,756,722

FNMA – 16.6%
	17,240		6.000		06/01/21	18,258
	34,531		5.000		08/01/23	36,643
	15,214		5.500		09/01/23	16,155
	9,252		5.500		10/01/23	9,863
	66,369		5.000		02/01/24	69,791
	125,564		5.500		05/01/25	128,653
	50,928		6.000		12/01/32	57,606
	991		5.500		03/01/33	1,103
	94,438		5.500		04/01/33	107,073
	224		6.000		05/01/33	255
	2,652		5.000		08/01/33	2,903
	642		5.500		09/01/33	720
	23,188		5.500		12/01/33	26,023
	108		6.000		12/01/33	123
	804		5.500		02/01/34	901
	10,501		6.000		02/01/34	11,893
	1,944		5.500		03/01/34	2,183
	164		5.500		04/01/34	185
	4,324		5.500		09/01/34	4,853
	1,754		5.500		10/01/34	1,963
	5,412		5.500		12/01/34	6,073
	32,546		5.000		04/01/35	35,798
	157		6.000		04/01/35	179
	4,229		5.500		05/01/35	4,700
	1,562		5.500		07/01/35	1,760
	103,245		6.000		07/01/35	117,736
	1,079		5.500		09/01/35	1,215
	125,451		6.000		09/01/35	142,121
	4,663		6.000		03/01/36	5,343
	6,185		6.000		04/01/36	7,083
	68		5.500		02/01/37	77
	139		5.500		04/01/37	157
	4,900		5.000		02/01/38	5,368
	10,844		5.500		02/01/38	12,054
	205		5.500		03/01/38	230
	217		5.500		06/01/38	244
	158		5.500		07/01/38	177
	151		5.500		08/01/38	170
	119		5.500		09/01/38	133
	142,044		6.000		11/01/38	158,904
	50		5.500		12/01/38	57
	55,008		6.000		12/01/38	62,572
	11,724		4.500		02/01/39	12,636
	121,032		7.000		03/01/39	140,171
	12,367		4.500		04/01/39	13,455
	3,093		5.500		06/01/39	3,476
	38,121		5.000		07/01/39	41,776
	13,971		4.500		08/01/39	15,205
	515,990		5.000		10/01/39	565,452
	2,607		5.500		11/01/39	2,930
	186,861		4.500		12/01/39	203,357
	172,037		4.500		06/01/40	185,357


Principal Amount		Interest Rate			Maturity Date			Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	89,281		4.500	%		08/01/41		$ 96,242
	34,010		3.500			11/01/41		35,144
	622,147		3.500			12/01/41		642,090
	160,750		5.000			12/01/41		176,248
	1,097,107		3.500			02/01/42		1,132,278
	1,385,281		3.500			03/01/42		1,429,689
	39,665		3.500			06/01/42		41,049
	449,317		3.500			07/01/42		463,721
	441,497		3.500			09/01/42		455,651
	23,166		3.500			10/01/42		23,974
	89,555		3.000			12/01/42		90,209
	214,041		3.000			01/01/43		215,603
	61,655		3.000			02/01/43		62,105
	21,564		3.000			03/01/43		21,722
	296,428		3.000			04/01/43		298,640
	45,150		3.000			05/01/43		45,493
	68,595		3.500			05/01/43		70,966
	66,586		3.000			06/01/43		67,093
	18,288		3.000			07/01/43		18,427
	1,072,378		3.500			07/01/43		1,105,987
	504,204		3.500			08/01/43		520,115
	39,810		3.500			09/01/43		41,186
	659,572		3.500			11/01/43		680,716
	98,678		3.500			01/01/44		102,089
	85,157		5.000			06/01/44		93,518
	32,398		3.500			03/01/45		33,296
	639,884		3.000			04/01/45		641,759
	252,207		3.500			04/01/45		260,531
	3,203,303		4.500			04/01/45		3,494,103
	378,537		4.500			05/01/45		413,138
	68,288		3.500			06/01/45		70,499
	26,463		3.500			09/01/45		27,353
	50,400		3.500			10/01/45		52,033
	47,473		3.500			11/01/45		49,010
	71,256		3.500			01/01/46		73,564
	927,650		3.500			06/01/46		962,763
	33,000,000		3.500			TBA-30yr	^(e)	33,886,875
	47,000,000		4.000			TBA-30yr	^(e)	49,366,092
	1,000,000		5.000			TBA-30yr	^(e)	1,092,344

								100,596,428

GNMA – 11.5%
	53,981		5.500			11/15/32		60,405
	33,848		5.500			01/15/33		37,580
	60,205		5.500			02/15/33		66,843
	60,568		5.500			03/15/33		67,246
	57,125		5.500			07/15/33		63,633
	34,879		5.500			08/15/33		38,725
	19,755		5.500			09/15/33		21,933
	40,649		5.500			04/15/34		45,063
	17,050		5.500			05/15/34		18,901
	284,175		5.500			09/15/34		315,033
	262,626		5.500			12/15/34		291,145
	241,737		5.500			01/15/35		268,137
	1,405		5.500			05/15/36		1,576
	35,983		5.000			11/15/40		39,358
	11,316		4.000			02/20/41		12,076
	17,436		4.000			11/20/41		18,429
	2,879		4.000			01/20/42		3,043
	9,366		4.000			04/20/42		9,899


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
GNMA – (continued)
$	4,968		4.000	%	10/20/42	$ 5,251
	1,649,239		4.000		08/20/43	1,743,233
	2,037,774		4.000		10/20/43	2,153,911
	10,148		4.000		03/20/44	10,724
	12,344		4.000		05/20/44	13,043
	860,958		4.000		11/20/44	909,757
	195,135		4.000		12/20/44	206,195
	57,174		4.000		05/20/45	60,272
	224,967		4.000		07/20/45	237,155
	1,938,234		4.000		08/20/45	2,043,247
	4,863,791		4.000		09/20/45	5,127,310
	6,138,618		4.000		10/20/45	6,467,370
	1,984,323		4.000		11/20/45	2,089,973
	6,064,550		4.000		01/20/46	6,383,650
	1,508,146		4.000		02/20/46	1,587,500
	793,309		4.000		03/20/46	835,051
	23,225,257		4.000		04/20/46	24,450,933
	840,694		4.000		05/20/46	885,060
	6,610,759		4.000		05/20/47	6,973,059
	4,000,000		4.000		06/20/47	4,221,719
	2,000,000		4.000		07/20/47	2,112,578

						69,896,016

TOTAL FEDERAL AGENCIES						$178,300,641

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $193,665,311)						$194,675,718


Agency Debentures – 1.5%
FHLB
$	2,400,000		4.625	%	09/11/20	$ 2,616,950
	400,000		5.375		08/15/24	479,320
FNMA
	4,000,000		1.875		09/24/26	3,796,520
	800,000		6.250		05/15/29	1,085,168
Tennessee Valley Authority
	1,200,000		3.875		02/15/21	1,288,740

TOTAL AGENCY DEBENTURES (Cost $9,118,299)						$ 9,266,698


Asset-Backed Securities^(b) – 17.3%
Collateralized Loan Obligations^(c) – 6.9%
ACIS CLO Ltd. Series 2013-1A, Class A1
$	3,025,600		1.894	%	04/18/24	$ 3,010,236
ACIS CLO Ltd. Series 2013-1A, Class B
	597,200		2.974		04/18/24	597,216
ACIS CLO Ltd. Series 2013-1A, Class C
	377,200		3.974		04/18/24	377,241
ACIS CLO Ltd. Series 2013-2A, Class BR
	364,311		2.073		10/14/22	364,362
ACIS CLO Ltd. Series 2013-2A, Class C1R
	600,000		2.323		10/14/22	599,998
Apidos CLO X Series 2012-10A, Class A
	2,797,456		2.459		10/30/22	2,797,840
BlueMountain CLO Ltd. Series 2014-2A, Class AR
	3,050,000		0.000		07/20/26	3,050,000
Crown Point CLO III Ltd. Series 2015-3A, Class A1A
	3,225,545		2.433		12/31/27	3,228,767
Crown Point CLO Ltd. Series 2012-1A, Class A1LA
	206,472		1.802		11/21/22	205,915


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(b) – (continued)
Collateralized Loan Obligations^(c) – (continued)
Crown Point CLO Ltd. Series 2012-1A, Class A2L
$	130,049		3.767	%	11/21/22	$ 130,206
Crown Point CLO Ltd. Series 2012-1A, Class A3L
	104,039		5.012		11/21/22	104,236
Cutwater Ltd. Series 2014-1A, Class A1AR
	3,000,000		2.469		07/15/26	2,998,494
Greywolf CLO V Ltd. Series 2015-1A, Class A1
	1,450,000		2.638		04/25/27	1,450,373
Halcyon Loan Advisors Funding Ltd. Series 2015-1A, Class A
	1,700,000		2.480		04/20/27	1,702,128
Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A
	2,300,000		2.428		07/25/27	2,296,858
Neuberger Berman CLO XIX Ltd. Series 2015-19A, Class A1R
	3,050,000		0.000		07/15/27	3,050,000
NewMark Capital Funding CLO Ltd. Series 2013-1A, Class A2
	2,500,000		2.184		06/02/25	2,501,965
OCP CLO Ltd. Series 2012-2A, Class A1R
	1,500,000		2.450		11/22/25	1,512,055
OFSI Fund V Ltd. Series 2013-5A, Class A1LA
	1,275,363		1.953		04/17/25	1,272,215
Regatta IV Funding Ltd. Series 2014-1A, Class A1
	1,538,552		2.448		07/25/26	1,538,598
Regatta IV Funding Ltd. Series 2014-1A, Class A1R^(a)
	1,550,000		1.000		07/25/26	1,550,000
Voya CLO Ltd. Series 2014-4A, Class A1R
	4,450,000		0.000		10/14/26	4,450,000
Whitehorse Ltd. Series 2014-9A, Class AR^(a)
	3,450,000		2.450		07/17/26	3,450,000

						42,238,703

Home Equity – 0.7%
Bear Stearns Asset Backed Securities Trust Series 2001-3, Class A2
	7,140		2.016		10/27/32	6,862
Bear Stearns Asset Backed Securities Trust Series 2002-2, Class A1
	2,912		1.684		10/25/32	2,902
CS First Boston Mortgage Securities Corp. Series 2001-HE17, Class A1
	1,340		1.644		01/25/32	1,224
GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 1A1
	46,591		7.000		09/25/37	47,311
GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 2A1
	33,176		7.000		09/25/37	34,185
Home Equity Asset Trust Series 2002-1, Class A4
	257		1.624		11/25/32	227
Home Equity Loan Trust Series 2007-FRE1, Class 2AV3
	1,400,000		1.254		04/25/37	1,219,308
Morgan Stanley Mortgage Loan Trust Series 2007-7AX, Class 1A
	3,458,616		1.244		04/25/37	1,622,243
Renaissance Home Equity Loan Trust Series 2003-2, Class A
	1,069		1.904		08/25/33	1,022
Renaissance Home Equity Loan Trust Series 2003-3, Class A
	3,441		2.024		12/25/33	3,383
Structured Asset Securities Corp. Mortgage Loan Trust Series 2006-BC6, Class A4
	1,212,025		1.194		01/25/37	1,165,105

						4,103,772

Other^(c) – 1.4%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	850,000		1.894		09/10/18	850,096


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(b) – (continued)
Other^(c) – (continued)
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
$	550,000		1.944	%	04/10/19	$ 550,128
Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	1,400,000		2.294		03/10/19	1,400,208
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	4,150,000		1.844		07/10/19	4,151,744
Station Place Securitization Trust Series 2015-2, Class A
	1,400,000		2.039		05/15/18	1,400,000

						8,352,176

Student Loan – 8.3%
Academic Loan Funding Trust Series 2012-1A, Class A2^(c)
	2,750,000		2.124		12/27/44	2,739,831
Access Group, Inc. Series 2004-1, Class A2
	2,786,047		1.363		09/26/33	2,753,852
Brazos Higher Education Authority, Inc. Series 2005-2, Class A11^(a)
	435,703		1.293		09/27/21	434,925
ECMC Group Student Loan Trust Series 2016-1A, Class A^(c)
	2,430,477		2.374		07/26/66	2,443,372
Edsouth Indenture No. 9 LLC Series 2015-1, Class A^(c)
	1,369,702		1.824		10/25/56	1,360,176
EFS Volunteer No. 2 LLC Series 2012-1, Class A2^(c)
	2,600,000		2.374		03/25/36	2,641,137
EFS Volunteer No. 3 LLC Series 2012-1, Class A3^(c)
	1,650,000		2.024		04/25/33	1,655,190
Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3
	1,500,000		2.060		07/20/43	1,471,946
Navient Student Loan Trust Series 2016-5A, Class A^(c)
	5,078,142		2.274		06/25/65	5,158,249
Navient Student Loan Trust Series 2016-7A, Class A^(c)
	2,522,637		2.174		03/25/66	2,551,450
Navient Student Loan Trust Series 2017-2A, Class A^(c)
	5,428,202		2.074		12/27/66	5,460,526
Nelnet Student Loan Trust Series 2006-1, Class A6^(c)
	2,600,000		1.503		08/23/36	2,485,367
Northstar Education Finance, Inc. Series 2007-1, Class A1^(a)
	550,000		1.139		04/28/30	541,799
PHEAA Student Loan Trust Series 2016-1A, Class A^(c)
	2,385,804		2.174		09/25/65	2,414,084
Scholar Funding Trust Series 2010-A, Class A^(c)
	585,678		1.789		10/28/41	577,204
SLM Student Loan Trust Series 2003-7A, Class A5A^(c)
	2,105,343		2.331		12/15/33	2,126,881
SLM Student Loan Trust Series 2004-8A, Class A6^(c)
	1,950,000		1.668		01/25/40	1,924,797
SLM Student Loan Trust Series 2005-4, Class A3
	386,923		1.158		01/25/27	384,820
SLM Student Loan Trust Series 2005-5, Class A4
	1,650,000		1.178		10/25/28	1,630,978
SLM Student Loan Trust Series 2005-5, Class A5
	550,000		1.788		10/25/40	537,658
SLM Student Loan Trust Series 2006-10, Class A5A
	1,007,691		1.138		04/25/27	1,005,823
SLM Student Loan Trust Series 2006-2, Class A5
	1,623,470		1.148		07/25/25	1,623,368
SLM Student Loan Trust Series 2007-7, Class A4
	1,106,883		1.368		01/25/22	1,089,879


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(b) – (continued)
Student Loan – (continued)
SLM Student Loan Trust Series 2008-2, Class A3
$	304,194		1.788	%	04/25/23	$ 302,652
SLM Student Loan Trust Series 2008-4, Class A4
	732,625		2.688		07/25/22	750,702
SLM Student Loan Trust Series 2008-5, Class A4
	2,232,637		2.738		07/25/23	2,287,380
SLM Student Loan Trust Series 2008-6, Class A4
	1,400,000		2.138		07/25/23	1,407,649
SLM Student Loan Trust Series 2008-8, Class A4
	850,000		2.538		04/25/23	869,335

						50,631,030

TOTAL ASSET-BACKED SECURITIES (Cost $103,895,890)						$105,325,681


Foreign Debt Obligations – 1.5%
Sovereign – 1.4%
Brazil Notas do Tesouro Nacional
BRL	1,852,000		10.000	%	01/01/27	$ 542,796
Dominican Republic
DOP	100,000		10.375		03/04/22	2,130
	300,000		14.500		02/10/23	7,206
$	210,000		6.600		01/28/24	230,213
	280,000		6.600	^(c)	01/28/24	306,950
	360,000		6.875	^(c)	01/29/26	400,950
	191,000		8.625		04/20/27	226,096
DOP	100,000		11.375		07/06/29	2,127
$	120,000		6.850		01/27/45	127,950
Perusahaan Penerbit SBSN^(c)
	260,000		4.325		05/28/25	268,450
	220,000		4.150		03/29/27	223,300
Republic of Argentina^(c)
	1,330,000		7.125		06/28/17	1,208,305
Republic of Colombia
	500,000		8.125		05/21/24	637,000
	260,000		4.500	^(a)	01/28/26	276,900
EUR	360,000		3.875	^(a)	03/22/26	468,224
$	300,000		5.000	^(a)	06/15/45	301,875
Republic of Ecuador
	460,000		9.650		12/13/26	461,725
	200,000		9.625	^(c)	06/02/27	199,750
Republic of Indonesia^(c)
	320,000		4.125		01/15/25	330,000
	1,060,000		4.750		01/08/26	1,138,175
United Mexican States
	530,000		3.625		03/15/22	550,140
MXN	1,125,400		7.750		11/23/34	66,772
$	250,000		4.750		03/08/44	250,250
MXN	48,700		8.000		11/07/47	2,944

						8,230,228

Supranational – 0.1%
Inter-American Development Bank
$	700,000		1.000		02/27/18	696,256

TOTAL FOREIGN DEBT OBLIGATIONS (Cost $8,713,624)						$ 8,926,484


Principal Amount		Interest Rate			Maturity Date	Value
Structured Notes – 0.9%
Arab Republic of Egypt (Issuer Citibank NA)
EGP	9,310,000		0.000	%^(c)(f)	08/10/17	$ 503,762
	5,875,000		0.000		08/17/17	316,738
	11,730,000		0.000	^(c)(f)	11/02/17	605,118
	5,375,000		0.000		02/08/18	264,128
	30,620,000		0.000	^(c)(f)	05/03/18	1,449,262
Arab Republic of Egypt (Issuer HSBC Bank PLC)^(c)(f)
	6,225,000		0.000		09/14/17	330,275
Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA)^(c)(f)
	10,100,000		0.000		02/15/18	494,488
	6,675,000		0.000		05/17/18	312,668
Notas do Tesouro Nacional Series B (Issuer HSBC Corp.)
	4,525,911		6.000		08/15/40	1,425,864

TOTAL STRUCTURED NOTES (Cost $6,729,753)						$ 5,702,303


Municipal Debt Obligations – 1.0%
California^(a) – 0.4%
California State GO Bonds Build America Taxable Series 2009
$	210,000		7.550	%	04/01/39	$ 320,611
California State GO Bonds Build America Taxable Series 2010
	625,000		7.950		03/01/36	713,038
East Bay Municipal Utility Disrtict Water System RB Build America SubSeries 2010
	900,000		5.874		06/01/40	1,190,223

						2,223,872

Illinois – 0.1%
Illinois State GO Bonds Build America Series 2010^(a)
	500,000		7.350		07/01/35	534,995
Illinois State GO Bonds Taxable-Pension Series 2003
	115,000		5.100		06/01/33	107,654

						642,649

New York^(a) – 0.1%
Port Authority of New York & New Jersey Consolidated Bonds-192 Series 2015
	375,000		4.810		10/15/65	434,572

Ohio^(a) – 0.1%
American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010
	250,000		6.270		02/15/50	310,533

Puerto Rico^(a) – 0.3%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A
	85,000		6.000		07/01/38	68,637
	5,000		6.000		07/01/44	4,025
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A
	120,000		5.500		07/01/28	97,428
	20,000		5.750		07/01/37	15,950
	35,000		6.000		07/01/47	28,087


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Debt Obligations – (continued)
Puerto Rico^(a) – (continued)
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D
$	50,000		5.000	%	07/01/33	$ 38,875
Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A^(g)
	10,000		5.750		07/01/41	5,863
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A^(g)
	15,000		5.500		07/01/32	8,831
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B^(g)
	10,000		5.750		07/01/38	5,875
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A^(g)
	860,000		5.750		07/01/28	510,625
	170,000		5.000		07/01/41	96,687
Puerto Rico Commonwealth GO Bonds Series 2014 A^(g)
	400,000		8.000		07/01/35	243,000
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A^(g)
	10,000		5.250		07/01/27	5,938
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C^(f)^(g)
	15,000		0.000		08/01/37	982
	15,000		0.000		08/01/38	920
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A^(g)
	105,000		5.250		08/01/27	27,038
	495,000		6.750		08/01/32	127,462
	95,000		5.750		08/01/37	24,463
	15,000		6.375		08/01/39	3,863
	510,000		6.000		08/01/42	131,325
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A^(g)
	25,000		4.500		08/01/21	6,438
	50,000		0.000		08/01/33	10,875
	80,000		5.500		08/01/37	20,600
	135,000		5.375		08/01/39	34,762
	605,000		5.500		08/01/42	155,787
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C^(g)
	15,000		5.375		08/01/38	3,863
	290,000		6.000		08/01/39	74,675
	1,005,000		5.250		08/01/41	258,787
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1^(g)
	370,000		5.000		08/01/43	95,275
	125,000		5.250		08/01/43	32,187
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A^(g)
	130,000		5.500		08/01/28	33,475

						2,172,598

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $7,128,370)						$ 5,784,224


Government Guarantee Obligations^(h) – 0.9%
Hashemite Kingdom of Jordan Government AID Bond
$	1,600,000		2.503	%	10/30/20	$ 1,630,944
Israel Government AID Bond
	2,000,000		5.500		09/18/23	2,381,520
	300,000		5.500		12/04/23	356,517


Principal Amount		Interest Rate			Maturity Date	Value
Government Guarantee Obligations^(h) – (continued)
Israel Government AID Bond – (continued)
$	877,000		5.500	%	04/26/24	$ 1,044,980
	40,000		5.500		09/18/33	53,540

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS (Cost $5,392,564)						$ 5,467,501


U.S. Treasury Obligations – 21.5%
United States Treasury Bonds
$	3,960,000		2.750	%	11/15/42	$ 3,914,856
	5,990,000		3.625	⁽ⁱ⁾	02/15/44	6,903,535
	4,120,000		3.125		08/15/44	4,354,222
	2,080,000		3.000		11/15/44	2,147,059
	100,000		2.875		08/15/45	100,581
	6,560,000		3.000	⁽ⁱ⁾	11/15/45	6,759,424
	9,360,000		2.875		11/15/46	9,414,756
	1,660,000		3.000		05/15/47	1,713,867
United States Treasury Inflation Indexed Bonds
	9,413,619		0.125		04/15/18	9,384,249
	1,356,485		0.125		04/15/19	1,357,475
	365,425		0.125		04/15/20	366,123
	529,630		0.125		01/15/23	525,213
	3,279,833		0.625		01/15/24	3,328,900
	774,210		0.250		01/15/25	761,033
	536,821		0.875		02/15/47	521,817
United States Treasury Notes
	16,390,000		2.250		01/31/24	16,545,213
	8,070,000		2.125		03/31/24	8,075,487
	27,330,000		2.000		04/30/24	27,123,932
	19,300,000		2.000		05/31/24	19,143,285
	1,210,000		2.375		08/15/24	1,228,634
	4,360,000		2.250		11/15/25	4,361,351
United States Treasury Strip Coupon^(f)
	2,800,000		0.000		02/15/35	1,731,520
	1,800,000		0.000		02/15/36	1,080,216

TOTAL U.S. TREASURY OBLIGATIONS (Cost $129,949,441)						$130,842,748


Shares		Rate				Value
Preferred Stock^(a)(b) – 0.1%
Life Insurance – 0.1%
Delphi Financial Group, Inc.
	26,843		4.372%			$ 568,911
(Cost $597,116)



Notional Amount		Exercise Rate			Expiration Date	Value
Options Purchased – 0.0%
Interest Rate Swaptions – %
Morgan Stanley & Co. LLC Put - OTC - 10 year Interest Rate Swap
$	5,730,000		0.700	%	10/23/17	$ 12,299


Shares		Distribution Rate				Value
Investment Company^(b)(j) – 4.8%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	28,920,801		0.845%			$ 28,920,801
(Cost $28,920,801)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $648,385,501)						$652,311,328


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – 4.7%
Certificates of Deposit – 2.1%
Abbey National Treasury Services PLC
$	1,650,000		1.270	%	08/11/17	$ 1,650,128
Credit Suisse New York
	2,500,000		1.912		11/03/17	2,505,296
Societe Generale SA
	2,000,000		1.590		01/18/18	2,002,352
The Bank of Tokyo-Mitsubishi UFJ Ltd.
	2,500,000		1.690		01/25/18	2,503,651
UBS AG Stamford
	2,500,000		1.420		11/02/17	2,500,513
	2,000,000		1.530		12/19/17	2,001,171

						13,163,111

Commercial Paper – 2.6%
Danske Corp.
	2,750,000		0.000		07/05/17	2,749,466
Electricite de France SA^(f)
	2,700,000		0.000		01/05/18	2,675,336
Ford Motor Credit Co. LLC^(f)
	2,500,000		0.000		08/01/17	2,496,687
Monsanto Co.^(f)
	1,500,000		0.000		07/31/17	1,498,074
National Australia Bank Ltd.
	2,500,000		1.288		12/06/17	2,503,110
Swedbank^(f)
	3,750,000		0.000		07/18/17	3,747,832

						15,670,505

TOTAL SHORT-TERM INVESTMENTS (Cost $28,815,946)						$ 28,833,616

TOTAL INVESTMENTS – 112.1% (Cost $677,201,447)						$681,144,944

LIABILITIES IN EXCESS OF OTHER ASSETS – (12.1)%						(73,628,640)

NET ASSETS – 100.0%						$607,516,304



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(b)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $126,480,918, which represents approximately 20.8% of net assets as of June 30, 2017.

(d)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.



(e)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $84,345,311 which represents approximately 13.9% of net assets as of June 30, 2017.

(f)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(g)		Security is currently in default and/or non-income producing.

(h)		Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $5,467,501, which represents approximately 0.9% of net assets as of June 30, 2017.

(i)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(j)		Represents an Affiliated Fund.



Currency Abbreviations:
ARS		— Argentine Peso
AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CHF		— Swiss Franc
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
DOP		— Dominican Peso
EGP		— Egyptian Pound
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
INR		— Indian Rupee
JPY		— Japanese Yen
KRW		— South Korean Won
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RUB		— Russian Ruble
SEK		— Swedish Krona
SGD		— Singapore Dollar
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand

Investment Abbreviations:
AUDOR		— Australian Dollar Offered Rate
CDOR		— Canadian Dollar Offered Rate
CHFOR		— Swiss Franc Offered Rate
CLO		— Collateralized Loan Obligation
EURO		— Euro Offered Rate


FHLB		— Federal Home Loan Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GMAC		— General Motors Acceptance Corporation
GNMA		— Government National Mortgage Association
GO		— General Obligation
JYOR		— Japanese Yen Offered Rate
KWCDC		— South Korean Won Certificate of Deposit
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
NCUA		— National Credit Union Administration
NIBOR		— Norwegian Interbank Offered Rate
OTC		— Over the Counter
PLC		— Public Limited Company
RB		— Revenue Bond
REIT		— Real Estate Investment Trust
REMIC		— Real Estate Mortgage Investment Conduit
STIBOR		— Stockholm Interbank Offered Rate
STRIPS		— Separate Trading of Registered Interest and Principal of Securities


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FORWARD SALES CONTRACTS — At June 30, 2017, the Fund had the following forward sales contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – 33.5%
Automotive – 0.6%
Ford Motor Credit Co. LLC
$	3,250,000		5.875	%	08/02/21	$ 3,624,186
General Motors Financial Co., Inc.
	1,125,000		3.250		05/15/18	1,138,184
	1,755,000		3.500		07/10/19	1,795,793

						6,558,163

Banks – 6.4%
American Express Co.^(a)
	700,000		3.625		12/05/24	716,283
Bank of America Corp.
	3,050,000		4.125		01/22/24	3,218,534
	2,300,000		4.000		04/01/24	2,410,096
	2,550,000		3.248	^(a)	10/21/27	2,464,149
	100,000		3.824	^(a)(b)	01/20/28	101,736
	350,000		6.110		01/29/37	428,383
Barclays PLC
	400,000		4.950		01/10/47	426,856
Citigroup, Inc.
	1,300,000		4.600		03/09/26	1,364,142
	1,150,000		4.125		07/25/28	1,167,393
Compass Bank^(a)
	1,000,000		2.750		09/29/19	1,007,744
Credit Agricole SA^(c)
	1,100,000		4.125		01/10/27	1,150,024
Credit Suisse AG
	1,475,000		2.300		05/28/19	1,484,704
Credit Suisse Group AG^(a)(c)
	1,000,000		4.282		01/09/28	1,033,681
Credit Suisse Group Funding Guernsey Ltd.
	475,000		3.750		03/26/25	479,918
Deutsche Bank AG
	425,000		2.500		02/13/19	426,581
Discover Financial Services^(a)
	1,625,000		3.750		03/04/25	1,605,615
HSBC Holdings PLC^(a)(b)
	2,200,000		3.262		03/13/23	2,241,688
ING Bank NV^(a)(b)
	2,025,000		4.125		11/21/23	2,069,068
ING Groep NV
	750,000		3.150		03/29/22	764,285
Intesa Sanpaolo SpA
	2,800,000		3.875		01/16/18	2,825,894
JPMorgan Chase & Co.^(a)
	2,100,000		2.972		01/15/23	2,124,980
	650,000		4.260	^(b)	02/22/48	679,972
	2,250,000		5.300	^(b)	12/29/49	2,342,813
KBC Bank NV^(a)(b)
	1,400,000		8.000		01/25/23	1,442,000
KeyCorp
	4,350,000		2.900		09/15/20	4,425,246
Macquarie Bank Ltd.^(c)
	265,000		6.625		04/07/21	298,637
Mitsubishi UFJ Financial Group, Inc.
	700,000		3.850		03/01/26	731,079
Mizuho Financial Group, Inc.^(c)
	2,175,000		2.632		04/12/21	2,174,983
Santander Bank NA
	975,000		8.750		05/30/18	1,033,481


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
Santander Holdings USA, Inc.^(a)
$	650,000		2.650	%	04/17/20	$ 648,339
Santander UK PLC^(c)
	1,025,000		5.000		11/07/23	1,098,818
Synchrony Financial^(a)
	1,625,000		2.600		01/15/19	1,633,678
	1,900,000		3.000		08/15/19	1,926,786
The Bank of Tokyo-Mitsubishi UFJ Ltd.^(c)
	2,700,000		2.150		09/14/18	2,705,629
The Toronto-Dominion Bank^(a)(b)
	925,000		3.625		09/15/31	917,767
UBS Group Funding Switzerland AG^(c)
	2,550,000		4.125		09/24/25	2,672,999
UniCredit SpA^(c)
	5,925,000		3.750		04/12/22	6,068,047
	1,150,000		4.625		04/12/27	1,209,816
Wells Fargo & Co.
	2,700,000		3.000		10/23/26	2,629,144
Westpac Banking Corp.^(a)(b)
	1,450,000		4.322		11/23/31	1,486,147

						65,637,135

Brokerage – 1.0%
Morgan Stanley, Inc.
	2,575,000		2.553	^(a)(b)	10/24/23	2,619,712
	4,700,000		3.700		10/23/24	4,823,413
	700,000		4.000		07/23/25	730,615
	175,000		3.625		01/20/27	176,258
TD Ameritrade Holding Corp.^(a)
	1,950,000		2.950		04/01/22	1,995,425

						10,345,423

Chemicals – 0.8%
Ecolab, Inc.
	975,000		5.500		12/08/41	1,194,307
LYB International Finance II BV^(a)
	1,825,000		3.500		03/02/27	1,798,976
The Sherwin-Williams Co.
	1,250,000		2.250		05/15/20	1,252,796
	400,000		2.750	^(a)	06/01/22	399,761
	325,000		3.125	^(a)	06/01/24	326,646
	1,900,000		3.450	^(a)	06/01/27	1,912,549
Westlake Chemical Corp.^(a)
	925,000		3.600		08/15/26	918,062

						7,803,097

Consumer Products – 0.1%
Kimberly-Clark Corp.
	825,000		3.700		06/01/43	799,856

Diversified Financial Services – 0.1%
GE Capital International Funding Co.
	1,110,000		4.418		11/15/35	1,208,111

Diversified Manufacturing^(a) – 0.2%
Roper Technologies, Inc.
	1,300,000		3.000		12/15/20	1,330,541
	1,000,000		2.800		12/15/21	1,008,514

						2,339,055


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Electric – 1.9%
Dominion Energy, Inc.
$	2,175,000		2.579	%	07/01/20	$ 2,186,236
Emera US Finance LP^(a)
	950,000		2.700		06/15/21	951,454
Enel Finance International NV^(c)
	2,550,000		2.875		05/25/22	2,553,537
Entergy Corp.^(a)
	1,025,000		2.950		09/01/26	981,502
Exelon Corp.^(a)
	1,125,000		3.497		06/01/22	1,149,346
Florida Power & Light Co.^(a)
	1,532,000		4.125		02/01/42	1,622,670
NiSource Finance Corp.^(a)
	2,525,000		3.490		05/15/27	2,542,375
Pacific Gas & Electric Co.^(a)
	975,000		3.500		06/15/25	1,008,058
Puget Sound Energy, Inc.^(a)(b)
	1,230,000		6.974		06/01/67	1,182,338
Ruwais Power Co. PJSC^(c)
	740,000		6.000		08/31/36	853,775
Southern California Edison Co.^(a)
	1,950,000		4.050		03/15/42	2,040,041
The Southern Co.^(a)
	1,975,000		2.350		07/01/21	1,960,610

						19,031,942

Energy – 1.6%
Anadarko Petroleum Corp.
	950,000		8.700		03/15/19	1,047,765
	190,000		3.450	^(a)	07/15/24	185,597
	600,000		5.550	^(a)	03/15/26	670,503
	1,125,000		6.450		09/15/36	1,324,229
Apache Corp.^(a)
	275,000		3.250		04/15/22	279,009
	400,000		2.625		01/15/23	390,398
	1,375,000		4.250		01/15/44	1,287,919
Cenovus Energy, Inc.^(a)(c)
	600,000		4.250		04/15/27	571,576
ConocoPhillips Co.^(a)
	310,000		3.350		11/15/24	316,063
	900,000		4.950		03/15/26	1,002,347
	900,000		4.150		11/15/34	904,408
Devon Energy Corp.^(a)
	250,000		4.000		07/15/21	257,643
	425,000		5.600		07/15/41	441,396
Dolphin Energy Ltd.^(c)
	261,087		5.888		06/15/19	267,614
Halliburton Co.^(a)
	1,600,000		3.250		11/15/21	1,640,317
Petroleos Mexicanos
	250,000		5.500		02/04/19	261,313
	628,000		6.375		02/04/21	679,998
EUR	1,250,000		5.125		03/15/23	1,604,363
$	10,000		6.625		06/15/35	10,350
	27,000		5.500		06/27/44	23,733
	20,000		6.375		01/23/45	19,536
	190,000		5.625		01/23/46	168,435
Pioneer Natural Resources Co.^(a)
	1,450,000		3.450		01/15/21	1,489,747
	295,000		3.950		07/15/22	309,120


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Energy – (continued)
Valero Energy Corp.
$	950,000		3.650	%	03/15/25	$ 968,668

						16,122,047

Food & Beverage – 2.4%
Amazon.com, Inc.^(a)
	1,650,000		3.300		12/05/21	1,719,948
Anheuser-Busch InBev Finance, Inc.^(a)
	6,000,000		2.650		02/01/21	6,080,448
	2,325,000		3.650		02/01/26	2,395,378
	600,000		4.900		02/01/46	677,185
CVS Health Corp.^(a)
	1,100,000		4.125		05/15/21	1,162,962
	2,100,000		3.500		07/20/22	2,177,832
Kraft Heinz Foods Co.^(a)
	1,050,000		2.800		07/02/20	1,065,706
	675,000		5.200		07/15/45	730,233
	125,000		4.375		06/01/46	122,417
Molson Coors Brewing Co.^(a)
	525,000		2.100		07/15/21	516,270
	725,000		3.000		07/15/26	697,338
Pernod-Ricard SA^(c)
	2,300,000		4.450		01/15/22	2,466,019
Smithfield Foods, Inc.^(c)
	1,200,000		2.700		01/31/20	1,206,327
Suntory Holdings Ltd.^(c)
	2,550,000		2.550		09/29/19	2,570,573
Walgreens Boots Alliance, Inc.^(a)
	1,075,000		3.450		06/01/26	1,072,727

						24,661,363

Health Care - Services – 0.3%
Aetna, Inc.^(a)
	750,000		2.800		06/15/23	748,698
Cigna Corp.^(a)
	1,675,000		3.250		04/15/25	1,681,531
UnitedHealth Group, Inc.
	950,000		4.625		07/15/35	1,067,728

						3,497,957

Health Care Products – 1.5%
Becton Dickinson & Co.
	1,743,000		2.675		12/15/19	1,764,341
	2,575,000		2.894	^(a)	06/06/22	2,583,050
	2,450,000		3.363	^(a)	06/06/24	2,455,601
	825,000		4.685	^(a)	12/15/44	849,639
C.R. Bard, Inc.^(a)
	2,200,000		3.000		05/15/26	2,207,117
Medtronic, Inc.
	1,275,000		3.150		03/15/22	1,319,417
Stryker Corp.^(a)
	575,000		2.625		03/15/21	580,977
	1,175,000		3.375		11/01/25	1,195,782
Thermo Fisher Scientific, Inc.^(a)
	1,325,000		3.000		04/15/23	1,335,756
	1,025,000		3.650		12/15/25	1,054,504

						15,346,184


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Life Insurance – 0.6%
AIA Group Ltd.^(a)(c)
$	925,000		3.200	%	03/11/25	$ 916,767
Brighthouse Financial, Inc.^(a)(c)
	500,000		3.700		06/22/27	494,575
MetLife, Inc.
	250,000		4.050		03/01/45	251,690
Reliance Standard Life Global Funding II^(c)
	2,050,000		2.500		01/15/20	2,053,374
Teachers Insurance & Annuity Association of America^(c)
	560,000		4.900		09/15/44	626,798
The Northwestern Mutual Life Insurance Co.^(c)
	1,200,000		6.063		03/30/40	1,560,959

						5,904,163

Lodging^(a) – 0.3%
Marriott International, Inc.
	766,000		2.875		03/01/21	777,301
	2,375,000		2.300		01/15/22	2,343,745

						3,121,046

Media - Cable – 0.4%
Charter Communications Operating LLC/Charter Communications Operating Capital^(a)
	475,000		4.464		07/23/22	506,096
	1,975,000		4.908		07/23/25	2,133,630
	200,000		6.484		10/23/45	240,043
Time Warner Cable LLC
	425,000		5.000		02/01/20	453,388
	275,000		5.875	^(a)	11/15/40	306,521

						3,639,678

Media - Non Cable – 0.6%
21st Century Fox America, Inc.^(a)
	2,000,000		3.700		09/15/24	2,090,804
NBCUniversal Media LLC
	3,850,000		4.375		04/01/21	4,149,853

						6,240,657

Metals & Mining^(c) – 0.5%
Glencore Funding LLC
	3,075,000		2.700		10/25/17	3,079,610
	900,000		4.125		05/30/23	923,481
	1,183,000		4.625		04/29/24	1,236,708

						5,239,799

Noncaptive - Financial – 0.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
	2,075,000		4.625		07/01/22	2,223,839
General Electric Co.
	337,000		6.150		08/07/37	443,760
International Lease Finance Corp.^(c)
	1,400,000		7.125		09/01/18	1,481,686

						4,149,285


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Pharmaceuticals – 1.8%
Allergan Funding SCS
$	2,200,000		2.350	%	03/12/18	$ 2,209,185
	150,000		4.850	^(a)	06/15/44	162,218
Bayer US Finance LLC^(c)
	2,775,000		3.000		10/08/21	2,831,011
EMD Finance LLC^(a)(c)
	3,325,000		2.950		03/19/22	3,384,032
Forest Laboratories LLC^(a)(c)
	841,000		4.375		02/01/19	867,305
	900,000		5.000		12/15/21	982,624
Mylan NV^(a)
	2,775,000		3.950		06/15/26	2,811,738
Shire Acquisitions Investments Ireland DAC
	2,550,000		1.900		09/23/19	2,538,160
	2,125,000		3.200	^(a)	09/23/26	2,077,940
Teva Pharmaceutical Finance Netherlands III BV
	650,000		3.150		10/01/26	617,291

						18,481,504

Pipelines^(a) – 2.4%
Columbia Pipeline Group, Inc.
	925,000		3.300		06/01/20	947,770
Enbridge, Inc.
	1,100,000		2.900		07/15/22	1,097,800
Energy Transfer LP
	1,375,000		4.650		06/01/21	1,450,454
	775,000		5.200		02/01/22	833,268
	210,000		3.600		02/01/23	210,972
EnLink Midstream Partners LP
	1,150,000		4.150		06/01/25	1,135,640
	700,000		4.850		07/15/26	728,293
Enterprise Products Operating LLC
	215,000		3.350		03/15/23	220,767
	85,000		3.750		02/15/25	87,533
	2,125,000		4.877	^(b)	08/01/66	2,132,969
	1,350,000		3.979	^(b)	06/01/67	1,299,375
Kinder Morgan Energy Partners LP
	425,000		5.400		09/01/44	428,647
Kinder Morgan, Inc.
	4,375,000		3.050		12/01/19	4,451,011
Plains All American Pipeline LP/PAA Finance Corp.
	525,000		3.650		06/01/22	535,583
	650,000		4.500		12/15/26	657,377
Sabine Pass Liquefaction LLC
	1,475,000		6.250		03/15/22	1,670,252
	1,875,000		5.625		03/01/25	2,071,875
Western Gas Partners LP
	1,050,000		3.950		06/01/25	1,043,168
Williams Partners LP
	785,000		3.600		03/15/22	802,001
	1,600,000		3.900		01/15/25	1,617,578
	1,175,000		4.000		09/15/25	1,196,627

						24,618,960

Property/Casualty Insurance – 0.6%
American International Group, Inc.^(a)
	1,000,000		3.750		07/10/25	1,018,580
	1,100,000		4.800		07/10/45	1,174,001
Arch Capital Group Ltd.
	1,125,000		7.350		05/01/34	1,517,777
The Chubb Corp.^(a)(b)
	1,125,000		3.408		03/29/67	1,116,563


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Property/Casualty Insurance – (continued)
The Hartford Financial Services Group, Inc.
$	250,000		5.125	%	04/15/22	$ 277,514
Willis North America, Inc.^(a)
	750,000		3.600		05/15/24	757,557

						5,861,992

Real Estate Investment Trusts – 1.7%
American Campus Communities Operating Partnership LP^(a)
	2,575,000		3.750		04/15/23	2,649,273
CubeSmart LP^(a)
	1,500,000		4.000		11/15/25	1,532,033
Healthcare Trust of America Holdings LP^(a)
	2,275,000		3.700		04/15/23	2,321,010
Kilroy Realty LP
	2,375,000		6.625		06/01/20	2,634,908
	1,500,000		3.800	^(a)	01/15/23	1,545,953
National Retail Properties, Inc.^(a)
	1,150,000		4.000		11/15/25	1,175,983
Ventas Realty LP^(a)
	1,550,000		3.100		01/15/23	1,555,175
	975,000		3.500		02/01/25	968,681
VEREIT Operating Partnership LP^(a)
	825,000		4.875		06/01/26	870,375
Welltower, Inc.^(a)
	1,557,000		4.125		04/01/19	1,603,442

						16,856,833

Schools – 0.3%
Rensselaer Polytechnic Institute
	2,600,000		5.600		09/01/20	2,817,126

Technology - Hardware – 1.8%
Broadcom Corp./Broadcom Cayman Finance Ltd.^(a)(c)
	1,200,000		3.000		01/15/22	1,210,726
	950,000		3.875		01/15/27	975,555
Cisco Systems, Inc.
	3,875,000		1.400		09/20/19	3,848,336
DXC Technology Co.^(a)(c)
	1,500,000		4.250		04/15/24	1,551,944
Fidelity National Information Services, Inc.^(a)
	2,575,000		3.625		10/15/20	2,697,423
Hewlett Packard Enterprise Co.^(a)
	1,025,000		4.900		10/15/25	1,074,608
NXP BV/NXP Funding LLC^(c)
	725,000		4.125		06/15/20	761,482
	1,975,000		4.125		06/01/21	2,079,675
	225,000		4.625		06/01/23	243,000
QUALCOMM, Inc.^(a)
	1,325,000		2.600		01/30/23	1,320,166
	1,375,000		2.900		05/20/24	1,372,194
	1,225,000		3.250		05/20/27	1,227,800

						18,362,909

Tobacco – 1.0%
BAT International Finance PLC^(c)
	7,250,000		2.750		06/15/20	7,344,707
Reynolds American, Inc.^(a)
	3,125,000		4.450		06/12/25	3,347,969

						10,692,676


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Transportation^(c) – 0.6%
ERAC USA Finance LLC
$	3,525,000		2.350	%	10/15/19	$ 3,530,478
Penske Truck Leasing Co. LP/PTL Finance Corp.
	1,225,000		3.375	^(a)	02/01/22	1,254,871
	1,425,000		4.250		01/17/23	1,511,044

						6,296,393

Wirelines Telecommunications – 3.6%
American Tower Corp.^(a)
	1,025,000		3.300		02/15/21	1,051,777
AT&T, Inc.
	2,075,000		2.300		03/11/19	2,087,307
	500,000		2.800	^(a)	02/17/21	505,304
	2,200,000		3.200	^(a)	03/01/22	2,226,840
	2,450,000		3.800		03/15/22	2,535,831
	2,400,000		3.000	^(a)	06/30/22	2,401,241
	1,354,000		3.600	^(a)	02/17/23	1,385,765
	3,525,000		3.400	^(a)	05/15/25	3,465,392
	100,000		4.125	^(a)	02/17/26	102,527
Telefonica Emisiones SAU
	3,875,000		5.462		02/16/21	4,262,225
Verizon Communications, Inc.
	3,300,000		4.500		09/15/20	3,525,199
	6,323,000		2.946	^(c)	03/15/22	6,366,932
	5,650,000		5.150		09/15/23	6,275,946

						36,192,286

TOTAL CORPORATE OBLIGATIONS (Cost $334,971,997)						$ 341,825,640


Mortgage-Backed Obligations – 27.4%
Adjustable Rate Non-Agency^(b) – 0.2%
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A
$	544,719		1.484	%	01/19/36	$ 367,081
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A
	1,007,768		1.542		12/25/46	989,014
Sequoia Mortgage Trust Series 2003-4, Class 1A2
	647,724		1.999		07/20/33	632,557
Washington Mutual Mortgage Pass-Through Certificates Series 2002-AR19, Class A7
	42,235		2.849		02/25/33	43,416

TOTAL ADJUSTABLE RATE NON-AGENCY						$ 2,032,068

Collateralized Mortgage Obligations – 1.0%
Interest Only^(b)(d) – 0.0%
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X
$	180,855		0.000	%	07/25/33	$ —
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X
	191,187		0.000		08/25/33	—

						—


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(b) – 0.0%
GNMA REMIC Series 2002-13, Class SB
$	63,376		32.099	%	02/16/32	$ 99,032

Planned Amortization Class – 0.0%
FNMA REMIC Series 2003-134, Class ME
	12,011		4.500		06/25/33	12,147
FNMA REMIC Series 2004-64, Class BA
	4,180		5.000		03/25/34	4,195

						16,342

Sequential Fixed Rate – 1.0%
FHLMC REMIC Series 2755, Class ZA
	658,838		5.000		02/15/34	723,226
FHLMC REMIC Series 4273, Class PD
	1,554,470		6.500		11/15/43	1,791,721
FNMA REMIC Series 2011-52, Class GB
	1,478,274		5.000		06/25/41	1,621,586
FNMA REMIC Series 2011-99, Class DB
	1,473,879		5.000		10/25/41	1,618,276
FNMA REMIC Series 2012-111, Class B
	255,811		7.000		10/25/42	294,940
FNMA REMIC Series 2012-153, Class B
	885,805		7.000		07/25/42	1,025,301
NCUA Guaranteed Notes Series A4
	3,500,000		3.000		06/12/19	3,590,497

						10,665,547

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$ 10,780,921

Commercial Mortgage-Backed Securities^(b) – 0.6%
Sequential Floating Rate – 0.6%
Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
$	5,968,077		6.090	%	12/10/49	$ 5,996,438

Federal Agencies – 25.6%
Adjustable Rate FNMA^(b) – 0.5%
$	6,765		3.086	%	06/01/33	$ 7,143
	960,699		3.362		07/01/34	1,013,142
	2,073,461		3.036		09/01/34	2,175,295
	1,512,401		3.490		05/01/35	1,598,339
	261,579		3.048		06/01/35	271,220

						5,065,139

FHLMC – 0.9%
	878		5.000		09/01/17	900
	3,139		5.000		10/01/17	3,219
	23		7.000		10/01/17	23
	3,273		5.000		11/01/17	3,359
	1,513		5.000		12/01/17	1,552
	2,536		5.000		01/01/18	2,584
	6,548		5.000		02/01/18	6,601
	5,500		5.000		03/01/18	5,553
	4,010		5.000		04/01/18	4,053
	2,617		5.000		05/01/18	2,646
	2,403		5.000		06/01/18	2,433
	5,866		5.000		07/01/18	5,947
	899		5.000		08/01/18	913


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FHLMC – (continued)
$	9,414		4.500	%	09/01/18	$ 9,565
	1,262		5.000		10/01/18	1,283
	1,933		5.000		11/01/18	1,967
	26,491		5.000		06/01/19	27,130
	66,385		5.000		05/01/23	72,062
	194,975		4.500		10/01/23	208,819
	48,696		5.500		10/01/25	53,905
	4,225		7.000		06/01/26	4,518
	11,190		7.500		12/01/30	11,722
	12,757		7.500		01/01/31	13,777
	348,844		5.500		03/01/33	385,990
	16,848		5.000		10/01/33	18,344
	58,176		6.500		10/01/33	67,495
	726		5.500		12/01/33	825
	22,678		5.500		09/01/34	25,402
	1,536		5.500		12/01/34	1,696
	1,478		5.500		03/01/35	1,633
	3,323		5.000		04/01/35	3,616
	25,361		5.000		07/01/35	27,710
	36,625		5.500		11/01/35	40,590
	137,863		5.000		12/01/35	151,730
	321		5.500		02/01/36	362
	57,938		5.500		06/01/36	64,035
	45,385		5.500		08/01/37	50,151
	267,735		5.000		01/01/38	293,196
	120,931		5.500		03/01/38	135,674
	52,473		5.500		04/01/38	58,870
	85,979		5.500		08/01/38	97,159
	2,020		5.500		09/01/38	2,266
	6,300		6.500		09/01/38	7,244
	7,717		5.500		11/01/38	8,791
	14,979		5.500		12/01/38	16,556
	671,369		5.000		01/01/39	730,986
	809,572		7.000		02/01/39	937,381
	4,064		5.500		03/01/39	4,495
	185,792		5.000		06/01/39	202,352
	5,599		5.500		10/01/39	6,281
	16,463		5.500		03/01/40	18,310
	24,251		4.000		06/01/40	25,614
	29,354		5.500		06/01/40	32,932
	18,228		5.000		08/01/40	19,928
	5,385		4.500		11/01/40	5,795
	262,309		4.000		02/01/41	277,114
	8,443		5.000		04/01/41	9,267
	14,776		5.000		06/01/41	16,153
	18,946		4.000		11/01/41	20,030
	1,454,652		3.500		06/01/45	1,502,383
	1,149,857		3.500		10/01/45	1,187,227
	1,844,901		3.500		06/01/46	1,915,237

						8,815,351

FNMA – 12.7%
	8,986		5.000		06/01/18	9,103
	68,937		4.500		07/01/18	69,782
	4,749		4.500		08/01/18	4,807
	88		6.500		10/01/18	98
	87,692		5.500		09/01/23	93,140
	27,756		5.500		10/01/23	29,589
	265,476		5.000		02/01/24	279,165
	44,590		7.000		08/01/27	50,584
	1,654		6.500		09/01/27	1,864
	156,864		7.000		03/01/28	178,504
	3,185		6.500		05/01/28	3,590


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	17,814		8.000	%	02/01/31	$ 20,253
	65,481		7.000		03/01/31	71,841
	1,634		5.500		05/01/33	1,821
	23,088		5.000		07/01/33	25,401
	41,903		5.000		08/01/33	45,873
	1,394		5.000		09/01/33	1,526
	7,688		5.500		09/01/33	8,625
	1,640		6.500		09/01/33	1,879
	16,677		5.000		12/01/33	18,283
	512		5.500		12/01/33	570
	949		5.500		01/01/34	1,065
	10,883		5.500		02/01/34	12,196
	1,964		5.500		04/01/34	2,213
	8,005		5.500		05/01/34	8,988
	1,968		6.000		07/01/34	2,231
	2,698		5.500		08/01/34	3,039
	6,908		5.500		10/01/34	7,734
	6,329		5.500		11/01/34	7,108
	64,816		5.500		12/01/34	72,731
	174,500		5.000		04/01/35	191,937
	6,673		5.500		04/01/35	7,477
	6,061		5.500		07/01/35	6,801
	270		5.500		08/01/35	304
	1,025,748		5.000		09/01/35	1,125,002
	16,851		5.500		09/01/35	18,956
	1,195		5.500		12/01/35	1,348
	239		5.500		02/01/36	268
	116,465		5.500		03/01/36	130,638
	23,316		6.000		03/01/36	26,716
	769		5.500		04/01/36	864
	4,309		6.000		04/01/36	4,924
	128,934		6.000		07/01/36	146,753
	244,621		6.000		09/01/36	279,128
	1,910		5.500		01/01/37	2,147
	3,514		6.000		01/01/37	4,029
	772		5.500		02/01/37	868
	16,337		6.000		02/01/37	18,739
	30,501		6.000		03/01/37	34,736
	1,729		5.500		04/01/37	1,943
	731		5.500		05/01/37	826
	539		5.500		06/01/37	606
	372		5.500		07/01/37	416
	378,965		6.000		07/01/37	431,206
	5,766		6.000		08/01/37	6,543
	97,131		6.000		09/01/37	110,157
	324,925		6.000		10/01/37	368,713
	436,671		6.000		11/01/37	497,552
	429		5.500		12/01/37	482
	936		5.500		02/01/38	1,055
	4,952		5.500		03/01/38	5,565
	26,413		6.000		03/01/38	30,192
	56,125		5.000		04/01/38	61,485
	192,233		6.000		04/01/38	218,292
	1,041		5.500		05/01/38	1,169
	432,601		6.000		05/01/38	490,744
	5,481		5.500		06/01/38	6,159
	44,567		6.000		06/01/38	50,575
	3,601		5.500		07/01/38	4,047
	2,062		5.500		08/01/38	2,317
	2,045		5.500		09/01/38	2,299
	232,357		6.000		10/01/38	263,677
	248,386		6.000		11/01/38	281,704
	3,115		5.500		12/01/38	3,459


Principal Amount		Interest Rate			Maturity Date			Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	50,691		5.000	%		02/01/39		$ 55,613
	69,076		6.000			02/01/39		78,408
	484,130		7.000			03/01/39		560,684
	32,798		4.500			04/01/39		35,683
	313,886		6.000			04/01/39		355,965
	11,865		4.500			05/01/39		12,908
	11,867		5.500			06/01/39		13,337
	7,461		4.500			07/01/39		8,120
	525,137		5.000			07/01/39		575,476
	57,567		4.500			08/01/39		62,650
	343,748		6.000			09/01/39		390,011
	10,015		5.500			11/01/39		11,255
	329,951		6.000			11/01/39		374,422
	495,552		4.500			12/01/39		539,299
	45,531		6.000			04/01/40		51,671
	397,730		5.000			06/01/40		435,127
	93,832		5.000			07/01/40		102,654
	493,175		6.000			10/01/40		559,527
	276,946		5.000			11/01/40		303,493
	307,151		6.000			04/01/41		348,370
	1,026,947		4.500			05/01/41		1,106,095
	223,322		6.000			05/01/41		253,282
	188,483		4.500			08/01/41		203,178
	62,004		3.500			11/01/41		64,070
	72,312		3.500			06/01/42		74,835
	398,092		5.000			07/01/42		435,522
	867,727		3.500			10/01/42		895,663
	32,918		3.000			11/01/42		33,138
	772,554		3.000			12/01/42		777,211
	1,117,840		3.000			01/01/43		1,126,019
	171,653		3.000			02/01/43		172,906
	1,141,755		3.000			03/01/43		1,150,095
	1,922,789		3.000			04/01/43		1,936,989
	317,385		3.500			04/01/43		327,331
	1,376,109		3.000			05/01/43		1,386,592
	125,053		3.500			05/01/43		129,376
	129,960		3.000			06/01/43		130,949
	1,184,568		3.000			07/01/43		1,193,591
	7,308,616		3.500			07/01/43		7,537,670
	2,326,338		3.500			08/01/43		2,399,445
	72,577		3.500			09/01/43		75,086
	179,897		3.500			01/01/44		186,117
	1,407,405		5.000			05/01/44		1,545,591
	485,446		3.500			04/01/45		501,469
	4,804,956		4.500			04/01/45		5,241,156
	567,805		4.500			05/01/45		619,706
	124,494		3.500			06/01/45		128,526
	69,162		3.500			07/01/45		71,401
	48,243		3.500			09/01/45		49,866
	120,978		3.500			10/01/45		124,896
	86,547		3.500			11/01/45		89,349
	45,380		3.500			12/01/45		46,849
	129,906		3.500			01/01/46		134,113
	1,880,429		3.500			06/01/46		1,946,694
	41,000,000		3.500			TBA-30yr	^(e)	42,101,875
	40,000,000		4.000			TBA-30yr	^(e)	42,014,257
	2,000,000		5.000			TBA-30yr	^(e)	2,184,688

								129,146,690


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
GNMA – 11.5%
$	11,771		6.000	%	11/15/38	$ 13,536
	147,063		5.000		07/15/40	160,855
	294,520		5.000		01/15/41	322,141
	11,316		4.000		02/20/41	12,076
	17,436		4.000		11/20/41	18,429
	2,879		4.000		01/20/42	3,043
	9,366		4.000		04/20/42	9,899
	4,968		4.000		10/20/42	5,251
	98,296		4.000		08/20/43	103,898
	16,655,480		4.000		10/20/43	17,604,713
	10,148		4.000		03/20/44	10,724
	12,344		4.000		05/20/44	13,043
	860,958		4.000		11/20/44	909,757
	57,174		4.000		05/20/45	60,272
	12,395,178		4.000		07/20/45	13,066,745
	1,938,234		4.000		08/20/45	2,043,247
	5,299,785		4.000		09/20/45	5,586,925
	6,352,103		4.000		10/20/45	6,692,288
	1,109,301		4.000		11/20/45	1,168,363
	5,019,208		4.000		01/20/46	5,283,305
	1,478,512		4.000		02/20/46	1,556,307
	20,626,019		4.000		03/20/46	21,711,302
	14,930,523		4.000		04/20/46	15,718,457
	2,776,462		4.000		05/20/46	2,922,985
	5,612,542		4.000		05/20/47	5,920,136
	11,000,000		4.000		06/20/47	11,609,727
	5,000,000		4.000		07/20/47	5,281,446

						117,808,870

TOTAL FEDERAL AGENCIES						$ 260,836,050

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $280,876,194)						$ 279,645,477


Agency Debentures – 3.6%
FHLB
$	6,800,000		2.125	%	06/09/23	$ 6,795,872
	3,500,000		3.375		09/08/23	3,741,875
	750,000		3.375		12/08/23	800,350
	2,400,000		5.000		09/28/29	2,896,673
FNMA
	3,700,000		1.875		09/24/26	3,511,781
	4,200,000		6.250		05/15/29	5,697,132
Private Export Funding Corp.
	7,000,000		5.450		09/15/17	7,058,051
Small Business Administration
	11,676		6.300		06/01/18	11,820
Tennessee Valley Authority
	5,400,000		3.875		02/15/21	5,799,330

TOTAL AGENCY DEBENTURES (Cost $35,499,299)						$ 36,312,884


Asset-Backed Securities^(b) – 14.1%
Collateralized Loan Obligations^(c) – 5.1%
B&M CLO Ltd. Series 2014-1A, Class A1
$	3,700,000		2.423	%	04/16/26	$ 3,699,079
B&M CLO Ltd. Series 2014-1A, Class A2
	650,000		2.973		04/16/26	649,995


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(b) – (continued)
Collateralized Loan Obligations^(c) – (continued)
BlueMountain CLO Ltd. Series 2014-2A, Class AR
$	5,150,000		0.000	%	07/20/26	$ 5,150,000
Cutwater Ltd. Series 2014-1A, Class A1AR
	5,000,000		2.469		07/15/26	4,997,490
Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1
	3,400,000		2.554		04/18/26	3,400,187
Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1R
	3,400,000		2.435		04/18/26	3,400,000
Neuberger Berman CLO XIX Ltd. Series 2015-19A, Class A1R
	5,150,000		2.354		07/15/27	5,150,000
Shackleton CLO Ltd. Series 2014-5A, Class AR
	7,800,000		2.319		05/07/26	7,799,938
Trinitas CLO Ltd. Series 2014-1A, Class A1
	2,950,000		2.553		04/15/26	2,951,065
Voya CLO Ltd. Series 2014-4A, Class A1R
	7,500,000		0.000		10/14/26	7,500,000
Whitehorse VIII Ltd. Series 2014-1A, Class A
	7,500,000		2.534		05/01/26	7,510,230

						52,207,984

Home Equity – 0.0%
Impac CMB Trust Series 2004-08, Class 1A
	260,298		1.744		10/25/34	235,321

Other^(c) – 1.6%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	3,100,000		1.894		09/10/18	3,100,350
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
	2,800,000		1.944		04/10/19	2,800,654
Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	4,850,000		2.294		03/10/19	4,850,721
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	2,550,000		1.844		07/10/19	2,551,071
Station Place Securitization Trust Series 2015-2, Class A
	2,600,000		2.039		05/15/18	2,600,000

						15,902,796

Student Loan – 7.4%
Access Group, Inc. Series 2004-1, Class A2
	4,690,794		1.363		09/26/33	4,636,587
Access Group, Inc. Series 2015-1, Class A^(c)
	2,032,617		1.724		07/25/56	2,019,473
Chase Education Loan Trust Series 2007-A, Class A3
	452,096		1.221		12/28/23	450,807
ECMC Group Student Loan Trust Series 2016-1A, Class A^(c)
	4,557,144		2.374		07/26/66	4,581,322
Edsouth Indenture No. 9 LLC Series 2015-1, Class A^(c)
	2,826,833		1.824		10/25/56	2,807,173
Education Loan Asset-Backed Trust I Series 2013-1, Class A2^(c)
	8,200,000		1.824		04/26/32	7,995,740
Educational Funding of the South, Inc. Series 2011-1, Class A2
	3,030,686		1.688		04/25/35	3,019,661
EFS Volunteer No. 3 LLC Series 2012-1, Class A2^(c)
	2,124,838		2.024		02/25/25	2,129,823
Higher Education Funding I Series 2014-1, Class A^(c)
	4,091,055		2.102		05/25/34	4,073,675
Navient Student Loan Trust Series 2016-5A, Class A^(c)
	9,515,798		2.274		06/25/65	9,665,908


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(b) – (continued)
Student Loan – (continued)
Navient Student Loan Trust Series 2016-7A, Class A^(c)
$	4,671,550		2.174	%	03/25/66	$ 4,724,907
Nelnet Student Loan Trust Series 2006-1, Class A5
	2,938,075		1.163		08/23/27	2,929,326
Nelnet Student Loan Trust Series 2006-1, Class A6^(c)
	5,200,000		1.503		08/23/36	4,970,733
Nelnet Student Loan Trust Series 2013-5A, Class A^(c)
	642,950		1.654		01/25/37	640,817
New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3^(a)
	3,500,000		1.890		10/25/37	3,420,425
North Carolina State Education Assistance Authority Series 2010-1, Class A1
	2,146,118		1.938		07/25/41	2,138,492
Northstar Education Finance, Inc. Series 2004-2, Class A3
	15,030		0.946		07/30/18	15,023
PHEAA Student Loan Trust Series 2016-1A, Class A^(c)
	4,686,401		2.174		09/25/65	4,741,952
Scholar Funding Trust Series 2010-A, Class A^(c)
	1,561,807		1.789		10/28/41	1,539,212
SLC Student Loan Trust Series 2006-2, Class A5
	3,345,669		1.231		09/15/26	3,337,391
SLM Student Loan Trust Series 2004-8A, Class A6^(c)
	3,900,000		1.668		01/25/40	3,849,594
SLM Student Loan Trust Series 2005-3, Class A5
	1,619,396		1.128		10/25/24	1,616,899

						75,304,940

TOTAL ASSET-BACKED SECURITIES (Cost $142,926,924)						$ 143,651,041


Foreign Debt Obligations – 0.9%
Sovereign – 0.6%
Republic of Chile
$	239,000		3.125	%	01/21/26	$ 243,481
Republic of Colombia^(a)
	200,000		5.625		02/26/44	218,500
	1,380,000		5.000		06/15/45	1,388,625
Republic of Indonesia
	790,000		3.700	^(c)	01/08/22	810,737
	200,000		5.875		01/15/24	228,000
	420,000		4.125	^(c)	01/15/25	433,125
	380,000		4.125		01/15/25	391,875
	1,380,000		4.350	^(c)	01/08/27	1,442,100
	510,000		6.750		01/15/44	657,263
	380,000		5.250	^(c)	01/08/47	413,250

						6,226,956

Supranational – 0.3%
Inter-American Development Bank
	2,700,000		1.000		02/27/18	2,685,558

TOTAL FOREIGN DEBT OBLIGATIONS (Cost $8,614,415)						$ 8,912,514


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Debt Obligations^(a) – 0.9%
California – 0.6%
California State GO Bonds Build America Taxable Series 2009
$	950,000		7.500	%	04/01/34	$ 1,382,829
	1,650,000		7.550		04/01/39	2,519,088
California State GO Bonds Build America Taxable Series 2010
	1,645,000		7.950		03/01/36	1,876,715

						5,778,632

Illinois – 0.1%
Illinois State GO Bonds Build America Series 2010
	1,280,000		7.350		07/01/35	1,369,587

Ohio – 0.2%
American Municipal Power-Ohio, Inc. RB Build America Taxable Series 2010
	1,700,000		6.270		02/15/50	2,111,621

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $7,436,544)						$ 9,259,840


Government Guarantee Obligations^(f) – 2.7%
Hashemite Kingdom of Jordan Government AID Bond
$	7,400,000		2.503	%	10/30/20	$ 7,543,116
Israel Government AID Bond
	7,827,000		5.500		09/18/23	9,320,078
	1,200,000		5.500		12/04/23	1,426,068
	2,400,000		5.500		04/26/24	2,859,696
	4,700,000		5.500		09/18/33	6,290,903

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS (Cost $26,115,356)						$ 27,439,861


U.S. Treasury Obligations – 18.3%
United States Treasury Bonds
$	3,670,000		2.750	%	11/15/42	$ 3,628,162
	8,320,000		3.625		02/15/44	9,588,884
	3,830,000		3.125		08/15/44	4,047,736
	31,750,000		3.000	^(g)	11/15/44	32,773,622
	5,290,000		3.000		05/15/45	5,453,567
	11,400,000		2.875		11/15/46	11,466,690
	1,030,000		3.000		05/15/47	1,063,424
United States Treasury Inflation Indexed Bonds
	23,269,620		0.125		04/15/18	23,197,019
	2,436,298		0.125		01/15/23	2,415,979
	3,835,204		0.625		01/15/24	3,892,579
	1,341,964		0.250		01/15/25	1,319,124
	1,749,283		0.625		01/15/26	1,761,773
	992,613		0.875		02/15/47	964,869
United States Treasury Notes
	8,390,000		2.250		01/31/24	8,469,453
	14,000,000		2.000		04/30/24	13,894,440
	9,880,000		2.000		05/31/24	9,799,775
	5,250,000		2.000		06/30/24	5,203,642
	1,010,000		2.375		08/15/24	1,025,554
	44,220,000		2.250		11/15/25	44,233,704


Principal Amount		Interest Rate			Maturity Date		Value
U.S. Treasury Obligations – (continued)
United States Treasury Strip Coupon^(h)
$	3,200,000		0.000	%		02/15/36	$ 1,920,384

TOTAL U.S. TREASURY OBLIGATIONS (Cost $183,497,033)							$ 186,120,380



Shares		Distribution Rate					Value
Investment Company^(b)(i) – 4.2%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	43,055,912		0.845%				$ 43,055,912
(Cost $43,055,912)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $1,062,993,674)							$1,076,223,549


Principal Amount		Interest Rate			Maturity Date		Value
Short-term Investments – 3.7%
Certificates of Deposit – 1.9%
Abbey National Treasury Services PLC
$	1,650,000		1.270	%		08/11/17	$1,650,128
Credit Suisse New York
	4,000,000		1.912			11/03/17	4,008,474
Mizuho Bank Ltd.
	5,000,000		1.919			12/08/17	5,012,011
The Toronto-Dominion Bank
	5,000,000		0.000			09/28/17	4,984,500
UBS AG Stamford
	4,000,000		1.420			11/02/17	4,000,820

							19,655,933

Commercial Paper – 1.8%
Electricite de France SA
	5,500,000		0.000			01/05/18	5,449,758
Ford Motor Credit Co. LLC
	5,000,000		0.000			08/01/17	4,993,373
Monsanto Co.
	2,500,000		0.000			07/31/17	2,496,790
National Australia Bank Ltd.
	5,000,000		1.288			12/06/17	5,006,221

							17,946,142

TOTAL SHORT-TERM INVESTMENTS (Cost $37,570,220)							$ 37,602,075

TOTAL INVESTMENTS – 109.3% (Cost $1,100,563,894)							$1,113,825,624

LIABILITIES IN EXCESS OF OTHER ASSETS – (9.3)%							(95,092,930)

NET ASSETS – 100.0%							$1,018,732,694



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(b)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $201,121,720, which represents approximately 19.7% of net assets as of June 30, 2017.

(d)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(e)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $86,300,820 which represents approximately 8.5% of net assets as of June 30, 2017.

(f)		Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $27,439,861, which represents approximately 2.7% of net assets as of June 30, 2017.

(g)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(h)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(i)		Represents an Affiliated Fund.



Currency Abbreviations:
AUD		— Australian Dollar
CAD		— Canadian Dollar
CHF		— Swiss Franc
EUR		— Euro
GBP		— British Pound
JPY		— Japanese Yen
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
SEK		— Swedish Krona
USD		— U.S. Dollar

Investment Abbreviations:
AUDOR		— Australian Dollar Offered Rate
CDOR		— Canadian Dollar Offered Rate
CHFOR		— Swiss Franc Offered Rate
CLO		— Collateralized Loan Obligation
EURO		— Euro Offered Rate
FHLB		— Federal Home Loan Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
GO		— General Obligation
JYOR		— Japanese Yen Offered Rate
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FORWARD SALES CONTRACTS — At June 30, 2017, the Fund had the following forward sales contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Foreign Sovereign Debt Obligations – 41.4%
British Pound – 2.5%
United Kingdom Treasury
GBP	5,670,000		0.500	%	07/22/22	$ 7,316,801
	2,000,000		4.500		09/07/34	3,678,795
	90,000		4.250		03/07/36	163,194
	3,970,000		3.500		01/22/45	6,941,854
	1,270,000		3.500		07/22/68	2,676,666

						20,777,310

Canadian Dollar – 1.6%
British Columbia Province of Canada
CAD	800,000		3.250		12/18/21	655,361
	2,600,000		2.850		06/18/25	2,091,348
	2,000,000		4.950		06/18/40	2,072,702
Government of Canada
	1,760,000		2.750		12/01/48	1,547,193
Ontario Province of Canada
	1,800,000		4.400		06/02/19	1,468,760
	1,700,000		2.600		06/02/25	1,338,252
	2,300,000		4.650		06/02/41	2,288,578
Quebec Province of Canada
	1,800,000		4.250		12/01/21	1,529,431

						12,991,625

Czech Koruna – 0.1%
Czech Republic Government Bond
CZK	11,190,000		1.500		10/29/19	508,746

Danish Krone – 0.1%
Kingdom of Denmark
DKK	3,000,000		4.500		11/15/39	764,973

Euro – 11.9%
Federal Republic of Germany
EUR	1,500,000		2.500		08/15/46	2,235,398
France Government Bond OAT
	7,370,000		4.000		04/25/18	8,730,695
	1,700,000		3.500		04/25/26	2,424,117
	7,130,000		4.750		04/25/35	12,531,178
Government of France
	1,330,000		4.500		04/25/41	2,389,206
Italy Buoni Poliennali Del Tesoro
	8,150,000		0.750		01/15/18	9,359,959
	11,310,000		1.200		04/01/22	13,123,104
	8,230,000		1.850		05/15/24	9,581,780
	110,000		2.200		06/01/27	126,298
	2,040,000		3.500	^(a)	03/01/30	2,585,468
	1,400,000		5.000		09/01/40	2,073,148
Kingdom of Belgium^(a)
	2,530,000		0.800		06/22/27	2,888,714
	910,000		2.150		06/22/66	1,057,358
Republic of Austria^(a)
	450,000		1.500		11/02/86	434,904
Republic of Indonesia^(a)
	650,000		2.625		06/14/23	780,445
	420,000		3.750		06/14/28	525,275
Republic of Ireland
	860,000		4.500		04/18/20	1,114,214
	510,000		3.400		03/18/24	697,679
Republic of Italy
	7,062,851		2.150		11/12/17	8,139,031


Principal Amount		Interest Rate			Maturity Date	Value
Foreign Sovereign Debt Obligations – (continued)
Euro – (continued)
Spain Government Bond^(a)
EUR	2,230,000		3.800	%	04/30/24	$ 3,038,640
	1,250,000		2.750		10/31/24	1,603,107
	8,295,000		5.900		07/30/26	13,131,715

						98,571,433

Japanese Yen – 22.6%
Government of Japan
JPY	2,402,800,000		0.300		03/20/18	21,429,836
	667,500,000		0.200		09/20/18	5,957,382
	4,239,500,000		1.300		06/20/20	39,242,372
	50,000		0.400		06/20/25	458
	436,000,000		2.200		03/20/31	4,890,836
	225,000,000		1.700		09/20/32	2,406,295
	214,000,000		1.400		09/20/34	2,201,741
	2,138,200,000		2.500		09/20/34	25,491,488
	315,000,000		2.200		09/20/39	3,688,616
	454,000,000		1.400		09/20/45	4,643,172
	233,600,000		2.000		03/20/52	2,732,647
	312,700,000		1.400		03/20/55	3,145,850
Japan Government Five Year Bond
	419,000,000		0.100		09/20/21	3,753,585
Japan Government Ten Year Bond
	1,124,050,000		0.100		06/20/26	10,040,846
	529,250,000		0.100		09/20/26	4,723,370
Japan Government Two Year Bond
	2,939,450,000		0.100		12/15/18	26,216,055
Japanese Government CPI Linked Bond
	23,453,000		0.100		09/10/24	217,129
	1,569,900,000		0.100		03/10/25	14,548,182
	1,319,598,072		0.100		03/10/26	12,252,112

						187,581,972

Mexican Peso – 0.1%
United Mexican States
MXN	2,098,900		7.750		11/23/34	124,532
	13,763,300		10.000		11/20/36	987,546
	2,436,600		8.500		11/18/38	153,732
	94,300		8.000		11/07/47	5,701

						1,271,511

Polish Zloty – 0.2%
Poland Government Bond
PLN	640,000		2.000		04/25/21	170,224
	290,000		4.000		10/25/23	83,339
	4,800,000		2.500		07/25/27	1,205,955

						1,459,518

Russian Ruble – 0.1%
Russian Federation Bond
RUB	26,160,000		7.050		01/19/28	421,842

South African Rand – 0.7%
Republic of South Africa
ZAR	47,650,000		7.750		02/28/23	3,573,631
	6,569,608		10.500		12/21/26	556,932
	9,630,000		8.500		01/31/37	652,774
	13,680,000		8.750		01/31/44	932,467

						5,715,804


Principal Amount		Interest Rate			Maturity Date	Value
Foreign Sovereign Debt Obligations – (continued)
South Korean Won – 0.4%
Republic of Korea
KRW	3,819,000,000		5.000	%	06/10/20	$ 3,645,310

Swedish Krona – 0.3%
Sweden Government Bond
SEK	21,290,000		3.500		06/01/22	2,961,424

Thai Baht – 0.4%
Thailand Government Bond
THB	126,490,000		1.875		06/17/22	3,705,863

United States Dollar – 0.4%
Republic of Indonesia
$	970,000		5.875		01/15/24	1,105,800
	200,000		4.125	^(a)	01/15/25	206,250
	1,110,000		4.125		01/15/25	1,144,688
Republic of Korea
	660,000		7.125		04/16/19	719,128

						3,175,866

TOTAL FOREIGN SOVEREIGN DEBT OBLIGATIONS (Cost $340,398,701)						$343,553,197


Corporate Obligations – 16.6%
Automotive – 0.1%
GKN Holdings PLC
GBP	700,000		5.375	%	09/19/22	$ 1,055,401

Banks – 5.7%
Bank of America Corp.
EUR	300,000		4.625		08/07/17	344,221
$	1,550,000		5.750		12/01/17	1,576,231
	1,000,000		5.650		05/01/18	1,031,403
	1,400,000		2.600		01/15/19	1,413,184
	600,000		2.650		04/01/19	607,226
	1,450,000		4.125		01/22/24	1,530,123
	150,000		3.875		08/01/25	155,177
	3,500,000		3.248	^(b)	10/21/27	3,382,165
	650,000		4.183	^(b)	11/25/27	661,105
	2,100,000		3.824	^(b)(c)	01/20/28	2,136,464
	100,000		6.110		01/29/37	122,395
Barclays Bank PLC
	850,000		10.179		06/12/21	1,064,599
Barclays PLC^(b)
	1,850,000		3.684		01/10/23	1,898,207
	1,500,000		4.337		01/10/28	1,542,021
BNP Paribas SA
	200,000		4.375	^(a)	09/28/25	207,311
	900,000		4.375	^(a)	05/12/26	932,103
EUR	700,000		2.250		01/11/27	809,075
BPCE SA
	300,000		2.875		04/22/26	362,868
Capital One Financial Corp.^(b)
$	1,600,000		2.500		05/12/20	1,606,931
Citigroup, Inc.^(b)
	1,300,000		3.200		10/21/26	1,264,279
Credit Agricole SA^(a)
	1,500,000		2.125		04/17/18	1,504,243
	1,200,000		3.375		01/10/22	1,232,093
	1,000,000		4.125		01/10/27	1,045,476


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
Credit Suisse AG
$	750,000		6.500	%\	08/08/23	$ 842,850
Deutsche Bank AG
EUR	100,000		5.125		08/31/17	115,184
$	150,000		2.850		05/10/19	151,599
	100,000		3.125		01/13/21	100,498
HSBC Holdings PLC
	200,000		4.250		08/18/25	205,461
	450,000		6.800		06/01/38	601,711
Intesa Sanpaolo SpA
	1,700,000		3.875		01/16/18	1,715,722
	900,000		3.875		01/15/19	922,205
Morgan Stanley, Inc.
	500,000		5.625		09/23/19	537,158
EUR	900,000		2.375		03/31/21	1,100,507
$	50,000		3.875		04/29/24	51,964
	1,700,000		3.700		10/23/24	1,744,639
	300,000		4.000		07/23/25	313,120
	1,400,000		3.625		01/20/27	1,410,066
	350,000		4.300		01/27/45	361,941
Synchrony Financial^(b)
	100,000		1.875		08/15/17	100,022
	250,000		3.000		08/15/19	253,525
The Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)
	1,050,000		1.700		03/05/18	1,050,453
UBS Group Funding Switzerland AG^(a)
	2,400,000		3.000		04/15/21	2,436,809
	1,750,000		4.125		09/24/25	1,834,411
UniCredit SpA
	1,400,000		3.750	^(a)	04/12/22	1,433,800
EUR	1,000,000		2.125		10/24/26	1,175,466
$	2,250,000		4.625	^(a)	04/12/27	2,367,031

						47,255,042

Chemicals^(b) – 0.0%
LyondellBasell Industries NV
	252,000		5.000		04/15/19	263,451

Communications – 1.6%
America Movil SAB de CV
MXN	5,260,000		6.000		06/09/19	280,690
American Tower Corp.^(b)
$	450,000		3.300		02/15/21	461,756
AT&T, Inc.^(b)
	2,000,000		2.800		02/17/21	2,021,218
	1,450,000		3.200		03/01/22	1,467,690
	250,000		3.000		06/30/22	250,129
Charter Communications Operating LLC/Charter Communications Operating Capital^(b)
	150,000		3.579		07/23/20	155,006
	1,150,000		4.908		07/23/25	1,242,367
Time Warner Cable LLC
	300,000		6.750		07/01/18	313,862
	450,000		5.000		02/01/20	480,058
	100,000		4.125	^(b)	02/15/21	104,571
	28,000		7.300		07/01/38	35,788
	100,000		5.500	^(b)	09/01/41	107,467


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Communications – (continued)
Verizon Communications, Inc.
$	350,000		4.500	%	09/15/20	$ 373,885
	250,000		3.450		03/15/21	258,654
	400,000		3.000	^(b)	11/01/21	405,297
	3,299,000		2.946	^(a)	03/15/22	3,321,921
	1,100,000		3.125		03/16/22	1,116,235
	1,200,000		2.450	^(b)	11/01/22	1,176,257
	150,000		4.125		03/16/27	154,917

						13,727,768

Consumer Cyclical Services^(b) – 0.1%
Marriott International, Inc.
	1,200,000		2.300		01/15/22	1,184,208

Electric – 0.6%
EDP Finance BV
EUR	450,000		2.000		04/22/25	522,581
Electricite de France SA^(b)
	1,800,000		4.250		12/29/49	2,180,640
Enel Finance International NV
GBP	150,000		5.625		08/14/24	238,802
Exelon Corp.^(b)
$	1,100,000		3.497		06/01/22	1,123,805
Ruwais Power Co. PJSC^(a)
	520,000		6.000		08/31/36	599,950

						4,665,778

Energy – 2.2%
Anadarko Petroleum Corp.
	50,000		3.450	^(b)	07/15/24	48,841
	1,050,000		6.450		09/15/36	1,235,947
BP Capital Markets PLC
	250,000		3.814		02/10/24	260,719
EUR	950,000		0.830	^(b)	09/19/24	1,067,432
$	200,000		3.017	^(b)	01/16/27	194,582
Buckeye Partners LP^(b)
	550,000		4.150		07/01/23	564,842
Columbia Pipeline Group, Inc.
	100,000		2.450		06/01/18	100,459
	150,000		3.300	^(b)	06/01/20	153,692
Devon Energy Corp.^(b)
	500,000		3.250		05/15/22	496,921
	200,000		5.600		07/15/41	207,716
	650,000		4.750		05/15/42	630,194
	450,000		5.000		06/15/45	454,608
Dolphin Energy Ltd.
	141,047		5.888		06/15/19	144,573
	210,070		5.888	^(a)	06/15/19	215,322
Enterprise Products Operating LLC^(b)
	700,000		2.850		04/15/21	707,924
	500,000		3.750		02/15/25	514,901
Kinder Morgan Energy Partners LP^(b)
	470,000		3.950		09/01/22	485,601
Kinder Morgan, Inc.^(b)
	350,000		3.050		12/01/19	356,081
	3,000,000		5.000	^(a)	02/15/21	3,216,456
	300,000		4.300		06/01/25	311,903
Petroleos Mexicanos
	32,000		6.375		02/04/21	34,650
EUR	920,000		5.125		03/15/23	1,180,811
$	23,000		5.500		06/27/44	20,217
	30,000		6.375		01/23/45	29,304


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Energy – (continued)
Plains All American Pipeline LP/PAA Finance Corp.^(b)
$	1,800,000		4.500	%	12/15/26	$ 1,820,428
	700,000		4.700		06/15/44	638,079
Sabine Pass Liquefaction LLC^(b)
	2,000,000		5.625		03/01/25	2,210,000
Williams Partners LP^(b)
	550,000		3.600		03/15/22	561,911
	450,000		3.900		01/15/25	454,944

						18,319,058

Financial Companies – 0.4%
GE Capital European Funding Unlimited Co.
EUR	1,200,000		2.875		06/18/19	1,445,153
GE Capital International Funding Co.
$	1,500,000		3.373		11/15/25	1,550,935

						2,996,088

Food & Beverage^(b) – 0.8%
Anheuser-Busch InBev Finance, Inc.
	2,050,000		2.650		02/01/21	2,077,486
	1,100,000		4.900		02/01/46	1,241,505
CVS Health Corp.
	550,000		2.800		07/20/20	559,954
	300,000		3.500		07/20/22	311,119
	222,000		3.875		07/20/25	230,824
Kraft Heinz Foods Co.
	600,000		2.800		07/02/20	608,975
	350,000		3.950		07/15/25	359,894
	150,000		5.000		07/15/35	162,207
Walgreens Boots Alliance, Inc.
	850,000		3.450		06/01/26	848,203

						6,400,167

Health Care - Services – 0.1%
UnitedHealth Group, Inc.
	700,000		2.875		12/15/21	715,476

Health Care Products^(b) – 0.4%
Becton Dickinson & Co.
	1,600,000		2.894		06/06/22	1,605,002
	1,700,000		3.363		06/06/24	1,703,886

						3,308,888

Insurance – 0.8%
Allianz Finance II BV^(b)(c)
EUR	100,000		5.750		07/08/41	134,650
American International Group, Inc.^(b)
$	350,000		3.875		01/15/35	339,312
	500,000		4.800		07/10/45	533,637
Aviva PLC^(b)(c)
GBP	50,000		6.125		11/14/36	76,483
EUR	1,050,000		3.375		12/04/45	1,232,500
GBP	850,000		5.902		07/27/49	1,204,295
Cloverie PLC for Zurich Insurance Co. Ltd.^(b)(c)
$	1,250,000		5.625		06/24/46	1,361,700
MetLife, Inc.
	500,000		4.368		09/15/23	547,382
	110,000		3.600		04/10/24	115,586
NN Group NV^(b)(c)
EUR	800,000		4.625		04/08/44	1,009,039


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Insurance – (continued)
QBE Insurance Group Ltd.^(a)
$	400,000		2.400	%	05/01/18	$ 400,234
Standard Life PLC^(b)(c)
GBP	50,000		6.546		01/06/49	71,308

						7,026,126

Metals & Mining^(a) – 0.3%
Glencore Funding LLC
$	2,100,000		4.125		05/30/23	2,154,789

Noncaptive - Financial – 1.1%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
	2,550,000		3.750		05/15/19	2,619,184
	2,300,000		3.500	^(b)	05/26/22	2,360,356
	2,149,000		4.625		07/01/22	2,303,148
Capital One Financial Corp.^(b)
	1,000,000		4.200		10/29/25	1,008,342
General Electric Co.
MXN	2,000,000		8.500		04/06/18	110,603
$	350,000		5.550		05/04/20	384,477
	150,000		4.650		10/17/21	165,234

						8,951,344

Pharmaceuticals – 1.1%
Allergan Funding SCS
	50,000		2.450		06/15/19	50,304
	250,000		3.000	^(b)	03/12/20	255,305
EMD Finance LLC^(a)(b)
	2,050,000		3.250		03/19/25	2,057,218
Forest Laboratories LLC^(a)(b)
	80,000		4.375		02/01/19	82,502
	4,100,000		5.000		12/15/21	4,476,396
Mylan NV^(b)
	2,300,000		3.950		06/15/26	2,330,450

						9,252,175

Real Estate Investment Trusts^(b) – 0.4%
HCP, Inc.
	100,000		2.625		02/01/20	100,734
	1,750,000		5.375		02/01/21	1,909,917
	200,000		4.250		11/15/23	209,704
Ventas Realty LP/Ventas Capital Corp.
	200,000		3.250		08/15/22	202,512
WEA Finance LLC/Westfield UK & Europe Finance PLC^(a)
	350,000		2.700		09/17/19	352,892
	400,000		3.750		09/17/24	405,042

						3,180,801

Restaurants^(b) – 0.0%
McDonald’s Corp.
	100,000		2.750		12/09/20	101,813

Technology^(b) – 0.5%
Broadcom Corp./Broadcom Cayman Finance Ltd.^(a)
	600,000		3.000		01/15/22	605,363
	750,000		3.625		01/15/24	767,249
	750,000		3.875		01/15/27	770,175
Fidelity National Information Services, Inc.
EUR	800,000		1.100		07/15/24	905,898


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Technology^(b) – (continued)
QUALCOMM, Inc.
$	1,050,000		3.250	%	05/20/27	$ 1,052,400

						4,101,085

Tobacco – 0.4%
BAT International Finance PLC^(a)
	800,000		2.750		06/15/20	810,450
	200,000		3.500		06/15/22	206,130
Reynolds American, Inc.
	108,000		3.250		06/12/20	111,190
	150,000		4.000		06/12/22	158,949
	250,000		5.700	^(b)	08/15/35	296,251
	1,100,000		5.850	^(b)	08/15/45	1,347,280

						2,930,250

TOTAL CORPORATE OBLIGATIONS (Cost $135,208,199)						$137,589,708


Foreign Debt Obligations – 1.9%
Supranational – 1.9%
European Financial Stability Facility
EUR	10,200,000		0.010	%	11/17/22	$ 11,601,696
	2,700,000		0.400		05/31/26	3,016,238
	1,100,000		2.350		07/29/44	1,431,916

TOTAL FOREIGN DEBT OBLIGATIONS (Cost $15,727,707)						$ 16,049,850


Asset-Backed Securities – 18.5%
Collateralized Loan Obligations^(a)(c) – 8.8%
AIMCO CLO Series 2014-AA, Class AR
$	4,250,000		2.181	%	07/20/26	$ 4,249,868
Atrium X Series 2017-10A, Class AR
	4,150,000		2.036		07/16/25	4,153,029
B&M CLO Ltd. Series 2014-1A, Class A1
	1,750,000		2.423		04/16/26	1,749,564
GoldentTree Loan Management US CLO 1 Ltd. Series 2017-1A, Class A
	4,650,000		2.404		04/20/29	4,650,014
Greywolf CLO V Ltd. Series 2015-1A, Class A1
	1,800,000		2.638		04/25/27	1,800,463
Halcyon Loan Advisors Funding Ltd. Series 2013-1A, Class A1
	2,450,000		2.173		04/15/25	2,451,370
Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1
	5,650,000		2.554		04/18/26	5,650,311
Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1R
	5,600,000		2.435		04/18/26	5,600,000
Madison Park Funding XII Ltd. Series 2014-12A, Class AR
	3,900,000		2.290		07/20/26	3,904,571
Oak Hill Credit Partners X Ltd. Series 2014-10A, Class AR
	4,650,000		2.077		07/20/26	4,658,584
OCP CLO Ltd. Series 2016-12A, Class A1
	4,650,000		2.522		10/18/28	4,691,324
OFSI Fund VII Ltd. Series 2014-7A, Class A
	2,285,359		2.364		10/18/26	2,286,588
OFSI Fund VII Ltd. Series 2014-7A, Class B
	564,641		3.153		10/18/26	564,661
OHA Credit Partners VIII Ltd. Series 2013-8A, Class A
	6,100,000		2.150		04/20/25	6,100,945


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Collateralized Loan Obligations^(a)(c) – (continued)
Shackleton CLO Ltd. Series 2014-5A, Class AR
$	3,650,000		2.319	%	05/07/26	$ 3,649,971
Sound Point CLO Vlll Ltd. Series 2015-1A, Class A
	900,000		2.553		04/15/27	900,556
Sound Point CLO XI Ltd. Series 2016-1A, Class A
	8,350,000		2.680		07/20/28	8,415,932
Sound Point CLO XI Ltd. Series 2016-1A, Class B1
	1,700,000		3.430		07/20/28	1,714,151
Trinitas CLO II Ltd. Series 2014-2A, Class A1R
	1,000,000		2.339		07/15/26	999,976
Trinitas CLO Ltd. Series 2014-1A, Class A1
	1,550,000		2.553		04/15/26	1,550,560
Whitehorse VIII Ltd. Series 2014-1A, Class A
	3,500,000		2.534		05/01/26	3,504,774

						73,247,212

Credit Card^(a) – 1.3%
Golden Credit Card Trust Series 2016-5A, Class A
	2,600,000		1.600		09/15/21	2,585,786
Golden Credit Card Trust Series 2017-2A, Class A
	3,650,000		1.980		04/15/22	3,649,087
Master Credit Card Trust II Series 2017-1A, Class A
	4,500,000		2.260		07/21/21	4,536,842

						10,771,715

Home Equity^(c) – 0.2%
CIT Mortgage Loan Trust Series 2007-1, Class 2A3^(a)
	1,723,134		2.666		10/25/37	1,739,483
GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 1A1
	27,531		7.000		09/25/37	27,957
GMAC Mortgage Home Equity Loan Trust Series 2007-HE3, Class 2A1
	71,882		7.000		09/25/37	74,068

						1,841,508

Other^(a)(c) – 1.0%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	1,450,000		1.894		09/10/18	1,450,164
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
	850,000		1.944		04/10/19	850,199
Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	2,275,000		2.294		03/10/19	2,275,338
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	1,200,000		1.844		07/10/19	1,200,504
Station Place Securitization Trust Series 2015-2, Class A
	2,050,000		2.039		05/15/18	2,050,000

						7,826,205

Student Loans^(c) – 7.2%
Access Group, Inc. Series 2015-1, Class A^(a)
	1,355,078		1.724		07/25/56	1,346,315
Chase Education Loan Trust Series 2007-A, Class A3
	271,258		1.221		12/28/23	270,484
ECMC Group Student Loan Trust Series 2017-1A, Class A^(a)
	7,627,771		2.224		12/27/66	7,634,569
Education Loan Asset-Backed Trust I Series 2013-1, Class A2^(a)
	6,750,000		1.824		04/26/32	6,581,859


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loans^(c) – (continued)
Educational Services of America, Inc. Series 2010-1, Class A1^(a)
$	501,217		1.888	%	07/25/23	$ 501,571
Educational Services of America, Inc. Series 2015-2, Class A^(a)
	2,141,526		2.024		12/25/56	2,141,525
Higher Education Funding I Series 2014-1, Class A^(a)
	3,363,757		2.102		05/25/34	3,349,466
Knowledgeworks Foundation Student Loan Series 2010-1, Class A
	538,014		2.002		02/25/42	538,842
Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3
	2,450,000		2.060		07/20/43	2,404,178
Navient Student Loan Trust Series 2017-2A, Class A^(a)
	7,796,872		2.074		12/27/66	7,843,302
Nelnet Student Loan Trust Series 2006-1, Class A6^(a)
	4,300,000		1.503		08/23/36	4,110,414
Nelnet Student Loan Trust Series 2006-2, Class A5
	1,439,532		1.138		01/25/30	1,437,440
Nelnet Student Loan Trust Series 2010-3A, Class A^(a)
	524,760		1.818		07/27/48	530,483
Nelnet Student Loan Trust Series 2011-1A, Class A^(a)
	286,163		1.874		02/25/43	287,259
New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3^(b)
	2,900,000		1.890		10/25/37	2,834,067
North Carolina State Education Assistance Authority Series 2010-1, Class A1
	1,776,098		1.938		07/25/41	1,769,787
Northstar Education Finance, Inc. Series 2004-2, Class A3
	8,768		0.946		07/30/18	8,763
PHEAA Student Loan Trust Series 2016-1A, Class A^(a)
	3,834,328		2.174		09/25/65	3,879,779
Scholar Funding Trust Series 2010-A, Class A^(a)
	927,323		1.789		10/28/41	913,907
SLC Student Loan Center Series 2011-1, Class A^(a)
	637,635		2.244		10/25/27	644,729
SLC Student Loan Trust Series 2006-1, Class A5
	2,331,910		1.241		03/15/27	2,321,379
SLM Student Loan Trust Series 2004-8A, Class A6^(a)
	3,200,000		1.668		01/25/40	3,158,641
SLM Student Loan Trust Series 2005-3, Class A5
	960,658		1.128		10/25/24	959,177
SLM Student Loan Trust Series 2005-5, Class A5
	900,000		1.788		10/25/40	879,803
SLM Student Loan Trust Series 2006-5, Class A5
	2,330,692		1.148		01/25/27	2,325,708
Wachovia Student Loan Trust Series 2006-1, Class A5^(a)
	1,231,416		1.158		07/26/27	1,230,717

						59,904,164

TOTAL ASSET-BACKED SECURITIES (Cost $152,341,828)						$153,590,804


Mortgage-Backed Obligations – 15.8%
Adjustable Rate Non-Agency^(c) – 0.2%
Countrywide Alternative Loan Trust Series 2005-38, Class A1
$	111,891		2.191	%	09/25/35	$ 109,504
Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1
	639,168		1.220		03/20/46	552,435


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate Non-Agency^(c) – (continued)
Countrywide Home Loan Mortgage Pass-Through Trust Series 2004-HYB5, Class 2A1
$	78,048		3.074	%	04/20/35	$ 80,934
Harborview Mortgage Loan Trust Series 2006-6, Class 3A1A
	633,973		3.617		08/19/36	589,794
Residential Accredit Loans, Inc. Series 2005-Q05, Class A1
	852,571		1.691		01/25/46	711,795
Sequoia Mortgage Trust Series 2004-10, Class A3A
	137,990		2.058		11/20/34	130,085

TOTAL ADJUSTABLE RATE NON-AGENCY						$ 2,174,547

Collateralized Mortgage Obligations – 1.4%
FHLMC REMIC Series 3852, Class SW^(c)
$	709,826		4.841	%	05/15/41	$ 113,755
FHLMC REMIC Series 4314, Class SE^(c)
	518,795		4.891		03/15/44	91,639
FHLMC REMIC Series 4320, Class SD^(c)
	416,558		4.941		07/15/39	66,194
FHLMC REMIC Series 4583, Class ST^(c)
	1,810,568		4.841		05/15/46	353,337
FHLMC STRIPS Series 304, Class C45
	490,337		3.000		12/15/27	45,966
FNMA REMIC Series 2010-126, Class LS^(c)
	2,166,730		3.950		11/25/40	340,509
FNMA REMIC Series 2011-124, Class SC^(c)
	688,206		5.334		12/25/41	125,766
FNMA REMIC Series 2011-52, Class GB
	639,638		5.000		06/25/41	701,648
FNMA REMIC Series 2011-99, Class DB
	606,891		5.000		10/25/41	666,349
FNMA REMIC Series 2012-111, Class B
	78,711		7.000		10/25/42	90,751
FNMA REMIC Series 2012-153, Class B
	312,637		7.000		07/25/42	361,871
FNMA REMIC Series 2012-5, Class SA^(c)
	859,600		4.734		02/25/42	148,345
FNMA REMIC Series 2013-121, Class SA^(c)
	884,092		4.884		12/25/43	140,078
FNMA REMIC Series 2013-130, Class SN^(c)
	1,812,405		5.434		10/25/42	347,769
FNMA REMIC Series 2013-96, Class SW^(c)
	381,032		4.884		09/25/43	61,358
FNMA REMIC Series 2014-6, Class SA^(c)
	674,113		5.384		02/25/44	125,821
FNMA REMIC Series 2014-87, Class MS^(c)
	1,629,347		5.034		01/25/45	262,767
FNMA REMIC Series 2015-79, Class SA^(c)
	614,167		5.034		11/25/45	102,071
FNMA REMIC Series 2015-81, Class SA^(c)
	2,918,313		4.484		11/25/45	412,671
FNMA REMIC Series 2015-82, Class MS^(c)
	855,587		4.484		11/25/45	125,185
FNMA REMIC Series 2015-86, Class BS^(c)
	359,874		4.484		11/25/45	51,813
FNMA REMIC Series 2016-1, Class SJ^(c)
	1,619,225		4.934		02/25/46	322,021
FNMA REMIC Series 2016-3, Class IP
	1,449,164		4.000		02/25/46	297,322
GNMA REMIC Series 2010-101, Class S^(c)
	1,360,713		4.788		08/20/40	219,262


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Collateralized Mortgage Obligations – (continued)
GNMA REMIC Series 2010-20, Class SE^(c)
$	1,003,888		5.038	%	02/20/40	$ 169,491
GNMA REMIC Series 2010-31, Class SA^(c)
	577,567		4.538		03/20/40	86,734
GNMA REMIC Series 2012-149, Class MS^(c)
	761,060		5.038		12/20/42	128,192
GNMA REMIC Series 2013-124, Class CS^(c)
	1,049,375		4.838		08/20/43	179,914
GNMA REMIC Series 2013-134, Class DS^(c)
	219,819		4.888		09/20/43	36,006
GNMA REMIC Series 2013-152, Class SG^(c)
	398,499		4.938		06/20/43	66,157
GNMA REMIC Series 2013-152, Class TS^(c)
	402,138		4.888		06/20/43	64,748
GNMA REMIC Series 2013-167, Class SG^(c)
	202,032		4.938		11/20/43	33,259
GNMA REMIC Series 2013-181, Class SA^(c)
	1,267,254		4.888		11/20/43	213,651
GNMA REMIC Series 2014-117, Class SJ^(c)
	3,027,167		4.388		08/20/44	458,336
GNMA REMIC Series 2014-132, Class SL^(c)
	945,217		4.888		10/20/43	136,721
GNMA REMIC Series 2014-133, Class BS^(c)
	459,682		4.388		09/20/44	65,627
GNMA REMIC Series 2014-158, Class SA^(c)
	1,389,430		4.428		10/16/44	209,215
GNMA REMIC Series 2014-188, Class IB
	1,094,762		4.000		12/20/44	170,521
GNMA REMIC Series 2014-41, Class SA^(c)
	258,272		4.888		03/20/44	43,372
GNMA REMIC Series 2015-110, Class MS^(c)
	2,752,732		4.498		08/20/45	418,518
GNMA REMIC Series 2015-111, Class IM
	1,326,699		4.000		08/20/45	217,849
GNMA REMIC Series 2015-117, Class KI
	3,839,493		5.000		08/20/45	805,041
GNMA REMIC Series 2015-123, Class SP^(c)
	667,568		5.038		09/20/45	113,010
GNMA REMIC Series 2015-126, Class HS^(c)
	1,024,770		4.988		09/20/45	171,242
GNMA REMIC Series 2015-129, Class IC
	555,054		4.500		09/16/45	92,148
GNMA REMIC Series 2015-14, Class IO
	1,984,798		5.000		10/20/44	418,912
GNMA REMIC Series 2015-167, Class AS^(c)
	499,918		5.038		11/20/45	80,787
GNMA REMIC Series 2015-168, Class SD^(c)
	310,791		4.988		11/20/45	51,254
GNMA REMIC Series 2015-57, Class AS^(c)
	2,182,499		4.388		04/20/45	317,309
GNMA REMIC Series 2015-64, Class SG^(c)
	1,551,237		4.388		05/20/45	267,071
GNMA REMIC Series 2016-1, Class ST^(c)
	614,059		4.988		01/20/46	102,857
GNMA REMIC Series 2016-138, Class GI
	1,434,216		4.000		10/20/46	258,472
GNMA REMIC Series 2016-27, Class IA
	867,289		4.000		06/20/45	130,072
GNMA REMIC Series 2016-4, Class SM^(c)
	914,417		4.438		01/20/46	130,314


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Collateralized Mortgage Obligations – (continued)
GNMA REMIC Series 2016-6, Class SB^(c)
$	871,885		4.438	%	01/20/46	$ 126,831

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$ 11,337,899

Commercial Mortgage-Backed Securities – 0.4%
Bear Stearns Commercial Mortgage Securities Trust Series 2007-PW18, Class A1A
$	2,071,072		5.602	%	06/11/50	$ 2,087,888
Wachovia Bank Commercial Mortgage Trust Series 2007-C34, Class A1A^(c)
	1,040,440		5.608		05/15/46	1,042,436

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$ 3,130,324

Federal Agencies – 13.8%
FHLMC – 0.1%
$	10		5.000	%	08/01/17	$ 10
	2,999		5.000		09/01/17	3,078
	5,245		5.000		10/01/17	5,383
	4,996		5.000		11/01/17	5,127
	5,417		5.000		12/01/17	5,549
	9,117		5.000		01/01/18	9,310
	19,676		5.000		02/01/18	20,022
	21,408		5.000		03/01/18	21,826
	23,799		5.000		04/01/18	24,212
	18,885		5.000		05/01/18	19,319
	6,069		5.000		06/01/18	6,183
	6,299		5.000		07/01/18	6,386
	1,900		5.000		08/01/18	1,939
	1,807		5.000		09/01/18	1,844
	10,513		5.000		10/01/18	10,748
	12,115		5.000		11/01/18	12,374
	9,188		5.000		12/01/18	9,422
	5,050		5.000		01/01/19	5,180
	696		5.000		02/01/19	713
	1,774		5.000		03/01/19	1,823
	3,526		5.000		01/01/33	3,853
	671		5.000		06/01/33	730
	6,860		5.000		07/01/33	7,463
	8,471		5.000		08/01/33	9,215
	1,440		5.000		10/01/33	1,566
	5,047		5.000		11/01/33	5,491
	2,048		5.000		12/01/33	2,228
	6,129		5.000		02/01/34	6,674
	2,708		5.000		03/01/34	2,957
	3,386		5.000		04/01/34	3,701
	7,830		5.000		05/01/34	8,519
	99,345		5.000		06/01/34	108,149
	1,300		5.000		11/01/34	1,421
	27,981		5.000		04/01/35	30,442
	2,761		5.000		11/01/35	3,004
	8,102		5.000		02/01/37	8,925
	777		5.000		11/01/37	848
	259,063		7.000		02/01/39	299,962
	39,792		5.000		01/01/40	43,620
	18,188		4.000		06/01/40	19,210
	196,732		4.000		02/01/41	207,836


Principal Amount		Interest Rate			Maturity Date			Value
Mortgage-Backed Obligations – (continued)
FHLMC – (continued)
$	14,210		4.000	%		11/01/41		$ 15,023

								961,285

FNMA – 3.3%
	419		5.000			04/01/18		424
	2,240		5.000			05/01/18		2,266
	334		5.000			06/01/18		339
	376		5.000			11/01/18		383
	778		5.000			03/01/19		796
	760		5.000			04/01/19		778
	2,652		5.000			08/01/33		2,903
	1,845		5.500			02/01/34		2,067
	4,103		5.500			05/01/34		4,607
	1,814		5.500			10/01/34		2,035
	13,149		5.500			12/01/34		14,762
	3,446		5.500			04/01/35		3,860
	3,051		5.500			07/01/35		3,422
	431,898		4.500			07/01/36		465,707
	45,381		4.500			12/01/36		48,905
	44,432		4.500			05/01/38		47,884
	151,291		7.000			03/01/39		175,214
	33,195		4.500			05/01/39		36,114
	19,273		4.500			06/01/39		20,969
	13,971		4.500			08/01/39		15,205
	22,393		4.500			09/01/39		24,136
	32,088		4.500			10/01/39		34,586
	12,086		4.500			03/01/40		13,027
	170,784		4.500			04/01/40		184,007
	171,348		5.000			06/01/40		187,459
	10,563		4.500			12/01/40		11,381
	189,148		4.500			01/01/41		204,014
	50,848		4.500			04/01/41		54,828
	83,330		4.500			06/01/41		89,752
	70,727		4.500			07/01/41		76,264
	66,632		5.000			07/01/41		73,069
	116,674		4.500			08/01/41		125,746
	334,102		4.500			09/01/41		360,140
	266,149		4.500			10/01/41		286,817
	219,697		4.500			11/01/41		236,758
	109,072		4.500			12/01/41		117,479
	144,772		4.500			01/01/42		155,916
	30,651		4.500			03/01/42		33,051
	60,937		4.500			04/01/42		65,603
	126,965		3.000			12/01/42		127,891
	317,378		3.000			01/01/43		319,695
	378,591		3.000			04/01/43		381,420
	307,149		3.500			07/01/43		316,775
	470,022		3.500			08/01/43		484,752
	3,580,771		3.500			08/01/45		3,703,441
	17,000,000		3.500			TBA-30yr	^(d)	17,456,875
	1,000,000		4.000			TBA-30yr	^(d)	1,049,258

								27,022,780

GNMA – 10.4%
	8,637,555		4.000			10/20/43		9,129,828
	860,958		4.000			11/20/44		909,757
	81,805		4.000			05/20/45		86,238
	4,939,462		4.000			07/20/45		5,207,080
	3,101,175		4.000			08/20/45		3,269,196


Principal Amount		Interest Rate			Maturity Date			Value
Mortgage-Backed Obligations – (continued)
GNMA – (continued)
$	2,999,127		4.000	%		09/20/45		$ 3,161,618
	4,930,810		4.000			10/20/45		5,194,878
	1,263,163		4.000			11/20/45		1,330,416
	7,456,954		4.000			01/20/46		7,849,318
	3,962,978		4.000			02/20/46		4,171,499
	66,938		4.000			03/20/46		70,460
	13,269,626		4.000			04/20/46		13,969,910
	869,621		4.000			05/20/46		915,514
	8,814,345		4.000			05/20/47		9,297,412
	13,000,000		4.000			06/20/47		13,720,586
	6,000,000		4.000			07/20/47		6,337,735
	2,000,000		4.000			TBA-30yr	^(d)	2,104,219

								86,725,664

TOTAL FEDERAL AGENCIES								$114,709,729

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $132,232,826)								$131,352,499


Agency Debenture – 0.3%
FHLMC
$	1,800,000		6.750	%		03/15/31		$ 2,605,230
(Cost $2,335,891)


Government Guarantee Obligations^(e) – 1.5%
Canada Housing Trust No. 1^(a)
CAD	5,200,000		2.350	%		12/15/18		$ 4,078,359
Dexia Credit Local SA
GBP	1,800,000		1.875			07/17/17		2,345,610
$	3,500,000		1.875	^(a)		03/28/19		3,490,491
Kreditanstalt fuer Wiederaufbau
AUD	3,000,000		6.000			08/20/20		2,557,270

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS (Cost $13,535,767)								$ 12,471,730


U.S. Treasury Obligations – 2.3%
United States Treasury Bond^(f)
$	1,730,000		3.000	%		05/15/47		$ 1,786,139
United States Treasury Inflation Indexed Bonds
	1,138,036		0.125			04/15/20		1,140,210
	5,003,309		0.125	^(f)		04/15/21		4,998,605
	7,555,143		0.625	^(f)		01/15/24		7,668,168
	1,287,138		0.125	^(f)		07/15/24		1,265,346
	2,675,374		0.625			01/15/26		2,694,476

TOTAL U.S. TREASURY OBLIGATIONS (Cost $19,650,451)								$ 19,552,944



Shares		Distribution Rate						Value
Investment Company^(c)(g) – 1.5%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	12,463,338		0.845%					$ 12,463,338
(Cost $12,463,338)


Notional Amount		Exercise Price			Expiration Date	Value
Option Contracts Purchased – 0.0%
Interest Rate Swaptions – 0.0%
Morgan Stanley & Co. LLC Put - OTC - 10 year Interest Rate Swap
$	6,010,000		0.700	%	10/23/17	$ 12,900

TOTAL INVESTMENTS – 99.8% (Cost $823,932,216)						$829,242,200

OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2%						1,326,286

NET ASSETS – 100.0%						$830,568,486



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $206,045,696, which represents approximately 24.8% of net assets as of June 30, 2017.

(b)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(c)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(d)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $20,610,352 which represents approximately 2.5% of net assets as of June 30, 2017.

(e)		Guaranteed by a foreign government until maturity. Total market value of these securities amounts to $12,471,730, which represents approximately 1.5% of net assets as of June 30, 2017.

(f)		All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.

(g)		Represents an Affiliated Fund.



Currency Abbreviations:
ARS		— Argentine Peso
AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CHF		— Swiss Franc
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
DKK		— Danish Krone
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
INR		— Indian Rupee
JPY		— Japanese Yen
KRW		— South Korean Won
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
NOK		— Norwegian Krone
NZD		— New Zealand Dollar


PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RUB		— Russian Ruble
SEK		— Swedish Krona
SGD		— Singapore Dollar
THB		— Thai Baht
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand

Investment Abbreviations:
AUDOR		— Australian Dollar Offered Rate
BP		— British Pound Offered Rate
CDOR		— Canadian Dollar Offered Rate
CHFOR		— Swiss Franc Offered Rate
CLO		— Collateralized Loan Obligation
CPI		— Consumer Price Index
EURO		— Euro Offered Rate
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GMAC		— General Motors Acceptance Corporation
GNMA		— Government National Mortgage Association
JYOR		— Japanese Yen Offered Rate
KWCDC		— South Korean Won Certificate of Deposit
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
NIBOR		— Norwegian Interbank Offered Rate
OTC		— Over the Counter
PLC		— Public Limited Company
REMIC		— Real Estate Mortgage Investment Conduit
STIBOR		— Stockholm Interbank Offered Rate
STRIPS		— Separate Trading of Registered Interest and Principal of Securities


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FORWARD SALES CONTRACTS — At June 30, 2017, the Fund had the following forward sales contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – 2.3%
Electric – 0.0%
Calpine Corp.
$	3,109,091		2.980	%	11/30/17	$ 3,109,091

Energy – 0.4%
American Energy - Marcellus LLC
	23,426,000		5.339		08/04/20	14,953,519
	10,300,000		8.589		08/04/21	947,600
Magnum Hunter Resources, Inc.
	11,900,253		8.000		05/06/19	11,900,253

						27,801,372

Energy - Coal – 0.1%
Murray Energy Corp.
	9,499,762		8.546		04/16/20	9,262,268

Environmental – 0.2%
EnergySolutions LLC
	16,332,331		6.980		05/29/20	16,413,992

Food & Beverages – 0.2%
Shearer’s Foods, Inc.
	14,295,736		8.046		06/30/22	13,795,385

Media - Broadcasting & Radio – 0.4%
Getty Images, Inc.
	28,012,715		4.796		10/18/19	25,754,329
Lions Gate Entertainment Corp.
	5,889,688		4.226		12/08/23	5,920,962

						31,675,291

Media - Cable – 0.1%
Charter Communications Operating LLC
	7,949,720		3.230		01/03/21	7,969,594

Media - Non Cable – 0.1%
Checkout Holding Corp.
	12,875,000		7.976		04/11/22	8,223,906

Noncaptive - Financial – 0.2%
Avolon TLB Borrower 1 (Luxembourg) S.a.r.l.
	3,375,000		3.462		09/20/20	3,386,813
	7,600,000		3.962		03/20/22	7,644,460

						11,031,273

Pipelines – 0.3%
Williams Partners LP
	18,100,000		1.250		12/23/18	18,054,750

Retailers – 0.2%
True Religion Apparel, Inc.
	57,140,833		6.171		07/30/19	12,261,280
	8,400,000		11.000		01/30/20	1,428,000

						13,689,280

Technology - Software/Services – 0.1%
MA FinanceCo. LLC
	986,683		2.750		04/29/24	987,917


Principal Amount		Interest Rate			Maturity Date			Value
Bank Loans^(a) – (continued)
Technology - Software/Services – (continued)
Seattle Spinco, Inc.
$	6,663,317		2.750	%		04/19/24		$ 6,671,646

								7,659,563

TOTAL BANK LOANS (Cost $238,617,184)								$ 168,685,765


Corporate Obligations – 9.3%
Airlines – 0.2%
Continental Airlines 2012-3 Class C Pass Through Trust
$	12,550,000		6.125	%		04/29/18		$ 12,863,750

Banks – 0.2%
Ally Financial, Inc.
	8,900,000		6.250			12/01/17		9,033,500
Intesa Sanpaolo SpA^(b)
	9,500,000		5.017			06/26/24		9,642,500
The Bank of New York Mellon SA^(c)
	1,630,000		9.625			05/02/21		—

								18,676,000

Consumer Cyclical Services - Business^(d) – 0.1%
DuPont Fabros Technology LP
	7,300,000		5.875			09/15/21		7,592,000

Electric^(d) – 0.2%
Dynegy, Inc.
	9,400,000		6.750			11/01/19		9,682,000
Electricite de France SA^(e)
EUR	3,100,000		4.250			01/29/49		3,755,547

								13,437,547

Energy – 2.7%
Halcon Resources Corp.^(b)(d)
$	1,600,000		12.000			02/15/22		1,824,000
	9,950,000		6.750			02/15/25		8,955,000
Petrobras Global Finance BV
	15,180,000		8.375			05/23/21		16,996,211
	1,130,000		8.750			05/23/26		1,298,234
	37,530,000		7.375			01/17/27		39,697,357
	10,150,000		6.850			06/05/15	^(l)	8,962,958
Petroleos de Venezuela SA
	277,570,000		6.000			10/28/22		92,289,749
Petroleos Mexicanos
	1,140,000		6.375			02/04/21		1,234,392
EUR	17,330,000		5.125			03/15/23		22,242,894
	$90,000		6.625			06/15/35		93,150
	492,000		5.500			06/27/44		432,468
	990,000		6.375			01/23/45		967,032
	380,000		5.625			01/23/46		336,870

								195,330,315

Energy - Exploration & Production – 0.6%
Carrizo Oil & Gas, Inc.^(d)
	19,300,000		7.500			09/15/20		19,686,000
Laredo Petroleum, Inc.^(d)
	12,000,000		5.625			01/15/22		11,700,000
	1,350,000		7.375			05/01/22		1,370,250


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Energy - Exploration & Production – (continued)
Whiting Petroleum Corp.
$	6,800,000		5.000	%^(d)	03/15/19	$ 6,757,500
	2,950,000		1.250		04/01/20	2,492,750

						42,006,500

Energy - Services^(b) – 0.1%
Nabors Industries, Inc.
	8,500,000		0.750		01/15/24	6,762,813

Gaming – 0.1%
MGM Resorts International
	5,000,000		8.625		02/01/19	5,500,000

Health Care – 0.4%
Fresenius Medical Care US Finance, Inc.
	6,050,000		6.875		07/15/17	6,057,562
HCA, Inc.
	7,050,000		3.750		03/15/19	7,191,000
Tenet Healthcare Corp.
	8,850,000		6.250		11/01/18	9,336,750
	5,500,000		4.746	^(d)(e)	06/15/20	5,555,000

						28,140,312

Health Care Services^(b)(d) – 0.1%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc.
	7,000,000		5.750		03/01/25	7,166,250

Home Construction^(d) – 0.0%
Beazer Homes USA, Inc.
	1,500,000		5.750		06/15/19	1,575,000

Media - Broadcasting & Radio^(d) – 0.2%
iHeartCommunications, Inc.
	15,900,000		9.000		12/15/19	12,481,500

Media - Cable – 0.2%
Altice Financing SA^(b)(d)
	3,200,000		6.500		01/15/22	3,344,000
Cablevision Systems Corp.
	1,450,000		7.750		04/15/18	1,504,375
DISH DBS Corp.
	5,200,000		4.625		07/15/17	5,202,600
SFR Group SA^(b)(d)
	7,000,000		6.000		05/15/22	7,315,000

						17,365,975

Mining – 0.3%
First Quantum Minerals Ltd.^(b)(d)
	8,650,000		7.250		04/01/23	8,498,625
	3,700,000		7.500		04/01/25	3,626,000
Freeport-McMoRan, Inc.
	12,650,000		2.375		03/15/18	12,586,750

						24,711,375

Noncaptive - Financial – 0.4%
CURO Financial Technologies Corp.^(b)(d)
	8,000,000		12.000		03/01/22	8,360,000
General Electric Co.
MXN	110,000,000		8.500		04/06/18	6,083,146


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Noncaptive - Financial – (continued)
Nationstar Mortgage LLC/Nationstar Capital Corp.^(d)
$	6,450,000		6.500	%	08/01/18	$ 6,450,000
Navient Corp.
	1,650,000		4.625		09/25/17	1,658,177
	2,500,000		8.450		06/15/18	2,636,725
Park Aerospace Holdings Ltd.^(b)
	7,300,000		5.250		08/15/22	7,612,791

						32,800,839

Packaging^(d) – 0.2%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.^(b)
	9,700,000		6.000		02/15/25	10,172,875
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
	5,250,000		5.750		10/15/20	5,361,562

						15,534,437

Pharmaceuticals^(b)(d) – 0.3%
Valeant Pharmaceuticals International, Inc.
	8,900,000		6.375		10/15/20	8,633,000
	5,900,000		6.500		03/15/22	6,187,625
	7,350,000		7.000		03/15/24	7,745,062

						22,565,687

Pipelines^(d) – 0.5%
DCP Midstream Operating LP
	9,550,000		2.500		12/01/17	9,538,063
Enterprise Products Operating LLC^(e)
	29,675,000		4.877		08/01/66	29,786,281

						39,324,344

Property/Casualty Insurance^(d)(e) – 0.2%
The Chubb Corp.
	11,894,000		3.408		03/29/67	11,804,795

Real Estate Investment Trusts – 0.1%
Corporacion Geo SA
	492,130		8.000		04/13/21	—
Trust F/1401^(b)(d)
	4,470,000		5.250		12/15/24	4,715,627

						4,715,627

Technology - Hardware – 0.2%
Nokia OYJ
	3,500,000		3.375		06/12/22	3,526,250
NXP BV/NXP Funding LLC^(b)
	8,200,000		4.125		06/01/21	8,634,600

						12,160,850

Telecommunications - Cellular – 0.2%
America Movil SAB de CV
MXN	256,740,000		6.000		06/09/19	13,700,463

Wireless Telecommunications – 1.2%
Intelsat Jackson Holdings SA^(d)
$	1,600,000		7.250		10/15/20	1,512,000
	15,000,000		7.500		04/01/21	13,875,000
	2,450,000		9.750	^(b)	07/15/25	2,446,937


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Wireless Telecommunications – (continued)
Sprint Communications, Inc.
$	13,550,000		8.375	%	08/15/17	$ 13,651,625
	7,700,000		9.000	^(b)	11/15/18	8,354,500
	8,000,000		7.000		08/15/20	8,800,000
Sprint Corp.
	16,850,000		7.125		06/15/24	18,745,625
Wind Acquisition Finance SA^(b)(d)
	7,450,000		4.750		07/15/20	7,543,125
	13,500,000		7.375		04/23/21	14,023,125

						88,951,937

Wirelines Telecommunications – 0.6%
Frontier Communications Corp.
	12,557,000		8.125		10/01/18	13,247,635
Telecom Italia Capital SA
	5,550,000		6.375		11/15/33	5,987,063
	5,600,000		7.200		07/18/36	6,482,000
	7,450,000		7.721		06/04/38	9,005,187
Windstream Services LLC^(d)
	13,300,000		7.750		10/15/20	13,399,750

						48,121,635

TOTAL CORPORATE OBLIGATIONS (Cost $679,102,318)						$ 683,289,951


Mortgage-Backed Obligations – 12.5%
Adjustable Rate Non-Agency^(e) – 5.5%
American Home Mortgage Assets Trust Series 2006-2, Class 2A1
$	8,754,715		1.214	%	09/25/46	$ 7,371,298
American Home Mortgage Investment Trust Series 2006-3, Class 11A1
	152,949		1.384		12/25/46	137,356
American Home Mortgage Investment Trust Series 2007-2, Class 11A1
	4,259,319		1.254		03/25/47	2,681,539
Banc of America Funding Corp. Series 2006-H, Class 6A1
	20,569,666		1.200		10/20/36	17,623,300
Bear Stearns Mortgage Funding Trust Series 2007-AR4, Class 1A1
	3,840,132		1.224		09/25/47	3,420,399
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2005-4A, Class A1^(b)
	5,486,810		1.416		10/25/36	5,064,546
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-1A, Class A1^(b)
	25,504,567		1.174		12/25/46	22,927,392
Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-3A, Class A1^(b)
	13,923,986		1.154		08/25/47	12,337,232
Citigroup Mortgage Loan Trust Series 2006-AR6, Class 2A2
	7,418,365		1.184		09/25/36	6,916,506
Citigroup Mortgage Loan Trust, Inc. Series 2006-AR7, Class 2A2A
	4,054,247		3.353		11/25/36	3,696,465
Countrywide Alternative Loan Trust Series 2005-16, Class A1
	3,640,894		2.336		06/25/35	3,521,506
Countrywide Alternative Loan Trust Series 2005-9CB, Class 1A5
	800,139		1.524		05/25/35	694,585
Countrywide Alternative Loan Trust Series 2006-0C8, Class 2A2B
	2,270,353		1.194		11/25/36	2,134,200
Countrywide Alternative Loan Trust Series 2006-HY11, Class A1
	343,384		1.144		06/25/36	292,151


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate Non-Agency^(e) – (continued)
Countrywide Alternative Loan Trust Series 2006-OA1, Class 2A1
$	290,101		1.220	%	03/20/46	$ 250,735
Countrywide Alternative Loan Trust Series 2007-19, Class 1A11
	10,220,128		1.524		08/25/37	6,247,189
Countrywide Alternative Loan Trust Series 2007-HY6, Class A1
	5,066,436		1.234		08/25/47	4,468,848
Countrywide Alternative Loan Trust Series 2007-OA11, Class A1A
	25,295,032		2.071		11/25/47	20,116,347
Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA, Class A^(b)
EUR	45,851,517		2.750		04/20/20	51,452,833
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5, Class A1A
$	3,088,507		1.416		08/25/47	2,896,819
Deutsche Alt-A Securities Mortgage Loan Trust Series 2007-OA5, Class A1B
	3,854,457		1.436		08/25/47	3,591,798
Downey Savings & Loan Association Mortgage Trust Series 2005-AR5, Class 2A1A
	8,995,109		1.334		09/19/45	7,226,783
GreenPoint Mortgage Funding Trust Series 2006-OH1, Class A1
	1,461,073		1.204		01/25/37	1,331,242
GSR Mortgage Loan Trust Series 2006-OA1, Class 2A2
	27,819,711		1.284		08/25/46	15,932,446
HarborView Mortgage Loan Trust Series 2006-11, Class A1A
	5,088,366		1.174		12/19/36	4,441,863
HomeBanc Mortgage Trust Series 2006-1, Class 3A2
	2,945,289		3.242		04/25/37	2,469,541
Indymac Index Mortgage Loan Trust Series 2005-AR10, Class A1
	4,676,891		1.544		06/25/35	4,295,918
Indymac Index Mortgage Loan Trust Series 2005-AR13, Class 4A1
	783,895		3.178		08/25/35	723,284
Indymac Index Mortgage Loan Trust Series 2005-AR23, Class 6A1
	2,975,951		3.185		11/25/35	2,615,840
Indymac Index Mortgage Loan Trust Series 2007-AR1, Class 1A1
	5,032,241		3.586		03/25/37	4,871,552
Indymac Index Mortgage Loan Trust Series 2007-FLX4, Class 2A1
	6,595,393		1.396		07/25/37	6,232,637
JPMorgan Alternative Loan Trust Series 2006-A2, Class 2A2
	6,179,290		3.435		05/25/36	5,383,389
JPMorgan Alternative Loan Trust Series 2006-A5, Class 1A1
	6,339,647		1.184		10/25/36	5,892,487
Lehman XS Trust Series 2005-5N, Class 1A1
	15,835,407		1.324		11/25/35	15,081,021
Lehman XS Trust Series 2005-7N, Class 1A1A
	8,849,866		1.294		12/25/35	8,499,591
Lehman XS Trust Series 2006-GP1, Class A2A
	1,507		1.194		05/25/46	1,543
Lehman XS Trust Series 2007-16N, Class 2A2
	11,434,945		2.066		09/25/47	10,738,064
Lehman XS Trust Series 2007-4N, Class 3A2A
	5,024,584		1.482		03/25/47	4,705,343
Lehman XS Trust Series 2007-5H, Class 3A4
	6,024,982		3.090		05/25/37	5,134,757
Lehman XS Trust Series Series 2006-14N, Class 1A1A
	12,859,886		1.214		09/25/46	11,545,953
Luminent Mortgage Trust Series 2007-2, Class 2A1
	1,418,026		1.254		05/25/37	1,216,721
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 1A1
	7,780,908		1.492		12/25/46	7,504,254
Master Adjustable Rate Mortgages Trust Series 2006-OA2, Class 4A1A
	3,149,274		1.542		12/25/46	3,090,668


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate Non-Agency^(e) – (continued)
Master Adjustable Rate Mortgages Trust Series 2007-2, Class A1
$	3,346,395		1.174	%	03/25/47	$ 3,111,276
Master Adjustable Rate Mortgages Trust Series 2007-3, Class 12A1
	1,578,730		1.416		05/25/47	1,309,613
Master Adjustable Rate Mortgages Trust Series 2007-HF2, Class A1
	4,800,221		1.334		09/25/37	4,563,477
Morgan Stanley Mortgage Loan Trust Series 2005-6AR, Class 1A3
	1,241,280		1.434		11/25/35	1,237,198
Morgan Stanley Mortgage Loan Trust Series 2006-16AX, Class 1A
	937,624		1.194		11/25/36	369,847
Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2006-AR4, Class A4A
	2,142,797		1.264		12/25/36	1,808,116
Residential Accredit Loans, Inc. Series 2005-Q05, Class A1
	4,763,741		1.691		01/25/46	3,977,155
Residential Accredit Loans, Inc. Series 2005-QA12, Class CB3
	5,069,697		4.228		12/25/35	4,524,688
Residential Accredit Loans, Inc. Series 2006-QA2, Class 2A1
	4,067,081		4.856		02/25/36	3,659,552
Residential Accredit Loans, Inc. Series 2006-QO1, Class 3A1
	2,589,818		1.294		02/25/46	1,783,339
Residential Accredit Loans, Inc. Series 2006-QO7, Class 1A1
	5,075,284		1.491		09/25/46	4,207,143
Residential Accredit Loans, Inc. Series 2006-QO7, Class 3A2
	268,461		1.229		09/25/46	232,691
Residential Accredit Loans, Inc. Series 2007-QO4, Class A1A
	1,791,393		1.214		05/25/47	1,686,010
Residential Funding Mortgage Securities I Series 2005-SA4, Class 2A1
	4,288,249		3.527		09/25/35	3,992,904
Residential Funding Mortgage Securities I Series 2005-SA5, Class 2A
	2,379,666		3.810		11/25/35	2,280,584
Structured Adjustable Rate Mortgage Loan Trust Series 2006-11, Class 1A1
	4,630,144		1.184		12/25/36	4,325,676
Structured Adjustable Rate Mortgage Loan Trust Series 2006-9, Class 3A1
	2,809,409		3.328		10/25/36	2,037,014
Structured Asset Mortgage Investments II Trust Series 2006-AR3, Class 21A1
	3,446,456		1.424		02/25/36	2,944,518
Structured Asset Mortgage Investments II Trust Series 2006-AR5, Class 1A1
	5,870,981		1.234		05/25/46	4,812,441
Structured Asset Mortgage Investments II Trust Series 2007-AR4, Class A4A
	5,946,931		1.204		09/25/47	5,399,480
Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 1A1
	1,587,029		1.874		05/25/47	1,338,776
Structured Asset Mortgage Investments II Trust Series 2007-AR7, Class 3A1
	14,875,460		6.500		05/25/47	11,498,430
Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR4, Class DA
	2,517,298		1.662		06/25/46	1,650,805
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR1, Class A2A1
	7,151,774		1.704		01/25/45	6,922,546
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR19, Class A1A1
	431,515		1.294		12/25/45	424,707


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate Non-Agency^(e) – (continued)
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 1A1A
$	280,388		1.564	%	07/25/45	$ 280,209
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR8, Class 2A1A
	985,633		1.604		07/25/45	950,130
Washington Mutual Mortgage Pass-Through Certificates Series 2005-AR9, Class A1A
	3,490,632		1.664		07/25/45	3,472,389
Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR19, Class 1A
	7,811,977		1.432		01/25/47	7,087,266
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA4, Class A1A
	5,812,909		1.452		04/25/47	5,010,129
Washington Mutual Mortgage Pass-Through Certificates Series 2007-OA6, Class 2A
	4,443,676		1.776		07/25/47	3,636,251

TOTAL ADJUSTABLE RATE NON-AGENCY						$ 407,312,301

Collateralized Mortgage Obligations – 5.4%
Interest Only^(f) – 0.4%
FHLMC STRIPS Series 304, Class C45
$	33,105,259		3.000	%	12/15/27	$ 3,103,393
FNMA REMIC Series 2011-100, Class S^(e)
	14,644,962		5.234		10/25/41	2,493,072
FNMA REMIC Series 2012-146, Class IO
	3,342,423		3.500		01/25/43	646,899
GNMA REMIC Series 2013-182, Class PI
	14,786,289		4.500		12/20/43	2,965,424
GNMA REMIC Series 2014-11, Class NI
	12,279,276		4.500		12/16/42	1,725,472
GNMA REMIC Series 2014-180, Class PI
	14,251,366		4.000		08/20/44	2,340,346
GNMA REMIC Series 2015-111, Class IW
	16,646,550		4.000		06/20/45	2,520,696
GNMA REMIC Series 2015-129, Class IC
	5,550,544		4.500		09/16/45	921,477
GNMA REMIC Series 2015-95, Class GI
	48,450,674		4.500		07/16/45	10,276,761

						26,993,540

Inverse Floaters^(e) – 3.7%
FHLMC REMIC Series 3753, Class SK
	15,686,786		4.891		11/15/38	1,440,163
FHLMC REMIC Series 3852, Class SW
	5,625,368		4.841		05/15/41	901,511
FHLMC REMIC Series 4273, Class PS
	42,975,160		4.941		11/15/43	7,080,372
FHLMC REMIC Series 4320, Class SD
	42,054,040		4.941		07/15/39	6,682,656
FHLMC REMIC Series 4326, Class GS
	17,236,170		4.891		04/15/44	3,024,758
FHLMC REMIC Series 4431, Class ST
	18,893,190		4.941		01/15/45	3,922,147
FHLMC REMIC Series 4468, Class SY
	15,317,844		4.941		05/15/45	3,163,112
FNMA REMIC Series 2010-126, Class LS
	6,671,475		3.950		11/25/40	1,048,446


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(e) – (continued)
FNMA REMIC Series 2012-88, Class SB
$	11,550,596		5.454	%	07/25/42	$ 2,164,670
FNMA REMIC Series 2013-121, Class SA
	22,986,396		4.884		12/25/43	3,642,029
FNMA REMIC Series 2013-130, Class SN
	27,235,899		5.434		10/25/42	5,226,100
FNMA REMIC Series 2013-96, Class SW
	44,390,197		4.884		09/25/43	7,148,256
FNMA REMIC Series 2014-19, Class MS
	25,098,220		5.384		11/25/39	3,021,921
FNMA REMIC Series 2014-87, Class MS
	17,179,837		5.034		01/25/45	2,770,613
FNMA REMIC Series 2015-20, Class ES
	50,373,716		4.934		04/25/45	10,648,908
FNMA REMIC Series 2015-22, Class DS
	12,173,491		4.984		04/25/45	2,570,269
FNMA REMIC Series 2015-24, Class SG
	20,343,740		4.384		04/25/45	3,826,047
FNMA REMIC Series 2015-34, Class LS
	33,468,413		4.884		06/25/45	6,472,627
FNMA REMIC Series 2015-79, Class SA
	34,393,369		5.034		11/25/45	5,715,996
FNMA REMIC Series 2015-79, Class SE
	13,702,751		5.034		11/25/45	2,234,295
FNMA REMIC Series 2015-81, Class SA
	133,239,233		4.484		11/25/45	18,841,027
FNMA REMIC Series 2015-82, Class MS
	99,116,492		4.484		11/25/45	14,502,190
FNMA REMIC Series 2015-86, Class BS
	25,036,982		4.484		11/25/45	3,604,725
GNMA REMIC Series 2010-1, Class SD
	8,021,470		4.578		01/20/40	1,295,841
GNMA REMIC Series 2010-162, Class SE
	16,760,013		5.338		12/20/40	1,667,212
GNMA REMIC Series 2010-20, Class SC
	11,476,485		4.938		02/20/40	1,913,158
GNMA REMIC Series 2010-20, Class SD
	10,426,095		4.468		02/20/40	1,540,338
GNMA REMIC Series 2010-20, Class SE
	16,000,289		5.038		02/20/40	2,701,407
GNMA REMIC Series 2010-31, Class SA
	378,406		4.538		03/20/40	56,826
GNMA REMIC Series 2010-35, Class DS
	12,500,333		4.468		03/20/40	1,825,776
GNMA REMIC Series 2010-37, Class SG
	26,007,003		4.488		03/20/40	3,845,788
GNMA REMIC Series 2010-58, Class AI
	4,120,681		4.558		05/20/40	622,146
GNMA REMIC Series 2010-59, Class SA
	7,273,951		5.288		05/20/40	1,313,468
GNMA REMIC Series 2010-85, Class SN
	15,461,613		4.728		07/20/40	2,838,768
GNMA REMIC Series 2010-9, Class XD
	26,535,822		5.428		01/16/40	4,662,532
GNMA REMIC Series 2010-9, Class YD
	35,542,123		5.628		01/16/40	6,501,944
GNMA REMIC Series 2010-90, Class ES
	24,498,952		4.738		07/20/40	3,875,678
GNMA REMIC Series 2012-149, Class MS
	6,372,990		5.038		12/20/42	1,073,457
GNMA REMIC Series 2013-103, Class DS
	15,574,760		4.938		07/20/43	2,592,199


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(e) – (continued)
GNMA REMIC Series 2013-111, Class SA
$	16,519,826		5.488	%	07/20/43	$ 3,105,608
GNMA REMIC Series 2013-113, Class SA
	19,225,713		5.488		08/20/43	3,608,330
GNMA REMIC Series 2013-113, Class SD
	67,888,819		5.528		08/16/43	12,101,168
GNMA REMIC Series 2013-117, Class PS
	22,100,864		4.938		04/20/43	3,314,891
GNMA REMIC Series 2013-134, Class DS
	133,803		4.888		09/20/43	21,917
GNMA REMIC Series 2013-147, Class SD
	21,216,692		5.438		12/20/39	3,933,169
GNMA REMIC Series 2013-152, Class SJ
	24,154,029		4.938		05/20/41	4,029,192
GNMA REMIC Series 2013-152, Class TS
	402,138		4.888		06/20/43	64,748
GNMA REMIC Series 2013-167, Class SG
	19,881,821		4.938		11/20/43	3,272,931
GNMA REMIC Series 2014-132, Class SL
	27,715,076		4.888		10/20/43	4,008,839
GNMA REMIC Series 2014-133, Class BS
	12,411,402		4.388		09/20/44	1,771,940
GNMA REMIC Series 2014-3, Class TS
	9,589,750		4.338		01/20/44	1,358,541
GNMA REMIC Series 2014-41, Class SA
	28,237,780		4.888		03/20/44	4,741,982
GNMA REMIC Series 2014-5, Class SA
	14,826,066		4.338		01/20/44	2,125,191
GNMA REMIC Series 2014-56, Class ST
	21,477,995		4.928		12/16/39	3,214,715
GNMA REMIC Series 2014-76, Class SA
	31,922,912		4.388		01/20/40	4,563,661
GNMA REMIC Series 2014-96, Class SE
	19,055,233		4.388		07/20/44	2,752,075
GNMA REMIC Series 2015-110, Class MS
	19,500,936		4.498		08/20/45	2,964,868
GNMA REMIC Series 2015-111, Class SM
	16,822,723		4.988		08/20/45	2,880,378
GNMA REMIC Series 2015-112, Class SB
	32,453,267		4.528		08/20/45	4,950,499
GNMA REMIC Series 2015-123, Class SE
	19,968,144		4.508		09/20/45	2,971,132
GNMA REMIC Series 2015-126, Class HS
	35,252,300		4.988		09/20/45	5,890,751
GNMA REMIC Series 2015-126, Class LS
	10,954,051		4.988		09/20/45	1,876,644
GNMA REMIC Series 2015-133, Class SA
	6,207,106		4.488		09/20/45	920,454
GNMA REMIC Series 2015-133, Class SB
	8,833,503		4.488		09/20/45	1,328,074
GNMA REMIC Series 2015-144, Class QS
	18,211,900		4.488		10/20/45	2,337,980
GNMA REMIC Series 2015-167, Class SA
	19,697,302		5.038		11/20/45	3,317,524
GNMA REMIC Series 2015-168, Class SD
	30,566,277		4.988		11/20/45	5,040,816
GNMA REMIC Series 2016-4, Class SM
	86,482,227		4.438		01/20/46	12,324,651
GNMA REMIC Series 2016-6, Class S
	22,107,904		4.438		01/20/46	3,249,192


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(e) – (continued)
GNMA REMIC Series 2016-6, Class SB
$	44,291,737		4.438	%	01/20/46	$ 6,443,030

						272,464,267

Planned Amortization Class^(e) – 0.1%
GNMA REMIC Series 2011-50, Class PS
	28,436,036		4.888		02/20/41	4,559,713

Regular Floater^(e) – 0.5%
Countrywide Alternative Loan Trust Series 2005-26CB, Class A1
	753,962		1.524		07/25/35	615,313
Countrywide Alternative Loan Trust Series 2005-36, Class 2A1A
	6,033,509		1.334		08/25/35	5,058,623
Countrywide Alternative Loan Trust Series 2005-64CB, Class 1A12
	994,539		1.824		12/25/35	856,955
FHLMC REMIC Series 3231, Class FB
	579,718		1.509		10/15/36	581,159
FHLMC REMIC Series 3314, Class FC
	340,745		1.559		12/15/36	342,080
FHLMC REMIC Series 3371, Class FA
	460,486		1.759		09/15/37	464,917
FHLMC REMIC Series 3545, Class FA
	576,823		2.009		06/15/39	582,813
FHLMC REMIC Series 3827, Class KF
	859,783		1.529		03/15/41	862,375
FHLMC Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M3
	8,210,000		4.324		10/25/27	9,102,085
FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA2, Class M3
	4,852,000		5.674		10/25/28	5,427,468
FHLMC Structured Agency Credit Risk Debt Notes Series 2016-DNA3, Class M3
	2,000,000		6.024		12/25/28	2,288,911
FNMA Connecticut Avenue Securities Series 2014-C03, Class 1M1
	3,400,124		2.224		07/25/24	3,405,230
FNMA REMIC Series 2006-45, Class TF
	1,046,851		1.616		06/25/36	1,051,440
FNMA REMIC Series 2006-76, Class QF
	1,093,465		1.616		08/25/36	1,098,225
FNMA REMIC Series 2006-79, Class PF
	1,130,325		1.616		08/25/36	1,135,393
FNMA REMIC Series 2007-33, Class HF
	1,417,887		1.566		04/25/37	1,421,199
FNMA REMIC Series 2007-75, Class VF
	402,812		1.666		08/25/37	405,200
FNMA REMIC Series 2009-84, Class WF
	215,100		2.316		10/25/39	218,446
Sequoia Mortgage Trust Series 2007-3, Class 2AA1
	4,055,857		3.315		07/20/37	3,929,160

						38,846,992

Sequential Fixed Rate – 0.6%
Banc of America Funding Corp. Series 2007-8, Class 2A1
	1,820,231		7.000		10/25/37	1,171,057
BCAP LLC Trust Series 2007-AA2, Class 2A7
	1,639,489		6.000		04/25/37	1,397,890
Citicorp Mortgage Securities, Inc. Series 2007-4, Class 2A1
	83,408		5.500		05/25/22	85,205


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Sequential Fixed Rate – (continued)
Citigroup Mortgage Loan Trust Series 2007-9, Class 1A1^(b)
$	7,203,735		5.750	%	04/25/47	$ 5,797,619
CitiMortgage Alternative Loan Trust Series 2007-A3, Class 1A7
	5,781,413		5.750		03/25/37	5,214,576
Countrywide Alternative Loan Trust Series 2005-77T1, Class 1A2
	2,144,016		6.000		02/25/36	1,747,499
Countrywide Alternative Loan Trust Series 2007-15CB, Class A5
	1,079,420		5.750		07/25/37	971,503
Countrywide Alternative Loan Trust Series 2007-18CB, Class 2A25
	403,961		6.000		08/25/37	372,143
Countrywide Home Loans Mortgage Pass-Through Trust Series 2007-1, Class A4
	1,136,233		6.000		03/25/37	1,004,962
Countrywide Home Loans Mortgage Pass-Through Trust Series 2007-7, Class A3
	2,122,034		5.750		06/25/37	1,924,697
Countrywide Home Mortgage Loan Pass-Through Trust Series 2007-10, Class A5
	1,692,218		6.000		07/25/37	1,453,954
Countrywide Home Mortgage Pass-Through Trust Series 2007-10, Class A22
	3,180,529		6.000		07/25/37	2,710,146
JPMorgan Alternative Loan Trust Series 2008-R2, Class A1^(b)
	7,702,361		6.000		11/25/36	6,318,217
Morgan Stanley Mortgage Loan Trust Series 2005-4, Class 1A
	425,191		5.000		08/25/35	426,891
Residential Accredit Loans, Inc. Series 2006-QS2, Class 1A9
	625,715		5.500		02/25/36	557,394
Residential Accredit Loans, Inc. Series 2006-QS6, Class 1A13
	991,633		6.000		06/25/36	875,131
Residential Accredit Loans, Inc. Series 2006-QS9, Class 1A11
	1,812,685		6.500		07/25/36	1,599,603
Residential Asset Securitization Trust Series 2006-A15, Class A13
	6,308,936		6.250		01/25/37	4,555,814
Residential Asset Securitization Trust Series 2006-A8, Class 1A1
	1,364,471		6.000		08/25/36	1,256,530
Residential Asset Securitization Trust Series 2006-A8, Class 2A3
	6,542,721		6.000		08/25/36	3,763,553
Residential Funding Mortgage Securities I Series 2007-S9, Class 1A1
	4,635,915		6.000		10/25/37	3,938,850

						47,143,234

Sequential Floating Rate^(e) – 0.1%
Banc of America Funding Corp. Series 2007-2, Class 2A1
	75,704		4.877		03/25/37	76,151
Countrywide Alternative Loan Trust Series 2007-16CB, Class 4A3
	5,045,032		1.524		08/25/37	4,063,982
Washington Mutual Alternative Mortgage Pass-Through Certificates Series 2006-AR10, Class A1
	968,032		1.124		12/25/36	690,464

						4,830,597

						394,838,343


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Commercial Mortgage-Backed Securities – 1.0%
Sequential Fixed Rate – 0.4%
WF-RBS Commercial Mortgage Trust Series 2012-C6, Class B
$	2,500,000		4.697	%	04/15/45	$ 2,676,200
FHLMC Multifamily Structured Pass-Through Certificates Series K030, Class A1
	17,439,205		2.779		09/25/22	17,783,330
CSMC Trust Series 2014-USA, Class E^(b)
	9,050,000		4.373		09/15/37	7,867,087

						28,326,617

Sequential Floating Rate^(b)(e) – 0.6%
Hilton Mortgage Trust Series 2014-ORL, Class E
	10,050,000		4.409		07/15/29	10,093,657
JPMorgan Chase Commercial Mortgage Securities Trust Series 2014-CBM, Class E
	9,600,000		5.009		10/15/29	9,629,650
Citigroup Commercial Mortgage Trust Series 2015-SSHP, Class D
	10,013,500		4.209		09/15/17	10,041,674
CGBAM Commercial Mortgage Trust Series 2015-SMRT, Class E
	12,450,000		3.786		04/10/28	12,507,397
Tricon American Homes Trust Series 2015-SFR1, Class D
	1,920,000		3.372		05/17/32	1,925,351
Tricon American Homes Trust Series 2015-SFR1, Class E
	3,790,000		4.172		05/17/32	3,795,274
Invitation Homes Trust Series 2015-SFR2, Class E
	100,000		4.309		06/17/32	100,851

						48,093,854

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$ 76,420,471

Federal Agencies – 0.6%
FHLMC – 0.0%
$	21,435		5.000	%	01/01/33	$ 23,418
	1,768		5.000		03/01/33	1,923
	10,757		5.000		04/01/33	11,703
	2,444		5.000		05/01/33	2,660
	6,852		5.000		06/01/33	7,454
	41,700		5.000		07/01/33	45,367
	59,348		5.000		08/01/33	64,596
	7,503		5.000		09/01/33	8,185
	12,321		5.000		10/01/33	13,405
	30,679		5.000		11/01/33	33,377
	14,592		5.000		12/01/33	15,874
	13,844		5.000		01/01/34	15,062
	41,430		5.000		02/01/34	45,130
	19,488		5.000		03/01/34	21,294
	26,339		5.000		04/01/34	28,780
	51,091		5.000		05/01/34	55,601
	603,882		5.000		06/01/34	657,392
	9,926		5.000		11/01/34	10,846
	170,086		5.000		04/01/35	185,042
	16,784		5.000		11/01/35	18,259

						1,265,368

FNMA – 0.6%
	2,800,748		3.094		01/01/18	2,792,175
	2,499,309		3.434		01/01/18	2,495,489
	28,817		5.000		01/01/18	29,385
	156,439		5.000		02/01/18	160,199


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	126,802		5.000	%	03/01/18	$ 129,851
	196,222		5.000		04/01/18	200,939
	20,798		5.000		05/01/18	21,298
	18,831		5.000		06/01/18	19,284
	273		5.500		01/01/19	279
	14,425		5.500		02/01/19	14,698
	17,833		5.500		03/01/19	18,223
	9,388		5.500		04/01/19	9,572
	8,053		5.500		05/01/19	8,263
	36,017		5.500		06/01/19	36,795
	107,357		5.500		07/01/19	109,706
	102,238		5.500		08/01/19	104,583
	97,612		5.500		09/01/19	100,458
	29,903		5.500		10/01/19	30,709
	31,773		5.500		11/01/19	32,709
	47,948		5.500		12/01/19	49,329
	5,187		5.500		01/01/20	5,367
	1,546		5.500		06/01/20	1,582
	574,766		5.500		07/01/20	593,025
	1,741,060		3.416		10/01/20	1,815,148
	1,320,411		3.619		12/01/20	1,385,502
	5,288,943		4.381		06/01/21	5,694,022
	3,166		6.000		01/01/24	3,559
	66,895		6.000		04/01/24	75,211
	721,995		5.500		05/01/25	739,754
	3,977		4.500		09/01/29	4,280
	6,603		6.000		12/01/32	7,482
	747		6.000		01/01/33	840
	3,461		6.000		04/01/33	3,922
	154,768		6.000		10/01/33	176,660
	5,215		6.000		02/01/34	5,906
	39,498		6.000		03/01/34	44,699
	124,714		6.000		08/01/34	142,291
	28,693		6.000		11/01/34	32,530
	302,405		6.000		05/01/35	345,202
	59,865		6.000		06/01/35	68,401
	180,712		6.000		10/01/35	205,847
	17,943		6.000		11/01/35	20,483
	29,819		6.000		12/01/35	34,000
	110,989		6.000		02/01/36	126,206
	8,419		6.000		05/01/36	9,651
	585,730		6.000		08/01/36	668,984
	25,697		6.000		09/01/36	29,455
	16,801		6.000		10/01/36	19,208
	237,108		6.000		11/01/36	271,530
	351,270		6.000		12/01/36	399,594
	1,145,395		6.000		01/01/37	1,302,374
	1,768,034		6.000		02/01/37	2,016,451
	70,311		6.000		04/01/37	80,200
	530,046		6.000		05/01/37	604,976
	959,666		6.000		07/01/37	1,093,704
	60,331		4.500		08/01/37	64,959
	1,083,054		6.000		08/01/37	1,229,287
	30,426		6.000		09/01/37	34,587
	498,668		6.000		10/01/37	567,875
	4,303		6.000		11/01/37	4,909
	295,188		6.000		12/01/37	335,082
	816,404		6.000		01/01/38	925,525
	67,414		5.000		03/01/38	74,464
	71,580		6.000		03/01/38	81,737
	257,622		6.000		05/01/38	292,667
	17,150		6.000		07/01/38	19,634
	17,106		6.000		08/01/38	19,501
	473,191		6.000		09/01/38	537,807


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	299,684		6.000	%	10/01/38	$ 341,333
	1,613,019		6.000		11/01/38	1,816,267
	4,382,497		6.000		12/01/38	4,894,303
	2,465		6.000		01/01/39	2,772
	13,725		4.500		04/01/39	14,821
	6,613		6.000		04/01/39	7,558
	99,581		6.000		07/01/39	113,690
	21,303		4.000		08/01/39	22,493
	10,857		4.000		09/01/39	11,464
	75,143		6.000		09/01/39	85,311
	61,991		4.500		10/01/39	67,987
	697,868		6.000		10/01/39	795,975
	218,056		6.000		10/01/40	247,371
	8,753		4.500		05/01/41	9,485
	1,150,633		6.000		05/01/41	1,310,116
	34,623		4.500		06/01/41	37,371
	119,124		6.000		07/01/41	135,894
	49,937		4.500		08/01/41	54,611
	11,145		4.500		10/01/41	12,077
	393,381		5.000		11/01/41	431,307
	11,141		6.000		01/01/42	12,822
	5,082		4.500		11/01/42	5,471
	55,242		4.500		12/01/43	59,911

						39,070,434

TOTAL FEDERAL AGENCIES						$ 40,335,802

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $854,162,709)						$ 918,906,917


Agency Debentures – 0.6%
FFCB
$	31,600,000		3.440	%	06/17/30	$ 32,699,396
	11,000,000		2.850		02/10/31	10,745,075
	3,000,000		3.020		04/09/31	2,979,462

TOTAL AGENCY DEBENTURES (Cost $44,573,520)						$ 46,423,933


Asset-Backed Securities – 30.1%
Auto^(b) – 0.0%
Skopos Auto Receivables Trust Series 2015-1A, Class A
$	894,175		3.100	%	12/15/23	$ 894,798
Skopos Auto Receivables Trust Series 2015-2A, Class A
	1,825,970		3.550		02/15/20	1,826,872

						2,721,670

Collateralized Loan Obligations^(b)(e) – 14.2%
ACIS CLO Ltd. Series 2013-1A, Class A1
	17,813,220		1.894		04/18/24	17,722,764
ACIS CLO Ltd. Series 2013-1A, Class B
	3,516,015		2.974		04/18/24	3,516,106
ACIS CLO Ltd. Series 2013-1A, Class C
	2,220,765		3.974		04/18/24	2,221,005
ACIS CLO Ltd. Series 2013-2A, Class BR
	9,399,228		2.073		10/14/22	9,400,544
Acis CLO Ltd. Series 2013-2A, Class C2R
	15,200,000		2.323		10/14/22	15,199,939
ACIS CLO Ltd. Series 2014-4A, Class A
	109,000,000		2.454		05/01/26	109,139,956


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Collateralized Loan Obligations^(b)(e) – (continued)
BlueMountain CLO Ltd. Series 2014-2A, Class AR
$	28,750,000		2.237	%	07/20/26	$ 28,750,000
Cedar Funding V CLO Ltd. Series 2016-5A, Class A1
	850,000		2.633		07/17/28	856,831
Crown Point CLO III Ltd. Series 2015-3A, Class A1A
	26,962,244		2.433		12/31/27	26,989,179
Crown Point CLO Ltd. Series 2012-1A, Class A1LA
	1,263,612		1.802		11/21/22	1,260,203
Crown Point CLO Ltd. Series 2012-1A, Class A2L
	795,898		3.767		11/21/22	796,856
Crown Point CLO Ltd. Series 2012-1A, Class A3L
	636,717		5.012		11/21/22	637,921
Crown Point CLO Ltd. Series 2013-2A, Class A1L
	79,117,662		1.993		12/31/23	78,922,716
Cutwater Ltd. Series 2014-1A, Class A1AR
	38,250,000		2.469		07/15/26	38,230,799
Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A
	79,000,000		2.428		07/25/27	78,892,086
MidOcean Credit CLO III Series 2014-3A, Class A
	1,300,000		2.501		07/21/26	1,300,018
Ocean Trails CLO IV Series 2013-4A, Class A
	1,300,000		2.334		08/13/25	1,300,120
OCP CLO Ltd. Series 2012-2A, Class A1R
	10,850,000		2.450		11/22/25	10,937,201
OCP CLO Ltd. Series 2014-5A, Class A1
	112,160,000		2.032		04/26/26	112,159,888
OFSI Fund V Ltd. Series 2013-5A, Class A1LA
	9,236,715		1.953		04/17/25	9,213,919
OFSI Fund VI Ltd. Series 2014-6A, Class A1
	98,374,560		2.052		03/20/25	97,591,892
OFSI Fund VII Ltd. Series 2014-7A, Class A
	117,675,963		2.364		10/18/26	117,739,273
OFSI Fund VII Ltd. Series 2014-7A, Class B
	148,590		3.153		10/18/26	148,595
Regatta IV Funding Ltd. Series 2014-1A, Class A1
	1,289,057		2.448		07/25/26	1,289,096
Trinitas CLO II Ltd. Series 2014-2A, Class A1R
	46,550,000		2.339		07/15/26	46,548,883
Trinitas CLO Ltd. Series 2014-1A, Class A1
	58,150,000		2.553		04/15/26	58,170,992
Wasatch Ltd. Series 2006-1A, Class A1B
	387,252		1.276		11/14/22	385,413
Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class A1
	100,576,158		2.353		07/16/27	100,267,792
Zais CLO 1 Ltd. Series 2014-1A, Class A1
	77,111,170		2.423		04/15/26	77,379,671

						1,046,969,658

Home Equity – 1.9%
ACE Securities Corp. Home Equity Loan Trust Series 2007-ASAP1, Class A2C^(e)
	9,997,473		1.284		03/25/37	6,065,382
ACE Securities Corp. Home Equity Loan Trust Series 2007-HE2, Class A2D^(e)
	16,641,000		1.294		05/25/36	13,234,734
Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates Series 2005-R8, Class M2^(e)
	5,440,000		1.514		10/25/35	5,303,826
Bayview Financial Mortgage Pass-Through Trust Series 2006-A, Class M3^(e)
	10,095,000		1.694		02/28/41	9,543,789


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Home Equity – (continued)
Citigroup Mortgage Loan Trust Series 2006-WFH1, Class M3^(e)
$	6,400,000		1.424	%	01/25/36	$ 6,390,609
Citigroup Mortgage Loan Trust Series 2007-WFH2, Class A4^(e)
	284,152		1.374		03/25/37	280,863
Credit-Based Asset Servicing and Securitization LLC Series 2005-CB8, Class AF2^(g)
	42,045		3.896		12/25/35	42,558
Credit-Based Asset Servicing and Securitization LLC Series 2005-CB8, Class AF3^(g)
	9,006,000		3.896		12/25/35	9,153,031
First Franklin Mortgage Loan Trust Series 2006-FF12, Class A4^(e)
	1,634,964		1.164		09/25/36	1,619,237
First Franklin Mortgage Loan Trust Series 2006-FF6, Class A4^(e)
	25,000,000		1.274		04/25/36	23,996,555
GSAA Home Equity Trust Series 2007-10, Class A2A
	3,744,009		6.500		11/25/37	2,776,103
HSI Asset Securitization Corp. Trust Series 2006-OPT1, Class 2A4^(e)
	8,600,000		1.324		12/25/35	8,542,388
JPMorgan Mortgage Acquisition Trust Series 2006-CH1, Class A5^(e)
	3,091,671		1.254		07/25/36	3,080,419
JPMorgan Mortgage Acquisition Trust Series 2007-CH2, Class AV5^(e)
	7,450,000		1.284		01/25/37	7,220,593
Lehman XS Trust Series 2006-16N, Class A321^(e)
	6,220,183		1.224		11/25/46	5,458,788
Lehman XS Trust Series 2007-3, Class 1BA2^(e)
	277,472		1.926		03/25/37	236,488
Morgan Stanley Mortgage Loan Trust Series 2007-1XS, Class 2A1^(e)
	7,283,679		1.104		09/25/46	3,024,907
Saxon Asset Securities Trust Series 2007-2, Class A2C^(e)
	6,063,259		1.264		05/25/47	4,802,708
Securitized Asset Backed Receivables LLC Trust Series 2004-DO1, Class M1^(e)
	4,014,214		1.999		07/25/34	4,003,609
Structured Asset Securities Corp. Mortgage Loan Trust Series 2007-EQ1, Class A1^(e)
	4,930,936		1.239		03/25/37	3,933,115
Vericrest Opportunity Loan Trust XXV LLC Series 2015-NPL8, Class A1^(b)(g)
	15,603,780		3.500		06/26/45	15,606,404
Wachovia Mortgage Loan Trust Series 2005-WMC1, Class M1^(e)
	2,680,457		1.684		10/25/35	2,661,252

						136,977,358

Other^(b)(e) – 3.2%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	61,850,000		1.894		09/10/18	61,856,995
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
	35,950,000		1.944		04/10/19	35,958,394
Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	101,250,000		2.294		03/10/19	101,265,046
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	16,900,000		1.844		07/10/19	16,907,102
Station Place Securitization Trust Series 2015-2, Class A
	22,500,000		2.039		05/15/18	22,500,000

						238,487,537

Student Loan^(e) – 10.8%
Academic Loan Funding Trust Series 2012-1A, Class A2^(b)
	46,600,000		2.124		12/27/44	46,427,678


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loan^(e) – (continued)
Access Group, Inc. Series 2006-1, Class A2
$	836,137		1.162	%	08/25/23	$ 835,763
Access Group, Inc. Series 2015-1, Class A^(b)
	31,810,460		1.724		07/25/56	31,604,748
Bank of America Student Loan Trust Series 2010-1A, Class A^(b)
	133,279		1.838		02/25/43	133,966
Brazos Higher Education Authority, Inc. Series 2005-2, Class A11^(d)
	7,356,655		1.293		09/27/21	7,343,507
EFS Volunteer No. 2 LLC Series 2012-1, Class A2^(b)
	40,450,000		2.374		03/25/36	41,090,000
EFS Volunteer No. 3 LLC Series 2012-1, Class A3^(b)
	25,300,000		2.024		04/25/33	25,379,579
GCO Education Loan Funding Trust Series 2006-1, Class A8L
	2,981,508		1.182		05/25/25	2,955,314
Higher Education Funding I Series 2005-1, Class A4
	7,052,643		1.192		02/25/30	7,041,856
Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3
	22,700,000		2.060		07/20/43	22,275,442
Nelnet Student Loan Trust Series 2005-4, Class A3
	14,801,869		1.286		06/22/26	14,795,226
Nelnet Student Loan Trust Series 2006-1, Class A6^(b)
	40,900,000		1.503		08/23/36	39,096,727
Northstar Education Finance, Inc. Series 2007-1, Class A1^(d)
	9,000,000		1.139		04/28/30	8,865,809
Panhandle-Plains Higher Education Authority, Inc. Series 2011-1, Class A2
	3,610,412		1.948		07/01/24	3,628,791
Scholar Funding Trust Series 2010-A, Class A^(b)
	29,251,342		1.789		10/28/41	28,828,154
SLC Student Loan Trust Series 2005-3, Class A3
	8,800,000		1.251		06/15/29	8,734,270
SLM Student Loan Trust Series 2003-14, Class A5
	9,825,937		1.268		01/25/23	9,825,956
SLM Student Loan Trust Series 2003-7A, Class A5A^(b)
	33,569,091		2.331		12/15/33	33,912,519
SLM Student Loan Trust Series 2004-8A, Class A6^(b)
	31,100,000		1.668		01/25/40	30,698,042
SLM Student Loan Trust Series 2005-4, Class A3
	56,941,055		1.158		01/25/27	56,631,552
SLM Student Loan Trust Series 2005-5, Class A4
	12,900,000		1.178		10/25/28	12,751,280
SLM Student Loan Trust Series 2005-5, Class A5
	8,203,000		1.788		10/25/40	8,018,920
SLM Student Loan Trust Series 2006-10, Class A5A
	314,903		1.138		04/25/27	314,320
SLM Student Loan Trust Series 2007-1, Class A5
	41,119,563		1.128		01/26/26	40,967,586
SLM Student Loan Trust Series 2007-2, Class A4
	81,200,000		1.098		07/25/22	78,627,917
SLM Student Loan Trust Series 2008-2, Class A3
	16,595,449		1.788		04/25/23	16,511,355
SLM Student Loan Trust Series 2008-3, Class A3
	17,834,095		2.038		10/25/21	17,829,897
SLM Student Loan Trust Series 2008-4, Class A4
	47,462,047		2.688		07/25/22	48,633,106
SLM Student Loan Trust Series 2008-5, Class A4
	73,030,360		2.738		07/25/23	74,821,006
SLM Student Loan Trust Series 2008-6, Class A4
	22,590,000		2.138		07/25/23	22,713,425
SLM Student Loan Trust Series 2008-8, Class A4
	13,600,000		2.538		04/25/23	13,909,352


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loan^(e) – (continued)
SunTrust Student Loan Trust Series 2006-1A, Class A4^(b)
$	29,634,628		1.229	%	10/28/37	$ 27,902,567
Wachovia Student Loan Trust Series 2005-1, Class A5
	7,393,234		1.168		01/26/26	7,380,820

						790,486,450

TOTAL ASSET-BACKED SECURITIES (Cost $2,165,710,615)						$ 2,215,642,673


Foreign Debt Obligations – 26.9%
Sovereign – 26.9%
Brazil Notas do Tesouro Nacional
BRL	78,925,000		10.000	%	01/01/27	$ 23,131,854
	13,850,486		6.000		08/15/40	4,363,522
	168,726,551		6.000		08/15/50	52,988,318
Dominican Republic
DOP	61,100,000		10.375		03/04/22	1,301,196
	98,700,000		14.500		02/10/23	2,370,913
$	16,140,000		6.600	^(b)	01/28/24	17,693,475
	15,330,000		6.600		01/28/24	16,805,513
	9,312,000		5.875		04/18/24	9,847,440
	55,610,000		5.500	^(b)	01/27/25	57,486,838
	2,784,000		8.625		04/20/27	3,295,560
DOP	30,000,000		18.500		02/04/28	875,642
	58,700,000		11.375		07/06/29	1,248,379
Japan Treasury Discount Bill^(h)
JPY	51,400,000,000		0.000		07/31/17	457,017,862
	69,525,000,000		0.000		08/07/17	618,184,960
	27,000,000,000		0.000		09/19/17	240,099,435
Japanese Government CPI Linked Bond
	4,674,033,200		0.100		09/10/24	43,272,467
	27,495,556,254		0.100		03/10/26	255,288,814
Perusahaan Penerbit SBSN^(b)
$	1,860,000		3.400		03/29/22	1,878,600
	30,900,000		4.150		03/29/27	31,363,500
Republic of Argentina^(b)
	65,550,000		7.125		06/28/17^(m)	59,552,175
Republic of Ecuador
	22,830,000		9.650		12/13/26	22,915,613
	10,400,000		9.625	^(b)	06/02/27	10,387,000
Republic of Indonesia
EUR	2,510,000		2.625	^(b)	06/14/23	3,013,719
$	23,015,000		5.875		01/15/24	26,237,100
United Mexican States
MXN	269,823,600		4.750		06/14/18	14,570,335
	1,546,000		7.750		11/23/34	91,727
	15,377,700		8.500		11/18/38	970,221
	2,663,200		8.000		11/07/47	161,018

TOTAL FOREIGN DEBT OBLIGATIONS (Cost $1,996,465,731)						$ 1,976,413,196


Structured Notes^(h) – 1.7%
Arab Republic of Egypt (Issuer Citibank NA)
$	255,110,000		0.000	%^(b)	08/10/17	$ 13,803,957
	344,375,000		0.000		08/17/17	18,566,222
	74,125,000		0.000		08/31/17	3,964,378
	345,115,000		0.000	^(b)	11/02/17	17,803,515


Principal Amount		Interest Rate			Maturity Date	Value
Structured Notes^(h)– (continued)
Arab Republic of Egypt (Issuer Citibank NA) – (continued)
EGP	314,550,000		0.000	%	02/08/18	$ 15,457,043
	32,375,000		0.000		03/08/18	1,580,153
	418,040,000		0.000	^(b)	05/03/18	19,786,073
Arab Republic of Egypt (Issuer HSBC Bank PLC)^(b)
	211,725,000		0.000		09/14/17	11,233,343
Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA)^(b)
	270,750,000		0.000		02/15/18	13,255,693
	212,425,000		0.000		05/17/18	9,950,329

TOTAL STRUCTURED NOTES (Cost $125,603,205)						$ 125,400,706


Municipal Debt Obligations^(d) – 1.1%
Puerto Rico – 1.1%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A
$	1,655,000		6.000	%	07/01/38	$ 1,336,413
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A
	45,000		5.250		07/01/42	34,988
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D
	2,695,000		5.000		07/01/33	2,095,362
Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A^(c)
	3,035,000		5.750		07/01/41	1,779,269
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A^(c)
	1,495,000		5.500		07/01/32	880,181
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B^(c)
	1,160,000		5.875		07/01/36	696,000
	3,340,000		5.750		07/01/38	1,962,250
	2,170,000		6.000		07/01/39	1,312,850
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A^(c)
	1,120,000		6.000		07/01/34	656,600
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E^(c)
	1,010,000		5.625		07/01/32	597,163
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A^(c)
	515,000		5.500		07/01/26	305,781
	1,975,000		5.500		07/01/39	1,175,125
	2,115,000		5.000		07/01/41	1,202,906
Puerto Rico Commonwealth GO Bonds Series 2014 A^(c)
	6,800,000		8.000		07/01/35	4,131,000
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A^(c)
	1,960,000		5.125		07/01/31	1,158,850
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A^(c)
	455,000		5.000		07/01/34	266,744
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A^(c)
	605,000		5.250		07/01/27	359,219
Puerto Rico Commonwealth GO Unrefunded Balance Refunding for Public Improvement 2006 B^(c)
	670,000		5.000		07/01/35	392,788


Principal Amount			Interest Rate			Maturity Date	Value
Municipal Debt Obligations^(d) – (continued)
Puerto Rico – (continued)
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A^(c)^(h)
$		2,005,000		0.000	%	08/01/35	$ 146,044
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C^(c)^(h)
		5,315,000		0.000		08/01/37	347,867
		4,330,000		0.000		08/01/38	265,429
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A^(c)
		1,650,000		5.250		08/01/27	424,875
		18,380,000		6.750		08/01/32	4,732,850
		16,765,000		5.750		08/01/37	4,316,987
		155,000		6.375		08/01/39	39,913
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A^(c)
		9,275,000		0.000	^(h)	08/01/33	2,017,312
		6,845,000		5.500		08/01/37	1,762,588
		18,845,000		5.375		08/01/39	4,852,587
		48,210,000		5.500		08/01/42	12,414,075
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C
		5,990,000		5.375		08/01/38	1,542,425
		60,650,000		5.250		08/01/41	15,617,375
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1^(c)
		12,240,000		5.000		08/01/43	3,151,800
		9,605,000		5.250		08/01/43	2,473,287
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A^(c)
		16,650,000		5.500		08/01/28	4,287,375

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $189,577,118)							$ 78,736,278


U.S. Treasury Obligations – 6.7%
United States Treasury Bonds
$		123,800,000		2.875	%⁽ⁱ⁾	11/15/46	$ 124,524,229
		53,020,000		3.000		05/15/47	54,740,504
United States Treasury Inflation Indexed Bonds
		98,790,114		0.125	⁽ⁱ⁾	04/15/18	98,481,889
		52,589,880		0.125	⁽ⁱ⁾	04/15/19	52,628,271
		45,103,824		0.125	⁽ⁱ⁾	04/15/20	45,189,972
		32,083,071		0.125		04/15/21	32,052,913
		314,361		0.625		01/15/24	319,064
		5,303,007		0.125	⁽ⁱ⁾	07/15/24	5,213,227
		4,438,804		0.250		01/15/25	4,363,255
		66,987,249		0.625		01/15/26	67,465,538
		7,849,743		0.875		02/15/47	7,630,342

TOTAL U.S. TREASURY OBLIGATIONS (Cost $490,925,705)							$ 492,609,204


	Shares		Description				Value
Common Stock^(c)(j)(k) – 0.9%
Oil, Gas & Consumable Fuels – 0.9%
		7,667,598		Blue Ridge Mountain Resources, Inc. (Cost $76,509,670)			$ 69,008,382


Notional Amount			Exercise Rate			Expiration Date	Value
Options Purchased – 0.0%
Interest Rate Swaptions 0.0%
JPMorgan Securities, Inc. Put - OTC - 10 year Interest Rate Swap
$		163,670,000		0.700	%	10/23/17	$ 351,308


	Shares		Distribution Rate				Value
Investment Company^(e)(j) – 0.0%
Goldman Sachs Financial Square Government Fund - Institutional Shares
		102,375		0.845%			$ 102,375
(Cost $102,375)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $6,862,371,607)							$6,775,570,688


Principal Amount			Interest Rate			Maturity Date	Value
Short-term Investments – 0.5%
Commercial Paper – 0.5%
Bayerische Landesbank^(h)
$		11,450,000		0.000	%	07/17/17	$ 11,443,117
Electricite de France SA^(h)
		100,000		0.000		01/05/18	99,086
Schlumberger Holdings Corp.^(h)
		8,000,000		0.000		08/22/17	7,982,981
UBS AG London
		16,800,000		1.472		06/15/18	16,801,346

TOTAL SHORT-TERM INVESTMENTS (Cost $36,325,925)							$ 36,326,530

TOTAL INVESTMENTS – 92.6% (Cost $6,898,697,532)							$6,811,897,218

OTHER ASSETS IN EXCESS OF LIABILITIES – 7.4%							546,553,142

NET ASSETS – 100.0%							$7,358,450,360



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on June 30, 2017. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.



(b)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $2,187,489,701, which represents approximately 29.7% of net assets as of June 30, 2017.

(c)		Security is currently in default and/or non-income producing.

(d)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(e)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(f)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(g)		Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2017.

(h)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(i)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(j)		Represents an affiliated issuer/Fund.

(k)		Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $69,008,382, which represents approximately 0.9% of net assets as of June 30, 2017.

(l)		Actual maturity is June 5, 2115.

(m)		Actual maturity is June 28, 2117.


Restricted Security	Acquisition Date		Cost
Blue Ridge Mountain Resources, Inc. (Common Stocks)		05/06/16 – 08/18/16	$	76,509,670



Currency Abbreviations:
ARS		— Argentine Peso
AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CHF		— Swiss Franc
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
DOP		— Dominican Peso
EGP		— Egyptian Pound
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
INR		— Indian Rupee
JPY		— Japanese Yen
KRW		— South Korean Won
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RUB		— Russian Ruble
SEK		— Swedish Krona
SGD		— Singapore Dollar
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand

Investment Abbreviations:
AUDOR		— Australian Dollar Offered Rate
CDOR		— Canadian Dollar Offered Rate
CHFOR		— Swiss Franc Offered Rate
CLO		— Collateralized Loan Obligation
CPI		— Consumer Price Index
EURO		— Euro Offered Rate
FFCB		— Federal Farm Credit Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
GO		— General Obligation
JYOR		— Japanese Yen Offered Rate
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
NIBOR		— Norwegian Interbank Offered Rate
OTC		— Over the Counter
PI		— Private Investment
PLC		— Public Limited Company
RB		— Revenue Bond
REMIC		— Real Estate Mortgage Investment Conduit
STIBOR		— Stockholm Interbank Offered Rate
STRIPS		— Separate Trading of Registered Interest and Principal of Securities
WIBOR		— Warsaw Interbank Offered Rate


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS – At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

Investments and Fair Value Measurements — The accounting principles generally accepted in the United States of America (“GAAP”) define the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s and GSAMI’s assumptions in determining fair value measurement).

The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM and GSAMI day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM and GSAMI regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.

Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions

Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.

Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to the Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

Exchange-traded derivatives, including futures and options contracts, are valued at the last sale or settlement price and typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.

Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For Financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments.

Options — Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.

Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.

Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.

Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM and GSAMI believes that such quotations do not accurately reflect fair value, the fair value of the Funds’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM and GSAMI, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.

GSAM and GSAMI did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.

Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2017:

The following is a reconciliation of Level 3 investments for the period ended June 30, 2017:

Transfers of the above investments into or out of Level 3 can be attributable to changes in the availability of valid pricing sources or in the observability of significant inputs used to measure the fair value of those investments.

For further information regarding security characteristics, see the Schedules of Investments.

Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, it will subject the Fund, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.

Investments in Other Investment Companies — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.

other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity

Loan-Related Investments Risk – In addition to risks generally associated with debt investments, loan-related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.

Non-Diversification Risk— Global Income Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Sector Risk — To the extent a Fund focuses its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Fund will be subject, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business, political, environmental or other developments.


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – 96.9%
Alabama – 2.9%
Alabama State Port Authority RB for Docks Facilities Series 2010 (A-/NR)^(a)
$	2,500,000		5.750	%	10/01/20	$ 2,853,950
Black Belt Energy Gas District RB Series 2016 A (NR/A1)^(b)
	5,000,000		4.000		06/01/21	5,400,950
Health Care Authority RB for Baptist Health Series 2006 D (BBB+/A3)
	575,000		5.000		11/15/17	576,581
	100,000		5.000		11/15/21	100,295
Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A (BBB/NR)
	150,000		5.000		10/01/24	171,367
	150,000		5.000		10/01/25	171,860
	725,000		5.000		10/01/30	783,522
Jefferson County Senior Lien Sewer RB Warrants Series 2013 A (AGM) (AA/A2)
	700,000		5.000		10/01/44	784,714
Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR)
	1,000,000		5.000		10/01/21	1,093,120
	13,500,000		6.000		10/01/42	15,851,565
	6,900,000		6.500		10/01/53	8,293,179

						36,081,103

Alaska – 0.3%
Northern Tobacco Securitization Corp. RB Refunding Capital Appreciation Asset-Backed Bonds 1st Subordinate Series 2006 B (NR/NR)^(c)
	37,350,000		0.000		06/01/46	3,660,674

Arizona – 2.2%
Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)^(d)
	12,925,000		1.579		01/01/37	11,206,104
Arizona State University System RB Refunding Series 2015 B (AA/Aa3)
	3,000,000		5.000		07/01/19	3,228,000
City of Phoenix Civic Improvement Corporation Water System RB Refunding Junior Lien Series 2016 (AAA/Aa2)
	7,000,000		5.000		07/01/30	8,419,390
Maricopa County Arizona Pollution Control Corp. PCRB Refunding for El Paso Electric Co. Project Series 2009 A (BBB/Baa1)
	2,200,000		7.250		02/01/40	2,379,322
Yavapai County IDA Solid Waste Disposal RB for Waste Management, Inc. Project Series 2003 A-2 (AMT) (A-/NR)^(b)
	1,410,000		1.600		03/01/18	1,410,635

						26,643,451

Arkansas – 0.6%
Arkansas State Development Finance Authority Hospital RB Refunding for Washington Regional Medical Center Series 2015 B (NR/A3)
	770,000		3.000		02/01/18	777,969
	1,845,000		3.000		02/01/19	1,890,369
Arkansas State Development Finance Authority RB for Single Family Mortgage-Backed Securities Series 2008 B (AMT) (GNMA) (FNMA) (AA+/NR)
	340,000		5.500		07/01/23	346,729
City of Little Rock Sewer RB Refunding Series 2015 (NR/Aa3)
	1,000,000		4.000		04/01/21	1,093,540


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Arkansas – (continued)
Pulaski County Little Rock School District GO Refunding Bonds (ST AID WITHHLDG) (NR/Aa2)
$	3,335,000		3.000	%	02/01/23	$ 3,472,735

						7,581,342

California – 13.4%
Alameda Corridor Transportation Authority RB Refunding Second Subordinate Lien Series 2016 B (AGM) (AA/A2)
	2,000,000		3.000		10/01/34	1,842,180
Alameda County Oakland Unified School District GO Refunding Bonds Series 2015 (AA-/NR)
	1,500,000		5.000		08/01/19	1,619,355
Alhambra California Unified School District Election of 2008 GO Bonds Capital Appreciation for Elementary Schools Improvement District Series B (AGM) (AA/Aa2)^(c)
	1,000,000		0.000		08/01/37	457,910
Anaheim Community Facilities District No. 08-1 Special Tax Refunding Bonds for Platinum Triangle Series 2016 (NR/NR)
	875,000		4.000		09/01/24	937,326
	745,000		4.000		09/01/25	795,720
	535,000		4.000		09/01/26	567,400
	590,000		4.000		09/01/27	619,996
	575,000		4.000		09/01/28	598,701
	465,000		4.000		09/01/29	479,745
California County Tobacco Securitization Agency Tobacco Settlement RB Capital Appreciation Subordinate Series 2006 C (NR/NR)^(c)
	31,220,000		0.000		06/01/55	2,309,343
California Educational Facilities Authority RB for California Institute of Technology Series 2009 (AA-/Aa2)^(a)
	5,000,000		5.000		11/01/19	5,452,500
California Health Facilities Financing Authority RB for El Camino Hospital Series 2017 (A+/A1)
	500,000		5.000		02/01/42	560,965
California Health Facilities Financing Authority RB for Providence Health & Services Series 2008 C (AA-/Aa3)^(a)
	1,000,000		6.500		10/01/18	1,067,890
California Municipal Finance Authority RB for California Baptist University Series 2016 A (NR/NR)^(e)
	650,000		5.000		11/01/46	670,481
California Municipal Finance Authority RB for Community Medical Centers Series 2017 A (A-/Baa1)
	1,300,000		5.000		02/01/34	1,480,050
	1,150,000		5.000		02/01/35	1,305,238
	450,000		5.000		02/01/42	504,477
	1,450,000		5.000		02/01/47	1,618,157
California Municipal Finance Authority Student Housing RB for Bowles Hall Foundation Series 2015 A (NR/Baa3)
	400,000		5.000		06/01/35	429,100
California State Various Purpose GO Bonds Series 2009 (AA-/Aa3)
	5,000,000		5.250		10/01/25	5,448,850
	5,000,000		6.500		04/01/33	5,464,750
	2,750,000		6.000		04/01/38	2,978,058
California State Various Purpose GO Bonds Series 2010 (AA-/Aa3)
	1,250,000		6.000		03/01/33	1,405,825
	1,500,000		5.500		03/01/40	1,657,500
California State Various Purpose GO Bonds Series 2017 (AA-/Aa3)
	1,500,000		5.000		08/01/46	1,737,930


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
California Statewide Communities Development Authority Community Facilities District No. 2007-01 Special Tax Refunding for Orinda Wilder Project Series 2015 (NR/NR)
$	345,000		5.000	%	09/01/30	$ 377,064
	375,000		5.000		09/01/37	405,593
California Statewide Communities Development Authority RB for Enloe Medical Center Series 2008 (CAL MTG INS) (AA-/NR)^(a)
	1,435,000		5.750		08/15/18	1,511,069
California Statewide Communities Development Authority RB for Sutter Health Series 2011 A (AA-/Aa3)
	2,000,000		6.000		08/15/42	2,269,020
California Statewide Communities Development Authority RB Refunding for Loma Linda University Medical Center Series 2016 A (BB/NR)^(e)
	1,725,000		5.000		12/01/31	1,911,662
California Statewide Community Development Authority Water & Wastewater RB Balance Series 2004 (AGM) (AA/A2)
	15,000		5.250		10/01/19	15,041
Citrus Community College District GO Bonds Capital Appreciation for Election of 2004 Series 2009 C (AA-/Aa2)^(c)
	3,500,000		0.000		06/01/34	1,911,735
Commerce Community Development Commission Successor Agency Tax Allocation Refunding Series 2016 A (AGM) (AA/NR)
	250,000		3.000		08/01/33	241,915
	260,000		3.000		08/01/34	249,220
	275,000		3.125		08/01/35	268,120
Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Subseries B-3 (BBB-/Ba1)^(b)
	675,000		5.500		01/15/23	769,034
Fullerton Community Facilities District No. 1 Special Tax Refunding Bonds for Amerige Heights Series 2012 (A-/NR)
	500,000		5.000		09/01/32	564,450
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 B (CCC+/NR)^(c)
	18,000,000		0.000		06/01/47	2,501,280
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 C (CCC/NR)^(c)
	19,500,000		0.000		06/01/47	2,379,390
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2015 A (ST APPROP) (A+/A1)
	10,000,000		5.000		06/01/45	11,314,900
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-2 (B/B3)
	3,915,000		5.300		06/01/37	3,984,021
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 A (NR/NR)
	650,000		5.000		09/01/25	774,442
	650,000		5.000		09/01/26	776,315
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 B (NR/NR)
	480,000		5.000		09/01/25	571,896
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 C (NR/NR)
	430,000		5.000		09/01/26	513,562
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 D (NR/NR)
	180,000		4.000		09/01/25	200,500
	175,000		4.000		09/01/26	194,686


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Lammersville Joint Unified School District No. 2002 Special Tax Refunding for Community Facilities Series 2017 (AGM) (AA/NR)
$	3,000,000		3.500	%	09/01/35	$ 2,936,640
Los Angeles Community College District GO Bonds for 2008 Election Series 2010 C (AA+/Aa1)^(a)
	5,000,000		5.250		08/01/20	5,616,500
Menifee Union School District Riverside County GO Bonds Capital Appreciation for Election of 2008 Series 2009 C (ASSURED GTY) (AA/Aa3)^(c)
	2,000,000		0.000		08/01/37	928,520
	4,500,000		0.000		08/01/38	2,002,545
	4,500,000		0.000		08/01/39	1,914,570
Merced City School District GO Bonds Capital Appreciation for Election of 2003 Series 2005 (NATL-RE) (A+/NR)^(c)
	1,205,000		0.000		08/01/26	940,611
M-S-R Energy Authority Gas RB Series 2009 A (BBB+/NR)
	1,750,000		6.500		11/01/39	2,479,855
M-S-R Energy Authority Gas RB Series 2009 C (BBB+/NR)
	3,500,000		6.125		11/01/29	4,485,845
Mt. Diablo Unified School District GO Bonds Capital Appreciation for Election of 2010 Series 2010 A (AGM) (AA/Aa2)^(f)
	5,000,000		0.000		08/01/35	4,571,950
Ontario Redevelopment Financing Authority Lease RB for Capital Projects Series 2007 (AMBAC) (AA-/WR)
	1,110,000		5.250		08/01/22	1,113,386
Palomar Pomerado Health COPS Series 2009 (BB+/Ba1)^(a)
	2,500,000		6.750		11/01/19	2,823,175
Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)^(c)
	2,150,000		0.000		08/01/31	1,252,074
	4,150,000		0.000		08/01/32	2,291,547
	3,500,000		0.000		08/01/33	1,837,570
Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)^(f)
	6,450,000		0.000		08/01/38	7,740,710
Port of Oakland RB Refunding Senior Lien Series 2012 P (AMT) (A+/A1)
	4,000,000		5.000		05/01/31	4,449,320
Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016 (NR/NR)
	590,000		4.000		09/01/23	634,580
	320,000		4.000		09/01/24	345,155
	400,000		4.000		09/01/25	429,324
	490,000		4.000		09/01/26	525,300
	305,000		4.000		09/01/27	324,218
	500,000		4.000		09/01/28	527,440
River Islands Public Financing Authority Community Facilities District No. 2003-1 Special Tax Refunding Bonds Series 2015 A-1 (NR/NR)
	5,080,000		5.000		09/01/27	5,323,992
	1,000,000		5.375		09/01/31	1,073,880
	485,000		5.250		09/01/34	513,392
Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Project Series 2017 (NR/NR)
	750,000		5.000		09/01/25	871,283
	1,000,000		5.000		09/01/27	1,171,030
Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Series 2017 (NR/NR)
	1,075,000		5.000		09/01/26	1,254,353


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007 B (NATL-RE FGIC) (AA/Aa3)^(d)
$	5,000,000		1.335	%	12/01/35	$ 4,464,500
San Diego County Water Authority COPS Series 2008 A (AGM) (AA/Aa2)^(a)
	830,000		5.000		05/01/18	857,714
San Diego County Water Authority COPS Series 2008 A (AGM) (AAA/Aa2)^(a)
	4,170,000		5.000		05/01/18	4,309,236
San Diego Unified School District GO Bonds for Election of 2008 Series 2010 C (AA-/Aa2)^(c)
	5,000,000		0.000		07/01/39	2,143,400
San Francisco City & County Airport Commission San Francisco International Airport RB Refunding Second Series 2013 A (AMT) (A+/A1)
	2,000,000		5.500		05/01/28	2,371,800
San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South Redevelopment Series 2016 C (A-/NR)
	1,000,000		5.000		08/01/33	1,165,530
San Joaquin Hills Transportation Corridor Agency RB Refunding for Capital Appreciation Series 1997 A (NATL-RE) (A/A3)^(c)
	1,605,000		0.000		01/15/26	1,162,469
San Joaquin Hills Transportation Corridor Agency RB Refunding for Toll Road Senior Lien Series 2014 A (BBB/NR)
	1,000,000		5.000		01/15/29	1,151,260
Stockton Unified School District GO Refunding Bonds Series 2016 (A+/A2)
	2,735,000		5.000		08/01/25	3,357,322
Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1 (B-/B3)
	1,650,000		5.375		06/01/38	1,649,967
University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)^(d)
	5,000,000		1.532		05/15/43	4,220,500
Vernon California Redevelopment Agency Tax Allocation for Industrial Redevelopment Project Series 2005 (NATL-RE) (A/A3)
	725,000		5.250		09/01/19	725,609
West Contra Costa Unified School District GO Bonds Capital Appreciation for Election of 2002 Series 2004 C (NATL-RE FGIC) (AA-/A3)^(c)
	1,175,000		0.000		08/01/25	953,148

						164,625,582

Colorado – 2.9%
Adams County School District No. 1 GO Bonds for Mapleton Public Schools Series 2017 (ST AID WITHHLDG) (NR/Aa2)
	7,235,000		5.250		12/01/40	8,579,480
Belleview Station Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2017 (NR/NR)
	1,295,000		4.500		12/01/29	1,314,503
Centerra Metropolitan District No. 1 Special RB Refunding & Improvement Bonds Series 2017 (NR/NR)
	4,000,000		5.000		12/01/29	4,288,840
	500,000		5.000		12/01/47	503,045
Colorado Health Facilities Authority RB Refunding for Christian Living Neighborhoods Project Series 2016 (NR/NR)
	200,000		4.000		01/01/18	202,022
	200,000		4.000		01/01/19	205,206
Colorado Health Facilities Authority RB Refunding for Covenant Retirement Communities, Inc. Series 2015 A (BBB+/NR)
	625,000		4.000		12/01/19	657,487


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Colorado – (continued)
Cornerstar Metropolitan District GO Refunding Bonds Series 2017 A (NR/NR)
$	500,000		3.500	%	12/01/21	$ 507,640
	500,000		4.500		12/01/27	521,665
Denver City & County Airport RB Series 2013 A (AMT) (A/A2)
	5,000,000		5.500		11/15/29	5,915,300
Denver Colorado Health and Hospital Authority Healthcare RB Series 2007 B (BBB/NR)^(d)
	5,000,000		1.905		12/01/33	4,437,150
Dominion Water & Sanitation District Tap Fee RB Series 2016 (NR/NR)
	500,000		5.750		12/01/36	516,985
	2,500,000		6.000		12/01/46	2,591,075
E-470 Public Highway Authority RB Series 2010 A (A-/A3)^(c)
	6,000,000		0.000		09/01/40	2,271,300
E-470 Public Highway Authority Senior RB Series 2017 B (A-/A3)^(b)
	2,000,000		1.870		09/01/21	2,016,660
Palisade Metropolitan District No. 2 GO Refunding Limited Tax Bonds Series 2016 (NR/NR)
	500,000		4.375		12/01/31	472,590
	500,000		5.000		12/01/46	482,805

						35,483,753

Connecticut – 1.3%
Connecticut State GO Refunding Bonds Series 2017 B (A+/A1)
	5,000,000		5.000		04/15/28	5,914,650
Hartford County Metropolitan District GO Bonds Series 2016 C (AGM) (AA/Aa2)
	5,540,000		5.000		11/01/26	6,523,516
Mohegan Tribal Finance Authority Tribal RB Economic Development Bonds Series 2015 (B-/NR)^(e)
	3,840,000		7.000		02/01/45	4,021,171

						16,459,337

Delaware – 0.7%
New Castle County Delaware GO Bonds Series 2015 (AAA/Aaa)
	5,000,000		5.000		10/01/26	6,172,150
University of Delaware RB Series 2015 (AA+/Aa1)
	1,805,000		5.000		11/01/33	2,111,074

						8,283,224

District of Columbia – 1.9%
District of Columbia GO Bonds Series 2007 A (NATL-RE) (AA/Aa1)
	10,080,000		3.000		06/01/30	10,083,528
District of Columbia GO Refunding Bonds Series 2017 A (AA/Aa1)
	1,300,000		4.000		06/01/37	1,386,502
District of Columbia Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2001 (BBB/Baa1)
	885,000		6.500		05/15/33	1,012,298
District of Columbia Water & Sewer Authority RB Public Utility Senior Lien Series 2009 A (AAA/Aa1)^(a)
	5,000,000		6.000		10/01/18	5,308,850
District of Columbia Water & Sewer Authority RB Refunding Public Utility Subordinate Lien Series 2016 A (AA+/Aa2)
	5,000,000		5.000		10/01/36	5,813,350

						23,604,528


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – 12.3%
Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB-/NR)
$	360,000		2.500	%	05/01/24	$ 344,664
	370,000		3.000		05/01/25	359,903
	380,000		3.000		05/01/26	364,283
	395,000		3.125		05/01/27	376,427
Anthem Park Community Development District Special Assessment RB Refunding Subordinate Series 2016 A-2 (NR/NR)
	395,000		4.250		05/01/27	372,797
	410,000		4.750		05/01/36	372,854
Arbor Greene Community Development District Special Assessment Refunding Series 2006 (A/NR)
	455,000		5.000		05/01/19	476,239
Avalon Groves Community Development District Special Assessment for Assessment Area One Project Series 2017 (NR/NR)
	210,000		5.000		05/01/28	210,815
Avalon Groves Community Development District Special Assessment for Assessment Area Two Project Series 2017 A-1 (NR/NR)
	605,000		5.375		05/01/28	599,331
Avelar Creek Community Development District Special Assessment Refunding Series 2016 (BBB+/NR)
	175,000		2.250		05/01/22	172,396
	175,000		2.500		05/01/23	171,826
	180,000		2.500		05/01/24	173,511
	185,000		3.000		05/01/25	182,580
	195,000		3.000		05/01/26	189,965
Bannon Lakes Community Development District Special Assessment RB Series 2016 (NR/NR)
	100,000		4.500		11/01/25	102,131
	185,000		5.000		11/01/36	189,068
	320,000		5.000		11/01/48	319,475
Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida Senior Lien Series 2015 A-1 (BBB+/NR)
	495,000		4.250		05/01/29	524,591
	490,000		4.500		05/01/35	509,154
Bay Laurel Center Community Development District Special Assessment RB Refunding Series 2016 Candler (BBB+/NR)
	135,000		2.500		05/01/23	132,551
	140,000		2.750		05/01/24	137,090
	145,000		3.000		05/01/25	143,103
Bellagio Community Development District Special Assessment Bond Series 2016 (BBB-/NR)
	160,000		2.500		11/01/22	157,173
	160,000		2.750		11/01/23	157,073
	170,000		3.000		11/01/25	165,104
Century Gardens at Tamiami Community Development District Special Assessment Refunding Series 2016 (BBB/NR)
	235,000		2.500		05/01/23	229,132
	245,000		2.500		05/01/24	234,852
	250,000		3.000		05/01/25	244,522
	255,000		3.000		05/01/26	245,953
	535,000		4.250		05/01/37	540,650
Charlotte County Industrial Development Authority Utility System RB for Town & Country Utilities Project Series 2015 (AMT) (NR/NR)^(e)
	1,250,000		5.500		10/01/36	1,219,475
City of Cape Coral Water & Sewer RB Refunding Series 2015 (A/A1)
	1,000,000		4.000		10/01/34	1,042,010


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
City of West Palm Beach Utility System RB Series 2017 A (AA+/Aa2)
$	15,000,000		5.000	%	10/01/42	$ 17,540,100
Coconut Cay Community Development District Special Assessment Series 2006 (NR/NR)
	790,000		5.375		05/01/36	790,047
Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1 (BBB-/NR)
	880,000		2.375		05/01/23	850,626
	900,000		2.500		05/01/24	861,660
	925,000		2.750		05/01/25	883,995
	920,000		3.000		05/01/26	881,949
	985,000		3.200		05/01/27	944,723
	1,015,000		3.250		05/01/28	964,950
	1,500,000		3.750		05/01/46	1,308,315
Coronado Community Development District Special Assessment Refunding & Improvement Bonds Series 2017 (BBB/NR)
	129,000		3.000		05/01/23	129,202
	133,000		3.250		05/01/24	133,563
	138,000		3.500		05/01/25	139,693
	143,000		3.625		05/01/26	144,666
Country Walk Community Development District Special Assessment RB Refunding Senior Lien Series 2015 A-1 (A-/NR)
	195,000		2.875		05/01/21	199,649
	200,000		3.000		05/01/22	204,784
	205,000		3.250		05/01/23	210,695
	210,000		3.375		05/01/24	215,080
	220,000		3.500		05/01/25	226,371
	215,000		4.125		05/01/35	222,692
Crossings at Fleming Island Community Development District RB Refunding Series 2007 (NATL-RE) (A/A3)^(a)
	125,000		4.750		10/01/17	126,130
Crossings at Fleming Island Community Development District Special Assessment RB Refunding Senior Lien Series 2014 A-1 (BBB/NR)
	2,025,000		4.000		05/01/24	2,129,854
Durbin Crossing Community Development District Special Assessment Refunding Senior Series 2017 A-1 (AGM) (AA/NR)
	700,000		3.750		05/01/34	707,434
	965,000		4.000		05/01/37	991,016
Florida State Municipal Power Agency RB Series 2009 A (A+/A2)^(a)
	1,000,000		6.250		10/01/19	1,112,480
Grand Bay at Doral Community Development District Special Assessment for South Parcel Assessment Area Project Series 2016 (NR/NR)
	1,000,000		4.250		05/01/26	1,020,980
Greater Orlando Aviation Authority Airport Facilities RB Refunding for Jetblue Airways Corp. Project Series 2013 (AMT) (NR/NR)
	920,000		5.000		11/15/36	950,581
Greater Orlando Aviation Authority RB Refunding Series 2012 A (AMT) (AA-/Aa3)
	2,050,000		5.000		10/01/21	2,334,315
Hacienda Lakes Community Development District Special Assessment Refunding Series 2016 (NR/NR)
	370,000		3.375		05/01/21	365,741
	550,000		3.875		05/01/26	534,540


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Hawks Point Community Development District Special Assessment Refunding Senior Series 2017 A-1 (BBB+/NR)^(e)(g)
$	265,000		4.000	%	05/01/24	$ 279,644
	265,000		4.000		05/01/25	279,681
	140,000		4.000		05/01/26	146,978
Heritage Isle at Viera Community Development District Special Assessment Refunding Series 2017 (AGM) (AA/NR)^(g)
	215,000		4.000		05/01/24	232,400
	225,000		4.000		05/01/25	243,385
	235,000		4.000		05/01/26	253,273
	240,000		4.000		05/01/27	259,157
	250,000		4.000		05/01/28	267,875
Heritage Landing Community Development District Special Assessment Refunding Bonds Series 2015 (BBB/NR)
	585,000		3.375		05/01/23	597,560
	605,000		3.500		05/01/24	616,767
	630,000		3.625		05/01/25	643,117
	650,000		3.750		05/01/26	662,350
	1,000,000		4.200		05/01/31	1,031,960
Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
	1,225,000		4.250		05/01/31	1,229,410
Highlands Meadows II Community Development District Special Assessment Bonds for Assessment Area Five Project Series 2017 (NR/NR)
	305,000		4.250		11/01/22	307,583
	475,000		4.875		11/01/27	483,161
	1,100,000		5.375		11/01/37	1,119,536
	1,000,000		5.500		11/01/47	1,015,660
Highlands Meadows II Community Development District Special Assessment Bonds for Assessment Area Six Project Series 2017 (NR/NR)
	115,000		4.875		11/01/27	116,940
	500,000		5.500		11/01/47	507,830
Lakewood Ranch Stewardship District Special Assessment RB for Del Webb Project Series 2017 (NR/NR)^(e)
	635,000		3.650		05/01/22	637,242
	520,000		4.300		05/01/27	522,756
Lakewood Ranch Stewardship District Special Assessment RB for Lakewood Centre North Project Series 2015 (NR/NR)
	1,850,000		4.250		05/01/25	1,866,724
	1,710,000		4.875		05/01/35	1,727,049
	985,000		4.875		05/01/45	965,093
Lakewood Ranch Stewardship District Special Assessment RB for Lakewood National & Polo Run Projects Series 2017 (NR/NR)
	500,000		4.000		05/01/22	503,120
	940,000		4.625		05/01/27	950,838
	1,000,000		5.250		05/01/37	1,015,260
Lakewood Ranch Stewardship District Special Assessment RB for Villages of Lakewood Ranch South Project Series 2016 (NR/NR)
	450,000		4.000		05/01/21	454,927
	235,000		4.250		05/01/26	236,532
	5,190,000		5.000		05/01/36	5,277,296
	5,160,000		5.125		05/01/46	5,132,704
Longleaf Community Development District Special Assessment Refunding Series 2006 (NR/NR)^(h)
	1,185,000		5.375		05/01/30	1,180,023
Meadow Pines Community Development District Special Assessment Refunding Bonds Senior Lien Series 2014 1 (A-/NR)
	750,000		4.450		05/01/30	801,480


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Miami Special Obligation Non-Ad Valorem RB Refunding Series 2011 A (AGM) (AA/A1)
$	1,200,000		6.000	%	02/01/30	$ 1,377,060
	1,500,000		6.000		02/01/31	1,720,755
Miami Special Obligation RB Refunding for Port of Miami Tunnel Project Series 2012 (A+/A1)^(e)
	9,500,000		5.000		03/01/30	10,825,060
Miami World Center Community Development District Special Assessment Bonds Series 2017 (NR/NR)
	250,000		4.000		11/01/23	255,822
	250,000		4.750		11/01/27	261,898
	850,000		5.125		11/01/39	887,706
	2,350,000		5.250		11/01/49	2,480,519
Miami-Dade County Aviation RB for Miami International Airport Series 2007 A (AMT) (NATL-RE) (A/A2)
	5,000,000		5.000		10/01/39	5,036,600
Miromar Lakes Community Development District Capital Impovement RB Refunding Series 2015 (NR/NR)
	615,000		3.500		05/01/20	618,057
North Sumter County Utility Dependent District RB Series 2010 (AGM) (AA/A2)
	1,250,000		5.375		10/01/40	1,386,500
Osceola County Rolling Oaks Community Development District Special Assessment Bonds Series 2016 (NR/NR)
	3,285,000		5.875		11/01/37	3,365,121
	3,500,000		6.000		11/01/47	3,583,475
Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016 (BBB/NR)
	520,000		2.500		05/01/22	517,416
	530,000		2.750		05/01/23	523,799
	350,000		3.750		05/01/31	351,530
	1,045,000		4.000		05/01/36	1,045,637
Pentathlon Community Development District Special Assessment Revenue Refunding Series 2012 (A-/NR)
	1,330,000		4.500		11/01/33	1,350,655
Randal Park Community Development District Special Assessment RB Series 2015 (NR/NR)
	800,000		4.250		11/01/25	806,296
River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB+/NR)
	890,000		4.000		05/01/35	887,072
South Fork East Community Development District Capital Improvement RB Refunding Series 2017 (BBB/NR)
	425,000		3.000		05/01/23	425,668
	435,000		3.250		05/01/24	436,840
	450,000		3.450		05/01/25	453,987
	465,000		3.625		05/01/26	470,417
South Kendall Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
	350,000		2.500		11/01/23	338,408
	355,000		2.750		11/01/24	342,387
	370,000		3.000		11/01/25	359,344
	585,000		4.250		11/01/37	589,001
St. Petersburg Health Facilities Authority RB Refunding for All Children’s Hospital Series 2009 A (NR/Aa3)^(a)
	2,000,000		6.500		11/15/19	2,241,240
Stonebrier Community Development District Special Assessment Refunding Series 2016 (A-/NR)
	265,000		2.500		05/01/23	265,281
	275,000		2.500		05/01/24	272,946
	280,000		3.000		05/01/25	282,525
	290,000		3.000		05/01/26	287,106


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Talis Park Community Development District Capital Improvement RB Refunding Senior Series 2016 A-1 (BBB+/NR)
$	190,000		2.500	%	05/01/23	$ 186,553
	190,000		2.500		05/01/24	183,150
	200,000		3.000		05/01/25	197,384
	205,000		3.000		05/01/26	199,707
	1,135,000		3.500		05/01/31	1,098,612
	1,370,000		4.000		05/01/36	1,357,410
Tampa Palms Open Space & Transportation Community Development District Special Assessment Refunding for Capital Improvement Area 7 Project Series 2004 (NATL-RE) (A/A3)
	305,000		4.500		05/01/18	313,305
Tapestry Community Development District Special Assessment RB Series 2016 (NR/NR)
	220,000		3.625		05/01/21	223,267
Tison’s Landing Community Development District Special Assessment RB Refunding & Improvement Bonds Senior Series 2016 A-1 (BBB/NR)
	205,000		3.000		05/01/27	194,896
	215,000		3.125		05/01/28	204,422
TSR Community Development District Special Assessment RB for Village 1 Project Series 2015 (NR/NR)
	350,000		3.625		11/01/20	350,206
	530,000		4.375		11/01/25	531,299
Turnbull Creek Community Development District Senior Special Assessment Refunding Bonds Series 2015 A-1 (BBB/NR)
	1,000,000		4.250		05/01/31	1,037,250
Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1 (BBB-/NR)
	365,000		2.125		05/01/22	354,119
	375,000		2.250		05/01/23	360,071
	380,000		2.500		05/01/24	363,808
	390,000		2.625		05/01/25	369,389
	405,000		3.000		05/01/26	388,249
	415,000		3.125		05/01/27	395,491
	430,000		3.250		05/01/28	408,797
Verandah East Community Development District Special Assessment Refunding & Improvement RB Series 2016 (NR/NR)
	1,570,000		3.750		05/01/26	1,516,055
Verano #1 Community Development District Senior Special Assessment Refunding for Community Infrastructure Project Series 2017 A-1 (BBB/NR)^(e)
	345,000		3.250		05/01/24	346,459
	360,000		3.500		05/01/25	364,417
	370,000		3.625		05/01/26	374,311
Verano #1 Community Development District Special Assessment Bonds for District #1 Project Series 2015 (NR/NR)
	750,000		4.750		11/01/25	738,315
Verona Walk Community Development District Special Assessment Senior Lien RB Refunding for Capital Improvement Series 2013 A-1 (A+/NR)
	500,000		4.250		05/01/30	529,895
Village Community Development District No. 6 Special Assessment RB Refunding Series 2017 (A-/NR)
	360,000		4.000		05/01/26	387,414
	355,000		4.000		05/01/27	380,305
	365,000		4.000		05/01/28	387,210
	380,000		4.000		05/01/29	398,886
Village Community Development District No. 6 Special Assessment RB Refunding Series 2017 (BAM) (AA/NR)
	2,000,000		3.500		05/01/32	2,011,520
	2,385,000		4.000		05/01/37	2,437,446


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Vizcaya In Kendall Community Development District Special Assessment Bonds Series 2016 (BBB-/NR)
$	220,000		2.750	%	11/01/24	$ 215,270
	225,000		3.000		11/01/25	220,439
	230,000		3.200		11/01/26	224,903
Waterford Landing Community Development District Capital Improvement RB Series 2014 (NR/NR)
	795,000		5.500		05/01/34	823,707
	925,000		5.750		05/01/44	968,947
Waters Edge Community Development District Capital Improvement RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	2,150,000		4.000		05/01/31	2,200,912
Waterset North Community Development District Special Assessment RB Series 2014 (NR/NR)
	2,420,000		5.500		11/01/45	2,451,775
Wiregrass Community Development District Capital Improvement RB Series 2016 (NR/NR)
	135,000		4.875		05/01/36	132,948
	250,000		5.000		05/01/47	246,550
Wynnfield Lakes Community Development District Special Assessment Refunding Bonds Series 2014 (BBB+/NR)
	1,470,000		4.500		05/01/36	1,481,951

						150,954,988

Georgia – 1.2%
Atlanta Airport RB Refunding Series 2012 C (AMT) (AA-/Aa3)
	1,250,000		5.000		01/01/27	1,386,875
Burke County Development Authority Pollution Control RB for Georgia Power Company Plant Vogtle Project First Series 2008 (A-/A3)^(b)
	3,500,000		1.650		06/18/21	3,418,450
Gainesville & Hall County Development Authority RB Refunding for Riverside Military Academy Series 2017 (BBB-/NR)
	700,000		5.000		03/01/27	756,868
Metropolitan Atlanta Rapid Transit Authority Sales Tax RB Series 2009 A (AA+/Aa2)
	4,075,000		5.250		07/01/36	4,378,750
Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College & State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)^(d)
	5,200,000		1.419		10/01/33	4,505,072

						14,446,015

Guam – 1.6%
Guam Government Business Privilege Tax RB Refunding Series 2015 D (A/NR)
	3,000,000		5.000		11/15/22	3,357,690
Guam Government Business Privilege Tax RB Series 2012 B-1 (A/NR)
	2,980,000		5.000		01/01/29	3,154,926
Guam Government Limited Obligation RB Section 30 Series 2009 A (BBB+/NR)^(a)
	850,000		5.625		12/01/19	939,454
	750,000		5.750		12/01/19	831,143
Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR)
	2,755,000		5.000		12/01/25	3,167,864
	2,255,000		5.000		12/01/26	2,594,445
	2,000,000		5.000		12/01/27	2,271,340
Guam Power Authority RB 2014 Series A (AGM) (AA/A2)
	325,000		5.000		10/01/39	359,479
	250,000		5.000		10/01/44	274,985


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Guam – (continued)
Guam Power Authority RB Refunding Series 2012 A (AGM) (AA/A2)
$	1,500,000		5.000	%	10/01/24	$ 1,697,295
Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2)
	1,030,000		5.000		01/01/46	1,103,048

						19,751,669

Hawaii – 0.4%
Hawaii State Department of Budget & Finance RB Refunding for Hawaiian Electric Co., Inc. Series 2017 B (AMT) (A-/Baa2)
	5,025,000		4.000		03/01/37	5,024,799

Idaho – 0.2%
Idaho Health Facilities Authority RB for St. Luke’s Health System Project Series 2008 (A-/A3)
	1,000,000		6.750		11/01/37	1,066,260
Nez Perce County PCRB Refunding for Potlatch Corp. Project Series 2016 (BB/Ba1)
	2,000,000		2.750		10/01/24	1,927,140

						2,993,400

Illinois – 8.9%
Chicago Illinois Board of Education Dedicated Capital Improvement Series 2016 (A/NR)
	3,550,000		6.000		04/01/46	3,728,494
Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE FGIC) (A/A3)^(c)
	1,895,000		0.000		12/01/26	1,228,851
Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE) (A/A3)^(c)
	2,720,000		0.000		12/01/29	1,456,478
Chicago Illinois Board of Education GO Bonds Capital Appreciation Series 2009 C (BBB+/Ba1)^(c)
	510,000		0.000		01/01/31	213,001
Chicago Illinois Board of Education GO Bonds Series 2015 C (B/NR)
	2,500,000		6.000		12/01/35	2,189,575
Chicago Illinois Board of Education GO Refunding Bonds Series 2015 A (B/NR)^(d)
	4,710,000		9.000		03/01/32	4,710,000
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2009 E (B/B3)
	2,300,000		6.038		12/01/29	1,757,338
	2,500,000		6.138		12/01/39	1,858,475
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 A (B/NR)
	4,960,000		7.000		12/01/44	4,716,861
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 B (B/NR)
	7,125,000		6.500		12/01/46	6,414,709
Chicago Illinois Capital Appreciation Refunding & Project Series 2009 C (BBB+/Ba1)^(c)
	750,000		0.000		01/01/32	290,737
Chicago Illinois GO Bonds Project and Refunding RMKT 06/08/15 Series 2005 D (BBB+/Ba1)
	300,000		5.500		01/01/37	295,767
	2,720,000		5.500		01/01/40	2,675,174


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Illinois – (continued)
Chicago Illinois GO Bonds Project Refunding Series 2014 A (BBB+/Ba1)
$	1,500,000		5.250	%	01/01/33	$ 1,464,285
	630,000		5.000		01/01/34	603,376
	450,000		5.000		01/01/36	425,088
Chicago Illinois GO Bonds Project Refunding Series 2017 A (BBB+/NR)
	3,375,000		6.000		01/01/38	3,463,290
Chicago Illinois GO Bonds Project Series 2011 A (BBB+/Ba1)
	640,000		5.000		01/01/40	597,427
Chicago Illinois GO Bonds Project Series 2012 A (BBB+/Ba1)
	150,000		5.000		01/01/34	144,455
Chicago Illinois GO Bonds Series 2015 A (BBB+/NR)
	1,320,000		5.500		01/01/39	1,300,372
Chicago Illinois GO Refunding Bonds Capital Appreciation Series 2007 C (NATL-RE) (A/A3)
	5,000,000		5.000		01/01/30	5,065,850
Chicago Illinois GO Refunding Bonds Series 2009 C (BBB+/Ba1)
	675,000		5.000		01/01/40	630,099
Chicago Illinois GO Refunding Bonds Series 2015 C (BBB+/NR)
	2,545,000		5.000		01/01/24	2,574,471
	4,435,000		5.000		01/01/25	4,467,996
	1,200,000		5.000		01/01/38	1,123,992
Chicago Illinois Midway Airport RB Refunding Second Lien Series 2013 A (AMT) (A/A3)
	2,500,000		5.500		01/01/29	2,875,350
Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2015 A (AMT) (A/NR)
	820,000		5.000		01/01/23	947,674
Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2016 D (A/NR)
	3,000,000		5.250		01/01/35	3,526,590
Chicago Illinois Sales Tax Refunding Series 2002 (AA/NR)
	1,000,000		5.000		01/01/25	1,102,180
Chicago Illinois Tax Increment Allocation RB Refunding for Pilsen Redevelopment Project Series 2014 A (A/NR)
	1,135,000		5.000		06/01/20	1,225,198
Chicago Illinois Wastewater Transmission RB Second Lien Series 2017 A (AGM) (AA/NR)
	475,000		5.250		01/01/42	539,144
	1,330,000		4.000		01/01/52	1,333,126
Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2000 (A/Baa2)
	600,000		5.000		11/01/29	675,588
Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2004 (A/NR)
	1,500,000		5.000		11/01/26	1,729,080
Illinois Finance Authority RB for Edward Hospital Obligated Group RMKT 04/09/08 Series 2008 A (AMBAC) (A/WR)^(a)
	350,000		6.250		02/01/18	360,549
Illinois Finance Authority RB Refunding for Franciscan Communities Project Series 2017 A (BBB-/NR)
	1,425,000		4.000		05/15/27	1,478,580
Illinois Sports Facilities Authority Refunding Bonds Series 2014 (AGM) (AA/NR)
	4,160,000		5.000		06/15/27	4,611,818
Illinois State GO Bonds Series 2012 (BBB-/Baa3)
	1,505,000		5.000		03/01/21	1,562,341
Illinois State GO Bonds Series 2013 (BBB-/Baa3)
	5,000,000		5.500		07/01/24	5,292,050
	5,500,000		5.250		07/01/28	5,613,080
	5,120,000		5.500		07/01/38	5,317,990


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Illinois – (continued)
Illinois State GO Refunding Bonds Series 2016 (AGM) (AA/A2)
$	3,950,000		4.000	%	02/01/30	$ 4,054,319
	1,185,000		4.000		02/01/31	1,203,842
Metropolitan Pier & Exposition Authority RB for McCormick Place Expansion Project Residual Series 2002 A (NATL-RE) (A/A3)
	2,000,000		5.700		06/15/24	2,281,340
Metropolitan Pier & Exposition Authority Refunding Bonds for McCormick Place Expansion Project Series 2012 B (ST APPROP) (BB+/NR)
	1,000,000		5.000		12/15/28	1,011,310
Railsplitter Tobacco Settlement Authority Tobacco Settlement RB Series 2010 (A-/NR)
	1,125,000		6.000		06/01/28	1,282,658
Southwestern Illinois Development Authority RB Capital Appreciation for Local Government Program Series 2007 (AGM) (AA/NR)^(c)
	6,000,000		0.000		12/01/25	4,587,540
Springfield Illinois Senior Lien Electric RB Refunding Series 2015 (AGM) (AA/A2)
	4,000,000		3.500		03/01/30	4,056,320

						110,063,828

Indiana – 0.3%
Jasper County PCRB Refunding for Northern Indiana Public Service Co. Project RMKT 08/25/08 Series 1994 C (NATL-RE) (A/A3)
	650,000		5.850		04/01/19	694,661
Whiting City Environmental Facilities RB for BP Products North America Inc. Project Series 2015 (AMT) (A-/A1)^(b)
	3,000,000		5.000		11/01/22	3,422,640

						4,117,301

Iowa – 0.1%
Coralville Iowa COPS Series 2016 E (BBB/NR)
	300,000		4.000		06/01/19	312,174
	460,000		4.000		06/01/20	485,148
	500,000		4.000		06/01/21	531,930

						1,329,252

Kentucky – 1.4%
Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc. Series 2017 A (AGM) (AA/A2)
	900,000		4.000		06/01/37	913,968
	400,000		4.000		06/01/45	402,268
Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2016 A (A-/NR)
	3,175,000		4.000		10/01/34	3,263,837
	4,600,000		4.000		10/01/36	4,685,284
Louisville & Jefferson County Metropolitan Government RB for Jewish Hospital St. Mary’s Healthcare Series 2008 (NR/Aaa)^(a)
	3,750,000		6.125		02/01/18	3,861,450
University of Kentucky General Receipts Refunding Bonds Series 2015 A (AA/Aa2)
	3,260,000		4.000		04/01/26	3,672,781

						16,799,588

Louisiana – 1.5%
East Baton Rouge Parish Louisiana Sales Tax RB for Road and Street Improvement Series 2009 A (ASSURED GTY) (AA/A2)^(a)
	1,230,000		5.250		08/01/19	1,333,615


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Louisiana – (continued)
Louisiana Local Government Environmental Facilities and Community Development Authority RB Refunding for Ragin’ Cajun Facilities, Inc. - Student Housing & Parking Project Series 2017 (AGM) (AA/NR)
$	900,000		2.750	%	10/01/23	$ 937,764
	670,000		5.000		10/01/23	785,984
Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 A (A/A2)
	2,125,000		3.375		09/01/28	2,131,099
Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 B (A/A2)
	1,625,000		3.500		06/01/30	1,629,079
Louisiana Public Facilities Authority RB Refunding for Ochsner Clinic Foundation Project Series 2017 (A-/A3)
	965,000		4.000		05/15/42	961,941
	3,000,000		5.000		05/15/46	3,322,200
New Orleans Aviation Board GARBs Series 2015 B (AMT) (A-/A3)
	3,750,000		5.000		01/01/34	4,225,425
New Orleans Aviation Board General Airport RB for North Terminal Project Series 2017 B (AMT) (A-/A3)
	1,000,000		5.000		01/01/48	1,127,940
New Orleans Louisiana Aviation Board RB Refunding for Restructuring GARBs Series 2009 A-1 (ASSURED GTY) (AA/A3)^(a)
	1,350,000		6.000		01/01/19	1,448,077
Port of New Orleans Board of Commissioners RB Refunding Series 2013 B (AMT) (A-/A3)
	500,000		5.000		04/01/30	545,155

						18,448,279

Maine – 0.2%
Maine Turnpike Authority RB Refunding Series 2015 (AA-/Aa3)
	1,565,000		5.000		07/01/26	1,884,323

Maryland – 0.4%
Baltimore Maryland Special Obligation Refunding for Baltimore Research Park Project Series 2017 A (NR/NR)
	425,000		4.000		09/01/27	437,257
	650,000		4.500		09/01/33	668,115
City of Annapolis GO Refunding Bonds for Public Improvements Series 2015 B (AA+/Aa2)
	1,725,000		4.000		08/01/27	1,993,945
Frederick County Maryland Special Tax for Lake Linganore Village Community Development Series 2001 A (ASSURED GTY) (AA/NR)
	155,000		5.600		07/01/20	155,400
	555,000		5.700		07/01/29	555,960
Maryland State Transportation Authority RB Refunding Series 2007 (AAA/Aa1)
	1,500,000		5.000		03/01/19	1,502,460

						5,313,137

Massachusetts – 0.9%
Massachusetts Bay Transportation Authority Sales Tax RB Refunding for Capital Appreciation Senior Series 2016 A (AA/Aa2)^(c)
	2,000,000		0.000		07/01/21	1,858,460
Massachusetts Development Finance Agency RB for Harvard University Series 2010 B-2 (AAA/Aaa)^(a)
	5,000,000		5.250		02/01/21	5,696,000
Massachusetts Educational Financing Authority RB Series 2008 H (AMT) (ASSURED GTY) (AA/A1)
	825,000		6.350		01/01/30	837,829


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Massachusetts – (continued)
Massachusetts State Health & Educational Facilities Authority RB for Boston Medical Center Project Series 2008 B (BBB/Baa2)^(a)
$	2,575,000		5.750	%	07/01/18	$ 2,694,197
Massachusetts State Health & Educational Facilities Authority RB for Boston Medical Center Project Series 2008 B (NR/NR)^(a)
	315,000		5.750		07/01/18	329,581

						11,416,067

Michigan – 2.2%
Allendale Public School GO Refunding Bonds Series 2016 (Q-SBLF) (AA-/NR)
	2,700,000		5.000		05/01/23	3,170,367
Michigan Finance Authority Hospital Project RB Refunding Ascension Senior Credit Series 2016 E-1 (AA+/Aa2)^(b)
	3,000,000		1.100		08/15/19	2,981,370
Michigan Finance Authority Local Government Loan Program RB for Detroit Financial Recovery Income Tax Revenue and Refunding Local Project Bonds Series 2014 F (A/NR)
	1,000,000		3.875		10/01/23	1,062,850
Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 D-4 (A-/A3)
	1,000,000		5.000		07/01/34	1,110,560
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Department Sewage Disposal System Second Lien Local Project Series 2015 C (BBB+/Baa1)
	1,945,000		5.000		07/01/33	2,132,537
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Series 2014 D-1 (AGM) (AA/A2)
	400,000		5.000		07/01/35	450,352
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Series 2014 D-1 (NATL-RE FGIC) (A/A3)
	650,000		5.000		07/01/36	717,158
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 C-1 (A-/A3)
	1,000,000		5.000		07/01/44	1,070,910
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 C-3 (AGM) (AA/A2)
	325,000		5.000		07/01/32	369,421
	250,000		5.000		07/01/33	283,152
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Water Supply System Series 2015 D-1 (A-/A3)
	1,000,000		5.000		07/01/29	1,143,380
Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project Series 1995 CC (A/Aa3)^(b)
	1,115,000		1.450		09/01/21	1,098,119
Michigan Tobacco Settlement Finance Authority Asset Backed RB Senior Series 2007 A (B-/NR)
	570,000		6.000		06/01/48	552,074
Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 C (CCC/NR)^(c)
	9,500,000		0.000		06/01/52	543,020


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Michigan – (continued)
Roseville Community School District GO Refunding Bonds (Q-SBLF) (AA-/NR)
$	1,000,000		5.000	%	05/01/20	$ 1,100,620
Warren Consolidated School District Unlimited Tax GO Refunding Bonds for School Building and Site Bonds Series 2016 (Q-SBLF) (AA-/NR)
	1,145,000		5.000		05/01/25	1,374,126
	1,215,000		5.000		05/01/26	1,467,926
	3,705,000		5.000		05/01/27	4,427,438
Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Refunding Bonds Series 2015 B (Q-SBLF) (AA-/NR)
	1,860,000		5.000		05/01/22	2,133,532

						27,188,912

Minnesota – 0.2%
Minneapolis Minnesota Health Care System RB for Fairview Health Services Series 2008 A (A+/A2)^(a)
	1,500,000		6.750		11/15/18	1,614,555
Minnesota Higher Education Facilities Authority RB Refunding for Bethel University Project Series 2017 (BBB-/NR)^(g)
	500,000		5.000		05/01/47	546,970

						2,161,525

Mississippi – 0.3%
Jackson County Mississippi Pollution Control RB Refunding for Chevron USA, Inc. Project RMKT 11/01/99 Series 1993 (AA-/Aa2)^(b)
	2,000,000		0.960		07/03/17	2,000,000
Mississippi Development Bank Special Obligation RB for Hinds Community College District Capital Improvement Project Series 2009 (ASSURED GTY) (AA/Aa2)^(a)
	1,095,000		5.375		10/01/19	1,197,076
Mississippi State GO Bonds Series 2015 F (AA/Aa2)
	1,000,000		4.000		11/01/35	1,076,160

						4,273,236

Missouri – 0.1%
Kirkwood Industrial Development Authority Retirement Community RB Refunding for Aberdeen Heights Series 2017 A (BB/NR)
	1,230,000		5.000		05/15/18	1,262,497

Montana – 0.1%
City of Billings RB for Sewer System Series 2017 (AA+/Aa3)
	575,000		5.000		07/01/29	702,477

Nevada – 0.3%
Clark County School District Limited Tax GO Refunding Bonds Series 2015 B (AA-/A1)
	1,000,000		5.000		06/15/18	1,036,430
Henderson Nevada Local Improvement District No. T-18 (Inspirada) Special Assessment Refunding Limited Obligation Series 2016 (NR/NR)
	1,285,000		4.000		09/01/25	1,312,782
Washoe County Sierra Pacific Power Company Project RB Refunding for Nevada Gas & Water Facilities Series 2016 B (A+/A2)^(b)
	1,800,000		3.000		06/01/22	1,881,072

						4,230,284


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New Jersey – 5.7%
Atlantic City New Jersey Tax Appeal Refunding Bonds Series 2017 A (BAM) (ST AID WITHHLDG) (AA/Baa1)
$	300,000		5.000	%	03/01/24	$ 338,052
	250,000		5.000		03/01/26	283,362
New Jersey Economic Development Authority RB for Provident Group - Kean Properties L.L.C. - Kean University Student Housing Project Series 2017 A (BBB-/NR)
	500,000		5.000		07/01/32	551,180
New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 (ASSURED GTY) (AA+/A3)^(a)
	1,000,000		6.000		12/15/18	1,071,473
New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 AA (BBB+/Baa1)
	1,315,000		5.500		12/15/29	1,359,920
New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 BB (BBB+/Baa1)^(a)
	360,000		5.000		09/01/19	389,142
New Jersey Economic Development Authority RB for School Facilities Construction Series 2016 AAA (BBB+/Baa1)
	4,000,000		5.500		06/15/33	4,327,200
New Jersey Economic Development Authority RB Refunding for School Facilities Construction Bonds Series 2009 AA (NR/Baa1)^(a)
	2,685,000		5.500		06/15/19	2,908,070
New Jersey Educational Facilities Authority RB Refunding for The College of New Jersey Series 2016 F (A/A2)
	1,250,000		3.000		07/01/40	1,091,513
New Jersey Health Care Facilities Financing Authority RB for St. Joseph’s Healthcare System Series 2008 (NR/Baa3)^(a)
	2,500,000		6.625		07/01/18	2,637,125
New Jersey State Higher Education Assistance Authority RB for Student Loan Series 2008 A (AMT) (ASSURED GTY) (AA/A2)
	1,835,000		6.125		06/01/30	1,891,114
New Jersey State Housing and Mortgage Finance Agency RB for Single Family Housing Series 2008 AA (AA/Aa3)
	30,000		6.150		10/01/23	30,117
New Jersey State Turnpike Authority RB Refunding Series 2000 B (NATL-RE) (A+/A2)^(d)
	6,300,000		1.523		01/01/30	5,780,016
New Jersey State Turnpike Authority RB Series 2009 G (A+/A2)
	1,900,000		5.000		01/01/18	1,937,050
New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2006 C (AMBAC) (BBB+/Baa1)^(c)
	19,675,000		0.000		12/15/35	8,504,912
New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2010 A (BBB+/Baa1)^(c)
	5,365,000		0.000		12/15/26	3,560,482
New Jersey Transportation Trust Fund Authority RB for Federal Highway Reimbursement Notes Subseries 2016 A-2 (A+/Baa1)
	10,000,000		5.000		06/15/29	10,203,800
New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2015 AA (BBB+/Baa1)
	755,000		5.000		06/15/46	742,497
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE) (A/A3)^(c)
	4,675,000		0.000		12/15/27	3,113,831
	5,000,000		0.000		12/15/31	2,685,750


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New Jersey – (continued)
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (AMBAC) (BBB+/Baa1)
$	1,305,000		5.250	%	12/15/22	$ 1,427,383
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (BBB+/Baa1)
	1,000,000		5.000		06/15/42	1,017,130
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2013 A (BBB+/Baa1)
	2,475,000		5.000		06/15/20	2,627,683
New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP) (BBB+/Baa1)
	6,515,000		5.500		06/15/41	6,793,125
New Jersey Transportation Trust Fund Authority RB Subseries 2016 A-1 & Subseries A-2 (A+/Baa1)
	3,500,000		5.000		06/15/31	3,566,080
Plainsboro Township GO General Improvement Bonds Series 2016 (AAA/NR)
	1,000,000		2.000		08/01/22	1,020,380

						69,858,387

New Mexico – 0.4%
Farmington City PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 A (BBB+/Baa2)^(b)
	1,200,000		5.200		06/01/20	1,309,164
Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 D (BBB+/Baa2)
	2,500,000		5.900		06/01/40	2,745,350
Santa Fe County New Mexico RB for Gross Receipts Series 2008 (AGM) (AA+/Aa3)^(a)
	1,000,000		5.250		06/01/18	1,038,460

						5,092,974

New York – 5.7%
Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (BBB-/Baa3)
	1,075,000		5.000		07/15/42	1,209,278
Chautauqua County Industrial Development Agency Exempt Facility RB for Dunkirk NRG Power Project Series 2009 (BB+/Baa3)
	200,000		5.875		04/01/42	209,014
City of New Rochelle Corp. for Local Development RB for Iona College Project Series 2015 A (BBB/Baa2)
	325,000		5.000		07/01/25	374,842
	335,000		5.000		07/01/26	385,344
	425,000		5.000		07/01/27	486,587
Erie County New York Industrial Development Agency RB for the City of Buffalo School District Series 2008 A (AGM) (ST AID WITHHLDG) (AA/Aa2)^(a)
	9,000,000		5.750		05/01/18	9,353,970
Freddie Mac Multifamily ML Certificates RB Pass Through Series 2017 (NR/Aaa)^(d)(e)
	7,500,000		1.650		01/25/33	7,507,852
Metropolitan Transportation Authority RB Refunding RMKT 11/01/16 Subseries 2012 G-3 (AA-/A1)^(b)
	5,000,000		1.404		02/01/20	4,991,700
Metropolitan Transportation Authority RB Refunding Series 2016 C-2B (AA-/A1)^(b)
	3,250,000		5.000		02/15/20	3,531,125
New York City GO Bonds Fiscal 2014 Series 2013 D Subseries D3 (AA/Aa2)^(b)
	2,000,000		0.950		07/03/17	2,000,000


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New York – (continued)
New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2011 Subseries AA1 (AA+/Aa1)^(b)
$	2,000,000		0.950	%	07/03/17	$ 2,000,000
New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2016 Subseries E-4 (AAA/Aa1)^(b)
	2,000,000		0.950		07/03/17	2,000,000
New York Housing Development Corp. Multi-Family Mortgage RB for 8 Spruce Street Series 2014 Class E (BBB-/NR)
	1,000,000		3.500		02/15/48	1,015,230
New York Liberty Development Corporation RB for 3 World Trade Center Project Series 2014 (NR/NR)^(e)
	2,825,000		5.000		11/15/44	3,038,824
New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2016 A (AAA/Aa1)
	1,400,000		5.000		02/15/27	1,724,520
New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2016 D (AAA/Aa1)
	6,190,000		5.000		02/15/27	7,624,842
New York State Energy Research & Development Authority RB Refunding for Central Hudson Gas & Electric Corp. Projects Series 1999 B (AMT) (AMBAC) (A-/A2)^(d)
	5,400,000		1.365		07/01/34	4,751,649
New York State Thruway Authority Junior Indebtedness RB Series 2013 A (A-/A3)
	1,000,000		5.000		05/01/19	1,068,730
New York State Urban Development Corp. General Purpose Personal Income Tax RB Series 2014 A (AAA/Aa1)
	5,000,000		5.000		03/15/31	5,876,750
New York Transportation Development Corp. Special Facility RB Refunding for American Airlines, Inc. John F. Kennedy International Airport Project Series 2016 (AMT) (BB-/NR)
	2,200,000		5.000		08/01/20	2,370,962
	2,405,000		5.000		08/01/21	2,646,005
New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (BBB/Baa3)
	700,000		5.000		07/01/41	759,829
	700,000		5.000		07/01/46	755,342
	1,750,000		5.250		01/01/50	1,915,078
Westchester County Local Development Corporation RB for Westchester Medical Center Obligated Group Project Series 2016 (BBB/Baa2)
	1,000,000		5.000		11/01/23	1,160,480
	1,000,000		5.000		11/01/24	1,175,740

						69,933,693

North Carolina – 0.4%
Charlotte North Carolina Water and Sewer System RB Series 2009 B (AAA/Aaa)
	2,000,000		5.000		07/01/38	2,196,900
North Carolina Eastern Municipal Power Agency Power System RB Series 2008 C (ETM) (ASSURED GTY) (AA/A3)^(a)
	190,000		6.000		01/01/19	198,751
North Carolina Medical Care Commission Health Care Facilities RB Refunding First Mortgage for Pennybyrn at Maryfield Series 2015 (NR/NR)
	1,500,000		4.000		10/01/17	1,507,050
	885,000		5.000		10/01/18	916,347
North Carolina Medical Care Commission Retirement Facilities RB Refunding First Mortgage for United Church Homes and Services Series 2015 A (NR/NR)
	620,000		4.000		09/01/25	626,888

						5,445,936


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Ohio – 3.0%
Buckeye Ohio Tobacco Settlement Financing Authority RB Asset-Backed Bonds for Capital Appreciation 1st Subordinate Series 2007 B (NR/NR)^(c)
$	33,300,000		0.000	%	06/01/47	$ 2,346,984
Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/B3)
	1,885,000		6.500		06/01/47	1,888,582
	2,400,000		5.875		06/01/47	2,332,416
Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/Caa1)
	23,685,000		5.125		06/01/24	22,863,130
	1,650,000		5.875		06/01/30	1,612,743
Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-3 (B-/Caa1)
	1,700,000		6.250		06/01/37	1,718,411
Centerville Ohio Health Care RB Refunding and Improvement for Graceworks Lutheran Services Series 2017 (NR/NR)
	275,000		5.000		11/01/20	297,765
	285,000		5.000		11/01/21	312,155
	400,000		5.000		11/01/22	441,532
	420,000		5.000		11/01/23	464,696
Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2017 (BBB-/Baa3)
	2,865,000		5.500		02/15/57	3,137,834

						37,416,248

Oklahoma – 0.1%
Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2015 (AMT) (BB-/NR)^(b)
	1,500,000		5.000		06/01/25	1,620,765

Oregon – 1.5%
Deschutes County Oregon Hospital Facilities Authority RB Refunding for Cascade Healthcare Series 2008 (NR/A2)^(a)
	1,500,000		8.250		01/01/19	1,655,055
Forest Grove Oregon Student Housing RB Refunding for Oak Tree Foundation Project Series 2017 (BBB-/NR)
	1,385,000		3.500		03/01/29	1,390,512
	1,540,000		3.750		03/01/32	1,527,926
Oregon State Department of Transportation Highway User Tax RB Refunding Series 2015 A (AAA/Aa1)
	3,140,000		5.000		11/15/25	3,856,234
Portland Oregon Community College District GO Refunding Bonds Series 2013 (AA/Aa1)
	2,000,000		5.000		06/15/26	2,357,860
Portland Oregon Water System RB Refunding First Lien Series 2016 A (NR/Aaa)
	7,090,000		4.000		04/01/29	7,919,743

						18,707,330

Pennsylvania – 2.5%
Allentown Neighborhood Improvement Zone Development Authority Tax RB for Center Project Series 2017 (NR/Ba1)^(e)(g)
	1,600,000		5.000		05/01/32	1,690,160
Coatesville School District GO Refunding Bonds Series 2017 (AGM) (ST AID WITHHLDG) (AA/A2)
	1,000,000		5.000		08/01/25	1,190,500
Lancaster County Hospital Authority RB for Brethren Village Project Series 2017 (BB+/NR)
	855,000		3.000		07/01/19	868,552
	1,155,000		5.000		07/01/20	1,246,233
	900,000		5.000		07/01/22	994,185


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Pennsylvania – (continued)
Mifflin County Pennsylvania School District GO Bonds Series 2007 (NATL-RE-IBC) (XLCA) (ST AID WITHHLDG) (A/A3)^(a)
$	2,000,000		7.500	%	09/01/17	$ 2,020,100
Pennsylvania Economic Development Financing Authority PCRB Refunding for PPL Electric Utilities Corp. Project RMKT 10/01/10 Series 2008 (A/A1)
	2,500,000		4.000		10/01/23	2,622,175
Pennsylvania Economic Development Financing Authority RB for The Pennsylvania Rapid Bridge Replacement Project Series 2015 (AMT) (BBB/NR)
	750,000		5.000		06/30/42	835,463
Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB for Waste Management, Inc. Project Series 2004 A (A-/NR)^(b)
	1,000,000		1.500		05/01/18	1,001,860
Pennsylvania Higher Educational Facilities Authority RB for Foundation for Indiana University of Pennsylvania Series 2007 A (XLCA) (BBB+/WR)^(d)
	1,685,000		1.369		07/01/27	1,627,828
Pennsylvania State Commonwealth GO Refunding Bonds First Series 2016 (AA-/Aa3)
	4,000,000		5.000		09/15/19	4,326,840
Pennsylvania State Commonwealth GO Refunding Bonds First Series 2016 (AGM) (AA/Aa3)
	4,000,000		5.000		09/15/25	4,845,240
Pennsylvania Turnpike Commission RB Series 2013 C (A/A1)
	1,720,000		5.500		12/01/29	2,056,088
Pennsylvania Turnpike Commission RB Subordinate Series 2017 A (A-/A3)
	3,500,000		5.500		12/01/42	4,044,495
Scranton City GO Refunding Notes Series 2016 (BB/NR)
	375,000		5.000		11/15/26	391,335
	500,000		5.000		11/15/32	508,385
Scranton Redevelopment Authority RB Refunding for Guaranteed Lease Series 2016 A (MUN GOVT GTD) (BB/NR)
	300,000		5.000		11/15/21	311,268
	450,000		5.000		11/15/28	458,604

						31,039,311

Puerto Rico – 3.5%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2008 A (CC/Caa3)
	3,635,000		6.125		07/01/24	3,057,944
	2,000,000		6.000		07/01/38	1,615,000
	2,500,000		6.000		07/01/44	2,012,500
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Caa3)
	1,060,000		5.750		07/01/37	845,350
Puerto Rico Commonwealth GO Bonds Series 2014 A (D/Caa3)^(h)
	5,175,000		8.000		07/01/35	3,143,812
Puerto Rico Commonwealth GO Refunding Bonds for Public Improvement Series 2009 B (D/Caa3)^(h)
	3,000,000		6.500		07/01/37	1,826,250
Puerto Rico Commonwealth GO Refunding Bonds for Public Improvement Series 2012 A (D/Caa3)^(h)
	3,955,000		5.000		07/01/41	2,249,406
Puerto Rico Commonwealth GO Refunding Bonds Subseries 2003 C-7 (NATL-RE) (A/A3)
	2,000,000		6.000		07/01/27	2,080,360
Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AMBAC) (CC/C)
	115,000		5.250		07/01/38	121,550


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Puerto Rico – (continued)
Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (NATL-RE) (A/A3)
$	185,000		5.250	%	07/01/35	$ 196,921
Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2007 N (NATL-RE) (A/A3)
	1,600,000		5.250		07/01/33	1,713,040
Puerto Rico Commonwelath Highway & Transportation Authority RB Refunding Series 2007 CC (AGM) (AA/A2)
	2,050,000		5.250		07/01/33	2,280,953
Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)^(d)
	10,075,000		1.289		07/01/29	8,009,625
Puerto Rico Electric Power Authority RB Series 2013 A (D/Caa3)
	3,000,000		6.750		07/01/36	1,830,000
Puerto Rico Electric Power Authority RB Series 2016 E-1 (NR/NR)
	590,915		10.000		01/01/21	620,461
Puerto Rico Electric Power Authority RB Series 2016 E-2 (NR/NR)
	590,915		10.000		07/01/21	620,461
Puerto Rico Electric Power Authority RB Series 2016 E-3 (NR/NR)
	196,972		10.000		01/01/22	206,821
Puerto Rico Electric Power Authority RB Series 2016 E-4 (NR/NR)
	196,972		10.000		07/01/22	206,821
Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2007 M-2 (AMBAC) (COMWLTH GTD) (NR/Caa3)^(b)
	3,240,000		5.500		07/01/17	3,240,000
Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 A (D/Ca)^(h)
	975,000		5.500		08/01/42	251,063
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation First Subseries 2009 A (D/Ca)^(h)
	13,000,000		6.750		08/01/32	3,347,500
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (D/Ca)^(c)(h)
	7,000,000		0.000		08/01/35	509,880
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2009 A (D/Ca)^(c)(h)
	6,500,000		0.000		08/01/34	476,970
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2010 C (D/Ca)^(c)(h)
	1,400,000		0.000		08/01/37	91,630
Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (D/Ca)^(h)
	5,805,000		5.000		08/01/24	1,494,787
	3,950,000		6.500		08/01/44	1,017,125

						43,066,230

Rhode Island – 0.0%
Rhode Island Health and Educational Building Corp. RB for Woonsocket Public School Financing Program Series 2017 A (AGM) (MUN GOVT GTD) (AA/A1)
	500,000		5.000		05/15/24	580,370

South Carolina – 0.3%
Clemson University Athletic Facilities RB Series 2015 (NR/Aa3)
	1,385,000		4.000		05/01/25	1,577,030
	1,570,000		4.000		05/01/26	1,757,584

						3,334,614


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
South Dakota – 0.1%
South Dakota Health & Educational Facilities Authority RB for Avera Health Series 2008 B (AA-/A1)
$	500,000		5.500	%	07/01/35	$ 518,450
	300,000		5.250		07/01/38	309,204

						827,654

Tennessee – 0.5%
Bristol Industrial Development Board RB for The Pinnacle Project Series 2016 A (NR/NR)^(e)
	1,250,000		5.000		12/01/35	1,224,900
	2,250,000		5.125		12/01/42	2,183,040
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Charter Village Apartments Series 2007 (AMT) (FNMA) (NR/NR)^(b)
	1,000,000		4.850		06/01/25	1,000,090
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Vanderbilt University Medical Center Series 2016 A (NR/A3)
	400,000		5.000		07/01/40	450,848
	700,000		5.000		07/01/46	784,945

						5,643,823

Texas – 9.3%
Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2016 (BBB+/Baa2)
	250,000		5.000		01/01/40	279,663
	435,000		5.000		01/01/46	482,545
City of Celina Texas Municipal Corp. Special Assessment RB for Glen Crossing Public Improvement District Phase#1 Project Series 2016 (NR/NR)
	250,000		4.200		09/01/27	237,465
	575,000		4.800		09/01/37	526,298
	650,000		5.250		09/01/46	587,314
City of Lewisville Texas Combination Contract & Special Assessment RB Refunding for Lewisville Castle Hills Public Improvement District No. 3 Project Series 2015 (AGM) (AA/NR)
	1,415,000		4.000		09/01/25	1,563,363
Dallas-Fort Worth International Airport Joint RB Refunding Series 2014 A (AMT) (A+/NR)
	2,500,000		5.250		11/01/30	2,857,075
Grand Parkway Transportation Corp. System Toll Convertible RB Series 2013 B (AA+/NR)^(f)
	2,500,000		0.000		10/01/46	2,252,550
Harris County Cultural Education Facilities Finance Corp. RB Refunding for Memorial Hermann Health System Series 2013 B (A+/A1)^(d)
	6,770,000		1.860		06/01/23	6,768,511
Houston Airport System RB Refunding for United Airlines, Inc. Series 2015 B-2 (AMT) (BB-/NR)
	2,500,000		5.000		07/15/20	2,674,950
Houston Airport System RB Refunding Senior Lien Series 2009 A (AA-/Aa3)
	10,000,000		5.500		07/01/34	10,423,300
Houston Airport System RB Subordinate Lien Series 2002 D-2 (AMT) (XLCA) (A+/A1)^(d)
	3,650,000		2.440		07/01/32	3,394,107
Houston Airport System RB Tranche II Series 2000 P-2 (AMT) (AGM) (AA/A1)^(d)
	950,000		2.360		07/01/30	883,500
Houston Independent School District Limited Tax GO Refunding Bonds Series 2017 (PSF-GTD) (AAA/Aaa)
	3,425,000		4.000		02/15/42	3,603,648


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Texas – (continued)
Joint Guadalupe County RB Refunding and Improvement Bonds for City of Seguin Hospital Mortgage Series 2015 (BB/NR)
$	700,000		5.000	%	12/01/17	$ 706,860
	1,550,000		5.000		12/01/18	1,598,282
	1,545,000		5.000		12/01/19	1,621,941
Kaufman County Fresh Water Supply District No. 1 Refunding for Road Series 2016 C (AGM) (AA/NR)
	455,000		3.000		09/01/23	469,205
	280,000		3.000		09/01/24	287,815
	505,000		3.000		09/01/25	515,635
	530,000		4.000		09/01/26	578,786
	560,000		4.000		09/01/27	608,250
	490,000		4.000		09/01/28	526,108
Lamar Consolidated Independent School District Unlimited Tax Schoolhouse Bonds RMKT 08/15/16 Series 2014 A (PSF-GTD) (AAA/Aaa)^(b)
	1,500,000		1.050		08/15/18	1,500,090
Lower Neches Valley Authority Industrial Development Corp. RB Refunding for Exxonmobil Project Series 2012 (AA+/Aaa)^(b)
	2,000,000		0.900		07/03/17	2,000,000
Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT 07/01/09 Series 2001 A (A-/Baa1)
	1,300,000		6.300		11/01/29	1,401,101
Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project Series 1996 (AMT) (NATL-RE) (A/A3)
	2,500,000		5.200		05/01/30	2,555,125
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for NCCD College Station Properties LLC, Texas A&M University Project Series 2015 A (BBB-/Baa3)
	2,310,000		5.000		07/01/35	2,492,790
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station I, LLC - Texas A&M University Collegiate Housing Corpus Christi Project Series 2014 A (BBB-/NR)
	1,000,000		5.000		04/01/39	1,055,050
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC - Texas A&M University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Baa3)
	645,000		4.000		04/01/22	692,117
	320,000		4.000		04/01/23	341,958
	275,000		4.000		04/01/24	294,247
	365,000		4.000		04/01/25	386,393
	375,000		4.000		04/01/26	394,763
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Tarleton State University Collegiate Housing Project Series 2015 A (BBB-/Baa3)
	250,000		5.000		04/01/30	275,565
North Texas Tollway Authority RB Convertible Capital Appreciation Special Project System Series 2011 (AA+/NR)^(f)
	1,000,000		0.000		09/01/43	1,063,920
North Texas Tollway Authority RB First Tier Series 2009 A (A/A1)
	205,000		6.250		01/01/39	219,006
North Texas Tollway Authority RB First Tier Series 2009 A (A/NR)
	470,000		6.250		01/01/24	504,926
North Texas Tollway Authority RB First Tier Series 2009 A (NR/NR)^(a)
	2,925,000		6.250		01/01/19	3,141,479


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Texas – (continued)
North Texas Tollway Authority RB First Tier Series 2016 A (A/A1)
$	615,000		5.750	%	01/01/40	$ 627,915
North Texas Tollway Authority RB Special Project System Series 2011 A (AA+/NR)
	1,000,000		5.500		09/01/41	1,156,500
	1,000,000		6.000		09/01/41	1,180,940
North Texas Tollway Authority System RB Refunding First Tier Series 2008 A (NR/A1)^(a)
	1,890,000		5.750		01/01/18	1,934,169
North Texas Tollway Authority System RB Refunding First Tier Series 2008 A (NR/NR)^(a)
	2,495,000		5.750		01/01/18	2,552,684
North Texas Tollway Authority System RB Refunding First Tier Series 2016 A (A/A1)
	1,500,000		5.000		01/01/22	1,719,915
North Texas Tollway Authority System RB Refunding for Capital Appreciation First Tier Series 2008 I (A/A1)
	6,000,000		6.500		01/01/43	7,517,520
Port of Houston Authority Harris County Unlimited Tax GO Refunding Bonds Series 2008 A (AMT) (AAA/Aaa)
	3,000,000		6.125		10/01/33	3,180,780
Round Rock Texas Independent School District Unlimited Tax GO Bonds for School Building Series 2009 (AA/Aaa)
	2,730,000		5.250		08/01/34	2,847,718
Tarrant County Cultural Education Facilities Finance Corp. RB Refunding for Air Force Village Obligated Group Series 2016 (BB+/NR)
	2,000,000		4.000		05/15/18	2,030,220
	2,375,000		4.000		05/15/19	2,442,284
	2,475,000		5.000		05/15/20	2,636,122
	2,100,000		5.000		05/15/21	2,268,588
	2,730,000		5.000		05/15/22	2,977,611
Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2008 D (BBB+/Baa1)
	4,950,000		6.250		12/15/26	6,045,237
Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009 (BBB-/Baa2)
	8,505,000		6.875		12/31/39	9,450,841
Texas Transportation Commission Central Turnpike System RB Refunding Second Tier Series 2015 C (BBB+/Baa1)
	1,380,000		5.000		08/15/42	1,515,599

						113,850,344

Utah – 0.5%
Salt Lake City RB for International Airport Series 2017 A (AMT) (A+/A2)
	2,650,000		5.000		07/01/47	3,023,332
Utah Transit Authority Sales Tax RB Refunding Subordinate Series 2015 A (AAA/Aa2)
	3,065,000		4.000		06/15/34	3,248,961

						6,272,293

Virgin Islands – 0.8%
Virgin Islands Public Finance Authority RB Matching Fund Loan Note Senior Lien Series 2010 A (B/Caa1)
	1,000,000		5.000		10/01/20	887,550
	275,000		5.000		10/01/25	231,687
	1,410,000		5.000		10/01/29	1,179,113
Virgin Islands Public Finance Authority RB Matching Fund Loan Note Series 2012 A (B/Caa1)
	700,000		5.000		10/01/32	578,375


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Virgin Islands – (continued)
Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series 2014 C (B-/NR)
$	1,450,000		5.000	%	10/01/39	$ 1,058,500
Virgin Islands Public Finance Authority RB Series 2014 A (AGM) (AA/A2)
	5,000,000		5.000		10/01/34	5,272,900

						9,208,125

Virginia – 1.7%
Amelia County IDA Solid Waste Disposal RB Refunding for Waste Management, Inc. Project Series 2002 (AMT) (A-/NR)^(b)
	2,500,000		2.125		04/01/20	2,526,250
Fairfax County Economic Development Authority Residential Care Facilities Mortgage RB Refunding for Goodwin House Incorporated Series 2016 A (BBB/NR)
	1,250,000		4.000		10/01/42	1,267,312
Newport News Economic Development Authority Residential Care Facilities RB Refunding For Lifespire of Virginia Series 2016 (NR/NR)
	450,000		2.000		12/01/18	450,680
Tobacco Settlement Financing Corp. RB for Capital Appreciation Subseries 2007 C (CCC+/NR)^(c)
	94,865,000		0.000		06/01/47	8,957,153
Virginia Commonwealth Transportation Board RB Refunding for U.S. Route 58 Corridor Development Program Series 2016 C (AA+/Aa1)
	2,285,000		5.000		05/15/23	2,716,362
Virginia Port Authority Port Facilities RB Refunding Series 2015 A (AMT) (A/Aa3)^(a)
	2,750,000		5.000		07/01/25	3,353,873
Virginia Small Business Financing Authority Senior Lien RB for Elizabeth River Crossings Opco, LLC Project Series 2012 (AMT) (BBB/NR)
	750,000		5.500		01/01/42	822,758
Washington County IDA RB for Mountain States Health Alliance Series 2009 C (BBB+/Baa1)
	1,000,000		7.750		07/01/38	1,076,120

						21,170,508

Washington – 0.7%
Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 A (NR/NR)^(e)(i)
	700,000		14.048		01/01/23	920,500
Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 B (NR/NR)^(e)(i)
	730,000		14.053		01/01/24	959,191
University of Washington RB Refunding Series 2012 A (AA+/Aaa)
	2,500,000		5.000		07/01/29	2,905,800
Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 A (ASSURED GTY) (AA/Aa3)^(a)
	250,000		6.000		08/15/19	275,070
Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 B (ASSURED GTY) (AA/Aa3)^(a)
	250,000		6.000		08/15/19	275,070
Washington State Health Care Facilities Authority RB for Virginia Mason Medical Center Series 2007 B (ACA) (BBB/Baa2)
	3,000,000		6.000		08/15/37	3,011,760

						8,347,391


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
West Virginia – 0.3%
West Virginia Economic Development Authority Solid Waste Disposal Facilities RB Refunding for Appalachian Power Co. - Amos Project Series 2011 A (AMT) (A-/Baa1)^(b)
$	2,375,000		1.700	%	09/01/20	$ 2,353,316
West Virginia Hospital Finance Authority Hospital RB Refunding and Improvement for West Virginia United Health System Obligated Group Series 2009 C (A/A2)^(a)
	1,000,000		5.500		06/01/19	1,081,430

						3,434,746

Wisconsin – 1.1%
Public Finance Authority Exempt Facilities RB Refunding for Celanese Project Series 2016 C (AMT) (BBB-/Baa3)
	1,000,000		4.300		11/01/30	1,019,820
Public Finance Authority Limited Obligation RB for American Dream @ Meadowlands Project Series 2017 (NR/NR)^(e)
	2,150,000		7.000		12/01/50	2,250,039
Public Finance Authority Pass-Through RB for Natgasoline LLC Series 2016 (NR/NR)^(e)
	4,200,000		10.000		06/30/21	4,215,246
Public Finance Authority Senior Airport Facilities RB Refunding for Transportation Infrastructure Properties LLC Obligated Group Series 2012 B (AMT) (BBB/NR)
	2,000,000		5.250		07/01/28	2,168,380
Public Finance Authority Senior Living RB Refunding for Mary’s Woods at Marylhurst Project Series 2017 B-3 (BB/NR)^(e)
	1,900,000		3.000		11/15/22	1,906,004
Wisconsin State Health & Educational Facilities Authority RB for Upland Hills Health, Inc. Series 2006 A (BBB/NR)
	355,000		5.125		05/15/29	355,980
Wisconsin State Health & Educational Facilities Authority RB for Upland Hills Health, Inc. Series 2006 B (BBB/NR)
	100,000		5.000		05/15/36	100,258
Wisconsin State Health & Educational Facilities Authority RB Refunding for Fort Healthcare, Inc. Series 2014 (BBB+/NR)
	375,000		4.000		05/01/18	381,056
	285,000		4.000		05/01/19	294,300
	410,000		5.000		05/01/20	441,086

						13,132,169

TOTAL INVESTMENTS – 96.9% (Cost $1,176,142,287)						$1,192,767,482

OTHER ASSETS IN EXCESS OF LIABILITIES – 3.1%						37,880,872

NET ASSETS – 100.0%						$1,230,648,354



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Pre-refunded security. Maturity date disclosed is pre-refunding date.

(b)		Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on June 30, 2017.

(c)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(d)		Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(e)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $47,495,093, which represents approximately 3.9% of net assets as of June 30, 2017.

(f)		Zero coupon bond until next reset date.

(g)		When-issued security.

(h)		Security is currently in default.

(i)		Inverse floating rate security. Interest rate disclosed is that which is in effect on June 30, 2017.



Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.



Investment Abbreviations:
ACA		— Insured by American Capital Access
AGM		— Insured by Assured Guaranty Municipal Corp.
AMBAC		— Insured by American Municipal Bond Assurance Corp.
AMT		— Alternative Minimum Tax
ASSURED GTY		— Insured by Assured Guaranty
BAM		— Build America Mutual Assurance Co.
CAL MTG INS		— Insured by California Mortgage Insurance
COMWLTH GTD		— Commonwealth Guaranteed
COPS		— Certificates of Participation
ETM		— Escrowed to Maturity
FGIC		— Insured by Financial Guaranty Insurance Co.
FNMA		— Federal National Mortgage Association
GARB		— General Airport Revenue Bond
GNMA		— Government National Mortgage Association
GO		— General Obligation
IDA		— Industrial Development Authority
LIBOR		— London Interbank Offered Rate
MUN GOVT GTD		— Municipal Government Guaranteed
NATL-RE		— Insured by National Public Finance Guarantee Corp.
NATL-RE FGIC		— Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co.
NATL-RE-IBC		— Insured by National Public Finance Guarantee Corp. - Insured Bond Certificates
NR		— Not Rated
PCRB		— Pollution Control Revenue Bond
PSF-GTD		— Guaranteed by Permanent School Fund
Q-SBLF		— Qualified School Board Loan Fund
RB		— Revenue Bond
RITES		— Residual Interest Tax Exempt Securities
RMKT		— Remarketed
ST AID WITHHLDG		— State Aid Withholding
ST APPROP		— State Appropriation
WR		— Withdrawn Rating
XLCA		— Insured by XL Capital Assurance, Inc.


For information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FUTURES CONTRACT — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – 97.7%
Alabama – 2.9%
Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A (BBB/NR)
$	850,000		5.000	%	10/01/24	$ 971,082
	850,000		5.000		10/01/25	973,871
	4,125,000		5.000		10/01/30	4,457,970
Jefferson County Senior Lien Sewer RB Warrants Series 2013 C (AGM) (AA/A2)^(a)
	5,750,000		0.000		10/01/38	4,736,447
	6,000,000		0.000		10/01/42	4,909,260
Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR)
	8,300,000		6.000		10/01/42	9,745,777
	19,850,000		7.000		10/01/51	24,599,708
	78,270,000		6.500		10/01/53	94,073,496

						144,467,611

Alaska – 0.6%
Northern Tobacco Securitization Corp. RB Refunding Asset-Backed Bonds Series 2006 A (NR/B3)
	29,995,000		5.000		06/01/46	29,101,449
Northern Tobacco Securitization Corp. RB Refunding Capital Appreciation Asset-Backed Bonds 1st Subordinate Series 2006 B (NR/NR)^(b)
	4,280,000		0.000		06/01/46	419,483

						29,520,932

Arizona – 1.7%
Apache County IDA PCRB for Tucson Electric Power Company Series 2012 A (A-/A3)
	4,500,000		4.500		03/01/30	4,792,950
Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)^(c)
	54,030,000		1.579		01/01/37	46,844,550
City of Tempe IDA RB Refunding for Friendship Village Series 2012 A (NR/NR)
	1,250,000		6.250		12/01/42	1,309,488
	1,325,000		6.250		12/01/46	1,385,923
Maricopa County Arizona Pollution Control Corp. PCRB Refunding for El Paso Electric Co. Project Series 2009 A (BBB/Baa1)
	8,800,000		7.250		02/01/40	9,517,288
Maricopa County Arizona Pollution Control Corp. PCRB Refunding for Public Service Co. of New Mexico Palo Verde Project Series 2003 A (BBB+/Baa2)
	5,000,000		6.250		01/01/38	5,501,300
Pima County IDA RB Refunding for Tucson Electric Power Co. Project Series 2012 A (A-/A3)
	5,350,000		4.500		06/01/30	5,705,668
Pima County IDA RB Refunding for Tucson Electric Power Co. Project Series 2013 A (A-/A3)
	3,390,000		4.000		09/01/29	3,498,955
University Medical Center Corp. RB Series 2009 (NR/WR)^(d)
	500,000		6.250		07/01/19	548,680
	1,360,000		6.500		07/01/19	1,499,060
University Medical Center Corp. RB Series 2011 (NR/WR)^(d)
	3,500,000		6.000		07/01/21	4,107,180

						84,711,042

California – 16.3%
ABC Unified School District GO Bonds Series 2001 C (NATL-RE) (A+/Aa3)^(b)
	1,600,000		0.000		08/01/26	1,241,136


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Alameda Corridor Transportation Authority RB Refunding Second Subordinate Lien Series 2016 B (BBB+/Baa2)
$	5,825,000		5.000	%	10/01/36	$ 6,612,540
	4,850,000		5.000		10/01/37	5,489,181
Alameda County Oakland Unified School District GO Bonds Election of 2012 Series 2015 A (AA-/Aa3)
	3,000,000		5.000		08/01/40	3,441,030
Alhambra California Unified School District Election of 2008 GO Bonds Capital Appreciation for Elementary Schools Improvement District Series B (AGM) (AA/Aa2)^(b)
	4,995,000		0.000		08/01/37	2,287,260
Alvord Unified School District GO Bonds Capital Appreciation for 2007 Election Series 2007 B (AGM) (AA/A2)^(b)
	1,210,000		0.000		08/01/36	544,851
Atascadero Unified School District GO Bonds for 2014 Election Series 2014 B (NATL-RE) (A/Aa3)
	3,000,000		4.000		08/01/42	3,128,910
Calaveras Unified School District GO Bonds for Capital Appreciation Series 2000 (AGM) (AA/A2)^(b)
	1,055,000		0.000		08/01/25	836,942
California County Tobacco Securitization Agency Tobacco Settlement RB Capital Appreciation Subordinate Series 2006 C (NR/NR)^(b)
	130,120,000		0.000		06/01/55	9,624,976
California Health Facilities Financing Authority RB for El Camino Hospital Series 2017 (A+/A1)
	1,500,000		5.000		02/01/42	1,682,895
	4,000,000		5.000		02/01/47	4,467,000
California Municipal Finance Authority COPS for Community Hospitals of Central California Obligated Group Series 2009 (A-/Baa1)^(d)
	19,500,000		5.500		02/01/19	20,856,615
California Municipal Finance Authority RB for California Baptist University Series 2016 A (NR/NR)^(e)
	3,350,000		5.000		11/01/46	3,455,559
California Municipal Finance Authority RB for Community Medical Centers Series 2017 A (A-/Baa1)
	1,800,000		5.000		02/01/42	2,017,908
	17,675,000		5.000		02/01/47	19,724,770
California Pollution Control Financing Authority Water Furnishing RB for Poseidon Resources Series 2012 (AMT) (BBB-/Baa3)^(e)
	15,355,000		5.000		11/21/45	16,385,935
California State Various Purpose GO Bonds Series 2017 (AA-/Aa3)
	21,500,000		5.000		08/01/46	24,910,330
California Statewide Communities Development Authority Community Facilities District No. 2007-01 Special Tax Refunding for Orinda Wilder Project Series 2015 (NR/NR)
	2,000,000		5.000		09/01/30	2,185,880
	2,125,000		5.000		09/01/37	2,298,358
California Statewide Communities Development Authority RB for California Baptist University Series 2007 A (NR/NR)
	2,000,000		5.400		11/01/27	2,055,600
	11,850,000		5.500		11/01/38	12,177,415
California Statewide Communities Development Authority RB for Lancer Plaza Project Series 2013 (NR/NR)
	1,875,000		5.875		11/01/43	2,046,619
California Statewide Communities Development Authority RB for Methodist Hospital Project Series 2009 (FHA) (NR/WR)^(d)
	5,340,000		6.625		08/01/19	5,945,449


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
California Statewide Communities Development Authority RB Refunding for Loma Linda University Medical Center Series 2014 A (BB/NR)
$	10,705,000		5.250	%	12/01/34	$ 11,770,468
	6,235,000		5.500		12/01/54	6,828,884
California Statewide Communities Development Authority RB Refunding for Loma Linda University Medical Center Series 2016 A (BB/NR)^(e)
	9,750,000		5.250		12/01/56	10,647,292
California Statewide Financing Authority Tobacco Settlement RB Capital Appreciation for Turbo Pooled Program Series 2006 B (NR/NR)^(b)
	35,000,000		0.000		06/01/46	4,607,400
Capistrano Unified School District Special Tax for Capital Appreciation Series 2005 (NATL-RE) (A/A3)^(b)
	7,000,000		0.000		09/01/33	3,727,290
City of Davis Redevelopment Agency Tax Allocation for Davis Redevelopment Project Series 2011 A (A+/NR)
	750,000		6.500		12/01/26	909,180
	2,830,000		7.000		12/01/36	3,486,617
City of Fremont Community Facilities District No. 1 Special Tax for Pacific Commons Series 2015 (NR/NR)
	3,000,000		5.000		09/01/45	3,154,140
City of Goleta Redevelopment Agency Tax Allocation for Goleta Old Town Redevelopment Project Series 2011 (NR/NR)
	670,000		7.750		12/01/31	672,385
	5,000,000		8.000		06/01/44	5,018,600
City of Palo Alto Limited Obligation Refunding Improvement Bonds for University Avenue Area Off-Street Parking Assessment District Series 2012 (BBB/NR)
	600,000		5.000		09/02/30	647,670
Coachella Valley Unified School District GO Bonds Capital Appreciation Series 2012 D (AGM) (AA/WR)^(b)
	2,500,000		0.000		08/01/43	881,250
Coronado Community Development Agency Tax Allocation for Coronado Community Development Project Series 2005 (AMBAC) (A+/NR)
	175,000		5.000		09/01/20	175,455
Denair California Unified School District GO Bonds Capital Appreciation Election 2001 Series 2003 B (NATL-RE) (A/A3)^(b)
	1,305,000		0.000		08/01/27	978,502
El Rancho California Unified School District GO Bonds Capital Appreciation Election 2003 Series 2007 (NATL-RE) (A-/A3)^(b)
	5,400,000		0.000		08/01/32	3,089,502
Fairfield COPS Capital Appreciation for Water Financing Series 2007 A (XLCA) (AA-/WR)^(b)
	4,180,000		0.000		04/01/29	2,843,487
Folsom Cordova Unified School District No. 4 GO for School Facilities Improvement Capital Appreciation for Election of 2006 Series 2007 A (NATL-RE) (AA-/Aa3)^(b)
	3,360,000		0.000		10/01/32	1,942,214
Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Capital Appreciation Senior Lien Series 2015 A (AGM) (AA/A2)^(b)
	12,000,000		0.000		01/15/35	5,943,120
Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Series 2013 A (BBB-/Ba1)
	13,535,000		6.000		01/15/53	15,570,123
Foothill/Eastern Transportation Corridor Agency Toll Road RB Refunding Subseries B-3 (BBB-/Ba1)^(f)
	4,425,000		5.500		01/15/23	5,041,447


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Fullerton Public Financing Authority Tax Allocation Series 2005 (AMBAC) (A/WR)
$	200,000		5.000	%	09/01/27	$ 201,118
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 B (CCC+/NR)^(b)
	127,260,000		0.000		06/01/47	17,684,050
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds for Capital Appreciation Subseries 2007 C (CCC/NR)^(b)
	307,000,000		0.000		06/01/47	37,460,140
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2015 A (ST APPROP) (A+/A1)
	7,975,000		5.000		06/01/40	9,077,384
	58,010,000		5.000		06/01/45	65,637,735
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-1 (NR/B3)
	17,325,000		5.750		06/01/47	17,442,810
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Senior Asset-Backed Bonds Series 2007 A-2 (B/B3)
	27,780,000		5.300		06/01/37	28,269,761
Inland Empire Tobacco Securitization Authority RB Turbo Asset-Backed Bonds for Capital Appreciation Series 2007 C-1 (NR/NR)^(b)
	101,195,000		0.000		06/01/36	29,519,593
Inland Empire Tobacco Securitization Authority RB Turbo Asset-Backed Bonds for Capital Appreciation Series 2007 C-2 (NR/NR)^(b)
	71,235,000		0.000		06/01/47	9,784,840
Inland Empire Tobacco Securitization Authority RB Turbo Asset-Backed Bonds for Capital Appreciation Series 2007 D (NR/NR)^(b)
	260,660,000		0.000		06/01/57	13,236,315
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 A (NR/NR)
	1,655,000		5.000		09/01/47	1,849,016
	1,925,000		5.000		03/01/57	2,128,241
Lammersville Joint Unified School District Special Tax Bonds for Community Facilities District No. 2007-1 Series 2013 (NR/NR)
	2,750,000		6.000		09/01/43	3,152,022
Lemoore Redevelopment Agency Tax Allocation for Lemoore Redevelopment Project Series 2011 (A-/NR)
	215,000		6.625		08/01/24	215,583
Los Angeles County GO Bonds for Westside Union School District Election Series 2008 B (AA-/Aa3)^(b)
	49,925,000		0.000		08/01/50	12,514,700
Los Angeles Department of Airports RB Subordinate Series 2016 B (AMT) (AA-/A1)
	2,500,000		5.000		05/15/46	2,826,100
Lynwood Redevelopment Agency Tax Allocation for Housing Projects Series 2011 A (A-/NR)
	1,625,000		6.750		09/01/26	1,864,606
	1,500,000		7.000		09/01/31	1,718,670
	875,000		7.250		09/01/38	1,012,104
Merced-Union High School District Election of 2008 GO Bonds Series 2011 C (NR/Aa3)^(b)
	3,750,000		0.000		08/01/35	1,896,075
M-S-R Energy Authority Gas RB Series 2009 A (BBB+/NR)
	8,250,000		6.500		11/01/39	11,690,745
M-S-R Energy Authority Gas RB Series 2009 B (BBB+/NR)
	2,000,000		6.500		11/01/39	2,834,120


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
M-S-R Energy Authority Gas RB Series 2009 C (BBB+/NR)
$	10,000,000		6.125	%	11/01/29	$ 12,816,700
	13,500,000		6.500		11/01/39	19,130,310
Mt. Diablo Unified School District GO Bonds Capital Appreciation for Election of 2010 Series 2010 A (AGM) (AA/Aa2)^(a)
	7,000,000		0.000		08/01/30	6,533,590
Natomas Unified School District GO Bonds Election of 2014 Series 2013 (BAM) (AA/A1)
	14,535,000		4.000		08/01/42	14,992,562
New Haven Unified School District GO Refunding Bonds for Capital Appreciation Series 2009 (ASSURED GTY) (AA/Aa3)^(b)
	860,000		0.000		08/01/25	690,993
	1,105,000		0.000		08/01/26	851,049
	5,550,000		0.000		08/01/30	3,599,841
	7,830,000		0.000		08/01/32	4,648,671
	7,000,000		0.000		08/01/34	3,788,050
Orange County California Community Facilities District No. 2015-1 Village of Esencia Special Tax Bonds Series 2015 A (NR/NR)
	3,000,000		5.250		08/15/45	3,336,390
Palomar Pomerado Health COPS Series 2009 (BB+/Ba1)^(d)
	16,000,000		6.750		11/01/19	18,068,320
Palomar Pomerado Health COPS Series 2010 (BBB-/Ba1)
	6,500,000		6.000		11/01/41	7,036,510
Palomar Pomerado Health GO Bonds Capital Appreciation for Election of 2004 Series 2009 A (ASSURED GTY) (AA/A2)^(a)
	10,750,000		0.000		08/01/38	12,901,183
Placer Union High School District GO Bonds for Capital Appreciation Series 2000 A (NATL-RE) (AA-/Aa2)^(b)
	1,805,000		0.000		08/01/25	1,472,393
Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016 (NR/NR)
	500,000		4.000		09/01/29	523,810
	500,000		4.000		09/01/30	522,610
	650,000		4.000		09/01/31	676,273
	900,000		3.000		09/01/32	845,379
	820,000		3.000		09/01/33	759,156
	750,000		3.000		09/01/34	685,537
Rialto Unified School District GO Election of 2010 Series 2011 A (AGM) (AA/A1)^(b)
	6,170,000		0.000		08/01/36	3,005,901
River Islands Public Financing Authority Community Facilities District No. 2003-1 Special Tax Refunding Bonds Series 2015 A-1 (NR/NR)
	4,835,000		5.375		09/01/31	5,192,210
	880,000		5.250		09/01/34	931,515
	6,815,000		5.500		09/01/45	7,285,371
River Islands Public Financing Authority Special Tax for Community Facilities District No. 2003-1 Series 2015 B (NR/NR)
	22,500,000		5.500		09/01/45	24,074,550
Riverside County Public Financing Authority Tax Allocation RB Refunding Series 2017 A (BAM) (AA/NR)
	4,245,000		4.000		10/01/40	4,400,197


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Riverside County Redevelopment Agency Tax Allocation for Capital Appreciation Jurupa Valley Redevelopment Project Area Series 2011 B (A/NR)^(b)
$	2,220,000		0.000	%	10/01/33	$ 1,206,725
	2,220,000		0.000		10/01/35	1,095,659
	1,840,000		0.000		10/01/37	832,140
	5,100,000		0.000		10/01/38	2,199,375
	8,425,000		0.000		10/01/39	3,476,998
	13,395,000		0.000		10/01/40	5,252,313
	7,275,000		0.000		10/01/41	2,733,436
	6,360,000		0.000		10/01/42	2,289,409
Riverside County Redevelopment Agency Tax Allocation for Jurupa Valley Redevelopment Project Area Series 2011 B (A/NR)
	1,225,000		6.500		10/01/25	1,468,750
	1,950,000		6.750		10/01/30	2,352,558
Riverside County Redevelopment Successor Agency Tax Allocation Refunding for Mid-County Redevelopment Project Area Series 2017 C (BAM) (AA/NR)
	3,355,000		4.000		10/01/40	3,483,497
Riverside County Redevelopment Successor Agency Tax Allocation Refunding Series 2017 A (BAM) (AA/NR)
	8,585,000		4.000		10/01/39	8,928,743
Riverside County Transportation Commission Toll Revenue Senior Lien Bonds Series 2013 A (BBB-/NR)
	2,000,000		5.750		06/01/48	2,231,260
Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Project Series 2017 (NR/NR)
	770,000		5.000		09/01/29	883,552
	1,865,000		5.000		09/01/33	2,090,367
Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007 B (NATL-RE FGIC) (AA/Aa3)^(c)
	2,625,000		1.335		12/01/35	2,343,863
Sacramento County Water Financing Authority RB for Water Agency Zones 40 & 41 2007 Water System Project Series 2007 B (NATL-RE) (A+/Aa3)^(c)
	330,000		1.355		06/01/34	301,547
San Bernardino City Unified School District GO Bonds Capital Appreciation for Election of 1999 Series 2003 C (NATL-RE) (A/A2)^(b)
	1,420,000		0.000		08/01/25	1,145,486
San Diego Unified School District GO Refunding Bonds Series 2012 R-1 (AA-/Aa2)^(b)
	10,000,000		0.000		07/01/30	6,470,900
	3,000,000		0.000		07/01/31	1,851,660
San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay North Redevelopment Series 2011 C (A-/NR)^(d)
500,000			6.750		02/01/21	597,640
San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South Redevelopment Series 2009 D (BBB+/NR)^(d)
	750,000		6.250		08/01/19	828,480
	555,000		6.375		08/01/19	614,490
	305,000		6.500		08/01/19	338,471
	1,000,000		6.625		08/01/19	1,112,290
San Francisco City & County Redevelopment Financing Authority Tax Allocation for Mission Bay South Redevelopment Series 2011 D (BBB+/NR)^(d)
	435,000		6.625		02/01/21	518,050
	2,500,000		7.000		02/01/21	3,010,000


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
San Joaquin Hills Transportation Corridor Agency RB Refunding for Toll Road Senior Lien Series 2014 A (BBB/NR)
$	3,000,000		5.000	%	01/15/29	$ 3,453,780
San Juan Unified School District GO Bonds for Capital Appreciation Series 2000 (NATL-RE) (A+/Aa2)^(b)
	1,580,000		0.000		08/01/24	1,338,513
	1,595,000		0.000		08/01/25	1,300,052
San Mateo Special Tax Bonds for Community Facilities District No. 2008-1 Bay Meadows Series 2013 (NR/NR)
	2,000,000		5.000		09/01/42	2,100,740
San Mateo Special Tax Bonds for Community Facilities District No. 2008-1 Bay Meadows Series 2014 (NR/NR)
	2,000,000		5.500		09/01/44	2,140,260
Santa Monica Redevelopment Agency Tax Allocation for Earthquake Recovery Redevelopment Project Series 2011 (AA/NR)
	2,000,000		5.000		07/01/32	2,259,920
	2,000,000		5.000		07/01/42	2,241,020
Santee Community Development Commission Tax Allocation for Santee Community Redevelopment Project Series 2011 A (A/NR)^(d)
	3,000,000		7.000		02/01/21	3,606,150
Stockton Public Financing Authority Water RB for Delta Water Supply Project Series 2010 A (A/A3)
	2,000,000		6.250		10/01/40	2,444,720
Tejon Ranch Public Facilities Financing Authority Special Tax for Community Facilities District No. 2008-1 Industrial Complex Public Improvements Series 2012 B (NR/NR)
	4,000,000		5.250		09/01/42	4,223,600
Temecula Redevelopment Agency Tax Allocation for Housing Redevelopment Project No. 1 Series 2011 A (BBB+/NR)
	1,000,000		6.750		08/01/31	1,177,870
	2,100,000		7.000		08/01/39	2,495,682
Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1 (B-/B3)
	6,850,000		5.375		06/01/38	6,849,863
	4,200,000		5.500		06/01/45	4,199,958
Tobacco Securitization Authority Southern California Tobacco Settlement RB Senior Asset-Backed Bonds for San Diego County Tobacco Asset Securitization Corp. Series 2006 A-1 (BB+/B2)
	2,235,000		5.000		06/01/37	2,235,134
Tustin California Community Facilities District No. 2014-1 Tustin Legacy/Standard Pacific Special Tax Bonds Series 2015 A (NR/NR)
	750,000		5.000		09/01/40	832,530
	1,000,000		5.000		09/01/45	1,105,550
Union City Community Redevelopment Agency Tax Allocation for Community Redevelopment Project Sub Lien Series 2011 (A+/NR)^(d)
	1,500,000		6.875		12/01/21	1,857,420
University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)^(c)
	12,000,000		1.532		05/15/43	10,129,200
West Hollywood Community Development Commission Tax Allocation for East Side Redevelopment Project Series 2011 A (A-/NR)
	1,000,000		7.250		09/01/31	1,213,970
	5,000,000		7.500		09/01/42	6,081,550
William S. Hart Union High School District GO Bonds Capital Appreciation 2008 Election Series B (AGM) (AA/Aa2)^(b)
	8,360,000		0.000		08/01/34	4,396,942


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Yosemite Community College District GO Bonds Election of 2004 Series 2010 D (AA-/Aa2)^(a)
$	19,135,000		0.000	%	08/01/42	$ 12,995,153

						812,474,220

Colorado – 3.3%
Belleview Station Metropolitan District No. 2 GO Refunding & Improvement Bonds Series 2017 (NR/NR)
	2,375,000		5.125		12/01/46	2,422,500
Canyons Metropolitan District No. 5 GO Refunding & Improvement Bonds Senior Series 2017 A (NR/NR)
	1,750,000		6.000		12/01/37	1,768,270
	4,000,000		6.125		12/01/47	4,042,840
Canyons Metropolitan District No. 5 GO Refunding & Improvement Bonds Series 2017 A (NR/NR)
	2,000,000		6.125		12/01/47	1,995,740
Centerra Metropolitan District No. 1 Special RB Refunding & Improvement Bonds Series 2017 (NR/NR)
	6,500,000		5.000		12/01/47	6,539,585
Colorado Crossing Metropolitan District No. 2 Limited Property Tax Supported RB Series 2017 (NR/NR)^(g)
	7,390,000		7.500		12/01/47	7,385,196
Colorado Health Facilities Authority RB for Covenant Retirement Communities, Inc. Series 2012 A (BBB+/NR)
	3,500,000		4.500		12/01/33	3,541,195
	3,500,000		5.000		12/01/33	3,750,950
Colorado Health Facilities Authority RB for Covenant Retirement Communities, Inc. Series 2013 A (BBB+/NR)
	3,000,000		5.750		12/01/36	3,402,480
Colorado Health Facilities Authority RB for The Evangelical Lutheran Good Samaritan Society Project Series 2013 (BBB+/Baa2)
	3,000,000		5.625		06/01/43	3,249,030
Colorado High Performance Transportation Enterprise C-470 Express Lanes RB Series 2017 (BBB/NR)
	965,000		5.000		12/31/47	1,066,286
	965,000		5.000		12/31/51	1,058,267
	1,925,000		5.000		12/31/56	2,097,827
Colorado Regional Transportation District Tax-Exempt Private Activity RB for Denver Transit Partners Eagle P3 Project Series 2010 (BBB+/Baa3)
	12,860,000		6.000		01/15/41	14,159,503
Copperleaf Metropolitan District No. 2 Limited Tax Convertible to Unlimited Tax GO Refunding (NR/NR)
	500,000		5.250		12/01/30	523,185
	2,000,000		5.750		12/01/45	2,085,660
Cornerstar Metropolitan District GO Refunding Bonds Series 2017 A (NR/NR)
	1,000,000		5.125		12/01/37	1,039,030
	2,100,000		5.250		12/01/47	2,177,847
Cross Creek Metropolitan District No. 2 GO Refunding Bonds Limited Tax Series 2006 (NR/NR)^(c)
	4,500,000		5.000		12/01/37	4,466,610
Denver Colorado City & County Special Facilities Airport RB Refunding for United Air Lines, Inc. Project Series 2007 A (AMT) (BB-/Ba3)
	925,000		5.250		10/01/32	929,505
	7,000,000		5.750		10/01/32	7,043,890
Denver Colorado Health and Hospital Authority Healthcare RB Series 2007 B (BBB/NR)^(c)
	16,520,000		1.905		12/01/33	14,660,344
Dominion Water & Sanitation District Tap Fee RB Series 2016 (NR/NR)
	6,000,000		5.750		12/01/36	6,203,820
	10,345,000		6.000		12/01/46	10,721,868


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Colorado – (continued)
E-470 Public Highway Authority RB Refunding Capital Appreciation Series 2006 B (NATL-RE) (A/A3)^(b)
$	3,000,000		0.000	%	09/01/39	$ 1,094,430
E-470 Public Highway Authority RB Series 2004 A (NATL-RE) (A/A3)^(b)
	15,000,000		0.000		09/01/28	10,527,450
	4,100,000		0.000		09/01/34	2,189,810
E-470 Public Highway Authority RB Series 2004 B (NATL-RE) (A/A3)^(b)
	1,715,000		0.000		09/01/28	1,025,810
E-470 Public Highway Authority RB Series 2010 A (A-/A3)^(b)
	20,000,000		0.000		09/01/40	7,571,000
High Plains Metropolitan District GO Refunding Bonds Series 2017 (NATL-RE) (A/Baa2)
	475,000		5.000		12/01/35	546,502
	2,400,000		4.000		12/01/47	2,408,040
Leyden Rock Metropolitan District No. 10 Limited Tax GO Refunding & Improvement Bonds Series 2016 A (NR/NR)
	1,250,000		5.000		12/01/45	1,259,162
North Range Metropolitan District No. 2 GO Refunding Bonds Series 2017 A (NR/NR)
	3,270,000		5.625		12/01/37	3,294,819
	5,380,000		5.750		12/01/47	5,422,395
Palisade Metropolitan District No. 2 GO Refunding Limited Tax Bonds Series 2016 (NR/NR)
	2,135,000		4.375		12/01/31	2,017,960
	1,825,000		5.000		12/01/46	1,762,238
Park Meadows Business Improvement District RB Series 2007 (NR/NR)
	475,000		5.300		12/01/27	478,838
	720,000		5.350		12/01/31	725,933
Plaza Metropolitan District No. 1 RB Refunding Series 2013 (NR/NR)^(e)
	1,000,000		5.000		12/01/40	1,037,780
Public Authority for Colorado Energy RB for Natural Gas Purchase Series 2008 (BBB+/Baa1)
	4,000,000		6.500		11/15/38	5,650,800
Sierra Ridge Metropolitan District No. 2 Douglas County GO Bonds Series 2016 A (NR/NR)
	750,000		4.500		12/01/31	739,800
	1,500,000		5.500		12/01/46	1,539,315
Southglenn Metropolitan District Special RB Refunding Series 2016 (NR/NR)
	1,535,000		5.000		12/01/30	1,593,575
	810,000		5.000		12/01/36	821,972
	2,100,000		5.000		12/01/46	2,114,112
Vista Ridge Metropolitan District GO Refunding Bonds Limited Tax Subseries 2006 B (NR/NR)^(a)(d)
	1,725,000		0.000		12/01/21	2,246,726
Windshire Park Metropolitan District No. 2 GO Refunding & Improvement Bonds Senior Series 2017 A (NR/NR)
	1,500,000		6.500		12/01/47	1,633,380

						164,033,275

Connecticut – 0.4%
Mohegan Tribal Finance Authority Tribal RB Economic Development Bonds Series 2015 (B-/NR)^(e)
	20,675,000		7.000		02/01/45	21,650,446
Town of Hamden Refunding GO Series 2013 (AGM) (AA/A2)
	500,000		5.000		08/15/23	583,020

						22,233,466


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Delaware – 0.2%
Bridgeville Delaware Special Obligation Special Tax for Heritage Shores Special Development District Series 2005 A (NR/NR)
$	5,464,000		5.450	%	07/01/35	$ 5,463,563
Delaware Economic Development Authority Gas Facilities RB Refunding for Delmarva Power & Light Co. Project Series 2010 (BBB+/Baa1)
	3,000,000		5.400		02/01/31	3,263,820
Delaware Economic Development Authority RB for Indian River Power LLC Project Series 2010 (NR/Baa3)
	2,050,000		5.375		10/01/45	2,130,216

						10,857,599

District of Columbia – 1.6%
District of Columbia GO Refunding Bonds Series 2017 A (AA/Aa1)
	5,485,000		4.000		06/01/37	5,849,972
Metropolitan Washington DC Airports Authority Dulles Toll Road RB Second Senior Lien Capital Appreciation for Dulles Metrorail and Capital Improvement Project Series 2009 C (ASSURED GTY) (AA/A3)
	25,000,000		6.500		10/01/41	32,292,250
Metropolitan Washington DC Airports Authority Dulles Toll Road RB Second Senior Lien Capital Appreciation for Dulles Metrorail and Capital Improvement Project Series 2010 B (BBB+/Baa1)^(a)
	37,100,000		0.000		10/01/44	43,652,973

						81,795,195

Florida – 11.6%
Amelia National Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)
	3,680,000		6.300		05/01/35	3,682,318
Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB-/NR)
	1,725,000		3.500		05/01/31	1,599,299
	2,170,000		3.750		05/01/36	1,977,651
Arborwood Community Development District RB Capital Improvement for Master Infrastructure Projects Series 2005 A-2 (NR/NR)
	13,840,000		5.350		05/01/36	13,863,113
Arborwood Community Development District Special Assessment Capital Improvement for Centex Homes Project Series 2006 A-2 (NR/NR)
	195,000		5.250		05/01/36	195,347
Arborwood Community Development District Special Assessment Capital Improvement for Centex Homes Project Series 2006 A-3 (NR/NR)
	2,695,000		5.500		05/01/36	2,701,037
Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B (NR/NR)
	8,840,000		6.900		05/01/25	9,646,385
Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B A-1 (NR/NR)
	3,965,000		6.900		05/01/36	4,444,051
Arborwood Community Development District Special Assessment Capital Improvement Refunding Series 2014 B A-2 (NR/NR)
	1,015,000		6.900		05/01/36	1,137,632
Avalon Groves Community Development District Special Assessment for Assessment Area One Project Series 2017 (NR/NR)
	750,000		5.750		05/01/48	758,497


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Avalon Groves Community Development District Special Assessment for Assessment Area Two Project Series 2017 A-1 (NR/NR)
$	1,850,000		6.000	%	05/01/48	$ 1,842,082
Avalon Groves Community Development District Special Assessment for Assessment Area Two Project Series 2017 A-2 (NR/NR)
	1,700,000		6.000		05/01/29	1,692,724
Avelar Creek Community Development District Special Assessment Refunding Series 2016 (BBB+/NR)
	1,070,000		3.625		05/01/31	1,049,970
Babcock Ranch Community Independent Special District Special Assessment RB Series 2015 (NR/NR)
	2,380,000		5.250		11/01/46	2,400,563
Bannon Lakes Community Development District Special Assessment RB Series 2016 (NR/NR)
	375,000		4.500		11/01/25	382,991
	1,000,000		5.000		11/01/36	1,021,990
	1,850,000		5.000		11/01/48	1,846,966
Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida Senior Lien Series 2015 A-1 (BBB+/NR)
	1,970,000		4.250		05/01/29	2,087,767
Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Subordinate Lien Series 2015 A-2 (NR/NR)
	1,000,000		5.000		05/01/35	991,780
Bay Laurel Center Community Development District Special Assessment RB Refunding Series 2016 Candler (BBB+/NR)
	985,000		3.750		05/01/31	980,026
	1,140,000		4.000		05/01/37	1,124,587
Bellagio Community Development District Special Assessment Bonds Series 2013 (BBB-/NR)
	760,000		6.000		11/01/27	853,564
	490,000		3.750		11/01/31	466,431
	3,000,000		6.500		11/01/43	3,604,320
	1,500,000		4.125		11/01/46	1,345,830
Belmont Community Development District Capital Improvement Phase 1 Project Series 2013 A (NR/NR)
	775,000		6.125		11/01/33	851,330
	1,000,000		6.500		11/01/43	1,105,570
Bexley Community Development District Special Assessment Bonds Series 2016 (NR/NR)
	390,000		3.500		05/01/21	389,575
	500,000		4.100		05/01/26	492,700
	1,755,000		4.700		05/01/36	1,714,179
	3,200,000		4.875		05/01/47	3,075,840
Brevard County Health Facilities Authority RB for Health First, Inc. Project Series 2009 (A/A2)^(d)
4,750,000			7.000		04/01/19	5,227,042
Bridgewater Community Development District Special Assessment Refunding Bonds for Assessment Area Two Series 2015 (NR/NR)
	7,830,000		5.750		05/01/35	8,123,312
Centre Lake Community Development District Special Assessment Series 2016 (NR/NR)
	375,000		4.125		12/15/27	370,448
	500,000		4.500		12/15/32	488,555
	975,000		4.700		12/15/37	938,993


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Century Parc Community Development District Special Assessment Refunding Series 2012 (A-/NR)
$	200,000		3.500	%	11/01/20	$ 209,782
	210,000		3.750		11/01/21	223,159
	215,000		3.875		11/01/22	227,835
	25,000		4.000		11/01/23	26,624
	1,705,000		4.500		11/01/31	1,817,223
Charlotte County Industrial Development Authority Utility System RB for Town & Country Utilities Project Series 2015 (AMT) (NR/NR)^(e)
	500,000		5.500		10/01/36	487,790
City of Cape Coral Water & Sewer RB Refunding Series 2015 (A/A1)
	1,750,000		4.000		10/01/34	1,823,518
CityPlace Community Development District Special Assessment RB Refunding Series 2012 (A/NR)
2,250,000			5.000		05/01/26	2,550,892
Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1 (BBB-/NR)
	2,995,000		3.500		05/01/32	2,749,739
	1,500,000		3.625		05/01/35	1,383,615
	1,750,000		3.750		05/01/46	1,526,368
Concord Station Community Development District Capital Improvement RB Refunding Subordinate Lien Series 2016 A-2 (NR/NR)
	635,000		4.125		05/01/26	599,192
	945,000		4.625		05/01/35	895,983
	300,000		4.750		05/01/46	280,356
Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)^(h)
	3,305,000		5.850		05/01/35	33
Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2004 B (NR/NR)^(h)
	3,980,000		5.000		05/01/11	40
Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 A-1 (NR/NR)
	3,565,000		5.850		05/01/35	3,570,347
Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 A-2 (NR/NR)
	2,290,000		5.850		05/01/35	2,046,367
Concorde Estates Community Development District Special Assessment for Capital Improvement Series 2011 B (NR/NR)^(b)
	5,670,000		0.000		11/01/17	5,669,263
Coronado Community Development District Special Assessment Refunding & Improvement Bonds Series 2017 (BBB/NR)
	782,000		4.000		05/01/31	782,250
	1,407,000		4.250		05/01/38	1,419,311
Country Walk Community Development District Special Assessment RB Refunding Senior Lien Series 2015 A-1 (A-/NR)
	960,000		3.750		05/01/29	967,882
Durbin Crossing Community Development District Special Assessment Refunding Senior Series 2017 A-1 (AGM) (AA/NR)
	3,110,000		3.750		05/01/34	3,143,028
	4,300,000		4.000		05/01/37	4,415,928


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Escambia County Health Facilities Authority Health Care Facilities RB for Baptist Hospital, Inc. Project Series 2010 A (A-/A3)
$	27,000,000		6.000	%	08/15/36	$ 29,928,150
Estancia at Wiregrass Community Development District Capital Improvement RB Series 2013 (NR/NR)
	1,185,000		6.375		11/01/26	1,318,170
	3,245,000		7.000		11/01/45	3,751,642
Estancia at Wiregrass Community Development District Capital Improvements RB Series 2015 (NR/NR)
	1,000,000		5.250		11/01/35	1,007,570
	1,500,000		5.375		11/01/46	1,481,880
Fishhawk Community Development District II Special Assessment RB Refunding Series 2013 A (A-/NR)
	1,480,000		4.375		05/01/34	1,506,181
Florida Higher Educational Facilities Financing Authority RB Refunding for Nova Southeastern University Project Series 2012 A (A-/NR)
	600,000		5.000		04/01/32	668,856
	5,820,000		5.250		04/01/42	6,544,299
Fontainbleau Lakes Community Development District Special Assessment RB Refunding Series 2016 (BBB+/NR)
	700,000		4.000		05/01/31	716,268
	1,000,000		4.125		05/01/38	1,004,580
Greater Orlando Aviation Authority Airport Facilities RB Refunding for Jetblue Airways Corp. Project Series 2013 (AMT) (NR/NR)
	3,165,000		5.000		11/15/26	3,341,385
	5,000,000		5.000		11/15/36	5,166,200
Hacienda Lakes Community Development District Special Assessment Refunding Series 2016 (NR/NR)
	1,525,000		4.500		05/01/36	1,448,674
	2,305,000		4.625		05/01/46	2,180,345
Hawks Point Community Development District Special Assessment Refunding Senior Series 2017 A-1 (BBB+/NR)^(e)(g)
	1,725,000		4.000		05/01/31	1,794,966
	1,335,000		4.250		05/01/35	1,383,487
	1,810,000		4.250		05/01/39	1,862,074
Heritage Harbour Market Place Community Development District Special Assessment for Capital Improvement Series 2005 (NR/NR)^(h)
	7,555,000		5.600		05/01/36	3,777,500
Heritage Harbour North Community Development District Special Assessment Series 2014 (NR/NR)
	1,000,000		5.000		05/01/34	1,018,120
	2,170,000		5.125		05/01/45	2,211,772
Heritage Harbour South Community Development District RB Refunding for Senior Lien Capital Improvement Series 2013 A-1 (A/NR)
	500,000		5.050		05/01/31	545,685
	500,000		5.150		05/01/34	511,050
Heritage Isle at Viera Community Development District Special Assessment Refunding Series 2017 (AGM) (AA/NR)^(g)
	1,540,000		3.400		05/01/37	1,481,819
Heritage Isle at Viera Community Development District Special Assessment Series 2005 (NR/NR)
	4,990,000		5.550		05/01/37	4,990,200
Heritage Lake Park Community Development District Special Assessment Series 2005 (NR/NR)
	2,125,000		5.700		05/01/36	2,132,714
Heritage Landing Community Development District Special Assessment Refunding Bonds Series 2015 (BBB/NR)
	2,205,000		4.200		05/01/31	2,275,472
	2,000,000		4.350		05/01/36	1,992,260


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
$	1,000,000		4.250	%	05/01/31	$ 1,003,600
	2,150,000		4.250		05/01/36	2,068,923
Islands at Doral III Community Development District Special Assessment Refunding Series 2013 (A-/NR)
	2,500,000		4.125		05/01/35	2,539,350
Lakewood Ranch Stewardship District Special Assessment for Lake Club Project Series 2005 (NR/NR)
	285,000		7.210		11/01/20	298,606
Lakewood Ranch Stewardship District Special Assessment for Lake Club Project Series 2006 B (NR/NR)
	655,000		6.770		11/01/20	677,650
Lakewood Ranch Stewardship District Special Assessment RB for Country Club East Project Series 2013 A (NR/NR)
	2,270,000		6.700		05/01/33	2,502,266
	4,830,000		7.000		05/01/43	5,389,652
Lakewood Ranch Stewardship District Special Assessment RB for Country Club East Project Series 2014 (NR/NR)
	6,340,000		5.600		05/01/44	6,713,806
Lakewood Ranch Stewardship District Special Assessment RB for Del Webb Project Series 2017 (NR/NR)^(e)
	1,000,000		5.000		05/01/37	1,004,550
	2,390,000		5.125		05/01/47	2,398,054
Lakewood Ranch Stewardship District Special Assessment RB for Lakewood Centre & NW Sector Project Series 2011 (NR/NR)
	19,440,000		8.000		05/01/40	22,754,909
Lakewood Ranch Stewardship District Special Assessment RB for Lakewood National & Polo Run Projects Series 2017 (NR/NR)
	800,000		4.000		05/01/22	804,992
	1,125,000		4.625		05/01/27	1,137,971
	2,500,000		5.250		05/01/37	2,538,150
	5,825,000		5.375		05/01/47	5,924,549
Lakewood Ranch Stewardship District Special Assessment RB for Villages of Lakewood Ranch South Project Series 2016 (NR/NR)
	2,315,000		4.000		05/01/21	2,340,349
	1,335,000		4.250		05/01/26	1,343,704
	3,775,000		5.000		05/01/36	3,838,496
	14,885,000		5.125		05/01/46	14,806,258
Lee County IDA Health Care Facilities RB Refunding for Shell Point Project Series 2011 B (BBB/NR)
	2,600,000		6.500		11/15/31	2,935,036
Longleaf Community Development District Special Assessment Refunding Series 2005 (NR/NR)
	4,230,000		5.400		05/01/30	3,783,227
Longleaf Community Development District Special Assessment Refunding Series 2006 (NR/NR)^(h)
	2,635,000		5.375		05/01/30	2,623,933
Marshall Creek Community Development District Special Assessment Refunding Series 2015 A (NR/NR)
	1,940,000		5.000		05/01/32	1,922,753
Meadow Pointe IV Community Development District RB for Capital Improvement Series 2005 (NR/NR)^(h)
	880,000		5.250		05/01/15	9
Meadow Pointe IV Community Development District RB for Capital Improvement Series 2007 B (NR/NR)^(h)
	1,380,000		6.150		11/01/14	14
Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 A-1 (NR/NR)
	410,000		6.000		05/01/36	404,412


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 A-2 (NR/NR)
$	795,000		6.250	%	05/01/38	$ 831,634
Meadow Pointe IV Community Development District RB for Capital Improvement Series 2012 B (NR/NR)
	610,000		6.810		05/01/20	613,477
Meadow Pointe IV Community Development District RB for Capital Improvement Series 2014 A (NR/NR)
	630,000		7.250		05/01/35	700,239
Meadow Pointe IV Community Development District RB for Capital Improvement Series 2014 B (NR/NR)
	490,000		7.250		05/01/22	536,212
Meadow Pointe IV Community Development District Special Assessment for Capital Improvement Series 2005 (NR/NR)^(h)
	1,075,000		5.250		05/01/15	11
Miami Beach Health Facilities Authority Hospital RB Refunding for Mount Sinai Medical Center of Florida Series 2014 (BBB+/Baa1)
	1,500,000		5.000		11/15/39	1,628,565
Miami Special Obligation RB Refunding for Port of Miami Tunnel Project Series 2012 (A+/A1)^(e)
	11,760,000		5.000		03/01/30	13,400,285
Miami World Center Community Development District Special Assessment Bonds Series 2017 (NR/NR)
	600,000		4.000		11/01/23	613,974
	600,000		4.750		11/01/27	628,554
	4,000,000		5.125		11/01/39	4,177,440
	4,135,000		5.250		11/01/49	4,364,658
Midtown Miami Community Development District Special Assessment RB Refunding for Parking Garage Project Series 2014 A (NR/NR)
	3,455,000		5.000		05/01/29	3,669,452
	3,265,000		5.000		05/01/37	3,443,236
Miromar Lakes Community Development District RB Refunding for Capital Improvement Series 2015 (NR/NR)
	3,265,000		5.000		05/01/28	3,393,314
	2,000,000		5.000		05/01/35	1,992,860
Monterra Community Development District Special Assessment Refunding Bonds Series 2015 (AGM) (AA/NR)
	1,820,000		3.500		05/01/36	1,795,212
Naples Reserve Community Development District Special Assessment Bonds Series 2014 (NR/NR)
	750,000		5.250		11/01/35	765,007
	1,250,000		5.625		11/01/45	1,276,450
New River Community Development District Special Assessment RB for Capital Improvement Series 2010 A-1 (NR/NR)
	1,910,000		5.750		05/01/38	1,911,012
New River Community Development District Special Assessment RB for Capital Improvement Series 2010 B-1 (NR/NR)
	225,000		5.000		05/01/19	225,527
New River Community Development District Special Assessment Series 2006 B (NR/NR)^(h)
	3,260,000		5.000		05/01/13	33
Orlando Florida Community Redevelopment Agency Tax Increment RB Refunding for Conroy Road District Series 2012 (A-/NR)
	1,680,000		5.000		04/01/24	1,852,217
	1,765,000		5.000		04/01/25	1,937,687
	1,005,000		5.000		04/01/26	1,097,259
Overoaks Community Development District RB for Capital Improvement Series 2010 A-1 (NR/NR)
	945,000		6.125		05/01/35	946,106
Overoaks Community Development District RB for Capital Improvement Series 2010 A-2 (NR/NR)
	1,310,000		6.125		05/01/35	1,311,533


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Overoaks Community Development District Special Assessment for Capital Improvement Series 2004 A (NR/NR)^(h)
$	1,200,000		5.125	%	05/01/09	$ 372,000
	210,000		6.125		05/01/35	65,100
Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016 (BBB/NR)
	3,155,000		3.750		05/01/31	3,168,787
	2,040,000		4.000		05/01/36	2,041,245
Panther Trace II Community Development District Special Assessment RB Refunding Series 2014 (AGM) (AA/NR)
	530,000		4.125		05/01/35	541,172
Paseo Community Development District Capital Improvement Revenue Bonds Capital Appreciation Series 2011 A-2 (NR/NR)^(b)
	15,205,000		0.000		05/01/36	5,707,501
Paseo Community Development District Capital Improvement Revenue Bonds Special Assessment Series 2011 A-1 (NR/NR)
	1,930,000		5.400		05/01/36	1,933,590
Paseo Community Development District RB for Capital Improvement Series 2005 A (NR/NR)^(h)
	6,355,000		5.400		05/01/36	64
Paseo Community Development District RB for Capital Improvement Series 2005 B (NR/NR)^(h)
	3,670,000		4.875		05/01/10	37
Paseo Community Development District RB for Capital Improvement Series 2006 (NR/NR)^(h)
	2,600,000		5.000		02/01/11	26
Portofino Isles Community Development District Special Assessment RB Refunding Series 2013 (BBB-/NR)
	2,805,000		4.750		05/01/33	2,888,112
Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 1 (NR/NR)
	3,125,000		6.600		05/01/33	3,204,500
Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 2 (NR/NR)
	855,000		6.600		05/01/36	870,570
Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 3 (NR/NR)
	2,560,000		6.600		05/01/33	2,610,816
Reunion East Community Development District Special Assessment Refunding Bonds Series 2015 A (NR/NR)
	3,070,000		5.000		05/01/25	3,263,564
	6,840,000		5.000		05/01/33	7,145,474
Reunion East Community Development District Special Assessment Series 2002 A-2 (NR/NR)^(h)
	2,170,000		7.200		05/01/22	22
River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB+/NR)
	2,395,000		4.000		05/01/31	2,450,660
River Hall Community Development District Special Assessment for Capital Improvement Series 2011 A (NR/NR)
	4,780,000		5.450		05/01/36	4,648,120
Sandy Creek Community Development District Special Assessment Refunding Series 2007 B (NR/NR)
	1,370,000		5.500		05/01/20	1,363,191
Sarasota County Public Hospital District RB for Sarasota Memorial Hospital Project Series 2009 A (AA-/A1)
	1,500,000		5.625		07/01/39	1,608,090
South Kendall Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
	1,345,000		4.250		11/01/37	1,354,200
	330,000		4.125		11/01/40	322,007


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
South Kendall Community Development District Special Assessment Series 2010 A (NR/NR)^(d)
$	1,890,000		6.200	%	11/01/17	$ 1,921,469
South Village Community Development District Capital Improvement and Special Assessment Refunding Senior Lien Series 2016 A-1 (BBB/NR)
	805,000		3.500		05/01/32	761,160
	505,000		3.625		05/01/35	471,220
	1,020,000		3.750		05/01/38	949,957
South Village Community Development District Capital Improvement and Special Assessment Refunding Subordinate Lien Series 2016 A-2 (NR/NR)
	645,000		4.350		05/01/26	617,575
	500,000		4.875		05/01/35	463,410
	95,000		5.000		05/01/38	93,186
South-Dade Venture Community Development District Special Assessment RB Refunding Series 2013 (NR/NR)
	2,015,000		5.250		05/01/34	2,144,303
Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011 A-1 (NR/NR)
	3,990,000		5.800		05/01/35	3,869,063
Southern Hills Plantation I Community Development District Special Assessment for Capital Improvement Series 2011 A-2 (NR/NR)
	2,980,000		5.800		05/01/35	2,660,425
Spring Lake Community Development District Special Assessment for Assessment Area Two Project Series 2017 (NR/NR)^(e)
	1,250,000		5.125		11/01/37	1,252,388
	1,790,000		5.250		11/01/47	1,796,945
Spring Ridge Community Development District Special Assessment RB Series A-1 (NR/NR)
	1,290,000		4.800		05/01/35	1,268,676
St. Petersburg Health Facilities Authority RB Refunding for All Children’s Hospital Series 2009 A (NR/Aa3)^(d)
	5,835,000		6.500		11/15/19	6,538,818
Sterling Hill Community Development District RB for Capital Improvement Series 2003 B (NR/NR)^(h)
	440,000		5.500		11/01/10	308,000
Stonegate Community Development District Special Assessment Refunding Bonds Series 2013 (NR/NR)
	2,160,000		5.000		05/01/34	2,251,670
Stoneybrook South Community Development District Special Assessment Bonds Refunding for Assessment Area Two-A Project Series 2014 (NR/NR)
	1,500,000		5.125		11/01/34	1,497,330
	3,500,000		5.500		11/01/44	3,509,030
Stoneybrook South Community Development District Special Assessment RB Refunding for Assessment Area One Project Series 2013 (NR/NR)
	2,440,000		6.500		05/01/39	2,790,482
Talis Park Community Development District Capital Improvement RB Refunding Subordinate Series 2016 A-2 (NR/NR)
	670,000		3.250		05/01/21	662,148
	975,000		3.750		05/01/26	937,326
	1,600,000		4.000		05/01/33	1,501,440
	905,000		4.125		05/01/36	837,215
Talis Park Community Development District Capital Improvement RB Series 2013 (NR/NR)
	1,370,000		5.250		11/01/34	1,391,221
	2,365,000		6.000		11/01/44	2,529,888


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Tapestry Community Development District Special Assessment RB Series 2016 (NR/NR)
$	390,000		4.250	%	05/01/26	$ 396,068
	1,110,000		4.800		05/01/36	1,092,362
	1,715,000		5.000		05/01/46	1,689,121
Tison’s Landing Community Development District Special Assessment RB Refunding & Improvement Bonds Senior Series 2016 A-1 (BBB/NR)
	700,000		3.375		05/01/32	652,162
	1,355,000		3.600		05/01/37	1,241,166
Toscana Isles Community Development District Special Assessment RB Series 2014 (NR/NR)
	450,000		5.750		11/01/27	466,268
	2,000,000		6.250		11/01/44	2,155,020
Triple Creek Community Development District Special Assessment Series 2017 A (NR/NR)
	1,965,000		5.250		11/01/27	1,986,006
	2,745,000		6.125		11/01/46	2,735,447
TSR Community Development District Special Assessment RB for 2016 Project Series 2016 (NR/NR)
	745,000		3.500		11/01/21	735,561
	1,340,000		4.000		11/01/27	1,281,898
	3,160,000		4.625		11/01/37	2,922,273
	2,790,000		4.750		11/01/47	2,563,480
TSR Community Development District Special Assessment RB for Village 4 Project Series 2015 A (NR/NR)
	400,000		4.250		11/01/21	404,652
	2,440,000		5.625		11/01/45	2,417,601
Turnbull Creek Community Development District Senior Special Assessment Refunding Series 2015 A-1 (BBB/NR)
	2,270,000		4.375		05/01/35	2,338,917
Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1 (BBB-/NR)
	1,775,000		3.500		05/01/32	1,629,645
	2,650,000		3.625		05/01/37	2,469,986
Two Creeks Community Development District RB Refunding for Capital Improvement Subordinate Lien Series 2016 A-2 (NR/NR)
	625,000		4.750		05/01/37	593,388
Two Lakes Community Development District Special Assessment Series 2017 (NR/NR)^(e)
	1,880,000		3.250		12/15/22	1,867,911
	2,000,000		4.000		12/15/28	1,992,680
	1,000,000		5.000		12/15/32	1,052,580
	1,705,000		5.000		12/15/37	1,762,561
	3,800,000		5.000		12/15/47	3,886,260
Union Park East Community Development District Capital Improvement RB for Assessment Area One Series 2017 A-1 (NR/NR)^(e)
	1,400,000		5.500		11/01/47	1,377,558
Venetian Community Development District Capital Improvement RB Refunding Series 2012 A-1 (NR/NR)
	500,000		5.500		05/01/34	518,780
	750,000		6.125		05/01/42	786,660
Venetian Parc Community Development District Special Assessment Area One Project Series 2013 (NR/NR)
	580,000		6.000		11/01/27	660,782
	2,050,000		6.500		11/01/43	2,598,580
Venetian Parc Community Development District Special Assessment Area Two Project Series 2013 (NR/NR)
	830,000		6.375		11/01/27	905,198
	2,300,000		7.125		11/01/44	2,563,488


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Verandah East Community Development District Special Assessment Refunding & Improvement RB Series 2016 (NR/NR)
$	1,425,000		3.375	%	05/01/21	$ 1,420,654
	2,460,000		3.750		05/01/26	2,375,474
	4,360,000		4.000		05/01/31	4,098,662
	1,750,000		4.125		05/01/34	1,616,527
	1,000,000		4.250		05/01/37	906,300
Verano #1 Community Development District Senior Special Assessment Refunding for Community Infrastructure Project Series 2017 A-1 (BBB/NR)^(e)
	1,985,000		4.000		05/01/31	2,004,691
	2,940,000		4.000		05/01/37	2,939,853
Verano #1 Community Development District Special Assessment Bonds for District #1 Project Series 2015 (NR/NR)
	750,000		5.125		11/01/35	728,685
	1,000,000		5.250		11/01/46	966,550
Village Community Development District No. 10 Special Assessment RB Series 2012 (NR/NR)
	2,600,000		5.000		05/01/32	2,785,744
	6,190,000		5.125		05/01/43	6,643,603
Village Community Development District No. 10 Special Assessment RB Series 2014 (NR/NR)
	4,800,000		6.000		05/01/44	5,423,904
Village Community Development District No. 5 Special Assessment RB Refunding Phase I Series 2013 (A/NR)
	1,635,000		4.000		05/01/33	1,645,055
Village Community Development District No. 5 Special Assessment RB Refunding Phase II Series 2013 (A/NR)
	1,280,000		4.000		05/01/34	1,284,557
Village Community Development District No. 8 Special Assessment RB Series 2008 (NR/NR)
	7,290,000		6.375		05/01/38	7,507,169
Village Community Development District No. 8 Special Assessment Refunding Phase II Series 2010 (NR/NR)
	7,755,000		6.125		05/01/39	8,539,884
Village Community Development District No. 9 Special Assessment RB Series 2011 (NR/NR)
	4,685,000		7.000		05/01/41	5,370,837
Village Community Development District No. 9 Special Assessment Refunding Series 2012 (NR/NR)
	1,925,000		5.500		05/01/42	2,102,312
Villasol Community Development District RB Series 2003 A (NR/NR)
	2,125,000		6.600		05/01/34	2,126,105
Vizcaya In Kendall Community Development District Special Assessment Bonds Series 2016 (BBB-/NR)
	1,000,000		3.750		11/01/31	973,970
	1,000,000		4.000		11/01/36	973,670
	1,300,000		4.125		11/01/46	1,264,341
Waterford Landing Community Development District Capital Improvement RB Series 2014 (NR/NR)
	3,150,000		5.500		05/01/34	3,263,746
	3,825,000		5.750		05/01/44	4,006,726
Waters Edge Community Development District Capital Improvement RB Refunding Series 2012 A-1 (NR/NR)
	14,000		5.350		05/01/39	13,578
Waters Edge Community Development District Capital Improvement RB Refunding Series 2012 A-2 (NR/NR)
	495,000		6.600		05/01/39	496,960
Waters Edge Community Development District Pasco County Capital Improvement RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	3,240,000		4.200		05/01/36	3,307,392


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Waterset North Community Development District Special Assessment RB Series 2014 (NR/NR)
$	1,240,000		5.125	%	11/01/35	$ 1,263,014
	2,000,000		5.500		11/01/45	2,026,260
Winding Cypress Community Development District Special Assessment Phase 1 and Phase 2 Assessment Area Series 2015 (NR/NR)
	265,000		4.000		11/01/20	266,269
	400,000		4.375		11/01/25	403,452
	1,770,000		5.000		11/01/45	1,746,123
Wiregrass Community Development District Capital Improvement RB Series 2014 (NR/NR)
	470,000		5.375		05/01/35	481,562
	3,060,000		5.625		05/01/45	3,118,813
Wiregrass Community Development District Capital Improvement RB Series 2016 (NR/NR)
	780,000		4.875		05/01/36	768,144
	1,445,000		5.000		05/01/47	1,425,059

						576,812,379

Georgia – 1.6%
Altlanta Development Authority RB for New Downtown Atlanta Stadium Project Senior Lien Series 2015 A-1 (A+/Aa3)
	1,500,000		5.250		07/01/40	1,738,095
	5,500,000		5.250		07/01/44	6,343,480
Altlanta Development Authority RB for New Downtown Atlanta Stadium Project Senior Lien Series 2015 B (A/A1)
	1,000,000		4.000		07/01/40	1,040,230
Atlanta Tax Allocation for Beltline Project RMKT 12/15/09 Series 2009 A (NR/A2)^(d)
	6,840,000		7.500		01/01/19	7,408,815
Clayton County Development Authority Special Facilities RB for Delta Airlines, Inc. Series 2009 A (BB+/Baa3)
	11,700,000		8.750		06/01/29	13,670,163
Fulton County Development Authority RB for Tuff Caub LLC Project Series 2007 A (NR/NR)
	1,900,000		5.250		11/01/28	1,838,459
Gainesville & Hall County Development Authority RB Refunding for Riverside Military Academy Series 2017 (BBB-/NR)
	900,000		5.000		03/01/47	919,278
	900,000		5.125		03/01/52	919,539
Marietta Development Authority University Facilities RB Refunding for Life University, Inc. Project Series 2008 (NR/Ba3)
	2,500,000		7.000		06/15/39	2,548,100
Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College & State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)^(c)
	49,820,000		1.419		10/01/33	43,162,055

						79,588,214

Guam – 1.3%
A.B. Won Pat International Airport Authority RB Refunding General Series 2013 B (AGM) (AA/A2)
	1,500,000		5.750		10/01/43	1,746,810
Guam Government Department of Education COPS for John F. Kennedy High School Project Series 2010 A (B+/NR)
	2,500,000		6.625		12/01/30	2,639,675
	3,355,000		6.875		12/01/40	3,546,906
Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR)
	500,000		5.000		12/01/31	553,310
	3,410,000		5.000		12/01/46	3,699,850


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Guam – (continued)
Guam International Airport Authority RB Refunding for Series 2013 C (AMT) (AGM) (AA/A2)
$	7,300,000		6.125	%	10/01/43	$ 8,670,648
Guam International Airport Authority RB Refunding for Series 2013 C (AMT) (BBB/Baa2)
	2,000,000		6.375		10/01/43	2,301,200
Guam Power Authority RB Series 2010 A (BBB/Baa2)
	10,000,000		5.500		10/01/40	10,553,000
Guam Waterworks Authority RB for Water & Wastewater System Series 2010 (A-/Baa2)
	10,365,000		5.625		07/01/40	11,060,077
Guam Waterworks Authority RB for Water & Wastewater System Series 2013 (A-/Baa2)
	13,705,000		5.500		07/01/43	15,375,502
Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2)
	4,880,000		5.000		01/01/46	5,226,090

						65,373,068

Idaho – 0.0%
Idaho Health Facilities Authority RB Refunding for Madison Memorial Hospital Project Series 2016 (BB+/NR)
	1,000,000		5.000		09/01/37	1,057,100

Illinois – 13.0%
Chicago Illinois Board of Education Dedicated Capital Improvement Series 2016 (A/NR)
	16,000,000		6.000		04/01/46	16,804,480
Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1998 B-1 (NATL-RE) (A/A3)^(b)
	2,500,000		0.000		12/01/27	1,527,875
	350,000		0.000		12/01/28	200,634
	8,925,000		0.000		12/01/29	4,779,070
	405,000		0.000		12/01/30	203,006
Chicago Illinois Board of Education GO Bonds Capital Appreciation for School Reform Series 1999 A (NATL-RE) (A/A3)^(b)
	125,000		0.000		12/01/29	66,934
	150,000		0.000		12/01/30	75,187
Chicago Illinois Board of Education GO Bonds Capital Appreciation Refunding for School Reform Series 1999 A (NATL-RE) (A/A3)^(b)
	15,035,000		0.000		12/01/31	7,087,800
Chicago Illinois Board of Education GO Bonds Series 2011 A (B/B3)
	2,770,000		5.000		12/01/41	2,160,877
Chicago Illinois Board of Education GO Bonds Series 2012 A (B/B3)
	10,550,000		5.000		12/01/42	8,288,713
Chicago Illinois Board of Education GO Refunding Bonds for School Reform Series 1999 A (NATL-RE) (A/A3)
	9,535,000		5.500		12/01/26	10,608,355
Chicago Illinois Board of Education GO Refunding Bonds Series 2005 A (AMBAC) (B/B3)
	8,965,000		5.500		12/01/29	9,183,387
Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Alternate Revenues Series 2015 C (B/NR)
	19,705,000		5.250		12/01/35	15,939,177
	15,235,000		5.250		12/01/39	12,343,397
Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Alternate Revenues Series 2015 E (B/NR)
	5,315,000		5.125		12/01/32	4,264,278


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Illinois – (continued)
Chicago Illinois Board of Education Unlimited Tax GO Bonds for Dedicated Revenues Series 2011 A (B/B3)
$	315,000		5.500	%	12/01/39	$ 259,166
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2005 A (AMBAC) (B/B3)
	2,300,000		5.500		12/01/30	2,348,047
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2008 C (B/B3)
	6,325,000		5.000		12/01/28	5,220,149
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2009 E (B/B3)
	9,750,000		6.038		12/01/29	7,449,585
	10,265,000		6.138		12/01/39	7,630,898
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 A (B/NR)
	53,090,000		7.000		12/01/44	50,487,528
Chicago Illinois Board of Education Unlimited Tax GO Refunding Bonds for Dedicated Revenues Series 2016 B (B/NR)
	61,135,000		6.500		12/01/46	55,040,452
Chicago Illinois Capital Appreciation Refunding & Project Series 2009 C (BBB+/Ba1)^(b)
	11,415,000		0.000		01/01/32	4,425,025
Chicago Illinois GO Bonds Project and Refunding RMKT 06/08/15 Series 2005 D (BBB+/Ba1)
	1,700,000		5.500		01/01/37	1,676,013
Chicago Illinois GO Bonds Project Refunding Series 2014 A (BBB+/Ba1)
	8,375,000		5.250		01/01/33	8,175,591
	6,295,000		5.000		01/01/34	6,028,974
	10,500,000		5.000		01/01/36	9,918,720
Chicago Illinois GO Bonds Project Refunding Series 2017 A (BBB+/NR)
	6,100,000		6.000		01/01/38	6,259,576
Chicago Illinois GO Bonds Project Series 2011 A (BBB+/Ba1)
	6,170,000		5.250		01/01/35	6,004,829
	3,000,000		5.000		01/01/40	2,800,440
Chicago Illinois GO Bonds Project Series 2012 A (BBB+/Ba1)
	18,000,000		5.000		01/01/33	17,452,620
	3,850,000		5.000		01/01/34	3,707,665
Chicago Illinois GO Bonds Series 2015 A (BBB+/NR)
	4,180,000		5.500		01/01/39	4,117,843
Chicago Illinois GO Refunding & Project Bonds Series 2009 C (BBB+/Ba1)
	1,170,000		5.000		01/01/34	1,120,556
Chicago Illinois GO Refunding Bonds RMKT 06/08/15 Series 2007 E (BBB+/Ba1)
	3,775,000		5.500		01/01/42	3,700,368
Chicago Illinois GO Refunding Bonds RMKT 06/08/15 Series 2007 F (BBB+/Ba1)
	2,500,000		5.500		01/01/42	2,450,575
Chicago Illinois GO Refunding Bonds Series 2009 C (BBB+/Ba1)
	3,825,000		5.000		01/01/40	3,570,561
Chicago Illinois GO Refunding Bonds Series 2014 A (BBB+/Ba1)
	4,230,000		5.000		01/01/35	4,026,241
Chicago Illinois GO Refunding Bonds Series 2015 C (BBB+/NR)
	13,300,000		5.000		01/01/38	12,457,578


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Illinois – (continued)
Chicago Illinois Second Lien RB Refunding for Wastewater Transmission RMKT 10/19/15 Series 2008 C (A/NR)
$	1,500,000		5.000	%	01/01/39	$ 1,606,230
Chicago Illinois Wastewater Transmission RB Second Lien Series 2017 A (AGM) (AA/NR)
	1,950,000		5.250		01/01/42	2,213,328
	5,460,000		4.000		01/01/52	5,472,831
Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2000 (A/Baa2)
	1,500,000		5.000		11/01/28	1,700,505
	1,050,000		5.000		11/01/29	1,182,279
	1,000,000		5.000		11/01/30	1,122,590
Cortland Illinois Special Service Area No. 9 Special Tax Bonds for Richland Trails Project Series 2007-1 (NR/NR)
	2,074,000		5.800		03/01/37	2,007,736
Du Page County Special Service Area No. 31 Special Tax for Monarch Landing Project Series 2006 (NR/NR)
	1,401,000		5.625		03/01/36	1,401,883
Illinois Finance Authority RB for Christian Homes, Inc. Series 2007 A (BBB-/NR)
	2,780,000		5.750		05/15/31	2,786,533
Illinois Finance Authority RB for Christian Homes, Inc. Series 2010 (BBB-/NR)
	805,000		6.125		05/15/27	859,024
Illinois Finance Authority RB for Christian Homes, Inc. Series 2010 (NR/NR)^(d)
	445,000		6.125		05/15/20	505,987
Illinois Finance Authority RB for Midwest Regional Medical Center Series 2006 A (NR/NR)^(e)
	33,325,000		6.750		10/01/46	33,351,993
Illinois Finance Authority RB Refunding for Franciscan Communities Project Series 2017 A (BBB-/NR)
	1,645,000		4.000		05/15/27	1,706,852
	2,825,000		5.000		05/15/37	3,016,874
	1,055,000		5.000		05/15/47	1,114,449
Illinois Finance Authority RB Refunding for Franciscan Communities, Inc. Series 2013 A (BBB-/NR)
	4,500,000		5.250		05/15/47	4,723,830
Illinois Finance Authority RB Refunding for Illinois Wesleyan University Series 2016 (A-/Baa1)
	490,000		5.000		09/01/36	533,889
	3,470,000		5.000		09/01/46	3,736,357
Illinois Finance Authority RB Refunding for OSF Healthcare System Series 2010 A (A/A2)
	4,955,000		6.000		05/15/39	5,294,269
Illinois Finance Authority Recovery Zone Facility RB for Navistar International Corp. Project Series 2010 (CCC+/Caa1)
	15,650,000		6.500		10/15/40	16,234,840
Illinois State GO Bonds Series 2012 (BBB-/Baa3)
	500,000		5.000		03/01/31	502,440
	750,000		5.000		03/01/37	750,878
Illinois State GO Bonds Series 2013 (BBB-/Baa3)
	5,050,000		5.500		07/01/38	5,245,284
Illinois State GO Bonds Series 2014 (AGM) (AA/A2)
	20,000,000		5.000		02/01/39	20,968,200
Illinois State GO Bonds Series 2014 (BBB-/Baa3)
	9,500,000		5.000		04/01/31	9,564,030
	15,000,000		5.000		05/01/31	15,102,300
	5,000,000		5.000		05/01/39	4,979,900
Illinois State GO Bonds Series 2016 (BBB-/Baa3)
	4,415,000		5.000		11/01/21	4,611,467
Illinois State GO Refunding Bonds Series 2012 (BBB-/Baa3)
	7,300,000		5.000		08/01/21	7,607,622


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Illinois – (continued)
Illinois State GO Refunding Bonds Series 2016 (AGM) (AA/A2)
$	20,175,000		4.000	%	02/01/30	$ 20,707,822
Illinois State Toll Highway Authority Toll Highway Senior RB 2015 Series A (AA-/Aa3)
	7,920,000		5.000		01/01/40	8,876,182
Lincolnshire Special Service Area No. 1 Special Tax for Sedgebrook Project Series 2004 A (NR/NR)
	2,105,000		6.250		03/01/34	2,108,726
Metropolitan Pier & Exposition Authority RB for McCormick Place Expansion Project Residual Series 2002 A (NATL-RE) (A/A3)^(b)
	9,900,000		0.000		06/15/30	5,593,896
Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion Project Series 2010 B1 (AGM) (AA/A2)^(b)
	3,200,000		0.000		06/15/44	868,416
Metropolitan Pier & Exposition Authority RB Refunding for Mccormick Place Expansion Dedicated Sales Tax Project Series 2010 B2 (ST APPROP) (BB+/Ba1)
	50,000,000		5.000		06/15/50	47,154,500
Plano Special Service Area No. 5 Special Tax for Lakewood Springs Club Unit 6 Series 2006 (NR/NR)^(h)
	4,555,000		6.000		03/01/36	2,915,200
Quad Cities Regional Economic Development Authority RB for Augustana College Series 2012 (NR/Baa1)
	840,000		4.750		10/01/29	893,105
	1,010,000		4.750		10/01/32	1,053,652
Regional Transportation Authority Illinois GO Bonds Series 2016 A (AA/A2)
	7,730,000		4.000		06/01/46	7,927,965
Southwestern Illinois Development Authority Health Facility RB for Memorial Group, Inc. Series 2013 (AA/NR)^(d)
	19,200,000		7.125		11/01/23	25,564,800
	5,000,000		7.625		11/01/23	6,807,250
Southwestern Illinois Development Authority RB Capital Appreciation for United States Steel Corporation Project Series 2012 (AMT) (B/Caa1)
	12,505,000		5.750		08/01/42	11,598,763
Springfield Illinois Senior Lien Electric RB Refunding Series 2015 (AGM) (AA/A2)
	13,625,000		4.000		03/01/40	13,931,290
State of Illinois GO Bonds Series 2010 (BBB-/Baa3)
	7,500,000		5.250		02/01/28	7,544,550
State of Illinois GO Bonds Series 2010 A (BBB-/Baa3)
	3,500,000		4.000		01/01/21	3,514,700

						646,827,387

Indiana – 0.6%
Anderson Indiana Economic Development RB Refunding & Improvement for Anderson University Project Series 2007 (BB/NR)
	1,355,000		5.000		10/01/24	1,355,637
	1,500,000		5.000		10/01/32	1,500,015
Gary/Chicago International Airport Authority Airport Development Zone RB Series 2014 (AMT) (BBB+/NR)
	1,300,000		5.000		02/01/29	1,359,891
	1,250,000		5.250		02/01/34	1,302,050
	1,500,000		5.000		02/01/39	1,522,590
Indiana Finance Authority Environmental Improvement RB for United States Steel Corp. Project Series 2012 (AMT) (B/Caa1)
	795,000		5.750		08/01/42	737,386
Indiana Finance Authority Hospital RB for Indiana University Health Obligated Group Series 2011 N (AA/Aa2)
	2,000,000		5.125		03/01/38	2,174,820


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Indiana – (continued)
Indiana Finance Authority Midwestern Disaster Relief RB for Ohio Valley Electric Co. Project Series 2012 A (BBB-/Ba1)
$	6,825,000		5.000	%	06/01/39	$ 6,922,393
Indiana Finance Authority RB for Private Activity for Ohio River Bridges East End Crossing Project Series 2013 A (AMT) (BBB/NR)
	6,250,000		5.000		07/01/48	6,717,375
Indiana Municipal Power Agency Power Supply System RB Refunding Series 2016 A (A+/A1)
	7,750,000		5.000		01/01/42	8,857,940
Indianapolis Airport Authority Special Facilities RB for United Air Lines, Inc. Project Series 1995 A (AMT) (NR/WR)^(h)
	7,520,823		6.500		11/15/31	16,546

						32,466,643

Iowa – 0.0%
Pottawattamie County RB Refunding for Christian Homes, Inc. Series 2007 E (BBB-/NR)
	1,355,000		5.750		05/15/31	1,358,184

Kentucky – 1.5%
Kentucky Economic Development Finance Authority Hospital RB for Owensboro Medical Health System, Inc. Series 2010 A (BBB/Baa3)^(d)
	8,000,000		6.375		06/01/20	9,142,880
	8,250,000		6.500		06/01/20	9,457,883
Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc. Series 2017 A (AGM) (AA/A2)
	2,150,000		4.000		06/01/37	2,183,368
	3,000,000		4.000		06/01/45	3,017,010
Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc. Series 2017 B (AGM) (AA/A2)
	1,000,000		4.000		06/01/37	1,015,520
Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2013 A (A-/NR)
	5,000,000		5.750		10/01/42	5,810,450
Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2016 A (A-/NR)
	17,575,000		4.000		10/01/34	18,066,748
	25,205,000		4.000		10/01/36	25,672,301

						74,366,160

Louisiana – 3.2%
Louisiana Local Government Environmental Facilities and Community Development Authority RB for Westlake Chemical Corp. Projects Series 2010 A-2 (BBB/Baa3)
	5,000,000		6.500		11/01/35	5,677,550
Louisiana Local Government Environmental Facilities and Community Development Authority RB for Women’s Hospital Foundation Project Series 2010 A (A/A2)^(d)
	19,265,000		6.000		10/01/20	22,144,732
Louisiana Local Government Environmental Facilities and Community Development Authority RB Refunding for Ragin’ Cajun Facilities, Inc. - Student Housing & Parking Project Series 2017 (AGM) (AA/NR)
	2,600,000		5.000		10/01/39	2,925,806
	4,850,000		4.000		10/01/41	4,989,486
Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 A (A/A2)
	14,475,000		3.375		09/01/28	14,516,543
Louisiana Public Facilities Authority RB Refunding for Energy LLC Project Series 2016 B (A/A2)
	13,950,000		3.500		06/01/30	13,985,015


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Louisiana – (continued)
Louisiana Public Facilities Authority RB Refunding for Ochsner Clinic Foundation Project Series 2017 (A-/A3)
$	10,725,000		4.000	%	05/15/42	$ 10,691,002
	21,250,000		5.000		05/15/46	23,532,250
New Orleans Aviation Board General Airport RB for North Terminal Project Series 2015 B (AMT) (A-/A3)
	12,000,000		5.000		01/01/40	13,402,320
	32,395,000		5.000		01/01/45	36,158,003
New Orleans Aviation Board General Airport RB for North Terminal Project Series 2017 B (AMT) (A-/A3)
	4,850,000		5.000		01/01/48	5,470,509
New Orleans Aviation Board Gulf Opportunity Zone RB for Consolidated Rental Car Project Series 2009 A (A-/Baa1)
	7,470,000		6.500		01/01/40	7,924,624

						161,417,840

Maryland – 1.1%
Baltimore Maryland RB Refunding for Convention Center Hotel Project Series 2017 (BBB-/NR)
	2,000,000		5.000		09/01/39	2,239,880
	1,725,000		5.000		09/01/42	1,925,669
	3,500,000		5.000		09/01/46	3,891,440
Baltimore Maryland Special Obligation Refunding for Baltimore Research Park Project Series 2017 A (NR/NR)
	2,950,000		4.500		09/01/33	3,032,217
	1,500,000		5.000		09/01/38	1,588,095
Frederick County Maryland Educational Facilities RB for Mount St. Mary’s University Series 2007 (BB+/Ba2)
	2,590,000		5.000		09/01/30	2,591,865
Frederick County Maryland Special Tax Limited Obligations Bonds for Jefferson Technology Park Series 2013 A (NR/NR)
	3,000,000		7.250		07/01/43	3,164,670
Frederick County Maryland Tax Incremental & Special Tax Limited Obligations Bonds for Jefferson Technology Park Series 2013 B (NR/NR)
	8,860,000		7.125		07/01/43	9,646,945
Maryland Stadium Authority RB for Baltimore City Public Schools Construction & Revitalization Program Series 2016 (AA-/Aa3)
	10,000,000		5.000		05/01/46	11,439,300
Maryland State Health & Higher Educational Facilities Authority RB for Doctors Community Hospital Series 2010 (NR/Baa3)^(d)
	9,500,000		5.750		07/01/20	10,734,240
Maryland State Health & Higher Educational Facilities Authority RB for Mercy Medical Center Series 2012 (BBB/Baa2)
	2,100,000		5.000		07/01/31	2,275,938

						52,530,259

Massachusetts – 0.5%
Massachusetts Development Finance Agency RB for Simmons College Issue Series 2015 K-1 (BBB+/Baa1)
	1,950,000		5.000		10/01/36	2,160,620
Massachusetts Development Finance Agency RB for Suffolk University Issue Series 2009 A (BBB/Baa2)
	4,215,000		5.750		07/01/39	4,535,804
Massachusetts Development Finance Agency RB for Suffolk University Issue Series 2009 A (NR/NR)^(d)
	8,285,000		5.750		07/01/19	9,027,750
Massachusetts Development Finance Agency RB Series 2013 A (NR/NR)^(e)
	2,250,000		6.500		11/15/43	2,436,817
Massachusetts State GO Bonds Consolidated Loan Series 2007 A (NATL-RE FGIC) (AA/Aa1)^(c)
	4,970,000		1.354		05/01/37	4,628,362


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Massachusetts – (continued)
Massachusetts State GO Bonds Consolidated Loan Series 2012 A (BHAC-CR) (AA+/Aa1)^(c)
$	2,950,000		1.354	%	05/01/37	$ 2,787,868

						25,577,221

Michigan – 1.2%
Detroit Michigan School District GO Bonds for School Building and Site Improvement Series 2002 A (FGIC-Q-SBLF) (AA-/Aa1)
	3,500,000		6.000		05/01/20	3,908,415
	3,000,000		6.000		05/01/21	3,449,790
Detroit Michigan Sewage Disposal System RB Refunding Series 2006 D (AGM) (AA/A2)^(c)
	4,675,000		1.369		07/01/32	4,056,731
Detroit Michigan Water & Sewerage Department Sewage Disposal System RB Refunding Senior Lien Series 2012 A (A-/A3)
	2,000,000		5.250		07/01/39	2,207,920
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Financial Recovery Income Tax Local Project Series 2014 F (A/NR)
	2,000,000		4.500		10/01/29	2,096,780
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Department Sewage Disposal System Second Lien Local Project Series 2015 C (BBB+/Baa1)
	355,000		5.000		07/01/33	389,229
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewer Series 2014 D-1 (AGM) (AA/A2)
	2,600,000		5.000		07/01/35	2,927,288
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Sewage Disposal System Local Project Senior Lien Series 2014 C-3 (AGM) (AA/A2)
	2,175,000		5.000		07/01/32	2,472,279
	1,750,000		5.000		07/01/33	1,982,067
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Water Supply System Series 2015 D-1 (A-/A3)
	1,250,000		5.000		07/01/34	1,399,037
	750,000		5.000		07/01/35	838,313
Michigan Finance Authority Local Government Loan Program RB Refunding for Detroit Water and Sewerage Department Water Supply System Series 2015 D-2 (BBB+/Baa1)
	2,100,000		5.000		07/01/34	2,293,326
Michigan Tobacco Settlement Finance Authority Asset Backed RB Senior Series 2007 A (B-/NR)
	3,330,000		6.000		06/01/48	3,225,272
Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 B (CCC+/NR)^(b)
	238,600,000		0.000		06/01/52	17,076,602
Michigan Tobacco Settlement Finance Authority RB for Capital Appreciation Series 2007 C (CCC/NR)^(b)
	180,100,000		0.000		06/01/52	10,294,516

						58,617,565

Minnesota – 0.2%
Duluth Economic Development Authority Health Care Facilities RB for St. Luke’s Hospital Series 2012 (NR/NR)
	2,500,000		5.750		06/15/32	2,746,025
	3,750,000		6.000		06/15/39	4,193,587


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Minnesota – (continued)
Minnesota Higher Education Facilities Authority RB Refunding for Bethel University Project Series 2017 (BBB-/NR)^(g)
$	2,400,000		5.000	%	05/01/47	$ 2,625,456

						9,565,068

Mississippi – 0.2%
Jackson County Mississippi Pollution Control RB Refunding for Chevron USA, Inc. Project RMKT 11/01/99 Series 1993 (AA-/Aa2)^(f)
	3,865,000		0.960		07/03/17	3,865,000
Mississippi Business Finance Corp. RB for Chevron USA, Inc. Project Series 2010 G (AA-/Aa2)^(f)
	4,000,000		0.890		07/03/17	4,000,000

						7,865,000

Missouri – 0.1%
Branson Regional Airport Transportation Development District RB for Branson Regional Airport Series 2007 A (NR/NR)^(h)
	1,535,000		6.000		07/01/37	82,890
Branson Regional Airport Transportation Development District RB for Branson Regional Airport Series 2007 B (AMT) (NR/NR)^(h)
	7,750,000		6.000		07/01/25	418,500
Kansas City Missouri Industrial Development Authority Senior Sales Tax RB Refunding and Improvement Bonds for Ward Parkway Center Community Improvement District Series 2016 A (NR/NR)^(e)
	1,000,000		5.000		04/01/36	965,710
	1,150,000		5.000		04/01/46	1,075,204
Stone Canyon Community Improvement District RB for Public Infrastructure Improvement Project Series 2007 (NR/NR)^(h)
	1,250,000		5.750		04/01/27	312,500

						2,854,804

Nevada – 0.3%
City of Las Vegas Special Improvement District No. 607 for Local Improvement Refunding Series 2013 (NR/NR)
	645,000		4.000		06/01/18	652,875
	710,000		4.000		06/01/19	725,840
	600,000		4.000		06/01/20	619,926
	765,000		4.000		06/01/21	799,020
	415,000		5.000		06/01/22	450,204
	370,000		5.000		06/01/23	402,234
	200,000		4.250		06/01/24	206,642
	250,000		5.000		06/01/24	270,423
Henderson Local Improvement District No. T-16 Special Assessment Limited Obligation Series 2005 (NR/NR)
	2,015,000		5.000		03/01/20	1,986,649
	2,020,000		5.100		03/01/21	1,983,963
	1,055,000		5.100		03/01/22	1,027,897
	2,830,000		5.125		03/01/25	2,709,244
Henderson Local Improvement District No. T-17 Special Assessment Limited Obligation Series 2005 (NR/NR)
	1,255,000		5.000		09/01/25	1,267,638
Henderson Local Improvement District No. T-18 Limited Obligation Series 2016 (NR/NR)
	2,200,000		4.000		09/01/35	2,051,478

						15,154,033


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New Jersey – 5.7%
Atlantic City Tax Appeal Refunding Bonds Series 2017 A (BAM) (ST AID WITHHLDG) (AA/Baa1)
$	725,000		5.000	%	03/01/32	$ 819,105
	965,000		5.000		03/01/37	1,077,635
	1,205,000		5.000		03/01/42	1,342,514
New Jersey Economic Development Authority Cigarette Tax RB Refunding Series 2012 (BBB+/Baa1)
	2,500,000		5.000		06/15/26	2,695,825
	1,000,000		5.000		06/15/28	1,070,790
New Jersey Economic Development Authority Energy Facilities RB for UMM Energy Partners, LLC Project Series 2012 A (AMT) (NR/Baa3)
	1,000,000		4.750		06/15/32	1,040,580
	1,000,000		5.000		06/15/37	1,040,320
	1,000,000		5.125		06/15/43	1,043,130
New Jersey Economic Development Authority Private Activity RB for Goethals Bridge Replacement Project Series 2013 (AMT) (BBB-/NR)
	1,000,000		5.375		01/01/43	1,115,940
New Jersey Economic Development Authority RB for Provident Group - Kean Properties L.L.C. - Kean University Student Housing Project Series 2017 A (BBB-/NR)
	500,000		5.000		07/01/37	540,375
	1,150,000		5.000		07/01/47	1,235,342
	1,175,000		5.000		01/01/50	1,259,318
New Jersey Economic Development Authority RB for School Facilities Construction Series 2009 BB (BBB+/Baa1)^(d)
	1,640,000		5.000		09/01/19	1,772,758
New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 1998 (AMT) (BB-/Ba3)
	7,500,000		5.500		04/01/28	7,522,950
New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 1999 (AMT) (BB-/Ba3)
	8,500,000		5.250		09/15/29	9,289,990
New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 2000 A (AMT) (BB-/Ba3)
	5,000,000		5.625		11/15/30	5,634,300
New Jersey Economic Development Authority Special Facilities RB for Continental Airlines, Inc. Project Series 2000 B (AMT) (BB-/Ba3)
	5,000,000		5.625		11/15/30	5,634,300
New Jersey Health Care Facilities Financing Authority RB Refunding for University Hospital Series 2015 A (AGM) (AA/A2)
	9,700,000		4.125		07/01/38	9,955,692
	5,600,000		5.000		07/01/46	6,119,624
New Jersey Health Care Facilities Financing Authority RB Refunding for Trinitas Regional Medical Center Series 2017 A (BBB/Baa2)
	1,000,000		5.000		07/01/28	1,140,440
	1,000,000		5.000		07/01/29	1,130,430
	900,000		5.000		07/01/30	1,010,691
New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2006 C (AMBAC) (BBB+/Baa1)^(b)
	118,815,000		0.000		12/15/35	51,360,160
	61,820,000		0.000		12/15/36	25,293,035
New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2008 A (BBB+/Baa1)^(b)
	46,545,000		0.000		12/15/35	18,157,670


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New Jersey – (continued)
New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2010 A (BBB+/Baa1)^(b)
$	8,805,000		0.000	%	12/15/28	$ 5,180,510
	1,900,000		0.000		12/15/34	785,346
	4,875,000		0.000		12/15/36	1,793,512
New Jersey Transportation Trust Fund Authority RB for Federal Highway Reimbursement Notes Subseries 2016 A-1 (A+/Baa1)
	3,000,000		5.000		06/15/29	3,221,250
	3,335,000		5.000		06/15/30	3,557,711
New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2014 AA (BBB+/Baa1)
	25,445,000		5.000		06/15/38	26,104,026
New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2015 AA (BBB+/Baa1)
	2,500,000		5.250		06/15/41	2,595,225
	5,075,000		5.000		06/15/45	5,181,524
	1,750,000		5.000		06/15/46	1,721,020
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (AGM) (AA/A2)^(b)
	11,150,000		0.000		12/15/33	5,468,852
	25,400,000		0.000		12/15/34	11,808,460
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE) (A/A3)^(b)
	25,900,000		0.000		12/15/27	17,250,954
	10,055,000		0.000		12/15/30	5,660,864
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2011 B (BBB+/Baa1)
	12,875,000		5.000		06/15/42	13,095,549
New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2009 A (BBB+/Baa1)^(b)
	2,400,000		0.000		12/15/33	1,053,648
New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP) (BBB+/Baa1)
	4,350,000		5.500		06/15/41	4,535,702
Newark New Jersey Housing Authority RB for South Ward Police Facility Series 2009 A (ASSURED GTY) (NR/A3)^(d)
	2,000,000		6.750		12/01/19	2,264,640
Tobacco Settlement Financing Corp. RB Senior Asset-Backed Bonds for Capital Appreciation Series 2007 1-A (BB-/B3)
	3,950,000		4.750		06/01/34	3,893,673
Tobacco Settlement Financing Corp. Tobacco Settlement Asset-Backed Bonds Series 2007 1-A (B/B3)
	8,900,000		5.000		06/01/41	8,717,194

						282,192,574

New Mexico – 0.3%
Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 D (BBB+/Baa2)
	14,000,000		5.900		06/01/40	15,373,960
Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project Series 2010 F (AMT) (BBB+/Baa2)
	1,500,000		6.250		06/01/40	1,664,070

						17,038,030

New York – 2.8%
Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (AGM) (AA/A2)
	1,240,000		3.000		07/15/43	1,096,557


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New York – (continued)
Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (BBB-/Baa3)
$	5,925,000		5.000	%	07/15/42	$ 6,665,092
Chautauqua County Industrial Development Agency Exempt Facility RB for Dunkirk NRG Power Project Series 2009 (BB+/Baa3)
	2,650,000		5.875		04/01/42	2,769,436
Hempstead Town Local Development Corp. RB Refunding for Molloy College Project Series 2017 (BBB/NR)^(g)
	645,000		5.000		07/01/30	756,791
	865,000		5.000		07/01/33	997,959
	815,000		5.000		07/01/35	932,026
	640,000		5.000		07/01/36	730,144
	455,000		5.000		07/01/38	518,259
New York City Capital Resource Corp. RB for YMCA of Greater New York Project Series 2015 (A-/Baa1)
	1,000,000		5.000		08/01/40	1,107,600
New York City GO Bonds Fiscal 2015 Series F Subseries F6 (AA/Aa2)^(f)
	5,150,000		0.950		07/03/17	5,150,000
New York City Housing Development Corp. Multi-Family Mortgage RB for 8 Spruce Street Series 2014 F (NR/NR)
	2,000,000		4.500		02/15/48	2,093,060
New York City Industrial Development Agency PILOT RB for Queens Baseball Stadium Project Series 2009 (ASSURED GTY) (AA/A3)
	1,000,000		6.125		01/01/29	1,067,260
	3,000,000		6.375		01/01/39	3,222,450
	5,000,000		6.500		01/01/46	5,363,750
New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2011 Subseries AA2 (AA+/Aa1)^(f)
	6,600,000		0.950		07/03/17	6,600,000
New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2015 Subseries E-3 (AAA/Aa1)^(f)
	7,840,000		0.950		07/03/17	7,840,000
New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2016 Subseries E-4 (AAA/Aa1)^(f)
	6,000,000		0.950		07/03/17	6,000,000
New York Convention Center Development Corporation RB Refunding for Hotel Unit Fee Secured Series 2015 (NR/Aa3)
	5,000,000		5.000		11/15/40	5,742,200
New York Liberty Development Corporation RB for 3 World Trade Center Project Series 2014 (NR/NR)^(e)
	8,200,000		5.000		11/15/44	8,820,658
New York Transportation Development Corp. Special Facility RB for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (AGM) (AA/A2)
	5,000,000		4.000		07/01/35	5,175,700
New York Transportation Development Corp. Special Facility RB for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (BBB/Baa3)
	4,000,000		4.000		07/01/33	4,105,520
	5,000,000		5.000		07/01/34	5,477,450
New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (AGM) (AA/A2)
	12,600,000		4.000		01/01/51	12,707,100
New York Transportation Development Corp. Special Facility RB Refunding for Laguardia Airport Terminal B Redevelopment Project Series 2016 A (AMT) (BBB/Baa3)
	4,540,000		5.000		07/01/41	4,928,034
	25,500,000		5.250		01/01/50	27,905,415


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New York – (continued)
Newburgh New York GO Serial Bonds Series 2012 A (NR/Baa2)
$	1,565,000		5.750	%	06/15/35	$ 1,739,231
Onondaga Civic Development Corp. RB for St. Joseph’s Hospital Health Center Project Series 2014 A (NR/WR)^(d)
	1,750,000		5.125		07/01/19	1,886,570
Troy City Capital Resource Corp. RB for Rensselaer Polytechnic Institute Project Series 2010 A (BBB+/A3)
	5,000,000		5.125		09/01/40	5,438,200
Westchester County Local Development Corporation RB for Westchester Medical Center Obligated Group Project Series 2016 (BBB/Baa2)
	4,375,000		5.000		11/01/46	4,723,556

						141,560,018

North Carolina – 0.2%
Columbus County Industrial Facilities and Pollution Control Financing Authority Recovery Zone Facility RB Series 2010 A (BBB/Baa2)
	1,000,000		5.700		05/01/34	1,106,430
North Carolina Medical Care Commission Health Care Facilities RB Refunding First Mortgage for Lutheran Services for the Aging Series 2012 A (NR/NR)
	3,800,000		4.750		03/01/32	3,903,474
	1,000,000		5.000		03/01/37	1,030,880
	1,000,000		5.000		03/01/42	1,029,180
North Carolina Medical Care Commission Retirement Facilities RB Refunding First Mortgage for United Church Homes and Services Series 2015 A (NR/NR)
	1,000,000		4.500		09/01/30	1,019,290
	2,000,000		5.000		09/01/37	2,071,600

						10,160,854

Ohio – 5.3%
Bowling Green City Student Housing RB for CFP I LLC - Bowling Green State University Project Series 2010 (BBB-/NR)
	7,000,000		6.000		06/01/45	7,362,110
Buckeye Ohio Tobacco Settlement Financing Authority RB Asset-Backed Bonds for Capital Appreciation 1st Subordinate Series 2007 B (NR/NR)^(b)
	146,850,000		0.000		06/01/47	10,349,988
Buckeye Ohio Tobacco Settlement Financing Authority RB Asset-Backed Bonds for Capital Appreciation 2nd Subordinate Series 2007 C (NR/NR)^(b)
	5,550,000		0.000		06/01/52	157,010
Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/B3)
	20,000,000		6.500		06/01/47	20,038,000
	5,440,000		5.875		06/01/47	5,286,810
Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/Caa1)
	70,300,000		5.125		06/01/24	67,860,590
	63,565,000		5.875		06/01/30	62,129,702
	4,420,000		5.750		06/01/34	4,271,488
Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-3 (B-/Caa1)
	23,905,000		6.250		06/01/37	24,163,891
Centerville Ohio Health Care RB Refunding and Improvement for Graceworks Lutheran Services Series 2017 (NR/NR)
	2,400,000		5.250		11/01/37	2,561,424
	2,700,000		5.250		11/01/47	2,849,526
	2,320,000		5.250		11/01/50	2,442,635
Cleveland Airport Special RB for Continental Airlines, Inc. Project Series 1998 (AMT) (BB-/Ba3)
	22,320,000		5.375		09/15/27	22,382,719


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Ohio – (continued)
Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2017 (BBB-/Baa3)
$	7,500,000		5.000	%	02/15/42	$ 7,963,950
	7,500,000		4.750		02/15/47	7,673,850
	1,500,000		5.000		02/15/57	1,569,795
	1,000,000		5.500		02/15/57	1,095,230
Hamilton County Health Care RB Refunding for Life Enriching Community Project Series 2012 (BBB/NR)
	2,000,000		5.000		01/01/42	2,091,620
	1,610,000		5.000		01/01/46	1,678,119
Muskingum County Hospital Facilities RB Refunding for Genesis Healthcare System Project Series 2013 (BB+/Ba2)
	8,000,000		5.000		02/15/48	8,316,480

						262,244,937

Oklahoma – 1.2%
Oklahoma Development Finance Authority RB Provident Oklahoma Education Resources Inc., Cross Village Student Housing Project Series 2017 A (BBB-/NR)
	6,220,000		5.000		08/01/47	6,693,777
	14,075,000		5.000		08/01/52	15,135,129
	3,875,000		5.250		08/01/57	4,219,449
Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2001 A (AMT) (NR/NR)
	2,680,000		5.500		12/01/35	2,812,499
Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2001 B (AMT) (NR/NR)
	24,300,000		5.500		12/01/35	25,501,392
Tulsa Municipal Airport Trust RB Refunding for American Airlines, Inc. Series 2015 (AMT) (BB-/NR)^(f)
	3,500,000		5.000		06/01/25	3,781,785
Weatherford Hospital Authority RB Series 2006 (NR/NR)
	2,100,000		6.000		05/01/25	2,145,234
	865,000		6.000		05/01/31	883,632

						61,172,897

Oregon – 0.2%
University of Oregon RB Series 2015 A (AA-/Aa2)
	7,345,000		5.000		04/01/45	8,363,017

Pennsylvania – 2.9%
Allegheny County Higher Education Building Authority RB for Chatham University Series 2012 A (BBB/NR)
	1,500,000		5.000		09/01/30	1,602,015
	1,000,000		5.000		09/01/35	1,039,960
Allentown Neighborhood Improvement Zone Development Authority Tax RB for Center Project Series 2017 (NR/Ba1)^(e)(g)
	900,000		5.000		05/01/32	950,715
	5,750,000		5.000		05/01/42	5,957,345
Allentown Neighborhood Improvement Zone Development Authority Tax RB Series 2012 A (NR/Baa2)
	18,000,000		5.000		05/01/42	18,700,920
Chester County IDA Student Housing RB for University Student Housing, LLC Project West Chester University Series 2013 A (NR/Baa3)
	500,000		5.000		08/01/35	530,010
	1,000,000		5.000		08/01/45	1,047,900
City of Philadelphia GO Bonds Series 2011 (A+/A2)
	4,000,000		6.000		08/01/36	4,514,800
Clairton Municipal Authority Sewer RB Series 2012 B (BBB+/NR)
	1,000,000		5.000		12/01/42	1,085,010
County of Allegheny GO Notes Refunding Series 2007 C-59B (AGM) (AA/A1)^(c)
	1,000,000		1.334		11/01/26	983,050


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Pennsylvania – (continued)
Cumberland County Municipal Authority RB for Diakon Lutheran Social Ministries Project Series 2015 (BBB+/NR)
$	1,500,000		5.000	%	01/01/38	$ 1,622,415
Geisinger Authority Health System RB for Geisinger Health System Series 2007 (AA/Aa2)^(c)
	49,750,000		1.554		05/01/37	42,668,585
Lancaster County Hospital Authority Health Facilities RB for St. Anne’s Retirement Community, Inc. Project Series 2012 (BB+/NR)
	1,400,000		5.000		04/01/27	1,467,158
	1,500,000		5.000		04/01/33	1,543,815
Pennsylvania Economic Development Financing Authority RB for The Pennsylvania Rapid Bridge Replacement Project Series 2015 (AMT) (BBB/NR)
	8,500,000		5.000		06/30/42	9,468,575
Pennsylvania Economic Development Financing Authority Sewage Sludge Disposal RB for Philadelphia Biosolids Facility Project Series 2009 (BBB+/Baa3)
	7,400,000		6.250		01/01/32	7,833,418
Pennsylvania Economic Development Financing Authority Special Facilities RB for US Airways Group, Inc. Project Series 2010 B (BB-/B1)
	2,460,000		8.000		05/01/29	2,770,428
Pennsylvania Higher Educational Facilities Authority RB for Foundation for Indiana University of Pennsylvania Series 2007 A (XLCA) (BBB+/WR)^(c)
	13,095,000		1.369		07/01/27	12,650,687
	10,750,000		1.419		07/01/39	8,595,807
Pennsylvania Higher Educational Facilities Authority RB for La Salle University Series 2012 (BBB/NR)
	4,000,000		5.000		05/01/42	4,215,200
Pennsylvania Higher Educational Facilities Authority Student Housing RB Refunding for University Properties, Inc. Student Housing Project Series 2016 A (NR/Baa3)
	400,000		5.000		07/01/35	432,768
Philadelphia Hospitals & Higher Education Facilities Authority RB Refunding for Temple University Health System Obligated Group Series 2012 B (BBB-/Ba1)
	5,000,000		6.250		07/01/23	5,019,350
Scranton City GO Refunding Notes Series 2016 (BB/NR)
	1,875,000		5.000		11/15/26	1,956,675
	2,625,000		5.000		11/15/32	2,669,021
Scranton Redevelopment Authority RB Refunding for Guaranteed Lease Series 2016 A (MUN GOVT GTD) (BB/NR)
	1,700,000		5.000		11/15/21	1,763,852
	2,450,000		5.000		11/15/28	2,496,844

						143,586,323

Puerto Rico – 5.7%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2008 A (CC/Caa3)
	56,440,000		6.000		07/01/38	45,575,300
	25,995,000		6.000		07/01/44	20,925,975
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Caa3)
	115,000		4.500		07/01/27	89,700
	370,000		5.000		07/01/30	288,600
	5,115,000		5.125		07/01/37	3,976,912
	12,835,000		5.250		07/01/42	9,979,213
	3,470,000		6.000		07/01/47	2,784,675
Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2006 A (D/Caa3)^(h)
	115,000		5.250		07/01/30	68,281


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Puerto Rico – (continued)
Puerto Rico Commonwealth GO Bonds Series 2014 A (D/Caa3)^(h)
$	30,460,000		8.000	%	07/01/35	$ 18,504,450
Puerto Rico Commonwealth GO Refunding Bonds for Public Improvement Series 2012 A (D/Caa3)^(h)
	5,185,000		5.500		07/01/39	3,085,075
Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AGC-ICC) (AA/A3)
	200,000		5.250		07/01/41	219,422
Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (AMBAC) (CC/C)
	27,515,000		5.250		07/01/38	29,082,254
Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2005 L (NATL-RE) (A/A3)
	1,095,000		5.250		07/01/35	1,165,562
Puerto Rico Commonwealth Highway & Transportation Authority RB Refunding Series 2007 N (NATL-RE) (A/A3)
	200,000		5.250		07/01/33	214,130
Puerto Rico Commonwealth Highway & Transportation Authority RB Series 2003 (CC/C)^(h)
	215,000		5.000		07/01/28	34,400
Puerto Rico Commonwealth Infrastructure Financing Authority Special Tax RB Series 2005 C (AMBAC) (D/C)
	1,500,000		5.500		07/01/23	1,620,360
	1,000,000		5.500		07/01/27	1,092,810
Puerto Rico Commonwealth Public Improvement GO Bonds Series 2007 A (D/Caa3)^(h)
	4,000,000		5.250		07/01/32	2,375,000
	4,000,000		5.250		07/01/37	2,365,000
Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2009 B (D/Caa3)^(h)
	645,000		5.875		07/01/36	387,000
Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2011 A (D/Caa3)^(h)
	1,260,000		5.750		07/01/41	738,675
Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2011 C (D/Caa3)^(h)
	140,000		6.000		07/01/35	82,950
	205,000		6.500		07/01/40	124,281
Puerto Rico Commonwelath Highway & Transportation Authority RB Refunding Series 2007 CC (AGM) (AA/A2)
	300,000		5.250		07/01/33	333,798
	680,000		5.250		07/01/34	755,507
	1,025,000		5.250		07/01/36	1,126,721
Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)^(c)
	42,317,000		1.289		07/01/29	33,642,015
Puerto Rico Electric Power Authority RB Refunding Series 2010 ZZ (D/Caa3)
	9,700,000		5.250		07/01/26	5,917,000
Puerto Rico Electric Power Authority RB Refunding Series 2012 A (D/Caa3)
	19,720,000		5.000		07/01/42	12,029,200
Puerto Rico Electric Power Authority RB Series 2008 WW (D/Caa3)
	2,000,000		5.500		07/01/20	1,220,000
	3,275,000		5.000		07/01/28	1,997,750
	825,000		5.250		07/01/33	503,250
Puerto Rico Electric Power Authority RB Series 2010 XX (D/Caa3)
	7,590,000		5.250		07/01/40	4,629,900


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Puerto Rico – (continued)
Puerto Rico Electric Power Authority RB Series 2013 A (D/Caa3)
$	5,210,000		7.000	%	07/01/33	$ 3,178,100
	5,205,000		6.750		07/01/36	3,175,050
	5,440,000		7.000		07/01/40	3,318,400
Puerto Rico Electric Power Authority RB Series 2016 A-4 (NR/NR)
	747,236		10.000		07/01/19	784,598
Puerto Rico Electric Power Authority RB Series 2016 B-4 (NR/NR)
	747,235		10.000		07/01/19	784,597
Puerto Rico Electric Power Authority RB Series 2016 E-1 (NR/NR)
	5,036,850		10.000		01/01/21	5,288,693
Puerto Rico Electric Power Authority RB Series 2016 E-2 (NR/NR)
	5,036,850		10.000		07/01/21	5,288,693
Puerto Rico Electric Power Authority RB Series 2016 E-3 (NR/NR)
	1,678,950		10.000		01/01/22	1,762,898
Puerto Rico Electric Power Authority RB Series 2016 E-4 (NR/NR)
	1,678,950		10.000		07/01/22	1,762,898
Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (AMBAC) (CC/C)
	3,280,000		5.250		07/01/31	3,500,416
Puerto Rico Highway & Transportation Authority RB Refunding Series 2007 N (ASSURED GTY) (AA/A3)
	265,000		5.250		07/01/34	294,444
	960,000		5.250		07/01/36	1,061,626
Puerto Rico Infrastructure Financing Authority Special Tax RB Series 2005 A (AMBAC) (D/C)^(b)
	4,750,000		0.000		07/01/34	1,754,412
	3,750,000		0.000		07/01/35	1,306,163
Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2009 P (COMWLTH GTD) (D/Caa3)
	1,000,000		6.125		07/01/23	537,500
Puerto Rico Sales Tax Financing Corp. RB First Subseries 2009 A (D/Ca)^(h)
	2,000,000		6.375		08/01/39	515,000
	2,700,000		6.000		08/01/42	695,250
Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 A (D/Ca)^(h)
	500,000		5.000		08/01/26	128,750
	4,925,000		5.375		08/01/39	1,268,187
	8,470,000		5.500		08/01/42	2,181,025
Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C (D/Ca)^(h)
	40,875,000		5.250		08/01/41	10,525,312
Puerto Rico Sales Tax Financing Corp. RB First Subseries 2010 C (D/Ca)^(b)(h)
	25,000,000		0.000		08/01/39	1,435,250
Puerto Rico Sales Tax Financing Corp. RB First Subseries 2011 A-1 (D/Ca)^(h)
	1,500,000		5.000		08/01/43	386,250
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation First Subseries 2009 A (D/Ca)^(h)
	23,300,000		6.750		08/01/32	5,999,750
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (D/Ca)^(b)(h)
	10,000,000		0.000		08/01/33	837,300
	35,085,000		0.000		08/01/35	2,555,591


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Puerto Rico – (continued)
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Series 2010 A (D/Ca)^(a)(h)
$	10,130,000		0.000	%	08/01/33	$ 2,203,275
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2009 A (D/Ca)^(b)(h)
	35,100,000		0.000		08/01/34	2,575,638
Puerto Rico Sales Tax Financing Corp. RB for Capital Appreciation Subseries 2010 C (D/Ca)^(b)(h)
	8,400,000		0.000		08/01/37	549,780
Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (D/Ca)^(h)
	32,290,000		6.500		08/01/44	8,314,675
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding First Subseries 2010 C (D/Ca)^(h)
	9,580,000		5.500		08/01/40	2,466,850
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 A-1 (D/Ca)^(h)
	500,000		5.250		08/01/43	128,750
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Series 2011 C (D/Caa3)^(h)
	500,000		5.000		08/01/40	298,750
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Refunding Subseries A (D/Ca)^(h)
	485,000		5.750		08/01/37	124,887

						283,923,924

Rhode Island – 0.3%
Rhode Island Health and Educational Building Corp. RB Refunding for Care New England Series 2013 A (BB/NR)^(d)
	2,500,000		6.000		09/01/23	3,137,050
Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2007 B (CCC/NR)^(b)
	124,220,000		0.000		06/01/52	11,253,090

						14,390,140

South Carolina – 0.3%
Lancaster County Assessment RB for Edgewater Improvement District Series 2003 A (NR/NR)
	3,481,000		6.875		11/01/35	3,490,782
South Carolina Jobs - Economic Development Authority Hospital RB Refunding for Palmetto Health Series 2011 A (AGM) (AA/A2)
	4,000,000		6.500		08/01/39	4,652,400
South Carolina Public Service Authority RB Tax-Exempt Series 2015 E (AA-/A1)
	7,750,000		5.250		12/01/55	8,586,845

						16,730,027

Tennessee – 0.7%
Bristol Industrial Development Board RB for The Pinnacle Project Series 2016 A (NR/NR)^(e)
	7,150,000		5.000		12/01/35	7,006,428
	12,450,000		5.125		12/01/42	12,079,488
Johnson City Health & Educational Board Retirement Facilities RB for Mountain States Health Alliance Series 2012 A (BBB+/Baa1)
	1,500,000		5.000		08/15/42	1,600,020
Johnson City Health & Educational Facilities Board RB for Mountain States Health Alliance Series 2010 A (BBB+/Baa1)
	5,500,000		6.500		07/01/38	6,085,695


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Tennessee – (continued)
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Vanderbilt University Medical Center Series 2016 A (NR/A3)
$	2,500,000		5.000	%	07/01/40	$ 2,817,800
	4,200,000		5.000		07/01/46	4,709,670
Shelby County Health Educational & Housing Facilities Board RB Refunding for The Village at Germantown Residential Care Facility Mortgage Series 2012 (NR/NR)
	2,000,000		5.375		12/01/47	2,082,040

						36,381,141

Texas – 5.1%
Bexar County Texas Health Facilities Development Corp. RB for Army Retirement Residence Foundation Project Series 2010 (BBB/NR)^(d)
	3,250,000		6.200		07/01/20	3,720,080
Board of Managers, Joint Guadalupe County - City of Seguin Hospital Mortgage Improvement RB Refunding Bonds Series 2015 (BB/NR)
	1,950,000		5.250		12/01/35	2,105,084
	2,435,000		5.000		12/01/40	2,540,070
	1,950,000		5.000		12/01/45	2,020,239
Brazos River Authority Bonds Series 2003 (NR/NR)^(h)
	9,275,000		6.750		10/01/38	—
Brazos River Authority Bonds Series 2006 (NR/NR)^(h)
	4,740,000		5.000		03/01/41	—
Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2015 A (BBB+/Baa2)
	3,900,000		5.000		01/01/45	4,321,668
Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2016 (BBB+/Baa2)
	1,600,000		5.000		01/01/40	1,789,840
	2,465,000		5.000		01/01/46	2,734,425
City of Celina Texas Municipal Corp. Special Assessment RB for Wells South Public Improvement District Major Improvement Area Project Series 2015 (NR/NR)
	3,920,000		7.500		09/01/45	4,283,658
City of Celina Texas Municipal Corp. Special Assessment RB for Wells South Public Improvement District Neighorhood Improvement Area #1 Project Series 2015 (NR/NR)
	1,845,000		6.250		09/01/45	1,910,331
Dallas County Flood Control District No. 1 Unlimited Tax GO Refunding Series 2015 (NR/NR)^(e)
	3,250,000		5.000		04/01/32	3,382,795
Fort Bend County Industrial Development Corp. RB for NRG Energy, Inc. Project Series 2012 A (NR/Baa3)
	1,545,000		4.750		05/01/38	1,599,199
Fort Bend County Industrial Development Corp. RB for NRG Energy, Inc. Project Series 2012 B (NR/Baa3)
	5,685,000		4.750		11/01/42	5,862,429
Grand Parkway Transportation Corp. System Toll Convertible RB Series 2013 B (AA+/NR)^(a)
	10,370,000		0.000		10/01/46	9,343,577
Grand Parkway Transportation Corp. System Toll RB First Tier Series 2013 A (BBB/NR)
	11,850,000		5.500		04/01/53	13,530,212
Harris County Cultural Education Facilities Finance Corp. RB First Mortgage for Brazos Presbyterian Homes, Inc. Project Series 2013 B (BB+/NR)^(d)
	3,030,000		7.000		01/01/23	3,895,277
Harris County Toll Road RB Refunding Senior Lien Series 2007 B (AMBAC) (AA-/Aa2)^(c)
	1,000,000		1.462		08/15/35	880,070


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Texas – (continued)
Houston Airport System Special Facilities RB for Continental Airlines, Inc. Terminal Improvement Projects Series 2011 A (AMT) (BB-/Ba3)
$	9,000,000		6.625	%	07/15/38	$ 9,990,180
Houston Airport System Special Facilities RB Refunding for United Airlines, Inc. Terminal E Project Series 2014 A (AMT) (BB-/Ba3)
	9,250,000		5.000		07/01/29	9,948,930
Houston Airport System Special Facilities RB Refunding for United Airlines, Inc. Terminal Improvement Projects Series 2015 B-1 (AMT) (BB-/NR)
	7,500,000		5.000		07/15/35	7,926,000
Houston Independent School District Limited Tax GO Refunding Bonds Series 2017 (PSF-GTD) (AAA/Aaa)
	14,575,000		4.000		02/15/42	15,335,232
Houston Utilities System RB Refunding First Lien Series 2016 B (AA/Aa2)
	11,380,000		5.000		11/15/36	13,356,592
Kaufman County Fresh Water Supply District No. 1-C Refunding for Road Series 2016 C (AGM) (AA/NR)
	525,000		4.000		09/01/29	557,225
	1,100,000		3.000		09/01/32	996,644
	1,400,000		4.000		09/01/35	1,431,206
Lower Neches Valley Authority Industrial Development Corp. RB Refunding for Exxonmobil Project Series 2012 (AA+/Aaa)^(f)
	8,000,000		0.900		07/03/17	8,000,000
Matagorda County Texas Navigation District No. 1 PCRB Refunding for Central Power & Light Co. Project RMKT 07/01/09 Series 2001 A (A-/Baa1)
	5,200,000		6.300		11/01/29	5,604,404
Mission Economic Development Corp. RB for Natgasoline Project Senior Lien Series 2016 A (AMT) (BB-/NR)^(e)
	14,000,000		5.750		10/01/31	14,674,100
Mission Economic Development Corp. RB for Natgasoline Project Senior Lien Series 2016 B (AMT) (BB-/NR)^(e)
	9,500,000		5.750		10/01/31	9,957,425
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for NCCD College Station Properties LLC, Texas A&M University Project Series 2015 A (BBB-/Baa3)
	6,180,000		5.000		07/01/47	6,577,127
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC - Texas A&M University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Baa3)
	335,000		5.000		04/01/31	370,135
	300,000		5.000		04/01/36	324,678
	1,250,000		5.000		04/01/48	1,333,375
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Tarleton State University Collegiate Housing Project Series 2015 A (BBB-/Baa3)
	1,000,000		5.000		04/01/47	1,040,250
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Texas A&M University at Galveston Collegiate Housing Project Series 2014 A (NR/Baa3)
	1,385,000		4.750		04/01/46	1,397,617
North Texas Tollway Authority RB First Tier Series 2009 A (A/A1)
	4,790,000		6.250		01/01/39	5,117,253
North Texas Tollway Authority System RB Refunding First Tier Series 2016 A (A/A1)
	3,000,000		5.000		01/01/39	3,410,460


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Texas – (continued)
Rowlett Special Assessment RB for Bayside Public Improvement District North Improvement Area Project Series 2016 (NR/NR)
$	280,000		5.750	%	09/15/36	$ 268,976
	750,000		6.000		09/15/46	715,245
Sabine River Authority Tax Bonds Series 2005 (NR/NR)^(h)
	5,950,000		5.200		05/01/28	—
Tarrant County Cultural Education Facilities Finance Corp. RB Refunding for Air Force Village Obligated Group Series 2016 (BB+/NR)
	7,300,000		5.000		05/15/45	7,456,731
Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2006 B (BBB+/Baa1)^(c)
	7,825,000		1.535		12/15/26	7,394,312
Texas Municipal Gas Acquisition & Supply Corp. I RB Senior Lien Series 2008 D (BBB+/Baa1)
	18,785,000		6.250		12/15/26	22,941,369
Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Blueridge Transportation Group, LLC SH 288 Toll Lanes Project Series 2016 (AMT) (BBB-/Baa3)
	3,900,000		5.000		12/31/50	4,266,366
	3,900,000		5.000		12/31/55	4,251,507
Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009 (BBB-/Baa2)
	7,500,000		6.875		12/31/39	8,334,075
Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2013 (AMT) (BBB-/Baa3)
	5,000,000		6.750		06/30/43	5,644,200
Texas Transportation Commission Central Turnpike System RB Refunding Second Tier Series 2015 C (BBB+/Baa1)
	7,850,000		5.000		08/15/42	8,621,341
Viridian Municipal Management District Tarrant County Special Assessment RB Series 2015 (NR/NR)
	301,000		4.000		12/01/21	312,944
	500,000		4.000		12/01/27	492,870
	1,550,000		4.750		12/01/35	1,550,883

						253,518,606

Utah – 0.6%
Carbon County Solid Waste Disposal RB Refunding for Sunnyside Cogeneration Series 1999 A (AMT) (NR/NR)
	17,870,000		7.100		08/15/23	19,554,069
Salt Lake City RB for International Airport Series 2017 A (AMT) (A+/A2)
	11,000,000		5.000		07/01/47	12,549,680

						32,103,749

Vermont – 0.0%
Vermont Educational & Health Buildings Financing Agency RB for St. Michael’s College Project Series 2012 (BBB+/Baa1)
	2,250,000		5.000		10/01/42	2,391,255

Virgin Islands – 0.7%
Virgin Islands Public Finance Authority RB Matching Fund Loan Note Senior Lien Series 2010 A (B/Caa1)
	15,350,000		5.000		10/01/25	12,932,375
	7,910,000		5.000		10/01/29	6,614,738
Virgin Islands Public Finance Authority RB Matching Fund Loan Note Series 2012 A (B/Caa1)
	6,080,000		5.000		10/01/32	5,023,600


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Virgin Islands – (continued)
Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series 2014 C (B-/NR)
$	8,350,000		5.000	%	10/01/39	$ 6,095,500
Virgin Islands Public Finance Authority RB Refunding Series 2014 C (AGM) (AA/A2)
	3,515,000		5.000		10/01/39	3,691,101
Virgin Islands Public Finance Authority RB Senior Lien Matching Fund Loan Notes Refunding for Cruzan Project Series 2009 A (NR/Caa2)
	2,000,000		6.000		10/01/39	1,475,000

						35,832,314

Virginia – 0.7%
Alexandria City IDA for Residential Care Facilities Mortgage RB for Goodwin House, Inc. Series 2015 (BBB/NR)
	2,700,000		5.000		10/01/45	2,967,192
Mosaic District Community Development Authority RB Series 2011 A (NR/NR)
	3,115,000		6.250		03/01/21	3,416,252
	2,000,000		6.625		03/01/26	2,195,880
	7,000,000		6.875		03/01/36	7,699,650
Tobacco Settlement Financing Corp. RB for Capital Appreciation Subseries 2007 C (CCC+/NR)^(b)
	149,475,000		0.000		06/01/47	14,113,429
Washington County IDA RB for Mountain States Health Alliance Series 2009 C (BBB+/Baa1)
	4,000,000		7.750		07/01/38	4,304,480

						34,696,883

Washington – 0.7%
Central Puget Sound Regional Transit Authority Sales Tax & Motor Vehicle Excise Tax RB Series 2016 S-1 (AAA/Aa1)
	10,000,000		5.000		11/01/46	13,269,000
Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 A (NR/NR)^(e)(i)
	3,955,000		14.048		01/01/23	5,200,825
Puttable Floating Option Tax-Exempt Receipts (RITES) GO Bonds Series 2009 B (NR/NR)^(e)(i)
	4,150,000		14.053		01/01/24	5,452,934
Skagit County Public Hospital District No. 1 RB for Skagit Valley Hospital Series 2010 (NR/Baa2)
	4,000,000		5.750		12/01/35	4,318,200
Washington Health Care Facilities Authority RB for Kadlec Regional Medical Center Series 2012 (NR/WR)^(d)
	3,000,000		5.000		12/01/21	3,474,840
Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 A (ASSURED GTY) (AA/Aa3)^(d)
	750,000		6.000		08/15/19	825,210
Washington Health Care Facilities Authority RB for MultiCare Health System RMKT 02/26/09 Series 2008 B (ASSURED GTY) (AA/Aa3)^(d)
	1,750,000		6.000		08/15/19	1,925,490

						34,466,499

West Virginia – 0.1%
West Virginia Economic Development Authority Solid Waste Disposal Facilities RB Refunding for Appalachian Power Co. - Amos Project Series 2010 A (A-/Baa1)
	4,000,000		5.375		12/01/38	4,397,520


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Wisconsin – 0.8%
Public Finance Authority Exempt Facilities RB Refunding for Celanese Project Series 2016 C (AMT) (BBB-/Baa3)
$	5,900,000		4.300	%	11/01/30	$ 6,016,938
Public Finance Authority Limited Obligation RB for American Dream @ Meadowlands Project Series 2017 (NR/NR)^(e)
	9,490,000		7.000		12/01/50	9,931,570
Public Finance Authority Pass-Through RB for Natgasoline LLC Series 2016 (NR/NR)^(e)
	22,050,000		10.000		06/30/21	22,130,042
Public Finance Authority Student Housing RB for CHF-Cullowhee, LLC-Western Carolina University Project Series 2015 A (BBB-/NR)
	3,250,000		5.250		07/01/47	3,394,267

						41,472,817

TOTAL INVESTMENTS – 97.7% (Cost $4,722,700,574)						$4,878,147,790

OTHER ASSETS IN EXCESS OF LIABILITIES – 2.3%						113,717,695

NET ASSETS – 100.0%						$4,991,865,485



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Zero coupon bond until next reset date.

(b)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(c)		Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(d)		Pre-refunded security. Maturity date disclosed is pre-refunding date.

(e)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $238,815,694, which represents approximately 4.8% of net assets as of June 30, 2017.

(f)		Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on June 30, 2017.

(g)		When-issued security.

(h)		Security is currently in default.

(i)		Inverse floating rate security. Interest rate disclosed is that which is in effect on June 30, 2017.

Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.



Investment Abbreviations:
AGC-ICC	—	Agency Insured Custody Certificate
AGM	—	Insured by Assured Guaranty Municipal Corp.
AMBAC	—	Insured by American Municipal Bond Assurance Corp.
AMT	—	Alternative Minimum Tax
ASSURED GTY	—	Insured by Assured Guaranty
BAM	—	Build America Mutual Assurance Co.
BHAC-CR	—	Insured by Berkshire Hathaway Assurance Corp. - Insured Custodial Receipts
COMWLTH GTD	—	Commonwealth Guaranteed
COPS	—	Certificates of Participation
FGIC	—	Insured by Financial Guaranty Insurance Co.
FHA	—	Federal Housing Administration
GO	—	General Obligation
IDA	—	Industrial Development Authority
LIBOR	—	London Interbank Offered Rate
MUN GOVT GTD	—	Municipal Government Guaranteed
NATL-RE	—	Insured by National Public Finance Guarantee Corp.
NATL-RE FGIC	—	Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co.
NR	—	Not Rated
PCRB	—	Pollution Control Revenue Bond
PILOT	—	Payment in Lieu of Taxes
PSF-GTD	—	Guaranteed by Permanent School Fund
Q-SBLF	—	Qualified School Board Loan Fund
RB	—	Revenue Bond
RITES	—	Residual Interest Tax Exempt Securities
RMKT	—	Remarketed
ST AID WITHHLDG	—	State Aid Withholding
ST APPROP	—	State Appropriation
WR	—	Withdrawn Rating
XLCA	—	Insured by XL Capital Assurance, Inc.


For information on the mutual funds, please call our toll-free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – 99.2%
Alabama – 1.9%
Alabama 21st Century Authority Tobacco Settlement RB Series 2012 A (A/NR)
$	1,500,000		5.000	%	06/01/18	$ 1,551,285
Alabama State GO Bonds Series 2007 A (AGM) (AA/Aa1)
	5,020,000		5.000		08/01/17	5,034,407
Alabama State Public School & College Authority Capital Improvement RB Refunding Series 2014 B (AA/Aa1)
	8,275,000		5.000		01/01/21	9,327,249
Auburn University General Fee RB Series 2011 A (AA-/Aa2)^(a)
	35,345,000		5.000		06/01/21	40,319,809
Black Belt Energy Gas District RB Series 2016 A (NR/A1)^(b)
	20,000,000		4.000		06/01/21	21,603,800
Houston County Health Care Authority RB for Southeast Alabama Medical Center Series 2016 A (BBB/NR)
	100,000		3.000		10/01/17	100,341
	210,000		3.000		10/01/18	213,219
	160,000		3.000		10/01/19	163,525
	75,000		4.000		10/01/20	79,538
	85,000		4.000		10/01/21	91,011
	85,000		4.000		10/01/22	91,349
Industrial Development Board PCRB for Alabama Power Company Barry Plant Project RMKT 03/20/17 Series 2007 A (A-/A1)^(b)
	6,000,000		1.850		03/24/20	6,038,100
Jefferson County Subordinate Lien Sewer RB Warrants Series 2013 D (BBB-/NR)
	1,750,000		5.000		10/01/17	1,764,035
	1,875,000		5.000		10/01/18	1,945,388
	1,300,000		5.000		10/01/21	1,421,056
	1,745,000		5.000		10/01/22	1,929,778

						91,673,890

Alaska – 0.1%
Northern Tobacco Securitization Corp. RB Asset-Backed Bonds Series 2006 A (NR/Ba2)
	3,260,000		4.625		06/01/23	3,261,174

Arizona – 3.6%
Arizona Health Facilities Authority Hospital RB for Banner Health Series 2007 B (AA-/NR)^(c)
	52,475,000		1.579		01/01/37	45,496,350
Arizona Health Facilities Authority Hospital RB Refunding for Phoenix Children’s Hospital Series 2013 A (BBB+/NR)^(b)
	5,000,000		2.760		02/05/20	5,080,600
Arizona School Facilities Board COPS Refunding Series 2015 A (AA-/Aa3)
	8,000,000		5.000		09/01/20	8,900,800
Arizona Transportation Board Excise Tax RB Refunding for Regional Area Road Series 2014 (AA+/Aa1)
	4,150,000		5.000		07/01/19	4,466,230
Arizona Transportation Board Excise Tax RB Refunding for Regional Area Road Series 2016 (AA+/Aa1)
	5,820,000		5.000		07/01/21	6,658,720
Glendale City GO Refunding Bonds Series 2015 (AGM) (AA/A1)
	365,000		4.000		07/01/18	375,461
	1,600,000		4.000		07/01/19	1,688,304
	3,000,000		4.000		07/01/20	3,240,150
	3,400,000		4.000		07/01/21	3,734,628
	1,665,000		5.000		07/01/22	1,930,917
Glendale City Senior Lien Water & Sewer RB Refunding Obligations Series 2012 (AA/A1)
	1,500,000		5.000		07/01/17	1,500,000


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Arizona – (continued)
Glendale City Senior Lien Water & Sewer RB Refunding Obligations Series 2015 (AA/A1)
$	10,830,000		5.000	%	07/01/19	$ 11,639,759
Maricopa County Arizona COPS Series 2015 (AA+/Aa1)
	9,000,000		3.000		07/01/18	9,178,830
Maricopa County Arizona Paradise Valley Unified School District No. 69 GO Refunding Bonds for School Improvement Project of 2011 Series 2015 E (AA/Aa2)
	12,115,000		3.000		07/01/19	12,558,652
Maricopa County Arizona Pollution Control Corp. PCRB Refunding for Arizona Public Service Co. Palo Verde Project RMKT 05/30/13 Series 2009 C (A-/A2)^(b)
	6,500,000		1.750		05/30/18	6,523,725
Maricopa County Arizona School Improvement Refunding for Peoria Unified School District No. 11 Series 2015 (AGM) (AA/A2)
	3,000,000		4.000		07/01/19	3,169,230
Maricopa County Community College District GO Bonds Series 2013 (AAA/Aaa)
	10,010,000		3.000		07/01/19	10,380,570
Maricopa County Community College District GO Refunding Bonds Series 2016 (AAA/Aaa)
	16,400,000		5.000		07/01/23	19,601,936
Maricopa County Phoenix High School District No. 210 School Improvement GO Refunding Bonds Series 2014 (AA/Aa2)
	1,000,000		4.000		07/01/18	1,029,560
	1,000,000		3.000		07/01/19	1,035,820
Pima County COPS Series 2016 A (A+/NR)
	5,335,000		5.000		12/01/18	5,617,648
Pima County GO Bonds Series 2013 A (AA-/NR)
	1,405,000		1.750		07/01/17	1,405,000
Yavapai County IDA Solid Waste Disposal RB for Waste Management, Inc. Project Series 2002 (AMT) (A-/NR)^(b)
	5,000,000		2.125		06/01/18	5,021,600

						170,234,490

Arkansas – 0.8%
Arkansas Development Finance Authority State Park Facilities RB Refunding for Mt. Magazine Project Series 2012 (AGM) (AA/NR)
	1,885,000		3.000		01/01/18	1,903,888
Arkansas State GO Bonds for Four-Lane Highway Construction & Improvement Series 2013 (AA/Aa1)
	17,775,000		3.250		06/15/22	19,052,845
Jefferson County Pollution Control RB Refunding for Entergy Arkansas, Inc. Project Series 2013 (A/A2)
	3,000,000		1.550		10/01/17	3,003,210
Little Rock Arkansas School District GO Refunding Bonds Series 2015 (ST AID WITHHLDG) (NR/Aa2)
	6,000,000		3.000		02/01/21	6,328,800
Little Rock Arkansas Sewer RB Refunding Series 2015 (NR/Aa3)
	1,240,000		3.000		04/01/20	1,295,440
	1,075,000		3.000		10/01/20	1,129,922
Springdale Arkansas Sales and Use Tax RB Series 2012 (AA-/NR)
	1,915,000		2.000		11/01/17	1,921,377
	1,465,000		2.000		11/01/18	1,482,023
	720,000		2.000		11/01/19	730,649

						36,848,154


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – 8.9%
Alameda Corridor Transportation Authority RB for Capital Appreciation Refunding Subordinate Lien Series 2004 A (AMBAC) (BBB+/Baa2)^(d)
$	745,000		0.000	%	10/01/19	$ 705,053
	255,000		0.000		10/01/20	234,399
Alameda Corridor Transportation Authority RB for Capital Appreciation Refunding Subordinate Lien Series 2004 A (ETM) (AMBAC) (AAA/Aaa)^(a)(d)
	9,420,000		0.000		10/01/19	9,183,558
	12,300,000		0.000		10/01/20	11,806,278
Anaheim Redevelopment Agency Tax Allocation Refunding for Merged Redevelopment Project Area Series 2007 A (AGM) (AA/A2)
	50,000		5.000		02/01/24	51,136
Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 05/01/13 Series 2006 C-1 (AA/Aa3)^(b)
	10,000,000		1.810		05/01/23	10,198,400
Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 06/03/13 Series 2006 C-1 (AA/Aa3)^(b)
	7,000,000		1.810		05/01/23	7,138,880
Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area RMKT 12/20/12 Series 2007 E-3 (AA/Aa3)^(b)
	1,225,000		1.610		10/01/19	1,231,823
Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area Series 2001 A (AA/NR)^(b)
	15,000,000		2.160		04/01/27	15,444,450
Bay Area Toll Authority Toll Bridge Authority RB for San Francisco Bay Area Series 2014 (AA/Aa3)^(b)
	2,000,000		1.500		04/02/18	2,002,440
Benicia Unified School District GO Refunding Bonds Series 1997 A (NATL-RE FGIC) (A+/Aa3)^(d)
	1,735,000		0.000		08/01/17	1,733,838
	1,510,000		0.000		08/01/18	1,492,076
Bonita Canyon Public Facilities Financing Authority Special Tax for Community Facilities District No. 98-1 Series 2012 (NR/NR)
	735,000		3.000		09/01/17	735,742
	1,000,000		3.250		09/01/18	1,009,930
California Municipal Finance Authority RB for Community Medical Centers Series 2017 A (A-/Baa1)
	750,000		5.000		02/01/18	765,473
	1,000,000		5.000		02/01/19	1,053,120
	1,100,000		5.000		02/01/20	1,191,454
California Municipal Finance Authority RB Refunding for NorthBay Healthcare Group Series 2013 B (BBB-/NR)
	3,480,000		5.000		11/01/17	3,514,730
California Municipal Finance Authority RB Refunding for NorthBay Healthcare Group Series 2016 A (BBB-/NR)
	750,000		2.000		11/01/18	750,382
	855,000		2.000		11/01/19	853,256
	800,000		3.000		11/01/20	821,144
California Municipal Finance Authority Student Housing RB for Bowles Hall Foundation Series 2015 A (NR/Baa3)
	150,000		3.000		06/01/20	152,507
	100,000		4.000		06/01/22	104,851
California Pollution Control Financing Authority PCRB Refunding for U.S.A. Waste Services, Inc. Series 1998 A (AMT) (A-/NR)
	1,900,000		1.500		06/01/18	1,907,486


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
California State University Systemwide RB Series 2016 B-1 (AA-/Aa2)^(b)
$	10,000,000		3.000	%	11/01/19	$ 10,282,700
California State Various Purpose GO Bonds Series 2009 (AA-/Aa3)
	22,955,000		6.000		04/01/38	24,858,658
California State Various Purpose GO Bonds Series 2011 (AA-/Aa3)
	5,070,000		5.000		10/01/19	5,504,296
California State Various Purpose GO Bonds Series 2016 (AA-/Aa3)^(b)
	5,000,000		5.000		09/01/20	5,586,050
	52,000,000		4.000		12/01/21	56,992,520
California State Various Purpose GO Refunding Bonds Series 2012 (AA-/Aa3)
	2,055,000		5.000		09/01/19	2,225,010
Carlsbad Improvement Bonds Refunding Reassessment District No. 2012-1 Series 2013 (NR/NR)
	400,000		3.000		09/02/17	400,984
Corona-Norco Unified School District Public Financing Authority Special Tax Refunding Senior Lien Series 2013 A (A-/NR)
	275,000		4.000		09/01/18	284,042
Del Mar Race Track Authority RB Series 2015 (BBB-/NR)
	295,000		3.000		10/01/17	295,982
Fontana Redevelopment Agency Tax Allocation Refunding for Jurupa Hills Redevelopment Project Series 1999 A (A/NR)
	240,000		5.500		10/01/17	240,643
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2017 A-1 (A/NR)
	6,000,000		5.000		06/01/20	6,594,240
Golden State Tobacco Securitization Corp. California Tobacco Settlement RB Asset-Backed Bonds Series 2017 A-1 (BBB+/NR)
	5,000,000		5.000		06/01/21	5,618,400
	6,000,000		5.000		06/01/22	6,869,700
	6,000,000		5.000		06/01/23	6,961,140
Irvine City Limited Obligation Improvement Bond Reassessment District No. 12-1 Series 2012 Act 1915 (BBB+/NR)
	1,215,000		4.000		09/02/17	1,220,467
	1,250,000		4.000		09/02/18	1,289,738
	1,895,000		4.000		09/02/19	1,992,611
Irvine City Limited Obligation Improvement Bond Reassessment District No. 13-1 Series 2013 (BBB+/NR)
	625,000		2.000		09/02/17	625,850
Irvine City Limited Obligation Improvement Bond Reassessment District No. 15-2 Series 2015 (NR/NR)
	400,000		3.000		09/02/17	401,180
	500,000		4.000		09/02/18	515,600
	1,000,000		4.000		09/02/19	1,053,690
	725,000		4.000		09/02/20	777,396
	775,000		5.000		09/02/21	873,851
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 A (NR/NR)
	1,765,000		5.000		09/01/22	2,035,133
	1,135,000		5.000		09/01/23	1,327,587
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 B (NR/NR)
	600,000		4.000		09/01/23	667,296
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 C (NR/NR)
	520,000		4.000		09/01/23	578,323


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Irvine Unified School District No. 09-1 Special Tax for Community Facilities Series 2017 D (NR/NR)
$	255,000		3.000	%	09/01/22	$ 267,934
	415,000		4.000		09/01/23	459,521
Lake Elsinore Public Financing Authority Local Agency RB Refunding for Community Facilities District No. 88-3 Series 2015 B (AGM) (AA/NR)
	1,235,000		5.000		09/01/20	1,372,851
Lake Elsinore Public Financing Authority Local Agency RB Refunding Series 2015 (NR/NR)
	355,000		3.000		09/01/17	355,984
	1,495,000		4.000		09/01/18	1,537,712
	1,000,000		4.000		09/01/19	1,050,350
	840,000		5.000		09/01/21	940,993
Long Beach California Harbor Revenue Short-Term Notes Series 2014 C (AA/NR)
	20,000,000		5.000		11/15/18	21,079,200
Los Angeles Community Redevelopment Agency Tax Allocation for Hollywood Redevelopment Project Series 1998 C (NATL-RE) (A/A3)
	540,000		5.500		07/01/17	540,000
Los Angeles County Metropolitan Transportation Authority Sales Tax RB Refunding First Tier Senior Series 2011 A (AAA/Aa1)
	10,000,000		5.000		07/01/17	10,000,000
Los Angeles County Public Works Financing Authority Lease RB for Multiple Capital Projects II Series 2012 (AA/Aa2)
	1,500,000		5.000		08/01/18	1,565,295
Manteca Unified School District Special Tax Community Facilities District No. 1989-2 Series 2013 B (AGM) (AA/A2)
	275,000		4.000		09/01/17	276,265
Metropolitan Water District of Southern California RB Refunding RMKT 03/29/17 Series 2017 B-3 (AAA/Aa1)^(b)
	1,500,000		0.780		07/03/17	1,500,000
Metropolitan Water District RB Series 2017 A (AAA/Aa1)^(b)
	4,250,000		0.780		07/03/17	4,250,000
Miramar Ranch North California Special Tax Refunding for Community Facilities District No.1 Series 2012 (A/NR)
	1,895,000		4.000		09/01/17	1,903,641
	3,075,000		4.000		09/01/19	3,247,969
Modesto Irrigation District RB for Electric System Series 2011 A (A+/A2)
	1,000,000		5.000		07/01/17	1,000,000
Mountain View California Shoreline Regional Park Community Tax Allocation Series 2011 A (A/NR)
	225,000		4.000		08/01/17	225,466
	350,000		5.000		08/01/18	364,469
Murrieta Public Financing Authority Special Tax RB Refunding Series 2012 (BBB-/NR)
	1,965,000		5.000		09/01/18	2,047,648
	1,000,000		5.000		09/01/19	1,072,970
Natomas Unified School District GO Refunding Bonds Series 2013 (BAM) (AA/A1)
	410,000		3.000		09/01/18	419,180
	730,000		4.000		09/01/20	790,918
	650,000		4.000		09/01/21	717,665
Orange County Sanitation District COPS RB Refunding Certificate Anticipation Notes Series 2016 B (AAA/NR)
	21,065,000		2.000		12/15/18	21,388,980


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
Palm Desert Financing Authority Tax Allocation RB Refunding for Housing Set-Aside Series 2007 (NATL-RE) (NR/A3)^(a)
$	100,000		5.000	%	10/01/17	$ 100,973
Palo Alto Limited Obligation Refunding & Improvement for University Avenue Area Off-Street Parking Assessment District Series 2012 (BBB/NR)
	385,000		3.000		09/02/18	391,098
Rancho Cordova Community Facilities District No. 2003-1 Special Tax Refunding for Sunridge Anatolia Series 2016 (NR/NR)
	355,000		2.000		09/01/17	355,309
	450,000		3.000		09/01/18	456,952
	650,000		4.000		09/01/20	689,312
	380,000		4.000		09/01/22	410,636
Rancho Cucamonga Redevelopment Agency Set Aside Allocation for Rancho Redevelopment Housing Series 2007 A (ETM) (NATL-RE) (A+/A3)^(a)
	150,000		5.500		09/01/17	151,061
Roseville California Community Facilities District No. 1 Special Tax Refunding for Fiddyment Ranch Project Series 2017 (NR/NR)
	175,000		2.000		09/01/18	176,759
	725,000		3.000		09/01/19	748,098
	1,000,000		4.000		09/01/20	1,069,340
	675,000		5.000		09/01/21	755,865
	800,000		5.000		09/01/22	907,280
	1,835,000		5.000		09/01/23	2,100,690
Roseville Finance Authority Special Tax Revenue Refunding Bonds Series 2012 (A/NR)
	1,855,000		3.000		09/01/17	1,860,639
Sacramento City Schools Joint Powers Financing Authority Lease RB Refunding Series 2014 A (BAM) (AA/NR)
	1,000,000		4.000		03/01/18	1,020,450
Sacramento County Regional Transit District Farebox RB Series 2012 (ETM) (A-/A3)^(a)
	250,000		5.000		03/01/18	256,670
	730,000		5.000		03/01/19	777,362
Sacramento County Sanitation District Financing Authority RB Refunding for Sacramento County Regional Series 2007 B (NATL-RE FGIC) (AA/Aa3)^(c)
	43,220,000		1.335		12/01/35	38,591,138
Salida Area Public Facilities Financing Agency Community Facilities District No. 1988-1 Special Tax Bonds Series 2011 (AGM) (AA/NR)
	1,515,000		3.000		09/01/17	1,520,015
	1,310,000		3.000		09/01/18	1,340,863
San Bernardino City Unified School District GO Refunding Bonds Series 2013 A (A/A2)
	800,000		5.000		08/01/18	833,336
San Bernardino City Unified School District GO Refunding Bonds Series 2013 A (AGM) (AA/A2)
	150,000		5.000		08/01/19	161,679
San Francisco City & County GO Bonds for Clean & Safe Neighborhood Parks Series 2012 B (AA+/Aa1)
	2,750,000		4.000		06/15/19	2,904,963
San Francisco City & County Public Utilities Commission Water RB Refunding Series 2009 A (AA-/Aa3)^(a)
	19,915,000		5.125		11/01/19	21,750,167


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
California – (continued)
San Francisco City & County Redevelopment Financing Authority Tax Allocation for San Francisco Redevelopment Project Series 2003 B (NATL-RE FGIC) (AA-/A2)
$	135,000		5.250	%	08/01/17	$ 135,105
San Francisco City & County Unified School District Election 2016 GO Bonds Series 2017 A (AA-/Aa2)
	13,335,000		3.000		06/15/19	13,843,864
San Jacinto Redevelopment Agency Tax Allocation for Redevelopment Project Area Series 2005 (XLCA) (A-/WR)
	160,000		3.900		08/01/17	160,376
San Juan Unified School District Election of 2012 GO Bonds Series 2014 B (NR/Aa2)
	2,000,000		3.000		08/01/19	2,078,360
San Marcos Public Financing Authority Special Tax RB Refunding Series 2012 (A-/NR)
	1,260,000		2.250		09/01/17	1,262,293
	1,000,000		4.000		09/01/19	1,055,150
San Ramon Valley Unified School District GO Bonds Series 1998 A (NATL-RE FGIC) (AA/Aa1)^(d)
	2,000,000		0.000		07/01/18	1,975,960
Simi Valley Community Development Agency Tax Allocation Refunding for Tapo Canyon and West End Project Series 2003 (NATL-RE FGIC) (AA-/A3)
	600,000		5.250		09/01/18	601,794
Stockton Public Financing Authority RB Refunding Series 2016 A (A-/NR)
	400,000		2.000		09/02/17	400,496
	710,000		2.000		09/02/18	715,680
	410,000		2.000		09/02/19	415,465
Stockton Unified School District GO Refunding Bonds Series 2012 (AGM) (AA/A2)
	400,000		4.000		07/01/17	400,000
	1,090,000		5.000		07/01/19	1,172,164
Temecula Public Financing Authority for Wolf Creek Community Facilities District 03-03 Series 2012 Special Tax Refunding Bonds (NR/NR)
	600,000		3.000		09/01/17	601,014
Tobacco Securitization Authority Northern California Tobacco Settlement RB Asset-Backed Bonds Series 2005 A-1 (B+/Ba2)
	1,120,000		4.750		06/01/23	1,127,874
University of California Regents Medical Center Pooled RB Refunding Series 2007 C-2 (NATL-RE) (AA-/Aa3)^(c)
	3,500,000		1.402		05/15/30	3,366,580
	15,000,000		1.532		05/15/43	12,661,500
Ventura County Capital Appreciation GO Bonds for Conejo Valley Unified School District for Election of 2014 Series A (AGM) (AA/A1)^(d)
	1,775,000		0.000		08/01/20	1,672,370
Western Riverside Water and Wastewater Financing Authority Local Agency RB Refunding Series 2013 A-1 (BBB+/NR)
	525,000		4.000		09/01/17	527,263

						422,034,467

Colorado – 1.1%
Colorado E-470 Public Highway Authority Senior RB Refunding Series 2015 A (A-/A3)
	1,000,000		5.000		09/01/20	1,108,350
Colorado Health Facilities Authority RB Refunding for Covenant Retirement Communities, Inc. Series 2015 A (BBB+/NR)
	500,000		4.000		12/01/18	516,855
	1,000,000		5.000		12/01/20	1,099,230


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Colorado – (continued)
Denver Colorada City & County Board Water Commissioners RB Refunding for Master Resolution Water Series 2016 A (AAA/Aaa)
$	2,770,000		5.000	%	09/15/21	$ 3,184,281
Denver Colorada City & County Board Water Commissioners RB Refunding for Master Resolution Water Series 2016 B (AAA/Aaa)
	2,655,000		5.000		09/15/21	3,052,082
Denver Colorado City & County COPS Series 2008 A2 (AA+/Aa1)^(b)
	8,000,000		0.920		07/03/17	8,000,000
Denver Colorado Health and Hospital Authority Healthcare RB Series 2007 B (BBB/NR)^(c)
	16,355,000		1.905		12/01/33	14,513,918
E-470 Public Highway Authority Senior RB Series 2017 A (A-/A3)^(b)
	5,250,000		1.722		09/01/19	5,266,747
University of Colorado Hospital Authority RB Series 2017 C-1 (AA-/Aa3)^(b)
	6,360,000		4.000		03/01/20	6,705,221
University of Colorado Hospital Authority RB Series 2017 C-2 (AA-/Aa3)^(b)
	7,215,000		5.000		03/01/22	8,177,986

						51,624,670

Connecticut – 2.0%
Connecticut State GO Bonds Series 2013 A (A+/A1)^(c)
	2,000,000		1.330		03/01/18	2,002,340
Connecticut State GO Bonds Series 2013 C (A+/A1)
	7,555,000		5.000		07/15/19	8,052,270
Connecticut State GO Bonds Series 2015 C (A+/A1)^(c)
	10,000,000		1.710		06/15/20	10,012,600
Connecticut State GO Bonds Series 2016 D (A+/A1)
	12,490,000		5.000		08/15/20	13,688,790
Connecticut State GO Refunding Bonds Series 2017 B (A+/A1)
	18,110,000		3.000		04/15/22	18,854,864
Connecticut State Health & Educational Facilities Authority RB for Sacred Heart University Series 2012 H (AGM) (AA/A2)
	1,000,000		2.000		07/01/17	1,000,000
	1,260,000		4.000		07/01/18	1,293,352
Connecticut State Health & Educational Facilities Authority RB Refunding for Yale University Series 2017 B-1 (AAA/Aaa)^(b)
	19,180,000		5.000		07/01/20	21,335,448
New Haven GO Refunding Bonds Series 2015 B (BAM) (AA/Baa1)
	6,115,000		5.000		08/15/21	6,801,715
Town of Hamden GO Refunding Bonds Series 2013 (A+/Baa1)
	1,685,000		5.000		08/15/18	1,749,940
	2,000,000		5.000		08/15/19	2,132,220
University of Connecticut RB Refunding Series 2010 A (AA-/A1)
	2,775,000		5.000		02/15/21	3,025,472
West Haven GO Refunding Bonds Series 2012 (AGM) (AA/A2)
	2,000,000		4.000		08/01/17	2,003,600
	2,100,000		4.000		08/01/18	2,156,154

						94,108,765

Delaware – 0.1%
Delaware Transportation Authority Transportation System Senior RB Refunding Series 2010 A (AA+/Aa2)
	1,900,000		5.000		07/01/19	2,044,400


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Delaware – (continued)
New Castle County GO Refunding Bonds Series 2015 (AAA/Aaa)
$	1,000,000		5.000	%	10/01/20	$ 1,120,240
Sussex County Delaware GO Refunding Bonds Series 2012 A (AA+/Aa1)
	865,000		3.000		09/15/17	868,564

						4,033,204

Florida – 3.1%
Anthem Park Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB-/NR)
	315,000		2.000		05/01/18	315,022
	320,000		2.000		05/01/19	318,918
	325,000		2.000		05/01/20	321,565
	335,000		2.250		05/01/21	330,876
	340,000		2.250		05/01/22	331,769
	350,000		2.500		05/01/23	340,707
Atlantic Beach Health Care Facilities RB Refunding for Fleet Landing Project Series 2013 A (BBB/NR)
	970,000		4.000		11/15/18	999,148
Avelar Creek Community Development District Special Assessment Refunding Series 2016 (BBB+/NR)
	160,000		2.000		05/01/18	160,544
	165,000		2.000		05/01/19	165,498
	170,000		2.000		05/01/20	169,628
	170,000		2.000		05/01/21	167,958
Bartram Park Community Development District Special Assessment RB Refunding for City of Jacksonville Florida Senior Lien Series 2015 A-1 (BBB+/NR)
	570,000		2.000		05/01/18	571,938
	580,000		2.300		05/01/19	584,849
	600,000		2.600		05/01/20	608,490
	615,000		3.000		05/01/21	629,963
	500,000		3.125		05/01/22	512,265
	500,000		3.250		05/01/23	510,910
Bay Laurel Center Community Development District Special Assessment RB Refunding Series 2016 Candler (BBB+/NR)
	125,000		2.000		05/01/18	125,425
	105,000		2.000		05/01/19	105,317
	130,000		2.250		05/01/20	130,601
	130,000		2.250		05/01/21	129,620
	135,000		2.250		05/01/22	132,991
Cape Coral Florida Water & Sewer Revenue Special Assessment Refunding Various Areas Series 2017 (AGM) (AA/A2)
	1,000,000		1.900		09/01/20	1,003,350
	1,250,000		2.125		09/01/22	1,255,762
	1,100,000		2.250		09/01/23	1,102,508
Century Gardens at Tamiami Community Development District Special Assessment Refunding Series 2016 (BBB/NR)
	210,000		2.000		05/01/18	210,491
	215,000		2.000		05/01/19	215,151
	220,000		2.000		05/01/20	218,742
	225,000		2.250		05/01/21	223,283
Century Parc Community Development District Special Assessment Refunding Series 2012 (A-/NR)
	185,000		2.750		11/01/17	185,808
	190,000		3.000		11/01/18	193,783
	195,000		3.250		11/01/19	201,753


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
CityPlace Community Development District Special Assessment RB Refunding Series 2012 (A/NR)
$	1,375,000		5.000	%	05/01/18	$ 1,413,789
	1,890,000		5.000		05/01/19	1,998,788
Concord Station Community Development District Capital Improvement RB Refunding Senior Lien Series 2016 A-1 (BBB-/NR)
	795,000		2.000		05/01/18	795,056
	810,000		2.000		05/01/19	807,262
	830,000		2.000		05/01/20	821,227
	845,000		2.000		05/01/21	826,968
	860,000		2.125		05/01/22	834,363
Coronado Community Development District Special Assessment Refunding & Improvement Bonds Series 2017 (BBB/NR)
	114,000		2.125		05/01/18	114,382
	117,000		2.125		05/01/19	117,342
	119,000		2.375		05/01/20	119,532
	122,000		2.625		05/01/21	122,727
	126,000		2.750		05/01/22	126,223
Country Walk Community Development District Special Assessment Senior Lien RB Refunding Series 2015 A-1 (A-/NR)
	180,000		2.250		05/01/18	181,138
	180,000		2.500		05/01/19	182,502
	185,000		2.750		05/01/20	188,935
Double Branch Community Development District Special Assessment Refunding Senior Lien Series 2013 A-1 (A-/NR)
	250,000		2.400		05/01/18	251,885
	250,000		2.700		05/01/19	254,367
	250,000		3.000		05/01/20	257,025
Durbin Crossing Community Development District Special Assessment Refunding Senior Series 2017 A-1 (AGM) (AA/NR)
	1,415,000		2.000		05/01/18	1,421,311
	1,445,000		2.000		05/01/19	1,455,317
	1,475,000		2.000		05/01/20	1,484,278
	1,505,000		2.125		05/01/21	1,515,746
Florida Higher Educational Facilities Financing Authority RB for Nova Southeastern University Project Series 2012 A (A-/Baa1)
	500,000		5.000		04/01/18	513,910
	500,000		5.000		04/01/19	529,515
Florida State Full Faith and Credit State Board of Education Public Education Capital Outlay Tax-Exempt Bonds Series 2008 C (AAA/Aa1)
	2,990,000		5.000		06/01/20	3,210,124
Florida State Full Faith and Credit State Board of Education Public Education Capital Outlay Tax-Exempt Bonds Series 2011 A (AAA/Aa1)
	5,810,000		5.000		06/01/21	6,437,945
Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-1 (AMBAC) (A/A2)^(b)
	1,700,000		1.523		10/01/21	1,602,521
Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-2 (AMBAC) (A/A2)^(c)
	5,550,000		1.523		10/01/21	5,165,571
Florida State Municipal Power Agency RB Refunding for St. Lucie Project Series 2002-3 (AMBAC) (A/A2)^(c)
	1,425,000		1.523		10/01/21	1,326,274


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Fontainbleau Lakes Community Development District Special Assessment RB Refunding Series 2016 (BBB+/NR)
$	215,000		2.000	%	05/01/18	$ 215,731
	220,000		2.000		05/01/19	220,664
	225,000		2.000		05/01/20	224,507
	230,000		2.000		05/01/21	227,238
	235,000		2.500		05/01/22	234,149
	245,000		2.500		05/01/23	240,556
	245,000		2.500		05/01/24	236,168
	255,000		2.750		05/01/25	247,284
	260,000		3.000		05/01/26	253,287
Hawks Point Community Development District Special Assessment Refunding Senior Series 2017 A-1 (BBB+/NR)^(e)(f)
	215,000		3.500		05/01/19	221,381
	225,000		3.500		05/01/20	233,777
	235,000		3.500		05/01/21	245,157
	245,000		3.500		05/01/22	255,408
	250,000		3.500		05/01/23	259,140
Heritage Isle at Viera Community Development District Special Assessment Refunding Series 2017 (AGM) (AA/NR)^(f)
	170,000		4.000		05/01/18	173,228
	175,000		4.000		05/01/19	181,724
	185,000		4.000		05/01/20	195,240
	190,000		4.000		05/01/21	202,798
	200,000		4.000		05/01/22	215,064
	205,000		4.000		05/01/23	221,191
Heritage Landing Community Development District Special Assessment Refunding Series 2015 (BBB/NR)
	415,000		2.000		05/01/18	415,971
	425,000		2.250		05/01/19	427,189
	535,000		2.500		05/01/20	539,210
Highlands Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
	275,000		2.000		05/01/18	275,020
	280,000		2.000		05/01/19	279,054
	285,000		2.250		05/01/20	283,914
	290,000		2.250		05/01/21	286,430
	295,000		2.250		05/01/22	287,858
	305,000		2.500		05/01/23	296,902
	315,000		2.750		05/01/24	306,369
	320,000		3.000		05/01/25	311,267
Lakeland Hospital RB for Lakeland Regional Health System Series 2011 (NR/A2)
	6,315,000		5.000		11/15/17	6,404,105
	6,250,000		5.000		11/15/18	6,568,937
Mediterra South Community Development District Capital Improvement RB Refunding Series 2012 (A-/NR)
	285,000		3.800		05/01/18	290,384
Miami Beach Health Facilities Authority Hospital RB Refunding for Mount Sinai Medical Center Series 2012 (BBB+/Baa1)
	1,750,000		4.000		11/15/17	1,763,580
	2,220,000		4.000		11/15/18	2,281,871
Miami Special Obligation Non-Ad Valorem RB for Port of Miami Tunnel Project Series 2012 (A+/A1)^(e)
	2,300,000		4.000		03/01/18	2,344,160
	2,390,000		5.000		03/01/19	2,537,750
	2,510,000		5.000		03/01/20	2,736,201
	2,635,000		5.000		03/01/21	2,949,592
	2,770,000		5.000		03/01/22	3,169,185
Miami-Dade County Aviation RB for Miami International Airport Series 2007 A (AMT) (NATL-RE) (A/A2)
	15,000,000		5.000		10/01/39	15,109,800


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Miami-Dade County IDA Solid Waste Disposal RB for Waste Management Inc. Project Series 2006 (A-/NR)
$	2,000,000		1.500	%	10/01/18	$ 2,010,760
Orlando Florida Capital Improvement Special RB Refunding Series 2016 B (AA/Aa2)
	1,525,000		5.000		10/01/21	1,752,042
Orlando Florida Community Redevelopment Agency Tax Increment RB Refunding for Conroy Road District Series 2012 (A-/NR)
	1,245,000		5.000		04/01/18	1,274,705
	1,305,000		5.000		04/01/19	1,372,351
	1,375,000		5.000		04/01/20	1,480,064
Orlando Utilities Commission, Utility System RB Refunding Series 2017 A (AA/Aa2)^(b)
	7,340,000		3.000		10/01/20	7,748,471
Palm Beach County Health Facilities Authority Hospital RB Refunding for Jupiter Medical Center, Inc. Project Series 2013 A (BBB+/Baa2)
	720,000		4.000		11/01/17	725,119
	630,000		4.000		11/01/18	646,979
Palm Glades Community Development District Special Assessment Refunding Bonds Series 2016 (BBB/NR)
	475,000		2.000		05/01/18	476,111
	485,000		2.000		05/01/19	485,340
Parklands Lee Community Development District Special Assessment Refunding Senior Lien Series 2013 A-1 (A/NR)
	135,000		2.250		05/01/18	136,007
	140,000		2.875		05/01/19	143,237
Portofino Isles Community Development District Special Assessment Refunding Series 2013 (BBB-/NR)
	225,000		2.625		05/01/18	226,152
	230,000		3.000		05/01/19	233,301
Reunion East Community Development District Special Assessment Refunding Series 2015 A (NR/NR)
	1,930,000		4.000		05/01/20	1,978,366
River Bend Community Development District Special Assessment RB Refunding Senior Series 2016 A-1 (BBB+/NR)
	355,000		2.000		05/01/18	356,207
	360,000		2.000		05/01/19	361,087
	365,000		2.000		05/01/20	364,201
	375,000		2.000		05/01/21	370,496
	385,000		2.500		05/01/22	383,606
	395,000		2.500		05/01/23	387,835
	405,000		2.500		05/01/24	390,400
	415,000		2.750		05/01/25	402,442
	425,000		3.000		05/01/26	414,026
Sausalito Bay Community Development District Special Assessment Refunding Series 2013 (A-/NR)
	95,000		2.500		05/01/18	95,793
	90,000		2.750		05/01/19	91,653
	100,000		3.000		05/01/20	102,810
South Fork East Community Development District Capital Improvement RB Refunding Series 2017 (BBB/NR)
	215,000		2.000		05/01/18	215,451
	380,000		2.125		05/01/19	381,110
	390,000		2.250		05/01/20	390,417
	400,000		2.625		05/01/21	402,384
	405,000		2.875		05/01/22	407,993


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
South Kendall Community Development District Special Assessment Refunding Series 2016 (BBB-/NR)
$	280,000		2.000	%	11/01/17	$ 280,073
	320,000		2.000		11/01/18	319,747
	325,000		2.000		11/01/19	323,170
	330,000		2.250		11/01/20	327,802
	330,000		2.250		11/01/21	324,242
	335,000		2.250		11/01/22	324,816
South Village Community Development District Capital Improvement and Special Assessment Refunding Senior Lien Series 2016 A-1 (BBB/NR)
	295,000		2.000		05/01/18	295,690
	300,000		2.000		05/01/19	300,210
	310,000		2.000		05/01/20	308,227
	100,000		2.000		05/01/21	98,331
	100,000		2.125		05/01/22	97,372
	100,000		2.375		05/01/23	96,840
	100,000		2.500		05/01/24	95,858
	100,000		2.750		05/01/25	96,100
	100,000		3.000		05/01/26	96,452
South-Dade Venture Community Development District Special Assessment RB Refunding Series 2012 (BBB-/NR)
	330,000		4.000		05/01/18	335,356
	345,000		4.125		05/01/19	356,834
	375,000		4.375		05/01/21	399,180
	390,000		4.500		05/01/22	419,862
Spicewood Community Development District Special Assessment Refunding Series 2013 (BBB+/NR)
	110,000		2.500		05/01/18	110,820
	115,000		2.875		05/01/19	117,139
Stonebrier Community Development District Special Assessment Refunding Series 2016 (A-/NR)
	240,000		2.000		05/01/18	240,797
	245,000		2.000		05/01/19	245,870
	250,000		2.000		05/01/20	250,612
	255,000		2.250		05/01/21	256,206
	260,000		2.250		05/01/22	259,878
Talis Park Community Development District Capital Improvement RB Refunding Senior Series 2016 A-1 (BBB+/NR)
	170,000		2.000		05/01/18	170,578
	175,000		2.000		05/01/19	175,528
	175,000		2.000		05/01/20	174,617
	180,000		2.250		05/01/21	181,109
	185,000		2.250		05/01/22	182,247
Tampa Tax Allocation RB Refunding Cigarette - H. Lee Moffitt Cancer Center Series 2012 A (A+/A1)
	425,000		4.000		09/01/17	427,023
Trails at Monterey Community Development District Special Assessment Refunding Series 2012 (A-/NR)
	110,000		3.000		05/01/18	111,364
	110,000		3.250		05/01/19	113,001
	115,000		3.500		05/01/20	119,800
	115,000		3.750		05/01/21	121,407
	125,000		3.875		05/01/22	132,930
	125,000		4.000		05/01/23	133,485
	135,000		4.125		05/01/24	144,038
	140,000		4.150		05/01/25	148,813
	145,000		4.250		05/01/26	154,506


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Turnbull Creek Community Development District Senior Special Assessment Refunding Series 2015 A-1 (BBB/NR)
$	415,000		2.300	%	05/01/19	$ 417,506
	125,000		2.600		05/01/20	126,324
Two Creeks Community Development District RB Refunding for Capital Improvement Senior Lien Series 2016 A-1 (BBB-/NR)
	165,000		2.000		05/01/18	165,012
	170,000		2.000		05/01/19	169,425
	170,000		2.000		05/01/20	168,203
	355,000		2.250		05/01/21	350,630
Venetian Isles Community Development District Special Assessment RB Refunding Series 2013 (A+/NR)
	230,000		2.500		05/01/18	232,712
	235,000		2.875		05/01/19	241,932
	240,000		3.000		05/01/20	246,478
Verano #1 Community Development District Senior Special Assessment Refunding for Community Infrastructure Project Series 2017 A-1 (BBB/NR)^(e)
	295,000		2.000		05/01/18	295,690
	300,000		2.250		05/01/19	301,545
	305,000		2.500		05/01/20	307,400
	315,000		2.750		05/01/21	318,304
	325,000		3.000		05/01/22	329,225
	335,000		3.100		05/01/23	337,302
Village Community Development District No. 10 Special Assessment RB Series 2012 (NR/NR)
	960,000		4.500		05/01/23	1,013,530
Village Community Development District No. 6 Special Assessment RB Refunding Series 2017 (A-/NR)
	250,000		4.000		05/01/18	254,860
	250,000		4.000		05/01/19	259,797
	355,000		4.000		05/01/20	373,762
	365,000		4.000		05/01/21	388,933
	380,000		4.000		05/01/22	408,044
	400,000		4.000		05/01/23	431,172
	420,000		4.000		05/01/24	454,058
	325,000		4.000		05/01/25	351,023
Village Community Development District No. 7 Special Assessment RB Refunding Series 2015 (A/NR)
	1,435,000		3.000		05/01/19	1,466,441
Vizcaya In Kendall Community Development District Special Assessment Bonds Series 2016 (BBB-/NR)
	185,000		2.000		11/01/17	185,043
	195,000		2.000		11/01/18	194,442
	195,000		2.000		11/01/19	193,378
	200,000		2.250		11/01/20	198,288
	205,000		2.250		11/01/21	201,507
	210,000		2.250		11/01/22	204,630
	215,000		2.500		11/01/23	209,698
Waters Edge Community Development District Capital Improvement RB Refunding Senior Lien Series 2015 A-1 (BBB+/NR)
	375,000		2.500		05/01/18	377,794
	385,000		2.000		05/01/19	386,162
	390,000		2.375		05/01/20	393,128
	400,000		2.625		05/01/21	404,280


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Florida – (continued)
Wyndam Park Community Development District Special Assessment Refunding Series 2013 (A-/NR)
$	95,000		2.250	%	05/01/18	$ 95,600
	95,000		2.875		05/01/19	96,956

						148,544,157

Georgia – 4.5%
Atlanta Water & Wastewater RB Refunding Series 2009 A (AA-/Aa2)^(a)
	9,145,000		6.000		11/01/19	10,159,363
Burke County Development Authority Pollution Control RB for Georgia Power Company Plant Vogtle Project First Series 2012 (A-/A3)^(b)
	6,500,000		1.850		08/22/19	6,482,515
City of Augusta GO Bonds Series 2016 (NR/Aa2)
	12,810,000		5.000		10/01/19	13,880,660
	12,135,000		5.000		10/01/20	13,544,965
De Kalb County School District GO Sales Tax Bonds Series 2017 (ST AID WITHHLDG) (AA+/Aa1)
	34,820,000		4.000		10/01/20	37,823,921
	31,115,000		4.000		10/01/21	34,471,064
	18,845,000		4.000		10/01/22	21,208,540
Dougherty County School District Sales Tax GO Bonds for Georgia State Aid Intercept Program Series 2013 (ST AID WITHHLDG) (NR/Aa1)
	2,055,000		5.000		12/01/17	2,088,949
Fulton County Development Authority RB Refunding for Spelman College Series 2012 (NR/A1)
	1,010,000		4.000		06/01/18	1,036,603
Georgia State GO Refunding Bonds Series 2011 E-2 (AAA/Aaa)
	11,495,000		4.000		09/01/17	11,550,521
	9,265,000		5.000		09/01/21	10,654,472
Gwinnett County School District Sales Tax GO Bonds Series 2012 A (AAA/Aaa)
	14,215,000		4.500		10/01/17	14,337,960
Gwinnett County School District Sales Tax GO Bonds Series 2012 A (ETM) (NR/NR)^(a)
	1,550,000		4.500		10/01/17	1,562,927
Jackson County School District GO Refunding Bonds Series 2012 (ST AID WITHHLDG) (AA+/Aa2)
	4,215,000		5.000		03/01/18	4,326,908
Metropolitan Atlanta Rapid Transit Authority RB Series 2000 A (AAA/Aa1)^(b)
	7,700,000		1.210		07/01/25	7,700,000
Milledgeville & Baldwin County Development Authority Student Housing RB Refunding for Georgia College & State University Foundation Property V, LLC Project Series 2007 (AMBAC) (A+/WR)^(c)
	13,905,000		1.369		10/01/24	13,721,593
Public Gas Partners Inc., Gas Project RB for Gas Supply Pool No. 1 Series 2009 A (A+/WR)
	5,950,000		5.000		10/01/19	6,389,765
Richmond County Board of Education GO Bonds for Sales Tax Series 2012 (ST AID WITHHLDG) (AA+/Aa1)
	2,000,000		3.000		10/01/17	2,010,140

						212,950,866

Guam – 0.2%
Guam Government Limited Obligation RB Section 30 Series 2016 A (BBB+/NR)
	355,000		5.000		12/01/17	360,080
	1,000,000		5.000		12/01/18	1,046,820
	1,500,000		5.000		12/01/19	1,612,725


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Guam – (continued)
Guam Government Privilege Special Tax Refunding Bonds Series 2015 D (A/NR)
$	265,000		4.000	%	11/15/18	$ 271,702
	3,775,000		5.000		11/15/21	4,168,619
Guam Waterworks Authority RB for Water & Wastewater System Series 2016 (A-/Baa2)
	310,000		5.000		07/01/21	341,208
	500,000		5.000		07/01/22	558,500

						8,359,654

Hawaii – 0.6%
Hawaii State GO Refunding Bonds Series 2016 FH (AA+/Aa1)
	15,000,000		3.000		10/01/21	16,034,700
Honolulu City and County GO Bonds Series C (AA+/Aa1)
	10,220,000		4.000		10/01/19	10,863,349

						26,898,049

Idaho – 0.0%
Boise City Independent School District GO Refunding Bonds Series 2012 B (AA/Aa1)
	2,095,000		4.000		08/01/18	2,163,046

Illinois – 8.5%
Chicago Illinois Board of Education Dedicated Revenues Series 2007 D (AGM) (AA/A2)
	5,000,000		5.000		12/01/21	5,056,700
Chicago Illinois Board of Education GO Bonds Series 1999 A (NATL-RE-IBC FGIC) (A/A3)
	1,575,000		5.250		12/01/20	1,687,723
Chicago Illinois Board of Education GO Refunding Bonds Series 1999 A (NATL-RE FGIC) (A/A3)^(d)
	1,070,000		0.000		12/01/17	1,057,139
	6,595,000		0.000		12/01/19	6,080,392
Chicago Illinois Board of Education GO Refunding Bonds Series 2015 A (B/NR)^(c)
	28,245,000		9.000		03/01/32	28,245,000
Chicago Illinois Capital Appreciation GO Refunding Bonds and Project Series C (BBB+/Ba1)^(d)
	4,645,000		0.000		01/01/23	3,436,278
Chicago Illinois Emergency Telephone System GO Refunding Bonds Series 1999 (NATL-RE) (A/A3)
	10,020,000		5.500		01/01/23	10,938,934
Chicago Illinois GO Bonds Project and Refunding RMKT 05/29/15 Series 2003 B (BBB+/Ba1)
	2,000,000		5.000		01/01/23	2,034,500
Chicago Illinois GO Bonds Project and Refunding Series 2009 A (BBB+/Ba1)
	5,400,000		5.000		01/01/22	5,476,734
Chicago Illinois GO Bonds Project and Refunding Series 2014 A (BBB+/Ba1)
	2,075,000		5.000		01/01/22	2,126,024
Chicago Illinois GO Refunding Bonds Capital Appreciation Series 2007 C (NATL-RE) (A/A3)
	5,000,000		5.000		01/01/30	5,065,850
Chicago Illinois GO Refunding Bonds Series 2012 C (BBB+/Ba1)
	14,345,000		5.000		01/01/22	14,697,743
Chicago Illinois GO Refunding Bonds Series 2015 C (BBB+/NR)
	1,350,000		5.000		01/01/20	1,375,879
	2,000,000		5.000		01/01/21	2,047,460
	16,000,000		5.000		01/01/22	16,393,440
	13,250,000		5.000		01/01/23	13,478,563


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Illinois – (continued)
Chicago Illinois Midway Airport Second Lien RB Refunding Series 2014 B (A/A3)
$	400,000		5.000	%	01/01/19	$ 422,992
Chicago Illinois Modern Schools Across Chicago Program GO Bonds Series 2010 A (BBB+/Ba1)
	6,450,000		4.000		12/01/17	6,477,670
Chicago Illinois O’Hare International Airport RB Refunding General Airport Senior Lien Series 2015 B (A/NR)
	4,000,000		5.000		01/01/21	4,489,720
Chicago Illinois Sales Tax Refunding RMKT 06/09/15 Series 2002 (AA/NR)
	1,250,000		5.000		01/01/21	1,351,100
Chicago Illinois Wastewater Transmission RB Refunding Second Lien Project Series 2008 C (A/NR)
	1,000,000		5.000		01/01/21	1,100,180
Chicago Illinois Wastewater Transmission RB Refunding Second Lien Series 2017 B (A/NR)
	2,050,000		5.000		01/01/21	2,255,369
	1,450,000		5.000		01/01/22	1,627,799
Chicago Illinois Wastewater Transmission RB Second Lien Series 2017 A (A/NR)
	600,000		5.000		01/01/21	660,108
	1,660,000		5.000		01/01/22	1,863,549
Chicago Illinois Water RB Refunding Second Lien Project RMKT 05/23/16 Series 2004 (A/NR)
	2,500,000		5.000		11/01/20	2,743,025
Cook County Illinois GO Refunding Bonds Series 2012 C (AA-/A2)
	1,500,000		5.000		11/15/19	1,606,350
	1,000,000		4.000		11/15/20	1,062,950
Glenview GO Refunding Bonds Series 2012 B (NR/Aaa)
	1,365,000		4.000		12/01/18	1,417,416
Illinois Educational Facilities Authority RB for University of Chicago Series 2001 B-2 (AA-/Aa2)^(b)
	6,000,000		1.550		02/13/20	6,004,560
Illinois Finance Authority RB for Prairie Power, Inc. Project RMKT 05/08/17 Series 2017 A (A/NR)^(b)
	7,000,000		1.750		05/06/20	7,019,250
Illinois Finance Authority RB Refunding for Franciscan Communities Project Series 2017 A (BBB-/NR)
	2,070,000		3.250		05/15/22	2,108,191
Illinois Finance Authority RB Refunding for Illinois Wesleyan University Series 2016 (A-/Baa1)
	220,000		4.000		09/01/17	220,819
	255,000		4.000		09/01/20	270,180
	500,000		4.000		09/01/21	534,700
Illinois State GO Bonds First Series 2001 (NATL-RE) (A/A3)
	3,000,000		5.500		08/01/17	3,007,320
Illinois State GO Bonds Series 2012 (BBB-/Baa3)
	14,360,000		4.000		01/01/19	14,465,115
	2,445,000		5.000		03/01/19	2,502,898
Illinois State GO Bonds Series 2012 A (BBB-/Baa3)
	10,085,000		3.000		01/01/18	10,118,886
Illinois State GO Bonds Series 2013 (BBB-/Baa3)
	9,070,000		5.000		07/01/17	9,070,000
	3,645,000		5.000		07/01/19	3,743,379
	3,990,000		5.500		07/01/24	4,223,056
Illinois State GO Bonds Series 2014 (BBB-/Baa3)
	3,450,000		4.000		02/01/18	3,480,015
	3,730,000		5.000		02/01/19	3,814,634


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Illinois – (continued)
Illinois State GO Refunding Bonds Series 2009 A (BBB-/Baa3)
$	16,000,000		4.000	%	09/01/20	$ 16,069,280
Illinois State GO Refunding Bonds Series 2010 (BBB-/Baa3)
	18,505,000		5.000		01/01/18	18,745,010
	16,490,000		5.000		01/01/20	17,030,212
Illinois State GO Refunding Bonds Series 2012 (BBB-/Baa3)
	6,970,000		5.000		08/01/17	6,984,079
	7,295,000		5.000		08/01/19	7,499,698
	10,925,000		5.000		08/01/20	11,362,219
Illinois State GO Refunding Bonds Series 2016 (BBB-/Baa3)
	20,000,000		5.000		02/01/20	20,675,800
	25,110,000		5.000		02/01/21	26,046,854
	5,000,000		5.000		02/01/22	5,204,650
Illinois State Sales Tax RB Junior Obligation Series 2016 A (AA-/NR)
	1,475,000		5.000		06/15/22	1,655,599
Illinois State Sales Tax RB Refunding Junior Obligation Series 2016 C (AA-/NR)
	675,000		4.000		06/15/21	719,570
	2,875,000		5.000		06/15/22	3,227,015
Illinois State Sales Tax RB Refunding Junior Obligation Series 2016 D (AA-/NR)
	3,185,000		4.000		06/15/21	3,395,306
McHenry and Lake County Community Highschool No. 156 GO Refunding Bonds Series 2013 (NR/Aa2)
	2,690,000		3.000		02/01/18	2,719,698
Metropolitan Pier & Exposition Authority RB Refunding Capital Appreciation for McCormick Place Expansion Project Series 1993 A (NATL-RE) (A/A3)^(d)
	2,505,000		0.000		06/15/18	2,446,158
Quad Cities Regional Economic Development Authority RB for Augustana College Series 2012 (NR/Baa1)
	840,000		3.000		10/01/17	841,966
Springfield Electric RB Refunding Senior Lien Series 2015 (A/A3)
	2,000,000		5.000		03/01/21	2,226,740
State of Illinois Build Illinois Sales Tax RB Refunding Bonds Series 2010 (AA-/NR)
	1,170,000		5.000		06/15/18	1,206,574
State of Illinois GO Bonds Series 2010 (BBB-/Baa3)
	3,245,000		5.000		02/01/23	3,364,481
State of Illinois GO Refunding Bonds Series 2010 (BBB-/Baa3)
	2,360,000		5.000		02/01/23	2,446,895
University of Illinois Board Trustees COP RB Refunding Series 2016 A (A-/A1)
	13,775,000		2.000		08/15/17	13,786,020
	5,250,000		5.000		08/15/20	5,685,907
	5,000,000		5.000		08/15/21	5,483,000
Will & Kendall Counties Community Consolidated School District No. 202 GO Refunding Bonds Series 2017 (NR/Aa2)
	9,650,000		2.000		01/01/19	9,734,823

						405,417,144

Indiana – 0.6%
City of Whiting Environmental Facilities RB for BP Products North America, Inc. Project Series 2008 (A-/A1)^(b)
	15,000,000		1.850		10/01/19	15,105,000


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Indiana – (continued)
Delaware County Indiana Hospital Authority RB Refunding for Ball Memorial Hospital, Inc. Obligated Group Series 2009 A (ETM) (NR/WR)^(a)
$	1,085,000		5.500	%	08/01/17	$ 1,088,461
	4,585,000		5.625		08/01/18	4,810,995
Indiana Finance Authority Hospital RB for Indiana University Health Obligated Group Series 2012 A (A/A2)
	855,000		5.000		05/01/20	934,062
Indiana Finance Authority RB for Community Foundation of Northwest Indiana Obligated Group Series 2012 (A+/NR)
	800,000		5.000		03/01/18	820,544
	500,000		5.000		03/01/19	530,655
	650,000		5.000		03/01/20	698,548
Indiana Health Facility Financing Authority Ascension Health Subordinate Credit Group RB RMKT 06/01/17 Series 2017 A-9 (AA+/Aa3)^(b)
	5,000,000		1.375		05/01/20	4,984,850

						28,973,115

Iowa – 0.0%
Iowa Finance Authority Health Facilities RB for Mercy Medical Center Projects Series 2012 (A/A2)
	1,400,000		4.000		08/15/17	1,403,724
Iowa Finance Authority State Revolving Fund RB Series 2013 (AAA/Aaa)
	1,000,000		5.000		08/01/18	1,042,980

						2,446,704

Kansas – 0.6%
Johnson County Public Building Commission RB Refunding for Kansas Lease Purchase Series 2015 B (AAA/Aaa)
	2,735,000		2.000		09/01/19	2,787,785
	3,810,000		2.000		09/01/20	3,901,631
Johnson County Unified School District No. 229 GO Bonds for Kansas Blue Valley Series 2015 B (AA+/Aaa)
	8,125,000		5.000		10/01/19	8,813,431
Sedgwick County Kansas Unified School District No. 259 GO Refunding and Improvement Bonds Series 2015 A (NR/Aa2)
	3,455,000		4.000		10/01/20	3,748,467
	3,000,000		4.000		10/01/21	3,310,560
Wichita GO Refunding Bonds Series 2012 A (AA+/Aa1)
	2,585,000		4.000		09/01/19	2,738,911
Wichita GO Sales Tax Bonds Series 2012 D (AA+/Aa1)
	1,130,000		3.000		10/01/19	1,174,737

						26,475,522

Kentucky – 1.3%
Kentucky Economic Development Finance Authority Hospital RB Refunding for Owensboro Medical Health System, Inc. Series 2017 A (BBB/Baa3)
	200,000		5.000		06/01/18	205,812
	350,000		5.000		06/01/19	369,502
	500,000		5.000		06/01/20	539,150
	1,100,000		5.000		06/01/21	1,209,373
	2,450,000		5.000		06/01/22	2,734,519
	1,000,000		5.000		06/01/23	1,130,520
Kentucky Public Transportation Infrastructure Authority Subordinate Toll Revenue BANS for Downtown Crossing Project Series 2013 A (BBB-/Baa3)
	15,000,000		5.000		07/01/17	15,000,000
Kentucky State Property and Buildings Commission for Project 100 RB Refunding Series 2011 A (A/Aa3)
	5,040,000		4.000		08/01/17	5,050,886


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Kentucky – (continued)
Kentucky State Property and Buildings Commission for Project 99 RB Refunding Series 2010 A (A/Aa3)
$	4,480,000		5.000	%	11/01/18	$ 4,697,862
Kentucky State Turnpike Authority Economic Development Road RB Refunding for Revitalization Projects Series 2016 A (AA-/Aa2)
	950,000		2.000		07/01/20	967,452
Louisville & Jefferson County Metro Government Health System RB for Norton Healthcare, Inc. Series 2016 A (A-/NR)
	625,000		5.000		10/01/19	670,194
	550,000		5.000		10/01/20	605,253
Louisville & Jefferson County Metropolitan Government Environmental Facilities RB Refunding for Louisville Gas & Electric Company Project RMKT 06/01/17 Series 2017 A (A/A1)^(b)
	4,000,000		1.250		06/03/19	3,990,960
Louisville & Jefferson County PCRB for Louisville Gas & Electric Company Project RMKT 04/03/17 Series 2003 A (A/A1)^(b)
	6,000,000		1.500		04/01/19	6,015,360
Trimble County Kentucky Pollution Control RB for Gas and Electric Company Project Series 2001 A (A/A1)^(b)
	6,000,000		1.050		03/01/18	5,993,340
University of Kentucky General Receipts RB Refunding Series 2015 B (AA/Aa2)
	3,730,000		5.000		10/01/18	3,912,322
University of Kentucky General Receipts RB Refunding Series 2015 C (AA/Aa2)
	1,705,000		4.000		10/01/18	1,767,454
University of Louisville General Receipts RB Refunding Series 2016 C (AA-/Aa3)
	4,680,000		3.000		09/01/21	4,959,630

						59,819,589

Louisiana – 0.4%
City of Shreveport Louisiana Water and Sewer RB Refunding Series 2014 A (BAM) (AA/A3)
	3,000,000		5.000		12/01/19	3,255,000
Ernest N. Morial New Orleans Exhibition Hall Authority Special Tax Refunding Bonds Series 2012 (AA+/A1)
	375,000		2.000		07/15/17	375,090
	1,740,000		4.000		07/15/17	1,741,288
	680,000		2.000		07/15/18	686,079
	1,040,000		4.000		07/15/18	1,070,441
	1,000,000		5.000		07/15/19	1,073,080
Jefferson Parish Sales Tax RB Refunding School Series 2012 (AA/NR)
	1,565,000		3.000		02/01/18	1,582,637
Louisiana Local Government Environmental Facilities and Community Development Authority RB Refunding for Ragin’ Cajun Facilities, Inc. - Student Housing & Parking Project Series 2017 (AGM) (AA/NR)
	735,000		2.250		10/01/21	752,052
	815,000		5.000		10/01/21	925,172
	800,000		2.500		10/01/22	825,424
	950,000		5.000		10/01/22	1,098,143
New Orleans Audubon Commission for Aquarium Tax Bonds Series 2011 (A/NR)
	2,825,000		5.000		10/01/17	2,850,990
New Orleans GO Refunding Bonds Series 2012 (AA-/A3)
	4,030,000		4.000		12/01/17	4,076,143

						20,311,539


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Maine – 0.1%
Maine Governmental Facilities Authority Lease Rental RB Series 2015 B (AA-/Aa3)
$	685,000		5.000	%	10/01/19	$ 739,088
	1,985,000		4.000		10/01/20	2,142,450
	1,345,000		4.000		10/01/21	1,478,410

						4,359,948

Maryland – 3.3%
Baltimore Maryland RB Refunding for Convention Center Hotel Project Series 2017 (BBB-/NR)
	200,000		3.000		09/01/18	203,876
	350,000		4.000		09/01/19	368,540
	500,000		5.000		09/01/20	551,240
	500,000		5.000		09/01/21	563,095
	500,000		5.000		09/01/22	571,500
Carroll County Maryland Consolidated Public Improvement and Refunding Bonds Series 2011 (AAA/Aa1)
	2,075,000		5.000		11/01/17	2,102,307
	3,055,000		4.000		11/01/18	3,175,612
Charles County Maryland GO Refunding Bonds Series 2011 (AAA/Aaa)
	5,405,000		4.000		11/01/17	5,459,158
City of Baltimore Revenue Bonds for Water Projects Series 2002 Subseries B (NATL-RE FGIC) (AA/Aa2)^(c)
	11,350,000		1.622		07/01/37	9,863,772
City of Baltimore Revenue Bonds for Water Projects Series 2002 Subseries C (AA-/Aa3)^(c)
	7,025,000		1.622		07/01/37	6,137,563
County of Baltimore GO Bonds for Consolidated Public Improvement Series 2017 (AAA/Aaa)
	2,825,000		5.000		03/01/23	3,360,592
Maryland State Department of Transportation Consolidated RB Series 2013 (AAA/Aa1)
	6,965,000		4.000		02/15/20	7,477,276
Maryland State Economic Development Corporation Student Housing RB Refunding for University of Maryland College Park Projects Series 2016 (AGM) (AA/A2)
	600,000		4.000		06/01/19	630,810
	600,000		4.000		06/01/20	640,854
	660,000		4.000		06/01/21	717,598
Maryland State GO Bonds for State and Local Facilities Loan Second Series 2014 C (AAA/Aaa)
	58,585,000		5.000		08/01/21	67,199,338
Maryland State GO Bonds for State and Local Facilities Loan Series 2012 B (AAA/Aaa)
	8,980,000		5.000		03/15/20	9,893,625
Maryland State GO Bonds for State and Local Facilities Loan Series 2013 B (AAA/Aaa)^(a)
	5,140,000		5.000		03/01/21	5,833,952
Prince George’s County GO Refunding Bonds for Consolidated Public Improvement Series 2016 B (AAA/Aaa)
	5,000,000		4.000		07/15/21	5,527,700
University of Maryland RB Refunding Revolving Loan Series 2003 A (AA+/Aa1)^(b)
	2,010,000		1.250		06/01/18	2,007,829
Washington Suburban Sanitary District GO Refunding Bonds Consolidated Public Improvement Second Series 2016 (AAA/Aaa)
	5,660,000		5.000		06/01/18	5,866,590
	5,555,000		5.000		06/01/19	5,963,959


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Maryland – (continued)
Washington Suburban Sanitary District GO Refunding Bonds Consolidated Public Improvement Series 2015 (AAA/Aaa)
$	9,905,000		3.000	%	06/01/19	$ 10,262,174

						154,378,960

Massachusetts – 4.2%
Massachusetts Bay Transportation Authority Sales Tax RB Refunding for Capital Appreciation Senior Series 2016 A (AA/Aa2)^(d)
	8,255,000		0.000		07/01/21	7,670,794
Massachusetts Commonwealth GO Refunding Bonds Series 2017 A (AA/Aa1)^(c)
	40,000,000		1.380		02/01/19	40,114,800
Massachusetts Commonwealth Transportation Fund RB for Accelerated Bridge Program Series 2012 A (AAA/Aa1)^(a)
	10,000,000		5.000		06/01/21	11,428,100
Massachusetts Commonwealth Transportation Fund RB for Rail Enhancement Program Series 2015 A (AAA/Aa1)
	4,000,000		5.000		06/01/20	4,433,520
	11,155,000		5.000		06/01/21	12,729,640
Massachusetts Development Finance Agency RB for Harvard University Series 2009 A (NR/NR)^(a)
	28,790,000		5.500		11/15/18	30,545,326
Massachusetts Development Finance Agency RB for Partners HealthCare System Series 2014 M-5 (AA-/Aa3)^(b)
	19,530,000		1.460		01/30/18	19,537,226
Massachusetts School Building Authority RB Refunding Senior Dedicated Sales Tax Series 2012 B (AA+/Aa2)
	3,000,000		5.000		08/15/20	3,344,820
Massachusetts State Development Finance Agency RB Refunding for Boston University Issue Series Z-1 (A+/A1)
	10,000,000		1.500		08/01/19	10,065,200
Massachusetts State GO Bonds Consolidated Loan Series 2007 A (NATL-RE FGIC) (AA/Aa1)^(c)
	14,895,000		1.354		05/01/37	13,871,118
Massachusetts State GO Bonds Consolidated Loan Series 2009 A (AA/Aa1)^(a)
	5,210,000		5.000		03/01/19	5,543,596
Massachusetts State GO Bonds Consolidated Loan Series 2012 A (BHAC-CR) (AA+/Aa1)^(c)
	26,075,000		1.354		05/01/37	24,641,918
Massachusetts State GO Bonds Consolidated Loan Series 2012 D (AA/Aa1)^(c)
	7,000,000		1.340		01/01/18	7,000,980
Massachusetts State GO Refunding Bonds Series 2007 A (AA/Aa1)^(c)
	8,000,000		1.334		11/01/25	7,908,320

						198,835,358

Michigan – 3.4%
Allen Park Public School District GO Refunding Bonds Series 2016 (Q-SBLF) (AA-/NR)
	3,635,000		5.000		05/01/21	4,114,166
Allendale Public School GO Refunding Bonds Series 2016 (Q-SBLF) (AA-/NR)
	2,500,000		5.000		05/01/22	2,882,650
	1,275,000		5.000		11/01/22	1,485,273
Detroit Michigan Sewage Disposal System RB Refunding Senior Lien Series 2004 A (AGM) (AA/A2)
	2,990,000		5.250		07/01/20	3,300,541


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Michigan – (continued)
Detroit Michigan Sewage Disposal System RB Senior Lien RMKT 06/17/09 Series 2003 B (AGM) (AA/NR)^(a)
$	1,800,000		7.500	%	07/01/19	$ 2,024,946
Detroit Michigan Water Supply System RB Senior Lien Series 2011 A (A-/A3)
	1,295,000		5.000		07/01/17	1,295,000
Macomb County Michigan L’anse Creuse Public Schools Unlimited Tax GO Refunding Bonds Series 2015 (Q-SBLF) (AA-/NR)
	1,250,000		5.000		05/01/20	1,375,775
Macomb County Michigan Roseville Community Schools Unlimited Tax GO Refunding Bonds Series 2014 (Q-SBLF) (AA-/NR)
	365,000		5.000		05/01/18	376,271
	900,000		5.000		05/01/19	957,150
Michigan Finance Authority Hospital RB Refunding for Beaumont Health Credit Group Series 2015 A (A/A1)
	2,300,000		4.000		08/01/20	2,473,282
	3,635,000		5.000		08/01/21	4,118,455
Michigan Finance Authority Hospital RB Refunding for Henry Ford Health System Series 2016 (A/A3)
	200,000		5.000		11/15/19	216,544
	200,000		5.000		11/15/20	222,630
	500,000		5.000		11/15/21	569,925
Michigan Finance Authority Local Government Loan Program RB for City of Detroit Distributable State Aid Fourth Lien Utgo Refunding Local Project Bonds Series 2016 C-3 (MUN GOVT GTD) (A-/A2)
	3,500,000		5.000		04/01/20	3,780,070
	1,510,000		5.000		04/01/21	1,665,938
Michigan Finance Authority Local Government Loan Program RB for Detroit Financial Recovery Income Tax Revenue and Refunding Local Project Bonds Series 2014 F (A/NR)
	500,000		3.400		10/01/20	516,255
	500,000		3.600		10/01/21	522,785
	500,000		3.800		10/01/22	529,180
Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage Disposal System RB Refunding Local Project Bonds Senior Lien Series 2014 C-3 (AGM) (AA/A2)
	5,125,000		5.000		07/01/21	5,753,069
Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Sewage Disposal System RB Refunding Local Project Bonds Senior Lien Series 2014 C-5 (NATL-RE FGIC) (A/A3)
	5,570,000		5.000		07/01/17	5,570,000
	1,500,000		5.000		07/01/18	1,554,195
Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water Supply System RB Refunding Local Project Bonds Senior Lien Series 2014 D-1 (AGM) (AA/A2)
	3,165,000		5.000		07/01/20	3,471,720
	10,000,000		5.000		07/01/21	11,225,500
	9,225,000		5.000		07/01/22	10,546,205
	5,000,000		5.000		07/01/23	5,811,650
Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water Supply System RB Refunding Local Project Bonds Senior Lien Series 2014 D-3 (NATL-RE FGIC) (A/A3)
	7,410,000		5.000		07/01/18	7,677,724
	5,000,000		5.000		07/01/19	5,347,300
	1,390,000		5.000		07/01/20	1,528,972


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Michigan – (continued)
Michigan Finance Authority Local Government Loan Program RB for Detroit Water and Sewerage Department Water Supply System RB Refunding Local Project Bonds Series 2015 D-1 (A-/A3)
$	200,000		3.000	%	07/01/17	$ 200,000
	700,000		5.000		07/01/19	747,194
	375,000		5.000		07/01/20	411,341
	750,000		5.000		07/01/21	838,845
Michigan Finance Authority Local Government Loan Program RB for Public Lighting Authority Local Project Bonds Series 2014 B (A-/NR)
	1,400,000		4.000		07/01/18	1,431,766
	1,125,000		5.000		07/01/19	1,191,071
	1,200,000		5.000		07/01/20	1,301,664
Michigan Finance Authority Local Government Loan Program RB Refunding for Regional Convention Facility Local Project Series 2014 H-1 (AA-/NR)
	1,135,000		5.000		10/01/18	1,183,022
	825,000		5.000		10/01/19	885,035
	1,140,000		5.000		10/01/20	1,225,306
Michigan Finance Authority RB Refunding for Unemployment Obligation Assessment Series 2012 B (AAA/Aaa)
	4,085,000		5.000		01/01/20	4,403,017
Michigan Flushing Community Schools Unlimited Tax GO Refunding Bonds Series 2015 (Q-SBLF) (NR/Aa1)
	1,040,000		4.000		05/01/19	1,089,348
	500,000		4.000		05/01/20	536,525
Michigan State Hospital Finance Authority RB Refunding for Ascension Health Credit Group Series 2010 F-1 (AA+/Aa2)^(b)
	3,050,000		2.000		05/30/18	3,073,943
Michigan State Hospital Finance Authority RB Refunding for Ascension Health Senior Credit Group RMKT 03/01/17 Series 2010 F-2 (AA+/Aa2)^(b)
	2,600,000		1.900		04/01/21	2,619,656
Michigan State Hospital Finance Authority RB Refunding for Ascension Health Senior Credit Group RMKT 03/15/17 Series 2010 F-5 (AA+/Aa2)^(b)
	4,400,000		2.400		03/15/23	4,496,580
Michigan State Strategic Fund Tax-Exempt Adjustable Mode Facilities RB for Waste Management, Inc. Project Series 2001 (AMT) (A-/NR)^(b)
	10,800,000		1.500		08/01/17	10,801,404
Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project RMKT 09/01/16 Series 2008 ET-2 (A/Aa3)^(b)
	2,000,000		1.450		09/01/21	1,969,720
Michigan Strategic Fund RB Refunding for The Detroit Edison Company Pollution Control Bonds Project Series 1995 CC (A/Aa3)^(b)
	4,000,000		1.450		09/01/21	3,939,440
Pinckney Community Schools Livingston and Washtenaw County GO Refunding Bonds Series 2014 (Q-SBLF) (AA-/NR)
	1,000,000		5.000		05/01/18	1,030,290
	2,475,000		5.000		05/01/20	2,712,501
Rochester Community School District GO Refunding Bonds Series 2012 (Q-SBLF) (AA-/NR)
	875,000		4.000		05/01/18	896,726
	700,000		4.000		05/01/19	735,161
Royal Oak Hospital Finance Authority RB for William Beaumont Hospital Series 2014 D (A/A1)
	1,500,000		5.000		09/01/19	1,614,420


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Michigan – (continued)
St. Clair County Michigan East China School District 2015 School Bus GO Refunding Bonds Series I (Q-SBLF) (AA-/NR)
$	3,170,000		3.000	%	05/01/19	$ 3,263,673
University of Michigan RB Refunding Series 2010 C (AAA/Aaa)
	4,555,000		5.000		04/01/21	5,012,960
Warren Consolidated School District Unlimited Tax GO Refunding Bonds Series 2016 B (BAM) (AA/NR)
	1,625,000		4.000		05/01/18	1,664,130
	1,790,000		5.000		05/01/19	1,907,335
Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Refunding Bonds Series 2015 A (Q-SBLF) (AA-/NR)
	1,420,000		4.000		05/01/19	1,481,372
Washtenaw County Ypsilanti Community Schools Unlimited Tax GO Refunding Bonds Series 2016 A (Q-SBLF) (AA-/NR)
	1,260,000		4.000		05/01/20	1,346,260
	1,000,000		5.000		05/01/21	1,123,880
	1,000,000		5.000		05/01/22	1,147,060
Wayne County Airport Authority RB Refunding for Detroit Metropolitan Wayne County Airport Series 2012 A (A/A2)
	1,270,000		5.000		12/01/18	1,331,277
	1,385,000		5.000		12/01/19	1,499,983
Western Township Utilities Authority Sewage Disposal System Limited Tax RB for Series 2012 (MUN GOVT GTD) (AA/NR)
	1,000,000		4.000		01/01/19	1,040,820

						161,065,896

Minnesota – 0.8%
Circle Pines Minnesota Independent School District No. 012 GO Bonds Series 2015 A (SD CRED PROG) (AA+/NR)^(d)
	675,000		0.000		02/01/21	638,806
Farmington Minnesota Independent School District No. 192 GO School Building Refunding Bonds Series 2012 D (SD CRED PROG) (NR/Aa2)
	3,190,000		1.500		06/01/18	3,206,875
Maple Grove Minnesota Health Care Facilities RB Refunding for Maple Grove Hospital Corporation Series 2017 (NR/Baa1)
	500,000		4.000		05/01/21	539,265
	500,000		4.000		05/01/22	544,995
	500,000		5.000		05/01/23	576,065
Minneapolis Minnesota Convention Center GO Refunding Bonds Series 2011 A (AAA/Aa1)
	7,980,000		2.000		12/01/17	8,016,788
Minneapolis Minnesota Various Purpose GO Improvement Bonds Series 2016 (AAA/Aa1)
	10,000,000		2.000		12/01/20	10,252,400
Minnesota Higher Education Facilities Authority RB for University of St. Thomas Series 2013 7-U (NR/A2)
	500,000		5.000		04/01/18	514,700
Minnesota State Trunk Highway GO Refunding Bonds Series 2014 E (AA+/Aa1)
	12,220,000		2.000		08/01/18	12,357,475

						36,647,369

Mississippi – 0.2%
Jackson County Mississippi Pollution Control RB Refunding for Chevron USA, Inc. Project RMKT 11/01/99 Series 1993 (AA-/Aa2)^(b)
	2,100,000		0.960		07/03/17	2,100,000


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Mississippi – (continued)
Mississippi Business Finance Corp. RB for Chevron USA, Inc. Project Series 2011 B (AA-/Aa2)^(b)
$	8,950,000		0.960	%	07/03/17	$ 8,950,000

						11,050,000

Missouri – 1.5%
City of Columbia Electric Utility Special Obligation RB for Annual Appropriation Series 2012 E (AA/NR)
	1,995,000		4.000		09/01/18	2,064,107
	2,075,000		4.000		09/01/19	2,196,263
Missouri State Development Finance Board Infrastructure Facilities Leasehold Improvement and RB Refunding for City of Independence Electric System Projects Series 2012 F (A/NR)
	1,180,000		4.000		06/01/18	1,210,538
	960,000		4.000		06/01/19	1,009,296
	1,000,000		4.000		06/01/20	1,059,020
Missouri State Highways and Transportation Commission Second Lien GO Refunding State Road Bonds Series 2014 B (AAA/Aa1)
	34,540,000		5.000		05/01/18	35,681,547
	24,275,000		5.000		05/01/19	25,979,833
St. Louis Airport RB Refunding for Lambert St. Louis International Airport Series 2013 (A-/A3)
	765,000		5.000		07/01/18	794,491

						69,995,095

Montana – 0.3%
City of Billings RB for Sewer System Series 2017 (AA+/Aa3)
	275,000		4.000		07/01/19	290,345
	240,000		4.000		07/01/20	259,433
	210,000		4.000		07/01/21	231,525
	310,000		5.000		07/01/22	362,424
Forsyth Montana Pollution Control RB Refunding for Northwestern Corp. Colstrip Project Series 2016 (A-/A2)
	11,000,000		2.000		08/01/23	10,918,930
Montana State Department of Transportation Refunding Grant Anticipation Notes for Highway 93 Advance Construction Project-Garvees Series 2012 (AA/A2)
	1,750,000		3.000		06/01/18	1,779,610
	800,000		4.000		06/01/18	820,704

						14,662,971

Nebraska – 0.5%
Gas Supply RB Refunding for Central Plains Energy Project Series 2014 (NR/A1)^(b)
	20,000,000		5.000		12/01/19	21,601,200
Lincoln County Hospital Authority No. 1 RB Refunding for Great Plains Regional Medical Center Project Series 2012 (A-/NR)
	435,000		4.000		11/01/17	438,989
	750,000		4.000		11/01/19	782,775
	690,000		4.000		11/01/20	731,807
Omaha Nebraska Special Tax RB Refunding for Performing Arts Project Series 2012 (AA+/Aa2)
	1,785,000		3.000		10/15/18	1,828,715

						25,383,486


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Nevada – 1.1%
Clark County Improvement District Refunding for Special Improvement District No. 142 Mountain Edge Local Improvement Series 2012 (BBB/NR)
$	3,280,000		4.000	%	08/01/17	$ 3,283,215
Clark County Pollution Control RB Refunding for Nevada Power Company Project Series 2017 (A+/A2)^(b)
	1,850,000		1.600		05/21/20	1,844,820
Clark County School District Limited Tax GO Refunding Bonds Series 2015 B (AA-/A1)
	11,900,000		5.000		06/15/18	12,333,517
	10,300,000		5.000		06/15/19	11,036,553
Las Vegas City Limited Tax GO Bonds Medium-Term Various Purpose Series 2011 A (AA/Aa2)
	2,810,000		4.000		12/01/17	2,812,585
Nevada State Limited Tax GO Refunding Bonds for Capital Improvement Series 2015 D (AA/Aa2)
	18,085,000		5.000		04/01/21	20,495,911

						51,806,601

New Hampshire – 1.1%
New Hampshire Business Finance Authority RB for Pollution Control Project Series 2001 A (AMT) (NATL-RE) (A+/A1)^(c)
	50,475,000		1.890		05/01/21	49,831,271
New Hampshire State Business Finance Authority RB for Waste Management, Inc. Series 2003 (AMT) (A-/NR)^(b)
	1,200,000		2.125		06/01/18	1,205,724

						51,036,995

New Jersey – 6.8%
Atlantic City New Jersey Tax Appeal Refunding Bonds Series 2017 A (BAM) (ST AID WITHHLDG) (AA/Baa1)
	220,000		5.000		03/01/20	236,727
	500,000		5.000		03/01/23	559,620
Bergen County New Jersey GO Refunding Bonds for General Improvement Series 2011 A (ST AID WITHHLDG) (NR/Aaa)
	2,355,000		2.000		12/01/17	2,365,762
Burlington County New Jersey GO Bonds Series 2015 A (AA/Aa2)
	1,080,000		2.000		05/01/18	1,088,791
	1,275,000		2.000		05/01/19	1,294,444
Casino Reinvestment Development Authority Luxury Tax RB Series 2014 (BBB+/Baa2)
	1,000,000		4.000		11/01/17	1,005,240
East Brunswick Township Board of Education Refunding Bonds Series 2012 (SCH BD RES FD) (NR/Aa2)
	1,130,000		4.000		11/01/18	1,173,708
	1,300,000		5.000		11/01/19	1,411,085
Gloucester County Improvement Authority RB Refunding for Solid Waste Management, Inc. Project Series 1999 A (A-/NR)^(b)
	2,950,000		2.125		12/01/17	2,959,351
Gloucester County New Jersey GO Refunding Bonds Series 2011 (AA/NR)
	1,245,000		3.000		10/01/17	1,251,225
Hudson County New Jersey GO Refunding Bonds Series 2015 (AGM) (AA/Aa3)
	700,000		4.000		02/15/19	727,468
	725,000		4.000		02/15/20	774,263
	1,025,000		4.000		02/15/21	1,117,691
Mercer County New Jersey GO Bonds Series 2015 (AA+/NR)
	2,155,000		0.050		02/01/18	2,145,109
	2,355,000		0.050		02/01/19	2,317,720


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New Jersey – (continued)
Mercer County New Jersey GO Bonds Series 2016 (AA+/NR)
$	3,380,000		1.500	%	07/15/21	$ 3,380,000
Middlesex County New Jersey GO Bonds for General Improvements Series 2016 (AAA/NR)
	4,675,000		3.000		01/15/20	4,883,645
Morris County Improvement Authority RB Refunding for Governmental Loan Series 2015 (CNTY GTD) (AAA/Aaa)
	4,000,000		3.000		05/01/19	4,137,240
New Jersey Economic Development Authority RB for Provident Group - Kean Properties L.L.C. - Kean University Student Housing Project Series 2017 A (BBB-/NR)
	180,000		4.000		07/01/21	191,097
	220,000		4.000		01/01/22	233,728
	225,000		4.000		07/01/22	239,749
	270,000		4.000		01/01/23	287,218
	275,000		4.000		07/01/23	292,913
	320,000		4.000		01/01/24	339,507
	325,000		4.000		07/01/24	344,926
New Jersey Economic Development Authority RB for School Facilities Construction Bonds Series 2011 GG (ETM) (ST APPROP) (NR/Baa1)^(a)
	4,485,000		5.000		09/01/19	4,848,061
New Jersey Educational Facilities Authority RB for Rider University Series 2012 A (BBB-/Baa2)
	1,240,000		5.000		07/01/17	1,240,000
	1,265,000		4.000		07/01/18	1,286,341
New Jersey Educational Facilities Authority RB Refunding for New Jersey City University Series 2016 D (AGM) (AA/A2)
	2,085,000		3.000		07/01/19	2,150,532
	2,150,000		3.000		07/01/20	2,239,977
	2,210,000		3.000		07/01/21	2,320,279
New Jersey Educational Facilities Authority RB Refunding for Stevens Institute of Technology Series 2017 A (A-/NR)
	630,000		4.000		07/01/18	647,117
	315,000		5.000		07/01/19	337,586
	315,000		5.000		07/01/20	347,369
	485,000		5.000		07/01/21	547,832
	440,000		5.000		07/01/22	507,311
New Jersey Health Care Facilities Financing Authority RB for Princeton Healthcare System Issue Series 2016 A (BBB/Baa2)
	750,000		5.000		07/01/21	839,153
New Jersey Health Care Facilities Financing Authority RB for Trinitas Hospital Obligated Group Series 2007 A (BBB/Baa2)
	8,980,000		5.250		07/01/30	8,980,000
New Jersey Health Care Facilities Financing Authority RB Refunding for Barnabas Health Series 2012 A (A+/A1)
	350,000		5.000		07/01/17	350,000
	400,000		5.000		07/01/18	415,216
New Jersey Health Care Facilities Financing Authority RB Refunding for Trinitas Regional Medical Center Series 2017 A (BBB/Baa2)
	6,600,000		5.000		07/01/17	6,600,000
	4,300,000		5.000		07/01/18	4,441,599
	1,530,000		5.000		07/01/19	1,627,262
	1,000,000		5.000		07/01/20	1,089,880
	1,000,000		5.000		07/01/21	1,113,580
	1,240,000		5.000		07/01/22	1,403,110
New Jersey State GO Refunding Bonds Series 2016 T (A-/A3)
	7,515,000		5.000		06/01/18	7,767,128
New Jersey State Transit Corp. Refunding Grant Anticipation Notes Series 2014 A (A/A3)
	7,500,000		5.000		09/15/18	7,792,350


Principal Amount		Interest Rate			Maturity Date		Value
Municipal Bonds – (continued)
New Jersey – (continued)
New Jersey State Turnpike Authority RB Refunding Series 2014 C (A+/A2)
$	22,000,000		5.000	%		01/01/20	$ 23,985,060
New Jersey State Turnpike Authority RB Series 2000 C (NATL-RE) (A+/A2)^(c)
	21,625,000		1.523			01/01/30	19,840,124
New Jersey State Turnpike Authority RB Series 2000 D (NATL-RE) (A+/A2)^(c)
	21,500,000		1.523			01/01/30	19,725,499
New Jersey State Turnpike Authority RB Series 2012 B (A+/A2)
	10,000,000		5.000			01/01/19	10,568,700
New Jersey Transportation Trust Fund Authority RB Capital Appreciation for Transportation System Bonds Series 2010 A (BBB+/Baa1)^(d)
	5,000,000		0.000			12/15/28	2,941,800
New Jersey Transportation Trust Fund Authority RB for Federal Highway Reimbursement Notes Subseries 2016 A-2 (A+/Baa1)
	18,450,000		5.000			06/15/29	18,826,011
New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2012 AA (ST APPROP) (BBB+/Baa1)
	2,945,000		5.000			06/15/19	3,082,502
New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2014 AA (BBB+/Baa1)
	10,000,000		5.000			06/15/21	10,688,200
New Jersey Transportation Trust Fund Authority RB for Transportation Program Bonds Series 2015 AA (BBB+/Baa1)
	1,000,000		5.000			06/15/21	1,068,820
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 A (BBB+/Baa1)
	15,550,000		5.250			12/15/20	16,770,209
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (AMBAC) (BBB+/Baa1)^(d)
	10,000,000		0.000			12/15/25	7,295,800
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2006 C (NATL-RE) (A/A3)^(d)
	15,000,000		0.000			12/15/27	9,990,900
	14,390,000		0.000			12/15/30	8,101,426
	5,000,000		0.000			12/15/31	2,685,750
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2008 A (AA+/Aaa)^(a)
	1,435,000		6.000			12/15/18	1,537,861
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2010 D (BBB+/Baa1)
	3,015,000		5.000			12/15/23	3,255,687
New Jersey Transportation Trust Fund Authority RB for Transportation System Bonds Series 2013 A (BBB+/Baa1)
	2,010,000		4.000			06/15/18	2,048,994
	1,485,000		5.000			06/15/20	1,576,610
New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2011 A (ST APPROP) (BBB+/Baa1)
	5,115,000		5.000			06/15/23	5,404,765
New Jersey Transportation Trust Fund Authority RB for Transportation System Series 2013 A (BBB+/Baa1)
	6,235,000		5.000			12/15/19	6,597,316


Principal Amount		Interest Rate			Maturity Date		Value
Municipal Bonds – (continued)
New Jersey – (continued)
New Jersey Transportation Trust Fund Authority RB Refunding for Transportation Systems Series 2010 D (BBB+/Baa1)
$	26,545,000		5.250	%		12/15/23	$ 29,042,619
New Jersey Transportation Trust Fund Authority RB Subseries 2016 A-1 & Subseries A-2 (A+/Baa1)
	15,500,000		5.000			06/15/31	15,792,640
New Jersey Turnpike Authority Turnpike RB Series 2014 B-3 (A+/A2)^(b)
	3,750,000		1.274			01/01/18	3,750,413
Princeton GO Refunding Bonds Series 2016 (AAA/Aaa)
	540,000		3.000			01/01/20	564,143
Toms River Township Board of Education School District GO Refunding Bonds Series 2012 (SCH BD RES FD) (AA-/NR)
	855,000		3.000			07/15/17	855,436
Toms River Township General Improvement Bonds Series 2010 (AA/NR)
	3,260,000		3.000			06/15/18	3,321,875
Union County New Jersey GO Bonds Series B (AA+/Aaa)
	1,240,000		3.000			03/01/19	1,279,097
Union County New Jersey GO Refunding Bonds Series B (ETM) (NR/NR)^(a)
	25,000		3.000			03/01/19	25,763

							324,273,930

New Mexico – 0.5%
Farmington City PCRB Refunding for Public Service Co. of New Mexico San Juan & Four Corners Projects Series 2016 A (BBB+/Baa2)^(b)
	4,000,000		1.875			10/01/21	3,991,040
Farmington City PCRB Refunding for Public Servicing Co. of New Mexico San Juan & Four Corners Projects Series 2016 B (BBB+/Baa2)^(b)
	11,000,000		1.875			10/01/21	10,975,360
Farmington New Mexico PCRB Refunding for Public Service Co. of New Mexico San Juan Project RMKT 06/01/17 Series 2017 B (BBB+/Baa2)^(b)
	3,750,000		2.125			06/01/22	3,770,025
New Mexico State Severance Tax RB Series 2010 A (AA-/Aa2)
	2,000,000		5.000			07/01/17	2,000,000
New Mexico State Severance Tax RB Series 2011 A-1 (AA-/Aa2)
	5,475,000		5.000			07/01/17	5,475,000

							26,211,425

New York – 12.8%
Brooklyn Arena Local Development Corp. Pilot RB Refunding for Barclays Center Series 2016 A (BBB-/Baa3)
	1,250,000		5.000			07/15/21	1,426,562
	500,000		5.000			07/15/22	580,190
	500,000		5.000			07/15/23	585,980
City of Yonkers New York School GO Refunding Bonds Series 2014 A (AGM) (AA/A2)
	2,890,000		5.000			09/01/18	3,017,016
	3,135,000		5.000			09/01/19	3,379,718
Metropolitan Transportation Authority RB Refunding RMKT 11/01/16 Subseries 2012 G-3 (AA-/A1)^(b)
	20,000,000		1.404			02/01/20	19,966,800
Metropolitan Transportation Authority RB Refunding Series 2008 B-4 (AA-/A1)^(b)
	20,425,000		5.000			11/15/19	22,124,564


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New York – (continued)
Metropolitan Transportation Authority RB Refunding Series 2016 C-2B (AA-/A1)^(b)
$	13,675,000		5.000	%	02/15/20	$ 14,857,888
Metropolitan Transportation Authority RB Series 2011 B (AA-/A1)^(b)
	50,000,000		1.054		11/01/17	50,001,500
New York City GO Bonds Fiscal 2015 Series F Subseries F6 (AA/Aa2)^(b)
	2,300,000		0.950		07/03/17	2,300,000
New York City GO Bonds Series 2014 J (AA/Aa2)
	52,045,000		5.000		08/01/18	54,265,240
New York City GO Refunding Bonds RMKT 03/19/13 Subseries 2008 J-4 (AA/Aa2)^(c)
	6,250,000		1.460		08/01/25	6,242,937
New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2011 Subseries AA2 (AA+/Aa1)^(b)
	7,270,000		0.950		07/03/17	7,270,000
New York City Municipal Water Finance Authority RB for Water & Sewer System Second General Resolution Fiscal 2015 Subseries BB4 (AA+/Aa1)^(b)
	2,750,000		0.870		07/03/17	2,750,000
New York City Transitional Finance Authority RB for New York City Recovery Project 2002 Subseries 1-C (AAA/Aa1)^(b)
	1,015,000		0.950		07/03/17	1,015,000
New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series B (AAA/Aa1)
	8,620,000		5.000		11/01/17	8,733,784
New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Series B (ETM) (NR/NR)^(a)
	2,030,000		5.000		11/01/17	2,056,268
New York City Transitional Finance Authority RB Future Tax Subordinate Fiscal 2013 Subseries C-4 (AAA/Aa1)^(b)
	6,000,000		0.950		07/03/17	6,000,000
New York City Transitional Finance Authority RB Refunding for Future Tax Fiscal 2013 Series 2012 E (AAA/Aa1)
	3,775,000		5.000		11/01/22	4,450,121
New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2015 E (AAA/Aa1)
	7,145,000		5.000		03/15/21	8,080,924
New York State Dormitory Authority General Purpose Personal Income Tax RB Series 2016 D (AAA/Aa1)
	5,000,000		3.000		02/15/19	5,159,950
	1,880,000		4.000		02/15/20	2,014,251
	1,885,000		4.000		02/15/21	2,061,021
New York State Dormitory Authority RB Refunding for Long Island University Series 2012 A (BBB/Baa2)
	3,000,000		4.000		09/01/17	3,012,120
	3,665,000		5.000		09/01/18	3,809,254
New York State Dormitory Authority State Sales Tax RB Series 2015 A (AAA/Aa1)
	23,960,000		5.000		03/15/19	25,563,403
New York State Dormitory Authority State Sales Tax RB Series 2015 B (AAA/Aa1)
	15,275,000		5.000		03/15/20	16,846,186
	30,000,000		5.000		03/15/21	34,057,500
New York State Dormitory Authority Tax Exempt General Purpose Personal Income Tax RB Series 2011 E (AAA/Aa1)
	8,475,000		5.000		08/15/17	8,513,646
New York State Energy Research & Development Authority Facilities RB Refunding for Consolidated Edison Co. Subseries 1999 A-2 (AMT) (AMBAC) (A-/A2)^(c)
	70,150,000		1.330		05/01/34	63,887,106


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New York – (continued)
New York State Energy Research & Development Authority Pollution Control RB for Rochester Gas & Electric Corp. Series (NATL-RE) (A/A3)^(b)
$	6,550,000		1.480	%	08/01/32	$ 5,845,875
New York State Energy Research & Development Authority RB for Brooklyn Union Gas Project Series 2000 (NATL-RE) (A/A2)^(c)
	10,000,000		1.523		12/01/20	9,875,000
New York State Energy Research & Development Authority RB Refunding for Central Hudson Gas & Electric Corp. Projects Series 1999 B (AMT) (AMBAC) (A-/A2)^(c)
	27,750,000		1.365		07/01/34	24,418,196
New York State Tax Exempt GO Bonds Series 2011 E (AA+/Aa1)
	6,950,000		5.000		12/15/17	7,078,714
New York State Thruway Authority Junior Indebtedness RB Series 2013 A (A-/A3)
	29,525,000		5.000		05/01/19	31,554,253
New York State Urban Development Corp. General Purpose Personal Income Tax RB Refunding Series 2014 A (AAA/Aa1)
	20,000,000		5.000		03/15/20	21,995,600
New York State Urban Development Corp. General Purpose Personal Income Tax RB Refunding Series 2015 A (AAA/Aa1)
	28,510,000		5.000		03/15/21	32,244,525
New York State Urban Development Corp. RB for State Personal Income Tax Series 2013 E (AAA/Aa1)
	26,365,000		5.000		03/15/18	27,121,412
New York Transportation Development Corp. Special Facility RB Refunding for Terminal One Group Association L.P. Project Series 2015 (AMT) (A-/Baa1)
	4,800,000		5.000		01/01/20	5,177,904
	2,000,000		5.000		01/01/21	2,209,600
Niagara Frontier Transportation Authority RB Refunding for Buffalo International Airport Series 2014 B (BBB+/Baa1)
	670,000		4.000		04/01/18	683,822
	300,000		5.000		04/01/19	319,095
Rockland County GO Bonds Series 2014 A (AGM) (AA/A2)
	1,825,000		5.000		03/01/18	1,870,899
	2,250,000		5.000		03/01/19	2,384,505
	3,000,000		5.000		03/01/20	3,269,550
Rockland County New York GO Refunding Bonds Series 2014 (BAM) (AA/Baa1)
	1,500,000		3.000		02/15/19	1,539,960
	635,000		3.000		02/15/20	658,939
Suffolk County New York GO Bonds for Public Improvement Series 2016 A (AGM) (AA/NR)
	4,080,000		2.000		06/15/19	4,140,098
Suffolk County New York GO Bonds for Public Improvement Series 2016 B (BAM) (AA/NR)
	3,545,000		2.000		10/15/19	3,596,438
	5,105,000		2.000		10/15/20	5,194,440
	5,200,000		2.000		10/15/21	5,289,908
Suffolk County New York GO Refunding Serial Bonds Series 2012 B (A-/A3)
	1,000,000		4.000		10/01/17	1,007,160
Suffolk County New York GO Refunding Serial Bonds Series 2017 A (AGM) (AA/NR)
	7,035,000		4.000		02/01/23	7,843,744
Suffolk County New York GO Refunding Serial Bonds Series 2017 B (AGM) (AA/NR)
	6,360,000		4.000		10/15/23	7,150,421


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
New York – (continued)
Suffolk Tobacco Asset Securitization Corp. RB Tobacco Settlement Asset-Backed Bonds Series 2012 B (A/NR)
$	490,000		4.000	%	06/01/18	$ 504,524
	575,000		5.000		06/01/19	618,125
	620,000		5.000		06/01/20	684,015
TSASC Inc., Tobacco Settlement RB Senior Series 2017 A (A/NR)
	2,000,000		5.000		06/01/20	2,198,680
	1,000,000		5.000		06/01/21	1,124,890
TSASC Inc., Tobacco Settlement RB Subordinated Series 2017 B (BBB/NR)
	1,000,000		5.000		06/01/20	1,082,110
Utility Debt Securitization Authority Restructuring RB Refunding Series 2016 B (AAA/Aaa)
	2,000,000		5.000		12/15/23	2,315,540

						605,026,871

North Carolina – 0.6%
North Carolina Eastern Municipal Power Agency Power System RB Refunding Series 2012 B (ETM) (AAA/WR)^(a)
	4,900,000		5.000		01/01/19	5,183,906
North Carolina Eastern Municipal Power Agency Power System RB Series 2012 A (ETM) (AAA/WR)^(a)
	2,000,000		3.000		01/01/18	2,020,120
	1,275,000		5.000		01/01/18	1,300,168
	2,000,000		3.000		01/01/19	2,057,060
	1,000,000		5.000		01/01/19	1,057,940
North Carolina Grant and Revenue Anticipation Vehicle Bonds Series 2011 (AA/A2)^(b)
	9,220,000		4.000		03/01/18	9,259,554
North Carolina Medical Care Commission Health Care Facilities RB Refunding for Wake Forest Baptist Obligated Group Series 2012 B (A/A2)
	1,375,000		5.000		12/01/18	1,447,848
Raleigh North Carolina Combined Enterprise System RB Refunding Series 2015 B (AAA/Aaa)
	6,140,000		5.000		12/01/20	6,924,385

						29,250,981

Ohio – 0.8%
Akron City Ohio Jedd RB Refunding Series 2011 (AA-/NR)
	1,740,000		5.000		12/01/17	1,768,675
American Municipal Power, Inc., RB for Hydroelectric Projects Series 2009 C (A/A2)^(a)
	4,000,000		5.000		02/15/20	4,393,480
Buckeye Ohio Tobacco Settlement Financing Authority RB Senior Turbo Asset-Backed Bonds Series 2007 A-2 (B-/Caa1)
	13,740,000		5.125		06/01/24	13,263,222
	3,415,000		5.375		06/01/24	3,335,089
City of Columbus Various Purpose Limited Tax Bonds Series 2016 B (AAA/Aaa)
	1,600,000		1.500		08/15/21	1,611,472
Cleveland Airport Various Purpose GO Refunding Bonds Series 2015 (AA+/A1)
	1,455,000		5.000		12/01/20	1,627,927
Cuyahoga County Ohio Hospital RB Refunding for Metrohealth System Series 2017 (BBB-/Baa3)
	1,750,000		5.000		02/15/23	1,967,822
	3,000,000		5.000		02/15/24	3,405,270
	1,500,000		5.000		02/15/25	1,716,945


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Ohio – (continued)
Hamilton County Health Care RB Refunding for Life Enriching Community Project Series 2012 (BBB/NR)
$	400,000		4.000	%	01/01/18	$ 404,648
	415,000		4.000		01/01/19	428,268
	435,000		4.000		01/01/20	456,428
New Albany Community Authority RB Refunding Series 2012 C (NR/Aa3)
	1,100,000		4.000		10/01/17	1,108,063
	800,000		4.000		10/01/18	828,800
Ohio State Higher Educational Facility Commission RB for Cleveland Clinic Health System Obligations Series 2013 A-2 (AA-/Aa2)^(c)
	2,250,000		1.380		01/01/18	2,249,573
University of Akron General Receipts Bonds Series 2015 A (AA-/A1)
	1,100,000		4.000		01/01/19	1,145,562

						39,711,244

Oklahoma – 0.5%
Cleveland Educational Facilities Authority RB for Norman Public Schools Project Series 2014 (A+/NR)
	1,520,000		5.000		07/01/17	1,520,000
Oklahoma County Independent School District No. 1 Combined Purpose GO Bonds for Putnam City Board of Education District Series 2016 (A+/NR)
	5,000,000		2.000		01/01/18	5,021,250
	3,585,000		2.000		01/01/19	3,621,280
	2,900,000		2.000		01/01/21	2,945,095
Oklahoma County Independent School District No. 89 GO Bonds Series 2015 (AA/Aa3)
	6,200,000		3.000		07/01/19	6,419,604
Tulsa County Independent School District No. 3 GO Bonds Series 2017 (AA/NR)
	5,800,000		2.000		04/01/20	5,918,204

						25,445,433

Oregon – 0.9%
Forest Grove Oregon Student Housing RB Refunding for Oak Tree Foundation Project Series 2017 (BBB-/NR)
	175,000		3.000		03/01/18	176,953
	300,000		4.000		03/01/19	311,844
	995,000		4.000		03/01/21	1,061,118
	385,000		5.000		03/01/23	432,624
	200,000		5.000		03/01/24	226,532
	200,000		5.000		03/01/25	227,456
Lane County Oregon Springfield School District No. 19 GO Refunding Bonds Series 2015 (SCH BD GTY) (AA+/Aa1)^(d)
	3,740,000		0.000		06/15/20	3,537,629
	3,780,000		0.000		06/15/21	3,485,273
Oregon Coast Community College District GO Refunding Bonds Series 2012 (SCH BD GTY) (NR/Aa1)
	1,165,000		2.000		06/15/18	1,176,766
	1,445,000		3.000		06/15/19	1,498,451
Oregon State GO Refunding Bonds for Oregon University System Series 2012 B (AA+/Aa1)
	1,120,000		3.000		08/01/18	1,144,483
Portland Oregon Community College District GO Refunding Bonds Series 2015 (AA/Aa1)
	10,000,000		5.000		06/15/18	10,381,600


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Oregon – (continued)
Portland Oregon Community College District GO Refunding Bonds Series 2016 (AA/Aa1)
$	1,500,000		5.000	%	06/15/20	$ 1,664,715
	1,900,000		5.000		06/15/21	2,170,826
	2,300,000		5.000		06/15/22	2,690,379
Portland Oregon Water System RB Refunding First Lien Series 2016 A (NR/Aaa)
	10,845,000		5.000		04/01/19	11,581,809
	2,130,000		5.000		04/01/22	2,484,411

						44,252,869

Pennsylvania – 3.2%
Abington School District GO Bonds Series 2017 (ST AID WITHHLDG) (AA/NR)
	1,375,000		5.000		10/01/21	1,574,815
	1,950,000		5.000		10/01/22	2,279,550
Allegheny County Higher Education Building Authority RB for Chatham University Series 2012 A (BBB/NR)
	750,000		5.000		09/01/18	779,520
Allegheny County Redevelopment Authority Tax Increment Refunding for Waterfront Project Series 2007 A (A/NR)
	645,000		4.250		12/15/17	654,095
Allentown School District GO Refunding Series 2016 (AGM) (ST AID WITHHLDG) (AA/NR)
	500,000		2.000		02/15/19	505,390
Butler County Hospital Authority RB for Health System Project Series 2015 A (A-/Baa1)
	500,000		3.000		07/01/17	500,000
	1,265,000		3.000		07/01/18	1,277,903
	310,000		3.000		07/01/19	314,734
	265,000		4.000		07/01/20	277,693
	1,000,000		4.000		07/01/21	1,060,870
Chester County Downingtown Area School District GO Bonds Series 2010 (ST AID WITHHLDG) (NR/Aaa)^(b)
	5,000,000		1.610		05/01/19	5,005,900
Chester County IDA RB for University Student Housing, LLC Project at West Chester University Series 2013 A (NR/Baa3)
	515,000		3.000		08/01/17	515,217
	530,000		3.000		08/01/18	531,770
City of Philadelphia GO Bonds Series 2016 F (ST AID WITHHLDG) (A+/A2)
	1,000,000		5.000		09/01/19	1,062,440
	4,000,000		5.000		09/01/20	4,343,040
	4,000,000		5.000		09/01/21	4,410,280
City of Philadelphia GO Bonds Series 2017 (A+/A2)
	4,500,000		5.000		08/01/19	4,830,210
Coatesville School District GO Refunding Bonds Series 2017 (AGM) (ST AID WITHHLDG) (AA/A2)
	325,000		4.000		08/01/20	348,169
	1,270,000		5.000		08/01/21	1,430,897
	1,125,000		5.000		08/01/22	1,291,016
Cumberland County Municipal Authority RB Refunding for Diakon Lutheran Social Ministries Project Series 2015 (BBB+/NR)
	535,000		4.000		01/01/19	553,864
	1,000,000		4.000		01/01/20	1,057,010
Montgomery County Higher Education and Health Authority RB Refunding for Holy Redeemer Health System Series 2014 A (BBB+/Baa3)
	1,000,000		4.000		10/01/18	1,026,500
	1,000,000		4.000		10/01/19	1,044,170


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Pennsylvania – (continued)
Montgomery County IDA Pollution Control RB Refunding for PECO Energy Company Project Series 1999 B (BBB/Baa2)^(b)
$	5,000,000		2.500	%	04/01/20	$ 4,973,700
Pennsylvania Economic Development Financing Authority RB Refunding for Unemployment Compensation Series 2012 A (AA+/Aaa)
	6,635,000		5.000		07/01/19	7,139,260
Pennsylvania Economic Development Financing Authority RB Refunding for Unemployment Compensation Series 2012 B (AA+/Aaa)
	2,770,000		5.000		07/01/22	2,770,000
Pennsylvania Economic Development Financing Authority Solid Waste Disposal RB for Waste Management, Inc. Project Series 2004 A (A-/NR)^(b)
	1,750,000		1.500		05/01/18	1,753,255
Pennsylvania Economic Development Financing Authority Unemployment Compensation RB Series 2012 B (AA+/Aaa)
	16,335,000		5.000		07/01/20	17,586,424
Pennsylvania Higher Educational Facilities Authority RB for La Salle University Series 2012 (BBB/NR)
	1,165,000		5.000		05/01/18	1,192,075
	1,000,000		5.000		05/01/19	1,047,810
Pennsylvania State Commonwealth GO Bonds for City of Pittsburgh Series 2012 A (A+/A1)
	500,000		3.000		09/01/17	501,525
	550,000		4.000		09/01/17	552,514
Pennsylvania State Commonwealth GO Bonds Second Series 2015 (AA-/Aa3)
	2,175,000		5.000		08/15/20	2,411,618
Pennsylvania State Commonwealth GO Refunding Bonds First Series 2015 (AA-/Aa3)
	8,115,000		5.000		08/15/20	8,997,831
Pennsylvania State Commonwealth GO Refunding Bonds First Series 2016 (AA-/Aa3)
	3,000,000		5.000		09/15/18	3,139,200
	16,775,000		5.000		09/15/19	18,145,685
	13,670,000		5.000		09/15/20	15,191,471
Pennsylvania State Commonwealth GO Refunding Bonds Second Series 2010 A (AA-/Aa3)
	7,520,000		5.000		05/01/21	8,294,334
Pennsylvania State Commonwealth GO Refunding Bonds Second Series 2016 (AA-/Aa3)
	4,500,000		5.000		01/15/22	5,158,935
Pennsylvania State GO Bonds First Refunding Series 2015 (AGM) (AA/Aa3)
	5,000,000		5.000		08/15/22	5,801,300
Pennsylvania Turnpike Commission RB Series 2014 B-1 (A/A1)^(c)
	7,000,000		1.790		12/01/20	7,024,290
Philadelphia Hospitals & Higher Education Facilities Authority Hospital RB Refunding for Temple University Health System Series 2012 B (BBB-/Ba1)
	2,000,000		5.000		07/01/17	2,000,000
Scranton School District GO Refunding Bonds Series 2017 A (ST AID WITHHLDG) (A+/A2)
	350,000		4.000		06/01/18	356,352
	500,000		5.000		06/01/19	526,800
	645,000		5.000		06/01/20	690,989
	680,000		5.000		06/01/21	740,710

						152,671,131


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Puerto Rico – 1.8%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB Senior Lien Series 2012 A (CC/Caa3)
$	14,595,000		5.000	%	07/01/17	$ 13,427,400
	7,285,000		5.000		07/01/19	5,882,929
Puerto Rico Commonwealth Public Improvement GO Refunding Bonds Series 2002 A (FGIC) (D/Caa3)^(g)
	1,030,000		5.500		07/01/17	854,900
Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (AGM) (AA/A2)^(c)
	41,925,000		1.289		07/01/29	33,330,375
Puerto Rico Electric Power Authority RB Refunding Series 2007 UU (D/Caa3)^(c)
	25,850,000		1.469		07/01/31	15,510,000
Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2002 C (COMWLTH GTD) (CC/WR)
	654,385		5.500		07/01/16	363,184
Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2007 M-2 (AMBAC) (COMWLTH GTD) (NR/Caa3)^(b)
	1,000,000		5.500		07/01/17	1,000,000
Puerto Rico Public Buildings Authority RB Refunding for Government Facilities Series 2013 M-2 (COMWLTH GTD) (D/Caa3)^(b)
	10,850,000		5.750		07/01/34	5,859,217
Puerto Rico Sales Tax Financing Corp. RB First Subseries 2009 A (D/Ca)^(g)
	5,000,000		5.500		08/01/28	1,287,500
Puerto Rico Sales Tax Financing Corp. Sales Tax RB First Subseries 2009 A (D/Ca)^(g)
	8,000,000		5.500		08/01/21	2,060,000
	10,000,000		5.500		08/01/22	2,575,000
	19,315,000		5.500		08/01/23	4,973,612

						87,124,117

Rhode Island – 0.4%
Providence GO Bonds Series 2013 A (A-/Baa1)
	315,000		4.000		01/15/18	319,086
	1,545,000		5.000		01/15/19	1,621,184
Rhode Island Health and Educational Building Corp. Higher Education Facility RB Refunding for Brown University Issue Series 2012 (AA+/Aa1)
	4,770,000		5.000		09/01/21	5,477,009
Rhode Island Health and Educational Building Corp. Higher Education Facility RB Refunding for University of Rhode Island Auxiliary Enterprise Series 2013 C (A+/A1)
	600,000		5.000		09/15/17	604,524
	500,000		4.000		09/15/18	516,690
Rhode Island Health and Educational Building Corp. RB for Newport Public School Financing Program Series 2013 C (AA+/NR)
	280,000		4.000		05/15/18	287,135
Rhode Island Health and Educational Building Corp. RB for Woonsocket Public School Financing Program Series 2017 A (MUN GOVT GTD) (NR/A1)
	815,000		4.000		05/15/20	862,148
	820,000		5.000		05/15/21	909,273
	1,415,000		5.000		05/15/22	1,595,186


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Rhode Island – (continued)
Tobacco Settlement Financing Corp. RB Asset-Backed Bonds Series 2015 B (NR/NR)
$	7,280,000		2.250	%	06/01/41	$ 7,290,192

						19,482,427

South Carolina – 0.9%
Anderson County School District No. 5 GO Refunding Bonds Series 2016 (SCSDE) (AA/Aa1)
	1,645,000		5.000		03/01/21	1,858,900
Berkeley County School District GO Bonds Series 2014 A (SCSDE) (AA/Aa1)
	1,380,000		5.000		03/01/19	1,467,892
City of Florence Waterworks & Sewerage System RB Refunding Series 2016 (AA-/Aa2)
	900,000		2.000		09/01/19	914,868
	1,560,000		2.000		09/01/20	1,593,618
	1,000,000		2.000		09/01/21	1,024,120
Clemson University RB Refunding Series 2012 (AA/Aa2)
	5,000,000		2.000		05/01/18	5,043,550
Colleton County South Carolina GO Bonds for Capital Project Sales Series 2015 (AA-/Aa3)
	725,000		1.500		07/01/18	728,690
	2,985,000		2.000		07/01/19	3,027,596
Richland County South Carolina School District No. 1 GO Refunding Bonds Series 2014 B (SCSDE) (AA/Aa1)
	2,920,000		5.000		03/01/19	3,105,975
	3,165,000		5.000		03/01/20	3,472,828
South Carolina Public Service Authority RB Tax-Exempt Series 2010 C (AA-/A1)
	9,645,000		5.000		12/01/19	10,405,315
South Carolina Public Service Authority RB Tax-Exempt Series 2014 A (AA-/A1)^(a)(c)
	1,000,000		2.500		06/01/19	1,032,860
York County School District No. 3 Rock Hill GO Bonds Series 2017 B (SCSDE) (AA/Aa1)^(f)
	4,690,000		5.000		03/01/20	5,142,866
	2,880,000		5.000		03/01/21	3,252,557

						42,071,635

Tennessee – 0.4%
Harpeth Valley Utilities District of Davidson and Williamson Counties RB Utilities Improvement Series 1998 (NATL-RE) (A/Aa3)
	875,000		5.250		09/01/17	880,854
Knox County Health Educational & Housing Facilities Board RB for University Health System, Inc. Series 2017 (BBB+/NR)
	800,000		3.000		04/01/18	807,800
	335,000		4.000		04/01/19	346,836
	350,000		5.000		04/01/20	377,520
	750,000		4.000		04/01/21	799,815
	750,000		5.000		04/01/22	841,425
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board RB for Vanderbilt University Series 2009 B (AA/Aa2)^(a)
	7,000,000		5.500		10/01/19	7,671,790
Tennessee State GO Bonds Special Tax Series 2015 A (AAA/Aaa)
	2,655,000		5.000		08/01/20	2,958,971


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Tennessee – (continued)
Tennessee State GO Refunding Bonds Special Tax Series 2015 B (AAA/Aaa)
$	2,210,000		5.000	%	08/01/20	$ 2,463,023

						17,148,034

Texas – 10.3%
Austin Convention Enterprises, Inc. Convention Center Hotel Second Tier RB Refunding Series 2017 B (BBB-/NR)
	200,000		5.000		01/01/18	203,162
	600,000		5.000		01/01/19	627,036
	500,000		5.000		01/01/20	537,465
	500,000		5.000		01/01/21	548,850
	465,000		5.000		01/01/22	518,433
	750,000		5.000		01/01/23	847,208
Austin Texas Water and Wastewater System RB Refunding Series 2014 (AA/Aa2)
	1,675,000		5.000		11/15/19	1,822,534
Central Texas Regional Mobility Authority RB Refunding Senior Lien Series 2015 B (BBB+/Baa2)^(b)
	7,500,000		5.000		01/07/21	8,261,400
City of Arlington for Permanent Improvement Bonds Series 2015 A (AAA/Aa1)
	1,075,000		2.500		08/15/18	1,093,447
	725,000		3.000		08/15/19	752,854
City of Carrollton Texas GO Refunding Bonds Series 2012 (AAA/Aa1)
	2,005,000		4.000		08/15/19	2,121,511
City of El Paso Water and Sewer RB Refunding for Improvement Series 2012 A (AA+/NR)
	1,750,000		2.000		03/01/18	1,762,495
	845,000		4.000		03/01/19	885,585
City of Lewisville Texas Combination Contract & Special Assessment RB Refunding for Lewisville Castle Hills Public Improvement District No. 3 Project Series 2015 (AGM) (AA/NR)
	300,000		3.000		09/01/17	300,798
	250,000		3.000		09/01/18	253,950
	375,000		3.000		09/01/19	384,855
Dallas County Community College District GO Refunding Bonds Series 2017 (AAA/Aaa)^(f)
	3,125,000		5.000		02/15/19	3,318,219
	11,975,000		5.000		02/15/20	13,130,228
	2,355,000		5.000		02/15/21	2,656,699
Dallas County Highland Park Independent School District Unlimited Tax GO Refunding Bonds Series 2015 (NR/Aaa)
	2,070,000		4.000		02/15/20	2,217,819
Dallas County Limited Tax GO Notes Series 2011 (AAA/Aaa)
	3,855,000		5.000		02/15/18	3,951,105
Dallas-Fort Worth International Airport Joint RB Refunding Series 2011 D (A+/A1)
	250,000		4.000		11/01/17	252,472
Dallas-Fort Worth International Airport Joint RB Refunding Series 2012 B (A+/A1)
	1,750,000		5.000		11/01/18	1,839,600
East Central Independent School District Unlimited Tax for School Building Series 2016 (PSF-GTD) (AAA/Aaa)
	1,305,000		4.000		08/15/22	1,464,836
Fort Worth Texas GO Refunding and Improvement Bonds Series 2012 (AA+/Aa2)
	2,000,000		4.000		03/01/19	2,095,720


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Texas – (continued)
Garland Independent School District Unlimited Tax Refunding Bonds Series 2015 A (PSF-GTD) (AAA/Aaa)
$	6,640,000		2.000	%	02/15/18	$ 6,687,011
	4,710,000		3.000		02/15/19	4,851,489
Harris County Cultural Education Facilities Finance Corp. RB Refunding for Memorial Hermann Health System Series 2013 B (A+/A1)^(c)
	5,685,000		1.960		06/01/24	5,678,178
Harris County Texas Spring Independent School District Unlimited Tax Refunding Bonds Series 2011 (PSF-GTD) (AAA/Aaa)
	2,250,000		4.000		08/15/17	2,257,807
Houston Airport System RB Subordinate Lien Series 2002 C (AMT) (XLCA) (A+/A1)^(c)
	15,750,000		2.452		07/01/32	14,584,460
Houston Airport System RB Subordinate Lien Series 2002 D-2 (AMT) (XLCA) (A+/A1)^(c)
	18,550,000		2.440		07/01/32	17,249,501
Houston Independent School District Limited Tax GO Refunding Bonds RMKT 01/06/17 Series 2017 (PSF-GTD) (AAA/Aaa)^(b)
	10,420,000		1.450		06/01/20	10,378,737
Houston Independent School District Limited Tax GO Refunding Bonds Series 2014 B (PSF-GTD) (AAA/Aaa)
	12,000,000		5.000		02/15/19	12,741,960
Houston Independent School District Limited Tax GO Refunding Bonds Series 2017 (PSF-GTD) (AAA/Aaa)
	22,990,000		3.000		02/15/21	24,363,193
	24,000,000		3.000		02/15/22	25,674,480
Houston Independent School District Limited Tax Schoolhouse GO Bonds RMKT 06/01/17 Series 2017 A-2 (PSF-GTD) (AAA/Aaa)^(b)
	17,750,000		3.000		06/01/19	18,325,277
Houston Independent School District Limited Tax Schoolhouse GO Bonds RMKT 06/01/17 Series 2017 B (PSF-GTD) (AAA/Aaa)^(b)
	15,000,000		1.450		06/01/20	14,953,350
Kaufman County Fresh Water Supply District No. 1 Refunding for Road Series 2016 C (AGM) (AA/NR)
	370,000		3.000		09/01/19	379,013
	390,000		3.000		09/01/20	401,973
	310,000		3.000		09/01/21	320,159
	330,000		3.000		09/01/22	342,134
Lamar Consolidated Independent School District Unlimited Tax Schoolhouse Bonds RMKT 08/15/16 Series 2014 A (PSF-GTD) (AAA/Aaa)^(b)
	5,000,000		1.050		08/15/18	5,000,300
Leander Independent School District Unlimited Tax GO Refunding Bonds Series 2015 A (PSF-GTD) (AAA/NR)^(d)
	2,000,000		0.000		08/15/19	1,950,180
	1,500,000		0.000		08/15/20	1,439,445
Leander Independent School District Unlimited Tax GO Refunding Bonds Series 2016 (PSF-GTD) (AAA/NR)^(d)
	2,500,000		0.000		08/16/20	2,399,000
	5,000,000		0.000		08/16/21	4,705,900
Lower Neches Valley Authority Industrial Development Corp. RB Refunding for Exxonmobil Project Series 2012 (AA+/Aaa)^(b)
	5,210,000		0.900		07/03/17	5,210,000
Lubbock Health Facilities Development Corp. RB for St. Joseph Health System Series 2008 B (AA-/Aa3)
	3,300,000		5.000		07/01/17	3,300,000
Mansfield Independent School District GO Bonds Series 2012 (PSF-GTD) (AAA/Aaa)^(b)
	7,315,000		1.750		08/01/17	7,318,950


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Texas – (continued)
Midway Independent School District Unlimited Tax GO Refunding Bonds Series 2015 (PSF-GTD) (AAA/NR)
$	4,905,000		5.000	%	08/01/21	$ 5,588,561
Mission Economic Development Corp. Solid Waste Disposal RB for Waste Management, Inc. Project RMKT 06/01/15 Series 2006 (A-/NR)
	5,000,000		1.800		12/01/18	5,033,200
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station I, LLC - Texas A&M University Collegiate Housing Project Series 2014 A (AGM) (AA/A2)
	170,000		4.000		04/01/20	179,704
	400,000		4.000		04/01/21	428,652
New Hope Cultural Education Facilities Finance Corp. Student Housing RB for Station II, LLC - Texas A&M University Collegiate Housing Corpus Christi Project Series 2016 A (BBB-/Baa3)
	145,000		4.000		04/01/19	149,946
	300,000		4.000		04/01/20	314,664
	620,000		4.000		04/01/21	660,257
North Texas Municipal Water District Upper East Fork Wastewater Interceptor System Contract RB Refunding & Improvement Series 2016 (AAA/Aa1)
	2,085,000		5.000		06/01/22	2,432,966
North Texas Tollway Authority RB Refunding for First Tier Series 2008 A (NATL-RE-IBC) (A/A1)
	4,470,000		6.000		01/01/19	4,576,341
North Texas Tollway Authority RB Refunding for First Tier Series 2012 C (A/A1)^(b)
	18,000,000		1.950		01/01/19	18,116,460
North Texas Tollway Authority System RB Refunding First Tier Series 2011 B (A/A1)
	3,000,000		5.000		01/01/19	3,169,230
North Texas Tollway Authority System RB Refunding First Tier Series 2014 A (A/A1)
	2,000,000		5.000		01/01/20	2,182,500
North Texas Tollway Authority System RB Refunding First Tier Series 2014 C (A/A1)^(b)
	5,000,000		1.580		01/01/20	4,994,400
North Texas Tollway Authority System RB Refunding for Second Tier Series 2015 A (A-/A2)
	1,070,000		4.000		01/01/18	1,085,162
	1,000,000		5.000		01/01/19	1,055,960
Northside Texas Independent School District GO Bonds for School Building Series 2010 (PSF-GTD) (AAA/Aaa)^(b)
	6,655,000		1.200		08/01/17	6,656,065
Northside Texas Independent School District Unlimited Tax School Building GO Bonds Series 2017 (PSF-GTD) (AAA/Aaa)^(b)
	15,000,000		1.450		06/01/20	15,004,200
Plano Independent School District Unlimited Tax Refunding Bonds Series 2016 B (PSF-GTD) (AAA/Aaa)
	10,580,000		5.000		02/15/20	11,612,079
Round Rock Independent School District Unlimited Tax GO Bonds for School Building RMKT 08/01/16 Series 2015 (PSF-GTD) (AAA/Aaa)^(b)
	20,500,000		1.500		08/01/21	20,502,050
Sam Rayburn Municipal Power Agency RB Refunding Series 2012 (BBB+/NR)
	2,315,000		5.000		10/01/19	2,462,396


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Texas – (continued)
San Antonio Electric and Gas Systems Junior Lien RB Refunding Series 2012 A (AA-/NR)^(b)
$	5,000,000		2.000	%	12/01/18	$ 5,029,250
San Antonio Independent School District Unlimited Tax Refunding Bonds Series 2014 B (PSF-GTD) (AAA/Aaa)^(b)
	9,700,000		2.000		08/01/18	9,804,954
San Antonio Water System RB Refunding Junior Lien Series 2016 C (AA/Aa2)
	1,255,000		3.000		05/15/19	1,299,201
Spring Branch Independent School District Schoolhouse GO Bonds RMKT 06/15/17 Series 2013 (PSF-GTD) (AAA/Aaa)^(b)
	22,095,000		3.000		06/18/19	22,828,775
Texas Municipal Gas Acquisition & Supply Corp. III RB Series 2012 D (BBB/A3)
	5,000,000		5.000		12/15/17	5,088,550
	4,500,000		5.000		12/15/18	4,748,985
Texas Municipal Gas Acquisition & Supply Corp. RB for Senior Lien Series 2008 D (BBB+/Baa1)
	3,105,000		5.625		12/15/17	3,140,956
Texas Municipal Gas Acquisition and Supply Corp. I RB for Gas Supply Senior Lien Series 2006 B (BBB+/Baa1)^(c)
	995,000		1.385		12/15/17	992,343
Texas Private Activity Bond Surface Transportation Corp. RB Senior Lien for Mobility Partners LLC Series 2009 (BBB-/Baa2)
	7,800,000		6.875		12/31/39	8,667,438
Texas Transportation Commission Central Turnpike System RB Refunding Series 2015 A (A-/A3)^(b)
	5,000,000		5.000		04/01/20	5,451,800
Texas Transportation Commission Highway Improvement GO Bonds Series 2014 (AAA/Aaa)
	20,000,000		5.000		04/01/19	21,351,600
	2,500,000		5.000		04/01/21	2,838,175
Texas Transportation Commission State Highway Fund First Tier RB Refunding Series 2014 A (AAA/Aaa)
	14,625,000		5.000		04/01/18	15,059,362
Texas Transportation Commission State Highway Fund First Tier RB Series 2016 A (AAA/Aaa)
	15,250,000		3.000		10/01/21	16,295,388
Texas University System Financing RB Refunding Series 2017 A (AA/Aa2)
	1,800,000		5.000		03/15/20	1,979,100
	1,800,000		5.000		03/15/21	2,030,238
Texas Water Development Board State Water Implementation Fund RB Series 2015 A (AAA/NR)
	2,300,000		4.000		10/15/19	2,446,740
	1,305,000		4.000		04/15/20	1,403,306
Travis County GO Bonds for Texas Unlimited Tax Road Series 2016 (AAA/Aaa)
	3,265,000		1.500		03/01/20	3,287,920
Victoria Independent School District Unlimited Tax Refunding Bonds Series 2016 (PSF-GTD) (AAA/Aaa)
	1,350,000		3.000		02/15/19	1,390,554
	2,940,000		3.000		02/15/20	3,070,066
	2,175,000		3.000		02/15/21	2,300,171

						489,070,443


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Utah – 0.7%
Board of Education of Alpine School District GO Refunding Bonds for Utah SCH BD GTY Program Series 2015 (SCH BD GTY) (AAA/Aaa)
$	11,550,000		5.000	%	03/15/19	$ 12,288,623
Board of Education of Alpine School District GO Refunding Bonds for Utah SCH BD GTY Program Series 2017 (SCH BD GTY) (AAA/Aaa)
	7,800,000		5.000		03/15/21	8,863,998
	7,995,000		5.000		03/15/22	9,325,128
Utah Associated Municipal Power Systems RB for Horse Butte Wind Project Series 2012 A (A/NR)
	500,000		5.000		09/01/17	503,020
	500,000		5.000		09/01/18	521,915
	500,000		5.000		09/01/19	537,590

						32,040,274

Vermont – 0.1%
Vermont Educational & Health Buildings Financing Agency RB Refunding for St. Michael’s College Project Series 2012 (BBB+/Baa1)
	1,680,000		4.000		10/01/17	1,690,298
Vermont Educational & Health Buildings Financing Agency RB Refunding for The University of Vermont Medical Center Project Series 2016 A (A-/A3)
	500,000		3.000		12/01/17	503,785
	450,000		4.000		12/01/19	475,132
	400,000		4.000		12/01/20	429,876
	350,000		5.000		12/01/21	396,246

						3,495,337

Virgin Islands – 0.2%
Virgin Islands Public Finance Authority Grant Anticipation RB for Federal Highway Grant Anticipation Revenue Loan Note Series 2015 (A/NR)^(e)
	250,000		5.000		09/01/18	257,437
	645,000		5.000		09/01/19	678,746
	825,000		5.000		09/01/20	882,899
	2,015,000		5.000		09/01/21	2,187,202
Virgin Islands Public Finance Authority RB Refunding for Virgin Islands Gross Receipts Taxes Loan Note Series 2012 A (B-/NR)
	4,320,000		2.250		10/01/17	4,272,134
	2,085,000		4.000		10/01/22	1,756,613

						10,035,031

Virginia – 2.2%
Fairfax County GO Refunding Bonds for Virginia Public Improvement Series 2016 A (ST AID WITHHLDG) (AAA/Aaa)
	9,995,000		4.000		10/01/21	11,116,739
Fairfax County GO Refunding Bonds for Virginia Public Improvement Series 2016 A (ST AID WITHHLDG) (AAA/Aaa)^(a)
	8,450,000		5.000		10/01/21	9,745,723
Louisa IDA Pollution Control RB Refunding for Virginia Electric & Power Company Project RMKT 12/01/16 Series 2008 C (BBB+/A2)^(b)
	8,000,000		1.850		05/16/19	8,070,240
Peninsula Ports Authority of Virginia Coal Terminal RB Refunding for Dominion Terminal Associates Project Series 2003 (BBB/NR)^(b)
	2,750,000		1.550		10/01/19	2,726,625


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
Virginia – (continued)
Virginia Commonwealth Transportation Board RB for Transportation Capital Projects Series 2012 (AA+/Aa1)
$	5,000,000		5.000	%	05/15/19	$ 5,361,500
Virginia Commonwealth Transportation Board RB Refunding for Northern Virginia Transportation District Program Series 2014 A (AA+/Aa1)
	8,375,000		5.000		05/15/19	8,980,512
Virginia Commonwealth Transportation Board RB Refunding for U.S. Route 58 Corridor Development Program Series 2014 B (AA+/Aa1)
	20,650,000		5.000		05/15/19	22,142,995
	11,680,000		5.000		05/15/20	12,916,328
Virginia Electric and Power Company Industrial Development Authority of Wise County RB for Solid Waste and Sewage Disposal RMKT 08/13/15 Series 2009 A (BBB+/A2)^(b)
	6,000,000		2.150		09/01/20	6,078,780
Virginia Electric and Power Company Industrial Development Authority of Wise County RB for Solid Waste and Sewage Disposal RMKT 11/02/15 Series 2010 A (BBB+/A2)^(b)
	4,500,000		1.875		06/01/20	4,519,620
Virginia State Public Building Authority RB for Public Facilities Series 2009 B (ST APPROP) (AA+/Aa1)^(a)
	3,005,000		5.000		08/01/19	3,242,816
Virginia State Public Building Authority RB for Public Facilities Series 2011 A (AA+/Aa1)^(a)
	5,375,000		5.000		08/01/21	6,158,460
York County Economic Development Authority Electricity and Power RB Refunding Series 2009 A (BBB+/A2)^(b)
	2,000,000		1.875		05/16/19	2,011,500

						103,071,838

Washington – 0.8%
City of Spokane Washington Water and Wastewater System RB Series 2014 (AA/Aa2)
	2,805,000		5.000		12/01/18	2,960,874
Seattle City RB Refunding for Municipal Light & Power Improvement Series 2016 C (AA/Aa2)
	10,660,000		5.000		10/01/22	12,520,063
Washington State COPS for State and Local Agency Real and Personal Property Series 2014 B (NR/Aa2)
	3,020,000		5.000		07/01/19	3,243,933
Washington State COPS for State and Local Agency Real and Personal Property Series 2015 B (NR/Aa2)
	5,745,000		5.000		01/01/20	6,263,371
Washington State COPS Refunding for State and Local Agency Real and Personal Property Series 2016 A (NR/Aa2)
6,420,000			5.000		07/01/20	7,103,538
Washington State Motor Vehicle Fuel Tax GO Refunding Bonds Series 2015 R-F (AA+/Aa1)
	6,770,000		5.000		07/01/19	7,285,874

						39,377,653

West Virginia – 0.2%
Mason County Pollution Control RB for Appalachian Power Co. Project Series 2003 L (A-/Baa1)^(b)
	3,000,000		1.625		10/01/18	3,017,430
Monongalia County Board of Education Public School GO Refunding Bonds Series 2012 (AA-/NR)
	1,520,000		5.000		05/01/18	1,569,339


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Bonds – (continued)
West Virginia – (continued)
Princeton West Virginia Hospitals RB Refunding Princeton Community Hospital Project Series 2012 A (BBB+/NR)
$	1,445,000		5.000	%	05/01/18	$ 1,480,489
	1,565,000		5.000		05/01/19	1,644,987

						7,712,245

Wisconsin – 0.3%
Wisconsin State GO Bonds Series 2006 A (AA/Aa2)^(a)
	11,030,000		5.000		05/01/21	12,532,396

TOTAL INVESTMENTS – 99.2% (Cost $4,728,776,021)						$4,705,406,192

OTHER ASSETS IN EXCESS OF LIABILITIES – 0.8%						36,763,341

NET ASSETS – 100.0%						$4,742,169,533


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Pre-refunded security. Maturity date disclosed is pre-refunding date.

(b)		Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect on June 30, 2017.

(c)		Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(d)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(e)		Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $20,847,501, which represents approximately 0.4% of net assets as of June 30, 2017.

(f)		When-issued security.

(g)		Security is currently in default.


Security ratings disclosed, if any, are issued by either Standard & Poor’s, Moody’s Investor Service or Fitch and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.



Investment Abbreviations:
AGM		— Insured by Assured Guaranty Municipal Corp.
AMBAC		— Insured by American Municipal Bond Assurance Corp.
AMT		— Alternative Minimum Tax
BAM		— Build America Mutual Assurance Co.
BANS		— Bond Anticipation Notes
BHAC-CR		— Insured by Berkshire Hathaway Assurance Corp. - Insured Custodial Receipts
CNTY GTD		— County Guaranteed
COMWLTH GTD		— Commonwealth Guaranteed
COPS		— Certificates of Participation
ETM		— Escrowed to Maturity
FGIC		— Insured by Financial Guaranty Insurance Co.
GO		— General Obligation
IDA		— Industrial Development Authority
MUN GOVT GTD		— Municipal Government Guaranteed
NATL-RE		— Insured by National Public Finance Guarantee Corp.
NATL-RE FGIC		— Insured by National Public Finance Guarantee Corp., which reinsures Financial Guaranty Insurance Co.
NATL-RE-IBC		— Insured by National Public Finance Guarantee Corp. - Insured Bond Certificates
NR		— Not Rated
PCRB		— Pollution Control Revenue Bond
PSF-GTD		— Guaranteed by Permanent School Fund
Q-SBLF		— Qualified School Board Loan Fund
RB		— Revenue Bond
RMKT		— Remarketed
SCH BD GTY		— School Bond Guaranty
SCH BD RES FD		— School Bond Reserve Fund
SCSDE		— South Carolina State Department of Education
SD CRED PROG		— School District Credit Program
ST AID WITHHLDG		— State Aid Withholding
ST APPROP		— State Appropriation
WR		— Withdrawn Rating
XLCA		— Insured by XL Capital Assurance, Inc.

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

Investments and Fair Value Measurements — The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). Accounting principles generally accepted in the United States of America (“GAAP”) establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 3 — Prices or valuations that require significant unobservable inputs (including Goldman Sachs Asset Management L.P. (“GSAM”)’s assumptions in determining fair value measurement).

A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:

Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. Short-term debt obligations that mature in sixty days or less and that do not exhibit signs of credit deterioration are valued using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.

i. Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

ii. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement which may result in a realized gain or loss.

Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers.

i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.

ii. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change

in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.

B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under

Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in United States (“U.S.”) or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2017:

For further information regarding security characteristics, see the Schedules of Investments.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.

These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.

Market and Credit Risks — In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.

Non-Diversification Risk — The Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

Short Position Risk — A Fund may enter into a short position through a futures contract, an option or swap agreement or through short sales of any instrument that a Fund may purchase for investment. Taking short positions involves leverage of a Fund’s assets and presents various risks, including counterparty risk. If the value of the underlying instrument or market in which a Fund has taken a short position increases, then the Fund will incur a loss equal to the increase in value from the time that the short position was entered into plus any related interest payments or other fees. Taking short positions involves the risk that losses may be disproportionate, may exceed the amount invested, and may be unlimited.

State/Territory Specific Risk — The Funds’ investments in municipal obligations of issuers located in a particular state or U.S. territory may be adversely affected by political, economic and regulatory developments within that state or U.S. territory. Such developments may affect the financial condition of a state’s or territory’s political subdivisions, agencies, instrumentalities and public authorities and heighten the risks associated with investing in bonds issued by such parties, which could, in turn, adversely affect a Fund’s income, NAV, liquidity, and/or ability to preserve or realize capital appreciation.


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – 48.8%
Automotive – 1.9%
BMW US Capital LLC^(a)
$	1,050,000		1.500	%	04/11/19	$ 1,045,857
Daimler Finance North America LLC^(a)
	1,400,000		1.650		05/18/18	1,399,318
	1,050,000		2.250		03/02/20	1,051,091
Ford Motor Credit Co. LLC
	2,000,000		1.739	^(b)	09/08/17	2,000,598
	3,950,000		2.425		06/12/20	3,948,732
Harley-Davidson Financial Services, Inc.^(a)(c)
	800,000		2.150		02/26/20	796,750

						10,242,346

Banks – 13.7%
ABN AMRO Bank NV^(a)
	3,925,000		2.500		10/30/18	3,955,650
American Express Credit Corp.^(c)
	3,675,000		2.375		05/26/20	3,708,656
Bank of America Corp.
	1,400,000		6.875		04/25/18	1,456,881
	1,150,000		2.625		10/19/20	1,161,595
	3,050,000		2.151	^(c)	11/09/20	3,036,193
Bank of Montreal
	25,000		1.800		07/31/18	25,038
Banque Federative du Credit Mutuel SA^(a)
	1,150,000		2.000		04/12/19	1,149,874
BNP Paribas SA
	900,000		2.375		05/21/20	906,522
BPCE SA
	1,726,000		2.500		12/10/18	1,741,367
Capital One NA/Mclean VA^(c)
	625,000		1.850		09/13/19	619,715
Citigroup, Inc.
	200,000		6.125		05/15/18	207,378
	875,000		2.150		07/30/18	877,751
	150,000		2.500		09/26/18	151,017
	3,400,000		2.050		12/07/18	3,405,056
Citizens Bank NA^(b)(c)
	1,175,000		1.750		03/02/20	1,175,944
Compass Bank^(c)
	1,250,000		1.850		09/29/17	1,250,303
Credit Suisse AG
	1,475,000		1.750		01/29/18	1,475,798
Discover Bank^(c)
	1,600,000		2.600		11/13/18	1,613,643
HSBC USA, Inc.
	3,075,000		1.500		11/13/17	3,073,419
ING Bank NV^(a)
	1,600,000		1.800		03/16/18	1,602,005
	1,425,000		2.050		08/17/18	1,427,689
JPMorgan Chase & Co.
	3,925,000		1.802	^(b)	01/28/19	3,949,551
	1,275,000		2.200		10/22/19	1,279,076
	1,775,000		2.750	^(c)	06/23/20	1,804,658
Lloyds Bank PLC
	2,225,000		1.750		03/16/18	2,227,499
	1,100,000		2.000		08/17/18	1,101,885
Mizuho Corporate Bank Ltd.^(a)
	1,150,000		1.550		10/17/17	1,150,051
Morgan Stanley
	1,425,000		2.500		04/21/21	1,423,901


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
Morgan Stanley, Inc.^(b)(c)
$	4,575,000		2.336	%	01/20/22	$ 4,620,777
MUFG Americas Holdings Corp.^(c)
	550,000		1.625		02/09/18	549,944
MUFG Union Bank NA^(c)
	2,250,000		2.625		09/26/18	2,272,160
Nordea Bank AB^(a)
	1,900,000		1.875		09/17/18	1,902,835
Santander Holdings USA, Inc.^(c)
	250,000		2.650		04/17/20	249,361
Santander UK PLC
	1,225,000		2.000		08/24/18	1,227,189
Sumitomo Mitsui Trust Bank Ltd.^(a)
	1,175,000		2.050		03/06/19	1,174,992
Synchrony Financial^(c)
	1,200,000		2.600		01/15/19	1,206,408
The Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)
	1,100,000		1.450		09/08/17	1,099,651
	1,625,000		1.700		03/05/18	1,625,700
The Huntington National Bank^(b)
	1,175,000		1.738		03/10/20	1,178,315
UBS AG^(a)(c)
	2,600,000		2.200		06/08/20	2,601,833
US Bank NA^(c)
	1,175,000		1.400		04/26/19	1,167,756
Westpac Banking Corp.
	5,025,000		2.300		05/26/20	5,039,095

						72,874,131

Brokerage – 0.1%
CBOE Holdings, Inc.
	475,000		1.950		06/28/19	474,838

Chemicals – 1.0%
E.I. du Pont de Nemours & Co.^(b)
	825,000		1.700		05/01/20	829,959
Ecolab, Inc.
	2,025,000		1.550		01/12/18	2,023,854
The Sherwin-Williams Co.
	1,175,000		2.250		05/15/20	1,177,628
	1,300,000		2.750	^(c)	06/01/22	1,299,224

						5,330,665

Construction Machinery – 0.1%
Caterpillar Financial Services Corp.
	735,000		2.450		09/06/18	741,932

Consumer Cyclical Services - Business^(c) – 0.5%
Visa, Inc.
	2,675,000		2.200		12/14/20	2,697,366

Diversified Manufacturing – 1.9%
Amphenol Corp.
	925,000		1.550		09/15/17	924,785
	1,000,000		2.550	^(c)	01/30/19	1,009,201
Danaher Corp.
	850,000		1.650		09/15/18	849,806
Fortive Corp.
	750,000		1.800		06/15/19	745,375
Honeywell International, Inc.^(c)
	1,400,000		1.850		11/01/21	1,377,573


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Diversified Manufacturing – (continued)
Roper Technologies, Inc.^(c)
$	775,000		2.800	%	12/15/21	$ 781,598
Siemens Financieringsmaat NV^(a)
	4,450,000		1.300		09/13/19	4,395,118

						10,083,456

Electric – 2.3%
American Electric Power Co., Inc.^(c)
	518,000		1.650		12/15/17	518,057
CMS Energy Corp.
	2,263,000		8.750		06/15/19	2,541,956
Commonwealth Edison Co.^(c)
	525,000		2.150		01/15/19	527,581
Consolidated Edison, Inc.^(c)
	350,000		2.000		05/15/21	344,544
Dominion Energy, Inc.
	1,150,000		1.900		06/15/18	1,152,708
	300,000		1.600		08/15/19	297,459
Emera US Finance LP
	1,375,000		2.150		06/15/19	1,373,721
NextEra Energy Capital Holdings, Inc.
	375,000		2.300		04/01/19	376,721
Public Service Enterprise Group, Inc.
	1,950,000		1.600		11/15/19	1,928,581
Southern Power Co.^(c)
	1,150,000		2.500		12/15/21	1,139,530
The Southern Co.
	1,300,000		1.850		07/01/19	1,294,961
Virginia Electric and Power Co.^(c)
	900,000		1.200		01/15/18	898,301

						12,394,120

Energy – 0.6%
EOG Resources, Inc.
	1,125,000		5.625		06/01/19	1,199,761
Phillips 66^(a)(b)(c)
	750,000		2.054		04/15/20	751,508
Statoil ASA^(b)
	1,200,000		1.472		05/15/18	1,201,643

						3,152,912

Food and Beverage – 5.0%
Anheuser-Busch InBev Finance, Inc.
	7,325,000		1.900		02/01/19	7,341,386
Danone SA^(a)
	2,925,000		1.691		10/30/19	2,901,635
Kraft Heinz Foods Co.
	1,925,000		2.000		07/02/18	1,929,874
McDonald’s Corp.
	625,000		2.100		12/07/18	628,516
Molson Coors Brewing Co.
	975,000		1.900	^(a)	03/15/19	973,660
	1,375,000		1.450		07/15/19	1,358,246
Mondelez International Holdings Netherlands BV^(a)(c)
	3,300,000		2.000		10/28/21	3,215,250
Suntory Holdings Ltd.^(a)
	2,850,000		1.650		09/29/17	2,850,131
Sysco Corp.^(c)
	625,000		2.600		10/01/20	632,741


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Food and Beverage – (continued)
The JM Smucker Co.
$	2,025,000		1.750	%	03/15/18	$ 2,025,992
	575,000		2.500		03/15/20	580,976
Wm Wrigley Jr Co.^(a)
	1,900,000		2.000		10/20/17	1,903,355

						26,341,762

Health Care - Medical Products – 0.9%
Abbott Laboratories^(c)
	1,275,000		2.900		11/30/21	1,289,242
Becton Dickinson & Co.
	1,250,000		2.133		06/06/19	1,251,899
	675,000		2.404		06/05/20	676,090
Stryker Corp.
	1,550,000		2.000		03/08/19	1,554,278

						4,771,509

Health Care Services – 0.8%
UnitedHealth Group, Inc.
	1,400,000		1.900		07/16/18	1,405,149
	2,675,000		2.300		12/15/19	2,704,003

						4,109,152

Life Insurance – 0.6%
AIG Global Funding^(a)
	675,000		2.150		07/02/20	674,519
MetLife, Inc.
	1,150,000		7.717		02/15/19	1,256,116
Reliance Standard Life Global Funding II^(a)
	1,375,000		2.500		04/24/19	1,384,151

						3,314,786

Metals & Mining^(a) – 0.3%
Glencore Finance Canada Ltd.
	1,475,000		2.700		10/25/17	1,477,211

Noncaptive - Financial – 0.5%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
	1,900,000		3.750		05/15/19	1,951,549
International Lease Finance Corp.
	600,000		6.250		05/15/19	643,550

						2,595,099

Pharmaceuticals – 4.2%
AbbVie, Inc.
	5,150,000		1.800		05/14/18	5,156,499
Allergan Funding SCS^(c)
	5,378,000		3.000		03/12/20	5,492,116
Bayer US Finance LLC^(a)(b)
	3,350,000		1.430		10/06/17	3,350,573
EMD Finance LLC^(a)
	3,125,000		1.700		03/19/18	3,124,556
Forest Laboratories, Inc.^(a)(c)
	484,000		4.375		02/01/19	499,138
Gilead Sciences, Inc.
	1,400,000		1.850		09/04/18	1,403,300
Mylan, Inc.
	450,000		2.550		03/28/19	453,249


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Pharmaceuticals – (continued)
Shire Acquisitions Investments Ireland DAC
$	3,025,000		1.900	%	09/23/19	$ 3,010,955

						22,490,386

Pipelines – 2.5%
Columbia Pipeline Group, Inc.
	825,000		2.450		06/01/18	828,785
Enbridge Energy Partners LP
	846,000		5.200		03/15/20	897,151
Enterprise Products Operating LLC
	1,450,000		5.250		01/31/20	1,556,510
Kinder Morgan Energy Partners LP
	2,325,000		6.850		02/15/20	2,563,387
Kinder Morgan, Inc.^(c)
	625,000		3.050		12/01/19	635,859
Magellan Midstream Partners LP
	1,075,000		6.400		07/15/18	1,123,079
	1,225,000		6.550		07/15/19	1,328,505
Sabine Pass Liquefaction LLC^(c)
	2,300,000		6.250		03/15/22	2,604,460
TransCanada PipeLines Ltd.
	1,550,000		1.875		01/12/18	1,552,076

						13,089,812

Property/Casualty Insurance – 1.1%
Chubb INA Holdings, Inc.^(c)
	875,000		2.300		11/03/20	879,989
The Chubb Corp.
	5,000,000		5.750		05/15/18	5,179,645

						6,059,634

Real Estate Investment Trust – 1.2%
Select Income REIT^(c)
	450,000		2.850		02/01/18	451,870
WEA Finance LLC/Westfield UK & Europe Finance PLC^(a)
	3,425,000		1.750		09/15/17	3,424,983
Welltower, Inc.
	2,575,000		4.700		09/15/17	2,589,193

						6,466,046

Retailers – 0.3%
Amazon.com, Inc.^(c)
	1,225,000		2.600		12/05/19	1,248,069
AutoZone, Inc.
	300,000		1.625		04/21/19	298,150

						1,546,219

Retailers - Food & Drug – 1.0%
CVS Health Corp.
	275,000		1.900		07/20/18	275,714
	1,325,000		2.800	^(c)	07/20/20	1,348,980
	2,200,000		2.125	^(c)	06/01/21	2,173,178
The Kroger Co.
	450,000		2.000		01/15/19	449,587
Walgreens Boots Alliance, Inc.
	1,175,000		1.750		11/17/17	1,175,733

						5,423,192


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Technology – 4.2%
Broadcom Corp./Broadcom Cayman Finance Ltd.^(a)
$	5,800,000		2.375	%	01/15/20	$ 5,808,427
Cisco Systems, Inc.
	1,800,000		1.400		09/20/19	1,787,614
Dell International LLC/EMC Corp.^(a)
	2,600,000		3.480		06/01/19	2,660,778
DXC Technology Co.^(a)
	550,000		2.875		03/27/20	556,915
Fidelity National Information Services, Inc.
	1,400,000		2.850		10/15/18	1,416,516
	1,050,000		2.250	^(c)	08/15/21	1,038,700
Fiserv, Inc.^(c)
	1,025,000		2.700		06/01/20	1,037,076
Harris Corp.
	925,000		1.999		04/27/18	926,263
Hewlett Packard Enterprise Co.
	2,600,000		2.850		10/05/18	2,622,246
Microsoft Corp.
	1,025,000		1.850		02/06/20	1,027,613
QUALCOMM, Inc.
	2,000,000		1.400		05/18/18	1,998,742
	875,000		1.850		05/20/19	876,995
	350,000		2.100		05/20/20	351,600

						22,109,485

Tobacco – 1.0%
BAT International Finance PLC^(a)
	1,575,000		1.850		06/15/18	1,575,038
Philip Morris International, Inc.
	575,000		1.375		02/25/19	571,234
Reynolds American, Inc.
	2,900,000		2.300		06/12/18	2,912,629

						5,058,901

Transportation^(a) – 0.3%
Penske Truck Leasing Co. LP/PTL Finance Corp.
	1,625,000		2.875		07/17/18	1,641,300

Wireless Telecommunications – 0.3%
Verizon Communications, Inc.
	1,150,000		2.625		02/21/20	1,165,295
	425,000		3.000	^(c)	11/01/21	430,628

						1,595,923

Wirelines Telecommunications – 2.5%
AT&T, Inc.
	3,525,000		5.875		10/01/19	3,814,822
	825,000		2.800	^(c)	02/17/21	833,752
	425,000		3.875		08/15/21	443,674
Verizon Communications, Inc.
	1,950,000		3.650		09/14/18	1,993,216
	2,575,000		1.375		08/15/19	2,552,149
	4,050,000		1.750	^(c)	08/15/21	3,917,359

						13,554,972

TOTAL CORPORATE OBLIGATIONS (Cost $259,722,713)						$259,637,155


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – 21.9%
Autos – 3.3%
Ally Master Owner Trust Series 2012-5, Class A
$	4,600,000		1.540	%	09/15/19	$ 4,600,806
Ally Master Owner Trust Series 2015-2, Class A2
	4,000,000		1.830		01/15/21	4,001,151
Ally Master Owner Trust Series 2017-3, Class A2
	3,750,000		2.040		06/15/22	3,737,150
Ford Credit Auto Owner Trust Series 2016-2, Class A^(a)
	1,600,000		2.030		12/15/27	1,588,585
GM Financial Automobile Leasing Trust Series 2015-1, Class A3
	726,310		1.530		09/20/18	726,514
GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1^(a)
	1,550,000		1.960		05/17/21	1,553,233
Nissan Master Owner Receivables Trust Series 2016-A, Class A2
	1,200,000		1.540		06/15/21	1,192,665

						17,400,104

Credit Card – 7.3%
Bank of America Credit Card Trust Series 2014-A1, Class A^(b)
	7,000,000		1.539		06/15/21	7,030,052
Barclays Dryrock Issuance Trust Series 2015-1, Class A
	3,450,000		2.200		12/15/22	3,471,871
Barclays Dryrock Issuance Trust Series 2016-1, Class A
	1,600,000		1.520		05/16/22	1,589,689
Capital One Multi-Asset Execution Trust Series 2016-A5, Class A5
	3,650,000		1.660		06/17/24	3,585,539
CARDS II Trust Series 2016-1A, Class A^(a)(b)
	2,150,000		1.859		07/15/21	2,159,371
Chase Issuance Trust Series 2016-A2, Class A
	2,900,000		1.370		06/15/21	2,880,774
Chase Issuance Trust Series 2016-A5, Class A5
	3,950,000		1.270		07/15/21	3,913,478
Evergreen Credit Card Trust Series 2016-1, Class A^(a)(b)
	3,350,000		1.879		04/15/20	3,364,420
Golden Credit Card Trust Series 2016-5A, Class A^(a)
	2,800,000		1.600		09/15/21	2,784,692
Golden Credit Card Trust Series 2017-2A, Class A^(a)
	1,900,000		1.980		04/15/22	1,899,525
Master Credit Card Trust II Series 2017-1A, Class A^(a)
	2,600,000		2.260		07/21/21	2,621,287
Trillium Credit Card Trust II Series 2016-1A, Class A^(a)(b)
	3,650,000		1.936		05/26/21	3,667,087

						38,967,785

Equipment^(a) – 0.6%
Chesapeake Funding II LLC Series 16-2A, Class A1
	3,368,536		1.880		06/15/28	3,364,497

Home Equity^(b) – 0.0%
Amresco Residential Securities Mortgage Loan Trust Series 1998-2, Class M1F
	6,000		6.745		06/25/28	6,913
Centex Home Equity Series 2004-D, Class MV3
	71,271		2.524		09/25/34	69,268
Morgan Stanley ABS Capital I Series 2004-HE4, Class M3
	29,384		3.274		05/25/34	29,216

						105,397


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Manufactured Housing – 0.0%
Lehman ABS Manufactured Housing Contract Series 2001-B, Class A3
$	10,909		4.350	%	04/15/40	$ 10,995

Other^(a)(b) – 1.4%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	1,650,000		1.894		09/10/18	1,650,187
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
	1,000,000		1.944		04/10/19	1,000,233
Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	2,650,000		2.294		03/10/19	2,650,394
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	650,000		1.844		07/10/19	650,273
Station Place Securitization Trust Series 2015-2, Class A
	1,400,000		2.039		05/15/18	1,400,000

						7,351,087

Student Loan^(b) – 9.3%
Access Group, Inc. Series 2006-1, Class A2
	24,730		1.162		08/25/23	24,719
Brazos Higher Education Authority, Inc. Series 2006-1, Class A3^(c)
	399,206		1.263		12/26/24	398,700
College Loan Corp. Trust I Series 2005-1, Class A4
	500,000		1.306		04/25/27	497,214
College Loan Corp. Trust I Series 2006-1, Class A5
	2,000,000		1.296		07/25/28	1,937,099
ECMC Group Student Loan Trust Series 2016-1A, Class A^(a)
	2,430,477		2.374		07/26/66	2,443,372
ECMC Group Student Loan Trust Series 2017-1A, Class A^(a)
	3,885,846		2.224		12/27/66	3,889,309
Education Loan Asset-Backed Trust I Series 2013-1, Class A1^(a)
	2,003,630		1.824		06/25/26	2,005,853
Educational Services of America, Inc. Series 2010-1, Class A1^(a)
	1,208,491		1.888		07/25/23	1,209,344
Educational Services of America, Inc. Series 2014-1, Class A^(a)
	2,076,323		1.724		02/25/39	2,049,418
GCO Education Loan Funding Master Trust-II Series 2006-2A, Class A3L^(a)
	301,226		1.172		08/25/28	301,076
GCO Education Loan Funding Trust Series 2007-1A, Class A6L^(a)
	2,499,558		1.299		11/25/26	2,466,612
Goal Capital Funding Trust Series 2007-1, Class A3
	177,496		1.243		09/25/28	177,337
Higher Education Funding I Series 2005-1, Class A4
	203,291		1.192		02/25/30	202,980
Illinois Student Assistance Commission Series 2010-1, Class A3
	1,450,000		1.938		07/25/45	1,454,932
Navient Student Loan Trust Series 2016-5A, Class A^(a)
	4,986,644		2.274		06/25/65	5,065,308
Navient Student Loan Trust Series 2016-7A, Class A^(a)
	2,475,921		2.174		03/25/66	2,504,201
Navient Student Loan Trust Series 2017-2A, Class A^(a)
	4,046,478		2.074		12/27/66	4,070,574
Nelnet Student Loan Trust Series 2005-4, Class A3
	348,987		1.286		06/22/26	348,831
Nelnet Student Loan Trust Series 2006-2, Class A5
	2,467,769		1.138		01/25/30	2,464,183


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loan^(b) – (continued)
Northstar Education Finance, Inc. Series 2012-1, Class A^(a)
$	1,738,930		1.724	%	12/26/31	$ 1,724,638
SLC Student Loan Center Series 2011-1, Class A^(a)
	7,279,660		2.244		10/25/27	7,360,661
SLM Student Loan Trust Series 2003-12, Class A5^(a)
	386,197		1.411		09/15/22	386,409
SLM Student Loan Trust Series 2003-14, Class A5
	226,223		1.268		01/25/23	226,223
SLM Student Loan Trust Series 2004-1, Class A3
	926,354		1.248		04/25/23	926,532
SLM Student Loan Trust Series 2006-2, Class A5
	1,844,852		1.148		07/25/25	1,844,736
SLM Student Loan Trust Series 2006-4, Class A5
	27,757		1.138		10/27/25	27,754
SLM Student Loan Trust Series 2013-3, Class A2
	120,104		1.324		05/26/20	120,135
SLM Student Loan Trust Series 2014-1, Class A2
	201,519		1.404		07/26/21	201,616
South Texas Higher Education Authority, Inc. Series 2012-1, Class A2
	977,427		1.848		10/01/24	981,467
Utah State Board of Regents Series 2011, Class A2^(c)
	1,042,561		1.884		05/01/29	1,047,179
Utah State Board of Regents Series 2011-1, Class A3
	1,100,000		1.884		05/01/35	1,103,388
Wachovia Student Loan Trust Series 2005-1, Class A5
	199,817		1.168		01/26/26	199,482

						49,661,282

TOTAL ASSET-BACKED SECURITIES (Cost $116,708,176)						$116,861,147


Government Guarantee Obligation^(d) – 4.0%
Kreditanstalt fuer Wiederaufbau
$	21,280,000		1.500	%	02/06/19	$ 21,279,574
(Cost $21,291,170)


U.S. Treasury Obligations – 5.8%
United States Treasury Inflation Indexed Bonds
$	20,942,658		0.125	^(e)	04/15/18	$ 20,877,317
	4,698,315		0.125		04/15/20	4,707,289
United States Treasury Notes
	5,130,000		1.375		09/30/20	5,092,089
	500,000		1.375		04/30/21	493,670

TOTAL U.S. TREASURY OBLIGATIONS (Cost $31,395,252)						$ 31,170,365


Shares		Distribution Rate				Value
Investment Company^(b)(f) – 5.3%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	28,243,329		0.867			$ 28,243,329
(Cost $28,243,329)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $457,360,640)						$457,191,570


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – 14.3%
Certificates of Deposit – 5.5%
Bank of Montreal
$	3,000,000		1.682	%	08/11/17	$ 3,001,654
	2,800,000		1.623		10/24/17	2,803,896
BNP Paribas New York
	3,200,000		1.440		01/02/18	3,200,221
Canadian Imperial Bank of Commerce
	1,000,000		1.419		07/16/18	999,921
Credit Suisse New York
	3,000,000		1.959		08/16/17	3,002,907
	1,000,000		1.690		09/28/17	1,000,930
Mitsubishi UFJ Trust & Banking Corp.
	2,800,000		1.967		09/18/17	2,803,989
Mizuho Bank Ltd.
	2,225,000		1.967		09/19/17	2,228,539
	1,500,000		1.796		09/24/18	1,499,634
Societe Generale SA
	2,000,000		1.590		01/18/18	2,002,352
The Toronto-Dominion Bank
	2,000,000		1.685		08/10/17	2,001,084
UBS AG Stamford
	2,000,000		1.530		12/19/17	2,001,171
Wells Fargo Bank
	2,800,000		1.769		09/22/17	2,803,304

						29,349,602

Commercial Paper – 8.8%
Autozone, Inc.^(g)
	1,600,000		0.000		07/06/17	1,599,622
Bayerische Landesbank^(g)
	2,800,000		0.000		07/17/17	2,798,317
Collateralized Commercial Paper II
	2,750,000		1.390		07/28/17	2,751,029
Dominion Energy, Inc.^(g)
	1,000,000		0.000		10/12/17	995,444
Eastman Chemical Co.^(g)
	2,600,000		0.000		08/01/17	2,597,047
Ecolab, Inc.^(g)
	3,500,000		0.000		07/20/17	3,497,167
Edison International^(g)
	3,200,000		0.000		07/03/17	3,199,625
Electricite de France SA^(g)
	2,000,000		0.000		09/19/17	1,993,155


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper – (continued)
$	2,600,000		0.000	%	01/05/18	$ 2,576,249
Ford Motor Credit Co.^(g)
	3,000,000		0.000		09/01/17	2,992,057
Ford Motor Credit Co. LLC^(g)
	2,500,000		0.000		02/01/18	2,474,211
Mondelez International, Inc.^(g)
	2,200,000		0.000		07/21/17	2,198,129
Omnicom Cap, Inc.^(g)
	3,000,000		0.000		08/07/17	2,995,266
Schlumberger Holdings Corp.^(g)
	2,500,000		0.000		08/21/17	2,494,782
	1,000,000		0.000		08/22/17	997,873
The Toronto-Dominion Bank^(g)
	2,000,000		0.000		09/28/17	1,993,800
UBS AG London
	2,000,000		1.472		06/15/18	2,000,160
Versailles Commercial Paper LLC^(g)
	4,000,000		0.000		10/02/17	3,986,050
Westpac Banking Corp.
	2,500,000		1.643		08/07/17	2,501,174

						46,641,157

TOTAL SHORT-TERM INVESTMENTS (Cost $75,960,558)						$ 75,990,759

TOTAL INVESTMENTS – 100.1% (Cost $533,321,198)						$533,182,329

LIABILITIES IN EXCESS OF OTHER ASSETS – (0.1)%						(645,573)

NET ASSETS – 100.0%						$532,536,756



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $130,982,101, which represents approximately 24.6% of net assets as of June 30, 2017.

(b)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(c)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(d)		Guaranteed by a foreign government until maturity.

(e)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(f)		Represents an Affiliated Fund.

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – 48.6%
Collateralized Mortgage Obligations – 2.8%
Adjustable Rate Non-Agency^(a) – 0.1%
Merrill Lynch Mortgage Investors Trust Series c. Series 2004-E, Class A2B
$	293,891		2.148	%	11/25/29	$ 291,445

Interest Only^(b) – 0.0%
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-AR18, Class 2X^(a)
	15,726		0.000		07/25/33	—
CS First Boston Mortgage Securities Corp. Series 2003-AR20, Class 2X^(a)
	16,625		0.000		08/25/33	—
FNMA STRIPS Series 151, Class 2
	776		9.500		07/25/22	85
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX^(a)
	17,621		0.123		08/25/33	99
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX^(a)
	2,939		0.320		07/25/33	54

						238

Inverse Floaters^(a) – 0.0%
GNMA REMIC Series 2002-13, Class SB
	37,936		32.099		02/16/32	59,279

Principal Only^(c) – 0.0%
FNMA REMIC Series G-35, Class N
	2,234		0.000		10/25/21	2,178

Regular Floater^(a) – 0.0%
FHLMC REMIC Series 1760, Class ZB
	81,009		1.670		05/15/24	80,807

Sequential Fixed Rate – 2.6%
FHLMC REMIC Series 2329, Class ZA
	522,826		6.500		06/15/31	590,751
FHLMC REMIC Series 4273, Class PD
	866,572		6.500		11/15/43	998,833
FNMA REMIC Series 2011-52, Class GB
	852,850		5.000		06/25/41	935,530
FNMA REMIC Series 2011-99, Class DB
	849,648		5.000		10/25/41	932,889
FNMA REMIC Series 2012-111, Class B
	118,067		7.000		10/25/42	136,126
FNMA REMIC Series 2012-153, Class B
	495,009		7.000		07/25/42	572,962
GNMA REMIC Series 2002-42, Class KZ
	1,403,754		6.000		06/16/32	1,548,050
NCUA Guaranteed Notes Series A4
	3,400,000		3.000		06/12/19	3,487,912

						9,203,053

Sequential Floating Rate^(a) – 0.1%
NCUA Guaranteed Notes Series 2010-R1, Class 1A
	376,651		1.673		10/07/20	377,284

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$ 10,014,284


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Commercial Mortgage-Backed Securities^(a) – 0.8%
Sequential Floating Rate – 0.8%
Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
$	3,059,266		6.090	%	12/10/49	$ 3,073,804

Federal Agencies – 45.0%
Adjustable Rate FHLMC^(a) – 0.2%
	107,193		2.740		11/01/32	112,482
	604,749		2.796		09/01/33	636,331

						748,813

Adjustable Rate FNMA^(a) – 0.8%
	20,426		3.170		11/01/32	21,435
	141,456		3.107		12/01/32	145,576
	731,818		2.788		05/01/33	752,407
	20,296		3.086		06/01/33	21,429
	684,405		3.119		10/01/33	720,076
	631,055		2.881		02/01/35	666,896
	540,672		2.748		09/01/35	563,492

						2,891,311

Adjustable Rate GNMA^(a) – 0.7%
	41,114		2.125		06/20/23	41,744
	20,353		2.125		07/20/23	20,660
	19,748		2.125		08/20/23	20,050
	51,948		2.125		09/20/23	52,749
	17,165		2.375		03/20/24	17,430
	146,778		2.125		04/20/24	149,285
	16,112		2.125		05/20/24	16,390
	146,955		2.125		06/20/24	149,514
	85,482		2.125		07/20/24	86,949
	114,735		2.125		08/20/24	116,723
	36,501		2.125		09/20/24	37,146
	46,843		2.250		11/20/24	47,638
	18,794		2.250		12/20/24	19,116
	32,029		2.500		12/20/24	32,631
	32,285		2.375		01/20/25	32,836
	18,075		2.375		02/20/25	18,387
	64,908		2.125		05/20/25	66,153
	50,971		2.125		07/20/25	51,944
	22,856		2.375		02/20/26	23,292
	1,200		2.125		07/20/26	1,225
	61,552		2.375		01/20/27	62,820
	22,374		2.375		02/20/27	22,837
	177,342		2.125		04/20/27	181,324
	18,043		2.125		05/20/27	18,450
	22,739		2.125		06/20/27	23,273
	9,081		2.250		11/20/27	9,282
	27,165		2.250		12/20/27	27,768
	60,302		2.375		01/20/28	61,634
	21,173		2.375		02/20/28	21,643
	24,807		2.375		03/20/28	25,361
	94,331		2.125		07/20/29	96,709
	59,062		2.125		08/20/29	60,614
	11,396		2.125		09/20/29	11,686
	54,659		2.250		10/20/29	56,006
	70,493		2.250		11/20/29	72,197
	14,794		2.250		12/20/29	15,159


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate GNMA^(a) – (continued)
$	20,324		2.375	%	01/20/30	$ 20,827
	9,083		2.375		02/20/30	9,310
	52,400		2.375		03/20/30	53,704
	64,447		2.125		04/20/30	66,141
	170,135		2.125		05/20/30	174,668
	15,704		2.125		06/20/30	16,139
	151,480		2.125		07/20/30	155,482
	22,511		2.125		09/20/30	23,110
	50,936		2.250		10/20/30	52,308
	89,259		2.375		03/20/32	91,678

						2,431,992

FHLMC – 3.6%
	338		7.000		09/01/17	338
	309		7.000		10/01/17	310
	4,456		5.500		05/01/18	4,497
	43,800		5.500		06/01/18	44,332
	2,353		4.500		09/01/18	2,391
	26,491		5.000		06/01/19	27,130
	1,241		10.000		07/01/20	1,243
	21,052		6.500		07/01/21	22,853
	1,812		6.500		08/01/22	1,938
	31,470		9.000		10/01/22	34,860
	97,487		4.500		10/01/23	104,410
	495,208		5.000		08/01/24	528,968
	50,488		6.500		07/01/28	54,058
	468,003		4.500		03/01/29	501,235
	4,219		8.000		07/01/30	5,077
	6,137		7.500		12/01/30	6,185
	34,128		7.000		04/01/31	37,836
	19,516		5.000		08/01/33	21,233
	3,591		5.000		09/01/33	3,907
	8,214		5.000		10/01/33	8,936
	14,843		5.500		09/01/34	16,626
	72,039		6.000		10/01/34	80,214
	4,863		5.000		11/01/34	5,314
	273,503		5.000		12/01/34	298,840
	965		5.500		03/01/35	1,066
	14,118		5.000		07/01/35	15,426
	1,945		5.500		07/01/35	2,152
	3,440		5.000		11/01/35	3,742
	3,418		5.500		11/01/35	3,858
	27,573		5.000		12/01/35	30,346
	75,520		5.500		01/01/36	85,246
	214		5.500		02/01/36	241
	2,122		6.000		06/01/36	2,394
	40,718		5.000		02/01/37	44,474
	3,655		5.000		03/01/38	3,990
	87,913		5.500		03/01/38	98,631
	38,146		5.500		04/01/38	42,797
	5,610		5.500		11/01/38	6,391
	9,804		5.500		12/01/38	10,836
	420,977		7.000		02/01/39	487,438
	2,660		5.500		03/01/39	2,942
	172,227		5.000		07/01/39	188,609
	4,070		5.500		10/01/39	4,566
	10,775		5.500		03/01/40	11,984
	18,188		4.000		06/01/40	19,210
	21,339		5.500		06/01/40	23,940
	10,148		5.000		08/01/40	11,094
	743,303		5.500		08/01/40	822,052
	2,993		4.500		11/01/40	3,221
	196,732		4.000		02/01/41	207,836


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FHLMC – (continued)
$	4,700		5.000	%	04/01/41	$ 5,159
	8,225		5.000		06/01/41	8,992
	361,685		5.000		07/01/41	393,949
	14,210		4.000		11/01/41	15,023
	20,778		3.000		05/01/42	20,850
	261,590		3.500		06/01/42	271,195
	20,257		3.000		08/01/42	20,327
	24,024		3.000		01/01/43	24,117
	82,040		3.000		02/01/43	82,332
	4,314,987		3.500		04/01/43	4,458,595
	484,883		3.500		06/01/45	500,794
	383,286		3.500		10/01/45	395,743
	2,660,621		3.500		03/01/46	2,747,091

						12,891,380

FNMA – 23.2%
	225		5.000		08/01/17	230
	3,525		4.500		08/01/18	3,568
	35,346		5.000		09/01/18	35,849
	212,872		5.000		10/01/18	216,285
	16,739		6.500		08/01/19	18,513
	7,192		9.500		10/01/20	7,234
	178,680		5.500		02/01/23	197,766
	308,365		5.500		08/01/23	341,303
	82,808		6.000		11/01/28	93,829
	6,373		6.500		11/01/28	6,834
	55,571		7.000		07/01/31	61,255
	991		5.500		03/01/33	1,103
	3,889		6.000		03/01/33	4,413
	3,325,544		5.500		04/01/33	3,743,205
	1,936		6.000		05/01/33	2,198
	5,270		5.000		07/01/33	5,798
	645,517		5.500		07/01/33	695,440
	24,728		5.000		08/01/33	27,071
	4,485		5.500		09/01/33	5,031
	23,188		5.500		12/01/33	26,023
	933		6.000		12/01/33	1,062
	5,618		5.500		02/01/34	6,296
	1,944		5.500		03/01/34	2,183
	1,146		5.500		04/01/34	1,291
	8,037		5.500		05/01/34	9,024
	81		5.500		06/01/34	90
	8,085		5.500		08/01/34	9,108
	4,324		5.500		09/01/34	4,853
	3,961		5.500		10/01/34	4,437
	3,340		5.500		11/01/34	3,750
	37,809		5.500		12/01/34	42,427
	6,700		5.500		04/01/35	7,507
	188,253		6.000		04/01/35	212,992
	5,526		5.000		05/01/35	6,118
	4,229		5.500		05/01/35	4,700
	7,694		5.000		07/01/35	8,448
	7,953		5.500		07/01/35	8,932
	4,336		5.000		08/01/35	4,770
	808		5.500		08/01/35	910
	7,535		5.500		09/01/35	8,484
	76,722		6.000		10/01/35	87,861
	37,299		6.000		11/01/35	42,457
	3,581		5.500		12/01/35	4,041
	139		5.500		02/01/36	156
	46,634		6.000		03/01/36	53,434
	63,861		6.000		04/01/36	73,128
	3,258		4.500		07/01/36	3,517


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	447		5.500	%	02/01/37	$ 502
	16,029		5.500		04/01/37	18,070
	243		5.500		06/01/37	273
	838,732		5.500		08/01/37	932,296
	220,100		6.000		10/01/37	250,881
	149,605		7.500		11/01/37	166,184
	248		5.500		12/01/37	279
	11,386		5.500		02/01/38	12,665
	4,388		5.500		03/01/38	4,932
	8,053		6.000		03/01/38	9,206
	19,677		5.500		04/01/38	22,187
	6,007		5.500		05/01/38	6,770
	1,683		5.500		06/01/38	1,892
	1,415		5.500		07/01/38	1,591
	1,111		5.500		08/01/38	1,249
	1,114		5.500		09/01/38	1,253
	371		5.500		12/01/38	417
	6,507		5.500		02/01/39	7,339
	272,323		7.000		03/01/39	315,385
	3,375		4.500		04/01/39	3,637
	11,865		4.500		05/01/39	12,908
	6,265		5.500		06/01/39	7,040
	6,451		4.000		08/01/39	6,812
	27,943		4.500		08/01/39	30,409
	50,798		5.000		09/01/39	55,667
	5,287		5.500		11/01/39	5,941
	495,551		4.500		12/01/39	539,299
	310,851		5.000		07/01/40	344,474
	377,760		5.000		03/01/41	414,179
	90,375		5.000		04/01/41	99,089
	169,521		4.500		05/01/41	182,587
	30,360		5.000		06/01/41	33,287
	146,610		5.000		07/01/41	160,745
	188,483		4.500		08/01/41	203,179
	174,419		5.000		10/01/41	191,234
	34,010		3.500		11/01/41	35,144
	298,189		5.000		04/01/42	326,937
	39,665		3.500		06/01/42	41,049
	158,863		4.500		08/01/42	172,218
	23,166		3.500		10/01/42	23,974
	18,387		3.000		11/01/42	18,510
	228,961		3.000		12/01/42	230,633
	595,362		3.000		01/01/43	599,717
	114,435		3.000		02/01/43	115,271
	694,372		3.000		03/01/43	699,445
	1,123,048		3.000		04/01/43	1,131,338
	105,795		3.500		04/01/43	109,111
	768,024		3.000		05/01/43	773,874
	68,595		3.500		05/01/43	70,966
	129,960		3.000		06/01/43	130,949
	1,184,567		3.000		07/01/43	1,193,590
	1,873,979		3.500		07/01/43	1,932,712
	318,834		3.500		08/01/43	328,937
	39,810		3.500		09/01/43	41,186
	98,678		3.500		01/01/44	102,089
	252,207		3.500		04/01/45	260,531
	1,601,652		4.500		04/01/45	1,747,053
	189,268		4.500		05/01/45	206,568
	68,288		3.500		06/01/45	70,499
	26,463		3.500		09/01/45	27,353
	50,400		3.500		10/01/45	52,033
	47,473		3.500		11/01/45	49,010
	71,256		3.500		01/01/46	73,564
	927,650		3.500		06/01/46	962,763


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	11,000,000		3.500	%	TBA-30yr^(d)	$ 11,295,625
	48,000,000		4.000		TBA-30yr^(d)	50,417,108

						83,388,539

GNMA – 16.5%
	74,110		7.000		12/15/27	81,362
	14,077		6.500		08/15/28	15,383
	111,272		6.000		01/15/29	127,141
	168,241		7.000		10/15/29	194,903
	60,728		5.500		11/15/32	67,956
	874,922		5.500		12/15/32	980,715
	38,079		5.500		01/15/33	42,278
	67,731		5.500		02/15/33	75,199
	68,139		5.500		03/15/33	75,651
	64,265		5.500		07/15/33	71,586
	39,239		5.500		08/15/33	43,566
	22,224		5.500		09/15/33	24,675
	45,730		5.500		04/15/34	50,695
	19,181		5.500		05/15/34	21,264
	428,056		5.500		06/15/34	474,539
	319,696		5.500		09/15/34	354,413
	295,454		5.500		12/15/34	327,538
	271,954		5.500		01/15/35	301,654
	185,882		5.000		03/15/38	203,345
	1,607		5.000		11/15/38	1,764
	11,316		4.000		02/20/41	12,076
	17,436		4.000		11/20/41	18,429
	2,879		4.000		01/20/42	3,043
	9,366		4.000		04/20/42	9,899
	4,968		4.000		10/20/42	5,251
	708,872		4.000		08/20/43	749,272
	7,104,147		4.000		10/20/43	7,509,027
	10,148		4.000		03/20/44	10,724
	12,344		4.000		05/20/44	13,043
	860,958		4.000		11/20/44	909,757
	3,879,583		4.000		06/20/45	4,089,778
	3,797,542		4.000		07/20/45	4,003,292
	4,066,037		4.000		09/20/45	4,286,333
	4,461,676		4.000		10/20/45	4,700,620
	869,033		4.000		11/20/45	915,302
	3,383,701		4.000		01/20/46	3,561,742
	1,646,056		4.000		02/20/46	1,732,667
	16,957,040		4.000		04/20/46	17,851,921
	602,346		4.000		05/20/46	634,134
	3,512,983		4.000		05/20/47	3,705,511
	1,000,000		4.000		06/20/47	1,055,430

						59,312,878

TOTAL FEDERAL AGENCIES						$161,664,913

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $174,015,297)						$174,753,001


Agency Debentures – 7.8%
FHLB
$	2,200,000		1.875	%	03/13/20	$ 2,213,376
	3,700,000		2.125		06/09/23	3,697,754
	2,100,000		3.375		09/08/23	2,245,125
	300,000		3.375		12/08/23	320,140


Principal Amount		Interest Rate			Maturity Date	Value
Agency Debentures – (continued)
FNMA
$	1,400,000		1.875	%	09/24/26	$ 1,328,782
	2,600,000		6.250		05/15/29	3,526,796
	4,000,000		6.625		11/15/30	5,709,240
New Valley Generation V
	1,768,138		4.929		01/15/21	1,887,806
Small Business Administration
	4,685		6.300		05/01/18	4,743
	4,670		6.300		06/01/18	4,728
Tennessee Valley Authority
	6,500,000		3.875		02/15/21	6,980,675

TOTAL AGENCY DEBENTURES (Cost $27,474,168)						$ 27,919,165


Asset-Backed Securities – 11.4%
Auto Floor Plan ABS^(e) – 0.9%
GMF Floorplan Owner Revolving Trust Series 2015-1, Class A1
$	2,000,000		1.650	%	05/15/20	$ 1,999,933
GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1
	1,250,000		1.960		05/17/21	1,252,607

						3,252,540

Automobiles^(e) – 2.0%
Avis Budget Rental Car Funding AESOP LLC Series 2015-2A, Class A
	2,150,000		2.630		12/20/21	2,137,872
Chesapeake Funding II LLC Series 2017-2A, Class A1
	1,850,000		1.990		05/15/29	1,848,311
Ford Credit Auto Owner Trust Series 2016-2, Class A
	1,300,000		2.030		12/15/27	1,290,726
Mercedes-Benz Master Owner Trust Series 2017-BA, Class A^(a)
	1,850,000		1.579		05/16/22	1,852,602

						7,129,511

Student Loan^(a) – 8.5%
Access Group, Inc. Series 2005-2, Class A3
	743,962		1.232		11/22/24	743,914
Access Group, Inc. Series 2006-1, Class A2
	20,051		1.162		08/25/23	20,042
Access Group, Inc. Series 2015-1, Class A^(e)
	677,539		1.724		07/25/56	673,158
Alaska State Student Loan Corp. Series 2013, Class A^(f)
	2,735,131		1.524		08/25/31	2,691,876
Brazos Higher Education Authority, Inc. Series 2005-2, Class I-A12^(f)
	800,000		1.313		03/27/23	795,580
ECMC Group Student Loan Trust Series 2016-1A, Class A^(e)
	1,779,456		2.374		07/26/66	1,788,897
Edsouth Indenture No. 9 LLC Series 2015-1, Class A^(e)
	1,369,702		1.824		10/25/56	1,360,176
Education Loan Asset-Backed Trust I Series 2013-1, Class A2^(e)
	2,750,000		1.824		04/26/32	2,681,498
GCO Education Loan Funding Trust Series 2007-1A, Class A6L^(e)
	1,778,532		1.299		11/25/26	1,755,089
Higher Education Funding I Series 2005-1, Class A4
	172,016		1.192		02/25/30	171,753
Higher Education Funding I Series 2014-1, Class A^(e)
	1,363,685		2.102		05/25/34	1,357,892
Navient Student Loan Trust Series 2016-5A, Class A^(e)
	3,751,420		2.274		06/25/65	3,810,598


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loan^(a) – (continued)
Navient Student Loan Trust Series 2016-7A, Class A^(e)
$	1,728,473		2.174	%	03/25/66	$ 1,748,216
Nelnet Student Loan Trust Series 2005-4, Class A3
	288,817		1.286		06/22/26	288,687
Nelnet Student Loan Trust Series 2013-5A, Class A^(e)
	346,204		1.654		01/25/37	345,056
New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3^(f)
	1,200,000		1.890		10/25/37	1,172,717
North Carolina State Education Assistance Authority Series 2010-1, Class A1
	715,373		1.938		07/25/41	712,831
PHEAA Student Loan Trust Series 2016-1A, Class A^(e)
	1,789,353		2.174		09/25/65	1,810,563
Scholar Funding Trust Series 2013-A, Class A^(e)
	2,151,609		1.694		01/30/45	2,127,805
SLM Student Loan Trust Series 2003-14, Class A5
	186,880		1.268		01/25/23	186,880
SLM Student Loan Trust Series 2004-8A, Class A6^(e)
	1,300,000		1.668		01/25/40	1,283,198
SLM Student Loan Trust Series 2008-5, Class A4
	2,073,163		2.738		07/25/23	2,123,995
Utah State Board of Regents Series 2011-1, Class A3
	800,000		1.884		05/01/35	802,464
Wachovia Student Loan Trust Series 2005-1, Class A5
	179,835		1.168		01/26/26	179,534

						30,632,419

TOTAL ASSET-BACKED SECURITIES (Cost $40,947,355)						$ 41,014,470


Municipal Debt Obligation – 0.7%
New Jersey – 0.7%
New Jersey Economic Development Authority Series A (MBIA)
$	2,000,000		7.425	%	02/15/29	$ 2,458,080
(Cost $2,000,000)


Government Guarantee Obligations^(g) – 2.2%
Hashemite Kingdom of Jordan Government AID Bond
$	4,600,000		2.503	%	10/30/20	$ 4,688,964
Israel Government AID Bond
	1,400,000		5.500		09/18/23	1,667,064
	500,000		5.500		12/04/23	594,195
	700,000		5.500		04/26/24	834,078

TOTAL GOVERNMENT GUARANTEE OBLIGATIONS (Cost $7,693,214)						$ 7,784,301


U.S. Treasury Obligations – 41.2%
United States Treasury Bonds
$	3,830,000		3.625	%^(h)	02/15/44	$ 4,414,114
	3,320,000		3.125		08/15/44	3,508,742
	3,200,000		3.000		11/15/44	3,303,168
	1,570,000		2.875		08/15/45	1,579,122
	16,190,000		2.875		11/15/46	16,284,711
	660,000		3.000		05/15/47	681,417


Principal Amount		Interest Rate			Maturity Date	Value
U.S. Treasury Obligations – (continued)
United States Treasury Inflation Indexed Bonds
$	9,587,083		0.125	%	04/15/18	$ 9,557,172
	1,670,512		0.125		04/15/20	1,673,703
	1,905,028		0.625		01/15/24	1,933,527
	344,376		0.875		02/15/47	334,751
United States Treasury Notes
	13,700,000		1.250		12/31/18	13,680,409
	5,880,000		1.625		07/31/20	5,888,055
	6,900,000		1.750		12/31/20	6,921,735
	3,570,000		1.375		04/30/21	3,524,804
	7,100,000		1.125		06/30/21	6,930,310
	7,090,000		1.125		07/31/21	6,911,403
	1,300,000		2.000	^(h)	07/31/22	1,306,175
	1,150,000		1.750		09/30/22	1,139,673
	1,810,000		1.875		10/31/22	1,803,737
	1,050,000		2.250		01/31/24	1,059,944
	3,540,000		2.125		03/31/24	3,542,407
	1,740,000		2.000		04/30/24	1,726,880
	1,230,000		2.000		05/31/24	1,220,012
	3,500,000		2.000		06/30/24	3,469,095
	9,100,000		2.250		11/15/24	9,151,507
	500,000		2.125		05/15/25	496,890
	400,000		2.000		08/15/25	393,248
	19,100,000		2.250		11/15/25	19,105,919
United States Treasury Strip Coupon^(c)
	12,400,000		0.000		11/15/35	7,489,352
	3,200,000		0.000		02/15/36	1,920,384
	6,100,000		0.000		05/15/36	3,627,365
	6,000,000		0.000		11/15/37	3,378,300

TOTAL U.S. TREASURY OBLIGATIONS (Cost $148,416,463)						$147,958,031


Shares		Distribution Rate				Value
Investment Company^(a)(i) – 1.8%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	6,528,914		0.845%			$ 6,528,914
(Cost $6,528,914)

TOTAL INVESTMENTS – 113.7% (Cost $407,075,411)						$408,415,962

LIABILITIES IN EXCESS OF OTHER ASSETS – (13.7)%						(49,189,017)

NET ASSETS – 100.0%						$359,226,945



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(d)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $61,712,733 which represents approximately 17.2% of net assets as of June 30, 2017.



(e)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $31,124,197, which represents approximately 8.7% of net assets as of June 30, 2017.

(f)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(g)		Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $7,784,301, which represents approximately 2.2% of net assets as of June 30, 2017.

(h)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(i)		Represents an Affiliated Fund.



Investment Abbreviations:
FHLB		— Federal Home Loan Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
MBIA		— Insured by Municipal Bond Investors Insurance
NCUA		— National Credit Union Administration
REMIC		— Real Estate Mortgage Investment Conduit
STRIPS		— Separate Trading of Registered Interest and Principal of Securities


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD SALES CONTRACTS — At June 30, 2017, the Fund had the following forward sales contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations^(a) – 0.1%
Banks – 0.1%
DnB Boligkreditt AS
$	800,000		1.450	%	03/21/19	$ 798,960
(Cost $799,731)


Mortgage-Backed Obligations – 45.0%
Collateralized Mortgage Obligations – 40.4%
Interest Only^(b) – 0.0%
FNMA REMIC Series 1990-145, Class B
$	80		1,004.961	%	12/25/20	$ 313

Regular Floater^(c) – 33.3%
FHLMC REMIC Series 1826, Class F
	16,596		1.559		09/15/21	16,632
FHLMC REMIC Series 3049, Class FP
	3,857,323		1.509		10/15/35	3,840,646
FHLMC REMIC Series 3208, Class FB
	532,564		1.559		08/15/36	533,452
FHLMC REMIC Series 3208, Class FD
	1,299,221		1.559		08/15/36	1,305,740
FHLMC REMIC Series 3208, Class FG
	1,264,107		1.559		08/15/36	1,270,450
FHLMC REMIC Series 3307, Class FA
	9,360,233		1.589		07/15/34	9,383,913
FHLMC REMIC Series 3312, Class HF
	4,401,249		1.459		08/15/33	4,407,994
FHLMC REMIC Series 3371, Class FA
	852,679		1.759		09/15/37	860,884
FHLMC REMIC Series 3374, Class FT
	206,963		1.459		04/15/37	206,788
FHLMC REMIC Series 3471, Class FB
	1,887,351		2.159		08/15/35	1,925,380
FHLMC REMIC Series 3545, Class FA
	445,089		2.009		06/15/39	449,711
FHLMC REMIC Series 3588, Class CW
	2,425,169		3.145		10/15/37	2,555,444
FHLMC REMIC Series 4039, Class FA
	2,929,464		1.659		05/15/42	2,951,849
FHLMC REMIC Series 4057, Class CF
	5,357,357		1.609		04/15/39	5,374,385
FHLMC REMIC Series 4272, Class FD
	5,368,707		1.509		11/15/43	5,374,911
FHLMC REMIC Series 4316, Class FY
	1,885,242		1.559		11/15/39	1,889,692
FHLMC REMIC Series 4477, Class FG
	7,355,314		1.351		10/15/40	7,332,807
FHLMC REMIC Series 4508, Class CF
	13,393,824		1.559		09/15/45	13,415,771
FHLMC REMIC Series 4614, Class FK
	9,027,557		1.659		09/15/46	9,098,185
FHLMC REMIC Series 4631, Class GF
	15,012,092		1.659		11/15/46	15,118,828
FHLMC REMIC Series 4637, Class QF
	16,202,529		2.051		04/15/44	16,242,728
FHLMC STRIPS Series 237, Class F23
	357,029		1.559		05/15/36	357,012
FHLMC STRIPS Series 350, Class F2
	21,124,720		1.401		09/15/40	21,109,405


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Regular Floater^(c) – (continued)
FNMA REMIC Series 1990-145, Class A
$	32,517		1.747	%	12/25/20	$ 32,592
FNMA REMIC Series 1997-20, Class F
	133,329		1.258		03/25/27	133,403
FNMA REMIC Series 1998-66, Class FC
	50,044		1.709		11/17/28	50,283
FNMA REMIC Series 2006-42, Class CF
	8,404,065		1.666		06/25/36	8,438,587
FNMA REMIC Series 2006-72, Class XF
	438,690		1.716		08/25/36	440,461
FNMA REMIC Series 2007-114, Class A7
	2,049,822		1.416		10/27/37	2,042,728
FNMA REMIC Series 2007-33, Class HF
	54,854		1.566		04/25/37	54,982
FNMA REMIC Series 2007-36, Class F
	1,107,890		1.446		04/25/37	1,102,244
FNMA REMIC Series 2007-92, Class OF
	415,045		1.786		09/25/37	418,813
FNMA REMIC Series 2008-22, Class FD
	581,192		2.056		04/25/48	590,365
FNMA REMIC Series 2009-75, Class MF
	833,552		2.366		09/25/39	854,424
FNMA REMIC Series 2010-123, Class FL
	1,777,627		1.646		11/25/40	1,783,844
FNMA REMIC Series 2010-8, Class FE
	9,596,656		2.006		02/25/40	9,712,567
FNMA REMIC Series 2011-110, Class FE
	2,996,655		1.616		04/25/41	3,006,073
FNMA REMIC Series 2011-53, Class FT
	651,169		1.796		06/25/41	656,801
FNMA REMIC Series 2011-63, Class FG
	669,239		1.666		07/25/41	672,718
FNMA REMIC Series 2012-56, Class FG
	2,399,657		1.716		03/25/39	2,409,944
FNMA REMIC Series 2013-96, Class FW
	169,347		1.616		09/25/43	169,763
FNMA REMIC Series 2014-19, Class FA
	1,718,578		1.616		11/25/39	1,722,524
FNMA REMIC Series 2014-19, Class FJ
	1,948,917		1.616		11/25/39	1,953,464
FNMA REMIC Series 2016-1, Class FT
	6,524,263		1.566		02/25/46	6,531,418
FNMA REMIC Series 2016-23, Class FT
	1,252,175		1.716		11/25/45	1,260,656
FNMA REMIC Series 2016-33, Class PF
	2,681,456		1.716		06/25/46	2,700,891
FNMA REMIC Series 2017-16, Class FG
	19,521,107		1.666		03/25/47	19,522,749
FNMA REMIC Series 2017-45, Class FA
	12,931,861		1.371		06/25/47	12,923,174
GNMA REMIC Series 2010-53, Class FC
	902,782		2.032		04/20/40	914,537
GNMA REMIC Series 2012-12, Class HF
	1,140,234		1.612		01/20/42	1,139,141
Mill City Mortgage Loan Trust Series 2016-1, Class A1^(a)
	1,025,203		2.500		04/25/57	1,028,039
NCUA Guaranteed Notes Series 2010-A1, Class A
	239,656		1.576		12/07/20	239,810
NCUA Guaranteed Notes Series 2011-R1, Class 1A
	488,243		1.673		01/08/20	489,025
NCUA Guaranteed Notes Series 2011-R2, Class 1A
	1,491,063		1.623		02/06/20	1,492,345


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Regular Floater^(c) – (continued)
NCUA Guaranteed Notes Series 2011-R3, Class 1A
$	1,254,923		1.624	%	03/11/20	$ 1,256,051
NCUA Guaranteed Notes Series 2011-R4, Class 1A
	255,637		1.603		03/06/20	255,637

						211,022,660

Sequential Fixed Rate – 0.1%
FHLMC REMIC Series 4248, Class LM
	750,891		6.500		05/15/41	872,864

Sequential Floating Rate^(c) – 7.0%
FHLMC Multifamily ML Certificates Series 2017-ML01, Class A^(a)
	903,000		1.726		01/25/33	903,945
FHLMC Multifamily Structured Pass Through Certificates Series KF03, Class A
	3,560,294		1.335		01/25/21	3,560,293
FHLMC Multifamily Structured Pass Through Certificates Series KS02, Class A
	5,697,519		1.375		08/25/23	5,697,463
FHLMC Multifamily Structured Pass-Through Certificates Series KF02, Class A1
	487,385		1.375		07/25/20	487,315
FHLMC Multifamily Structured Pass-Through Certificates Series KF19, Class A
	7,405,508		1.445		06/25/23	7,414,706
FHLMC Multifamily Structured Pass-Through Certificates Series KF31, Class A
	7,000,000		1.430		04/25/24	7,002,159
FNMA ACES Series 2013-M11, Class FA
	171,913		1.546		01/25/18	171,757
FNMA ACES Series 2017-M5, Class FA
	18,986,464		1.494		04/25/24	19,020,599

						44,258,237

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$ 256,154,074

Federal Agencies – 4.6%
Adjustable Rate FHLMC^(c) – 1.0%
$	5,595		2.590	%	08/01/18	$ 5,617
	2,122		2.718		11/01/18	2,133
	4,483		2.991		11/01/18	4,482
	1,273		2.250		02/01/19	1,276
	4,399		1.866		03/01/19	4,397
	2,022		2.540		03/01/19	2,029
	6,391		2.210		06/01/19	6,403
	2,122		2.270		07/01/19	2,123
	112,077		2.642		11/01/19	112,623
	67,047		6.879		11/01/19	69,073
	5,481		3.177		01/01/20	5,510
	12,267		1.866		05/01/21	12,281
	1,702		1.866		10/01/26	1,711
	398,376		3.509		08/01/28	415,945
	128,111		3.451		05/01/29	132,126
	9,997		4.112		06/01/29	10,658
	24,202		1.853		04/01/30	24,328
	19,024		4.378		06/01/30	20,283
	109,368		3.393		12/01/30	114,485
	7,182		2.448		02/01/31	7,260
	6,726		2.741		06/01/31	7,024


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate FHLMC^(c) – (continued)
$	1,342,924		3.082	%	05/01/34	$ 1,423,982
	1,051,807		2.931		05/01/35	1,107,465
	61,061		4.324		05/01/35	63,067
	2,777,254		2.873		01/01/38	2,932,989

						6,489,270

Adjustable Rate FNMA^(c) – 1.4%
	3,948		2.750		09/01/17	3,943
	2,679		1.966		03/01/18	2,678
	1,848		2.646		03/01/18	1,846
	21,780		2.022		07/01/18	21,776
	4,646		1.878		10/01/18	4,648
	3,190		2.673		10/01/18	3,189
	5,826		2.721		10/01/18	5,831
	15,687		1.884		01/01/19	15,702
	29,731		3.941		04/01/19	30,117
	3,440		6.028		04/01/19	3,502
	114,260		1.875		05/01/19	114,460
	4,973		6.098		07/01/19	5,061
	31,237		4.286		08/01/19	31,700
	21,561		6.437		05/01/20	22,202
	49,205		1.897		06/01/20	49,282
	3,188		6.654		02/01/22	3,337
	19,049		2.526		05/20/22	19,025
	72,407		3.160		02/01/23	74,132
	154,655		3.148		01/01/24	158,877
	211,187		3.242		03/01/24	217,366
	104,004		2.298		06/20/24	103,850
	1,020		3.607		08/01/24	1,023
	44,229		5.115		01/01/25	46,994
	6,963		3.263		06/01/27	7,099
	5,721		4.250		12/01/27	6,100
	7,004		4.500		01/01/28	7,468
	7,922		1.861		06/01/29	7,992
	7,594		2.092		06/01/29	7,688
	1,273,514		3.026		07/01/33	1,347,602
	302,289		2.951		11/01/34	321,627
	4,426		3.892		05/01/36	4,614
	1,676,197		3.483		03/01/37	1,774,946
	190,384		3.075		09/01/37	202,231
	59,628		2.092		06/01/40	60,276
	5,852		1.892		02/01/41	5,882
	1,189,547		2.513		04/01/44	1,219,295
	2,666,767		2.600		09/01/44	2,726,598

						8,639,959

Adjustable Rate GNMA^(c) – 0.2%
	942,371		2.125		04/20/33	970,329
	196,010		2.125		05/20/33	203,223
	390,170		2.125		08/20/34	402,488

						1,576,040

FHLMC – 0.1%
	41,637		5.500		01/01/20	42,926
	50,661		7.000		04/01/21	52,858
	24,125		7.000		08/01/21	25,466
	75,121		7.000		05/01/22	79,949
	232,591		7.000		06/01/22	245,079
	1,729		4.500		05/01/23	1,832

						448,110


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – 1.9%
$	5,843		5.500	%	03/01/18	$ 5,902
	2,528		5.500		04/01/18	2,538
	2,207		5.000		09/01/19	2,276
	278		5.000		11/01/19	282
	2,588		5.000		01/01/20	2,650
	23,660		7.000		07/01/21	24,894
	57,096		7.000		11/01/21	60,555
	34,757		7.000		12/01/21	35,166
	86,577		7.000		01/01/22	89,370
	13,212		7.000		02/01/22	13,992
	47,279		7.000		01/01/28	51,375
	19,745		6.500		04/01/33	23,106
	25,058		6.000		05/01/38	28,425
	31,421		6.000		11/01/38	35,650
	71,055		6.000		09/01/39	80,618
	25,343		6.000		10/01/39	28,820
	18,094		6.000		10/01/40	20,527
	25,970		6.000		05/01/41	29,454
	10,075,285		4.000		10/01/42	10,636,464
	858,005		3.500		05/01/46	881,786

						12,053,850

GNMA – 0.0%
	25,391		7.000		04/15/26	27,679

TOTAL FEDERAL AGENCIES						$ 29,234,908

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $285,137,476)						$ 285,388,982


Agency Debentures^(c) – 7.2%
FFCB
$	10,000,000		1.035	%	09/28/18	$ 9,986,460
FHLB
	5,800,000		0.742		08/14/17	5,798,544
	10,000,000		1.182		09/01/17	10,003,370
	10,000,000		0.883		01/26/18	9,996,330
	10,000,000		1.046		01/26/18	9,998,560

TOTAL AGENCY DEBENTURES (Cost $45,799,499)						$ 45,783,264


Asset-Backed Securities^(c) – 42.8%
Auto – 1.8%
Ally Master Owner Trust Series 2017-3, Class A1
$	11,500,000		1.574	%	06/15/22	$ 11,510,028

Collateralized Loan Obligations^(a) – 15.3%
ACIS CLO Ltd. Series 2013-1A, Class A1
	1,150,000		1.894		04/18/24	1,144,160
ACIS CLO Ltd. Series 2013-2A, Class BR
	121,437		2.073		10/14/22	121,454
AIMCO CLO Series 2014-AA, Class AR
	2,650,000		2.181		07/20/26	2,649,918
Anchorage Capital CLO 4 Ltd. Series 2014-4A, Class A1AR
	3,150,000		2.312		07/28/26	3,150,019
Atrium X Series 2017-10A, Class AR
	2,600,000		2.036		07/16/25	2,601,898
B&M CLO Ltd. Series 2014-1A, Class A1
	750,000		2.423		04/16/26	749,813


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(c) – (continued)
Collateralized Loan Obligations^(a) – (continued)
Benefit Street Partners CLO II Ltd. Series 2013-IIA, Class A1R
$	6,000,000		2.453	%	07/15/29	$ 6,000,000
Cedar Funding II CLO Ltd. Series 2013-1A, Class A1R
	1,700,000		2.519		06/09/30	1,699,150
Chesapeake Funding II LLC Series 2016-2A, Class A2
	2,839,195		1.989		06/15/28	2,851,727
Crown Point CLO Ltd. Series 2012-1A, Class A1LA
	142,267		1.802		11/21/22	141,883
Crown Point CLO Ltd. Series 2013-2A, Class A1L
	6,065,799		1.993		12/31/23	6,050,853
Cutwater Ltd. Series 2014-1A, Class A1AR
	2,500,000		2.469		07/15/26	2,498,745
Dryden XXVI Senior Loan Fund Series 2013-26A, Class A
	1,800,000		2.122		07/15/25	1,802,658
ICG US CLO Ltd. Series 2014-1A, Class A1
	2,100,000		2.180		04/20/26	2,094,074
Jamestown CLO VII Ltd. Series 2015-7A, Class A1
	2,350,000		2.588		07/25/27	2,350,167
Jamestown CLO X Ltd. Series 2017-10A, Class A1
	4,750,000		2.720		07/17/29	4,742,875
LCM XVI LP Series 2017-16A, Class AR
	3,650,000		2.188		07/15/26	3,648,175
OCP CLO Ltd. Series 2012-2A, Class A1R
	650,000		2.450		11/22/25	655,224
OCP CLO Ltd. Series 2014-5A, Class A1
	2,350,000		2.032		04/26/26	2,349,998
OCP CLO Ltd. Series 2017-13A, Class A1A
	3,150,000		0.000		07/15/30	3,145,672
OFSI Fund V Ltd. Series 2013-5A, Class A1LA
	1,000,000		1.953		04/17/25	997,532
OFSI Fund VI Ltd. Series 2014-6A, Class A1
	2,250,000		2.052		03/20/25	2,232,099
OFSI Fund VII Ltd. Series 2014-7A, Class A
	2,100,000		2.364		10/18/26	2,101,130
Regatta III Funding Ltd. Series 2014-1A, Class A1AR
	4,900,000		2.346		04/15/26	4,897,550
Shackleton CLO Ltd. Series 2014-5A, Class AR
	5,200,000		2.319		05/07/26	5,199,958
Sound Point CLO VI Ltd. Series 2014-2A, Class A2R
	2,250,000		2.296		10/20/26	2,249,989
Sound Point CLO Vlll Ltd. Series 2015-1A, Class A
	5,100,000		2.553		04/15/27	5,103,152
TRESTLES CLO Ltd. Series 2017-1A, Class A1A
	6,350,000		0.000		07/25/29	6,346,825
Trinitas CLO II Ltd. Series 2014-2A, Class A1R
	6,250,000		2.339		07/15/26	6,249,850
Trinitas CLO Ltd. Series 2014-1A, Class A1
	600,000		2.553		04/15/26	600,217
Voya CLO Ltd. Series 2017-3A, Class A1A
	8,750,000		2.480		07/20/30	8,750,000
Zais CLO 1 Ltd. Series 2014-1A, Class A1
	1,700,000		2.423		04/15/26	1,705,919

						96,882,684

Credit Card – 6.3%
Bank of America Credit Card Trust Series 2014-A1, Class A
	5,650,000		1.539		06/15/21	5,674,256
CARDS II Trust Series 2016-1A, Class A^(a)
	1,500,000		1.859		07/15/21	1,506,538
CARDS II Trust Series 2017-1A, Class A^(a)
	2,500,000		1.529		04/18/22	2,502,128


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(c) – (continued)
Credit Card – (continued)
Citibank Credit Card Issuance Trust Series 2017-A5, Class A5
$	10,100,000		1.836	%	04/22/26	$ 10,152,407
Discover Card Execution Note Trust Series 2013-A1, Class A1
	14,900,000		1.459		08/17/20	14,917,653
Evergreen Credit Card Trust Series 2016-1, Class A^(a)
	2,550,000		1.879		04/15/20	2,560,976
Trillium Credit Card Trust II Series 2016-1A, Class A^(a)
	2,800,000		1.936		05/26/21	2,813,108

						40,127,066

Home Equity – 0.1%
HSBC Home Equity Loan Trust Series 2007-2, Class AS
	436,234		1.200		07/20/36	436,680

Student Loan – 19.3%
Academic Loan Funding Trust Series 2013-1, Class A^(a)
	2,837,884		1.824		12/26/44	2,824,162
Access Group, Inc. Series 2005-2, Class A3
	866,105		1.232		11/22/24	866,049
Access Group, Inc. Series 2006-1, Class A2
	24,061		1.162		08/25/23	24,051
Access Group, Inc. Series 2013-1, Class A^(a)
	1,304,212		1.524		02/25/36	1,296,739
Access Group, Inc. Series 2015-1, Class A^(a)
	1,456,709		1.724		07/25/56	1,447,289
Access to Loans for Learning Student Loan Corp. Series 2013-I, Class A
	2,301,922		1.824		02/25/41	2,270,786
Alaska State Student Loan Corp. Series 2013, Class A^(d)
	2,118,763		1.524		08/25/31	2,085,256
Bank of America Student Loan Trust Series 2010-1A, Class A^(a)
	1,537,830		1.838		02/25/43	1,545,757
Brazos Higher Education Authority, Inc. Series 2006-1, Class A3^(d)
	126,509		1.263		12/26/24	126,349
Brazos Higher Education Authority, Inc. Series 2011-1, Class A2
	309,642		1.852		02/25/30	308,833
College Loan Corp. Trust I Series 2005-1, Class A4
	400,000		1.306		04/25/27	397,772
ECMC Group Student Loan Trust Series 2016-1A, Class A^(a)
	1,692,653		2.374		07/26/66	1,701,634
Education Loan Asset-Backed Trust I Series 2013-1, Class A1^(a)
	2,354,265		1.824		06/25/26	2,356,877
Education Loan Asset-Backed Trust I Series 2013-1, Class A2^(a)
	3,000,000		1.824		04/26/32	2,925,271
Educational Funding of the South, Inc. Series 2012-1, Class A
	2,357,482		2.074		03/25/36	2,369,587
Educational Services of America, Inc. Series 2010-1, Class A1^(a)
	1,531,497		1.888		07/25/23	1,532,579
Educational Services of America, Inc. Series 2012-1, Class A1^(a)
	2,637,947		2.174		09/25/40	2,677,139
Educational Services of America, Inc. Series 2014-1, Class A^(a)
	2,321,910		1.724		02/25/39	2,291,822
EFS Volunteer No. 2 LLC Series 2012-1, Class A2^(a)
	1,950,000		2.374		03/25/36	1,980,853
EFS Volunteer No. 3 LLC Series 2012-1, Class A3^(a)
	1,200,000		2.024		04/25/33	1,203,774
GCO Education Loan Funding Master Trust-II Series 2006-2A, Class A3L^(a)
	236,096		1.172		08/25/28	235,979
GCO Education Loan Funding Trust Series 2006-1, Class A8L
	1,605,427		1.182		05/25/25	1,591,323


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(c) – (continued)
Student Loan – (continued)
GCO Education Loan Funding Trust Series 2007-1A, Class A6L^(a)
$	1,970,805		1.299	%	11/25/26	$1,944,829
Goal Capital Funding Trust Series 2007-1, Class A3
	5,403,319		1.243		09/25/28	5,398,462
Goal Capital Funding Trust Series 2010-1, Class A^(a)
	61,613		1.752		08/25/48	61,092
Higher Education Funding I Series 2005-1, Class A4
	203,291		1.192		02/25/30	202,980
Higher Education Funding I Series 2014-1, Class A^(a)
	1,500,054		2.102		05/25/34	1,493,681
Illinois Student Assistance Commission Series 2010-1, Class A3
	1,150,000		1.938		07/25/45	1,153,912
Kentucky Higher Education Student Loan Corp. Series 2015-1, Class A1
	4,823,226		1.745		12/01/31	4,798,000
Knowledgeworks Foundation Student Loan Series 2010-1, Class A
	1,652,473		2.002		02/25/42	1,655,014
Massachusetts Educational Financing Authority Series 2008-1, Class A1
	615,560		1.988		04/25/38	620,788
Missouri Higher Education Loan Authority Series 2010-2, Class A1
	3,077,701		1.902		08/27/29	3,098,469
Montana Higher Education Student Assistance Corp. Series 2012-1, Class A2
	3,524,627		2.010		05/20/30	3,562,017
Navient Student Loan Trust Series 2016-5A, Class A^(a)
	3,431,177		2.274		06/25/65	3,485,303
Navient Student Loan Trust Series 2016-7A, Class A^(a)
	1,681,758		2.174		03/25/66	1,700,967
Nelnet Student Loan Trust Series 2005-4, Class A3
	336,953		1.286		06/22/26	336,802
Nelnet Student Loan Trust Series 2006-1, Class A5
	8,254,591		1.163		08/23/27	8,230,011
Nelnet Student Loan Trust Series 2006-2, Class A5
	2,320,878		1.138		01/25/30	2,317,506
Nelnet Student Loan Trust Series 2013-5A, Class A^(a)
	692,407		1.654		01/25/37	690,111
New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3^(d)
	1,300,000		1.890		10/25/37	1,270,444
New Hampshire Higher Education Loan Corp. Series 2012^(d)
	3,108,609		1.524		10/25/28	3,103,542
North Carolina State Education Assistance Authority Series 2010-1, Class A1
	789,377		1.938		07/25/41	786,572
Northstar Education Finance, Inc. Series 2012-1, Class A^(a)
	759,533		1.724		12/26/31	753,290
Rhode Island Student Loan Authority Series 2012-1, Class A1
	2,350,185		1.895		07/01/31	2,340,708
Rhode Island Student Loan Authority Series 2014-1, Class A1^(d)
	594,056		1.695		10/02/28	593,878
Scholar Funding Trust Series 2010-A, Class A^(a)
	732,097		1.789		10/28/41	721,505
Scholar Funding Trust Series 2013-A, Class A^(a)
	2,868,219		1.694		01/30/45	2,836,487
SLC Student Loan Center Series 2011-1, Class A^(a)
	1,275,269		2.244		10/25/27	1,289,459
SLC Student Loan Trust Series 2005-1, Class A3
	8,363,841		1.139		02/15/25	8,354,762
SLC Student Loan Trust Series 2010-1, Class A
	866,749		1.927		11/25/42	878,699
SLM Student Loan Trust Series 2003-12, Class A5^(a)
	568,568		1.411		09/15/22	568,879
SLM Student Loan Trust Series 2003-14, Class A5
	216,387		1.268		01/25/23	216,387


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(c) – (continued)
Student Loan – (continued)
SLM Student Loan Trust Series 2004-1, Class A3
$	987,432		1.248	%	04/25/23	$ 987,622
SLM Student Loan Trust Series 2004-8A, Class A5^(a)
	1,272,950		1.538		04/25/24	1,277,065
SLM Student Loan Trust Series 2005-9, Class A6
	2,253,811		1.588		10/26/26	2,257,090
SLM Student Loan Trust Series 2006-2, Class A5
	867,081		1.148		07/25/25	867,026
SLM Student Loan Trust Series 2006-4, Class A5
	40,374		1.138		10/27/25	40,369
SLM Student Loan Trust Series 2008-2, Class A3
	675,986		1.788		04/25/23	672,560
SLM Student Loan Trust Series 2008-5, Class A4
	677,765		2.738		07/25/23	694,383
SLM Student Loan Trust Series 2012-3, Class A
	1,187,863		1.674		12/26/25	1,192,698
SLM Student Loan Trust Series 2013-3, Class A2
	120,104		1.324		05/26/20	120,135
SLM Student Loan Trust Series 2014-1, Class A2
	188,924		1.404		07/26/21	189,015
South Texas Higher Education Authority, Inc. Series 2012-1, Class A2
	744,706		1.848		10/01/24	747,784
Utah State Board of Regents Series 2011, Class A2^(d)
	819,155		1.884		05/01/29	822,784
Utah State Board of Regents Series 2011-1, Class A3
	900,000		1.884		05/01/35	902,772
Utah State Board of Regents Series 2012-1, Class A^(d)
	10,014,490		1.774		12/26/31	10,069,470
Utah State Board of Regents Series 2015-1, Class A
	2,889,540		1.624		02/25/43	2,883,039
Wachovia Student Loan Trust Series 2005-1, Class A5
	199,817		1.168		01/26/26	199,482

						122,447,731

TOTAL ASSET-BACKED SECURITIES (Cost $270,656,345)						$ 271,404,189


Government Guarantee Obligation^(e) – 0.6%
Hashemite Kingdom of Jordan Government AID Bond
$	4,000,000		2.503	%	10/30/20	$ 4,077,360
(Cost $4,000,000)


U.S. Treasury Obligations – 4.2%
United States Treasury Bond
$	830,000		3.000	%	05/15/47	$ 856,934
United States Treasury Inflation Indexed Bonds
	8,567,451		0.125	^(f)	04/15/18	8,540,720
	5,690,182		0.125		04/15/20	5,701,050
	4,642,245		0.125		04/15/21	4,637,881
United States Treasury Note
	6,900,000		1.250		12/31/18	6,890,133

TOTAL U.S. TREASURY OBLIGATIONS (Cost $26,748,251)						$ 26,626,718

Principal

Amount

Interest

Rate

Maturity

Date

Value

U.S. Treasury Obligations – (continued)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT

(Cost $633,141,302)

$ 634,079,473

Short-term Investment^(g) – 6.1%

Repurchase Agreements – 6.1%

Joint Repurchase Agreement Account II

38,700,000

1.1

07/03/17

$ 38,700,000

(Cost $38,700,000)

TOTAL INVESTMENTS – 106.0%

(Cost $671,841,302)

$ 672,779,473

LIABILITIES IN EXCESS OF

OTHER ASSETS – (6.0)%

(38,277,073)

NET ASSETS – 100.0%

$ 634,502,400



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $149,838,921, which represents approximately 23.6% of net assets as of June 30, 2017.

(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(d)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(e)		Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $4,077,360, which represents approximately 0.6% of net assets as of June 30, 2017.

(f)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(g)		Joint repurchase agreement was entered into on June 30, 2017. Additional information appears in the Notes to the Schedule of Investments section.



Investment Abbreviations:
ACES		— Alternative Credit Enhancement Securities
CLO		— Collateralized Loan Obligation
FFCB		— Federal Farm Credit Bank
FHLB		— Federal Home Loan Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
NCUA		— National Credit Union Administration
REMIC		— Real Estate Mortgage Investment Conduit
STRIPS		— Separate Trading of Registered Interest and Principal of Securities

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
U.S. Treasury Obligations – 97.9%
United States Treasury Inflation Indexed Bonds
$	3,339,040		0.125	%	04/15/19	$ 3,341,478
	17,749,190		0.125		04/15/20	17,783,091
	60,918,603		0.125		04/15/21	60,861,339
	37,199,385		0.625		01/15/24	37,755,888
	4,273,297		0.125	^(a)	07/15/24	4,200,950
	84,646,960		0.250	^(a)	01/15/25	83,206,269
	4,929,740		2.375		01/15/25	5,619,164
	44,411,187		0.375		07/15/25	44,109,191
	19,345,012		0.625		01/15/26	19,483,135
	29,804,647		1.375		02/15/44	32,473,653
	9,480,463		0.875		02/15/47	9,215,484
United States Treasury Notes
	420,000		2.250		01/31/24	423,977
	680,000		2.000		04/30/24	674,873
	490,000		2.000		05/31/24	486,021
	1,620,000		2.000		06/30/24	1,605,695
United States Treasury Strip Coupon^(b)
	19,800,000		0.000		11/15/34	12,340,944
	3,000,000		0.000		11/15/40	1,519,800

TOTAL U.S. TREASURY OBLIGATIONS (Cost $337,201,652)						$ 335,100,952



Shares	Distribution Rate	Value
Investment Company^(c)(d) – 3.8%
Goldman Sachs Financial Square Government Fund - Institutional Shares
13,082,961 0.845%		$ 13,082,961
(Cost $13,082,961)

TOTAL INVESTMENTS – 101.7% (Cost $350,284,613)		$ 348,183,913

LIABILITIES IN EXCESS OF OTHER ASSETS – (1.7)%		(5,846,190)

NET ASSETS – 100.0%		$ 342,337,723



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(b)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(c)		Represents an Affiliated Fund.

(d)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.



Investment Abbreviations:
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
PLC		— Public Limited Company


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – 46.6%
Collateralized Mortgage Obligations – 6.5%
Interest Only^(a) – 0.0%
FHLMC REMIC Series 1161, Class U
$	113		1,172.807	%	11/15/21	$ 1,557

Inverse Floaters^(b) – 0.0%
FNMA REMIC Series 1990-134, Class SC
	5,282		19.752	%	11/25/20	6,381

Regular Floater^(b) – 3.1%
FNMA REMIC Series 1988-12, Class B
	336		0.000		02/25/18	334
FNMA REMIC Series 2007-114, Class A7
	7,095,537		1.416		10/27/37	7,070,982
FNMA REMIC Series 2007-33, Class HF
	472,075		1.566		04/25/37	473,178
NCUA Guaranteed Notes Series 2010-A1, Class A
	1,477,881		1.446		12/07/20	1,478,827
NCUA Guaranteed Notes Series 2010-R2, Class 1A
	2,969,321		1.593		11/06/17	2,969,321
NCUA Guaranteed Notes Series 2011-R1, Class 1A
	2,859,711		1.673		01/08/20	2,864,291
NCUA Guaranteed Notes Series 2011-R2, Class 1A
	9,990,125		1.623		02/06/20	9,998,710
NCUA Guaranteed Notes Series 2011-R3, Class 1A
	8,505,592		1.517		03/11/20	8,513,234
NCUA Guaranteed Notes Series 2011-R4, Class 1A
	1,719,742		1.603		03/06/20	1,719,742

						35,088,619

Sequential Fixed Rate – 3.1%
FDIC Structured Sale Guaranteed Notes Series 2010-S1, Class 2A^(c)
	3,772,058		3.250		04/25/38	3,807,106
FHLMC REMIC Series 108, Class G
	5,674		8.500		12/15/20	5,948
FHLMC REMIC Series 1980, Class Z
	389,323		7.000		07/15/27	442,739
FHLMC REMIC Series 2019, Class Z
	338,384		6.500		12/15/27	369,991
FHLMC REMIC Series 2755, Class ZA
	823,547		5.000		02/15/34	904,032
FHLMC REMIC Series 3530, Class DB
	4,635,150		4.000		05/15/24	4,833,685
FHLMC REMIC Series 4273, Class PD
	1,393,662		6.500		11/15/43	1,606,370
FNMA REMIC Series 1989-66, Class J
	38,280		7.000		09/25/19	39,234
FNMA REMIC Series 1990-16, Class E
	47,792		9.000		03/25/20	50,635
FNMA REMIC Series 2012-111, Class B
	600,173		7.000		10/25/42	691,974
FNMA REMIC Series 2012-153, Class B
	2,097,273		7.000		07/25/42	2,427,550
FNMA REMIC Series 2015-30, Class EA
	8,747,292		3.000		05/25/45	8,939,003
NCUA Guaranteed Notes Series A4
	11,000,000		3.000		06/12/19	11,284,420

						35,402,687


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Sequential Floating Rate^(b) – 0.3%
FHLMC REMIC Series 4273, Class PS
$	1,813,548		4.941	%	11/15/43	$ 298,791
FNMA REMIC Series 1988-12, Class A
	654		4.653		02/25/18	657
NCUA Guaranteed Notes Series 2010-R1, Class 1A
	2,313,716		1.673		10/07/20	2,317,603

						2,617,051

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$ 73,116,295

Commercial Mortgage-Backed Securities – 7.5%
Sequential Fixed Rate – 3.2%
FHLMC Multifamily Structured Pass Through Certificates Series K716, Class A2
$	16,100,000		3.130	%	06/25/21	$ 16,723,635
FHLMC Multifamily Structured Pass Through Certificates Series K717, Class A2
	18,600,000		2.991		09/25/21	19,236,159

						35,959,794

Sequential Floating Rate^(b) – 4.3%
FHLMC Multifamily Structured Pass-Through Certificates Series KF02, Class A1
	2,301,019		1.375		07/25/20	2,300,688
FNMA ACES Series 2014-M1, Class ASQ2
	22,267,780		2.323		11/25/18	22,356,192
FHLMC Multifamily Structured Pass Through Certificates Series KF03, Class A
	2,716,525		1.335		01/25/21	2,716,524
FHLMC Multifamily Structured Pass Through Certificates Series KP02, Class A2
	21,429,857		2.355		04/25/21	21,656,179

						49,029,583

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$ 84,989,377

Federal Agencies – 32.6%
Adjustable Rate FHLMC^(b) – 1.1%
$	8,073		2.365	%	05/01/18	$ 8,060
	6,141		3.073		10/01/25	6,202
	444,869		3.104		11/01/34	470,221
	1,567,270		2.901		06/01/35	1,659,593
	139,621		3.540		05/01/36	146,589
	44,477		3.179		10/01/36	46,681
	39,120		3.500		11/01/36	40,795
	844,890		2.526		06/01/42	871,981
	8,713,081		2.574		11/01/44	8,900,659

						12,150,781

Adjustable Rate FNMA^(b) – 1.5%
	3,922		2.483		06/01/18	3,926
	10,693		6.437		05/01/20	11,011
	1,917		3.181		01/01/23	1,919
	28,453		3.528		02/01/27	28,652


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate FNMA^(b) – (continued)
$	145,718		2.355	%	08/01/29	$ 147,016
	45,977		2.755		07/01/32	48,388
	33,711		3.130		07/01/32	35,497
	29,501		2.688		01/01/33	30,376
	1,127,219		3.634		05/01/33	1,191,241
	150,574		3.625		08/01/33	159,533
	879,257		4.613		08/01/33	937,412
	766,199		3.027		02/01/34	811,470
	628,073		3.485		05/01/34	662,220
	365,036		3.570		05/01/34	384,870
	513,954		2.776		06/01/34	541,054
	404,345		2.921		10/01/34	423,624
	299,683		3.155		10/01/34	310,414
	638,648		3.151		02/01/35	658,312
	96,805		3.179		02/01/35	101,436
	272,308		3.402		03/01/35	286,650
	613,065		3.433		03/01/35	635,807
	917,489		3.068		04/01/35	953,414
	333,946		3.470		04/01/35	352,497
	296,187		3.153		05/01/35	309,098
	134,465		3.316		05/01/35	140,896
	330,050		2.587		10/01/35	345,986
	937,234		3.428		03/01/36	990,662
	377,852		3.060		04/01/36	395,459
	1,086,828		3.691		04/01/36	1,155,313
	759,720		3.091		06/01/36	796,662
	1,080,319		3.204		06/01/36	1,148,583
	1,390,778		3.038		07/01/36	1,454,850
	216,574		3.435		11/01/36	228,447
	1,187,523		3.324		07/01/37	1,256,762
	54,526		3.412		12/01/46	57,935

						16,997,392

Adjustable Rate GNMA^(b) – 0.4%
	224,973		2.125		05/20/34	231,510
	478,263		2.125		07/20/34	492,030
	341,615		2.125		08/20/34	352,400
	2,622,997		2.125		09/20/34	2,703,555
	314,117		2.250		10/20/34	323,365
	463,192		2.250		12/20/34	476,862

						4,579,722

FHLMC – 1.3%
	206,101		5.500		01/01/20	212,481
	99,854		7.000		04/01/22	105,282
	1,729		4.500		05/01/23	1,831
	12,757		7.500		01/01/31	13,777
	58,378		4.500		07/01/33	62,897
	1,560,774		4.500		08/01/33	1,681,587
	3,074,349		4.500		09/01/33	3,312,320
	298,375		4.500		10/01/33	321,470
	10,288		4.500		04/01/34	11,041
	6,794		4.500		04/01/35	7,303
	3,828		4.500		07/01/35	4,113
	14,507		4.500		08/01/35	15,589
	59,502		4.500		09/01/35	63,956
	24,441		4.500		10/01/35	26,224
	2,906		4.500		12/01/35	3,117
	1,913		4.500		05/01/36	2,057
	2,122		6.000		06/01/36	2,394
	174,619		4.500		01/01/38	187,784
	2,442		4.500		04/01/38	2,617


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FHLMC – (continued)
$	892		4.500	%	05/01/38	$ 956
	10,171		4.500		06/01/38	10,913
	268,922		4.500		09/01/38	290,131
	6,280		4.500		01/01/39	6,761
	153,727		4.500		02/01/39	165,481
	1,910,589		7.000		02/01/39	2,212,220
	68,732		4.500		03/01/39	73,992
	17,782		4.500		04/01/39	19,144
	470,148		4.500		05/01/39	506,130
	1,296,702		4.500		06/01/39	1,395,946
	44,032		4.500		07/01/39	47,402
	71,813		4.500		08/01/39	77,308
	87,458		4.500		09/01/39	94,153
	16,797		4.500		10/01/39	18,082
	32,080		4.500		11/01/39	34,535
	56,759		4.500		12/01/39	61,103
	51,097		4.500		01/01/40	55,007
	12,674		4.500		02/01/40	13,640
	36,611		4.500		04/01/40	39,403
	61,390		4.500		05/01/40	66,064
	70,983		4.500		06/01/40	76,388
	60,375		4.500		07/01/40	64,973
	58,056		4.500		08/01/40	62,476
	37,369		4.500		09/01/40	40,215
	14,816		4.500		10/01/40	15,944
	26,026		4.500		02/01/41	27,998
	49,296		4.500		03/01/41	53,033
	131,191		4.500		04/01/41	141,137
	123,308		4.500		05/01/41	132,655
	232,037		4.500		06/01/41	249,625
	16,998		4.500		07/01/41	18,287
	590,777		4.500		08/01/41	635,565
	619,642		4.500		09/01/41	666,819
	35,570		4.500		12/01/41	38,266
	435,983		4.500		03/01/42	469,033
	1,000,000		3.500		TBA-30yr^(d)	1,027,148

						14,945,773

FNMA – 26.7%
	261		5.500		01/01/18	264
	6,781,333		2.800		03/01/18	6,788,484
	48,278,861		3.741		06/01/18	48,572,320
	30,780		5.500		07/01/18	31,267
	3,789		5.500		08/01/18	3,827
	32,576		5.500		09/01/18	33,142
	15,800,000		2.960		11/01/18	15,997,667
	5,661		5.500		12/01/18	5,783
	4,073		5.500		01/01/19	4,173
	3,896		5.500		03/01/19	3,991
	340		5.500		08/01/19	340
	3,203		5.000		09/01/19	3,303
	6,608		7.000		11/01/19	6,710
	36,587,494		4.307		07/01/21	39,273,777
	963,335		5.500		09/01/23	1,023,192
	249,808		5.500		10/01/23	266,303
	1,674,774		6.000		02/01/24	1,882,985
	2,596		7.000		12/01/24	2,888
	710,283		6.000		08/01/26	798,587
	120,426		6.000		10/01/26	135,456
	915		7.000		08/01/27	1,045
	247,663		6.000		11/01/27	278,572
	1,789,656		6.000		02/01/28	2,012,149


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	789,764		6.000	%	07/01/28	$ 887,949
	193,480		6.000		08/01/28	217,534
	331,692		6.000		09/01/28	372,929
	1,117		7.000		10/01/28	1,202
	17,130		6.000		01/01/29	19,260
	866		7.000		01/01/29	969
	58,827		6.000		03/01/29	66,169
	747,702		4.500		09/01/29	804,732
	365		7.000		11/01/29	366
	628		7.000		04/01/31	688
	26,405		6.000		12/01/31	29,744
	7,740		7.000		05/01/32	8,659
	5,387		7.000		06/01/32	5,829
	1,083		7.000		08/01/32	1,277
	92,954		6.000		09/01/32	105,085
	44,885		6.000		10/01/32	50,934
	43,030		6.000		11/01/32	48,649
	18,739		6.000		02/01/33	21,205
	27,825		6.000		03/01/33	31,602
	4,368		6.000		04/01/33	4,954
	1,106,699		6.500		04/01/33	1,290,678
	3,563		6.000		11/01/33	4,043
	1,134		7.000		04/01/34	1,346
	33,822,810		6.000		05/01/34	38,305,421
	71,937		6.000		07/01/34	82,145
	5,999		6.000		10/01/34	6,822
	140,168		6.000		01/01/35	160,019
	115,472		6.000		03/01/35	131,140
	2,023,724		6.000		04/01/35	2,289,667
	187,745		6.000		05/01/35	213,697
	292,010		6.000		06/01/35	333,089
	35,481		6.000		08/01/35	40,598
	108,431		6.000		09/01/35	123,629
	850,260		6.000		11/01/35	969,239
	1,078,099		6.000		12/01/35	1,227,899
	1,818,073		6.000		01/01/36	2,083,711
	704,985		6.000		02/01/36	804,895
	365,320		6.000		03/01/36	416,772
	3,029,418		6.000		04/01/36	3,454,325
	432,692		6.000		05/01/36	494,092
	541,399		6.000		06/01/36	618,061
	1,079,591		6.000		07/01/36	1,228,145
	5,344,915		6.000		08/01/36	6,109,286
	1,362,065		6.000		09/01/36	1,540,256
	2,207,648		6.000		10/01/36	2,510,991
	740,624		4.500		11/01/36	797,705
	3,747,940		6.000		11/01/36	4,270,737
	699,484		6.000		12/01/36	795,963
	7,729		6.000		01/01/37	8,804
	265,505		6.000		02/01/37	301,935
	646,029		6.000		03/01/37	736,283
	417,996		6.000		04/01/37	475,914
	10,321,387		6.000		05/01/37	11,780,495
	602,736		6.000		07/01/37	685,982
	1,121,336		6.000		08/01/37	1,275,020
	738,941		6.000		09/01/37	840,135
	242,646		6.000		10/01/37	276,050
	241,749		7.500		10/01/37	270,084
	508,899		6.000		11/01/37	575,426
	4,161,201		6.000		12/01/37	4,722,305
	4,689,416		6.000		01/01/38	5,320,037
	3,104,447		6.000		02/01/38	3,531,920
	504,020		6.000		03/01/38	577,051
	7,305		6.000		04/01/38	8,295


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	9,929,805		6.000	%	05/01/38	$ 11,260,832
	98,232		6.000		06/01/38	112,173
	11,672,500		6.000		07/01/38	13,241,555
	224,437		6.000		08/01/38	254,820
	1,048,870		6.000		09/01/38	1,190,658
	155,233		6.000		10/01/38	176,256
	1,238,736		6.000		11/01/38	1,394,617
	1,089,820		6.000		12/01/38	1,220,035
	171,196		6.000		01/01/39	194,666
	173,336		4.500		02/01/39	186,829
	1,089,292		7.000		03/01/39	1,261,539
	152,564		4.500		04/01/39	164,441
	320,077		6.000		04/01/39	363,936
	12,866		4.500		08/01/39	14,002
	659,702		6.000		08/01/39	748,961
	5,148,544		6.000		09/01/39	5,841,169
	1,255,983		6.000		10/01/39	1,425,334
	46,672		6.000		11/01/39	52,962
	1,177,564		6.000		01/01/40	1,335,678
	2,627		6.000		02/01/40	2,981
	124,939		6.000		03/01/40	141,858
	18,689		6.000		04/01/40	21,210
	1,290,807		6.000		06/01/40	1,465,210
	567,354		6.000		07/01/40	643,565
	122,649		6.000		09/01/40	139,299
	927,083		6.000		10/01/40	1,051,611
	706,703		6.000		11/01/40	807,621
	34,630		6.000		04/01/41	39,398
	11,201		4.500		05/01/41	12,065
	27,684,256		6.000		05/01/41	31,528,368
	1,717,111		6.000		07/01/41	1,949,823
	753,931		4.500		08/01/41	812,714
	161,419		4.500		10/01/41	173,860
	129,656		5.000		02/01/42	142,141
	1,000,000		3.500		TBA-30yr^(d)	1,026,875

						301,895,130

GNMA – 1.6%
	89,145		5.500		07/15/20	91,871
	2,936		6.500		01/15/32	3,209
	7,547		6.500		02/15/32	8,247
	8,384		6.500		08/15/34	9,583
	16,292		6.500		05/15/35	18,790
	4,167		6.500		06/15/35	4,776
	12,194		6.500		07/15/35	14,070
	3,222		6.500		08/15/35	3,722
	6,962		6.500		09/15/35	8,014
	4,748		6.500		10/15/35	5,507
	22,788		6.500		11/15/35	26,437
	18,144		6.500		12/15/35	20,903
	32,651		6.500		01/15/36	37,792
	42,944		6.500		02/15/36	49,804
	42,769		6.500		03/15/36	49,622
	83,052		6.500		04/15/36	95,459
	126,964		6.500		05/15/36	147,202
	103,669		6.500		06/15/36	120,250
	418,781		6.500		07/15/36	481,160
	416,203		6.500		08/15/36	478,452
	689,681		6.500		09/15/36	792,021
	276,128		6.500		10/15/36	318,411
	355,481		6.500		11/15/36	405,322
	151,985		6.500		12/15/36	174,145


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
GNMA – (continued)
$	81,964		6.500	%	01/15/37	$ 94,808
	26,149		6.500		02/15/37	30,193
	17,355		6.500		03/15/37	20,149
	39,484		6.500		04/15/37	45,701
	30,289		6.500		05/15/37	33,430
	18,064		6.500		08/15/37	20,796
	105,583		6.500		09/15/37	121,130
	90,522		6.500		10/15/37	104,976
	63,483		6.500		11/15/37	72,682
	1,427		6.500		02/15/38	1,651
	31,321		6.500		05/15/38	35,988
	889		6.500		08/15/38	1,012
	87,061		6.000		11/15/38	100,110
	20,492		6.500		11/15/38	23,650
	11,145		6.500		01/15/39	12,724
	19,343		6.500		02/15/39	22,319
	12,969,918		4.000		10/20/43	13,709,102
	700,466		4.000		10/20/45	737,979

						18,553,169

TOTAL FEDERAL AGENCIES						$369,121,967

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $530,135,754)						$527,227,639


Agency Debentures – 3.5%
FHLB
$	7,000,000		1.875	%	03/13/20	$ 7,042,560
	1,800,000		5.375		08/15/24	2,156,940
FNMA
	5,200,000		6.250		05/15/29	7,053,592
	16,080,000		7.125		01/15/30	23,481,142
Small Business Administration
	9,371		6.300		05/01/18	9,487
	11,676		6.300		06/01/18	11,820

TOTAL AGENCY DEBENTURES (Cost $38,931,485)						$ 39,755,541


Government Guarantee Obligation^(e) – 1.7%
Hashemite Kingdom of Jordan Government AID Bond
$	19,300,000		2.503	%	10/30/20	$ 19,673,262
(Cost $19,300,000)


U.S. Treasury Obligations – 43.5%
United States Treasury Bonds^(f)
$	210,000		3.000	%	11/15/45	$ 216,384
	2,270,000		3.000		05/15/47	2,343,662
United States Treasury Inflation Indexed Bonds^(f)
	94,876,587		0.125		04/15/18	94,580,572
United States Treasury Notes
	92,890,000		1.625	^(f)	07/31/20	93,017,253
	25,800,000		1.375		09/30/20	25,609,338
	78,770,000		1.750		12/31/20	79,018,127
	13,700,000		1.125		02/28/21	13,424,356
	27,400,000		1.250		03/31/21	26,950,366
	58,100,000		1.375		04/30/21	57,364,455
	26,690,000		1.125		06/30/21	26,052,109
	24,200,000		1.125		07/31/21	23,590,403
	5,500,000		2.000		06/30/24	5,451,435


Principal Amount			Interest Rate			Maturity Date	Value
U.S. Treasury Obligations – (continued)
United States Treasury Strip Coupon^(g)
$		54,200,000		0.000	%	11/15/35	$ 32,735,715
		20,300,000		0.000		05/15/36	12,071,396

TOTAL U.S. TREASURY OBLIGATIONS (Cost $496,510,931)							$ 492,425,571


	Shares		Distribution Rate				Value
Investment Company^(b)(h) – 1.6%
Goldman Sachs Financial Square Government Fund - Institutional Shares
		18,470,661		0.845	%		$ 18,470,661
(Cost $18,470,661)

TOTAL INVESTMENTS – 96.9% (Cost $1,103,348,831)							$1,097,552,674

OTHER ASSETS IN EXCESS OFLIABILITIES – 3.1%							34,962,015

NET ASSETS – 100.0%							$1,132,514,689



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(b)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $3,807,106, which represents approximately 0.3% of net assets as of June 30, 2017.

(d)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $2,054,023 which represents approximately 0.2% of net assets as of June 30, 2017.

(e)		Guaranteed by the United States Government until maturity. Total market value for these securities amounts to $19,673,262, which represents approximately 1.7% of net assets as of June 30, 2017.

(f)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(g)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(h)		Represents an Affiliated Fund.




Investment Abbreviations:
ACES		— Alternative Credit Enhancement Securities
FDIC		— Federal Deposit Insurance Corp.
FHLB		— Federal Home Loan Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
LIBOR		— London Interbank Offered Rate
NCUA		— National Credit Union Administration
REMIC		— Real Estate Mortgage Investment Conduit

For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – 45.4%
Automotive – 1.8%
Daimler Finance North America LLC^(a)
$	1,500,000		2.450	%	05/18/20	$ 1,508,919
Ford Motor Credit Co. LLC
	5,575,000		8.125		01/15/20	6,330,039
General Motors Financial Co., Inc.
	3,500,000		4.750		08/15/17	3,511,931

						11,350,889

Banks – 16.2%
ABN AMRO Bank NV^(a)
	2,350,000		1.800		06/04/18	2,349,655
Ally Financial, Inc.
	800,000		6.250		12/01/17	812,000
Banco Bilbao Vizcaya Argentaria SA
	1,025,000		3.000		10/20/20	1,044,487
Banco del Estado de Chile^(a)
	170,000		2.000		11/09/17	170,051
Banco Santander SA
	1,400,000		3.500		04/11/22	1,432,868
Bank of America Corp.
	5,350,000		2.600		01/15/19	5,400,381
	1,200,000		2.650		04/01/19	1,214,452
	1,025,000		2.625		10/19/20	1,035,335
	8,175,000		2.151	^(b)	11/09/20	8,137,992
	1,250,000		2.625		04/19/21	1,255,540
Bank of America NA
	2,700,000		1.750		06/05/18	2,703,583
Banque Federative du Credit Mutuel SA^(a)
	1,025,000		2.000		04/12/19	1,024,887
Barclays Bank PLC
	1,100,000		5.140		10/14/20	1,177,315
BNP Paribas SA
	550,000		2.375		05/21/20	553,986
	1,600,000		2.950	^(a)	05/23/22	1,615,931
BPCE SA^(a)
	2,425,000		3.000		05/22/22	2,446,090
Capital One Bank USA NA^(b)
	800,000		2.250		02/13/19	802,146
Capital One NA^(b)
	3,150,000		1.850		09/13/19	3,123,364
Citigroup, Inc.
	950,000		2.050		12/07/18	951,413
	1,325,000		2.500		07/29/19	1,336,900
	2,650,000		2.650		10/26/20	2,675,355
	5,500,000		2.350		08/02/21	5,450,054
	2,400,000		2.750	^(b)	04/25/22	2,396,201
Compass Bank^(b)
	775,000		2.750		09/29/19	781,002
Credit Suisse AG
	725,000		1.750		01/29/18	725,392
Credit Suisse Group Funding Guernsey Ltd.
	1,425,000		2.750		03/26/20	1,436,205
Discover Bank^(b)
	1,150,000		2.600		11/13/18	1,159,806
HBOS PLC^(a)
	1,325,000		6.750		05/21/18	1,376,145
HSBC Holdings PLC
	1,050,000		2.950		05/25/21	1,063,353
ING Bank NV^(a)
	1,525,000		1.800		03/16/18	1,526,911


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
Intesa Sanpaolo SpA
$	2,550,000		3.875	%	01/16/18	$ 2,573,582
JPMorgan Chase & Co.
	400,000		1.700	^(b)	03/01/18	400,138
	3,400,000		2.200		10/22/19	3,410,870
	1,825,000		2.250	^(b)	01/23/20	1,830,661
	1,250,000		2.295	^(b)	08/15/21	1,242,727
KBC Bank NV^(b)(c)
	400,000		8.000		01/25/23	412,000
Lloyds Bank PLC
	400,000		1.750		03/16/18	400,449
	1,000,000		2.300		11/27/18	1,005,948
Macquarie Bank Ltd.^(a)
	700,000		1.600		10/27/17	700,059
Mitsubishi UFJ Financial Group, Inc.
	425,000		2.950		03/01/21	431,894
Morgan Stanley
	3,250,000		2.500		04/21/21	3,247,494
	7,550,000		2.625		11/17/21	7,538,871
Morgan Stanley, Inc.
	775,000		2.650		01/27/20	783,172
MUFG Americas Holdings Corp.^(b)
	625,000		1.625		02/09/18	624,936
Santander Holdings USA, Inc.^(b)
	1,675,000		3.450		08/27/18	1,698,497
	1,275,000		2.650		04/17/20	1,271,742
Santander UK PLC
	1,600,000		2.375		03/16/20	1,609,400
Sumitomo Mitsui Banking Corp.
	575,000		1.750		01/16/18	575,467
Sumitomo Mitsui Financial Group, Inc.
	1,750,000		2.442		10/19/21	1,742,660
The Bank of Tokyo-Mitsubishi UFJ Ltd.^(a)
	1,100,000		1.700		03/05/18	1,100,474
	700,000		2.150		09/14/18	701,459
UBS Group Funding Switzerland AG^(a)
	3,450,000		3.000		04/15/21	3,502,913
UniCredit SpA^(a)
	2,000,000		3.750		04/12/22	2,048,286
Wells Fargo & Co.
	600,000		2.150		01/30/20	601,543
Westpac Banking Corp.
	4,650,000		1.950		11/23/18	4,659,133

						101,293,175

Chemicals – 1.2%
E.I. du Pont de Nemours & Co.^(c)
	2,100,000		1.700		05/01/20	2,112,623
Eastman Chemical Co.^(b)
	1,250,000		2.700		01/15/20	1,266,473
The Sherwin-Williams Co.
	2,275,000		2.250		05/15/20	2,280,089
	700,000		2.750	^(b)	06/01/22	699,582
Westlake Chemical Corp.^(b)
	1,350,000		4.625		02/15/21	1,397,250

						7,756,017

Consumer Cyclical Services^(b) – 0.4%
Equinix, Inc.
	450,000		5.375		01/01/22	474,750


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
First Data Corp.^(a)
$	850,000		7.000	%	12/01/23	$ 907,375
Iron Mountain, Inc.^(a)
	800,000		6.000		10/01/20	828,000

						2,210,125

Diversified Financial Services – 0.5%
Air Lease Corp.
	2,975,000		2.125		01/15/20	2,960,774

Diversified Manufacturing^(b) – 0.3%
Fortive Corp.
	775,000		2.350		06/15/21	770,415
Roper Technologies, Inc.
	225,000		3.000		12/15/20	230,286
	775,000		2.800		12/15/21	781,598

						1,782,299

Electric – 1.8%
Dominion Energy, Inc.
	900,000		1.900		06/15/18	902,120
	1,350,000		2.579		07/01/20	1,356,974
Duke Energy Corp.^(b)
	950,000		1.800		09/01/21	927,367
Enel Finance International NV^(a)
	3,125,000		2.875		05/25/22	3,129,334
Exelon Corp.^(b)
	350,000		2.850		06/15/20	355,576
	750,000		2.450		04/15/21	747,938
Puget Sound Energy, Inc.^(b)(c)
	1,000,000		6.974		06/01/67	961,250
Sempra Energy^(b)
	1,100,000		2.400		03/15/20	1,104,939
The Southern Co.
	1,150,000		1.850		07/01/19	1,145,543
	800,000		2.750	^(b)	06/15/20	809,306

						11,440,347

Energy – 0.8%
EOG Resources, Inc.
	1,300,000		5.625		06/01/19	1,386,390
Petrobras Global Finance BV
	210,000		8.375		05/23/21	235,125
	30,000		8.750		05/23/26	34,466
	1,210,000		7.375		01/17/27	1,279,878
	250,000		6.850		06/05/15	220,763
Petroleos Mexicanos
	18,000		6.375		02/04/21	19,490
EUR	170,000		5.125		03/15/23	218,193
$	20,000		5.500		06/27/44	17,580
	30,000		6.375		01/23/45	29,304
	10,000		5.625		01/23/46	8,865
Phillips 66^(a)(b)(c)
	950,000		2.054		04/15/20	951,911
Range Resources Corp.^(a)(b)
	500,000		5.750		06/01/21	510,000

						4,911,965


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Food & Beverage – 2.1%
Anheuser-Busch InBev Finance, Inc.
$	3,450,000		1.900	%	02/01/19	$ 3,457,718
	3,125,000		2.650	^(b)	02/01/21	3,166,900
Beam Suntory, Inc.
	800,000		1.750		06/15/18	799,300
Conagra Brands, Inc.
	61,000		4.950		08/15/20	65,473
Kraft Heinz Foods Co.
	1,300,000		2.000		07/02/18	1,303,292
Mead Johnson Nutrition Co.
	475,000		3.000		11/15/20	487,239
Molson Coors Brewing Co.
	1,150,000		1.450		07/15/19	1,135,987
Mondelez International Holdings Netherlands BV^(a)(b)
	1,975,000		2.000		10/28/21	1,924,278
Smithfield Foods, Inc.^(a)
	625,000		2.700		01/31/20	628,295
Sysco Corp.^(b)
	400,000		2.600		10/01/20	404,954

						13,373,436

Gaming – 0.2%
GLP Capital LP/GLP Financing II, Inc.^(b)
	450,000		4.875		11/01/20	479,813
MGM Resorts International
	975,000		8.625		02/01/19	1,072,500

						1,552,313

Health Care Products – 2.1%
Becton Dickinson & Co.
	4,750,000		2.133		06/06/19	4,757,215
	959,000		2.675		12/15/19	970,742
	2,625,000		2.404		06/05/20	2,629,240
	4,375,000		2.894	^(b)	06/06/22	4,388,676
Thermo Fisher Scientific, Inc.
	475,000		2.150		12/14/18	476,781

						13,222,654

Health Care Services – 0.8%
Acadia Healthcare Co., Inc.^(b)
	500,000		6.125		03/15/21	515,625
Cardinal Health, Inc.
	905,000		4.625		12/15/20	972,105
CHS/Community Health Systems, Inc.^(b)
	1,100,000		8.000		11/15/19	1,105,500
HCA, Inc.
	1,600,000		5.875		03/15/22	1,774,000
McKesson Corp.
	175,000		1.400		03/15/18	174,677
	650,000		2.284		03/15/19	653,728

						5,195,635

Life Insurance^(a) – 0.3%
Reliance Standard Life Global Funding II
	1,700,000		2.150		10/15/18	1,703,655


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Media - Cable – 0.7%
Charter Communications Operating LLC/Charter Communications Operating Capital^(b)
$	3,400,000		3.579	%	07/23/20	$ 3,513,475
Time Warner Cable LLC
	775,000		5.000		02/01/20	826,766

						4,340,241

Media - Non Cable – 0.1%
21st Century Fox America, Inc.
	550,000		6.900		03/01/19	593,122

Metals & Mining – 0.3%
Glencore Finance Canada Ltd.^(a)
	1,700,000		2.700		10/25/17	1,702,548
Teck Resources Ltd.^(b)
	450,000		4.750		01/15/22	465,750

						2,168,298

Noncaptive - Financial – 0.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
	250,000		4.500		05/15/21	265,246
CIT Group, Inc.^(a)
	101,000		5.500		02/15/19	106,050
International Lease Finance Corp.
	750,000		7.125	^(a)	09/01/18	793,760
	2,425,000		4.625		04/15/21	2,581,041
Navient Corp.
	1,150,000		8.450		06/15/18	1,212,894

						4,958,991

Pharmaceuticals – 3.1%
AbbVie, Inc.
	2,075,000		1.800		05/14/18	2,077,619
Allergan Funding SCS^(b)
	3,200,000		3.000		03/12/20	3,267,901
EMD Finance LLC^(a)
	1,625,000		1.700		03/19/18	1,624,769
Forest Laboratories LLC^(a)(b)
	530,000		4.375		02/01/19	546,577
Mylan NV
	2,825,000		2.500		06/07/19	2,847,572
Mylan, Inc.
	1,350,000		2.550		03/28/19	1,359,746
Shire Acquisitions Investments Ireland DAC
	2,625,000		1.900		09/23/19	2,612,812
Teva Pharmaceutical Finance Netherlands III BV
	4,575,000		2.200		07/21/21	4,491,090
Valeant Pharmaceuticals International, Inc.^(a)(b)
	321,000		6.750		08/15/18	321,802

						19,149,888

Pipelines – 3.5%
Columbia Pipeline Group, Inc.
	475,000		2.450		06/01/18	477,179
Enbridge Energy Partners LP
	2,114,000		5.200		03/15/20	2,241,817
Enbridge, Inc.^(b)
	1,325,000		2.900		07/15/22	1,322,350


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Pipelines – (continued)
Enterprise Products Operating LLC
$	1,550,000		5.200	%	09/01/20	$ 1,682,263
	1,150,000		4.877	^(b)(c)	08/01/66	1,154,312
Kinder Morgan Energy Partners LP
	1,150,000		2.650		02/01/19	1,158,204
	1,250,000		6.850		02/15/20	1,378,165
Kinder Morgan, Inc.^(b)
	1,450,000		3.050		12/01/19	1,475,192
Plains All American Pipeline LP/PAA Finance Corp.
	1,690,000		5.750		01/15/20	1,817,254
	990,000		3.650	^(b)	06/01/22	1,009,957
Sabine Pass Liquefaction LLC^(b)
	3,185,000		5.625		02/01/21	3,467,424
Texas Eastern Transmission LP^(a)(b)
	1,225,000		4.125		12/01/20	1,278,034
TransCanada PipeLines Ltd.
	570,000		1.875		01/12/18	570,763
Western Gas Partners LP^(b)
	1,470,000		2.600		08/15/18	1,474,065
Williams Partners LP
	1,300,000		5.250		03/15/20	1,399,042

						21,906,021

Property/Casualty Insurance^(b)(c) – 0.2%
The Chubb Corp.
	1,075,000		3.408		03/29/67	1,066,938

Real Estate Investment Trust – 1.7%
DDR Corp.^(b)
	1,000,000		4.750		04/15/18	1,019,571
HCP, Inc.^(b)
	600,000		3.750		02/01/19	612,598
Realty Income Corp.^(b)
	125,000		2.000		01/31/18	125,122
Select Income REIT^(b)
	1,275,000		3.600		02/01/20	1,292,096
Senior Housing Properties Trust^(b)
	750,000		3.250		05/01/19	757,262
Ventas Realty LP/Ventas Capital Corp.^(b)
	900,000		2.000		02/15/18	901,223
VEREIT Operating Partnership LP^(b)
	3,475,000		3.000		02/06/19	3,514,094
WEA Finance LLC/Westfield UK & Europe Finance PLC^(a)
	1,475,000		1.750		09/15/17	1,474,993
Welltower, Inc.^(b)
	1,225,000		4.125		04/01/19	1,261,539

						10,958,498

Restaurants – 0.2%
Brinker International, Inc.
	150,000		2.600		05/15/18	150,244
New Red Finance, Inc.^(a)(b)
	1,000,000		4.625		01/15/22	1,021,250
Yum! Brands, Inc.
	135,000		6.250		03/15/18	138,881

						1,310,375

Retailers – 0.0%
AutoZone, Inc.
	250,000		1.625		04/21/19	248,459


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Retailers - Food & Drug^(b) – 0.3%
Walgreens Boots Alliance, Inc.
$	1,550,000		2.700	%	11/18/19	$ 1,574,351

Technology – 1.1%
Broadcom Corp./Broadcom Cayman Finance Ltd.^(a)(b)
	4,700,000		3.000		01/15/22	4,742,009
Fidelity National Information Services, Inc.^(b)
	900,000		2.250		08/15/21	890,314
Fiserv, Inc.^(b)
	625,000		2.700		06/01/20	632,364
Harris Corp.
	550,000		1.999		04/27/18	550,751

						6,815,438

Technology - Hardware – 0.6%
NXP BV/NXP Funding LLC^(a)
	750,000		3.750		06/01/18	761,250
	325,000		4.125		06/15/20	341,354
	1,250,000		4.125		06/01/21	1,316,250
QUALCOMM, Inc.
	1,450,000		2.250		05/20/20	1,463,753
Tech Data Corp.
	75,000		3.750		09/21/17	75,228

						3,957,835

Tobacco – 0.7%
BAT International Finance PLC^(a)
	1,225,000		1.850		06/15/18	1,225,029
Reynolds American, Inc.
	1,925,000		2.300		06/12/18	1,933,383
	975,000		3.250		06/12/20	1,003,800

						4,162,212

Transportation^(a) – 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp.
	1,101,000		3.375		03/15/18	1,113,826

Wireless Telecommunications – 0.8%
America Movil SAB de CV
MXN	2,760,000		6.000		06/09/19	147,282
American Tower Corp.
$	525,000		4.500		01/15/18	532,191
	2,010,000		3.400		02/15/19	2,051,997
Intelsat Jackson Holdings SA^(b)
	600,000		7.250		04/01/19	600,000
Sprint Communications, Inc.
	175,000		8.375		08/15/17	176,313
Sprint Corp.
	1,000,000		7.250		09/15/21	1,110,000
Verizon Communications, Inc.^(b)
	650,000		3.000		11/01/21	658,608

						5,276,391

Wirelines Telecommunications – 2.6%
AT&T, Inc.
	1,350,000		1.750		01/15/18	1,350,977
	1,955,000		2.300		03/11/19	1,966,595


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Wirelines Telecommunications – (continued)
$	1,975,000		5.875	%	10/01/19	$ 2,137,383
	2,225,000		2.450	^(b)	06/30/20	2,236,425
CenturyLink, Inc.
	650,000		6.450		06/15/21	702,813
Telefonica Emisiones SAU
	825,000		3.192		04/27/18	833,722
Verizon Communications, Inc.
	2,475,000		1.750	^(b)	08/15/21	2,393,941
	4,542,000		2.946	^(a)	03/15/22	4,573,558
Windstream Services LLC^(b)
	300,000		7.750		10/15/20	302,250

						16,497,664

TOTAL CORPORATE OBLIGATIONS (Cost $283,701,322)						$284,851,832


Mortgage-Backed Obligations – 8.7%
Collateralized Mortgage Obligations – 1.3%
Interest Only^(d) – 0.3%
FHLMC STRIPS Series 304, Class C45
$	408,615		3.000	%	12/15/27	$38,305
FNMA REMIC Series 2010-135, Class AS^(c)
	426,799		4.734		12/25/40	64,167
FNMA REMIC Series 2012-146, Class IO
	4,262,604		3.500		01/25/43	824,992
FNMA REMIC Series 2016-3, Class IP
	805,091		4.000		02/25/46	165,179
GNMA REMIC Series 2014-188, Class IB
	1,094,762		4.000		12/20/44	170,522
GNMA REMIC Series 2015-111, Class IM
	766,122		4.000		08/20/45	125,800
GNMA REMIC Series 2015-95, Class GI
	746,617		4.500		07/16/45	158,363
GNMA REMIC Series 2016-27, Class IA
	667,145		4.000		06/20/45	100,055

						1,647,383

Inverse Floaters^(c) – 0.7%
FHLMC REMIC Series 3852, Class SW
	709,826		4.841		05/15/41	113,755
FHLMC REMIC Series 4314, Class SE
	922,302		4.891		03/15/44	162,914
FHLMC REMIC Series 4320, Class SD
	243,839		4.941		07/15/39	38,748
FHLMC REMIC Series 4326, Class GS
	595,962		4.891		04/15/44	104,585
FHLMC REMIC Series 4583, Class ST
	1,034,610		4.841		05/15/46	201,907
FNMA REMIC Series 2013-121, Class SA
	460,857		4.884		12/25/43	73,019
FNMA REMIC Series 2013-130, Class SN
	1,049,175		5.434		10/25/42	201,319
FNMA REMIC Series 2013-96, Class SW
	289,302		4.884		09/25/43	46,587
FNMA REMIC Series 2014-19, Class MS
	402,406		5.384		11/25/39	48,451
FNMA REMIC Series 2014-87, Class MS
	143,383		5.034		01/25/45	23,124


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA REMIC Series 2015-20, Class ES
$	774,980		4.934	%	04/25/45	$ 163,829
FNMA REMIC Series 2015-28, Class PS
	1,962,349		4.384		08/25/44	292,940
FNMA REMIC Series 2015-79, Class SA
	614,167		5.034		11/25/45	102,071
FNMA REMIC Series 2015-81, Class SA
	2,143,136		4.484		11/25/45	303,056
FNMA REMIC Series 2015-82, Class MS
	444,247		4.484		11/25/45	65,000
FNMA REMIC Series 2016-1, Class SJ
	1,619,225		4.934		02/25/46	322,020
GNMA REMIC Series 2010-1, Class SD
	30,341		4.578		01/20/40	4,902
GNMA REMIC Series 2010-20, Class SE
	176,897		5.038		02/20/40	29,866
GNMA REMIC Series 2010-31, Class SA
	308,700		4.538		03/20/40	46,358
GNMA REMIC Series 2010-98, Class QS
	180,002		5.388		01/20/40	24,398
GNMA REMIC Series 2011-17, Class SA
	222,808		4.888		09/20/40	32,621
GNMA REMIC Series 2011-61, Class CS
	89,711		5.468		12/20/35	3,876
GNMA REMIC Series 2013-113, Class SD
	173,872		5.528		08/16/43	30,993
GNMA REMIC Series 2013-124, Class CS
	989,410		4.838		08/20/43	169,633
GNMA REMIC Series 2013-134, Class DS
	114,688		4.888		09/20/43	18,786
GNMA REMIC Series 2013-152, Class TS
	402,138		4.888		06/20/43	64,748
GNMA REMIC Series 2014-117, Class SJ
	2,851,679		4.388		08/20/44	431,766
GNMA REMIC Series 2014-132, Class SL
	1,087,000		4.888		10/20/43	157,229
GNMA REMIC Series 2014-133, Class BS
	459,682		4.388		09/20/44	65,627
GNMA REMIC Series 2014-158, Class SA
	1,301,808		4.428		10/16/44	196,021
GNMA REMIC Series 2014-162, Class SA
	403,997		4.388		11/20/44	59,112
GNMA REMIC Series 2014-20, Class SA
	1,867,974		4.888		02/20/44	309,917
GNMA REMIC Series 2014-41, Class SA
	129,136		4.888		03/20/44	21,686
GNMA REMIC Series 2015-110, Class MS
	825,820		4.498		08/20/45	125,555
GNMA REMIC Series 2015-123, Class SP
	667,568		5.038		09/20/45	113,010
GNMA REMIC Series 2015-126, Class HS
	292,791		4.988		09/20/45	48,926
GNMA REMIC Series 2015-57, Class AS
	1,669,671		4.388		04/20/45	242,750

						4,461,105

Sequential Fixed Rate – 0.1%
FHLMC Multifamily Structured Pass-Through Certificates Series K030, Class A1
	215,707		2.779		09/25/22	219,964


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Sequential Fixed Rate – (continued)
FHLMC Multifamily Structured Pass-Through Certificates Series K707, Class A2
$	100,000		2.220	%	12/25/18	$ 100,674
FHLMC Multifamily Structured Pass-Through Certificates Series K710, Class A2
	100,000		1.883		05/25/19	100,113
FNMA REMIC Series 2012-111, Class B
	39,356		7.000		10/25/42	45,375
FNMA REMIC Series 2012-153, Class B
	130,265		7.000		07/25/42	150,780

						616,906

Sequential Floating Rate^(c) – 0.2%
Credit Suisse European Mortgage Capital Ltd. Series 2015-1HWA, Class A^(a)
EUR	637,934		2.750		04/20/20	715,865
FNMA REMIC Series 2007-33, Class HF
$	28,258		1.566		04/25/37	28,324
New Residential Mortgage Loan Trust Series 2015-1A, Class A1^(a)
	462,843		3.750		05/28/52	475,792

						1,219,981

TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS						$ 7,945,375

Federal Agencies – 7.4%
FHLMC – 0.2%
$	161,914		7.000	%	02/01/39	$ 187,476
	1,000,000		3.500		TBA-30yr^(e)	1,027,148

						1,214,624

FNMA – 6.5%
	5,738		6.000		11/01/23	6,451
	1,996,854		6.000		02/01/24	2,245,106
	1,354,843		6.000		01/01/28	1,523,280
	904,761		6.000		08/01/28	1,017,243
	24,069		6.000		01/01/29	27,062
	3,440		6.000		10/01/31	3,528
	43,795		6.000		01/01/32	50,101
	9,348		6.000		11/01/32	10,563
	732,525		6.000		12/01/32	818,088
	5,798,105		6.000		05/01/34	6,566,541
	10,145		6.000		11/01/34	11,517
	44,434		6.000		06/01/35	50,626
	550,705		6.000		10/01/35	627,291
	2,110,606		6.000		11/01/35	2,402,729
	100,585		6.000		12/01/35	114,779
	2,754		6.000		01/01/36	3,136
	9,637		6.000		02/01/36	10,968
	3,238		6.000		03/01/36	3,692
	1,483,581		6.000		05/01/36	1,692,338
	84,815		6.000		06/01/36	97,088
	1,010,674		6.000		07/01/36	1,152,129
	89,537		6.000		08/01/36	102,366
	1,533,616		6.000		09/01/36	1,747,318
	2,768,947		6.000		10/01/36	3,151,379
	60,431		6.000		11/01/36	68,760
	754,214		6.000		02/01/37	843,733
	11,266		6.000		03/01/37	12,833


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA – (continued)
$	61,442		6.000	%	05/01/37	$ 70,128
	680,056		6.000		11/01/37	774,670
	100,309		6.000		12/01/37	113,887
	246,379		6.000		03/01/38	281,132
	394,066		6.000		04/01/38	447,317
	1,745,052		6.000		05/01/38	1,980,996
	11,061		6.000		07/01/38	12,547
	788,513		6.000		09/01/38	894,932
	251,359		6.000		10/01/38	285,086
	977,869		6.000		11/01/38	1,110,689
	172,368		6.000		12/01/38	195,753
	820,185		6.000		01/01/39	934,734
	90,774		7.000		03/01/39	105,128
	574,040		6.000		09/01/39	651,591
	838,719		6.000		06/01/40	952,019
	1,282,556		6.000		10/01/40	1,454,906
	5,697,918		6.000		05/01/41	6,489,779
	60,833		6.000		06/01/41	69,069

						41,185,008

GNMA – 0.7%
	3,310,125		4.000		10/20/43	3,498,777
	700,466		4.000		10/20/45	737,979

						4,236,756

TOTAL FEDERAL AGENCIES						$ 46,636,388

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $54,268,549)						$ 54,581,763


Agency Debenture – 0.4%
FHLB
$	2,685,000		1.625	%	06/14/19	$ 2,694,102
(Cost $2,723,131)


Asset-Backed Securities – 26.8%
Auto – 1.4%
Ally Master Owner Trust Series 2012-5, Class A
$	350,000		1.540	%	09/15/19	$ 350,061
Ally Master Owner Trust Series 2015-2, Class A2
	2,050,000		1.830		01/15/21	2,050,590
Ford Credit Auto Owner Trust Series 2016-2, Class A^(a)
	1,400,000		2.030		12/15/27	1,390,012
Ford Credit Floorplan Master Owner Trust Series 2016-5, Class A1
	3,850,000		1.950		11/15/21	3,853,462
GMF Floorplan Owner Revolving Trust Series 2016-1, Class A1^(a)
	1,350,000		1.960		05/17/21	1,352,816

						8,996,941

Collateralized Loan Obligations^(a)(c) – 11.9%
ACIS CLO Ltd. Series 2013-1A, Class A1
	1,588,440		1.894		04/18/24	1,580,374
ACIS CLO Ltd. Series 2013-1A, Class B
	313,530		2.974		04/18/24	313,538
ACIS CLO Ltd. Series 2013-1A, Class C
	198,030		3.974		04/18/24	198,051
ACIS CLO Ltd. Series 2013-2A, Class BR
	97,150		2.073		10/14/22	97,163
ACIS CLO Ltd. Series 2013-2A, Class C1R
	150,000		2.323		10/14/22	149,999


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Collateralized Loan Obligations^(a)(c) – (continued)
AIMCO CLO Series 2017-AA, Class A
$	3,150,000		2.593	%	07/20/29	$ 3,149,924
Apidos CLO X Series 2012-10A, Class A
	2,344,535		2.459		10/30/22	2,344,856
Atrium X CLO Series 2017-10A, Class AR
	3,050,000		2.036		07/16/25	3,052,227
B&M CLO Ltd. Series 2014-1A, Class A1
	600,000		2.423		04/16/26	599,851
B&M CLO Ltd. Series 2014-1A, Class A2
	100,000		2.973		04/16/26	99,999
Babson CLO Ltd. Series 2014-3A, Class AR
	3,250,000		2.343		01/15/26	3,256,172
BlueMountain CLO Ltd. Series 2014-2A, Class AR
	3,150,000		0.000		07/20/26	3,150,000
Bowman Park CLO Ltd. Series 2014-1A, Class AR
	1,650,000		2.233		11/23/25	1,649,984
Cedar Funding II CLO Ltd. Series 2013-1A, Class A1R
	3,100,000		2.519		06/09/30	3,098,450
Cedar Funding V CLO Ltd. Series 2016-5A, Class A1
	3,400,000		2.633		07/17/28	3,427,326
Crown Point CLO Ltd. Series 2012-1A, Class A1LA
	20,324		1.802		11/21/22	20,269
Crown Point CLO Ltd. Series 2013-2A, Class A1L
	2,922,307		1.993		12/31/23	2,915,106
Cutwater Ltd. Series 2014-1A, Class A1AR
	3,050,000		2.469		07/15/26	3,048,469
Franklin CLO VI Ltd. Series 6A, Class A
	21,634		1.268		08/09/19	21,626
Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A
	1,650,000		2.428		07/25/27	1,647,746
ICG US CLO Ltd. Series 2014-1A, Class A1
	871,175		2.180		04/20/26	868,717
Jamestown CLO X Ltd. Series 2017-10A, Class A1
	6,250,000		2.720		07/17/29	6,240,625
LCM XVI LP Series 2017-16A, Class AR
	6,250,000		2.188		07/15/26	6,246,875
Neuberger Berman CLO XIX Ltd. Series 2015-19A, Class A1R
	3,150,000		2.354		07/15/27	3,150,000
OCP CLO Ltd. Series 2012-2A, Class A1R
	200,000		2.450		11/22/25	201,607
OCP CLO Ltd. Series 2014-5A, Class A1
	1,200,000		2.032		04/26/26	1,199,999
OFSI Fund V Ltd. Series 2013-5A, Class A1LA
	231,884		1.953		04/17/25	231,312
OFSI Fund VI Ltd. Series 2014-6A, Class A1
	860,777		2.052		03/20/25	853,929
Parallel Ltd. Series 2015-1A, Class A
	1,250,000		2.480		07/20/27	1,250,463
Parallel Ltd. Series 2017-1A, Class A1
	2,700,000		2.623		07/20/29	2,699,957
Regatta IV Funding Ltd. Series 2014-1A, Class A1R^(b)
	3,000,000		0.000		07/25/26	3,000,000
Shackleton CLO Ltd. Series 2014-5A, Class AR
	1,300,000		2.319		05/07/26	1,299,990
Sound Point CLO XI Ltd. Series 2016-1A, Class A
	4,150,000		2.680		07/20/28	4,182,768
TICP CLO VI Ltd. Series 2016-6A, Class A
	2,600,000		2.676		01/15/29	2,611,866
Whitehorse Ltd. Series 2014-9A, Class AR^(b)
	3,600,000		0.000		07/17/26	3,600,000
Whitehorse VIII Ltd. Series 2014-1A, Class A
	1,250,000		2.534		05/01/26	1,251,705


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class A1
$	1,500,515		2.353	%	07/16/27	$ 1,495,914
Zais CLO 1 Ltd. Series 2014-1A, Class A1
	661,898		2.423		04/15/26	664,203

						74,871,060

Credit Card^(a) – 2.5%
CARDS II Trust Series 2016-1A, Class A^(c)
	1,750,000		1.859		07/15/21	1,757,627
CARDS II Trust Series 2017-1A, Class A^(c)
	2,550,000		1.529		04/18/22	2,552,170
Evergreen Credit Card Trust Series 2016-1, Class A^(c)
	3,000,000		1.879		04/15/20	3,012,913
Golden Credit Card Trust Series 2016-5A, Class A
	2,600,000		1.600		09/15/21	2,585,786
Golden Credit Card Trust Series 2017-2A, Class A
	2,450,000		1.980		04/15/22	2,449,387
Trillium Credit Card Trust II Series 2016-1A, Class A^(c)
	3,150,000		1.936		05/26/21	3,164,747

						15,522,630

Home Equity^(a)(c) – 0.0%
Springleaf Mortgage Loan Trust Series 2013-2A, Class A
	133,453		1.780		12/25/65	133,314

Other^(a)(c) – 1.4%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	1,450,000		1.894		09/10/18	1,450,164
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
	2,200,000		1.944		04/10/19	2,200,514
Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	2,300,000		2.294		03/10/19	2,300,342
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	1,300,000		1.844		07/10/19	1,300,546
Station Place Securitization Trust Series 2015-2, Class A
	1,250,000		2.039		05/15/18	1,250,000

						8,501,566

Student Loan^(c) – 9.6%
Access Group, Inc. Series 2006-1, Class A2
	16,041		1.162		08/25/23	16,034
Access to Loans for Learning Student Loan Corp. Series 2013-I, Class A
	667,224		1.824		02/25/41	658,199
College Loan Corp. Trust I Series 2005-1, Class A4
	550,000		1.306		04/25/27	546,936
ECMC Group Student Loan Trust Series 2016-1A, Class A^(a)
	2,126,667		2.374		07/26/66	2,137,950
Education Loan Asset-Backed Trust I Series 2013-1, Class A2^(a)
	4,200,000		1.824		04/26/32	4,095,379
Educational Funding of the South, Inc. Series 2012-1, Class A
	3,266,094		2.074		03/25/36	3,282,866
Educational Services of America, Inc. Series 2012-1, Class A1^(a)
	69,420		2.174		09/25/40	70,451
Educational Services of America, Inc. Series 2014-1, Class A^(a)
	982,346		1.724		02/25/39	969,617
Educational Services of America, Inc. Series 2015-2, Class A^(a)
	1,112,481		2.024		12/25/56	1,112,481


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loan^(c) – (continued)
EFS Volunteer No. 2 LLC Series 2012-1, Class A2^(a)
$	2,700,000		2.374	%	03/25/36	$ 2,742,719
EFS Volunteer No. 3 LLC Series 2012-1, Class A2^(a)
	223,667		2.024		02/25/25	224,192
EFS Volunteer No. 3 LLC Series 2012-1, Class A3^(a)
	1,700,000		2.024		04/25/33	1,705,347
GCO Education Loan Funding Master Trust-II Series 2006-2A, Class A3L^(a)
	333,791		1.172		08/25/28	333,625
GCO Education Loan Funding Trust Series 2007-1A, Class A6L^(a)
	2,739,900		1.299		11/25/26	2,703,786
Higher Education Funding I Series 2005-1, Class A4
	140,740		1.192		02/25/30	140,525
Illinois Student Assistance Commission Series 2010-1, Class A3
	1,900,000		1.938		07/25/45	1,906,463
Kentucky Higher Education Student Loan Corp. Series 2015-1, Class A1
	2,460,169		1.745		12/01/31	2,447,302
Montana Higher Education Student Assistance Corp. Series 2012-1, Class A2
	2,643,471		2.010		05/20/30	2,671,513
Navient Student Loan Trust Series 2016-5A, Class A^(a)
	4,117,413		2.274		06/25/65	4,182,364
Navient Student Loan Trust Series 2016-7A, Class A^(a)
	2,055,482		2.174		03/25/66	2,078,959
Nelnet Student Loan Trust Series 2005-4, Class A3
	228,647		1.286		06/22/26	228,544
New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3^(b)
	1,800,000		1.890		10/25/37	1,759,076
North Carolina State Education Assistance Authority Series 2010-1, Class A1
	1,110,061		1.938		07/25/41	1,106,117
Northstar Education Finance, Inc. Series 2012-1, Class A^(a)
	139,914		1.724		12/26/31	138,764
Pennsylvania Higher Education Assistance Agency Series 12-1A, Class A1^(a)
	70,943		1.574		05/25/57	70,109
PHEAA Student Loan Trust Series 2016-1A, Class A^(a)
	2,130,182		2.174		09/25/65	2,155,433
SLC Student Loan Center Series 2011-1, Class A^(a)
	8,005,855		2.244		10/25/27	8,094,936
SLC Student Loan Trust Series 2005-3, Class A3
	1,400,000		1.251		06/15/29	1,389,543
SLM Student Loan Trust Series 2003-12, Class A5^(a)
	316,467		1.411		09/15/22	316,640
SLM Student Loan Trust Series 2003-14, Class A5
	147,537		1.268		01/25/23	147,537
SLM Student Loan Trust Series 2004-1, Class A3
	610,783		1.248		04/25/23	610,900
SLM Student Loan Trust Series 2004-8A, Class A5^(a)
	848,634		1.538		04/25/24	851,377
SLM Student Loan Trust Series 2005-5, Class A4
	1,400,000		1.178		10/25/28	1,383,860
SLM Student Loan Trust Series 2006-2, Class A5
	1,180,705		1.148		07/25/25	1,180,631
SLM Student Loan Trust Series 2007-7, Class A4
	1,149,455		1.368		01/25/22	1,131,797
SLM Student Loan Trust Series 2008-4, Class A4
	430,956		2.688		07/25/22	441,589
SLM Student Loan Trust Series 2012-3, Class A
	1,354,164		1.674		12/26/25	1,359,676
South Texas Higher Education Authority, Inc. Series 2012-1, Class A2
	1,070,515		1.848		10/01/24	1,074,940


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loan^(c) – (continued)
Utah State Board of Regents Series 2011, Class A2^(b)
$	1,154,264		1.884	%	05/01/29	$ 1,159,377
Utah State Board of Regents Series 2011-1, Class A3
	1,200,000		1.884		05/01/35	1,203,696
Wachovia Student Loan Trust Series 2005-1, Class A5
	139,872		1.168		01/26/26	139,637

						59,970,887

TOTAL ASSET-BACKED SECURITIES (Cost $167,184,334)						$167,996,398


Foreign Debt Obligations – 1.3%
Sovereign – 1.3%
Dominican Republic
$	183,620		9.040	%	01/23/18	$ 186,917
	1,210,000		7.500		05/06/21	1,332,512
	520,000		5.500	^(a)	01/27/25	537,550
Perusahaan Penerbit SBSN^(a)
	820,000		4.150		03/29/27	832,300
Republic of Argentina^(a)
	1,370,000		7.125		06/28/17	1,244,645
Republic of Colombia
	1,570,000		11.750		02/25/20	1,946,800
Republic of Ecuador
	480,000		9.650		12/13/26	481,800
	200,000		9.625	^(a)	06/02/27	199,750
Republic of Indonesia
	600,000		6.875	^(a)	01/17/18	615,420
	320,000		6.875		01/17/18	328,224
	200,000		5.875		01/15/24	228,000
	200,000		4.750	^(a)	01/08/26	214,750
United Mexican States
MXN	46,900		8.000		11/07/47	2,836

TOTAL FOREIGN DEBT OBLIGATIONS (Cost $8,023,684)						$ 8,151,504


Structured Notes^(f) – 0.5%
Arab Republic of Egypt (Issuer Citibank NA)
$	6,180,000		0.000	^%(a)	08/10/17	$ 334,399
	12,325,000		0.000		08/29/17	659,170
	7,920,000		0.000	^(a)	11/02/17	408,571
	14,570,000		0.000	^(a)	05/03/18	689,606
Arab Republic of Egypt (Issuer HSBC Bank PLC)^(a)
	5,000,000		0.000		09/14/17	265,281
Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA)^(a)
	6,275,000		0.000		02/15/18	307,219
	5,100,000		0.000		05/17/18	238,892

TOTAL STRUCTURED NOTES (Cost $2,930,391)						$ 2,903,138


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Debt Obligations^(b) – 2.3%
Florida – 2.0%
Florida State Board of Administration Finance Corp. Series 2016, Class A
$	12,625,000		2.638	%	07/01/21	$12,652,775

Puerto Rico – 0.3%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A
	45,000		6.000		07/01/38	36,337
	15,000		6.000		07/01/44	12,075
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A
	15,000		5.500		07/01/28	12,179
	20,000		5.750		07/01/37	15,950
	35,000		5.250		07/01/42	27,212
	25,000		6.000		07/01/47	20,063
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D
	50,000		5.000		07/01/33	38,875
Puerto Rico Commonwealth GO Bonds for Public Improvement Series 2011 A^(g)
	10,000		5.750		07/01/41	5,863
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A^(g)
	35,000		5.500		07/01/32	20,606
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B^(g)
	10,000		5.875		07/01/36	6,000
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A^(g)
	10,000		6.000		07/01/34	5,863
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A^(g)
	10,000		5.500		07/01/26	5,938
	165,000		5.500		07/01/39	98,175
	180,000		5.000		07/01/41	102,375
Puerto Rico Commonwealth GO Bonds Series 2014 A^(g)
	615,000		8.000		07/01/35	373,612
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A^(g)
	10,000		5.250		07/01/27	5,938
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A^(f)^(g)
	10,000		0.000		08/01/35	728
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C^(f)^(g)
	10,000		0.000		08/01/37	655
	10,000		0.000		08/01/38	613
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A^(g)
	10,000		5.250		08/01/27	2,575
	200,000		6.750		08/01/32	51,500
	60,000		5.750		08/01/37	15,450
	5,000		6.375		08/01/39	1,288
	465,000		6.000		08/01/42	119,737
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A^(g)
	25,000		0.000	^(f)	08/01/33	5,438
	345,000		5.500		08/01/37	88,837
	580,000		5.375		08/01/39	149,350
	105,000		5.500		08/01/42	27,037
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C^(g)
	25,000		5.000		08/01/35	6,438


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Debt Obligations^(b)– (continued)
$	95,000		5.375	%	08/01/38	$ 24,462
	5,000		6.000		08/01/39	1,288
	665,000		5.250		08/01/41	171,237
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1^(g)
	230,000		5.000		08/01/43	59,225
	165,000		5.250		08/01/43	42,487
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A^(g)
	120,000		5.500		08/01/28	30,900

						1,586,306

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $15,371,044)						$14,239,081


U.S. Treasury Obligations – 12.8%
United States Treasury Bonds
$	520,000		2.750	%	11/15/42	$ 514,072
	470,000		3.125		02/15/43	496,766
	1,010,000		3.625	^(h)	02/15/44	1,164,035
	540,000		3.125		08/15/44	570,699
	50,000		3.000		11/15/44	51,612
	490,000		3.000		05/15/47	505,901
United States Treasury Inflation Indexed Bonds
	9,730,932		0.125		04/15/18	9,700,571
	6,260,700		0.125		04/15/19	6,265,270
	5,460,486		0.125	^(h)	04/15/20	5,470,916
	1,749,283		0.625		01/15/26	1,761,773
United States Treasury Notes
	27,400,000		1.750		12/31/20	27,486,311
	490,000		1.375	^(h)	04/30/21	483,797
	2,250,000		1.125		07/31/21	2,193,323
	16,720,000		2.000		05/31/24	16,584,234
	6,120,000		2.000		06/30/24	6,065,960
	1,200,000		2.375		08/15/24	1,218,480

TOTAL U.S. TREASURY OBLIGATIONS (Cost $80,714,879)						$80,533,720


Options Purchased – 0.0%


Notional Amount		Exercise Rate			Expiration Date	Value

Interest Rate Swaptions – 0.0%
Morgan Stanley & Co. LLC Put - OTC - 10 year Interest Rate Swap
3,770,000			0.700	%	10/23/17	8,092

Shares		Distribution Rate				Value
Investment Company^(c)(i) – 0.0%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	7,668		0.845	%		$ 7,668
	(Cost $7,668)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $614,948,530)						$615,967,298


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – 2.6%
Certificates of Deposit – 1.0%
Bank of Montreal
$	1,000,000		1.682	%	08/11/17	$1,000,551
Credit Suisse New York
	3,000,000		1.959		08/16/17	3,002,907
Mizuho Bank Ltd.
	1,500,000		1.796		09/24/18	1,499,634
The Toronto-Dominion Bank
	1,000,000		1.685		08/10/17	1,000,542

						6,503,634

Commercial Paper – 1.6%
Dominion Energy, Inc.^(f)
	2,000,000		0.000		10/12/17	1,990,888
Electricite de France SA^(f)
	2,700,000		0.000		01/05/18	2,675,336
Matchpoint Finance PLC
	2,800,000		0.010		07/06/17	2,799,408
Monsanto Co.^(f)
	1,000,000		0.000		07/31/17	998,716
Westpac Banking Corp.
	1,200,000		1.643		08/07/17	1,200,563

						9,664,911

TOTAL SHORT-TERM INVESTMENTS (Cost $16,162,650)						$16,168,545

TOTAL INVESTMENTS – 100.8% (Cost $631,111,180)						$632,135,843

LIABILITIES IN EXCESS OF OTHER ASSETS – (0.8)%						(5,214,991)

NET ASSETS – 100.0%						$626,920,852



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $196,433,254, which represents approximately 31.3% of net assets as of June 30, 2017.

(b)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(c)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.


(d)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(e)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $1,027,148 which represents approximately 0.2% of net assets as of June 30, 2017.

(f)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(g)		Security is currently in default and/or non-income producing.

(h)		All or a portion of security is segregated as collateral for initial margin requirements on futures transactions.

(i)		Represents an Affiliated Fund.



Currency Abbreviations:
ARS		— Argentine Peso
AUD		— Australian Dollar
BRL		— Brazilian Real
CAD		— Canadian Dollar
CHF		— Swiss Franc
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
EGP		— Egyptian Pound
EUR		— Euro
GBP		— British Pound
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
INR		— Indian Rupee
JPY		— Japanese Yen
KRW		— South Korean Won
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
NOK		— Norwegian Krone
NZD		— New Zealand Dollar
PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RUB		— Russian Ruble
SEK		— Swedish Krona
SGD		— Singapore Dollar
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand


Investment Abbreviations:
AUDOR		— Australian Dollar Offered Rate
CDOR		— Canadian Dollar Offered Rate
CHFOR		— Swiss Franc Offered Rate
CLO		— Collateralized Loan Obligation
EURO		— Euro Offered Rate
FHLB		— Federal Home Loan Bank
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
GO		— General Obligation
JYOR		— Japanese Yen Offered Rate
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
OTC		— Over the Counter

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FORWARD SALES CONTRACTS — At June 30, 2017, the Fund had the following forward sales contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – 37.2%
Automotive – 2.8%
BMW US Capital LLC^(a)(b)
$	2,000,000		1.530	%	04/06/20	$ 2,010,878
Daimler Finance North America LLC^(b)
	2,375,000		1.650		03/02/18	2,375,834
	650,000		1.890	^(a)	07/05/19	655,522
	1,000,000		1.780	^(a)	01/06/20	1,004,327
	1,500,000		1.701	^(a)	05/05/20	1,502,820
Ford Motor Credit Co. LLC^(a)
	2,000,000		1.739		09/08/17	2,000,598
	2,000,000		2.058		03/12/19	2,004,954
	1,000,000		2.155		01/09/20	1,007,072
Toyota Motor Credit Corp.^(a)
	5,500,000		1.439		12/24/18	5,499,070

						18,061,075

Banks – 25.5%
ABN AMRO Bank NV^(b)
	3,400,000		2.500		10/30/18	3,426,551
	5,000,000		1.798	^(a)	01/18/19	5,018,595
American Express Credit Corp.^(a)(c)
	1,000,000		1.742		10/30/19	1,005,842
Australia & New Zealand Banking Group Ltd.^(a)(b)
	2,200,000		1.770		01/30/19	2,205,078
	5,500,000		1.949		09/23/19	5,545,667
Bank of America Corp.
	1,725,000		5.750		12/01/17	1,754,192
	2,500,000		2.000		01/11/18	2,503,825
	1,500,000		6.875		04/25/18	1,560,944
	3,865,000		5.650		05/01/18	3,986,373
Bank of America NA^(a)
	500,000		1.980		12/07/18	504,009
Bank of Montreal^(c)
	1,245,000		1.450		04/09/18	1,243,756
BB&T Corp.^(a)(c)
	5,000,000		1.873		01/15/20	5,044,875
BNP Paribas SA
	800,000		2.375		09/14/17	801,352
	900,000		2.700		08/20/18	910,212
BNZ International Funding Ltd.^(b)
	1,000,000		1.900		02/26/18	1,000,963
	2,000,000		1.872	^(a)	02/21/20	2,009,686
BPCE SA
	1,350,000		1.625		01/26/18	1,347,762
Branch Banking & Trust Co.^(a)(c)
	390,000		1.700		05/01/19	391,628
Caisse Centrale Desjardins^(b)
	2,817,000		1.550		09/12/17	2,817,163
Citibank NA^(a)
	3,000,000		1.728		06/12/20	3,007,641
Citigroup, Inc.^(a)(c)
	1,000,000		1.945		01/10/20	1,007,227
Commonwealth Bank of Australia^(a)(b)
	1,668,000		1.819		11/07/19	1,678,048
Commonwealth Bank of Australia NY
	4,010,000		1.900		09/18/17	4,014,283
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
	2,250,000		1.700		03/19/18	2,252,927
	1,000,000		1.690	^(a)	08/09/19	1,005,540
Credit Agricole SA^(b)
	500,000		2.125		04/17/18	501,415


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
$	950,000		1.958	%^(a)	04/15/19	$ 956,570
Credit Suisse AG
	1,000,000		1.700		04/27/18	999,932
Credit Suisse New York^(a)
	160,000		1.862		01/29/18	160,472
Danske Bank A/S^(a)(b)
	3,500,000		1.720		03/02/20	3,507,098
HSBC Bank PLC^(a)(b)
	1,290,000		1.822		05/15/18	1,295,182
HSBC USA, Inc.
	1,200,000		1.500		11/13/17	1,199,383
	2,000,000		1.625		01/16/18	2,000,672
	2,610,000		2.176	^(a)	09/24/18	2,627,881
ING Bank NV^(a)(b)
	2,500,000		1.792		08/15/19	2,509,900
	1,000,000		1.838		10/01/19	1,005,135
Lloyds Bank PLC
	950,000		1.770	^(a)	03/16/18	951,589
	1,500,000		2.000		08/17/18	1,502,571
Macquarie Bank Ltd.^(a)(b)
	1,100,000		2.338		01/15/19	1,111,421
Mizuho Bank Ltd.^(b)
	2,000,000		2.150		10/20/18	2,002,734
Morgan Stanley
	2,000,000		5.950		12/28/17	2,040,810
	3,500,000		1.982	^(a)(c)	02/14/20	3,514,350
National Australia Bank Ltd.^(a)(b)
	3,500,000		1.745		01/10/20	3,517,119
	4,000,000		1.682		05/22/20	4,007,036
National Bank of Canada^(a)
	4,000,000		1.758		01/17/20	4,012,592
Nordea Bank AB^(b)
	1,000,000		1.625		05/15/18	1,000,228
	3,382,000		1.916	^(a)	09/30/19	3,403,902
PNC Bank NA^(c)
	1,000,000		1.470	^(a)	08/01/17	1,000,151
	2,879,000		1.850		07/20/18	2,882,285
Royal Bank of Canada^(a)
	2,150,000		1.590		03/02/20	2,151,051
Santander UK PLC^(a)
	950,000		2.722		03/14/19	967,227
Skandinaviska Enskilda Banken AB^(b)
	2,690,000		1.750		03/19/18	2,690,968
	2,350,000		1.806	^(a)	09/13/19	2,358,669
Societe Generale SA
	1,500,000		2.750		10/12/17	1,504,905
	1,000,000		2.228	^(a)	10/01/18	1,006,709
Standard Chartered PLC^(b)
	3,000,000		1.500		09/08/17	2,998,404
Sumitomo Mitsui Banking Corp.
	750,000		1.800		07/18/17	750,135
	2,200,000		1.698	^(a)	01/11/19	2,206,261
Sumitomo Mitsui Trust Bank Ltd.^(b)
	1,000,000		1.800		03/28/18	1,000,422
	2,000,000		2.068	^(a)	10/18/19	2,016,996
Svenska Handelsbanken AB
	1,800,000		1.625		03/21/18	1,800,644
	5,100,000		1.713	^(a)	09/06/19	5,122,149
Swedbank AB^(b)
	2,800,000		1.750		03/12/18	2,802,780
The Bank of New York Mellon Corp.^(a)
	581,000		1.730		08/01/18	584,185
The Bank of Nova Scotia


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
$	399,000		1.375	%^(c)	12/18/17	$ 398,818
	1,500,000		1.450		04/25/18	1,498,461
The Bank of Tokyo-Mitsubishi UFJ Ltd.^(b)
	2,030,000		1.450		09/08/17	2,029,357
	4,000,000		2.700		09/09/18	4,033,896
	1,750,000		2.262	^(a)	09/14/18	1,764,910
The Toronto-Dominion Bank^(a)
	1,000,000		1.578		01/18/19	1,003,008
UBS AG^(a)(b)(c)
	4,800,000		1.799		06/08/20	4,806,576
UBS AG/Stamford CT
	1,000,000		1.800		03/26/18	1,001,607
	1,444,000		5.750		04/25/18	1,490,039
	1,210,000		2.052	^(a)	06/01/20	1,219,370
US Bancorp^(a)(c)
	1,324,000		1.556		04/25/19	1,329,630
Wachovia Corp.
	4,000,000		5.750		02/01/18	4,093,696
Wells Fargo Bank NA
	700,000		1.650		01/22/18	700,475
	1,000,000		1.873	^(a)	12/06/19	1,011,698
Westpac Banking Corp.^(a)
	758,000		1.912		07/30/18	762,760
	1,880,000		1.892		05/13/19	1,893,498
	2,274,000		1.738		08/19/19	2,283,469
	1,730,000		1.653		03/06/20	1,730,768

						166,768,108

Construction Machinery^(a) – 0.9%
John Deere Capital Corp.
	6,000,000		1.577		06/22/20	6,007,320

Consumer Cyclical Services – 0.3%
eBay, Inc.
	2,000,000		1.350		07/15/17	1,999,772

Food & Beverage^(a)(b) – 0.2%
Mondelez International Holdings Netherlands BV
	1,151,000		1.782		10/28/19	1,155,641

Health Care – 0.4%
UnitedHealth Group, Inc.
	2,640,000		1.900		07/16/18	2,649,710

Noncaptive - Financial^(a)(c) – 0.8%
American Express Credit Corp.
	1,800,000		1.502		05/03/19	1,805,117
	500,000		1.648		03/03/20	501,117
Capital One NA
	3,075,000		2.001		09/13/19	3,088,662

						5,394,896

Oil & Gas^(a) – 0.2%
BP Capital Markets PLC
	997,000		1.607		02/13/18	999,350

Oil Field Services^(b) – 0.5%
Schlumberger Norge AS
	2,935,000		1.250		08/01/17	2,934,557


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Pharmaceuticals^(b) – 0.3%
Bayer US Finance LLC
$	2,000,000		1.500	%	10/06/17	$ 1,999,532

Pipelines^(a) – 0.8%
Spectra Energy Partners LP
	5,000,000		1.920		06/05/20	5,016,535

Property Insurance^(b) – 1.9%
Jackson National Life Global Funding^(a)
	500,000		1.738		10/13/17	500,661
Metropolitan Life Global Funding I^(a)
	1,200,000		1.697		12/19/18	1,205,195
	4,000,000		1.642		06/12/20	4,001,644
New York Life Global Funding
	1,345,000		2.150		06/18/19	1,352,769
	1,000,000		1.543	^(a)	10/24/19	1,005,697
Pricoa Global Funding I
	750,000		1.350		08/18/17	749,837
Protective Life Global Funding^(a)
	3,900,000		1.769		06/08/18	3,910,003

						12,725,806

Real Estate Investment Trust^(c) – 0.3%
Realty Income Corp.
	2,000,000		2.000		01/31/18	2,001,956

Technology – 1.1%
International Business Machines Corp.
	2,550,000		7.625		10/15/18	2,740,005
QUALCOMM, Inc.^(a)
	690,000		1.442		05/18/18	690,596
	4,000,000		1.648		05/20/20	4,018,048

						7,448,649

Wirelines Telecommunications^(a) – 1.2%
Verizon Communications, Inc.
	3,500,000		2.037		06/17/19	3,526,117
	4,000,000		1.722		05/22/20	4,003,000

						7,529,117

TOTAL CORPORATE OBLIGATIONS (Cost $242,515,146)						$242,692,024


Asset-Backed Securities^(a)(b) – 1.2%
Other – 1.2%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
$	4,000,000		1.944	%	04/10/19	$ 4,000,934
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	4,000,000		1.844		07/10/19	4,001,681

TOTAL ASSET-BACKED SECURITIES (Cost $8,000,156)						$ 8,002,615


	Shares					Distribution Rate	Value
Investment Company^(a)(d) – 0.0%
Goldman Sachs Financial Square Government Fund - Institutional Shares
		14,234				0.845%	$ 14,234
		(Cost $14,234)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $250,529,536)							$250,708,873


Principal Amount			Interest Rate			Maturity Date	Value
Short-term Investments – 62.5%
Certificates of Deposit – 20.9%
Abbey National Treasury Services PLC
$		5,500,000		1.389	%	12/15/17	$ 5,500,385
Banco Del Estado De Chile
		3,000,000		1.380		09/26/17	3,000,923
Bank of Montreal
		500,000		1.623		10/24/17	500,696
		800,000		1.667		06/18/18	799,847
Bank Of Nova Scotia
		2,500,000		1.380		11/09/18	2,499,331
Bank of Tokyo-Mitsubishi UFJ Ltd.
		195,000		1.802		08/11/17	195,135
		1,000,000		1.520		10/31/17	1,000,682
		200,000		1.600		11/10/17	200,189
Barclays Bank PLC
		1,725,000		2.019		09/08/17	1,727,499
		6,210,000		1.949		11/06/17	6,223,983
		600,000		1.973		12/06/17	601,326
		1,000,000		1.702		02/20/18	999,999
		1,000,000		1.792		02/21/18	1,001,138
Bayerische Landesbank^(a)
		1,000,000		1.680		02/16/18	1,002,619
		1,000,000		1.759		03/23/18	1,000,340
Canadian Imperial Bank
		1,500,000		1.486		09/13/18	1,499,644
Canadian Imperial Bank of Commerce
		400,000		1.586		10/12/17	400,498
		4,000,000		1.419		07/16/18	3,999,684
		1,500,000		1.750		05/01/19	1,497,564
		4,000,000		1.540		05/29/19	3,998,499
China Construction Banking Corp.
		2,500,000		1.550		07/05/17	2,500,091
		2,500,000		1.750		09/07/17	2,500,684
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA
		245,000		1.680		08/16/17	245,148
		3,000,000		1.689		09/08/17	3,002,585
Credit Agricole SA
		1,500,000		1.715		07/13/18	1,499,697
		3,000,000		1.690		06/03/19	2,998,864
Credit Industriel et Commercial SA
		250,000		1.780		08/16/17	250,184
		3,050,000		1.440		01/02/18	3,050,414
Credit Suisse New York
		450,000		1.959		08/16/17	450,436
		500,000		1.912		11/03/17	501,059
		1,000,000		1.329		11/20/17	1,000,380
		1,000,000		1.912		11/21/17	1,002,182


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Certificates of Deposit – (continued)
$	6,000,000		1.640	%	05/03/18	$6,003,025
Dexia Credit Local SA
	1,500,000		1.626		11/22/17	1,501,911
	2,000,000		1.464		12/07/17	2,002,338
	1,750,000		1.562		12/20/17	1,751,822
	2,000,000		1.446		04/04/18	2,002,456
DG Bank NY
	725,000		1.542		08/16/18	724,720
	1,000,000		1.608		01/17/19	999,650
Industrial & Commercial Bank of China Ltd.
	3,000,000		1.750		09/08/17	3,000,845
KBC Bank NV
	5,000,000		1.200		08/22/17	5,001,107
Landesbank Baden-Wuerttemberg
	1,500,000		0.010		02/02/18	1,501,798
	1,500,000		0.010		03/23/18	1,502,164
Landesbank Hessen-Thuringen
	1,500,000		1.330		09/11/17	1,500,250
Mitsubishi Trust & Banking Corp.
	480,000		1.530		08/23/17	480,201
Mizuho Bank Ltd.
	1,000,000		1.610		08/02/17	1,000,524
	500,000		1.967		09/19/17	500,795
	2,000,000		1.796		09/24/18	1,999,512
National Bank of Canada
	750,000		1.398		10/11/18	749,812
	1,750,000		1.750		05/08/19	1,747,498
National Bank of Kuwait SAKP
	1,000,000		1.550		07/05/17	1,000,040
	1,000,000		1.450		07/19/17	1,000,093
	1,800,000		1.450		09/15/17	1,800,421
Natixis NY
	1,500,000		1.979		09/25/17	1,502,265
	700,000		1.660		11/01/17	700,995
	2,000,000		1.589		05/15/18	2,002,375
Nordea Bank Finland PLC
	200,000		1.641		08/18/17	200,115
Norinchukin Bank NY
	500,000		1.370		08/03/17	500,078
	500,000		1.550		09/22/17	500,331
	800,000		1.871		10/12/17	801,599
	2,000,000		1.720		03/22/18	2,003,600
Royal Bank of Canada
	1,000,000		1.536		08/09/17	1,000,478
	3,000,000		1.409		07/16/18	2,999,832
Societe Generale NY
	500,000		1.698		10/13/17	500,764
	1,000,000		1.450		10/20/17	1,000,512
Standard Chartered Bank
	1,000,000		1.899		09/19/17	1,001,471
	1,500,000		1.612		12/19/17	1,501,380
	2,000,000		1.388		01/11/18	2,001,272
	2,500,000		1.516		06/21/18	2,500,000
Sumitomo Mitsui Banking Corp.
	325,000		1.801		08/18/17	325,236
	1,000,000		1.722		08/03/18	999,785
	1,750,000		2.050		05/03/19	1,750,000


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Certificates of Deposit – (continued)
Sumitomo Trust & Banking Corp.
$	1,300,000		1.516	%	09/25/17	$ 1,300,571
	1,130,000		1.993		09/27/17	1,131,829
Svenska Handelsbanken AB
	5,000,000		1.506		01/03/19	4,998,518
	1,000,000		1.581		02/12/19	999,681
Swedbank (Sparbank)
	1,000,000		1.535		07/10/18	999,800
The Bank Of Nova Scotia
	1,000,000		1.444		11/02/18	999,736
	1,500,000		1.456		04/12/19	1,499,478
	2,000,000		1.482		05/15/19	2,000,000
The Toronto-Dominion Bank
	500,000		1.685		08/10/17	500,271
	500,000		1.558		10/17/17	500,585
UBS AG Stamford
	1,736,000		1.530		08/02/17	1,736,529
	300,000		1.924		09/20/17	300,442
	500,000		1.420		11/02/17	500,102
	1,000,000		1.484		03/07/18	1,001,339

						136,683,656

Commercial Paper – 33.7%
ABN AMRO Funding USA LLC
	1,000,000		0.000		12/15/17	992,776
	3,500,000		0.000		02/22/18	3,462,373
	2,000,000		1.000		03/08/18	1,977,020
Albion Capital Corp.
	12,000,000		0.000		07/07/17	11,997,317
Alpine Securitization Ltd.
	3,000,000		0.000		09/22/17	2,991,012
	4,000,000		1.231		11/17/17	4,001,426
	2,000,000		1.345		12/04/17	2,000,000
Anheuser-Busch InBev Worldwide, Inc.
	3,000,000		0.000		03/01/18	2,971,716
Atlantic Asset Securitization Corp.
	2,500,000		0.010		09/20/17	2,492,643
	3,000,000		0.000		10/17/17	2,987,883
	3,000,000		1.000		12/15/17	3,001,440
Autozone, Inc.
	3,000,000		0.000		07/06/17	2,999,292
Banco Del Estado De Chile
	5,000,000		0.010		02/12/18	4,951,190
Bank Of China Ltd.
	3,000,000		0.000		07/10/17	2,998,938
Barton Capital Corp.
	2,200,000		0.000		08/07/17	2,196,807
Bayerische Landesbank
	10,000,000		0.000		07/03/17	9,998,979
	5,000,000		0.000		07/17/17	4,996,994
Bedford Row Funding Corp.
	2,000,000		1.144		02/20/18	1,999,661
	1,500,000		1.342		03/16/18	1,500,732
	1,400,000		1.306		04/13/18	1,400,277


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper – (continued)
Bell Canada
$	1,400,000		0.000	%	07/18/17	$ 1,399,010
Cafco LLC
	1,500,000		0.000		08/01/17	1,498,425
Caisse d’Amortissement de la Dette Sociale
	3,500,000		0.000		10/02/17	3,488,421
Canadian Imperial Bank of Commerce
	1,500,000		0.000		09/18/17	1,495,733
Charta LLC
	1,500,000		0.000		08/03/17	1,498,211
Collateralized Commercial Paper Co. Ltd.
	1,000,000		1.272		07/31/17	1,000,459
	1,073,000		0.000		09/18/17	1,069,948
	1,750,000		1.352		12/12/17	1,751,099
	2,000,000		0.000		12/18/17	1,986,377
Commonwealth Bank of Australia
	250,000		1.319		08/24/17	250,177
	500,000		1.280		10/12/17	500,563
Corpoerative Centrale
	2,020,000		0.000		11/01/17	2,011,129
CRC Funding LLC
	1,300,000		0.000		08/08/17	1,298,245
	2,200,000		0.000		08/28/17	2,195,461
Credit Agricole SA
	500,000		1.715		07/13/18	499,899
Danske Corp.
	500,000		0.000		10/20/17	497,651
	1,000,000		0.000		11/17/17	993,984
Dominion Energy, Inc.
	2,000,000		0.000		10/12/17	1,990,888
E.I. du Pont de Nemours & Co.
	3,000,000		0.000		08/21/17	2,993,608
Eastman Chemical Co.
	2,000,000		0.000		07/05/17	1,999,608
Electricite de France SA
	3,700,000		0.010		09/19/17	3,687,338
	1,100,000		0.000		01/05/18	1,089,952
First Abu Dhabi Bank PJSC
	15,000,000		0.000		07/05/17	14,997,775
Ford Motor Credit Co. LLC
	1,000,000		0.000		05/02/18	983,757
	1,400,000		0.000		05/11/18	1,376,407
ING Funding LLC
	1,000,000		0.000		11/01/17	995,415
	1,000,000		1.325		01/26/18	1,000,847
Jupiter Securitization Co. LLC
	750,000		1.187		11/03/17	750,659
Landesbank Hessen-Thuringen
	5,000,000		0.010		02/13/18	4,953,654


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper – (continued)
Liberty Funding LLC
$	3,000,000		0.000	%	08/02/17	$ 2,996,584
	3,000,000		0.010		09/08/17	2,992,592
LMA SA LMA Americas
	8,000,000		0.000		07/03/17	7,999,210
	1,500,000		0.000		08/11/17	1,497,816
	1,000,000		0.000		09/05/17	997,642
	4,000,000		0.000		10/24/17	3,983,077
	3,000,000		1.470		10/24/17	2,987,308
Macquarie Bank Ltd.
	6,000,000		1.526		06/29/18	6,000,000
Marriott International, Inc.
	2,500,000		0.000		07/17/17	2,498,285
Matchpoint Finance PLC
	2,000,000		0.000		07/05/17	1,999,648
	10,000,000		0.000		09/25/17	9,966,964
	3,000,000		0.000		10/03/17	2,989,083
	2,000,000		1.000		12/12/17	1,986,222
	2,500,000		1.481		12/12/17	2,482,778
Mondelez International, Inc.
	2,500,000		0.000		07/21/17	2,497,874
Monsanto Co.
	1,000,000		0.000		07/31/17	998,716
Nieuw Amsterdam Receivables Corp.
	1,300,000		0.000		07/14/17	1,299,384
	1,300,000		0.000		08/10/17	1,298,124
Old Line Funding LLC
	1,500,000		0.000		07/24/17	1,498,776
	4,000,000		0.000		09/19/17	3,988,471
Private Export Funding Corp.
	3,500,000		1.352		03/28/18	3,501,223
Schlumberger Holdings Corp.
	2,000,000		0.000		08/14/17	1,996,400
	2,650,000		0.000		08/21/17	2,644,469
Standard Chartered Bank
	1,000,000		0.000		02/05/18	991,023
Svenska Handelsbanken AB
	500,000		0.000		07/07/17	499,887
The Bank of Nova Scotia
	500,000		1.443		11/07/17	500,671
The Toronto-Dominion Bank
	4,000,000		0.000		09/28/17	3,987,600
Thunder Bay Funding LLC
	2,000,000		1.234		03/07/18	1,999,867
United Overseas Bank Ltd.
	1,500,000		0.000		07/11/17	1,499,471
Versailles Commercial Paper LLC
	7,000,000		0.010		10/02/17	6,975,587


Principal Amount		Interest Rate			Maturity Date	Value
Short-term Investments – (continued)
Commercial Paper – (continued)
Westpac Banking Corp.
$	300,000		1.643	%	08/07/17	$ 300,141

						220,028,069

Repurchase Agreement – 7.9%
Citigroup Global Markets, Inc.
	12,000,000		1.880		09/28/17	12,000,000
Maturity Value: $12,056,400
Settlement Date: 6/30/2017
Collateralized by Citigroup Commercial Mortgage Trust 2015-SHP2, 5.576%, due 07/15/27. The aggregate market value of the collateral, including accrued interest, was $14,400,401.
BNP Paribas
	25,000,000		1.400		07/03/17	25,000,000
Maturity Value: $25,002,917
Settlement Date: 6/30/2017
Collateralized by various corporate obligations, 3.750% to10.5%, due 05/01/18 to 12/25/42; various foreign debt obligations, 4.125% to 7.125% due 01/15/19 to 01/20/37, and FNMA, 6.500% due 12/25.42. The aggregate market value of the collateral, including accrued interest, was $27,498,950.
Nomura
	12,000,000		2.466		10/19/17	12,000,000
Maturity Value: $12,091,242
Settlement Date: 6/30/2017
Collateralized by various mortgage obligations, 0.00% 10.523%, due 09/27/21 to 09/25/65. The aggregate market value of the collateral, including accrued interest, was $14,400,004.
Mizuho Securities USA
	3,000,000		2.129		11/08/17	3,000,000
Maturity Value: $3,006,551
Settlement Date: 8/4/2017
Collateralized by various corporate obligations, 1.981% to 12.000%, due 01/05/18 to 07/15/46. The aggregate market value of the collateral, including accrued interest, was $3,221,708.

						52,000,000

TOTAL SHORT-TERM INVESTMENTS (Cost $408,653,331)						$408,711,725

TOTAL INVESTMENTS – 100.9% (Cost $659,182,867)						$659,420,598

LIABILITIES IN EXCESS OF OTHER ASSETS – (0.9)%						(6,180,927)

NET ASSETS – 100.0%						$653,239,671



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.



(b)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $109,390,001, which represents approximately 16.8% of net assets as of June 30, 2017.

(c)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(d)		Represents an Affiliated Fund.



Investment Abbreviations:
LLC		— Limited Liability Company
LP		— Limited Partnership
PLC		— Public Limited Company


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

Investments and Fair Value Measurements — U.S. accounting principles generally accepted in the United States of America (“GAAP”) define the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

Money Market Funds – Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

ii. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.

iii. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions

iv. Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.

v. Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

vi. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for certain derivative contracts. Non-cash collateral pledged by the Funds Portfolio, if any, is noted on the Schedule of Investments.

iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.

iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.

i. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements.

An MRA governs transactions between a Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.

If the seller defaults, a Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.

Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Funds, together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Funds maintain pro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Funds are not subject to any expenses in relation to these investments.

ii. Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.

GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.

Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2017:

For further information regarding security characteristics, see the Schedules of Investments.

JOINT REPURCHASE AGREEMENT ACCOUNT II — At June 30, 2017, the High Quality Floating Rate Fund had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of July 1, 2017, as follows:

REPURCHASE AGREEMENTS — At June 30, 2017 the Principal Amount of the Fund’s interest in the Joint Repurchase

At June 30,2017, the Joint Repurchase Agreement Account II was fully collateralized by:

subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.

State/Territory Specific Risk — A Fund’s investments in municipal obligations of issuers located in a particular state or U.S. territory may be adversely affected by political, economic and regulatory developments within that state or U.S. territory. Such developments may affect the financial condition of a state’s or territory’s political subdivisions, agencies, instrumentalities and public authorities and heighten the risks associated with investing in bonds issued by such parties, which could, in turn, adversely affect a Fund’s income, NAV, liquidity, and/or ability to preserve or realize capital appreciation.


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – 57.2%
Argentina – 2.9%
Argentina POM Politica Monetaria (NR/NR)^(a)
ARS	1,160,000		26.250	%	06/21/20	$ 72,404
Provincia de Buenos Aires (NR/B3)^(a)(b)
	580,000		24.080		05/31/22	35,568
Republic of Argentina (NR/NR)^(a)
	360,000		21.472		04/03/22	20,917
Republic of Argentina (NR/B3)
	380,000		15.500		10/17/26	25,294
Republic of Argentina (B/NR)
	1,675,000		22.507	^(a)	10/09/17	100,062
	670,000		22.281	^(a)	03/01/18	39,866
	620,000		21.980	^(a)	03/11/19	36,739
EUR	27,522		7.820		12/31/33	32,927
Republic of Argentina (B/B3)
$	170,000		7.500		04/22/26	183,175
	50,000		6.875		01/26/27	51,800
	40,000		2.500	^(c)	12/31/38	26,160

						624,912

Brazil – 6.1%
Brazil Notas do Tesouro Nacional (BB/Ba2)
BRL	1,273,000		10.000		01/01/19	390,259
	99,000		10.000		01/01/23	29,557
	836,000		10.000		01/01/25	246,676
	1,626,000		10.000		01/01/27	476,559
	524,526		6.000		08/15/50	164,727

						1,307,778

Bulgaria – 0.5%
Republic of Bulgaria (BB+/Baa2)
EUR	100,000		3.125		03/26/35	117,356

Chile – 1.5%
Bonos de la Tesoreria de la Republica en Pesos (NR/NR)
CLP	35,000,000		4.500		03/01/26	54,128
	25,000,000		5.000		03/01/35	39,510
Bonos de la Tesoreria de la Republica en Pesos (NR/Aa3)
	65,000,000		4.500		03/01/21	100,752
Republic of Chile (AA-/Aa3)
	83,500,000		5.500		08/05/20	133,645

						328,035

Colombia – 3.9%
Republic of Colombia (NR/NR)
COP	149,600,000		7.000		06/30/32	49,000
Republic of Colombia (NR/Baa2)^(d)
	192,000,000		4.375		03/21/23	58,726
Republic of Colombia (BBB/Baa2)
	212,000,000		7.750		04/14/21	74,144
Republic of Colombia (BBB+/Baa2)
	957,070,857		3.500		03/10/21	322,074
	241,200,000		10.000		07/24/24	96,180
	641,600,000		7.500		08/26/26	224,364

						824,488

Czech Republic – 3.5%
Czech Republic Government Bond (NR/NR)
CZK	16,940,000		0.000		11/09/17	742,854


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Dominican Republic – 0.9%
Dominican Republic (NR/NR)
DOP	2,500,000		11.375	%	07/06/29	$ 53,168
Dominican Republic (BB-/B1)
$	100,000		6.850		01/27/45	106,625
Dominican Republic Central Bank Notes (NR/NR)^(b)
DOP	1,910,000		11.000		09/15/23	40,626

						200,419

Ecuador – 0.9%
Ecuador Government International Bond (B-/NR)
$	200,000		7.950		06/20/24	186,250

El Salvador – 0.6%
El Salvador Government International Bond (CCC/Caa1)
	20,000		7.750	^(e)	01/24/23	20,225
	71,000		5.875		01/30/25	63,811
	30,000		6.375		01/18/27	27,038
	10,000		8.250		04/10/32	9,925

						120,999

Guatemala – 1.0%
Republic of Guatemala (BB/Ba1)
	200,000		5.750		06/06/22	218,000

Hungary – 3.5%
Hungary Government Bond (NR/NR)
HUF	25,790,000		2.750		12/22/26	92,866
Hungary Government Bond (BBB-/NR)
	99,740,000		3.000		06/26/24	382,309
	16,900,000		5.500		06/24/25	74,725
	11,900,000		3.000		10/27/27	43,562
Hungary Government Bond (BBB-/Baa3)
$	140,000		5.375		02/21/23	155,750

						749,212

Indonesia – 2.4%
Indonesia Government Bond (NR/Baa3)
IDR	525,000,000		8.250		06/15/32	42,123
Perusahaan Penerbit SBSN (BBB-/Baa3)
$	210,000		4.325		05/28/25	216,825
Republic of Indonesia (BBB-/Baa3)
	200,000		6.750		01/15/44	257,750

						516,698

Malaysia – 0.6%
Malaysia Government Bond (NR/NR)
MYR	350,000		4.245		09/30/30	79,076
Malaysia Government Bond (NR/A3)
	170,000		4.012		09/15/17	39,665
	80,000		4.254		05/31/35	17,925

						136,666

Mexico – 0.5%
United Mexican States (NR/A3)
MXN	384,900		8.000		11/07/47	23,271


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Mexico – (continued)
United Mexican States (A/A3)
MXN	1,242,400		8.000	%	12/07/23	$ 73,238

						96,509

Nigeria – 0.4%
Republic of Nigeria (B/NR)
$	90,000		5.625		06/27/22	88,988

Panama – 0.2%
Panama Notas del Tesoro (BBB/NR)
	30,000		4.875		02/05/21	32,494

Paraguay^(b) – 1.0%
Republic of Paraguay (BB/Ba1)
	200,000		5.000		04/15/26	211,250

Peru – 2.0%
Republic of Peru (NR/NR)
PEN	143,000		5.200		09/12/23	45,134
	91,000		6.714		02/12/55	28,917
Republic of Peru (NR/A3)
	403,000		6.850		02/12/42	132,626
Republic of Peru (A-/A3)
	171,000		5.700		08/12/24	54,782
	231,000		6.950		08/12/31	78,476
	272,000		6.900		08/12/37	91,393

						431,328

Poland – 3.0%
Poland Government Bond (A-/A2)
PLN	510,000		5.750		10/25/21	155,988
	1,890,000		2.500		07/25/27	474,845

						630,833

Romania – 0.2%
Republic of Romania (BBB-/Baa3)
EUR	20,000		3.875	^(b)	10/29/35	23,928
$	10,000		6.125		01/22/44	12,720

						36,648

Russia – 4.7%
Russian Federation Bond (NR/NR)
RUB	3,540,000		7.400		12/07/22	58,973
	3,200,000		7.750		09/16/26	54,291
	29,260,000		8.500		09/17/31	526,268
	6,770,000		7.700		03/23/33	112,757
Russian Federation Bond (BB+/Ba1)
$	200,000		4.875		09/16/23	214,750
Russian Federation Bond (BBB-/Ba1)
RUB	2,220,000		7.050		01/19/28	35,798

						1,002,837

South Africa – 6.1%
Republic of South Africa (BB+/Baa3)
$	220,000		4.300		10/12/28	205,700
Republic of South Africa (BBB-/Baa3)
ZAR	6,260,000		8.250		03/31/32	431,464
	2,998,000		8.875		02/28/35	212,784


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
South Africa – (continued)
Republic of South Africa (BB+/Baa3) – (continued)
ZAR	5,630,000		8.500	%	01/31/37	$ 381,632
	890,000		9.000		01/31/40	62,618
	120,000		8.750		01/31/44	8,180
	60,000		8.750		02/28/48	4,091

						1,306,469

Sri Lanka^(b) – 1.0%
Republic of Sri Lanka (B+/B1)
$	200,000		6.825		07/18/26	210,500

Thailand – 5.1%
Thailand Government Bond (NR/NR)
THB	12,310,000		2.550		06/26/20	372,218
Thailand Government Bond (NR/Baa1)
	9,654,623		1.250		03/12/28	266,399
Thailand Government Bond (A-/Baa1)
	4,520,000		3.875		06/13/19	138,953
	6,722,856		1.200		07/14/21	194,832
	2,630,000		3.625		06/16/23	83,552
	1,110,000		3.650		06/20/31	35,023

						1,090,977

Turkey – 4.1%
Republic of Turkey (NR/NR)
TRY	1,210,000		10.600		02/11/26	349,579
Republic of Turkey (NR/Ba1)
EUR	100,000		3.250		06/14/25	112,673
$	40,000		7.375		02/05/25	46,350
	110,000		6.875		03/17/36	123,750
Turkey Government Bond (NR/NR)
TRY	300,000		11.000		03/02/22	86,863
	260,000		8.000		03/12/25	65,084
	280,000		11.000		02/24/27	82,963

						867,262

Ukraine – 0.5%
Ukraine Government Bond (B-/Caa3)
$	100,000		7.750		09/01/25	97,550

Venezuela – 0.1%
Republic of Venezuela (CCC/Caa3)
	30,000		7.650		04/21/25	12,750

TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $11,647,726)						$12,190,062


Corporate Obligations – 33.1%
Argentina – 2.5%
Arcor SAIC (NR/B1)^(b)(d)
$	80,000		6.000	%	07/06/23	$ 84,800
Banco Macro SA (NR/B3)^(b)
ARS	1,000,000		17.500		05/08/22	59,638
Cablevision SA (NR/B3)^(d)
$	70,000		6.500	^(b)	06/15/21	74,200
	80,000		6.500		06/15/21	84,800
City of Buenos Aires Argentina (NR/B3)^(a)
ARS	2,070,000		22.716		03/29/24	123,292


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Argentina – (continued)
IRSA Propiedades Comerciales SA (B/NR)^(b)(d)
$	10,000		8.750	%	03/23/23	$ 11,250
YPF SA (NR/B3)
	85,000		8.875		12/19/18	91,069

						529,049

Australia – 0.1%
Toyota Finance Australia Ltd. (NR/NR)
MXN	330,000		3.760		07/20/17	18,146

Brazil – 3.1%
Banco do Brasil SA (B-/NR)^(a)(d)
$	200,000		6.250		10/29/49	170,520
Petrobras Global Finance BV (BB-/B1)
	310,000		8.375		05/23/21	347,090
	20,000		6.125		01/17/22	20,671
	120,000		7.375		01/17/27	126,930

						665,211

Canada – 0.6%
First Quantum Minerals Ltd. (B-/B3)^(b)(d)
	50,000		7.000		02/15/21	51,250
Harvest Operations Corp. (CCC+/Caa2)
	70,000		6.875		10/01/17	69,913

						121,163

Chile – 0.9%
Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	200,000		3.625		04/03/23	199,640

China^(f) – 0.2%
Kaisa Group Holdings Ltd. (NR/NR)
	20,583		7.560		06/30/21	20,487
	30,583		7.560		12/31/21	30,392

						50,879

Dominican Republic^(b)(d) – 1.0%
Aeropuertos Dominicanos Siglo XXI SA (BB-/Ba3)
	200,000		6.750		03/30/29	216,750

Guatemala^(b)(d) – 0.8%
Central American Bottling Corp. (BB/Ba2)
	150,000		5.750		01/31/27	158,888

India^(b)(d) – 0.9%
Greenko Investment Co. (B+/NR)
	200,000		4.875		08/16/23	195,000

Ireland^(b) – 1.0%
Phosagro OAO via Phosagro Bond Funding DAC (BBB-/Ba1)
	200,000		3.950		11/03/21	201,500

Israel^(b) – 0.5%
Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)
	100,000		3.839		12/30/18	101,625

Italy^(d) – 0.8%
Wind Acquisition Finance SA (B/B3)
EUR	140,000		7.000		04/23/21	166,388


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Ivory Coast^(b) – 0.5%
Agromercantil Senior Trust (BB/NR)
$	100,000		6.250	%	04/10/19	$ 103,374

Jamaica^(b)(d) – 1.1%
Digicel Ltd. (NR/B1)
	240,000		6.000		04/15/21	231,000

Japan^(b)(d)(f) – 1.2%
Universal Entertainment Corp. (NR/NR)
	252,909		8.500		08/24/20	259,851

Kazakhstan – 0.9%
KazMunayGas National Co. JSC (BB/Baa3)
	190,000		9.125		07/02/18	201,020

Luxembourg^(b)(d) – 1.2%
Altice Financing SA (BB-/B1)
EUR	100,000		5.250		02/15/23	120,951
Wind Acquisition Finance SA (BB/Ba3)
	110,000		4.000		07/15/20	127,050

						248,001

Mexico – 3.4%
CEMEX Finance LLC (BB-/NR)^(d)
	120,000		4.625		06/15/24	148,194
Gruma SAB de CV (BBB/NR)^(d)
$	200,000		4.875		12/01/24	215,000
Petroleos Mexicanos (BBB+/Baa3)
	10,000		3.500		07/23/20	10,105
	80,000		6.375		02/04/21	86,624
	10,000		5.375	^(b)	03/13/22	10,535
EUR	200,000		5.125		03/15/23	256,698

						727,156

Mongolia – 0.6%
Energy Resources LLC (NR/NR)
$	124,111		0.000	^(a)	09/30/22	110,521
	45,135		0.000	^(f)	10/01/99	18,076

						128,597

Netherlands – 1.0%
Digi Communications NV (BB-/B1)^(b)(d)
EUR	100,000		5.000		10/15/23	119,918
Myriad International Holding BV (BBB-/Baa3)
$	100,000		6.375		07/28/17	100,000

						219,918

Paraguay – 1.7%
Banco Regional SAECA (BB/Ba1)^(b)
	150,000		8.125		01/24/19	158,970
Telefonica Celular del Paraguay SA (NR/Ba3)^(d)
	200,000		6.750		12/13/22	208,750

						367,720

Peru – 3.3%
Abengoa Transmision Sur SA (BBB/NR)^(b)
	199,240		6.875		04/30/43	217,172


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Peru – (continued)
Corp. Lindley SA (BBB/NR)
$	290,000		6.750	%	11/23/21	$ 324,622
	150,000		4.625		04/12/23	155,603

						697,397

Qatar – 1.3%
Ras Laffan Liquefied Natural Gas Co. Ltd. III (A/A1)
	250,000		6.332		09/30/27	285,625

Russia – 1.0%
Gazprom OAO Via Gaz Capital SA (BB+/Ba1)^(e)
	100,000		9.250		04/23/19	111,000
Severstal OAO Via Steel Capital SA (BBB-/Ba1)
	100,000		6.700		10/25/17	101,400

						212,400

Turkey – 1.9%
Anadolu Efes Biracilik Ve Malt Sanayii AS (BBB-/Baa3)
	200,000		3.375		11/01/22	192,750
Global Liman Isletmeleri (NR/B1)^(d)
	200,000		8.125		11/14/21	209,250

						402,000

Ukraine^(f) – 0.2%
Metinvest BV (NR/NR)
	50,000		9.373		12/31/21	45,250

Venezuela – 1.4%
Petroleos de Venezuela SA (NR/NR)
	390,000		6.000		10/28/22	129,672
Petroleos de Venezuela SA (CCC-/NR)
	160,000		6.000		05/16/24	60,240
	240,000		6.000		11/15/26	87,720
	30,000		5.375		04/12/27	10,800

						288,432

TOTAL CORPORATE OBLIGATIONS (Cost $6,777,792)						$ 7,041,980


Structured Notes – 6.2%
Egypt – 2.5%
Arab Republic of Egypt (Issuer Citibank NA) (NR/NR)
EGP	5,020,000		0.000	%^(b)(g)	08/10/17	$ 271,631
	5,000,000		0.000		02/08/18	245,701

						517,332

Indonesia^(b) – 3.7%
Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)
IDR	2,498,000,000		9.000		03/19/29	212,935
Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)
	1,770,000,000		8.375		03/19/24	143,213
	1,026,000,000		9.000		03/19/29	87,459
	1,110,000,000		9.000		03/19/29	94,619


Principal Amount		Interest Rate			Maturity Date	Value
Structured Notes – (continued)
Indonesia^(b) – (continued)
Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR) – (continued)
IDR	3,000,000,000		8.750	%	05/19/31	$ 252,819

						791,045

TOTAL STRUCTURED NOTES (Cost $1,208,728)						$ 1,308,377


Municipal Debt Obligations^(d) – 0.9%
Puerto Rico – 0.9%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CC/Caa3)
$	5,000		6.000	%	07/01/44	$ 4,025
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CC/Caa3)
	5,000		5.125		07/01/37	3,888
	5,000		5.250		07/01/42	3,888
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CC/Caa3)
	5,000		5.000		07/01/33	3,888
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (D/Caa3)^(h)
	20,000		5.500		07/01/32	11,775
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (D/Caa3)^(h)
	70,000		5.625		07/01/32	41,387
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)^(h)
	15,000		5.500		07/01/26	8,906
	20,000		5.500		07/01/39	11,900
	25,000		5.000		07/01/41	14,219
Puerto Rico Commonwealth GO Bonds Series 2008 A (D/Caa3)^(h)
	15,000		5.375		07/01/33	8,850
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (D/Ca)^(h)
	15,000		5.500		08/01/37	3,863
	55,000		5.375		08/01/39	14,162
	35,000		5.500		08/01/42	9,012
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (D/Ca)^(h)
	5,000		5.000		08/01/35	1,288
	10,000		6.000		08/01/39	2,575
	20,000		5.250		08/01/41	5,150
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (D/Ca)^(h)
	75,000		5.000		08/01/43	19,312
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (D/Ca)^(h)
	45,000		5.500		08/01/28	11,587
	35,000		6.125		08/01/29	9,013

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $324,152)						$ 188,688



Shares		Description	Value
	Common Stock^(h) – 0.0%
	206,456	Mongolian Mining Corp. (Cost $5,994)	$ 4,583


Shares		Distribution Rate	Value
	Investment Company^(a)(i) – 0.8%
	Goldman Sachs Financial Square Government Fund - Institutional Shares
	177,270	0.845%	$ 177,270
	(Cost $177,270)

	TOTAL INVESTMENTS – 98.2% (Cost $20,141,662)		$20,910,960

	OTHER ASSETS IN EXCESS OF LIABILITIES – 1.8%		386,862

	NET ASSETS – 100.0%		$21,297,822



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(b)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $4,088,270, which represents approximately 19.2% of net assets as of June 30, 2017.

(c)		Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2017.

(d)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(e)		Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June 30, 2017.

(f)		Pay-in-kind securities.

(g)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(h)		Security is currently in default and/or non-income producing.

(i)		Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s/Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.



Currency Abbreviations:
ARS		— Argentine Peso
BRL		— Brazilian Real
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
DOP		— Dominican Peso
EGP		— Egyptian Pound
EUR		— Euro
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
INR		— Indian Rupee
KRW		— South Korean Won
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RON		— New Romanian Leu


RUB		— Russian Ruble
SGD		— Singapore Dollar
THB		— Thai Baht
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand

Investment Abbreviations:
EURO		— Euro Offered Rate
GO		— General Obligation
LLC		— Limited Liability Company
NR		— Not Rated
PLC		— Public Limited Company
PRIBOR		— Prague Interbank Offered Rate
RB		— Revenue Bond
TIIE		— La Tasa de Interbank Equilibrium Interest Rate


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – 63.4%
Argentina – 5.8%
City of Buenos Aires Argentina (NR/B3)^(a)
ARS	87,700,000		22.716	%	03/29/24	$ 5,223,535
Province of Santa Fe (NR/B3)
$	2,670,000		7.000	^(b)	03/23/23	2,790,150
	1,850,000		7.000		03/23/23	1,933,250
Provincia de Buenos Aires (NR/B3)^(a)(b)
ARS	32,930,000		24.080		05/31/22	2,019,405
Provincia de Buenos Aires (B/B3)^(c)
EUR	270,000		3.000		05/01/20	304,587
Provincia de la Rioja (B/NR)^(b)
$	5,880,000		9.750		02/24/25	6,190,464
Republic of Argentina (B/B3)
ARS	10,350,000		22.507	^(a)	10/09/17	618,291
	29,500,000		22.281	^(a)	03/01/18	1,755,303
$	4,890,000		6.875		04/22/21	5,232,300
ARS	14,780,000		21.472	^(a)	04/03/22	858,775
	800,000		16.000		10/17/23	51,273
$	18,520,000		7.500		04/22/26	19,955,300
ARS	90,000		15.500		10/17/26	5,991
EUR	4,410,000		5.000		01/15/27	4,690,595
$	18,300,000		6.875		01/26/27	18,958,800
EUR	11,352,856		7.820		12/31/33	13,582,577
$	5,005,275		8.280		12/31/33	5,429,848
	14,830,000		7.125		07/06/36	14,718,775
	16,120,000		2.500	^(c)	12/31/38	10,542,480
	8,700,000		7.125	^(b)	06/28/17	7,903,950

						122,765,649

Bahrain^(b) – 0.1%
Kingdom of Bahrain (BB-/Ba2)
	2,840,000		7.000		10/12/28	2,868,400

Belize^(b)(c) – 0.1%
Government of Belize (B-/B3)
	2,446,500		4.938		02/20/34	1,501,539

Bermuda^(b)(d) – 0.2%
Bermuda Government Bond (A+/A2)
	4,600,000		3.717		01/25/27	4,608,947

Bolivia^(b) – 0.0%
Republic of Bolivian (BB/Ba3)
	780,000		4.500		03/20/28	763,425

Brazil – 0.7%
Brazil Letras do Tesouro Nacional (BB/Ba2)^(e)
BRL	7,196,000		0.000		01/01/18	2,081,565
Brazil Notas do Tesouro Nacional (BB/Ba2)
	27,471,000		10.000		01/01/27	8,051,380
	7,373,338		6.000		08/15/40	2,322,931
	5,595,944		6.000		08/15/50	1,757,398
Federal Republic of Brazil (BB/Ba2)
$	410,000		5.000		01/27/45	358,750

						14,572,024

Bulgaria – 1.6%
Republic of Bulgaria (BB+/Baa2)
EUR	610,000		4.250		07/09/17	696,711
	5,360,000		1.875		03/21/23	6,496,890
	3,860,000		2.950		09/03/24	4,910,187


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Bulgaria – (continued)
Republic of Bulgaria (BB+/Baa2) – (continued)
EUR	3,500,000		3.000	%	03/21/28	$ 4,355,302
	14,830,000		3.125		03/26/35	17,403,877

						33,862,967

Chile – 0.9%
Republic of Chile (AA-/Aa3)
$	6,110,000		3.125		01/21/26	6,224,562
	11,550,000		3.860		06/21/47	11,578,875

						17,803,437

Colombia – 2.9%
Republic of Colombia (BBB/Baa2)
	2,090,000		7.375		03/18/19	2,278,100
	9,380,000		2.625	^(d)	03/15/23	9,168,950
	9,400,000		4.000	^(d)	02/26/24	9,752,500
	3,340,000		4.500	^(d)	01/28/26	3,557,100
EUR	350,000		3.875	^(d)	03/22/26	455,218
$	2,420,000		6.125		01/18/41	2,789,050
	32,610,000		5.000	^(d)	06/15/45	32,813,813

						60,814,731

Costa Rica – 1.4%
Republic of Costa Rica (BB-/Ba2)
	390,000		9.995		08/01/20	456,787
	3,500,000		5.625	^(b)	04/30/43	3,141,250
	2,190,000		5.625		04/30/43	1,965,525
	12,430,000		7.158	^(b)	03/12/45	13,051,500
	9,520,000		7.158		03/12/45	9,996,000

						28,611,062

Croatia – 0.6%
Republic of Croatia (BB/Ba2)
EUR	1,240,000		5.875		07/09/18	1,494,160
$	100,000		6.625		07/14/20	110,250
EUR	1,157,000		3.875		05/30/22	1,460,221
$	5,980,000		5.500		04/04/23	6,533,150
EUR	3,120,000		3.000		03/20/27	3,606,269

						13,204,050

Dominican Republic – 4.0%
Dominican Republic (BB-/B1)
$	677,645		9.040		01/23/18	689,813
DOP	20,700,000		16.000		07/10/20	506,029
$	1,532,000		7.500		05/06/21	1,687,115
	1,250,000		6.600		01/28/24	1,370,313
	12,530,000		5.875		04/18/24	13,250,475
DOP	13,900,000		11.500		05/10/24	308,948
$	14,342,000		5.500		01/27/25	14,826,042
	1,860,000		6.875	^(b)	01/29/26	2,071,575
	4,140,000		6.875		01/29/26	4,610,925
	1,550,000		5.950	^(b)	01/25/27	1,617,812
	5,020,000		5.950		01/25/27	5,239,625
	1,500,000		8.625		04/20/27	1,775,625
DOP	8,900,000		18.500	^(b)	02/04/28	259,774
	134,200,000		11.375		07/06/29	2,854,045
$	5,550,000		7.450	^(b)	04/30/44	6,333,937
	3,566,000		7.450		04/30/44	4,069,697
	5,279,000		6.850		01/27/45	5,628,734


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Dominican Republic – (continued)
Dominican Republic (BB-/B1) – (continued)
$	15,860,000		6.850	%^(b)	01/27/45	$ 16,910,725

						84,011,209

Ecuador – 3.3%
Ecuador Government International Bond (B-/B3)
	16,050,000		10.750		03/28/22	17,113,312
	17,344,000		7.950		06/20/24	16,151,600
	14,130,000		9.650	^(b)	12/13/26	14,182,988
Republic of Ecuador (B-/B3)
	6,100,000		9.650		12/13/26	6,122,875
	16,260,000		9.625	^(b)	06/02/27	16,239,675

						69,810,450

Egypt – 0.8%
Arab Republic of Egypt (B-/B3)
	4,760,000		6.125		01/31/22	4,861,150
	5,210,000		7.500		01/31/27	5,529,113
	5,860,000		8.500		01/31/47	6,322,940

						16,713,203

El Salvador – 1.5%
El Salvador Government International Bond (CCC/Caa1)
	1,550,000		7.375		12/01/19	1,567,438
	5,340,000		7.750	^(f)	01/24/23	5,400,075
	5,039,000		5.875		01/30/25	4,528,801
	3,900,000		6.375		01/18/27	3,514,875
	5,720,000		8.625	^(b)	02/28/29	5,941,650
	1,800,000		8.625		02/28/29	1,869,750
	3,870,000		8.250		04/10/32	3,840,975
	5,670,000		7.650		06/15/35	5,315,625
	330,000		7.625		02/01/41	305,250

						32,284,439

Ghana – 0.4%
Republic of Ghana (B-/B1)
	4,170,000		10.750		10/14/30	5,149,950
Republic of Ghana (B-/B3)
	1,590,000		7.875		08/07/23	1,619,813
Republic of Ghana (B-/B3)
	640,000		8.125		01/18/26	652,000

						7,421,763

Guatemala – 2.2%
Republic of Guatemala (BB/Ba1)
	3,300,000		5.750	^(b)	06/06/22	3,597,000
	5,740,000		5.750		06/06/22	6,256,600
	6,440,000		4.500	^(b)	05/03/26	6,504,400
	7,730,000		4.500		05/03/26	7,807,300
	11,300,000		4.375	^(b)	06/05/27	11,229,375
	10,350,000		4.875		02/13/28	10,660,500

						46,055,175

Honduras – 0.9%
Republic of Honduras (B+/B2)
	9,010,000		8.750	^(b)	12/16/20	10,237,612
	6,018,000		8.750		12/16/20	6,837,952
	1,310,000		7.500	^(b)	03/15/24	1,449,188


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Honduras – (continued)
Republic of Honduras (B+/B2) – (continued)
$	200,000		7.500	%	03/15/24	$ 221,250

						18,746,002

Hungary – 3.2%
Hungary Government Bond (BBB-/Baa3)
EUR	5,780,000		4.375		07/04/17	6,601,625
$	1,490,000		4.125		02/19/18	1,510,048
EUR	7,270,000		5.750		06/11/18	8,749,737
$	870,000		4.000		03/25/19	898,275
	28,770,000		6.250		01/29/20	31,467,188
	3,680,000		6.375		03/29/21	4,140,000
	3,830,000		5.375		02/21/23	4,260,875
	7,980,000		5.750		11/22/23	9,127,125
	220,000		7.625		03/29/41	327,525

						67,082,398

Indonesia – 8.9%
Perusahaan Penerbit SBSN (BBB-/Baa3)
	2,550,000		3.400	^(b)	03/29/22	2,575,500
	360,000		3.300		11/21/22	362,700
	3,190,000		4.350		09/10/24	3,329,562
	6,720,000		4.325	^(b)	05/28/25	6,938,400
	3,449,000		4.325		05/28/25	3,561,092
	1,130,000		4.550	^(b)	03/29/26	1,179,438
	1,110,000		4.550		03/29/26	1,158,563
	25,210,000		4.150	^(b)	03/29/27	25,588,150
	1,440,000		4.150		03/29/27	1,461,600
Republic of Indonesia (BBB-/Baa3)
	2,970,000		6.875		01/17/18	3,046,329
	8,785,000		5.875		03/13/20	9,597,612
	2,170,000		4.875		05/05/21	2,330,038
	3,420,000		3.700	^(b)	01/08/22	3,509,775
EUR	3,760,000		2.625	^(b)	06/14/23	4,514,575
$	610,000		5.375		10/17/23	677,863
	24,054,000		5.875		01/15/24	27,421,560
	13,070,000		4.125		01/15/25	13,478,437
EUR	11,110,000		3.375		07/30/25	13,847,180
$	15,380,000		4.750	^(b)	01/08/26	16,514,275
	5,850,000		4.350	^(b)	01/08/27	6,113,250
EUR	2,430,000		3.750	^(b)	06/14/28	3,039,089
	9,760,000		3.750		06/14/28	12,206,382
$	330,000		6.625		02/17/37	408,375
	7,949,000		5.250		01/17/42	8,604,792
	1,340,000		4.625		04/15/43	1,353,400
	1,560,000		6.750		01/15/44	2,010,450
	1,510,000		5.125		01/15/45	1,615,700
	552,000		5.950		01/08/46	654,810
	850,000		5.250	^(b)	01/08/47	924,375
	8,740,000		5.250		01/08/47	9,504,750

						187,528,022

Ivory Coast – 0.5%
Republic of Ivory Coast (NR/Ba3)
EUR	3,870,000		5.125	^(b)	06/15/25	4,486,421
$	2,430,000		6.375		03/03/28	2,451,262
	392,000		5.750	^(c)(d)	12/31/32	375,830
	2,920,000		6.125	^(b)	06/15/33	2,810,500

						10,124,013


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Kenya – 0.7%
Republic of Kenya (B+/B1)
$	720,000		6.875	%^(b)	06/24/24	$ 735,300
	14,567,000		6.875		06/24/24	14,876,549

						15,611,849

Kuwait^(b) – 0.1%
Republic of Kuwait (AA/Aa2)
	1,540,000		3.500		03/20/27	1,572,340

Macedonia – 0.9%
Republic of Macedonia (BB-/NR)
EUR	4,530,000		4.875	^(b)	12/01/20	5,550,575
	216,000		3.975		07/24/21	257,189
	4,830,000		5.625		07/26/23	6,005,324
	5,640,000		5.625		07/26/23	7,012,429

						18,825,517

Mexico – 0.5%
United Mexican States (A/A3)
MXN	21,311,900		4.750		06/14/18	1,150,831
	8,245,800		7.750		11/23/34	489,239
	11,792,900		8.500		11/18/38	744,046
	783,400		8.000		11/07/47	47,365
United Mexican States (BBB+/A3)
$	2,118,000		4.750		03/08/44	2,120,118
	4,280,000		4.350		01/15/47	4,033,900
	2,332,000		5.750		10/12/49	2,419,450

						11,004,949

Mongolia – 0.3%
Republic of Mongolia (B-/Caa1)
	1,010,000		10.875	^(b)	04/06/21	1,151,400
	4,809,000		5.125		12/05/22	4,508,438

						5,659,838

Montenegro – 0.1%
Republic of Montenegro (B+/B1)
EUR	1,360,000		3.875		03/18/20	1,574,682

Nigeria – 0.5%
Republic of Nigeria (B/B1)
$	493,000		6.750		01/28/21	522,580
	500,000		5.625		06/27/22	494,375
	4,770,000		6.375		07/12/23	4,907,138
	2,260,000		7.875	^(b)	02/16/32	2,452,100
	1,660,000		7.875		02/16/32	1,801,100

						10,177,293

Oman^(b) – 0.0%
Oman Government International Bond (BB+/Baa1)
	720,000		5.375		03/08/27	735,300

Pakistan^(b) – 0.1%
Islamic Republic of Pakistan (B/B3)
	2,650,000		6.750		12/03/19	2,795,750


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Panama – 0.1%
Panama Notas del Tesoro (BBB/Baa2)
$	920,000		4.875	%	02/05/21	$ 996,475
Republic of Panama (BBB/Baa2)
	720,000		3.875	^(d)	03/17/28	736,200
	690,000		4.500		05/15/47	698,625

						2,431,300

Paraguay – 1.9%
Republic of Paraguay (BB/Ba1)
	12,098,000		4.625		01/25/23	12,642,410
	3,930,000		5.000	^(b)	04/15/26	4,151,063
	3,445,000		5.000		04/15/26	3,638,781
	12,720,000		4.700	^(b)	03/27/27	13,069,800
	6,500,000		6.100		08/11/44	7,215,000

						40,717,054

Romania – 0.9%
Republic of Romania (BBB-/Baa3)
	4,090,000		6.750		02/07/22	4,744,400
	1,850,000		4.375		08/22/23	1,961,000
EUR	9,740,000		3.875	^(b)	10/29/35	11,652,953

						18,358,353

Russia – 1.4%
Russian Federation Bond (BB+/Ba1)
$	800,000		4.500	^(b)	04/04/22	844,000
	2,000,000		4.875	^(b)	09/16/23	2,147,500
	200,000		4.875		09/16/23	214,750
	12,400,000		4.750		05/27/26	12,945,600
	8,600,000		4.250	^(b)	06/23/27	8,582,800
	3,800,000		5.250	^(b)	06/23/47	3,826,600

						28,561,250

South Africa – 1.9%
Republic of South Africa (BB+/Baa3)
	4,090,000		6.875		05/27/19	4,417,200
	170,000		5.500		03/09/20	179,988
	25,715,000		5.875		09/16/25	27,643,625
	2,071,000		4.875		04/14/26	2,076,177
	6,530,000		4.300		10/12/28	6,105,550

						40,422,540

Sri Lanka – 2.3%
Republic of Sri Lanka (B+/B1)
	1,180,000		6.000	^(b)	01/14/19	1,218,350
	360,000		6.000		01/14/19	371,700
	1,260,000		6.250		10/04/20	1,329,300
	1,222,000		6.250	^(b)	10/04/20	1,289,210
	7,814,000		6.250		07/27/21	8,273,072
	7,300,000		5.750	^(b)	01/18/22	7,546,375
	2,470,000		6.125		06/03/25	2,516,313
	7,600,000		6.850	^(b)	11/03/25	8,008,500
	9,400,000		6.850		11/03/25	9,905,250
	4,530,000		6.825	^(b)	07/18/26	4,767,825
	2,070,000		6.825		07/18/26	2,178,675

						47,404,570


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Suriname – 0.6%
Republic of Suriname (B/B1)
$	6,370,000		9.250	%^(b)	10/26/26	$ 6,529,250
	5,946,000		9.250		10/26/26	6,094,650

						12,623,900

Turkey – 6.5%
Hazine Mustesarligi Varlik Kiralama AS (BB/Ba1)
	18,880,000		5.004	^(b)	04/06/23	19,257,600
	1,140,000		5.004		04/06/23	1,162,800
Republic of Turkey (BB/Ba1)
	2,990,000		3.250		03/23/23	2,806,115
	21,863,000		5.750		03/22/24	23,120,123
EUR	8,370,000		3.250		06/14/25	9,430,735
$	4,346,000		4.250		04/14/26	4,128,700
	5,050,000		4.875		10/09/26	4,980,411
	8,358,000		6.000		03/25/27	8,901,270
	11,900,000		4.875		04/16/43	10,546,375
	1,290,000		5.750		05/11/47	1,260,975
Republic of Turkey (NR/Ba1)
	6,700,000		7.000		06/05/20	7,328,125
	18,866,000		6.250		09/26/22	20,493,193
	10,539,000		7.375		02/05/25	12,212,066
	3,100,000		6.875		03/17/36	3,487,500
	450,000		6.750		05/30/40	501,750
	6,550,000		6.000		01/14/41	6,713,750

						136,331,488

Ukraine – 1.5%
Ukraine Government Bond (B-/Caa3)
	530,000		7.750		09/01/21	538,215
Ukraine Government Bond (B-/Caa3)
	2,260,000		7.750		09/01/22	2,271,300
	6,200,000		7.750		09/01/23	6,131,800
	12,930,000		7.750		09/01/24	12,664,935
	2,900,000		7.750		09/01/25	2,828,950
	4,950,000		7.750		09/01/26	4,808,925
	1,830,000		7.750		09/01/27	1,772,355
	3,074,000		0.000	^(a)(b)	05/31/40	1,198,860

						32,215,340

United Arab Emirates – 0.9%
Abu Dhabi Government International Bond (AA/Aa2)
	8,910,000		2.125		05/03/21	8,854,313
	9,110,000		3.125		05/03/26	9,212,487

						18,066,800

Venezuela – 0.7%
Republic of Venezuela (CCC/Caa3)
	16,771,600		8.250		10/13/24	7,295,646
	9,850,000		7.650		04/21/25	4,186,250
	5,014,000		9.250		05/07/28	2,218,695
	80,000		9.375		01/13/34	36,080

						13,736,671


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Vietnam^(b) – 0.4%
Socialist Republic of Vietnam (BB-/B1)
$	7,980,000		6.750	%	01/29/20	$ 8,698,200

Zambia – 1.1%
Republic of Zambia (B/B3)
	5,232,000		5.375		09/20/22	4,898,460
	4,340,000		8.500		04/14/24	4,524,450
	4,660,000		8.970	^(b)	07/30/27	4,951,250
	9,140,000		8.970		07/30/27	9,711,250

						24,085,410

TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,302,744,743)						$1,332,763,299


Foreign Debt Obligations – 0.2%
Supranational – 0.2%
Corporacion Andina de Fomento (AA-/Aa3)
$	550,000		1.500	%	08/08/17	$ 550,005
Eastern and Southern African Trade and Development Bank (NR/Ba1)
	2,790,000		5.375		03/14/22	2,841,805

TOTAL FOREIGN DEBT OBLIGATIONS (Cost $3,383,731)						$ 3,391,810


Corporate Obligations – 26.4%
Argentina – 0.3%
Cablevision SA (NR/B3)^(d)
$	1,600,000		6.500	%^(b)	06/15/21	$ 1,696,000
	1,210,000		6.500		06/15/21	1,282,600
YPF SA (NR/B3)
	2,780,000		8.875		12/19/18	2,978,492

						5,957,092

Azerbaijan – 0.4%
State Oil Co. of the Azerbaijan Republic (BB/Ba1)
	8,020,000		4.750		03/13/23	7,729,492

Brazil – 4.2%
Banco do Brasil SA (B-/NR)^(a)(d)
	6,550,000		6.250		10/29/49	5,584,530
Banco do Brasil SA (B-/B2)^(a)(d)
	8,360,000		9.000		06/29/49	8,443,600
Brazil Minas SPE via State of Minas Gerais (BB/Ba2)
	12,200,000		5.333	^(b)	02/15/28	11,895,000
	597,000		5.333		02/15/28	582,075
Independencia International Ltd. (NR/NR)^(b)(g)
	1,277,436		12.000		12/30/16	—
Petrobras Global Finance BV (BB-/B1)
	2,690,000		5.375		01/27/21	2,731,238
	26,090,000		8.375		05/23/21	29,211,538
	13,800,000		6.125		01/17/22	14,262,921
	14,230,000		7.375		01/17/27	15,051,782

						87,762,684


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Chile – 1.1%
Banco del Estado de Chile^(b)
$	2,420,000		4.125	%	10/07/20	$ 2,550,075
	970,000		3.875		02/08/22	1,013,165
Embotelladora Andina SA (BBB/NR)^(b)
	980,000		5.000		10/01/23	1,064,900
Engie Energia Chile SA (BBB/NR)
	430,000		5.625		01/15/21	469,909
	1,270,000		5.625	^(b)	01/15/21	1,387,871
GNL Quintero SA (BBB/Baa2)
	5,920,000		4.634	^(b)	07/31/29	6,156,738
	740,000		4.634		07/31/29	769,592
Itau CorpBanca (BBB+/A3)
	4,071,000		3.875	^(b)	09/22/19	4,198,422
	690,000		3.875		09/22/19	711,597
Sociedad Quimica y Minera de Chile SA (BBB/Baa1)
	793,000		3.625		04/03/23	791,574
	3,991,000		4.375	^(b)(d)	01/28/25	4,067,049
	290,000		4.375	^(d)	01/28/25	295,526

						23,476,418

Colombia^(b) – 0.7%
Banco de Bogota SA (NR/Ba2)
	14,050,000		6.250		05/12/26	14,964,936

Costa Rica – 0.5%
Banco de Costa Rica (NR/Ba2)
	4,870,000		5.250	^(b)	08/12/18	4,969,835
	1,010,000		5.250		08/12/18	1,030,705
Banco Nacional de Costa Rica (NR/Ba2)
	3,000,000		4.875	^(b)	11/01/18	3,045,000
	380,000		4.875		11/01/18	385,700
	1,030,000		6.250	^(b)	11/01/23	1,081,500

						10,512,740

Dominican Republic^(b)(d) – 0.3%
Aeropuertos Dominicanos Siglo XXI SA (BB-/Ba3)
	6,150,000		6.750		03/30/29	6,665,062

Ecuador – 0.3%
EP PetroEcuador via Noble Sovereign Funding I Ltd. (B/NR)^(a)
	2,020,263		6.925		09/24/19	2,015,212
Petroamazonas EP (NR/NR)^(b)
	3,780,000		4.625		02/16/20	3,501,414

						5,516,626

Egypt^(b)(e) – 0.1%
Citigroup Global Markets Holdings, Inc. (NR/NR)
EGP	68,475,000		0.000		01/25/18	3,385,393

						3,385,393

Guatemala^(b)(d) – 0.2%
Central American Bottling Corp. (BB/Ba2)
$	3,210,000		5.750		01/31/27	3,400,193


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Hungary^(b) – 0.1%
MFB Magyar Fejlesztesi Bank Zrt (NR/Baa3)
$	2,510,000		6.250	%	10/21/20	$ 2,786,100

India^(d) – 0.6%
Greenko Dutch BV (B+/NR)
	1,391,000		8.000		08/01/19	1,448,184
Greenko Investment Co. (B+/NR)
	4,260,000		4.875	^(b)	08/16/23	4,153,500
	200,000		4.875		08/16/23	194,956
Neerg Energy Ltd. (NR/Ba3)
	3,440,000		6.000	^(b)	02/13/22	3,513,100
	3,650,000		6.000		02/13/22	3,727,563

						13,037,303

Indonesia^(b) – 0.2%
Listrindo Capital BV (BB/Ba2)^(d)
	1,720,000		4.950		09/14/26	1,732,900
Saka Energi Indonesia PT (BB+/Ba1)
	3,330,000		4.450		05/05/24	3,346,650

						5,079,550

Ireland – 0.1%
Phosagro OAO via Phosagro Bond Funding DAC (NR/Ba1)
	2,250,000		4.204	^(b)	02/13/18	2,270,250
	240,000		4.204		02/13/18	242,160

						2,512,410

Israel – 0.3%
Delek & Avner Tamar Bond Ltd. (BBB-/Baa3)^(b)
	1,200,000		3.839		12/30/18	1,219,500
Teva Pharmaceutical Finance Netherlands III BV (BBB/Baa2)
	4,490,000		1.400		07/20/18	4,479,426
	980,000		1.700		07/19/19	971,232

						6,670,158

Italy^(d) – 0.8%
Wind Acquisition Finance SA (B/B3)
EUR	4,810,000		7.000		04/23/21	5,716,621
$	640,000		7.375	^(b)	04/23/21	664,800
	9,744,000		7.375		04/23/21	10,121,580
Wind Acquisition Finance SA (BB/Ba3)
EUR	150,000		4.000		07/15/20	173,250

						16,676,251

Ivory Coast – 0.8%
Agromercantil Senior Trust (BB/NR)^(b)
$	3,420,000		6.250		04/10/19	3,535,390
China Evergrande Group (NR/B3)^(d)
	7,110,000		8.250		03/23/22	7,261,087
Comcel Trust via Comunicaciones Celulares SA (NR/Ba1)^(d)
	4,390,000		6.875		02/06/24	4,669,862
Comunicaciones Celulares SA (NR/Ba1)^(b)(d)
	810,000		6.875		02/06/24	861,638

						16,327,977


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Jamaica^(d) – 0.5%
Digicel Ltd. (NR/B1)
$	3,860,000		6.000	%^(b)	04/15/21	$ 3,715,250
	2,560,000		6.000		04/15/21	2,464,000
	4,500,000		6.750	^(b)	03/01/23	4,235,625
	580,000		6.750		03/01/23	545,925

						10,960,800

Japan^(d) – 0.2%
Universal Entertainment Corp. (NR/NR)
	4,208,406		8.500		08/24/20	4,323,926

Kazakhstan – 0.6%
KazMunayGas National Co. JSC (BB/Baa3)
	11,640,000		9.125		07/02/18	12,315,120

Luxembourg – 1.1%
Altice Financing SA (BB-/B1)^(b)(d)
	400,000		6.500		01/15/22	418,000
	1,160,000		6.625		02/15/23	1,228,150
	1,700,000		7.500		05/15/26	1,887,000
Gazprom OAO Via Gaz Capital SA (BB+/Ba1)
	6,400,000		9.250	^(f)	04/23/19	7,104,000
	2,640,000		7.288		08/16/37	3,141,600
MHP SA (B/NR)
	1,420,000		8.250		04/02/20	1,503,425
Severstal OAO Via Steel Capital SA (BBB-/Ba1)
	3,300,000		6.700		10/25/17	3,346,200
Tupy Overseas SA (BB-/NR)^(d)
	3,140,000		6.625	^(b)	07/17/24	3,206,725
	539,000		6.625		07/17/24	550,454

						22,385,554

Mauritius^(b) – 0.1%
MTN Mauritius Investment Ltd. (BB+/Ba1)
	2,860,000		6.500		10/13/26	2,995,850

Mexico – 4.5%
America Movil SAB de CV (A-/A3)
MXN	19,010,000		6.000		06/09/19	1,014,434
Banco Mercantil De Norte (BB/Ba2)
$	3,870,000		7.625		01/10/99	3,995,775
	2,110,000		6.875		07/06/99	2,181,086
CEMEX Finance LLC (BB-/NR)^(d)
EUR	3,950,000		4.625		06/15/24	4,878,050
Cemex SAB de CV (BB-/NR)^(b)(d)
	1,300,000		4.750		01/11/22	1,546,748
Corporacion Geo SA (NR/NR)^(g)
$	277,766		8.000		04/13/21	—
Gruma SAB de CV (BBB/NR)^(b)(d)
	2,220,000		4.875		12/01/24	2,386,500
Petroleos Mexicanos (BBB+/Baa3)
	1,720,000		5.750		03/01/18	1,759,560
	3,170,000		5.500		02/04/19	3,313,443
	1,630,000		3.500		07/23/20	1,647,115
	7,349,000		6.375		02/04/21	7,957,497
	35,000		4.875		01/24/22	35,895
	2,610,000		5.375	^(b)	03/13/22	2,749,635
	290,000		3.500		01/30/23	277,965
EUR	14,890,000		5.125		03/15/23	19,111,176


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Mexico – (continued)
Petroleos Mexicanos (BBB+/Baa3) – (continued)
$	14,079,000		6.875	%	08/04/26	$ 15,626,282
	8,360,000		6.500	^(b)	03/13/27	8,970,280
EUR	920,000		2.750		04/21/27	944,386
	8,200,000		4.875		02/21/28	9,751,959
$	2,046,000		5.500		06/27/44	1,798,434
	610,000		6.375		01/23/45	595,848
	30,000		5.625		01/23/46	26,595
	3,697,000		6.750		09/21/47	3,728,905

						94,297,568

Netherlands – 0.9%
Greenko Dutch BV (B+/NR)^(b)(d)
	3,830,000		8.000		08/01/19	3,987,452
GTH Finance BV (B+/Ba3)^(d)
	610,000		7.250		04/26/23	673,288
IHS Netherlands Holdco BV (B+/Ba3)^(b)(d)
	7,690,000		9.500		10/27/21	7,863,025
Lukoil International Finance BV (BBB-/Ba1)
	1,480,000		3.416		04/24/18	1,487,400
	1,650,000		6.125		11/09/20	1,794,375
	620,000		4.563		04/24/23	633,950
VimpelCom Holdings BV (BB/Ba2)^(b)(d)
	3,100,000		4.950		06/16/24	3,098,450

						19,537,940

Panama^(b) – 0.0%
Autoridad del Canal de Panama (A-/A2)
	380,000		4.950		07/29/35	413,849

Paraguay – 0.4%
Banco Regional SAECA (BB/Ba1)
	4,670,000		8.125	^(b)	01/24/19	4,949,259
	905,000		8.125		01/24/19	959,118
Telefonica Celular del Paraguay SA (NR/Ba3)^(d)
	2,700,000		6.750		12/13/22	2,818,125

						8,726,502

Peru – 0.7%
Abengoa Transmision Sur SA (BBB/NR)^(b)
	5,140,392		6.875		04/30/43	5,603,027
Corp Financiera de Desarrollo SA (BBB+/NR)
	2,478,000		4.750		02/08/22	2,651,460
Corp Lindley S.A. (BBB/NR)^(b)
	1,630,000		6.750		11/23/21	1,824,597
	120,000		4.625		04/12/23	124,483
Corp. Lindley SA (BBB/NR)
	3,560,000		6.750		11/23/21	3,985,011

						14,188,578

Russia^(a)(d) – 0.2%
Sberbank of Russia Via SB Capital SA (NR/NR)
	4,490,000		5.500		02/26/24	4,568,575

Singapore – 0.1%
China Resources Cement Holdings Ltd. (NR/Aa1)
	1,240,000		2.125		10/05/17	1,238,760


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
South Africa – 0.3%
ZAR Sovereign Capital Fund Propriety Ltd. (BB+/Baa3)

$	5,440,000		3.903	%	06/24/20	$ 5,501,200

South Korea – 0.1%
Kookmin Bank (A+/A1)
	790,000		1.625		07/14/17	789,961
	1,900,000		1.625	^(b)	08/01/19	1,870,446

						2,660,407

Turkey – 0.0%
Hazine Mustesarligi Varlik Kiralama AS (NR/Ba1)
	208,000		2.803		03/26/18	208,132

Ukraine – 0.1%
Metinvest BV (NR/NR)
	2,580,000		9.373		12/31/21	2,334,900

United Arab Emirates – 0.4%
Aabar Investments PJSC
EUR	100,000		1.000		03/27/22	96,797
Dolphin Energy Ltd. (NR/A1)
$	210,070		5.888		06/15/19	215,322
	3,580,000		5.500		12/15/21	3,906,675
Ruwais Power Co. PJSC (A-/A3)^(b)
	3,700,000		6.000		08/31/36	4,268,875

						8,487,669

United States – 0.5%
Brazil Loan Trust 1 (BB/Ba2)^(b)
	8,725,028		5.477		07/24/23	8,790,466
New Cotai LLC/New Cotai Capital Corp. (NR/NR)^(b)(d)(h)
	1,479,615		10.625		05/01/19	1,272,469
The Bank of New York Mellon SA (NR/NR)^(g)
	400,000		9.625	^(b)	05/02/21	—
	520,000		9.625		05/03/21	—

						10,062,935

Venezuela – 4.6%
Petroleos de Venezuela SA (NR/NR)
	145,930,000		6.000		10/28/22	48,520,528
Petroleos de Venezuela SA (CCC-/NR)
	29,810,000		6.000		05/16/24	11,223,465
	83,387,934		6.000		11/15/26	30,478,290
	13,780,000		5.375		04/12/27	4,960,800
	2,180,000		5.500		04/12/37	773,900

						95,956,983

Vietnam^(d) – 0.1%
Debt and Asset Trading Corp. (BB-/B1)
	1,960,000		1.000		10/10/25	1,212,750

TOTAL CORPORATE OBLIGATIONS (Cost $545,509,765)						$554,838,383


Principal Amount		Interest Rate			Maturity Date	Value
Structured Notes – 1.4%
Brazil – 0.2%
Notas do Tesouro Nacional Series B (Issuer HSBC Corp.) (NR/NR)
$	16,185,376		6.000	%	08/15/40	$ 5,099,117

Egypt^(e) – 1.2%
Arab Republic of Egypt (Issuer Citibank NA) (NR/NR)
EGP	67,290,000		0.000	%^(b)	08/10/17	$3,641,050
	60,750,000		0.000		08/17/17	3,275,203
	23,150,000		0.000		08/31/17	1,238,116
	73,400,000		0.000	^(b)	11/02/17	3,786,500
	55,475,000		0.000		02/08/18	2,726,051
	13,200,000		0.000		03/08/18	644,263
	18,500,000		0.000	^(b)	05/03/18	875,616
Arab Republic of Egypt (Issuer HSBC Bank PLC) (NR/NR)^(b)
	56,175,000		0.000		09/14/17	2,980,437
Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA) (NR/NR)^(b)
	65,650,000		0.000		02/15/18	3,214,169
	44,350,000		0.000		05/17/18	2,077,426

						24,458,831

TOTAL STRUCTURED NOTES (Cost $33,094,027)						$ 29,557,948


Municipal Debt Obligations – 0.6%
Puerto Rico – 0.6%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CC/Caa3)^(d)
$	975,000		6.000	%	07/01/44	$ 784,875
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CC/Caa3)^(d)
	305,000		5.125		07/01/37	237,138
	640,000		5.250		07/01/42	497,600
	80,000		6.000		07/01/47	64,200
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 D (CC/Caa3)^(d)
	305,000		5.000		07/01/33	237,138
Puerto Rico Commonwealth GO Bonds Public Improvement Series 2006 A (D/Caa3)^(d)^(g)
	105,000		5.250		07/01/26	62,344
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (D/Caa3)^(d)^(g)
	135,000		5.500		07/01/32	79,481
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (D/Caa3)^(d)^(g)
	135,000		6.000		07/01/39	81,675
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)^(g)
	110,000		4.000		07/01/21	62,906
	140,000		4.500	^(d)	07/01/26	80,675
	1,210,000		5.500	^(d)	07/01/26	718,437
	390,000		5.000	^(d)	07/01/41	221,813
Puerto Rico Commonwealth GO Bonds Refunding Public Improvement Series 2009 B (D/Caa3)^(d)^(g)
	1,385,000		5.750		07/01/38	813,687
Puerto Rico Commonwealth GO Bonds Series 2008 A (D/Caa3)^(d)^(g)
	1,315,000		5.375		07/01/33	775,850
Puerto Rico Commonwealth GO Bonds Series 2014 A (D/Caa3)^(d)^(g)
	3,205,000		8.000		07/01/35	1,947,037
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (D/Ca)^(d)^(g)
	4,600,000		5.500		08/01/22	1,184,500
	4,210,000		5.250		08/01/27	1,084,075
	2,035,000		6.750		08/01/32	524,012


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Debt Obligations – (continued)
Puerto Rico – (continued)
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (D/Ca)^(d)^(g)– (continued)
$	3,005,000		5.750	%	08/01/37	$ 773,787
	2,370,000		6.000		08/01/42	610,275
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (D/Ca)^(d)^(g)
	40,000		4.500		08/01/21	10,300
	4,005,000		5.500		08/01/37	1,031,287
	490,000		5.375		08/01/39	126,175
	310,000		5.500		08/01/42	79,825
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (D/Ca)^(d)^(g)
	70,000		5.000		08/01/35	18,025
	25,000		5.375		08/01/36	6,438
	25,000		5.375		08/01/38	6,438
	1,620,000		5.500		08/01/40	417,150
	1,955,000		5.250		08/01/41	503,413
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (D/Ca)^(d)^(g)
	780,000		5.000		08/01/43	200,850
	450,000		5.250		08/01/43	115,875

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $25,184,948)						$ 13,357,281


U.S. Treasury Obligations – 2.3%
United States Treasury Bonds
$	840,000		2.750	%	11/15/42	$ 830,424
	760,000		3.125		02/15/43	803,282
	880,000		3.125		08/15/44	930,028
	5,600,000		2.875	⁽ⁱ⁾	08/15/45	5,632,536
United States Treasury Notes
	14,900,000		1.125	⁽ⁱ⁾	07/31/21	14,524,669
	21,088,000		2.250	⁽ⁱ⁾	01/31/24	21,287,703
	3,500,000		2.250		11/15/25	3,501,085

TOTAL U.S. TREASURY OBLIGATIONS (Cost $46,870,094)						$ 47,509,727


Shares		Distribution Rate				Value
Investment Company^(a)(j) – 0.0%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	14,555		0.845%			$ 14,555
(Cost $14,555)

TOTAL INVESTMENTS — 94.3% (Cost $1,956,801,863)						$1,981,433,003


Principal Amount		Interest Rate (Paid) Received			Maturity Date	Value
Reverse Repurchase Agreement – 0.2%
Citigroup Reverse Repurchase Agreement (NR/NR)
$	(3,240,000)		0.500	%	06/05/18	$ (3,240,000)
(Cost $(3,240,000))

OTHER ASSETS IN EXCESS OF LIABILITIES – 5.9%						123,857,411

NET ASSETS – 100.0%						$2,102,050,414


The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(b)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $554,537,028, which represents approximately 26.4% of net assets as of June 30, 2017.

(c)		Coupon changes periodically based upon a predetermined schedule. Interest rate disclosed is that which is in effect on June 30, 2017.

(d)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(e)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(f)		Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June 30, 2017.

(g)		Security is currently in default and/or non-income producing.

(h)		Pay-in-kind securities.

(i)		A portion of this security is segragated as collateral for initial margin requirement on futures transactions.

(j)		Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s/Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.



Currency Abbreviations:
ARS		— Argentine Peso
BRL		— Brazilian Real
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
DOP		— Dominican Peso
EGP		— Egyptian Pound
EUR		— Euro
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
INR		— Indian Rupee
KRW		— South Korean Won
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RUB		— Russian Ruble
SGD		— Singapore Dollar
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand



Investment Abbreviations:
EURO		— Euro Offered Rate
GO		— General Obligation
KWCDC		— South Korean Won Certificate of Deposit
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
MTN		— Medium Term Note
NR		— Not Rated
PLC		— Public Limited Company
RB		— Revenue Bond
TIIE		— La Tasa de Interbank Equilibrium Interest Rate


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – 89.8%
Aerospace & Defense – 0.8%
Bombardier, Inc. (B-/B3)^(a)
$	10,450,000		8.750	%	12/01/21	$ 11,599,500
	1,050,000		6.000	^(b)	10/15/22	1,048,687
	7,500,000		7.500	^(b)	03/15/25	7,771,875
TransDigm, Inc. (B-/B3)^(b)
	5,000,000		6.500		05/15/25	5,106,250
	3,300,000		6.375		06/15/26	3,349,500

						28,875,812

Automotive^(c) – 0.0%
General Motors Liquidation Co. (NR/NR)
	2,000,000		7.700		04/15/16	—
	7,125,000		7.125		07/15/13	—
	1,000,000		8.800		03/01/49	—
	14,500,000		8.375		07/15/49	—

						—

Automotive Parts – 1.3%
American Axle & Manufacturing, Inc. (B/B2)^(a)(b)
	15,000,000		6.250		04/01/25	14,606,250
CB Lear Corp. (NR/NR)^(c)
	6,750,000		8.500		12/01/13	—
Cooper-Standard Automotive, Inc. (B+/B2)^(a)(b)
	10,000,000		5.625		11/15/26	10,050,000
Gates Global LLC (B/Caa2)^(a)(b)
	15,000,000		6.000		07/15/22	15,000,000
The Goodyear Tire & Rubber Co. (BB/Ba3)^(b)
	5,000,000		5.000		05/31/26	5,181,250

						44,837,500

Banks – 3.4%
Ally Financial, Inc. (BB+/NR)
	8,450,000		4.125		02/13/22	8,661,250
Bank of America Corp. (BB+/Ba2)^(b)(d)
	8,050,000		6.250		09/29/49	8,744,313
	1,830,000		8.125		12/29/49	1,898,625
	7,000,000		8.000		12/31/49	7,210,000
Barclays PLC (B+/Ba2)^(b)(d)
	8,250,000		7.875		12/29/49	8,914,702
Citigroup, Inc. (BB+/Ba2)^(b)(d)
	9,200,000		5.900		12/29/49	9,798,000
	5,000,000		6.300		12/29/49	5,325,000
Credit Suisse Group AG (BB/NR)^(a)(b)(d)
	10,000,000		7.500		12/29/49	11,212,500
Deutsche Bank AG (BB+/Ba2)
	10,000,000		4.500		04/01/25	9,933,660
Intesa Sanpaolo SpA (BB/Ba1)^(a)
	2,500,000		5.017		06/26/24	2,537,500
	6,500,000		5.710		01/15/26	6,873,750
Royal Bank of Scotland Group PLC (B/Ba3)^(b)(d)
	12,000,000		7.500		12/29/49	12,375,000
Royal Bank of Scotland Group PLC (B+/Ba3)^(b)(d)
	4,800,000		7.640		12/31/49	4,590,000
UBS Group AG (BB+/NR)^(b)(d)
	10,000,000		6.875		12/29/49	10,704,300
UniCredit SpA (BB/Ba1)^(a)(b)(d)
	9,300,000		5.861		06/19/32	9,513,109

						118,291,709


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Building Materials – 2.4%
Anixter, Inc. (BB/Ba3)
$	6,500,000		5.500	%	03/01/23	$ 6,938,750
Atrium Windows & Doors, Inc. (B-/Caa1)^(a)(b)
	10,450,000		7.750		05/01/19	10,345,500
BMC East LLC (BB-/B2)^(a)(b)
	6,150,000		5.500		10/01/24	6,411,375
Cemex SAB de CV (BB-/NR)^(a)(b)
	5,000,000		7.750		04/16/26	5,718,750
Gibraltar Industries, Inc. (BB/B2)^(b)
	5,000,000		6.250		02/01/21	5,143,750
Masonite International Corp. (BB/Ba3)^(a)(b)
	6,000,000		5.625		03/15/23	6,270,000
Standard Industries, Inc. (BBB-/Ba2)^(a)(b)
	8,000,000		5.375		11/15/24	8,430,000
	10,100,000		5.000		02/15/27	10,302,000
Summit Materials LLC/Summit Materials Finance Corp. (BB-/B3)^(b)
	10,000,000		6.125		07/15/23	10,475,000
Summit Materials LLC/Summit Materials Finance Corp. (BB-/B3)^(a)(b)
	3,150,000		5.125		06/01/25	3,244,500
USG Corp. (BB+/Ba2)^(a)(b)
	9,100,000		4.875		06/01/27	9,350,250

						82,629,875

Chemicals – 1.9%
Kraton Polymers LLC/Kraton Polymers Capital Corp. (B-/B3)^(a)(b)
	3,450,000		7.000		04/15/25	3,631,125
LyondellBasell Industries NV (NR/NR)
EUR	2,250,000		1.000		08/15/15	12,849
Momentive Performance Materials, Inc. (NR/NR)^(c)
$	3,110,000		8.875		10/15/20	—
Nell AF SARL (NR/NR)
	10,625,000		8.375		12/30/49	53,125
NOVA Chemicals Corp. (BB+/Ba2)^(a)(b)
	8,600,000		5.250		06/01/27	8,576,780
PQ Corp. (B+/B2)^(a)(b)
	5,850,000		6.750		11/15/22	6,288,750
Rain CII Carbon LLC/CII Carbon Corp. (B+/B1)^(a)(b)
	6,950,000		7.250		04/01/25	7,123,750
SPCM SA (BB+/Ba2)^(a)(b)
	4,950,000		4.875		09/15/25	5,030,438
Valvoline, Inc. (BB/Ba3)^(a)(b)
	4,150,000		5.500		07/15/24	4,388,625
Versum Materials, Inc. (BB/Ba3)^(a)(b)
	14,000,000		5.500		09/30/24	14,717,500
WR Grace & Co-Conn (BB+/Ba3)^(a)
	2,400,000		5.125		10/01/21	2,571,000
	12,200,000		5.625		10/01/24	13,038,750

						65,432,692

Construction Machinery^(a)(b) – 0.7%
Accudyne Industries Borrower/Accudyne Industries LLC (CCC/Caa3)
	7,500,000		7.750		12/15/20	7,528,125
ATS Automation Tooling Systems, Inc. (B+/B2)
	3,400,000		6.500		06/15/23	3,553,000


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Construction Machinery^(a)(b) – (continued)
Shape Technologies Group, Inc. (B/B2)
$	11,350,000		7.625	%	02/01/20	$ 11,789,813

						22,870,938

Consumer Cyclical Services - Business^(b) – 0.4%
Equinix, Inc. (BB+/B1)
	12,745,000		5.375		05/15/27	13,605,288

Consumer Cyclical Services - Rental Equipment^(b) – 0.4%
Avis Budget Car Rental LLC/Avis Budget Finance, Inc. (BB-/B1)^(a)
	7,350,000		5.250		03/15/25	6,936,563
The Hertz Corp. (B-/B3)
	2,650,000		5.875		10/15/20	2,557,250
The Hertz Corp. (BB-/B1)^(a)
	5,400,000		7.625		06/01/22	5,393,250

						14,887,063

Consumer Products - Household & Leisure^(b) – 0.1%
Spectrum Brands, Inc. (BB-/B2)
	5,000,000		6.625		11/15/22	5,250,000

Consumer Products - Industrial^(b) – 0.2%
WESCO Distribution, Inc. (BB-/B1)
	8,000,000		5.375		12/15/21	8,290,000

Emerging Markets^(a)(b) – 1.0%
Digicel Group Ltd. (NR/Caa1)
	11,800,000		8.250		09/30/20	11,047,750
	5,000,000		7.125		04/01/22	4,381,500
Digicel Ltd. (NR/B1)
	20,000,000		6.750		03/01/23	18,825,000

						34,254,250

Energy – 0.2%
Petrobras Global Finance BV (BB-/B1)
	8,032,000		7.375		01/17/27	8,495,848

Energy - Coal^(a)(b) – 0.5%
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. (BB-/B1)
	7,000,000		7.500		05/01/25	7,350,000
Murray Energy Corp. (CCC/Caa2)
	12,900,000		11.250		04/15/21	9,707,250

						17,057,250

Energy - Exploration & Production – 5.5%
Antero Resources Corp. (BB/Ba3)^(b)
	7,700,000		5.375		11/01/21	7,757,750
	6,100,000		5.125		12/01/22	6,115,250
	4,150,000		5.625		06/01/23	4,212,250
	7,300,000		5.000	^(a)	03/01/25	7,099,250
Berry Petroleum Co. LLC (NR/NR)^(c)
	2,050,000		6.750		11/01/20	—
	28,160,000		6.375		09/15/22	—
California Resources Corp. (CCC+/Caa3)^(a)(b)
	8,000,000		8.000		12/15/22	5,060,000
California Resources Corp. (D/Ca)^(b)
	8,023,000		6.000		11/15/24	4,171,960
Chesapeake Energy Corp. (CCC/Caa2)
	5,600,000		6.625		08/15/20	5,614,000
	2,943,000		6.125		02/15/21	2,891,498
	1,800,000		5.375	^(b)	06/15/21	1,701,000
	8,050,000		5.750		03/15/23	7,245,000


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Energy - Exploration & Production – (continued)
Continental Resources, Inc. (BB+/Ba3)^(b)
$	5,550,000		5.000	%	09/15/22	$ 5,452,875
	8,650,000		4.500		04/15/23	8,260,750
Denbury Resources, Inc. (CCC+/Caa2)^(b)
	1,550,000		5.500		05/01/22	868,000
	5,150,000		4.625		07/15/23	2,729,500
Gulfport Energy Corp. (B+/B2)^(a)(b)
	3,300,000		6.000		10/15/24	3,209,250
	5,700,000		6.375		05/15/25	5,600,250
Halcon Resources Corp. (B+/Caa1)^(a)(b)
	3,550,000		12.000		02/15/22	4,047,000
Halcon Resources Corp. (B-/Caa1)^(a)(b)
	10,000,000		6.750		02/15/25	9,000,000
Jones Energy Holdings LLC/Jones Energy Finance Corp. (NR/Caa2)^(b)
	8,000,000		6.750		04/01/22	5,640,000
Laredo Petroleum, Inc. (B/B3)^(b)
	3,150,000		5.625		01/15/22	3,071,250
	5,000,000		7.375		05/01/22	5,075,000
	10,000,000		6.250		03/15/23	9,925,000
MEG Energy Corp. (BB-/Caa2)^(a)(b)
	8,000,000		6.375		01/30/23	6,180,000
	6,000,000		7.000		03/31/24	4,620,000
Oasis Petroleum, Inc. (B+/B3)^(b)
	7,125,000		6.875		03/15/22	6,911,250
Range Resources Corp. (BB+/B1)^(b)
	2,000,000		5.000	^(a)	08/15/22	1,965,000
	6,950,000		4.875		05/15/25	6,602,500
Rice Energy, Inc. (BB-/B3)^(b)
	1,100,000		6.250		05/01/22	1,146,750
	6,900,000		7.250		05/01/23	7,434,750
Seven Generations Energy Ltd. (B+/Ba3)^(a)(b)
	7,400,000		6.875		06/30/23	7,686,750
SM Energy Co. (NR/NR)
	3,650,000		1.500		07/01/21	3,287,332
SM Energy Co. (B+/B2)^(b)
	8,000,000		6.500		11/15/21	7,760,000
	5,750,000		6.750		09/15/26	5,476,875
Whiting Petroleum Corp. (BB-/B3)^(b)
	9,500,000		5.000		03/15/19	9,440,625
WPX Energy, Inc. (B+/B3)^(b)
	7,000,000		8.250		08/01/23	7,586,250

						190,844,915

Energy - Services – 3.1%
Ensco PLC (BB/B1)^(b)
	5,050,000		4.500		10/01/24	3,888,500
	11,100,000		5.750		10/01/44	7,381,500
Nabors Industries, Inc. (BBB-/Ba2)^(a)
	6,975,000		0.750		01/15/24	5,549,484
Noble Holding International Ltd. (BB-/B2)
	738,000		4.900		08/01/20	678,038
	12,250,000		7.750	^(b)	01/15/24	9,662,187
	4,650,000		6.950	^(b)	04/01/25	3,563,063
	3,750,000		5.250		03/15/42	2,081,250
Precision Drilling Corp. (BB/B3)^(a)(b)
	3,600,000		7.750		12/15/23	3,564,000


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Energy - Services – (continued)
Rowan Cos., Inc. (B+/B1)^(b)
$	4,100,000		4.875	%	06/01/22	$ 3,802,750
	4,100,000		4.750		01/15/24	3,464,500
	2,650,000		7.375		06/15/25	2,471,125
	7,000,000		5.400		12/01/42	4,935,000
Sunoco LP/Sunoco Finance Corp. (B+/B1)^(b)
	7,000,000		5.500		08/01/20	7,175,000
	3,850,000		6.250		04/15/21	4,023,250
	4,800,000		6.375		04/01/23	5,064,000
Transocean, Inc. (B+/Caa1)
	4,000,000		5.050	^(b)	10/15/22	3,720,000
	16,600,000		7.500		04/15/31	13,280,000
Trinidad Drilling Ltd. (BB-/Caa1)^(a)(b)
	9,300,000		6.625		02/15/25	8,811,750
Weatherford International Ltd. (B/Caa1)
	3,000,000		4.500	^(b)	04/15/22	2,647,500
	2,900,000		8.250	^(b)	06/15/23	2,896,375
	13,150,000		6.500		08/01/36	11,111,750

						109,771,022

Entertainment & Leisure^(b) – 0.3%
Cinemark USA, Inc. (BB/B2)
	5,850,000		4.875		06/01/23	5,952,375
Lions Gate Entertainment Corp. (B-/B2)^(a)
	5,000,000		5.875		11/01/24	5,237,500

						11,189,875

Finance – 2.3%
Ally Financial, Inc. (BB+/NR)
	2,600,000		3.600		05/21/18	2,632,500
Ally Financial, Inc. (BB+/Ba3)
	8,000,000		3.750		11/18/19	8,170,000
	700,000		5.125		09/30/24	738,500
	10,000,000		8.000		11/01/31	12,250,000
CIT Group, Inc. (BB+/Ba2)
	9,500,000		5.000		08/15/22	10,236,250
Jefferies LoanCore LLC/JLC Finance Corp. (B/B1)^(a)(b)
	5,000,000		6.875		06/01/20	5,037,500
Nationstar Mortgage LLC/Nationstar Capital Corp. (B+/B2)^(b)
	5,000,000		7.875		10/01/20	5,156,250
Navient Corp. (B+/Ba3)
	12,000,000		5.500		01/15/19	12,504,444
	6,000,000		5.875		03/25/21	6,369,186
	2,850,000		6.625		07/26/21	3,068,837
	13,600,000		6.125		03/25/24	14,029,543

						80,193,010

Food^(a)(b) – 1.1%
Performance Food Group, Inc. (BB-/B2)
	11,000,000		5.500		06/01/24	11,330,000
Post Holdings, Inc. (B/B3)
	10,000,000		5.000		08/15/26	9,975,000
Shearer’s Foods LLC/Chip Finance Corp. (B/B3)
	6,957,000		9.000		11/01/19	7,261,369
Wells Enterprises, Inc. (BB-/B2)
	8,750,000		6.750		02/01/20	9,034,375

						37,600,744


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Food and Beverage^(a)(b) – 0.3%
Chobani LLC/Chobani Finance Corp., Inc. (CCC+/Caa2)
$	9,150,000		7.500	%	04/15/25	$ 9,630,375

Gaming – 5.7%
Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Prope (CC/Caa1)^(b)
	12,825,000		11.000		10/01/21	13,754,812
GLP Capital LP/GLP Financing II, Inc. (BB+/Ba1)
	9,000,000		5.375		04/15/26	9,798,750
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (BB/B1)^(a)(b)
	4,490,000		5.000		06/01/24	4,663,988
	10,640,000		5.250		06/01/26	11,198,600
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. (BB-/B1)^(b)
	8,700,000		5.625		05/01/24	9,472,125
	5,000,000		4.500		09/01/26	5,031,250
MGM Resorts International (BB-/B1)
	15,000,000		11.375		03/01/18	15,937,500
	5,000,000		8.625		02/01/19	5,500,000
	10,000,000		6.750		10/01/20	11,037,500
	21,000,000		6.625		12/15/21	23,520,000
	13,000,000		7.750		03/15/22	15,193,750
Mohegan Gaming & Entertainment (CCC+/B3)^(a)(b)
	16,000,000		7.875		10/15/24	16,640,000
New Red Finance, Inc. (B+/Ba3)^(a)(b)
	11,500,000		4.250		05/15/24	11,413,750
Rivers Pittsburgh Borrower LP/Rivers Pittsburgh Finance Corp. (B/B2)^(a)(b)
	10,000,000		6.125		08/15/21	10,100,000
Scientific Games International, Inc. (B-/Caa1)^(b)
	21,600,000		10.000		12/01/22	23,679,000
Scientific Games International, Inc. (CCC+/Caa1)^(b)
	4,000,000		6.625		05/15/21	3,975,000
Yum! Brands, Inc. (B+/B2)^(b)
	7,476,000		5.350		11/01/43	6,784,470

						197,700,495

Gas Distribution^(b) – 0.2%
AmeriGas Partners LP/AmeriGas Finance Corp. (NR/Ba3)
	7,000,000		5.750		05/20/27	7,113,750

Health Care - Medical Products^(a) – 0.3%
Fresenius Medical Care US Finance II, Inc. (BB+/Baa3)
	4,000,000		5.875		01/31/22	4,450,000
	4,500,000		4.750	^(b)	10/15/24	4,764,375

						9,214,375

Health Care - Pharmaceuticals^(a)(b) – 2.1%
Endo Dac/Endo Finance LLC/Endo Finco, Inc. (B-/B3)
	10,500,000		6.000		07/15/23	8,820,000
Valeant Pharmaceuticals International, Inc. (B-/Caa1)
	23,900,000		5.375		03/15/20	23,033,625
	1,650,000		6.375		10/15/20	1,600,500
	10,150,000		7.500		07/15/21	9,845,500
	5,000,000		5.625		12/01/21	4,525,000
	5,000,000		7.250		07/15/22	4,700,000
	400,000		5.500		03/01/23	340,000
	16,200,000		5.875		05/15/23	13,891,500


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Health Care - Pharmaceuticals^(a)(b) – (continued)
Valeant Pharmaceuticals International, Inc. (BB-/Ba3)
$	6,700,000		7.000	%	03/15/24	$ 7,060,125

						73,816,250

Health Care - Services – 7.5%
Acadia Healthcare Co., Inc. (B/B3)^(b)
	8,350,000		5.625		02/15/23	8,663,125
Centene Corp. (BB+/Ba2)^(b)
	4,000,000		5.625		02/15/21	4,170,000
	6,550,000		6.125		02/15/24	7,074,000
	1,930,000		4.750		01/15/25	1,992,725
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (B-/B3)^(a)(b)
	16,600,000		5.750		03/01/25	16,994,250
CHS/Community Health Systems, Inc. (CCC+/Caa1)^(b)
	16,900,000		8.000		11/15/19	16,984,500
	9,550,000		7.125		07/15/20	9,311,250
	3,350,000		6.875		02/01/22	2,922,875
HCA, Inc. (B+/B1)
	10,000,000		7.500		02/15/22	11,512,500
	1,050,000		5.375		02/01/25	1,107,750
HCA, Inc. (BBB-/Ba1)
	25,000,000		6.500		02/15/20	27,281,250
	10,800,000		4.750		05/01/23	11,421,000
	18,000,000		5.000		03/15/24	19,057,500
	15,000,000		5.250		04/15/25	16,125,000
MPH Acquisition Holdings LLC (B-/Caa1)^(a)(b)
	5,900,000		7.125		06/01/24	6,298,250
MPT Operating Partnership LP/MPT Finance Corp. (BBB-/Ba1)^(b)
	1,000,000		6.375		03/01/24	1,087,630
	5,000,000		5.500		05/01/24	5,225,000
	2,950,000		5.250		08/01/26	3,066,791
Sterigenics-Nordion Topco LLC (CCC+/Caa2)^(a)(b)(e)
	7,000,000		8.125		11/01/21	7,175,000
Team Health Holdings, Inc. (CCC+/Caa1)^(a)(b)
	15,670,000		6.375		02/01/25	15,199,900
Tenet Healthcare Corp. (B-/Ba3)^(a)(b)
	5,000,000		7.500		01/01/22	5,412,500
Tenet Healthcare Corp. (BB-/Ba3)^(b)(d)
	11,600,000		4.746		06/15/20	11,716,000
Tenet Healthcare Corp. (CCC+/Caa1)
	2,000,000		5.000		03/01/19	2,097,500
	3,700,000		8.000	^(b)	08/01/20	3,755,500
	6,050,000		8.125		04/01/22	6,420,562
	15,000,000		6.750		06/15/23	14,962,500
THC Escrow Corp. III (B-/Ba3)^(a)(b)
	17,050,000		5.125		05/01/25	17,113,937
THC Escrow Corp. III (CCC+/Caa1)^(a)(b)
	6,450,000		7.000		08/01/25	6,433,875

						260,582,670

Home Builders^(b) – 0.6%
Beazer Homes USA, Inc. (NR/B3)
	7,150,000		8.750		03/15/22	7,936,500
Shea Homes LP/Shea Homes Funding Corp. (BB-/B2)^(a)
	1,550,000		5.875		04/01/23	1,590,688
William Lyon Homes, Inc. (B-/B3)
	12,500,000		5.875		01/31/25	12,875,000

						22,402,188


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Home Construction – 1.5%
Beazer Homes USA, Inc. (B-/B3)^(b)
$	10,350,000		7.250	%	02/01/23	$ 10,764,000
Brookfield Residential Properties, Inc. (B+/B1)^(a)(b)
	5,000,000		6.125		07/01/22	5,200,000
	6,500,000		6.375		05/15/25	6,792,500
Lennar Corp. (BB/Ba1)^(b)
	8,000,000		4.750		11/15/22	8,510,000
Toll Brothers Finance Corp. (BB+/Ba1)^(b)
	9,000,000		4.375		04/15/23	9,258,750
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. (BB-/Ba3)
	1,350,000		4.375		06/15/19	1,383,750
	8,000,000		5.875		06/15/24	8,450,000
William Lyon Homes, Inc. (B-/B3)^(b)
	400,000		7.000		08/15/22	415,500

						50,774,500

Life Insurance^(a)(b) – 0.1%
Fidelity & Guaranty Life Holdings, Inc. (BB-/Ba2)
	5,000,000		6.375		04/01/21	5,150,000

Lodging^(a)(b)(e) – 0.2%
New Cotai LLC/New Cotai Capital Corp. (NR/NR)
	7,059,617		10.625		05/01/19	6,071,271

Machinery^(b) – 1.1%
AECOM (BB/NR)
	6,350,000		5.125		03/15/27	6,365,875
AECOM (BB/Ba3)
	9,000,000		5.875		10/15/24	9,742,500
Oshkosh Corp. (BB+/Ba3)
	5,150,000		5.375		03/01/25	5,388,187
Park-Ohio Industries, Inc. (B/B3)^(a)
	14,900,000		6.625		04/15/27	15,663,625

						37,160,187

Media - Broadcasting & Radio^(b) – 3.2%
AMC Networks, Inc. (BB/Ba3)
	5,000,000		5.000		04/01/24	5,125,000
Clear Channel Worldwide Holdings, Inc. (B-/Caa1)
	14,000,000		7.625		03/15/20	13,912,500
iHeartCommunications, Inc. (C/Ca)^(e)
	10,317,262		14.000		02/01/21	2,115,039
iHeartCommunications, Inc. (CC/Caa1)
	16,000,000		9.000		12/15/19	12,560,000
	14,600,000		9.000		03/01/21	10,913,500
Nexstar Broadcasting, Inc. (B+/B3)^(a)
	10,000,000		5.625		08/01/24	10,100,000
Sirius XM Radio, Inc. (BB/Ba3)^(a)
	4,450,000		3.875		08/01/22	4,483,375
	7,000,000		6.000		07/15/24	7,437,500
	10,000,000		5.375		04/15/25	10,337,500
	9,200,000		5.000		08/01/27	9,257,500
Tribune Media Co. (BB-/B3)
	8,750,000		5.875		07/15/22	9,165,625
Univision Communications, Inc. (BB-/B2)^(a)
	5,000,000		6.750		09/15/22	5,200,000


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Media - Broadcasting & Radio^(b) – (continued)
Univision Communications, Inc. (BB-/B2)^(a)
$	10,000,000		5.125	%	05/15/23	$ 10,062,500

						110,670,039

Media - Cable – 5.9%
Adelphia Communications Corp. (NR/NR)^(b)
	2,000,000		10.250		06/15/49	—
Altice US Finance I Corp. (BB/Ba3)^(a)(b)
	20,000,000		5.500		05/15/26	20,975,000
CCO Holdings LLC/CCO Holdings Capital Corp. (BB+/B1)^(b)
	4,000,000		5.750		09/01/23	4,170,000
	18,900,000		5.875	^(a)	04/01/24	20,152,125
	23,250,000		5.750	^(a)	02/15/26	24,877,500
	3,555,000		5.500	^(a)	05/01/26	3,759,412
	7,500,000		5.875	^(a)	05/01/27	7,987,500
Cequel Communications Holdings I LLC/Cequel Capital Corp. (B/Caa1)^(a)(b)
	5,250,000		7.750		07/15/25	5,814,375
CSC Holdings LLC (B/B2)
	3,100,000		7.875		02/15/18	3,204,625
	3,000,000		8.625		02/15/19	3,285,000
	5,000,000		5.250		06/01/24	5,068,750
CSC Holdings LLC (BB/Ba1)^(a)(b)
	22,900,000		5.500		04/15/27	24,245,375
DISH DBS Corp. (B+/Ba3)
	7,500,000		7.875		09/01/19	8,240,625
	3,050,000		6.750		06/01/21	3,381,688
	3,540,000		5.875		07/15/22	3,805,500
	14,000,000		5.875		11/15/24	14,927,500
	2,700,000		7.750		07/01/26	3,196,125
SFR Group SA (B+/B1)^(a)(b)
	15,000,000		6.000		05/15/22	15,675,000
	10,000,000		7.375		05/01/26	10,812,500
UPCB Finance IV Ltd. (BB/Ba3)^(a)(b)
	10,000,000		5.375		01/15/25	10,437,500
Virgin Media Secured Finance PLC (BB-/Ba3)^(a)(b)
	12,000,000		5.500		08/15/26	12,555,000

						206,571,100

Media - Diversified – 0.2%
Videotron Ltd. (BB/Ba2)
	5,000,000		5.000		07/15/22	5,312,500
	700,000		5.375	^(a)(b)	06/15/24	742,000

						6,054,500

Media - Non Cable – 0.4%
Abe Investment Holdings, Inc./Getty Images, Inc. (CCC-/Caa3)^(a)(b)
	4,000,000		7.000		10/15/20	3,000,000
Live Nation Entertainment, Inc. (B+/B3)^(a)(b)
	5,000,000		4.875		11/01/24	5,056,250
Netflix, Inc. (B+/B1)
	5,000,000		5.500		02/15/22	5,418,750

						13,475,000

Metals – 2.4%
AK Steel Corp. (B-/B3)^(b)
	8,000,000		7.000		03/15/27	8,250,000
AK Steel Corp. (BB-/B1)^(b)
	6,950,000		7.500		07/15/23	7,523,375


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Metals – (continued)
ArcelorMittal (BB+/Ba1)
$	550,000		5.125	%	06/01/20	$ 582,313
	1,250,000		6.250		08/05/20	1,343,750
	5,400,000		6.000		03/01/21	5,838,750
Arconic, Inc. (BBB-/Ba2)
	7,500,000		6.150		08/15/20	8,071,875
	4,050,000		6.750		01/15/28	4,475,250
	6,350,000		5.950		02/01/37	6,397,625
Commercial Metals Co. (BB+/Ba2)
	1,685,000		4.875	^(b)	05/15/23	1,706,062
	3,775,000		5.375		07/15/27	3,845,781
Constellium NV (CCC+/Caa1)^(a)(b)
	7,250,000		5.750		05/15/24	6,724,375
	7,400,000		6.625		03/01/25	7,030,000
Novelis Corp. (B/B2)^(a)(b)
	4,800,000		6.250		08/15/24	5,022,000
	6,600,000		5.875		09/30/26	6,798,000
Steel Dynamics, Inc. (BB+/Ba2)^(b)
	5,000,000		5.125		10/01/21	5,143,750
	5,000,000		5.250		04/15/23	5,168,750

						83,921,656

Mining – 4.1%
Anglo American Capital PLC (BB+/Ba1)^(a)
	3,950,000		9.375		04/08/19	4,409,187
	7,000,000		3.625		05/14/20	7,087,500
	3,800,000		4.450		09/27/20	3,961,500
	8,850,000		4.125		04/15/21	9,093,375
Cliffs Natural Resources, Inc. (B/B3)^(a)(b)
	8,000,000		5.750		03/01/25	7,520,000
Cliffs Natural Resources, Inc. (CCC+/Caa1)
	3,887,000		5.900		03/15/20	3,780,107
	5,000,000		4.800		10/01/20	4,693,750
First Quantum Minerals Ltd. (B-/B3)^(a)(b)
	12,850,000		7.250		04/01/23	12,625,125
	8,000,000		7.500		04/01/25	7,840,000
FMG Resources (August 2006) Pty Ltd. (BBB-/Baa3)^(a)(b)
	10,000,000		9.750		03/01/22	11,387,500
Freeport-McMoRan, Inc. (BB-/B1)^(b)
	21,400,000		3.550		03/01/22	20,089,250
	5,500,000		3.875		03/15/23	5,128,750
	12,000,000		5.450		03/15/43	10,335,000
Hudbay Minerals, Inc. (B/B3)^(a)(b)
	6,094,000		7.250		01/15/23	6,292,055
HudBay Minerals, Inc. (B/B3)^(a)(b)
	5,656,000		7.625		01/15/25	5,910,520
New Gold, Inc. (B/B3)^(a)(b)
	9,000,000		6.250		11/15/22	9,247,500
Teck Resources Ltd. (BB/B1)^(b)
	5,300,000		6.000		08/15/40	5,326,500
	3,250,000		6.250		07/15/41	3,367,813
	3,450,000		5.200		03/01/42	3,199,875
	2,850,000		5.400		02/01/43	2,671,875

						143,967,182

Noncaptive - Financial – 0.8%
CURO Financial Technologies Corp. (B-/Caa1)^(a)(b)
	7,700,000		12.000		03/01/22	8,046,500
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (BB+/Ba3)^(b)
	5,850,000		6.250		02/01/22	6,098,625


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Noncaptive - Financial – (continued)
Park Aerospace Holdings Ltd. (BB-/B1)^(a)
$	9,250,000		5.250	%	08/15/22	$ 9,646,344
	4,750,000		5.500		02/15/24	4,946,584

						28,738,053

Packaging – 1.6%
ARD Finance SA (B-/NR)^(b)(e)
EUR	7,000,000		6.625		09/15/23	8,536,312
$	15,300,000		7.125		09/15/23	16,332,750
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (B/B3)^(a)(b)
	9,822,000		7.250		05/15/24	10,730,535
	7,850,000		6.000		02/15/25	8,232,688
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (B+/B2)^(a)(b)
	12,500,000		5.125		07/15/23	12,937,500
Smurfit-Stone Container Corp. (NR/NR)
	8,500,000		8.000		03/15/17	—

						56,769,785

Paper – 0.2%
Jefferson Smurfit Corp. (NR/NR)
	1,750,000		0.750		06/01/13	—
	6,000,000		8.250	^(c)	10/01/49	—
Mercer International, Inc. (BB-/B1)^(b)
	6,000,000		7.750		12/01/22	6,450,000
Stone Container Finance Co. of Canada II (NR/WR)^(b)(c)
	2,250,000		7.375		07/15/14	—

						6,450,000

Pipelines^(b) – 1.0%
Cheniere Corpus Christi Holdings LLC (BB-/Ba3)^(a)
	11,400,000		5.125		06/30/27	11,685,000
DCP Midstream Operating LP (BB/Ba2)
	10,692,000		5.600		04/01/44	9,943,560
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. (B+/B2)
	11,850,000		5.750		04/15/25	11,909,250

						33,537,810

Printing^(a)(b) – 0.3%
Southern Graphics, Inc. (CCC+/Caa1)
	11,000,000		8.375		10/15/20	11,192,500

Property/Casualty Insurance^(a)(b) – 0.3%
USIS Merger Sub, Inc. (CCC+/Caa2)
	9,400,000		6.875		05/01/25	9,505,750

						9,505,750

Publishing^(a)(b) – 0.3%
Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)
	9,350,000		5.000		04/15/22	9,700,625

Real Estate^(b) – 0.3%
DuPont Fabros Technology LP (BB+/Ba1)
	10,000,000		5.625		06/15/23	10,650,000

Real Estate Investment Trust^(b) – 0.6%
iStar, Inc. (B+/B2)
	5,000,000		6.000		04/01/22	5,131,250


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Real Estate Investment Trust^(b) – (continued)
Uniti Group, Inc./CSL Capital LLC (B-/Caa1)
$	15,000,000		8.250	%	10/15/23	$ 15,450,000

						20,581,250

Retailers – 0.5%
JC Penney Corp., Inc. (B/B3)
	2,850,000		6.375		10/15/36	2,052,000
	9,350,000		7.400	^(f)	04/01/37	7,082,625
Neiman Marcus Group Ltd., Inc. (CC/Caa3)^(a)(b)(c)(e)
	2,797,000		8.750		10/15/21	1,353,049
PetSmart, Inc. (B-/B3)^(a)(b)
	8,000,000		7.125		03/15/23	7,120,000

						17,607,674

Retailers - Food & Drug^(a)(b) – 0.4%
Rite Aid Corp. (B-/B3)
	13,700,000		6.125		04/01/23	13,477,375

Services Cyclical - Business Services^(a)(b) – 0.3%
Neovia Logistics Services LLC/SPL Logistics Finance Corp. (CCC+/Caa1)
	5,150,000		8.875		08/01/20	4,017,000
WEX, Inc. (BB-/Ba3)
	7,000,000		4.750		02/01/23	7,043,750

						11,060,750

Services Cyclical - Rental Equipment^(b) – 0.5%
United Rentals North America, Inc. (BB+/Ba1)
	7,007,000		4.625		07/15/23	7,269,763
United Rentals North America, Inc. (BB-/B1)
	4,000,000		5.500		07/15/25	4,190,000
	6,000,000		5.875		09/15/26	6,390,000

						17,849,763

Technology^(a)(b) – 0.6%
Symantec Corp. (BB+/Baa3)
	21,250,000		5.000		04/15/25	22,217,895

Technology - Hardware – 3.6%
Advanced Micro Devices, Inc. (B-/Caa1)
	3,000,000		7.500		08/15/22	3,337,500
	6,700,000		7.000	^(b)	07/01/24	7,068,500
Alcatel-Lucent USA, Inc. (BB+/WR)
	16,195,000		6.450		03/15/29	18,948,150
CDW LLC/CDW Finance Corp. (BB-/Ba3)^(b)
	7,100,000		5.000		09/01/25	7,366,250
Dell International LLC/EMC Corp. (BB/Ba2)^(a)(b)
	4,000,000		5.875		06/15/21	4,190,000
Dell International LLC/EMC Corp. (BBB-/Baa3)^(a)(b)
	9,300,000		5.450		06/15/23	10,092,081
Micron Technology, Inc. (BB/Ba3)^(a)(b)
	12,000,000		5.250		08/01/23	12,480,000
Micron Technology, Inc. (BBB-/Baa2)^(b)
	4,000,000		7.500		09/15/23	4,472,000
NCR Corp. (BB/B1)^(b)
	9,700,000		5.000		07/15/22	9,918,250
Nokia OYJ (BB+/Ba1)
	3,435,000		4.375		06/12/27	3,499,406
Qorvo, Inc. (BB+/Ba1)^(b)


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Technology - Hardware – (continued)
$	3,750,000		6.750	%	12/01/23	$ 4,106,250
	4,300,000		7.000		12/01/25	4,891,250
VeriSign, Inc. (BB+/Ba1)
	5,000,000		5.250	^(b)	04/01/25	5,343,750
	5,600,000		4.750	^(a)	07/15/27	5,663,000
Western Digital Corp. (BB+/Ba2)^(b)
	19,100,000		10.500		04/01/24	22,538,000

						123,914,387

Technology - Software/Services^(b) – 2.3%
BMC Software Finance, Inc. (CCC+/Caa1)^(a)
	16,250,000		8.125		07/15/21	16,859,375
Equinix, Inc. (BB+/B1)
	11,050,000		5.750		01/01/25	11,892,562
	4,600,000		5.875		01/15/26	5,014,000
First Data Corp. (BB/Ba3)^(a)
	10,350,000		5.000		01/15/24	10,634,625
Infor US, Inc. (CCC+/Caa1)
EUR	7,000,000		5.750		05/15/22	8,299,099
$	10,450,000		6.500		05/15/22	10,789,625
Nuance Communications, Inc. (BB-/Ba3)^(a)
	4,286,000		5.375		08/15/20	4,355,648
	5,000,000		5.625		12/15/26	5,337,500
Open Text Corp. (BB+/Ba2)^(a)
	7,000,000		5.875		06/01/26	7,507,500

						80,689,934

Telecommunications – 4.2%
CenturyLink, Inc. (BB/Ba3)
	10,000,000		6.450		06/15/21	10,812,500
	750,000		6.750		12/01/23	806,250
	2,450,000		7.500	^(b)	04/01/24	2,682,750
	5,680,000		6.875		01/15/28	5,637,400
	6,000,000		7.600		09/15/39	5,580,000
Cincinnati Bell, Inc. (B/B3)^(a)(b)
	7,000,000		7.000		07/15/24	7,315,000
Frontier Communications Corp. (B+/B2)
	5,322,000		8.500		04/15/20	5,588,100
	5,100,000		6.250	^(b)	09/15/21	4,539,000
	13,850,000		10.500	^(b)	09/15/22	13,209,437
Level 3 Financing, Inc. (BB-/B1)^(b)
	750,000		5.375		01/15/24	783,750
	6,500,000		5.375		05/01/25	6,841,250
Telecom Italia Capital SA (BB+/Ba1)
	450,000		6.375		11/15/33	485,438
	1,550,000		6.000		09/30/34	1,637,188
	14,550,000		7.200		07/18/36	16,841,625
	16,450,000		7.721		06/04/38	19,883,937
Telecom Italia SpA (BB+/Ba1)^(a)
	17,250,000		5.303		05/30/24	18,522,187
Windstream Services LLC (B+/B2)^(b)
	22,000,000		7.750		10/15/20	22,165,000
	2,400,000		7.750		10/01/21	2,256,000

						145,586,812

Telecommunications - Cellular – 5.8%
Altice Financing SA (BB-/B1)^(a)(b)
	7,700,000		6.500		01/15/22	8,046,500
	19,000,000		6.625		02/15/23	20,116,250
	20,000,000		7.500		05/15/26	22,200,000


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Telecommunications - Cellular – (continued)
Altice Finco SA (B-/B3)^(a)(b)
$	7,000,000		8.125	%	01/15/24	$ 7,568,750
Digicel Ltd. (NR/B1)^(a)(b)
	750,000		6.000		04/15/21	721,875
Sprint Capital Corp. (B/B3)
	14,150,000		8.750		03/15/32	17,829,000
Sprint Communications, Inc. (B/B3)
	20,000,000		7.000		08/15/20	22,000,000
	14,700,000		11.500		11/15/21	18,907,875
Sprint Communications, Inc. (B+/B1)^(a)
	7,000,000		9.000		11/15/18	7,595,000
Sprint Corp. (B/B3)
	8,000,000		7.250		09/15/21	8,880,000
	31,900,000		7.875		09/15/23	36,685,000
T-Mobile USA, Inc. (BB/Ba3)^(b)
	5,000,000		4.000		04/15/22	5,200,000
	8,800,000		6.625		04/01/23	9,295,000
	3,450,000		6.500		01/15/26	3,807,938
	3,600,000		5.375		04/15/27	3,843,000
Wind Acquisition Finance SA (B/B3)^(a)(b)
	8,950,000		7.375		04/23/21	9,296,812
Wind Acquisition Finance SA (BB/Ba3)^(a)(b)
	250,000		6.500		04/30/20	258,750

						202,251,750

Telecommunications - Satellites^(b) – 1.2%
Intelsat Connect Finance SA (CCC-/Ca)^(a)
	10,000,000		12.500		04/01/22	8,987,500
Intelsat Jackson Holdings SA (CCC+/Caa2)
	2,000,000		7.250		04/01/19	2,000,000
	3,400,000		7.500		04/01/21	3,145,000
	10,950,000		9.750	^(a)	07/15/25	10,936,312
Intelsat Luxembourg SA (CCC-/Ca)
	28,000,000		7.750		06/01/21	15,400,000

						40,468,812

Utilities - Electric^(b) – 1.5%
Calpine Corp. (B/B2)
	5,000,000		5.375		01/15/23	4,868,750
	5,000,000		5.500		02/01/24	4,700,000
	6,100,000		5.750		01/15/25	5,718,750
Calpine Corp. (BB/Ba2)^(a)
	4,000,000		6.000		01/15/22	4,130,000
Dynegy, Inc. (B+/B3)
	5,000,000		6.750		11/01/19	5,150,000
	22,400,000		7.375		11/01/22	22,120,000
NRG Energy, Inc. (BB-/B1)
	5,200,000		6.250		07/15/22	5,330,000

						52,017,500

Utilities - Pipelines – 1.6%
Blue Racer Midstream LLC/Blue Racer Finance Corp. (B/B3)^(a)(b)
	3,250,000		6.125		11/15/22	3,274,375
DCP Midstream Operating LP (BB/Ba2)^(a)
	2,800,000		9.750		03/15/19	3,129,000
	950,000		6.750		09/15/37	1,021,250
Energy Transfer Equity LP (BB-/Ba2)
	4,000,000		7.500		10/15/20	4,480,000
	4,000,000		5.875	^(b)	01/15/24	4,230,000
	450,000		5.500	^(b)	06/01/27	465,750


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Utilities - Pipelines – (continued)
Genesis Energy LP/Genesis Energy Finance Corp. (B+/B1)^(b)
$	3,611,000		6.000	%	05/15/23	$ 3,547,808
Targa Resources Partners LP/Targa Resources Partners Finance Corp. (BB-/Ba3)^(b)
	5,000,000		5.250		05/01/23	5,125,000
	6,000,000		4.250		11/15/23	5,857,500
	4,500,000		5.375	^(a)	02/01/27	4,646,250
The Williams Cos., Inc. (BB+/Ba2)
	2,000,000		7.875		09/01/21	2,322,500
	3,250,000		7.500		01/15/31	3,843,154
	9,100,000		7.750		06/15/31	10,863,125
	2,000,000		5.750	^(b)	06/24/44	2,060,000

						54,865,712

Wirelines Telecommunications^(b) – 0.5%
Level 3 Financing, Inc. (BB-/B1)
	10,800,000		5.250		03/15/26	11,218,500
Windstream Corp. (B+/B2)
	8,400,000		7.500		06/01/22	7,497,000

						18,715,500

TOTAL CORPORATE OBLIGATIONS (Cost $3,028,494,130)						$3,126,502,966


Bank Loans^(g) – 3.6%
Consumer Cyclical Services – 0.2%
Asurion LLC (BB-/Ba3)
$	7,481,250		4.226	%	11/03/23	$ 7,518,656

						7,518,656

Consumer Cyclical Services - Business – 0.5%
First Data Corp. (BB/Ba3)
	18,700,000		2.250		07/08/22	18,662,039

						18,662,039

Diversified Manufacturing – 0.2%
Cortes NP Acquisition Corp. (B+/Ba3)
	5,588,308		5.226		11/30/23	5,606,917

Energy – 0.2%
American Energy - Marcellus LLC (D/Ca)
	11,500,055		5.339		08/04/20	7,340,830
American Energy - Marcellus LLC (D/C)
	3,275,000		8.589		08/04/21	301,300

						7,642,130

Energy - Coal – 0.2%
Murray Energy Corp. (B-/B2)
	7,213,685		8.546		04/16/20	7,033,343

Energy - Exploration & Production – 0.0%
Magnum Hunter Resources, Inc. (NR/NR)
	1,046,297		8.000		05/06/19	1,046,297

Entertainment & Leisure – 0.3%
Intrawest Resorts Holdings, Inc. (B/B2)
	6,100,000		4.250		06/28/24	6,107,625
Lions Gate Entertainment Corp. (NR/NR)
	4,817,500		4.226		12/08/23	4,843,081

						10,950,706


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(g) – (continued)
Food & Beverages – 0.3%
Shearer’s Foods, Inc. (CCC+/Caa2)
$	12,250,000		8.046	%	06/30/22	$ 11,821,250

Health Care - Services – 0.2%
MPH Acquisition Holdings LLC (B+/B1)
	3,579,426		4.296		06/07/23	3,576,634
Team Health Holdings, Inc. (NR/NR)
	4,763,063		3.976		02/06/24	4,719,909

						8,296,543

Media - Non Cable – 0.4%
Getty Images, Inc. (CCC+/B3)
	13,229,784		4.750		10/18/19	12,163,199

Noncaptive - Financial – 0.4%
Avolon TLB Borrower 1 (Luxembourg) S.a.r.l. (BBB-/Ba2)
	13,950,000		3.962		03/20/22	14,031,608

Pipelines – 0.2%
BCP Raptor LLC (NR/NR)
	5,600,000		5.466		06/06/24	5,530,000

						5,530,000

Retailers – 0.5%
Neiman Marcus Group Ltd., Inc. (CCC/Caa1)
	7,108,163		4.339		10/25/20	5,316,337
PetSmart, Inc. (B+/Ba3)
	9,200,000		4.220		03/11/22	8,545,788
True Religion Apparel, Inc. (CCC/Ca)
	8,250,750		6.101		07/30/19	1,770,446
True Religion Apparel, Inc. (CC/Ca)
	6,825,000		0.000		01/30/20	1,160,250

						16,792,821

TOTAL BANK LOANS (Cost $146,391,600)						$ 127,095,509


Shares		Rate				Value
Preferred Stocks – 0.4%
Energy - Exploration & Production^(h) – 0.3%
Berry Pete Corp.
	1,067,392		0.000%			$ 11,607,888

Media - Broadcasting & Radio^(e) – 0.1%
Spanish Broadcasting System, Inc.
	3,014		10.750			1,657,700

TOTAL PREFERRED STOCKS – 0.4% (Cost $13,716,254)						$ 13,265,588


Shares		Description				Value
Common Stocks – 1.1%
13,494			Berry Pete Restricted^(h)			$ 146,747
1,185,421			Berry Petroleum Corp.^(h)			10,816,967
670,713			Blue Ridge Mountain Resources, Inc.^(c)(h)			6,036,417
3,874			CB Paracelsus Healthcare			—
675,689			Chaparral Energy, Inc.			14,720,843


Shares		Description				Value
Common Stocks – (continued)
87,613			Cliffs Natural Resources, Inc.^(c)			$ 606,282
40			Dawn Holdings, Inc.			—
28,148			Motors Liquidation Co.			251,925
21			New Cotai Class B Shares			—
10			Nycomed			—
2,500			Port Townsend Holdings Co., Inc.			—
975,527			Whiting Petroleum Corp.^(c)			5,375,154

TOTAL COMMON STOCKS (Cost $53,003,899)						$ 37,954,335


Units		Expiration Date				Value
Warrant^(c) – 0.0%
Lender Process Services, Inc. (NR/NR)
14,274			12/31/20			$ —

TOTAL WARRANT – 0.0% (Cost $21,898,892)


Principal Amount		Distribution Rate			Maturity Date	Value
Exchange Traded Fund^(d)(i) – 0.7%
Goldman Sachs Treasury Access 0-1 Year ETF (NR/NR)
$	250,000		0.090	%		$ 25,017,500

TOTAL EXCHANGE TRADED FUND – 0.7% (Cost $25,016,400)


Shares		Distribution Rate				Value
Investment Company^(d)(i) – 5.9%
Goldman Sachs Financial Square Government Fund - Institutional Shares
	205,064,917		0.845%			$ 205,064,917
(Cost $205,064,917)

TOTAL INVESTMENTS – 101.5% (Cost $3,493,586,092)						$3,534,900,815


Principal Amount		Interest Rate (Paid) Received			Maturity Date	Value
Reverse Repurchase Agreements – (2.1)%
Barclays Reverse Repurchase Agreement (NR/NR)
$	(405,500)		(1.500)	%	06/01/18	$ (405,500)
	(2,331,000)		(1.500)		06/06/18	(2,331,000)
	(1,928,906)		(1.000)		06/07/18	(1,928,906)
	(4,706,250)		(0.750)		06/08/18	(4,706,250)
	(2,970,000)		(0.250)		06/14/18	(2,970,000)
	(4,122,813)		(1.000)		06/19/18	(4,122,813)
	(1,915,000)		(1.125)		06/20/18	(1,915,000)
	(1,915,000)		(1.500)		06/21/18	(1,915,000)
	(1,500,000)		(0.750)		06/26/18	(1,500,000)
	(1,137,500)		0.250		06/30/18	(1,137,500)
	(3,510,937)		(1.250)		05/09/19	(3,510,937)
	(3,663,000)		0.500		05/22/19	(3,663,000)
	(3,672,250)		0.500		05/23/19	(3,672,250)
Citigroup Reverse Repurchase Agreement (NR/NR)
	(2,846,250)		(0.875)		07/03/17	(2,847,011)
	(1,762,250)		(0.500)		05/08/18	(1,762,250)
	(7,115,500)		(1.250)		05/09/18	(7,115,500)
	(7,600,000)		(1.500)		05/09/18	(7,115,500)
	(3,942,188)		(1.000)		06/16/18	(3,942,188)
	(2,846,250)		(0.875)		06/22/18	(2,846,250)
	(1,578,750)		(1.000)		06/28/18	(1,578,750)


Principal Amount		Interest Rate (Paid) Received			Maturity Date	Value
Reverse Repurchase Agreements – (continued)
Citigroup Reverse Repurchase Agreement (NR/NR) – (continued)
$	(5,737,500)		0.350	%	05/08/19	$ (5,737,500)
First Boston Reverse Repurchase Agreement (NR/NR)
	(1,804,687)		(1.000)		05/12/18	(1,804,687)
	(1,236,000)		(1.500)		06/05/18	(1,236,000)
	(1,423,125)		(1.250)		06/07/18	(1,423,125)
Nomura Reverse Repurchase Agreement (NR/NR)
	(2,030,000)		(0.750)		05/16/18	(2,030,000)
	(1,007,500)		0.000		06/05/18	(1,007,500)

TOTAL REVERSE REPURCHASE AGREEMENTS (Cost $(74,224,417))						$ (74,224,417)

OTHER ASSETS IN EXCESS OFLIABILITIES – 0.6%						22,273,497

NET ASSETS – 100.0%						$3,482,949,895



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $1,384,861,311, which represents approximately 39.8% of net assets as of June 30, 2017.

(b)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(c)		Security is currently in default and/or non-income producing.

(d)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(e)		Pay-in-kind securities.

(f)		Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at June 30, 2017.

(g)		Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on June 30, 2017. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(h)		Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $28,608,019, which represents approximately 0.8% of net assets as of June 30, 2017.


Restricted Security	Acquisition Date		Cost
Berry Pete Corp. (Preferred Stocks)		05/06/16 - 08/18/16	$	10,673,910
Berry Petroleum Corp. (Common Stocks)		02/27/17		13,632,342
Blue Ridge Mountain Resources, Inc. (Common Stocks)		03/01/2017		6,692,580
Berry Pete Restricted (Common Stocks)		02/27/2017		134,940



/i)		Represents an affiliated issuer/Fund.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.



Currency Abbreviations:
EUR		— Euro
USD		— U.S. Dollar

Investment Abbreviations:
ETF		— Exchange Traded Fund
LLC		— Limited Liability Company
LP		— Limited Partnership
PLC		— Public Limited Company
WR		— Withdrawn Rating


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – 78.2%
Aerospace – 1.0%
Silver II US Holdings LLC (B/B3)
$	8,628,472		4.226	%	12/13/19	$ 8,551,593
Transdigm, Inc. (B+/Ba2)
	14,855,908		4.296		02/28/20	14,847,291
	7,924,606		4.296		06/04/21	7,915,730
	4,796,612		4.152		05/14/22	4,787,019
	5,433,835		4.226		06/09/23	5,422,695

						41,524,328

Airlines – 0.6%
Air Canada (BB+/Ba2)
	10,150,000		3.460		10/06/23	10,184,916
Delta Air Lines, Inc. (BBB-/Baa2)
	14,751,567		3.617		10/18/18	14,797,739
	736,875		3.726		08/24/22	740,103

						25,722,758

Automotive - Distributor – 0.2%
American Axle & Manufacturing, Inc. (BB/Ba2)
	8,934,750		3.470		04/06/24	8,845,403

Automotive - Parts – 0.8%
CS Intermediate Holdco 2 LLC (BBB-/Ba1)
	4,713,041		3.546		10/26/23	4,709,129
Gates Global LLC (B+/B2)
	20,858,757		4.546		04/01/24	20,839,776
Jason, Inc. (B/B3)
	8,696,788		5.796		06/30/21	7,932,166

						33,481,071

Building Materials – 2.4%
American Builders & Contractors Supply Co., Inc. (BB+/B1)
	28,967,894		3.726		10/31/23	29,025,830
Associated Asphalt Partners LLC (B/B3)
	2,175,000		6.476		03/21/24	2,204,906
Atkore International, Inc. (B+/B2)
	22,847,567		4.300		12/22/23	22,904,686
CPG International, Inc. (B/B2)
	3,857,279		5.046		05/03/24	3,874,174
HD Supply, Inc. (BB/Ba3)
	1,578,030		4.046		08/13/21	1,580,002
Jeld-Wen, Inc. (BB-/B1)
	27,875,164		4.296		07/01/22	28,084,227
LBM Borrower LLC (B+/B3)
	14,233,813		6.452		08/20/22	14,287,190

						101,961,015

Capital Goods - Others – 0.4%
Avis Budget Car Rental LLC (BBB-/Baa3)
$	12,437,500		3.300		03/15/22	12,398,695
Columbus McKinnon Corp. (B+/Ba3)
	2,769,794		4.296		01/31/24	2,783,643

						15,182,338

Chemicals – 2.7%
Alpha 3 BV (B+/B1)
	14,157,500		4.296		01/31/24	14,175,197


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Chemicals – (continued)
Ashland, Inc. (BB+/Ba1)
$	5,900,000		3.242	%	05/24/24	$ 5,918,467
Axalta Coating Systems US Holdings, Inc. (BBB-/Ba1)
	29,392,610		3.296		06/01/24	29,463,152
Emerald Performance Materials LLC (B/B1)
	7,230,747		4.726		08/01/21	7,278,181
Emerald Performance Materials LLC (B-/Caa1)
	6,350,000		8.976		08/01/22	6,332,157
The Chemours Co. (BB+/Ba1)
	5,909,415		3.570		05/12/22	5,925,666
Univar, Inc. (BB/B2)
	29,136,070		3.976		07/01/22	29,149,764
Versum Materials, Inc. (BB+/Ba1)
	14,540,125		3.796		09/29/23	14,658,336

						112,900,920

Construction Machinery – 0.4%
Clark Equipment Co. (BB-/B1)
	8,309,063		3.929		05/18/24	8,327,758
Milacron LLC (B/B2)
	9,496,596		4.226		09/28/23	9,508,466

						17,836,224

Consumer Cyclical Services - Business – 1.0%
Colorado Buyer, Inc. (B+/Ba3)
	8,650,000		4.170		05/01/24	8,660,813
Colorado Buyer, Inc. (CCC+/B3)
	2,875,000		8.420		05/01/25	2,891,186
Element Materials Technology Group US Holdings, Inc. (B/B1)
	1,125,000		4.500		06/01/24	1,135,159
Sabre, Inc. (BB-/Ba2)
	19,848,993		3.976		02/22/24	19,965,903
Tempo Acquisition LLC (B/B1)
	10,000,000		4.060		05/01/24	10,017,200

						42,670,261

Consumer Products - Household & Leisure – 1.7%
Bombardier Recreational Products, Inc. (BB/Ba3)
	15,448,816		4.230		06/30/23	15,519,571
Coty, Inc. (BBB-/Ba1)
	4,197,035		3.576		10/27/22	4,202,281
Galleria Co. (BBB-/Ba1)
	8,500,000		4.125		09/29/23	8,542,500
Prestige Brands, Inc. (BB-/B1)
	11,831,184		3.976		01/26/24	11,873,895
Renfro Corp. (B/B3)
	21,831,838		5.750		01/30/19	21,613,520
Spectrum Brands, Inc. (BB+/Ba1)
	9,157,599		3.172		06/23/22	9,186,262

						70,938,029

Consumer Products - Industrial – 0.2%
Southwire Co. (BB+/Ba2)
	8,737,801		3.617		02/10/21	8,726,879

Diversified Manufacturing – 1.9%
Cortes NP Acquisition Corp. (B+/Ba3)
	5,515,733		5.226		11/30/23	5,534,100
CPM Holdings, Inc. (B+/B1)
	7,183,666		5.476		04/11/22	7,255,502


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Diversified Manufacturing – (continued)
Crosby US Acquisition Corp. (B-/Caa1)
$	22,043,935		4.172	%	11/23/20	$ 19,949,762
Dynacast International LLC (B/B1)
	3,429,689		4.546		01/28/22	3,440,424
Gardner Denver, Inc. (B+/B2)
	4,409,728		4.546		07/30/20	4,414,050
Mannington Mills, Inc. (BB-/B1)
	3,303,920		5.046		10/01/21	3,316,309
MKS Instruments, Inc. (BB+/Ba2)
	6,690,410		3.976		05/01/23	6,707,136
Rexnord LLC (BB-/B1)
	29,280,443		3.903		08/21/23	29,272,245

						79,889,528

Energy – 3.4%
American Energy - Marcellus LLC (D/Ca)
	12,798,830		5.339		08/04/20	8,169,877
American Energy - Marcellus LLC (D/C)
	34,190,000		8.589		08/04/21	3,145,480
Chesapeake Energy Corp. (B+/B3)
	14,465,000		8.686		08/23/21	15,282,272
CITGO Holding, Inc. (B-/Caa1)
	3,936,146		9.796		05/12/18	3,991,488
FTS International, Inc. (CCC/Ca)
	9,900,000		5.976		04/16/21	7,895,250
Jonah Energy LLC (B/Caa1)
	9,250,000		7.726		05/12/21	8,802,948
Magnum Hunter Resources, Inc. (NR/NR)
	2,006,875		8.000		10/22/19	2,006,875
MEG Energy Corp. (BB+/Ba3)
	61,518,472		4.680		12/31/23	59,865,471
Murray Energy Corp. (B-/B2)
	21,633,996		8.546		04/16/20	21,093,146
Peabody Energy Corp. (B+/Ba3)
	11,495,313		5.726		03/31/22	11,469,448

						141,722,255

Entertainment – 0.3%
AMC Entertainment, Inc. (BB/Ba1)
	3,541,125		3.466		12/15/23	3,546,437
Cedar Fair LP (BBB-/Ba1)
	2,254,000		3.476		04/13/24	2,268,088
Lions Gate Entertainment Corp. (BB-/Ba2)
	7,343,750		4.226		12/08/23	7,382,745

						13,197,270

Environmental – 2.0%
Advanced Disposal Services, Inc. (BB/B1)
	48,383,694		3.939		11/10/23	48,530,781
Casella Waste Systems, Inc. (B+/B1)
	4,353,125		3.959		10/17/23	4,366,750
EnergySolutions LLC (B-/B3)
	31,222,611		6.980		05/29/20	31,378,724

						84,276,255

Finance – 2.7%
Avolon TLB Borrower 1 (Luxembourg) S.a.r.l. (BBB-/Ba2)
	3,750,000		3.462		09/20/20	3,763,125
	55,150,000		3.962		03/20/22	55,472,628


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Finance – (continued)
CeramTec Acquisition Corp. (B/Ba3)
$	620,143		3.952	%	08/30/20	$ 620,143
	1,568,341		3.952		08/30/20	1,568,341
	5,153,965		3.952		08/30/20	5,153,965
Fortress Investment Group LLC (BB-/Baa3)
	6,550,000		2.750		06/02/22	6,585,501
SBA Senior Finance II LLC (BB/B1)
	15,980,628		3.480		03/24/21	16,006,676
Victory Capital Management, Inc. (BB-/B2)
	22,199,727		8.796		10/31/21	22,477,223

						111,647,602

Food & Beverages – 2.9%
Blue Buffalo Co. Ltd. (BB+/Ba2)
	1,186,698		3.216		05/18/24	1,194,613
Candy Intermediate Holdings, Inc. (B-/B3)
	10,667,936		5.796		06/15/23	10,207,934
Dole Food Co., Inc. (B-/B1)
	5,750,000		4.150		04/06/24	5,757,188
High Liner Foods, Inc. (B+/B2)
	8,590,614		4.326		04/24/21	8,606,764
Shearer’s Foods, Inc. (B/B3)
	16,858,287		5.234		06/30/21	16,795,068
	1,966,410		5.546		06/30/21	1,961,494
Shearer’s Foods, Inc. (CCC+/Caa2)
	17,175,000		8.046		06/30/22	16,573,875
US Foods, Inc. (BB/B1)
	59,629,167		3.980		06/27/23	59,848,006

						120,944,942

Food & Drug Retailers – 2.8%
Albertsons LLC (BB/Ba2)
	5,526,537		3.976		08/25/21	5,451,929
	1,987,500		4.293		12/21/22	1,964,028
	1,957,860		4.251		06/22/23	1,934,209
BJ’s Wholesale Club, Inc. (B-/B3)
	67,825,000		4.968		02/03/24	65,641,713
BJ’s Wholesale Club, Inc. (CCC/Caa2)
	27,925,000		8.710		02/03/25	26,973,874
Rite Aid Corp. (BB-/B2)
	7,590,000		5.980		08/21/20	7,646,925
	7,195,000		5.105		06/21/21	7,212,987

						116,825,665

Gaming – 1.4%
Caesars Entertainment Operating Co., Inc. (NR/WR)
	6,890,990		1.500		03/01/22	8,617,596
Caesars Entertainment Resort Properties LLC (CCC+/B1)
	11,932,262		4.726		10/11/20	11,989,418
CityCenter Holdings LLC (BB-/B1)
	6,150,000		3.716		04/18/24	6,155,966
Eldorado Resorts LLC (BB/Ba3)
	10,797,938		3.375		04/17/24	10,703,456
Intrawest Resorts Holdings, Inc. (B/B2)
	14,750,000		4.250		06/28/24	14,768,437
Seminole Tribe of Florida (BBB/Baa2)
	7,100,000		2.250		06/21/24	7,110,650

						59,345,523


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Health Care – 0.5%
Community Health Systems, Inc. (BB-/Ba3)
$	5,446,619		3.952	%	12/31/19	$ 5,436,651
	17,662,502		4.202		01/27/21	17,623,821

						23,060,472

Health Care - Pharmaceuticals – 2.4%
Grifols Worldwide Operations USA, Inc. (BB/Ba2)
	26,562,214		3.436		01/31/25	26,580,011
Valeant Pharmaceuticals International, Inc. (BB-/Ba3)
	73,871,531		5.830		04/01/22	74,841,464

						101,421,475

Health Care - Services – 7.5%
21st Century Oncology Holdings, Inc. (D/WR)
	1,696,195		8.710		11/24/17	1,713,156
	12,495,000		7.425		04/30/22	11,745,300
Air Medical Group Holdings, Inc. (B/B3)
	16,434,457		4.474		04/28/22	16,109,877
	35,344,835		5.159		04/28/22	35,150,438
Air Methods Corp. (B+/B1)
	10,547,392		4.796		04/21/24	10,428,734
American Renal Holdings, Inc. (B+/B2)
	11,525,000		4.500		09/20/19	11,492,615
Change Healthcare Holdings, Inc. (B+/Ba3)
	26,372,192		3.976		03/01/24	26,361,116
ExamWorks Group, Inc. (B/B1)
	3,895,612		4.476		07/27/23	3,907,805
HCA, Inc. (BBB-/Ba1)
	7,951,286		3.226		03/17/23	7,966,632
	9,920,138		3.476		02/15/24	9,965,076
MPH Acquisition Holdings LLC (B+/B1)
	40,725,512		4.296		06/07/23	40,693,746
Press Ganey Holdings, Inc. (B/B2)
	5,820,750		4.476		10/21/23	5,835,302
Sedgwick Claims Management Services, Inc. (B+/B1)
	15,522,269		3.976		03/01/21	15,513,887
Sedgwick Claims Management Services, Inc. (CCC+/Caa2)
	12,850,000		6.952		02/28/22	12,890,220
	13,600,758		6.976		02/28/22	13,668,761
Sterigenics-Nordion Holdings LLC (B/B3)
	20,202,918		4.150		05/15/22	20,127,156
Team Health Holdings, Inc. (B/B1)
	20,473,688		3.976		02/06/24	20,288,196
U.S. Renal Care, Inc. (B/B2)
	48,932,800		5.546		12/31/22	47,235,321
U.S. Renal Care, Inc. (CCC+/Caa2)
	4,025,000		9.296		12/31/23	3,778,469

						314,871,807

Lodging – 0.8%
Four Seasons Holdings, Inc. (BB/B1)
	7,999,545		3.726		11/30/23	8,046,182
Hilton Worldwide Finance LLC (BBB-/Ba1)
	7,967,049		3.216		10/25/23	7,987,843
La Quinta Intermediate Holding LLC (BB/B1)
	16,391,964		3.908		04/14/21	16,448,353

						32,482,378


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Media - Broadcasting & Radio – 3.6%
Cable One, Inc. (BBB-/Ba1)
$	5,000,000		3.430	%	05/01/24	$5,012,500
Communications Sales & Leasing, Inc. (BB-/B1)
	7,928,715		4.226		10/24/22	7,938,626
Entercom Radio LLC (BB-/B1)
	6,870,000		4.702		11/01/23	6,894,045
Getty Images, Inc. (CCC+/B3)
	72,757,041		4.796		10/18/19	66,891,368
iHeart Communications, Inc. (CC/Caa1)
	8,000,000		7.976		01/30/19	6,513,360
	22,272,038		8.726		07/30/19	18,123,871
Nexstar Broadcasting, Inc. (BB+/Ba3)
	14,536,255		4.238		01/17/24	14,559,658
Sesac Holdco II LLC (B+/B2)
	1,471,313		4.476		02/23/24	1,463,956
Tribune Media Co. (BB+/Ba3)
	1,004,590		4.226		12/27/20	1,006,479
	12,520,935		4.226		01/27/24	12,549,107
Univision Communications, Inc. (BB-/B2)
	10,546,564		3.976		03/15/24	10,331,203

						151,284,173

Media - Cable – 3.0%
Altice Financing SA (BB-/B1)
	3,625,000		3.908		07/15/25	3,612,530
Charter Communications Operating LLC (BBB-/Ba1)
	29,019,616		3.230		07/01/20	29,095,938
	14,318,317		3.230		01/03/21	14,354,112
	3,811,416		3.230		01/15/22	3,819,534
	8,000,047		3.480		01/15/24	8,025,568
CSC Holdings LLC (BB/Ba1)
	13,996,094		3.459		07/17/25	13,887,624
GCI Holdings, Inc. (BB+/Ba2)
	5,079,035		4.226		02/02/22	5,104,430
Numericable Group SA (B+/B1)
	5,800,000		3.944		07/31/25	5,747,452
Numericable U.S. LLC (B+/B1)
	1,525,000		4.422		01/14/25	1,521,828
Virgin Media Investment Holdings Ltd. (BB-/Ba3)
	24,950,000		3.909		01/31/25	24,943,762
Wave Division Holdings LLC (BB-/Ba3)
	8,120,572		3.930		10/15/19	8,124,957
Ziggo Secured Finance BV (BB-/Ba3)
	9,525,000		3.659		04/15/25	9,492,520

						127,730,255

Media - Non Cable – 5.2%
Advantage Sales & Marketing, Inc. (B/B1)
	15,538,423		4.546		07/23/21	14,868,406
Advantage Sales & Marketing, Inc. (CCC+/Caa1)
	4,203,226		7.796		07/25/22	4,014,081
Ascend Learning LLC (B+/B2)
	13,550,000		4.500		07/05/22	13,550,000
Cengage Learning Acquisitions, Inc. (B+/B2)
	10,387,430		5.339		06/07/23	9,791,296
Checkout Holding Corp. (B-/B1)
	37,174,320		4.726		04/09/21	30,901,154
Checkout Holding Corp. (CCC-/Caa1)
	23,600,000		7.976		04/11/22	15,074,500


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Media - Non Cable – (continued)
EMI Music Publishing Ltd. (BB-/Ba3)
$	7,767,570		3.576	%	08/21/23	$ 7,766,172
McGraw-Hill Global Education Holdings LLC (B+/Ba3)
	19,206,007		5.226		05/04/22	18,866,829
Mission Broadcasting, Inc. (BB+/Ba3)
	1,436,291		4.238		01/17/24	1,438,603
NEP Supershooters LP (B-/Caa1)
	20,832,739		10.039		07/22/20	20,858,780
NEP/NCP Holdco, Inc. (B/B1)
	4,525,000		4.250		01/22/20	4,523,597
NEP/NCP Holdco, Inc. (NR/B1)
	27,138,514		4.476		01/22/20	27,130,102
NEP/NCP Holdco, Inc. (B+/B1)
EUR	5,897,806		4.500		11/17/23	6,761,438
Nielsen Finance LLC (BBB-/Ba1)
$	10,495,750		3.096		10/04/23	10,502,887
Renaissance Learning, Inc. (B-/B2)
	15,439,961		5.046		04/09/21	15,483,347
Renaissance Learning, Inc. (CCC/Caa2)
	9,423,236		8.296		04/11/22	9,383,941
WMG Acquisition Corp. (B+/Ba3)
	6,087,047		3.716		11/01/23	6,081,325

						216,996,458

Metals & Mining – 0.8%
Global Brass & Copper, Inc. (BB-/B2)
	7,968,429		5.500		07/18/23	7,968,429
Hi Crush Partners LP (B/Caa1)
	25,023,258		5.046		04/28/21	24,126,674

						32,095,103

Packaging – 1.9%
Anchor Glass Container Corp. (B/B1)
	1,588,415		4.339		12/07/23	1,595,499
Berry Plastics Group, Inc. (BB/Ba3)
	16,289,652		3.367		02/08/20	16,285,091
	17,435,295		3.367		01/06/21	17,425,182
	922,688		3.617		10/01/22	922,300
	2,605,495		3.726		10/01/22	2,606,954
BWAY Holding Co. (B-/B2)
	1,500,000		4.750		08/14/23	1,499,190
Charter NEX US Holdings, Inc. (B/B2)
	3,000,000		4.476		05/16/24	2,998,140
Consolidated Container Co. LLC (B+/B3)
	2,950,000		4.726		05/22/24	2,961,682
Reynolds Group Holdings, Inc. (B+/B2)
	17,762,624		4.226		02/05/23	17,775,591
SIG Combibloc U.S. Acquisition, Inc. (B+/B1)
	15,197,127		4.226		03/13/22	15,292,109

						79,361,738

Paper – 0.1%
Flex Acquisition Co., Inc. (B/B1)
	4,725,000		4.398		12/29/23	4,735,820

Pipelines – 0.5%
BCP Raptor LLC (B+/B3)
	10,725,000		5.466		06/06/24	10,590,938


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Pipelines – (continued)
Williams Partners LP (BBB/Ba2)
$	10,600,000		1.250	%	12/23/18	$ 10,573,500

						21,164,438

Property/Casualty Insurance – 0.2%
USI, Inc. (B/B2)
	7,625,000		4.180		05/16/24	7,567,813

Real Estate – 0.9%
MGM Growth Properties LLC (BB+/Ba3)
	23,563,817		3.476		04/25/23	23,584,553
Realogy Corp. (BB+/Ba1)
	12,082,462		3.476		07/20/22	12,112,668

						35,697,221

Restaurants – 2.0%
1011778 B.C. Unlimited Liability Co. (B+/Ba3)
	75,376,247		3.546		02/16/24	75,164,440
NPC International, Inc. (B/B1)
	10,350,000		4.716		04/19/24	10,421,208

						85,585,648

Retailers – 2.2%
Academy Ltd. (B-/B2)
	17,966,584		5.220		07/01/22	13,888,169
American Apparel (USA) LLC (NR/NR)^(b)
3,746,635			0.000		11/30/17	3,746,635
1,578,192			0.000		11/30/17	1,578,192
American Apparel (USA) LLC (NR/WR)^(b)
	5,979,743		0.000		11/30/17	1,016,556
Bass Pro Group LLC (B+/B1)
	11,050,988		4.367		06/05/20	11,016,509
Dollar Tree, Inc. (BBB-/Baa3)
	2,962,025		2.938		07/06/20	2,962,025
J Crew Group, Inc. (CCC-/Caa1)
	2,325,000		4.296		03/05/21	1,376,911
Michaels Stores, Inc. (BB+/Ba2)
	10,211,664		3.976		01/30/23	10,179,803
Neiman Marcus Group Ltd., Inc. (CCC/Caa1)
	18,510,441		4.339		10/25/20	13,844,329
PetSmart, Inc. (B+/Ba3)
	30,944,394		4.220		03/11/22	28,743,939
True Religion Apparel, Inc. (CCC/Ca)
	16,646,250		6.171		07/30/19	3,571,952
True Religion Apparel, Inc. (CC/Ca)
	7,650,000		0.000		01/30/20	1,300,500

						93,225,520

Services Cyclical - Business Services – 2.5%
Acosta Holdco, Inc. (B/B2)
	11,017,891		4.476		09/26/21	9,827,959
Equinix, Inc. (BBB-/Ba2)
EUR	2,643,375		3.250		01/05/24	3,046,030
EVO Payments International LLC (B/B1)
$	17,501,138		6.230		12/22/23	17,668,798
First Data Corp. (BB/Ba3)
2,819,792			3.466		07/08/22	2,814,068
35,499,733			3.716		04/26/24	35,486,953


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Services Cyclical - Business Services – (continued)
Global Payments, Inc. (BBB-/Ba2)
$	12,355,964		3.226	%	04/22/23	$ 12,386,853
Koosharem LLC (CCC+/Caa1)
	6,763,430		7.796		05/16/20	6,306,899
Vantiv LLC (BBB-/Ba2)
	18,043,908		3.659		10/14/23	18,171,659

						105,709,219

Services Cyclical - Consumer Services – 2.6%
Asurion LLC (BB-/Ba3)
	25,898,017		4.476		08/04/22	26,003,163
	2,428,162		4.226		11/03/23	2,440,302
Bright Horizons Family Solutions, Inc. (BB/Ba3)
	32,684,189		3.476		11/07/23	32,823,097
Spin Holdco, Inc. (B/B2)
	25,056,031		4.966		11/14/22	24,893,166
Travelport Finance S.a.r.l. (B+/B2)
	1,994,772		4.432		09/02/21	1,997,266
Weight Watchers International, Inc. (B-/B3)
	19,541,296		4.330		04/02/20	18,798,922

						106,955,916

Technology - Software/Services – 5.5%
Almonde, Inc. (B/B2)
	15,300,000		4.736		06/13/24	15,294,339
Almonde, Inc. (CCC+/Caa2)
	3,825,000		8.459		06/13/25	3,890,561
Ancestry.com Operations, Inc. (B/B1)
	8,910,000		4.340		10/19/23	8,939,670
Aspect Software, Inc. (NR/WR)
	4,532,814		11.216		05/25/20	4,476,154
Avast Software BV (BB-/Ba3)
	5,363,359		4.546		09/30/23	5,411,147
BMC Software Finance, Inc. (B+/Ba3)
EUR	5,015,837		4.500		09/10/20	5,741,956
BMC Software Finance, Inc. (B+/B1)
$	41,380,627		5.226		09/10/22	41,439,801
Cavium, Inc. (BB/Ba3)
	4,788,670		3.466		08/16/22	4,776,698
CCC Information Services, Inc. (B/B2)
	6,125,000		4.230		04/27/24	6,098,969
CCC Information Services, Inc. (CCC/Caa2)
	2,675,000		7.976		04/27/25	2,738,531
Electrical Components International, Inc. (B/B1)
	11,737,886		6.046		05/28/21	11,781,903
Infor (US), Inc. (B/B1)
	38,736,008		4.046		02/01/22	38,466,405
MA FinanceCo. LLC (BB-/B1)
	3,875,796		4.789		11/20/19	3,880,640
	7,009,713		3.672		11/19/21	6,996,605
Micron Technology, Inc. (BBB-/Baa2)
	27,226,237		3.800		04/26/22	27,424,716
Seattle Spinco, Inc. (BB-/B1)
	26,174,204		2.750		04/19/24	26,206,922
SS&C Technologies, Inc. (BB+/Ba2)
	11,110,810		3.476		07/08/22	11,149,031
	673,922		3.476		07/08/22	676,240


Principal Amount		Interest Rate			Maturity Date	Value
Bank Loans^(a) – (continued)
Technology - Software/Services – (continued)
Western Digital Corp. (BBB-/Ba1)
$	3,496,530		3.976	%	04/29/23	$ 3,508,348

						228,898,636

Utilities - Electric – 1.3%
AES Corp. (BBB-/Ba1)
	7,506,188		3.192		05/24/22	7,479,916
Calpine Corp. (BB/Ba2)
	28,192,486		2.980		11/30/17	28,192,486
	14,630,364		4.050		01/15/24	14,596,129
Pike Corp. (B/B1)
	2,917,688		4.980		03/10/24	2,954,158

						53,222,689

Wireless Telecommunications – 5.3%
Asurion LLC (B-/B3)
	71,589,949		8.726		03/03/21	71,858,412
Digicel International Finance Ltd. (NR/Ba2)
	22,600,000		4.940		05/28/24	22,734,244
Intelsat Jackson Holdings SA (BB-/B1)
	101,795,848		4.000		06/30/19	100,857,290
LTS Buyer LLC (B/B1)
	4,637,443		4.546		04/13/20	4,651,356
Sprint Communications, Inc. (BB-/Ba2)
	23,042,250		3.750		02/02/24	23,037,411

						223,138,713

Wirelines Telecommunications – 0.6%
Avaya, Inc. (NR/WR)
	1,618,677		8.617		01/24/18	1,668,160
CenturyLink, Inc. (CC/Caa1)
	8,000,000		2.750		01/31/25	7,904,480
Consolidated Communications, Inc. (BB-/Ba3)
	8,800,000		4.000		10/05/23	8,819,800
Level 3 Financing, Inc. (BBB-/Ba1)
	5,000,000		4.000		01/15/20	5,009,400

						23,401,840

TOTAL BANK LOANS (Cost $3,364,331,130)						$3,276,245,598


Corporate Obligations – 13.5%
Airlines – 0.7%
Air Canada 2013-1 Class C Pass Through Trust (BB/Ba2)^(c)
$	7,681,000		6.625	%	05/15/18	$ 7,919,495
Air Canada Pass Through Trust Series 2013-1, Class B (BBB/Baa3)^(c)
	12,721,333		5.375		11/15/22	13,373,302
Continental Airlines 2012-3 Class C Pass Through Trust (NR/Ba1)
	4,825,000		6.125		04/29/18	4,945,625
United Airlines 2014-1 Class B Pass Through Trust (BBB-/NR)
	305,771		4.750		10/11/23	316,856
United Continental Holdings, Inc. (BB-/Ba3)
	4,513,000		6.375		06/01/18	4,676,596

						31,231,874

Automotive^(c)(d)(e) – 0.2%
IHO Verwaltungs GmbH (BB-/Ba1)
	6,700,000		4.500		09/15/23	6,800,500


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Construction Machinery^(d) – 0.2%
Welbilt, Inc. (B/Caa1)
$	8,200,000		9.500	%	02/15/24	$ 9,563,250

Consumer Cyclical Services - Business – 1.0%
Escrow Ambassadors Group, Inc. (NR/NR)^(b)
	9,986,469		13.000		04/15/20	—
First Data Corp. (B/B3)^(c)(d)
	9,500,000		7.000		12/01/23	10,141,250
	30,125,000		5.750		01/15/24	31,330,000

						41,471,250

Consumer Products - Industrial^(c)(d) – 0.4%
HD Supply, Inc. (BB/Ba3)
	14,700,000		5.250		12/15/21	15,416,625

Energy^(d) – 0.9%
Exterran Energy Solutions LP/EES Finance Corp. (B+/B3)^(c)
	9,850,000		8.125		05/01/25	10,047,000
FTS International, Inc. (B/WR)^(c)(f)
	18,900,000		8.746		06/15/20	18,805,500
Noble Holding International Ltd. (BB-/B2)
	11,000,000		7.750		01/15/24	8,676,250

						37,528,750

Energy - Exploration & Production^(d) – 0.3%
Antero Resources Corp. (BB/Ba3)
	8,075,000		5.625		06/01/23	8,196,125
SM Energy Co. (B+/B2)
	2,400,000		6.750		09/15/26	2,286,000

						10,482,125

Finance – 0.5%
Ally Financial, Inc. (BB+/Ba3)
	7,525,000		3.750		11/18/19	7,684,906
International Lease Finance Corp. (BBB-/Baa2)^(c)
	1,000,000		7.125		09/01/18	1,058,347
International Lease Finance Corp. (BBB-/Baa3)
	7,500,000		5.875		04/01/19	7,965,547
Navient Corp. (B+/Ba3)
	4,550,000		6.625		07/26/21	4,899,372

						21,608,172

Food and Beverage^(c)(d) – 0.3%
Performance Food Group, Inc. (BB-/B2)
	9,800,000		5.500		06/01/24	10,094,000
Shearer’s Foods LLC/Chip Finance Corp. (B/B3)
	900,000		9.000		11/01/19	939,375

						11,033,375

Gaming^(d) – 1.0%
Caesars Entertainment Operating Co., Inc. (NR/WR)^(b)
	14,605,821		9.000		02/15/20	18,841,510
Scientific Games International, Inc. (B+/Ba3)^(c)
	22,075,000		7.000		01/01/22	23,509,875

						42,351,385


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Health Care – 2.1%
CHS/Community Health Systems, Inc. (CCC+/Caa1)^(d)
$	5,500,000		8.000	%	11/15/19	$ 5,527,500
CHS/Community Health Systems, Inc. (BB-/Ba3)^(d)
	3,800,000		6.250		03/31/23	3,933,000
HCA, Inc. (BBB-/Ba1)
	10,000,000		3.750		03/15/19	10,200,000
	12,900,000		5.000		03/15/24	13,657,875
	13,225,000		5.250		04/15/25	14,216,875
	16,775,000		5.250	^(d)	06/15/26	18,091,837
Tenet Healthcare Corp. (BB-/Ba3)^(d)(f)
	8,000,000		4.746		06/15/20	8,080,000
Tenet Healthcare Corp. (B-/Ba3)^(c)(d)
	2,975,000		7.500		01/01/22	3,220,438
THC Escrow Corp. III (B-/Ba3)^(c)(d)
	9,650,000		5.125		05/01/25	9,686,187

						86,613,712

Media - Broadcasting & Radio^(c)(d) – 0.7%
Abe Investment Holdings, Inc./Getty Images, Inc. (CCC+/B3)
	11,300,000		10.500		10/16/20	11,526,000
Nexstar Broadcasting, Inc. (B+/B3)
	2,500,000		5.625		08/01/24	2,525,000
Univision Communications, Inc. (BB-/B2)
	13,339,000		6.750		09/15/22	13,872,560

						27,923,560

Media - Cable – 1.2%
Altice Financing SA (BB-/B1)^(c)(d)
	8,075,000		7.500		05/15/26	8,963,250
DISH DBS Corp. (B+/Ba3)
	5,000,000		7.750		07/01/26	5,918,750
SFR Group SA (B+/B1)^(c)(d)
	16,300,000		6.250		05/15/24	17,237,250
Virgin Media Secured Finance PLC (BB-/Ba3)^(c)(d)
	16,300,000		5.500		08/15/26	17,053,875

						49,173,125

Media - Non Cable^(d) – 0.3%
Nielsen Finance LLC/Nielsen Finance Co. (BB+/B1)^(c)
	7,800,000		5.000		04/15/22	8,092,500
Tribune Media Co. (BB-/B3)
	3,125,000		5.875		07/15/22	3,273,438
Univision Communications, Inc. (BB-/B2)
	2,032,000		6.750		09/15/22	2,115,820

						13,481,758

Noncaptive - Financial^(c)(d) – 0.2%
CURO Financial Technologies Corp. (B-/Caa1)
	7,250,000		12.000		03/01/22	7,576,250

Packaging^(d) – 0.8%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (BB/Ba3)^(c)
EUR	911,688		4.250		01/15/22	1,063,027
$	8,200,000		4.250		09/15/22	8,394,750
	3,000,000		4.625		05/15/23	3,075,000
Berry Plastics Corp. (B+/B3)
	13,300,000		5.500		05/15/22	13,832,000


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Packaging^(d) – (continued)
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (B+/B2)^(c)
$	4,800,000		4.658	%^(f)	07/15/21	$ 4,896,000
2,000,000			5.125		07/15/23	2,070,000

						33,330,777

Pharmaceuticals^(c)(d) – 0.4%
Endo Dac/Endo Finance LLC/Endo Finco, Inc. (BB/Ba2)
	10,000,000		5.875		10/15/24	10,325,000
Valeant Pharmaceuticals International, Inc. (BB-/Ba3)
	7,750,000		7.000		03/15/24	8,166,562

						18,491,562

Restaurants^(d) – 0.6%
New Red Finance, Inc. (B+/Ba3)
2,825,000			4.625	^(c)	01/15/22	2,885,031
5,600,000			4.625		01/15/22	5,719,000
New Red Finance, Inc. (B-/B3)^(c)
	8,925,000		6.000		04/01/22	9,248,531
New Red Finance, Inc. (B+/Ba3)^(c)
	8,800,000		4.250		05/15/24	8,734,000

						26,586,562

Retailers^(c)(d) – 0.1%
PetSmart, Inc. (B+/Ba3)
	6,150,000		5.875		06/01/25	5,919,375

Technology - Hardware – 0.0%
Nokia OYJ (BB+/Ba1)
	1,950,000		3.375		06/12/22	1,964,625

Telecommunications - Cellular – 1.3%
Sprint Communications, Inc. (B/B3)
	5,000,000		8.375		08/15/17	5,037,500
Sprint Communications, Inc. (B+/B1)^(c)
	8,075,000		9.000		11/15/18	8,761,375
Sprint Communications, Inc. (B/B3)
	16,250,000		7.000		08/15/20	17,875,000
Sprint Corp. (B/B3)
	3,650,000		7.875		09/15/23	4,197,500
Wind Acquisition Finance SA (BB/Ba3)^(c)(d)
	19,550,000		4.750		07/15/20	19,794,375

						55,665,750

Telecommunications - Satellites^(d) – 0.2%
Intelsat Jackson Holdings SA (CCC+/Caa2)
	9,560,000		7.250		10/15/20	9,034,200

Wirelines Telecommunications – 0.1%
Frontier Communications Corp. (B+/B2)
	2,316,000		8.500		04/15/20	2,431,800

TOTAL CORPORATE OBLIGATIONS (Cost $547,996,431)						$ 565,680,362


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities^(c)(f) – 0.8%
Collateralized Loan Obligations – 0.8%
Carlyle Global Market Strategies CLO Ltd. Series 2014-1A, Class AR (AAA/Aaa)
$	10,300,000		2.323	%	04/17/25	$ 10,321,352
GoldenTree Loan Opportunities IX Ltd. Series 2014-9A, Class AR (NR/Aaa)
	23,700,000		2.409		10/29/26	23,762,070

TOTAL ASSET-BACKED SECURITIES (Cost $34,000,000)						$ 34,083,422



Shares	Description	Value
Common Stocks^(b)(g) – 0.3%
Oil, Gas & Consumable Fuels – 0.3%
1,286,477	Blue Ridge Mountain Resources, Inc.	$ 11,578,293
Textiles, Apparel & Luxury Goods – 0.0%
449,607	American Apparel, Inc. PI	1

TOTAL COMMON STOCKS (Cost $22,763,641)		$ 11,578,294



Shares	Distribution Rate	Value
Exchange Traded Fund^(f)(h) – 0.4%
Goldman Sachs Treasury Access 0-1 Year ETF (NR/NR)
175,097	0.000%	$ 17,521,957

TOTAL EXCHANGE TRADED FUND – 0.4% (Cost $17,513,729)


Investment Company^(f)(h) – 9.8%
Goldman Sachs Financial Square Government Fund - Institutional Shares
408,539,264	0.845%	$ 408,539,264
(Cost $408,539,264)

TOTAL INVESTMENTS – 103.0% (Cost $4,395,144,195)		$4,313,648,897


Principal Amount		Interest Rate (Paid) Received			Maturity Date	Value
Reverse Repurchase Agreements – (0.2)%
Barclays Reverse Repurchase Agreement (NR/NR)
$	(4,543,750)		(1.500)	%	06/02/18	$ (4,543,750)
Citigroup Reverse Repurchase Agreement (NR/NR)
	(4,618,750)		(1.500)		06/02/18	(4,618,750)

TOTAL REVERSE REPURCHASE AGREEMENTS (Cost $(9,162,500))						$ (9,162,500)

LIABILITIES IN EXCESS OF OTHER ASSETS – (2.8)%						(117,195,148)

NET ASSETS – 100.0%						$4,187,291,249



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Bank Loans often require prepayments from excess cash flows or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. The stated interest rate represents the weighted average interest rate of all contracts within the bank loan facility on June 30, 2017. Bank Loans typically have rates of interest which are predetermined either daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base lending rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders.

(b)		Security is currently in default and/or non-income producing.

(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $376,605,027, which represents approximately 9.0% of net assets as of June 30, 2017.

(d)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(e)		Pay-in-kind securities.

(f)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(g)		Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $11,578,294, which represents approximately 0.3% of net assets as of June 30, 2017.


Restricted Security	Acquisition Date		Cost
Blue Ridge Mountain Resources, Inc. (Common Stocks)		05/06/16 - 08/18/16	$	12,836,870
American Apparel, Inc. PI (Common Stocks)		04/01/13 - 02/05/16		9,926,771



(h)		Represents an affiliated issuer/Fund.



Currency Abbreviations:
EUR		— Euro
USD		— U.S. Dollar

Investment Abbreviations:
CLO		— Collateralized Loan Obligation
ETF		— Exchange Traded Fund
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
PI		— Private Investment
PLC		— Public Limited Company


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FUTURES CONTRACTS – At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – 92.3%
Aerospace/Defense^(a) – 0.2%
Lockheed Martin Corp.
$	850,000		4.700	%	05/15/46	$ 955,099

						955,099

Automotive – 2.1%
Ford Motor Credit Co. LLC
	4,325,000		5.875		08/02/21	4,822,954
General Motors Co.
	3,700,000		3.500		10/02/18	3,764,965

						8,587,919

Banks – 16.5%
Banco Santander SA
	600,000		4.250		04/11/27	622,703
Bank of America Corp.
	1,950,000		5.000		05/13/21	2,127,700
	5,500,000		4.000		04/01/24	5,763,274
	625,000		3.248	^(a)	10/21/27	603,958
	325,000		6.110		01/29/37	397,784
	575,000		4.244	^(a)(b)	04/24/38	597,915
	1,200,000		4.875		04/01/44	1,343,498
Barclays PLC
	850,000		5.200		05/12/26	890,342
	700,000		4.950		01/10/47	746,998
BNP Paribas SA^(c)
	675,000		4.375		05/12/26	699,077
Citigroup, Inc.
	1,600,000		5.375		08/09/20	1,740,726
	850,000		2.650		10/26/20	858,133
	500,000		3.875		03/26/25	503,090
	800,000		4.450		09/29/27	832,014
	752,000		4.650		07/30/45	817,714
	425,000		4.750		05/18/46	446,121
Citizens Financial Group, Inc.^(a)
	1,550,000		2.375		07/28/21	1,536,594
Compass Bank^(a)
	1,025,000		2.750		09/29/19	1,032,938
Credit Agricole SA^(c)
	850,000		4.125		01/10/27	888,655
Credit Suisse Group AG^(a)(c)
	550,000		4.282		01/09/28	568,525
Credit Suisse Group Funding Guernsey Ltd.
	2,150,000		3.125		12/10/20	2,190,435
	400,000		3.750		03/26/25	404,141
Deutsche Bank AG
	450,000		2.500		02/13/19	451,674
Discover Financial Services^(a)
	1,100,000		3.750		03/04/25	1,086,878
HSBC Bank USA NA
	300,000		7.000		01/15/39	419,783
HSBC Holdings PLC
	1,600,000		3.400		03/08/21	1,644,475
	900,000		3.262	^(a)(b)	03/13/23	917,054
ING Bank NV^(a)(b)
	3,075,000		4.125		11/21/23	3,141,918


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Banks – (continued)
ING Groep NV
$	450,000		3.150	%	03/29/22	$ 458,571
Intesa Sanpaolo SpA
	4,075,000		3.875		01/16/18	4,112,686
JPMorgan Chase & Co.
	3,700,000		3.875		09/10/24	3,817,449
	1,375,000		3.625	^(a)	12/01/27	1,360,923
	1,575,000		5.300	^(a)(b)	05/01/49	1,639,969
KBC Bank NV^(a)(b)
	2,000,000		8.000		01/25/23	2,060,000
Mitsubishi UFJ Financial Group, Inc.
	1,400,000		2.950		03/01/21	1,422,709
	2,600,000		3.850		03/01/26	2,715,437
Santander UK PLC^(c)
	1,150,000		5.000		11/07/23	1,232,821
Synchrony Financial^(a)
	2,675,000		2.600		01/15/19	2,689,285
The Toronto-Dominion Bank^(a)(b)
	1,175,000		3.625		09/15/31	1,165,812
UBS Group Funding Switzerland AG^(c)
	2,200,000		3.000		04/15/21	2,233,741
UniCredit SpA^(c)
	3,725,000		3.750		04/12/22	3,814,933
	1,450,000		4.625		04/12/27	1,525,420
	275,000		5.861	^(a)(b)	06/19/32	281,302
Wells Fargo & Co.
	850,000		3.900		05/01/45	850,327
Wells Fargo Bank NA
	799,000		5.950		08/26/36	1,005,046
Westpac Banking Corp.^(a)(b)
	1,275,000		4.322		11/23/31	1,306,784

						66,967,332

Brokerage – 1.6%
Morgan Stanley, Inc.
	3,125,000		3.700		10/23/24	3,207,056
	1,650,000		4.000		07/23/25	1,722,163
	1,125,000		4.300		01/27/45	1,163,383
The Charles Schwab Corp.^(a)
	500,000		3.200		03/02/27	502,332

						6,594,934

Chemicals – 2.0%
Albemarle Corp.^(a)
	450,000		4.150		12/01/24	473,337
Ecolab, Inc.
	942,000		5.500		12/08/41	1,153,884
LYB International Finance BV^(a)
	375,000		4.875		03/15/44	397,101
LYB International Finance II BV^(a)
	1,225,000		3.500		03/02/27	1,207,532
Monsanto Co.^(a)
	350,000		4.700		07/15/64	352,508
The Mosaic Co.^(a)
	100,000		5.625		11/15/43	102,095
The Sherwin-Williams Co.
	525,000		2.250		05/15/20	526,175
	325,000		2.750	^(a)	06/01/22	324,806
	1,050,000		3.125	^(a)	06/01/24	1,055,319
	2,075,000		3.450	^(a)	06/01/27	2,088,705


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Chemicals – (continued)
Westlake Chemical Corp.^(a)
$	550,000		3.600	%	08/15/26	$ 545,875

						8,227,337

Diversified Financial Services – 0.6%
Air Lease Corp.
	1,250,000		2.125		01/15/20	1,244,022
GE Capital International Funding Co.
	1,200,000		4.418		11/15/35	1,306,066

						2,550,088

Diversified Manufacturing^(a) – 0.3%
Roper Technologies, Inc.
	1,275,000		3.800		12/15/26	1,310,003

						1,310,003

Electric – 6.8%
Berkshire Hathaway Energy Co.
	1,300,000		6.125		04/01/36	1,670,126
CMS Energy Corp.^(a)
	500,000		4.875		03/01/44	557,298
Dominion Energy, Inc.^(a)
	1,450,000		2.000		08/15/21	1,422,143
	1,225,000		3.900		10/01/25	1,268,104
Duke Energy Corp.^(a)
	500,000		2.650		09/01/26	474,867
	400,000		4.800		12/15/45	442,172
Emera US Finance LP^(a)
	775,000		2.700		06/15/21	776,186
Enel Finance International NV^(c)
	2,200,000		2.875		05/25/22	2,203,051
Entergy Corp.^(a)
	875,000		2.950		09/01/26	837,868
Exelon Corp.^(a)
	1,550,000		2.850		06/15/20	1,574,691
	1,125,000		3.497		06/01/22	1,149,346
	400,000		4.450		04/15/46	413,410
Florida Power & Light Co.^(a)
	2,200,000		5.250		02/01/41	2,702,898
Pacific Gas & Electric Co.^(a)
	1,000,000		4.250		03/15/46	1,063,842
PPL WEM Holdings PLC^(a)(c)
	1,750,000		5.375		05/01/21	1,888,358
Progress Energy, Inc.
	1,000,000		7.000		10/30/31	1,323,982
Public Service Electric & Gas Co.^(a)
	1,525,000		3.950		05/01/42	1,580,068
Puget Sound Energy, Inc.^(a)(b)
	2,300,000		6.974		06/01/67	2,210,875
Ruwais Power Co. PJSC^(c)
	670,000		6.000		08/31/36	773,012
Southern California Edison Co.^(a)
	650,000		4.050		03/15/42	680,014
The Southern Co.^(a)
	1,675,000		2.350		07/01/21	1,662,796
Virginia Electric & Power Co.^(a)
	705,000		4.000		01/15/43	720,381

						27,395,488


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Energy – 6.4%
Anadarko Petroleum Corp.
$	4,025,000		8.700	%	03/15/19	$ 4,439,217
	1,540,000		3.450	^(a)	07/15/24	1,504,310
	550,000		5.550	^(a)	03/15/26	614,628
	625,000		6.450		09/15/36	735,682
Apache Corp.^(a)
	525,000		2.625		01/15/23	512,397
	1,145,000		4.250		01/15/44	1,072,485
BP Capital Markets PLC^(a)
	1,025,000		3.119		05/04/26	1,015,907
Canadian Natural Resources Ltd.^(a)
	950,000		3.850		06/01/27	942,303
Cenovus Energy, Inc.^(a)(c)
	300,000		4.250		04/15/27	285,788
ConocoPhillips Co.^(a)
	660,000		3.350		11/15/24	672,908
	1,650,000		4.950		03/15/26	1,837,636
	725,000		4.150		11/15/34	728,551
Devon Energy Corp.^(a)
	1,320,000		3.250		05/15/22	1,311,873
Dolphin Energy Ltd.^(c)
	81,027		5.888		06/15/19	83,053
Halliburton Co.^(a)
	1,400,000		3.800		11/15/25	1,434,754
	900,000		5.000		11/15/45	957,581
Petroleos Mexicanos
	170,000		5.500		02/04/19	177,693
	422,000		6.375		02/04/21	456,942
EUR	1,270,000		5.125		03/15/23	1,630,033
$	1,772,000		6.875		08/04/26	1,966,743
	10,000		6.500	^(c)	03/13/27	10,730
	20,000		5.500		06/27/44	17,580
	180,000		5.625		01/23/46	159,570
Pioneer Natural Resources Co.^(a)
	1,610,000		3.450		01/15/21	1,654,133
	575,000		3.950		07/15/22	602,522
Suncor Energy, Inc.^(a)
	900,000		3.600		12/01/24	920,878

						25,745,897

Food & Beverage – 5.6%
Anheuser-Busch InBev Finance, Inc.^(a)
	8,175,000		3.300		02/01/23	8,418,051
	700,000		4.900		02/01/46	790,049
Anheuser-Busch InBev Worldwide, Inc.
	925,000		4.950		01/15/42	1,044,133
Beam Suntory, Inc.^(a)
	1,575,000		3.250		05/15/22	1,612,967
Kraft Heinz Foods Co.^(a)
	1,450,000		4.375		06/01/46	1,420,034
Pernod-Ricard SA^(c)
	2,300,000		4.450		01/15/22	2,466,019
Smithfield Foods, Inc.^(c)
	925,000		2.700		01/31/20	929,877
Sysco Corp.^(a)
	1,650,000		3.750		10/01/25	1,710,509
The JM Smucker Co.
	1,450,000		3.000		03/15/22	1,477,779


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Food & Beverage – (continued)
Wm Wrigley Jr. Co.^(a)(c)
$	2,650,000		3.375	%	10/21/20	$ 2,735,391

						22,604,809

Health Care – 1.8%
Aetna, Inc.^(a)
	1,000,000		2.800		06/15/23	998,265
AmerisourceBergen Corp.^(a)
	2,975,000		3.250		03/01/25	3,009,210
Thermo Fisher Scientific, Inc.^(a)
	1,100,000		3.650		12/15/25	1,131,662
UnitedHealth Group, Inc.
	1,125,000		4.625		07/15/35	1,264,415
	875,000		4.750		07/15/45	1,005,079

						7,408,631

Health Care Products – 4.5%
Becton Dickinson & Co.
	4,525,000		2.133		06/06/19	4,531,873
	4,000,000		2.404		06/05/20	4,006,460
	3,800,000		2.894	^(a)	06/06/22	3,811,879
	1,925,000		3.363	^(a)	06/06/24	1,929,401
	900,000		4.685	^(a)	12/15/44	926,879
C.R. Bard, Inc.^(a)
	3,200,000		3.000		05/15/26	3,210,352

						18,416,844

Life Insurance – 2.6%
AIA Group Ltd.^(a)(c)
	2,125,000		3.200		03/11/25	2,106,086
MetLife, Inc.
	2,275,000		3.600		04/10/24	2,390,520
	400,000		4.050		03/01/45	402,704
Reliance Standard Life Global Funding II^(c)
	2,350,000		2.500		01/15/20	2,353,868
Teachers Insurance & Annuity Association of America^(c)
	890,000		4.900		09/15/44	996,161
The Hartford Financial Services Group, Inc.
	400,000		5.950		10/15/36	493,552
	376,000		6.625		03/30/40	507,928
	815,000		6.100		10/01/41	1,035,651
	200,000		6.625		04/15/42	257,339

						10,543,809

Media - Cable – 2.8%
Charter Communications Operating LLC/Charter Communications Operating Capital^(a)
	1,175,000		3.579		07/23/20	1,214,216
	1,675,000		4.464		07/23/22	1,784,656
	2,750,000		4.908		07/23/25	2,970,877
	700,000		6.384		10/23/35	829,747
Comcast Corp.
	1,375,000		4.250		01/15/33	1,465,434
	900,000		6.450		03/15/37	1,197,530
Time Warner Cable LLC
	890,000		6.750		07/01/18	931,125
	150,000		5.000		02/01/20	160,019
	500,000		5.875	^(a)	11/15/40	557,312


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Media - Cable – (continued)
Time Warner Cable LLC – (continued)
$	300,000		5.500	%^(a)	09/01/41	$ 322,399

						11,433,315

Media - Non Cable – 0.5%
21st Century Fox America, Inc.
	1,700,000		6.150		02/15/41	2,145,679

						2,145,679

Metals & Mining^(c) – 1.1%
Glencore Finance Canada Ltd.
	800,000		4.950		11/15/21	855,600
	825,000		4.250		10/25/22	854,674
Glencore Funding LLC
	1,370,000		4.125		05/30/23	1,405,743
	1,275,000		4.000	^(a)	03/27/27	1,254,469

						4,370,486

Noncaptive - Financial – 1.9%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust
	900,000		4.625		10/30/20	956,494
General Electric Co.
	294,000		5.875		01/14/38	380,473
General Motors Financial Co., Inc.
	950,000		2.650		04/13/20	954,099
International Lease Finance Corp.
	2,625,000		7.125	^(c)	09/01/18	2,778,161
	375,000		4.625		04/15/21	399,130
KKR Group Finance Co. LLC^(c)
	1,850,000		6.375		09/29/20	2,078,615

						7,546,972

Pharmaceuticals – 3.5%
AbbVie, Inc.^(a)
	2,500,000		2.300		05/14/21	2,493,798
Allergan Funding SCS^(a)
	1,125,000		4.550		03/15/35	1,200,744
Forest Laboratories LLC^(a)(c)
	550,000		4.375		02/01/19	567,203
	1,550,000		5.000		12/15/21	1,692,296
Mylan NV^(a)
	2,800,000		3.950		06/15/26	2,837,069
	300,000		5.250		06/15/46	328,170
Shire Acquisitions Investments Ireland DAC
	1,650,000		1.900		09/23/19	1,642,339
	725,000		3.200	^(a)	09/23/26	708,944
Teva Pharmaceutical Finance Netherlands III BV
	1,750,000		1.400		07/20/18	1,745,879
	800,000		2.800		07/21/23	778,116
	100,000		3.150		10/01/26	94,968

						14,089,526

Pipelines – 6.6%
Enbridge, Inc.^(a)
	750,000		2.900		07/15/22	748,500
	1,000,000		3.500		06/10/24	999,563
Energy Transfer LP^(a)
	650,000		4.650		06/01/21	685,669
	1,540,000		5.200		02/01/22	1,655,783
	456,000		5.150		03/15/45	443,038


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Pipelines – (continued)
Enterprise Products Operating LLC^(a)(b)
$	600,000		4.877	%	08/01/66	$ 602,250
	1,765,000		3.979		06/01/67	1,698,812
Kinder Morgan Energy Partners LP^(a)
	1,500,000		3.950		09/01/22	1,549,790
	2,400,000		5.400		09/01/44	2,420,597
Kinder Morgan, Inc.^(a)
	1,000,000		3.050		12/01/19	1,017,374
Magellan Midstream Partners LP^(a)
	300,000		4.200		03/15/45	278,570
	400,000		4.250		09/15/46	390,573
Plains All American Pipeline LP/PAA Finance Corp.^(a)
	400,000		3.650		06/01/22	408,064
	1,819,000		4.650		10/15/25	1,864,457
	530,000		5.150		06/01/42	509,032
	500,000		4.700		06/15/44	455,771
Sabine Pass Liquefaction LLC^(a)
	1,875,000		6.250		03/15/22	2,123,201
	2,025,000		5.625		03/01/25	2,237,625
Valero Energy Partners LP^(a)
	1,325,000		4.375		12/15/26	1,354,398
Western Gas Partners LP^(a)
	775,000		5.450		04/01/44	786,717
Williams Partners LP
	3,630,000		3.600	^(a)	03/15/22	3,708,615
	175,000		6.300		04/15/40	202,809
	275,000		4.900	^(a)	01/15/45	275,361
	181,000		5.100	^(a)	09/15/45	187,516

						26,604,085

Property/Casualty Insurance – 1.1%
American International Group, Inc.^(a)
	475,000		3.750		07/10/25	483,825
	1,425,000		4.500		07/16/44	1,449,053
Arch Capital Group Ltd.
	645,000		7.350		05/01/34	870,192
Brighthouse Financial, Inc.^(a)(c)
	325,000		3.700		06/22/27	321,474
The Chubb Corp.^(a)(b)
	868,000		3.408		04/15/37	861,490
Willis North America, Inc.^(a)
	325,000		3.600		05/15/24	328,275

						4,314,309

Real Estate Investment Trusts – 3.8%
American Campus Communities Operating Partnership LP^(a)
	3,200,000		4.125		07/01/24	3,344,342
CubeSmart LP^(a)
	1,625,000		4.800		07/15/22	1,741,915
HCP, Inc.^(a)
	1,975,000		2.625		02/01/20	1,989,487
Kilroy Realty LP
	1,125,000		6.625		06/01/20	1,248,114
National Retail Properties, Inc.^(a)
	700,000		3.600		12/15/26	694,299
Select Income REIT^(a)
	1,125,000		3.600		02/01/20	1,140,085
VEREIT Operating Partnership LP^(a)
	2,075,000		4.875		06/01/26	2,189,125


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Real Estate Investment Trusts – (continued)
WEA Finance LLC/Westfield UK & Europe Finance PLC^(a)(c)
$	2,150,000		2.700	%	09/17/19	$ 2,167,768
Welltower, Inc.^(a)
	775,000		4.125		04/01/19	798,117

						15,313,252

Retailers – 1.2%
CVS Health Corp.^(a)
	3,500,000		2.800		07/20/20	3,563,343
	275,000		5.125		07/20/45	315,259
The Home Depot, Inc.
	400,000		5.875		12/16/36	521,062
Walgreens Boots Alliance, Inc.^(a)
	375,000		4.650		06/01/46	392,508

						4,792,172

Technology - Hardware – 2.9%
Cisco Systems, Inc.
	300,000		5.900		02/15/39	390,088
Dell International LLC/EMC Corp.^(c)
	2,300,000		3.480		06/01/19	2,353,765
Hewlett Packard Enterprise Co.^(a)
	1,400,000		4.900		10/15/25	1,467,757
NVIDIA Corp.^(a)
	625,000		3.200		09/16/26	619,706
NXP BV/NXP Funding LLC^(c)
	1,167,000		4.125		06/15/20	1,225,724
	1,700,000		4.125		06/01/21	1,790,100
Oracle Corp.^(a)
	1,400,000		4.300		07/08/34	1,519,015
QUALCOMM, Inc.
	600,000		3.000		05/20/22	615,320
	925,000		2.600	^(a)	01/30/23	921,626
	900,000		2.900	^(a)	05/20/24	898,163

						11,801,264

Technology - Software/Services – 3.2%
Apple, Inc.
	975,000		3.850		05/04/43	974,729
Broadcom Corp./Broadcom Cayman Finance Ltd.^(a)(c)
	1,975,000		3.000		01/15/22	1,992,652
	2,175,000		3.625		01/15/24	2,225,021
DXC Technology Co.^(a)(c)
	1,150,000		4.250		04/15/24	1,189,823
Fidelity National Information Services, Inc.^(a)
	3,300,000		4.500		10/15/22	3,585,691
Fiserv, Inc.^(a)
	2,500,000		2.700		06/01/20	2,529,455
Microsoft Corp.^(a)
	275,000		4.100		02/06/37	296,209

						12,793,580

Tobacco – 1.1%
BAT International Finance PLC^(c)
	2,400,000		2.750		06/15/20	2,431,351
Reynolds American, Inc.
	861,000		3.250		06/12/20	886,432


Principal Amount		Interest Rate			Maturity Date	Value
Corporate Obligations – (continued)
Tobacco – (continued)
Reynolds American, Inc. – (continued)
$	775,000		5.850	%^(a)	08/15/45	$ 949,220

						4,267,003

Transportation – 0.2%
Burlington Northern Santa Fe LLC
	425,000		6.150		05/01/37	560,222
Norfolk Southern Corp.^(a)
	200,000		4.650		01/15/46	221,449

						781,671

Trucking & Leasing^(c) – 0.8%
Penske Truck Leasing Co. LP/PTL Finance Corp.
	2,275,000		3.375	^(a)	02/01/22	2,330,474
	650,000		4.875		07/11/22	710,075

						3,040,549

Wireless Telecommunications – 4.7%
American Tower Corp.
	1,625,000		3.300	^(a)	02/15/21	1,667,451
	750,000		5.000		02/15/24	828,698
AT&T, Inc.^(a)
	350,000		2.800		02/17/21	353,713
	3,547,000		3.600		02/17/23	3,630,213
Crown Castle International Corp.^(a)
	675,000		2.250		09/01/21	664,067
Verizon Communications, Inc.
	5,425,000		4.500		09/15/20	5,795,213
	4,675,000		2.450	^(a)	11/01/22	4,582,500
	1,200,000		3.500	^(a)	11/01/24	1,211,098
	250,000		4.125		03/16/27	258,195

						18,991,148

Wirelines Telecommunications – 5.9%
AT&T, Inc.^(a)
	2,000,000		4.600		02/15/21	2,133,066
	1,875,000		3.000		06/30/22	1,875,969
	600,000		3.950		01/15/25	611,509
	4,750,000		3.400		05/15/25	4,669,678
	275,000		4.250		03/01/27	284,337
	300,000		6.000		08/15/40	338,747
Telefonica Emisiones SAU
	4,890,000		5.462		02/16/21	5,378,653
	825,000		4.103		03/08/27	852,345
Verizon Communications, Inc.
	1,525,000		1.750	^(a)	08/15/21	1,475,055
	5,600,000		5.150		09/15/23	6,220,407

						23,839,766

TOTAL CORPORATE OBLIGATIONS (Cost $365,549,911)						$373,432,967


Foreign Debt Obligations – 2.3%
Sovereign – 2.3%
Republic of Colombia
$	1,221,000		4.000	%^(a)	02/26/24	$ 1,266,787
	1,492,000		6.125		01/18/41	1,719,530


Principal Amount		Interest Rate			Maturity Date	Value
Foreign Debt Obligations – (continued)
Sovereign – (continued)
Republic of Indonesia
$	200,000		3.700	%^(c)	01/08/22	$ 205,250
	387,000		5.875		01/15/24	441,180
	430,000		4.125		01/15/25	443,438
EUR	510,000		3.375		07/30/25	635,649
	$350,000		4.350	^(c)	01/08/27	365,750
EUR	400,000		3.750		06/14/28	500,262
	$470,000		6.750		01/15/44	605,712
United Mexican States
	1,810,000		6.050		01/11/40	2,137,610
	410,000		4.750		03/08/44	410,410
	680,000		5.750		10/12/10	705,500

TOTAL FOREIGN DEBT OBLIGATIONS (Cost $8,610,342)						$ 9,437,078


Municipal Debt Obligations^(a) – 3.0%
California – 2.0%
California State GO Bonds Build America Taxable Series 2009
$	455,000		7.300	%	10/01/39	$ 664,668
California State GO Bonds Build America Taxable Series 2010
	2,320,000		7.625		03/01/40	3,544,380
California State University RB Build America Bonds Series 2010
	2,825,000		6.484		11/01/41	3,796,546

						8,005,594

Illinois – 0.9%
Chicago Illinois Metropolitan Water Reclamation District GO Bonds Build America Taxable Direct Payment Series 2009
	1,775,000		5.720		12/01/38	2,169,316
Illinois State GO Bonds Build America Series 2010
	1,625,000		6.630		02/01/35	1,667,754

						3,837,070

New Jersey – 0.1%
New Jersey State Turnpike Authority RB Build America Bonds Taxable Series 2009 F
	350,000		7.414		01/01/40	528,766

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $9,459,532)						$ 12,371,430


U.S. Treasury Obligations – 1.1%
United States Treasury Inflation Indexed Bonds
$	834,760		0.125	%	04/15/19	$ 835,369
	208,814		0.125		04/15/20	209,213
	529,630		0.125		01/15/23	525,213
	419,148		0.625		01/15/24	425,418
	395,019		0.875		02/15/47	383,979
United States Treasury Notes
	2,000,000		2.000		06/30/24	1,982,340

TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,384,318)						$ 4,361,532


Shares	Distribution Rate	Value
Investment Company^(b)(d) – 0.0%
Goldman Sachs Financial Square Government Fund - Institutional Shares
736	0.845%	$ 736
(Cost $736)

TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENT (Cost $388,004,839)		$399,603,743

TOTAL INVESTMENTS – 98.7% (Cost $388,004,839)		$399,603,743

OTHER ASSETS IN EXCESS OF LIABILITIES – 1.3%		5,066,454

NET ASSETS – 100.0%		$404,670,197



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(b)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $58,871,856, which represents approximately 14.6% of net assets as of June 30, 2017.

(d)		Represents an Affiliated fund.



Currency Abbreviations:
EUR		— Euro
USD		— U.S. Dollar

Investment Abbreviations:
BP		— British Pound Offered Rate
GO		— General Obligation
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
LP		— Limited Partnership
PLC		— Public Limited Company
RB		— Revenue Bond
REIT		— Real Estate Investment Trust


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – 68.0%
Argentina – 3.1%
Argentina POM Politica Monetaria (B/B3)^(a)
ARS	26,590,000		26.250	%	06/21/20	$ 1,659,676
City of Buenos Aires Argentina (B/B3)^(a)
	46,190,000		22.716		03/29/24	2,751,141
Provincia de Buenos Aires (B/B3)^(a)(b)
	8,920,000		24.080		05/31/22	547,012
Republic of Argentina (B/B3)
	7,240,000		22.750		03/05/18	436,293
	1,504,000		18.200		10/03/21	95,684
	14,800,000		16.000		10/17/23	948,558
	300,000		15.500		10/17/26	19,969
EUR	1,110,000		5.000		01/15/27	1,180,626
$	1,040,000		7.125	^(b)	06/28/17	944,840

						8,583,799

Brazil – 9.5%
Brazil Notas do Tesouro Nacional (BB/Ba2)
BRL	7,889,000		10.000		01/01/23	2,355,345
	57,287,000		10.000		01/01/25	16,903,529
	11,117,000		10.000		01/01/27	3,258,243
	11,614,506		6.000		08/15/40	3,659,088
	452,591		6.000		08/15/50	142,136

						26,318,341

Chile – 3.0%
Bonos de la Tesoreria de la Republica en Pesos (AA/Aa3)
CLP	705,000,000		4.500		02/28/21	1,094,640
	1,740,000,000		4.500		03/01/21	2,697,061
	705,000,000		4.500		03/01/26	1,090,300
	610,000,000		5.000		03/01/35	964,050
Republic of Chile (AA-/Aa3)
	1,504,000,000		5.500		08/05/20	2,407,201

						8,253,252

Colombia – 6.0%
Republic of Colombia (BBB+/Baa2)
COP	6,978,327,666		3.500		03/10/21	2,348,348
	14,450,600,000		7.000		05/04/22	4,950,831
	1,851,000,000		4.375	^(c)	03/21/23	566,159
	11,536,700,000		10.000		07/24/24	4,600,317
	45,215,946		3.500		05/07/25	15,244
	3,201,500,000		7.500		08/26/26	1,119,548
	1,168,078,605		3.300		03/17/27	387,045
	100,000		6.000		04/28/28	31
	8,612,600,000		7.000		06/30/32	2,820,962

						16,808,485

Dominican Republic – 1.0%
Dominican Republic (BB-/B1)
DOP	77,900,000		11.375		07/06/29	1,656,707
$	1,100,000		6.850	^(b)	01/27/45	1,172,875

						2,829,582

Hungary – 5.4%
Hungary Government Bond (BBB-/Baa3)
HUF	1,806,770,000		3.000		06/26/24	6,925,446
	1,649,430,000		5.500		06/24/25	7,293,183


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
Hungary – (continued)
Hungary Government Bond (BBB-/Baa3) – (continued)
HUF	204,320,000		2.750	%	12/22/26	$ 735,726
	45,270,000		3.000		10/27/27	165,719

						15,120,074

Malaysia – 4.3%
Malaysia Government Bond (A/A3)
MYR	24,050,000		4.012		09/15/17	5,611,424
	6,060,000		3.743		08/26/21	1,406,389
	7,980,000		4.498		04/15/30	1,859,646
	4,740,000		4.245		09/30/30	1,070,912
	3,250,000		4.254		05/31/35	728,214
	3,380,000		4.786		10/31/35	799,213
	2,270,000		4.736		03/15/46	523,506

						11,999,304

Mexico – 1.5%
United Mexican States (A/A3)
MXN	48,039,700		10.000		12/05/24	3,157,001
	16,479,400		8.500		05/31/29	1,032,475
	287,700		7.750		11/13/42	16,833

						4,206,309

Peru – 3.0%
Republic of Peru (A-/A3)
PEN	714,000		5.700		08/12/24	228,740
	911,000		8.200		08/12/26	336,364
	8,099,000		6.350	^(b)	08/12/28	2,650,739
	393,000		6.950		08/12/31	133,511
	5,192,000		6.900		08/12/37	1,744,523
	8,178,000		6.850		02/12/42	2,691,362
	1,484,000		6.714		02/12/55	471,567

						8,256,806

Poland – 8.4%
Poland Government Bond (A-/A2)
PLN	4,280,000		5.750		10/25/21	1,309,081
	38,170,000		2.250		04/25/22	10,090,872
	16,250,000		5.750		09/23/22	5,030,082
	23,640,000		4.000		10/25/23	6,793,538

						23,223,573

Russia – 5.5%
Russian Federation Bond (BBB-/Ba1)
RUB	28,170,000		7.100		10/16/24	459,426
	57,130,000		7.750		09/16/26	969,258
	37,220,000		7.050		01/19/28	600,190
	659,910,000		8.500		09/17/31	11,869,093
	78,380,000		7.700		03/23/33	1,305,447

						15,203,414

South Africa – 7.3%
Republic of South Africa (BBB-/Baa3)
ZAR	25,690,000		8.000		01/31/30	1,775,855
	65,430,000		8.250		03/31/32	4,509,691
	64,400,000		8.875		02/28/35	4,570,818
	98,310,000		8.500		01/31/37	6,663,988
	40,768,000		8.750		01/31/44	2,778,862


Principal Amount		Interest Rate			Maturity Date	Value
Sovereign Debt Obligations – (continued)
South Africa – (continued)
Republic of South Africa (BBB-/Baa3) – (continued)
ZAR	200,000		8.750	%	02/28/48	$ 13,637

						20,312,851

Thailand – 4.7%
Thailand Government Bond (A-/Baa1)
THB	34,890,000		3.850		12/12/25	1,129,012
	85,665,000		3.580		12/17/27	2,736,659
	210,620,250		1.250		03/12/28	5,811,631
	32,900,000		3.650		06/20/31	1,038,069
	69,580,000		3.775		06/25/32	2,217,898

						12,933,269

Turkey – 5.3%
Republic of Turkey (BB+/Ba1)
TRY	8,300,000		9.400		07/08/20	2,289,403
	28,000,000		10.600		02/11/26	8,089,437
Turkey Government Bond (BB+/Ba1)
	3,760,000		9.200		09/22/21	1,020,296
	4,570,000		11.000		03/02/22	1,323,208
	260,000		8.000		03/12/25	65,084
	6,390,000		11.000		02/24/27	1,893,327

						14,680,755

TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $188,353,398)						$188,729,814


Corporate Obligations – 4.7%
Argentina^(b⁾ – 0.5%
Banco Macro SA (NR/B3)
ARS	21,350,000		17.500	%	05/08/22	$ 1,273,259

Australia – 0.5%
Toyota Finance Australia Ltd. (NR/NR)
MXN	27,460,000		3.760		07/20/17	1,510,003

Egypt(b)(d) – 0.3%
Citigroup Global Markets Holdings, Inc. (NR/NR)
EGP	16,950,000		0.000		01/25/18	838,005

South Africa – 1.8%
Transnet Ltd. (BBB-/Baa3)
ZAR	73,000,000		10.000		03/30/29	4,962,159

Venezuela – 1.6%
Petroleos de Venezuela SA (NR/NR)
$	10,130,000		6.000		10/28/22	3,368,142
Petroleos de Venezuela SA (CCC-/NR)
	2,650,000		6.000		11/15/26	968,575

						4,336,717

TOTAL CORPORATE OBLIGATIONS (Cost $15,796,109)						$ 12,920,143


Principal Amount		Interest Rate			Maturity Date	Value
Structured Notes – 10.3%
Colombia – 0.6%
Republic of Columbia (Issuer Citigroup Funding, Inc.) (NR/NR)
COP	4,226,000,000		11.000	%	07/25/24	$ 1,685,139

Egypt⁽^d) – 1.8%
Arab Republic of Egypt (Issuer Citibank NA) (NR/NR)
EGP	23,250,000		0.000	%^(b)	08/10/17	$ 1,258,054
	25,250,000		0.000		08/17/17	1,361,298
	6,530,000		0.000	^(b)	11/02/17	336,864
	23,100,000		0.000		02/08/18	1,135,138
Arab Republic of Egypt (Issuer Citibank NA) (B-/B3)
	5,100,000		0.000		03/08/18	248,920
Arab Republic of Egypt (Issuer JPMorgan Chase Bank NA) (NR/NR)^(b)
	12,650,000		0.000		02/15/18	619,333

						4,959,607

Indonesia – 7.5%
Republic of Indonesia (Issuer JPMorgan Chase Bank NA) (NR/NR)
IDR	26,000,000,000		8.375	^(b)	03/15/24	2,103,693
	15,900,000,000		8.375		03/17/24	1,286,489
	124,662,000,000		6.625	^(b)	05/17/33	8,543,007
Republic of Indonesia (Issuer Standard Chartered Bank) (NR/NR)^(b)
	1,274,000,000		9.000		03/19/29	108,598
	72,800,000,000		9.000		03/19/29	6,205,630
	29,198,000,000		9.000		03/19/29	2,488,901

						20,736,318

United Kingdom^(b)(d) – 0.4%
Arab Republic of Egypt (Issuer HSBC Bank PLC) (NR/NR)
EGP	20,600,000		0.000		09/14/17	1,092,960

TOTAL STRUCTURED NOTES (Cost $34,192,120)						$ 28,474,024


Municipal Debt Obligations^(c) – 0.4%
Puerto Rico – 0.4%
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2008 A (CC/Caa3)
$	70,000		6.000	%	07/01/44	$ 56,350
Puerto Rico Commonwealth Aqueduct & Sewer Authority RB (Senior Lien) Series 2012 A (CC/Caa3)
	60,000		5.750		07/01/37	47,850
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2008 A (D/Caa3)^(e)
	70,000		5.500		07/01/32	41,213
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2009 B (D/Caa3)^(e)
	45,000		5.875		07/01/36	27,000
	170,000		5.750		07/01/38	99,875
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 A (D/Caa3)^(e)
	45,000		6.000		07/01/34	26,381
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2011 E (D/Caa3)^(e)
	40,000		5.625		07/01/32	23,650
Puerto Rico Commonwealth GO Bonds Refunding for Public Improvement Series 2012 A (D/Caa3)^(e)
	20,000		5.500		07/01/26	11,875
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2001 A (D/Caa3)^(e)
	80,000		5.125		07/01/31	47,300


Principal Amount		Interest Rate			Maturity Date	Value
Municipal Debt Obligations^(c) – (continued)
Puerto Rico – (continued)
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2004 A (D/Caa3)^(e)
$	20,000		5.000	%	07/01/34	$ 11,725
Puerto Rico Commonwealth GO Bonds Unrefunded Balance for Public Improvement Series 2006 A (D/Caa3)^(e)
	30,000		5.250		07/01/27	17,813
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation Series 2010 A (D/Ca)^(d)^(e)
	85,000		0.000		08/01/35	6,191
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Capital Appreciation SubSeries 2010 C (D/Ca)^(d)^(e)
	215,000		0.000		08/01/37	14,072
	175,000		0.000		08/01/38	10,728
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2009 A (D/Ca)^(e)
	90,000		5.250		08/01/27	23,175
	210,000		5.750		08/01/37	54,075
	60,000		6.375		08/01/39	15,450
	15,000		6.500		08/01/44	3,863
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 A (D/Ca)^(e)
	475,000		0.000		08/01/33	103,312
	290,000		5.500		08/01/37	74,675
	540,000		5.375		08/01/39	139,050
	105,000		5.500		08/01/42	27,038
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2010 C (D/Ca)^(e)
	240,000		5.375		08/01/38	61,800
	265,000		5.250		08/01/41	68,237
Puerto Rico Sales Tax Financing Corp. Sales Tax RB SubSeries 2011 A-1 (D/Ca)^(e)
	485,000		5.000		08/01/43	124,887
	175,000		5.250		08/01/43	45,062
Puerto Rico Sales Tax Financing Corp. Sales Tax RB Unrefunded SubSeries 2009 A (D/Ca)^(e)
	305,000		5.500		08/01/28	78,537

TOTAL MUNICIPAL DEBT OBLIGATIONS (Cost $2,815,916)						$ 1,261,184


U.S. Treasury Obligation^(f) – 0.2%
United States Treasury Bond
$	500,000		3.625	%	08/15/43	$ 575,445
TOTAL US TREASURY OBLIGATION – 0.2% (Cost $574,528)



Shares	Distribution Rate			Value
Investment Company^(a)(g) – 7.8%
Goldman Sachs Financial Square Government Fund - Institutional Shares
21,563,048		0.845	%	$ 21,563,048

TOTAL INVESTMENT COMPANY – 7.8% (Cost $21,563,048)

TOTAL INVESTMENTS – 91.4% (Cost $263,295,118)				$253,523,658

OTHER ASSETS IN EXCESS OF LIABILITIES – 8.6%				23,968,440

NET ASSETS – 100.0%				$277,492,098



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.



(a)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(b)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $30,183,770, which represents approximately 10.9% of net assets as of June 30, 2017.

(c)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(d)		Issued with a zero coupon. Income is recognized through the accretion of discount.

(e)		Security is currently in default and/or non-income producing.

(f)		All or a portion of security is segregated as collateral for initial margin requirement on futures transactions.

(g)		Represents an Affiliated Fund.

Security ratings disclosed, if any, are obtained from by Standard & Poor’s /Moody’s Investor Service and are unaudited. A brief description of the ratings is available in the Fund’s Statement of Additional Information.



Currency Abbreviations:
ARS		— Argentine Peso
BRL		— Brazilian Real
CLP		— Chilean Peso
CNH		— Chinese Yuan Renminbi Offshore
CNY		— Chinese Yuan Renminbi
COP		— Colombian Peso
CZK		— Czech Koruna
DOP		— Dominican Peso
EGP		— Egyptian Pound
EUR		— Euro
HKD		— Hong Kong Dollar
HUF		— Hungarian Forint
IDR		— Indonesian Rupiah
ILS		— Israeli Shekel
INR		— Indian Rupee
KRW		— South Korean Won
MXN		— Mexican Peso
MYR		— Malaysian Ringgit
PEN		— Peruvian Nuevo Sol
PHP		— Philippine Peso
PLN		— Polish Zloty
RON		— New Romanian Leu
RUB		— Russian Ruble
SGD		— Singapore Dollar
THB		— Thai Baht
TRY		— Turkish Lira
TWD		— Taiwan Dollar
USD		— U.S. Dollar
ZAR		— South African Rand

Investment Abbreviations:
BUBOR		— Budapest Interbank Offered Rate
EURO		— Euro Offered Rate
GO		— General Obligation
JIBAR		— Johannesburg Interbank Agreed Rate
KWCDC		— South Korean Won Certificate of Deposit
LIBOR		— London Interbank Offered Rate
LLC		— Limited Liability Company
MIBOR		— Mumbai Interbank Offered Rate
NR		— Not Rated
PLC		— Public Limited Company
PRIBOR		— Prague Interbank Offered Rate
RB		— Revenue Bond
SHIBOR		— Shanghai Interbank Offered Rate
TIIE		— La Tasa de Interbank Equilibrium Interest Rate


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2017, the Fund had the following forward foreign currency exchange contracts:

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)

FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – 121.0%
Collateralized Mortgage Obligations – 3.8%
Adjustable Rate Non-Agency^(a) – 0.4%
Adjustable Rate Mortgage Trust Series 2004-5, Class 2A1
$	106,378		3.480	%	04/25/35	$ 107,626
Bear Stearns Alt-A Trust Series 2005-5, Class 21A1
	588,944		3.362		07/25/35	594,391
Countrywide Alternative Loan Trust Series 2005-16, Class A1
	410,011		2.336		06/25/35	396,566
Countrywide Alternative Loan Trust Series 2005-38, Class A1
	111,891		2.191		09/25/35	109,504
Harborview Mortgage Loan Trust Series 2005-16, Class 2A1A
	181,573		1.484		01/19/36	122,360
Impac CMB Trust Series 2004-08, Class 1A
	45,935		1.744		10/25/34	41,527
Morgan Stanley Mortgage Loan Trust Series 2004-8AR, Class 4A1
	427,587		3.237		10/25/34	431,468

						1,803,442

Interest Only^(b) – 0.5%
CS First Boston Mortgage Securities Corp. Series 2003-19, Class 1A2
	1,028		5.250		07/25/33	12
FHLMC REMIC Series 4456, Class IO
	329,201		4.500		10/15/44	73,855
FHLMC STRIPS Series 304, Class C45
	408,615		3.000		12/15/27	38,305
FNMA REMIC Series 2011-124, Class SC^(a)
	521,070		5.334		12/25/41	95,223
FNMA REMIC Series 2012-146, Class IO
	2,530,499		3.500		01/25/43	489,757
FNMA REMIC Series 2016-3, Class IP
	1,127,127		4.000		02/25/46	231,251
GNMA REMIC Series 2014-11, Class KI
	371,746		4.500		12/20/42	48,318
GNMA REMIC Series 2014-188, Class IB
	1,724,250		4.000		12/20/44	268,571
GNMA REMIC Series 2015-111, Class IM
	1,083,783		4.000		08/20/45	177,961
GNMA REMIC Series 2015-129, Class IC
	679,942		4.500		09/16/45	112,881
GNMA REMIC Series 2015-72, Class JI
	156,124		3.500		05/20/45	22,985
GNMA REMIC Series 2015-83, Class PI
	258,729		3.500		06/20/45	38,365
GNMA REMIC Series 2015-90, Class PI
	205,327		3.500		04/20/45	29,343
GNMA REMIC Series 2016-138, Class DI
	367,872		4.000		10/20/46	63,667
GNMA REMIC Series 2016-27, Class IA
	1,401,005		4.000		06/20/45	210,116
GNMA REMIC Series 2017-38, Class AI
	1,874,750		4.000		03/20/46	272,372
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 3AX^(a)
	11,747		0.123		08/25/33	66
Master Adjustable Rate Mortgages Trust Series 2003-2, Class 4AX^(a)
	1,469		0.320		07/25/33	27

						2,173,075

Inverse Floaters^(a) – 1.6%
FHLMC REMIC Series 3852, Class SW
	709,826		4.841		05/15/41	113,755


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(a) – (continued)
FHLMC REMIC Series 4273, Class PS
$	357,349		4.941	%	11/15/43	$ 58,875
FHLMC REMIC Series 4286, Class SN
	4,879,536		4.841		12/15/43	825,448
FHLMC REMIC Series 4314, Class SE
	461,151		4.891		03/15/44	81,457
FHLMC REMIC Series 4320, Class SD
	264,159		4.941		07/15/39	41,976
FHLMC REMIC Series 4326, Class GS
	584,277		4.891		04/15/44	102,534
FHLMC REMIC Series 4583, Class ST
	2,004,557		4.841		05/15/46	391,195
FNMA REMIC Series 2010-126, Class LS
	872,320		3.950		11/25/40	137,088
FNMA REMIC Series 2012-88, Class SB
	577,530		5.454		07/25/42	108,233
FNMA REMIC Series 2013-121, Class SA
	536,098		4.884		12/25/43	84,941
FNMA REMIC Series 2013-96, Class SW
	289,302		4.884		09/25/43	46,587
FNMA REMIC Series 2014-87, Class MS
	156,417		5.034		01/25/45	25,226
FNMA REMIC Series 2015-20, Class ES
	774,980		4.934		04/25/45	163,829
FNMA REMIC Series 2015-28, Class PS
	1,816,990		4.384		08/25/44	271,241
FNMA REMIC Series 2015-79, Class SA
	614,167		5.034		11/25/45	102,071
FNMA REMIC Series 2015-81, Class SA
	1,930,343		4.484		11/25/45	272,965
FNMA REMIC Series 2015-82, Class MS
	526,515		4.484		11/25/45	77,037
GNMA REMIC Series 2010-1, Class SD
	22,756		4.578		01/20/40	3,676
GNMA REMIC Series 2010-101, Class S
	1,469,314		4.788		08/20/40	236,761
GNMA REMIC Series 2010-20, Class SE
	583,758		5.038		02/20/40	98,559
GNMA REMIC Series 2010-31, Class SA
	358,490		4.538		03/20/40	53,835
GNMA REMIC Series 2010-85, Class SN
	57,265		4.728		07/20/40	10,514
GNMA REMIC Series 2010-98, Class QS
	180,002		5.388		01/20/40	24,398
GNMA REMIC Series 2011-17, Class SA
	222,808		4.888		09/20/40	32,621
GNMA REMIC Series 2011-61, Class CS
	89,711		5.468		12/20/35	3,876
GNMA REMIC Series 2013-113, Class SD
	260,808		5.528		08/16/43	46,489
GNMA REMIC Series 2013-124, Class CS
	2,068,767		4.838		08/20/43	354,688
GNMA REMIC Series 2013-134, Class DS
	133,803		4.888		09/20/43	21,917
GNMA REMIC Series 2013-152, Class SJ
	734,111		4.938		05/20/41	122,459
GNMA REMIC Series 2014-117, Class SJ
	5,951,966		4.388		08/20/44	901,173
GNMA REMIC Series 2014-132, Class SL
	1,016,109		4.888		10/20/43	146,975
GNMA REMIC Series 2014-133, Class BS
	459,682		4.388		09/20/44	65,627


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Inverse Floaters^(a) – (continued)
GNMA REMIC Series 2014-158, Class SA
$	2,716,273		4.374	%	10/16/44	$ 409,006
GNMA REMIC Series 2014-41, Class SA
	150,659		4.888		03/20/44	25,300
GNMA REMIC Series 2015-110, Class MS
	1,955,889		4.498		08/20/45	297,368
GNMA REMIC Series 2015-111, Class SM
	603,506		4.988		08/20/45	103,332
GNMA REMIC Series 2015-112, Class SB
	579,523		4.528		08/20/45	88,402
GNMA REMIC Series 2015-119, Class SN
	1,269,943		5.038		08/20/45	217,904
GNMA REMIC Series 2015-126, Class HS
	1,171,165		4.988		09/20/45	195,705
GNMA REMIC Series 2015-168, Class SD
	310,791		4.988		11/20/45	51,254
GNMA REMIC Series 2015-57, Class AS
	3,518,236		4.388		04/20/45	511,510
GNMA REMIC Series 2015-64, Class SG
	1,551,237		4.388		05/20/45	267,071
GNMA REMIC Series 2016-1, Class ST
	614,059		4.988		01/20/46	102,857
GNMA REMIC Series 2016-4, Class SM
	846,682		4.438		01/20/46	120,661
GNMA REMIC Series 2016-6, Class SB
	697,508		4.438		01/20/46	101,465

						7,519,861

Planned Amortization Class – 0.1%
FHLMC REMIC Series 3748, Class D
	630,584		4.000		11/15/39	661,068
Sequential Fixed Rate – 0.5%
FHLMC REMIC Series 2042, Class N
	70,451		6.500		03/15/28	76,939
FNMA REMIC Series 2000-16, Class ZG
	204,034		8.500		06/25/30	245,829
FNMA REMIC Series 2011-52, Class GB
	682,280		5.000		06/25/41	748,424
FNMA REMIC Series 2011-99, Class DB
	745,609		5.000		10/25/41	818,658
FNMA REMIC Series 2012-111, Class B
	118,067		7.000		10/25/42	136,126
FNMA REMIC Series 2012-153, Class B
	442,902		7.000		07/25/42	512,650

						2,538,626

Sequential Floating Rate^(a) – 0.4%
FHLMC REMIC Series 4103, Class BF
	1,144,805		1.509		12/15/38	1,145,667
FNMA REMIC Series 2011-63, Class FG
	163,895		1.666		07/25/41	164,747
New Residential Mortgage Loan Trust Series 2015-1A, Class A1^(c)
	411,416		3.750		05/28/52	422,926

						1,733,340

Support – 0.3%
FNMA REMIC Series 2005-59, Class KZ
	1,082,117		5.500		07/25/35	1,209,237


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
						17,638,649

Commercial Mortgage-Backed Securities – 1.4%
Sequential Fixed Rate – 0.7%
Bear Stearns Commercial Mortgage Securities Trust Series 2007-PW18, Class A1A
$	3,380,370		5.602	%	06/11/50	$ 3,407,818
Sequential Floating Rate^(a) – 0.7%
LB-UBS Commercial Mortgage Trust Series 2007-C7, Class A3
	468,952		5.866		09/15/45	471,902
WF-RBS Commercial Mortgage Trust Series 2011-C2, Class A4^(c)
	1,300,000		4.869		02/15/44	1,409,486
Citigroup Commercial Mortgage Trust Series 2008-C7, Class A1A
	1,303,950		6.090		12/10/49	1,310,146
Wachovia Bank Commercial Mortgage Trust Series 2006-C26, Class A1A
	110,415		6.009		06/15/45	110,196

						3,301,730

TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES						$ 6,709,548

Federal Agencies – 115.8%
Adjustable Rate FHLMC^(a) – 0.1%
$	52,417		2.896	%	04/01/33	$ 54,314
	31,090		2.787		09/01/33	32,905
	15,375		2.619		10/01/34	16,276
	22,046		2.844		11/01/34	23,350
	23,040		3.090		02/01/35	24,363
	78,865		2.901		06/01/35	83,511

						234,719

Adjustable Rate FNMA^(a) – 0.2%
	2,336		1.866		07/01/22	2,346
	10,792		1.833		07/01/27	10,864
	12,001		1.833		11/01/27	12,080
	5,631		1.833		01/01/31	5,678
	7,287		1.833		06/01/32	7,351
	7,425		1.866		08/01/32	7,489
	25,352		1.866		05/01/33	25,559
	9,278		2.752		06/01/33	9,623
	141,268		2.866		06/01/33	149,361
	7,305		2.947		07/01/33	7,714
	124,863		1.841		08/01/33	125,834
	459		3.625		09/01/33	486
	59,067		3.165		12/01/33	61,670
	901		3.199		12/01/33	952
	2,176		3.009		04/01/34	2,304
	238,934		3.292		08/01/34	253,871
	30,713		3.174		11/01/34	32,343
	38,988		2.881		02/01/35	41,203
	56,439		3.286		03/01/35	59,320
	30,587		3.560		04/01/35	32,115
	62,499		3.636		05/01/35	65,080
	4,845		1.833		11/01/35	4,884
	36,426		1.833		12/01/37	36,681


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
Adjustable Rate FNMA⁽^a) – (continued)
$	18,222		1.833	%	01/01/38	$ 18,348
	14,916		1.833		11/01/40	15,040

						988,196

Adjustable Rate GNMA^(a) – 0.2%
	17,754		2.125		06/20/23	18,026
	9,046		2.125		07/20/23	9,182
	8,777		2.125		08/20/23	8,911
	23,088		2.125		09/20/23	23,444
	7,412		2.375		03/20/24	7,527
	63,381		2.125		04/20/24	64,464
	6,957		2.125		05/20/24	7,077
	63,458		2.125		06/20/24	64,563
	37,992		2.125		07/20/24	38,644
	50,993		2.125		08/20/24	51,877
	16,223		2.125		09/20/24	16,509
	20,228		2.250		11/20/24	20,571
	8,116		2.250		12/20/24	8,255
	13,831		2.500		12/20/24	14,090
	13,941		2.375		01/20/25	14,179
	7,805		2.375		02/20/25	7,940
	28,029		2.125		05/20/25	28,566
	22,654		2.125		07/20/25	23,086
	9,870		2.375		02/20/26	10,058
	533		2.125		07/20/26	545
	26,579		2.375		01/20/27	27,126
	9,661		2.375		02/20/27	9,861
	76,580		2.125		04/20/27	78,299
	7,791		2.125		05/20/27	7,967
	9,819		2.125		06/20/27	10,049
	3,835		2.250		11/20/27	3,920
	11,730		2.250		12/20/27	11,991
	26,039		2.375		01/20/28	26,615
	9,410		2.375		02/20/28	9,619
	10,712		2.375		03/20/28	10,951
	41,925		2.125		07/20/29	42,982
	26,250		2.125		08/20/29	26,939
	5,065		2.125		09/20/29	5,194
	23,602		2.250		10/20/29	24,185
	30,440		2.250		11/20/29	31,177
	6,388		2.250		12/20/29	6,546
	9,033		2.375		01/20/30	9,256
	4,037		2.375		02/20/30	4,138
	23,289		2.375		03/20/30	23,869
	27,829		2.125		04/20/30	28,561
	73,468		2.125		05/20/30	75,425
	6,781		2.125		06/20/30	6,969
	67,324		2.125		07/20/30	69,103
	10,005		2.125		09/20/30	10,271
	21,995		2.250		10/20/30	22,588

						1,021,115

FHLMC – 8.0%
	7		5.000		08/01/17	7
	2,146		5.000		09/01/17	2,203
	3,800		5.000		10/01/17	3,899
	3,629		5.000		11/01/17	3,719
	3,533		5.000		12/01/17	3,623
	5,920		5.000		01/01/18	6,046
	13,571		5.000		02/01/18	13,811
	14,821		5.000		03/01/18	15,116
	16,705		5.000		04/01/18	16,997


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FHLMC – (continued)
$	1,503		4.500	%	05/01/18	$ 1,536
	13,474		5.000		05/01/18	13,787
	4,426		5.000		06/01/18	4,508
	4,593		5.000		07/01/18	4,656
	1,385		5.000		08/01/18	1,414
	1,317		5.000		09/01/18	1,344
	7,515		5.000		10/01/18	7,682
	8,377		5.000		11/01/18	8,556
	4,310		5.000		12/01/18	4,418
	508		5.000		01/01/19	521
	230		5.000		02/01/19	236
	39,563		5.500		04/01/20	40,834
	197,110		4.500		08/01/23	211,107
	34,128		7.000		04/01/31	37,836
	489,530		7.000		09/01/31	543,157
	228,532		7.000		04/01/32	268,378
	400,553		7.000		05/01/32	469,797
	15,572		4.500		07/01/33	16,777
	411,187		4.500		08/01/33	443,015
	818,324		4.500		09/01/33	881,666
	79,614		4.500		10/01/33	85,777
	101,004		5.000		10/01/33	109,886
	12,049		5.500		12/01/33	13,697
	148,568		5.500		04/01/35	165,213
	5,015		5.000		07/01/35	5,479
	3,417		4.500		08/01/35	3,672
	13,733		4.500		09/01/35	14,760
	5,929		4.500		10/01/35	6,361
	117,183		5.000		12/01/35	128,971
	77,514		5.500		01/01/36	87,494
	240		5.500		02/01/36	272
	2,161		5.000		02/01/37	2,380
	34,255		6.000		08/01/37	38,324
	32,753		6.000		09/01/37	36,632
	13,651		6.000		10/01/37	15,262
	97,658		6.000		11/01/37	109,189
	101,749		6.000		12/01/37	113,762
	46,080		4.500		01/01/38	49,556
	3,506		5.500		01/01/38	3,875
	99,868		6.000		01/01/38	111,691
	27,459		6.000		02/01/38	30,702
	6,053		6.000		03/01/38	6,812
	31,384		6.000		04/01/38	35,243
	14,763		6.000		05/01/38	16,718
	1,846		4.500		06/01/38	1,979
	26,079		6.000		06/01/38	29,415
	19,005		6.000		07/01/38	21,569
	14,304		6.000		08/01/38	16,126
	73,373		4.500		09/01/38	79,160
	103,118		6.000		09/01/38	115,345
	22,997		6.000		10/01/38	25,728
	2,037		6.000		11/01/38	2,306
	1,472		6.000		12/01/38	1,647
	403		4.500		01/01/39	434
	80,943		6.000		01/01/39	90,557
	40,141		4.500		02/01/39	43,214
	9,476		6.000		02/01/39	10,713
	420,977		7.000		02/01/39	487,438
	15,176		4.500		03/01/39	16,338
	6,414		6.000		03/01/39	7,176
	4,180		4.500		04/01/39	4,500
	2,791		6.000		04/01/39	3,148
	126,587		4.500		05/01/39	136,275
	306,557		5.000		05/01/39	334,130


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FHLMC – (continued)
$	352,697		4.500	%	06/01/39	$ 379,691
	8,781		4.500		07/01/39	9,453
	611,436		5.000		07/01/39	669,594
	9,026		4.500		08/01/39	9,717
	18,439		4.500		09/01/39	19,851
	4,583		4.500		10/01/39	4,934
	3,137		4.500		11/01/39	3,377
	9,886		4.500		12/01/39	10,642
	12,153		4.500		01/01/40	13,083
	7,777		4.500		04/01/40	8,369
	38,861		6.000		04/01/40	43,463
	13,553		4.500		05/01/40	14,585
	78,777		6.000		05/01/40	88,104
	24,251		4.000		06/01/40	25,614
	18,206		4.500		06/01/40	19,592
	12,434		4.500		07/01/40	13,381
	2,648		4.500		08/01/40	2,850
	30,377		5.000		08/01/40	33,022
	26,427		5.000		10/01/40	28,891
	262,309		4.000		02/01/41	277,114
	77,969		4.500		02/01/41	83,880
	13,450		4.500		03/01/41	14,469
	30,950		4.500		04/01/41	33,297
	31,637		4.500		05/01/41	34,035
	60,499		4.500		06/01/41	65,085
	3,371		5.000		06/01/41	3,685
	157,925		4.500		08/01/41	169,896
	164,995		4.500		09/01/41	177,559
	105,669		4.000		10/01/41	112,724
	18,946		4.000		11/01/41	20,030
	9,705		4.500		12/01/41	10,441
	118,954		4.500		03/01/42	127,971
	60,476		3.000		05/01/42	60,688
	565,577		3.500		06/01/42	584,634
	1,305,091		4.500		06/01/42	1,408,020
	158,149		3.000		08/01/42	158,894
	194,305		3.500		08/01/42	200,407
	68,561		3.000		10/01/42	68,882
	407,153		3.500		10/01/42	419,940
	851,343		3.000		11/01/42	856,447
	297,574		3.500		11/01/42	306,919
	1,469,109		3.000		12/01/42	1,478,004
	2,629,525		3.000		01/01/43	2,645,293
	238,785		3.000		02/01/43	239,634
	3,493,084		3.500		04/01/43	3,609,338
	3,600,849		3.500		08/01/43	3,714,820
	1,563,101		4.000		08/01/43	1,662,321
	989,408		3.500		02/01/44	1,020,481
	731,242		3.500		06/01/44	756,493
	30,796		4.000		11/01/44	32,852
	118,274		3.500		02/01/45	122,415
	170,628		3.500		03/01/45	176,600
	969,769		3.500		06/01/45	1,001,589
	766,571		3.500		10/01/45	791,484
	7,420,139		3.500		03/01/46	7,657,031
	732,849		3.500		05/01/46	755,293

						37,902,450

FNMA – 55.8%
	8		5.500		09/01/17	8
	295		5.500		01/01/18	296
	251		5.500		02/01/18	251
	16,030		5.000		03/01/18	16,166


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA –(continued)
$	1,172		5.500	%	04/01/18	$ 1,184
	458		5.500		05/01/18	464
	28,783		5.000		06/01/18	29,157
	1,574		5.000		09/01/18	1,598
	31		7.000		11/01/18	31
	309		5.500		02/01/19	314
	2,552		5.500		04/01/19	2,590
	293		5.500		05/01/19	299
	3,254		5.500		07/01/19	3,332
	12,027		5.500		08/01/19	12,410
	5,696		5.500		09/01/19	5,888
	10,291		5.500		10/01/19	10,621
	4,772		5.500		11/01/19	4,942
	3,316		5.500		12/01/19	3,414
	14,122		5.500		02/01/20	14,554
	41,120		4.500		03/01/20	41,573
	6,919		5.500		01/01/21	7,200
	11,273		7.000		09/01/21	11,901
	46,426		7.000		06/01/22	50,187
	19,570		7.000		07/01/22	20,844
	1,606		4.500		04/01/23	1,693
	406		7.000		01/01/29	407
	1,658		7.000		09/01/29	1,705
	5,337		7.000		08/01/31	5,781
	529		7.000		03/01/32	614
	1,356		7.000		04/01/32	1,475
	2,585		7.000		06/01/32	2,635
	327		7.000		07/01/32	330
	43,227		6.000		01/01/33	49,472
	1,897		6.000		02/01/33	2,152
	584		5.500		07/01/33	650
	17,780		5.000		08/01/33	19,465
	4,981		5.500		09/01/33	5,573
	18,014		5.500		02/01/34	20,181
	4,862		5.500		03/01/34	5,447
	8,964		5.000		04/01/34	9,815
	8,508		5.500		04/01/34	9,530
	46		5.500		06/01/34	51
	26,485		5.500		07/01/34	29,692
	5,393		5.500		08/01/34	6,075
	18,851		5.500		10/01/34	21,133
	4,184		5.500		11/01/34	4,698
	132,821		5.500		12/01/34	149,031
	141,190		6.000		04/01/35	159,744
	11,052		5.500		05/01/35	12,301
	4,528		5.500		06/01/35	5,082
	5,340		5.000		07/01/35	5,863
	9,208		5.500		07/01/35	10,341
	5,060		5.500		08/01/35	5,675
	7,978		5.500		09/01/35	8,971
	241,619		5.000		10/01/35	265,000
	2,791		5.500		10/01/35	3,103
	76,722		6.000		10/01/35	87,861
	2,389		5.500		12/01/35	2,695
	1,947		6.000		12/01/35	2,228
	396,148		5.000		01/01/36	434,482
	99		5.500		02/01/36	112
	12,627		5.500		04/01/36	14,084
	2,322		6.000		04/01/36	2,654
	325,715		4.500		07/01/36	351,213
	24,333		5.500		07/01/36	27,046
	34,224		4.500		12/01/36	36,882
	3,062		5.500		02/01/37	3,441


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA –(continued)
$	12,749		5.500	%	04/01/37	$ 14,373
	59,437		6.000		04/01/37	67,533
	58,882		5.000		06/01/37	64,800
	177		5.500		06/01/37	199
	2,798		5.500		07/01/37	3,144
	376,510		5.500		08/01/37	418,521
	97,603		6.500		10/01/37	114,350
	41,218		6.000		11/01/37	46,970
	181		5.500		12/01/37	203
	394		5.500		02/01/38	444
	4,456		5.500		03/01/38	5,007
	62,969		5.000		04/01/38	68,982
	19,273		5.500		04/01/38	21,719
	4,762		5.500		05/01/38	5,368
	1,868		5.500		06/01/38	2,099
	924		5.500		07/01/38	1,040
	2,139		5.500		08/01/38	2,403
	2,111		5.500		09/01/38	2,372
	79,176		6.000		09/01/38	90,340
	15,533		5.500		12/01/38	17,255
	577,104		5.000		01/01/39	637,603
	113,826		6.000		01/01/39	129,971
	259,630		6.500		01/01/39	304,505
	348,598		4.500		02/01/39	375,735
	5,205		5.500		02/01/39	5,871
	6,694		4.500		03/01/39	7,246
	272,323		7.000		03/01/39	315,385
	10,508		4.500		05/01/39	11,375
	7,844		5.500		06/01/39	8,816
	7,524		4.500		07/01/39	8,147
	6,773		4.000		08/01/39	7,151
	16,887		4.500		09/01/39	18,202
	24,199		4.500		10/01/39	26,083
	6,620		5.500		11/01/39	7,440
	57,596		4.500		02/01/40	62,383
	9,065		4.500		03/01/40	9,770
	15,047		3.500		04/01/40	15,541
	128,760		4.500		04/01/40	138,730
	45,621		4.500		06/01/40	49,427
	433,988		5.000		06/01/40	474,794
	36,171		5.000		07/01/40	39,572
	8,912		4.500		09/01/40	9,655
	20,612		3.500		12/01/40	21,288
	7,922		4.500		12/01/40	8,536
	142,646		4.500		01/01/41	153,857
	38,284		4.500		04/01/41	41,281
	62,843		4.500		06/01/41	67,686
	53,339		4.500		07/01/41	57,514
	246,136		4.500		08/01/41	265,265
	251,963		4.500		09/01/41	271,599
	211,391		3.500		10/01/41	218,435
	200,716		4.500		10/01/41	216,303
	112,792		3.500		11/01/41	116,486
	165,684		4.500		11/01/41	178,551
	207,383		3.500		12/01/41	214,030
	82,257		4.500		12/01/41	88,596
	200,987		3.500		01/01/42	207,684
	109,180		4.500		01/01/42	117,584
	400,518		3.500		02/01/42	413,358
	461,761		3.500		03/01/42	476,563
	23,116		4.500		03/01/42	24,925
	91,827		3.500		04/01/42	94,771
	35,482		4.500		04/01/42	38,199
	37,857		3.500		05/01/42	39,071


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA –(continued)
$	630,823		3.500	%	06/01/42	$ 651,251
	579,351		3.500		07/01/42	597,761
	544,884		3.500		08/01/42	562,166
	125,796		3.000		09/01/42	126,380
	467,316		3.500		09/01/42	482,287
	476,689		3.500		10/01/42	492,842
	34,859		3.500		11/01/42	35,944
	788,718		4.500		11/01/42	854,403
	738,977		3.000		12/01/42	742,570
	1,237,966		3.500		12/01/42	1,278,086
	160,280		3.000		01/01/43	161,450
	17,869		3.500		01/01/43	18,425
	61,655		3.000		02/01/43	62,105
	978,586		3.500		02/01/43	1,010,472
	1,499,114		3.000		03/01/43	1,510,063
	1,989,069		3.500		03/01/43	2,054,367
	1,633,707		3.000		04/01/43	1,645,678
	2,215,389		3.500		04/01/43	2,284,819
	679,047		2.500		05/01/43	660,397
	2,009,990		3.000		05/01/43	2,025,301
	1,230,607		3.500		05/01/43	1,270,006
	66,655		3.000		06/01/43	67,162
	1,324,873		3.500		06/01/43	1,368,643
	607,547		3.000		07/01/43	612,176
	10,629,289		3.500		07/01/43	10,965,040
	3,750,940		3.500		08/01/43	3,869,465
	72,577		3.500		09/01/43	75,086
	219,857		3.500		11/01/43	226,905
	1,040,850		3.500		01/01/44	1,073,874
	70,167		3.500		08/01/44	72,221
	165,338		3.500		09/01/44	170,613
	185,843		3.500		10/01/44	193,051
	75,747		4.000		10/01/44	79,760
	28,094		3.500		12/01/44	28,977
	81,617		5.000		12/01/44	89,630
	47,706		3.500		01/01/45	49,385
	368,700		3.500		02/01/45	381,331
	770,198		4.000		02/01/45	815,928
	329,670		3.500		03/01/45	340,927
	603,738		4.000		03/01/45	640,339
	485,446		3.500		04/01/45	501,469
	296,292		4.000		04/01/45	314,255
	3,203,303		4.500		04/01/45	3,494,103
	1,307,276		3.500		05/01/45	1,357,167
	378,537		4.500		05/01/45	413,138
	124,494		3.500		06/01/45	128,526
	69,162		3.500		07/01/45	71,401
	48,243		3.500		09/01/45	49,866
	120,978		3.500		10/01/45	124,896
	86,547		3.500		11/01/45	89,349
	45,380		3.500		12/01/45	46,849
	129,906		3.500		01/01/46	134,113
	1,052,596		3.500		03/01/46	1,092,110
	166,587		3.500		04/01/46	172,893
	1,113,957		3.500		05/01/46	1,147,420
	1,974,548		3.500		06/01/56	2,026,018
	5,349,706		3.500		07/01/56	5,485,329
	4,630,056		3.500		08/01/56	4,748,866
	29,000,000		3.000		TBA-30yr^(d)	28,961,485
	144,000,000		4.000		TBA-30yr^(d)	151,253,083
	12,000,000		4.500		TBA-30yr^(d)	12,870,000


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
FNMA –(continued)
$	1,000,000		5.000	%	TBA-30yr^(d)	$ 1,092,344

						264,189,679

GNMA – 51.5%
	29,715		5.500		07/15/20	30,624
	6,236		6.000		04/15/26	7,031
	433		6.500		01/15/32	474
	1,119		6.500		02/15/32	1,223
	530,721		5.500		04/15/33	589,235
	6,144		5.000		11/15/33	6,789
	1,303		6.500		08/15/34	1,489
	1,387		6.500		02/15/36	1,608
	3,401		6.500		03/15/36	3,945
	5,147		6.500		04/15/36	5,841
	15,148		6.500		05/15/36	17,567
	9,364		6.500		06/15/36	10,864
	58,909		6.500		07/15/36	67,587
	55,623		6.500		08/15/36	63,908
	90,498		6.500		09/15/36	103,778
	41,467		6.500		10/15/36	47,806
	57,216		6.500		11/15/36	65,236
	24,448		6.500		12/15/36	28,012
	13,176		6.500		01/15/37	15,241
	2,780		6.500		03/15/37	3,227
	6,346		6.500		04/15/37	7,346
	4,880		6.500		05/15/37	5,386
	2,910		6.500		08/15/37	3,350
	16,999		6.500		09/15/37	19,502
	14,583		6.500		10/15/37	16,912
	10,212		6.500		11/15/37	11,692
	5,016		6.500		05/15/38	5,764
	3,301		6.500		11/15/38	3,810
	3,098		6.500		02/15/39	3,575
	135,906		4.500		12/20/39	145,993
	538,779		5.000		01/20/40	584,138
	36,757		4.500		02/20/40	39,485
	623,375		4.500		05/15/40	672,234
	102,549		4.500		05/20/40	110,160
	365,099		5.000		07/15/40	399,339
	191,235		3.500		09/15/42	199,020
	13,164,023		4.000		10/20/43	13,914,269
	348,346		4.500		01/20/45	372,893
	471,952		3.500		02/15/45	489,311
	87,500		4.500		02/20/45	93,666
	54,694		4.500		03/20/45	58,377
	6,917		4.500		04/20/45	7,382
	143,159		4.000		05/20/45	150,915
	1,431,598		4.500		05/20/45	1,532,481
	15,409		4.500		06/20/45	16,495
	113,184		4.000		07/20/45	119,317
	665,144		4.500		07/20/45	712,016
	5,427,057		4.000		08/20/45	5,721,093
	7,705,322		4.500		08/20/45	8,229,043
	5,864,962		4.000		09/20/45	6,182,724
	11,049		4.500		09/20/45	11,800
	8,524,497		4.000		10/20/45	8,981,024
	397,231		4.500		10/20/45	422,244
	1,558,759		4.000		11/20/45	1,641,751
	525,577		4.500		11/20/45	561,956
	1,901,301		4.500		12/20/45	2,021,024
	4,223,576		4.000		01/20/46	4,445,809
	927,085		4.500		01/20/46	985,462


Principal Amount		Interest Rate			Maturity Date	Value
Mortgage-Backed Obligations – (continued)
GNMA – (continued)
$	7,652,091		4.000	%	02/20/46	$ 8,054,723
	1,513,694		4.500		02/20/46	1,609,009
	9,586,641		4.000		03/20/46	10,091,064
	1,538,108		4.500		03/20/46	1,634,961
	4,147,367		4.000		04/20/46	4,366,238
	3,616,530		4.500		04/20/46	3,844,258
	7,696,606		3.000		05/20/46	7,783,494
	282,532		4.000		05/20/46	297,442
	11,160		4.500		05/20/46	11,863
	96,318		3.000		06/20/46	97,405
	125,146		4.500		06/20/46	133,026
	3,000,002		3.000		07/20/46	3,033,869
	50,783		4.500		07/20/46	53,980
	46,924		4.500		08/20/46	49,879
	21,999,985		3.000		10/20/46	22,248,345
	977,630		4.000		01/20/47	1,029,222
	47,422,027		3.000		02/20/47	47,958,459
	4,915,814		4.000		02/20/47	5,178,311
	15,284,991		3.000		04/20/47	15,457,892
	500,000		3.000		05/20/47	505,645
	20,991,258		4.000		05/20/47	22,141,678
	24,000,000		4.000		06/20/47	25,330,313
	2,000,000		3.500		TBA-30yr^(d)	2,071,250
	1,000,000		4.500		TBA-30yr^(d)	1,062,500

						244,015,069

TOTAL FEDERAL AGENCIES						$ 548,351,228

TOTAL MORTGAGE-BACKED OBLIGATIONS (Cost $575,084,146)						$ 572,699,425


Asset-Backed Securities – 12.6%
Auto^(c) – 0.3%
Ford Credit Auto Owner Trust Series 2015-1, Class A
$	1,200,000		2.120	%	07/15/26	$ 1,205,277

Collateralized Loan Obligations^(a)(c) – 4.8%
Cedar Funding V CLO Ltd. Series 2016-5A, Class A1
	2,600,000		2.633		07/17/28	2,620,896
Cent CLO Ltd. Series 2014-22A, Class A1R
	1,750,000		2.444		11/07/26	1,752,622
Cutwater Ltd. Series 2014-1A, Class A1AR
	1,400,000		2.469		07/15/26	1,399,297
Halcyon Loan Advisors Funding Ltd. Series 2015-2A, Class A
	1,450,000		2.428		07/25/27	1,448,019
Madison Park Funding XII Ltd. Series 2014-12A, Class AR
	1,550,000		2.290		07/20/26	1,551,817
Mountain View CLO Ltd. Series 2014-1A, Class AR
	2,000,000		2.304		10/15/26	2,000,104
OCP CLO Ltd. Series 2014-5A, Class A1
	1,600,000		2.032		04/26/26	1,599,998
OFSI Fund VI Ltd. Series 2014-6A, Class A1
	2,100,000		2.052		03/20/25	2,083,293
Parallel Ltd. Series 2015-1A, Class A
	1,050,000		2.480		07/20/27	1,050,389
Shackleton CLO Ltd. Series 2014-5A, Class AR
	1,600,000		2.319		05/07/26	1,599,987
Thacher Park CLO Ltd. Series 2014-1A, Class AR
	2,450,000		2.266		10/20/26	2,450,007


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Collateralized Loan Obligations^(a)(c) – (continued)
Trinitas CLO III Ltd. Series 2015-3A, Class A2
$	1,800,000		2.533	%	07/15/27	$ 1,804,279
Z Capital Credit Partners CLO Ltd. Series 2015-1A, Class A1
	1,292,110		2.353		07/16/27	1,288,148

						22,648,856

Home Equity^(a) – 0.0%
Countrywide Home Equity Loan Trust Series 2004-O, Class 1A
	64,781		1.269		02/15/34	58,697

Other^(a)(c) – 1.5%
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A
	1,850,000		1.894		09/10/18	1,850,209
Mortgage Repurchase Agreement Financing Trust Series 2016-1, Class A2
	1,150,000		1.944		04/10/19	1,150,269
Mortgage Repurchase Agreement Financing Trust Series 2016-2, Class A
	3,000,000		2.294		03/10/19	3,000,446
Mortgage Repurchase Agreement Financing Trust Series 2017-1, Class A1
	450,000		1.844		07/10/19	450,189
Station Place Securitization Trust Series 2015-2, Class A
	900,000		2.039		05/15/18	900,000

						7,351,113

Student Loan^(a) – 6.0%
Brazos Education Loan Authority, Inc. Series 2012-1, Class A1
	476,381		1.724		12/26/35	470,841
ECMC Group Student Loan Trust Series 2017-1A, Class A^(c)
	3,885,846		2.224		12/27/66	3,889,309
Education Loan Asset-Backed Trust I Series 2013-1, Class A1^(c)
	901,633		1.824		06/25/26	902,634
Goal Capital Funding Trust Series 2007-1, Class A3
	103,196		1.243		09/25/28	103,103
Goal Capital Funding Trust Series 2010-1, Class A^(c)
	2,125,639		1.752		08/25/48	2,107,666
Higher Education Funding I Series 2014-1, Class A^(c)
	1,454,597		2.102		05/25/34	1,448,418
Illinois Student Assistance Commission Series 2010-1, Class A3
	1,000,000		1.938		07/25/45	1,003,402
Montana Higher Education Student Assistance Corp. Series 2012-1, Class A3
	950,000		2.060		07/20/43	932,232
Nelnet Student Loan Trust Series 2006-1, Class A6^(c)
	1,700,000		1.503		08/23/36	1,625,047
Nelnet Student Loan Trust Series 2006-2, Class A5
	1,410,154		1.138		01/25/30	1,408,105
New Hampshire Higher Education Loan Corp. Series 2011-1, Class A3^(e)
	1,150,000		1.890		10/25/37	1,123,854
North Carolina State Education Assistance Authority Series 2010-1, Class A1
	690,705		1.938		07/25/41	688,250
Panhandle-Plains Higher Education Authority, Inc. Series 2011-1, Class A3
	700,000		1.948		10/01/37	696,309
Panhandle-Plains Higher Education Authority, Inc. Series 2011-2, Class A3
	1,100,000		1.848		07/01/32	1,089,362
PHEAA Student Loan Trust Series 2016-1A, Class A^(c)
	1,363,317		2.174		09/25/65	1,379,477


Principal Amount		Interest Rate			Maturity Date	Value
Asset-Backed Securities – (continued)
Student Loan^(a) – (continued)
PHEAA Student Loan Trust Series 2016-2A, Class A^(c)
$	1,604,773		1.974	%	11/25/65	$ 1,608,391
SLM Student Loan Trust Series 2004-8A, Class A6^(c)
	1,250,000		1.668		01/25/40	1,233,844
SLM Student Loan Trust Series 2005-5, Class A5
	350,000		1.788		10/25/40	342,146
SLM Student Loan Trust Series 2006-2, Class A5
	1,014,669		1.148		07/25/25	1,014,605
SLM Student Loan Trust Series 2006-4, Class A5
	15,982		1.138		10/27/25	15,979
SLM Student Loan Trust Series 2014-2, Class A2
	260,365		1.374		10/25/21	260,515
South Carolina Student Loan Corp. Series 2010-1, Class A3
	1,850,000		2.088		10/27/36	1,875,735
Utah State Board of Regents Series 2016-1, Class A
	3,069,308		1.774		09/25/56	3,069,745

						28,288,969

TOTAL ASSET-BACKED SECURITIES (Cost $59,272,300)						$ 59,552,912


	Shares		Distribution Rate			Value
Investment Company^(a)(f) – 4.6%
Goldman Sachs Financial Square Government Fund - Institutional Shares
		21,998,615		0.845	%	$ 21,998,615
(Cost $21,998,615)

TOTAL INVESTMENTS – 138.2% (Cost $656,355,061)						$ 654,250,952

LIABILITIES IN EXCESS OF OTHER ASSETS – (38.2)%						(180,806,684)

NET ASSETS – 100.0%						$ 473,444,268



The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.

(a)		Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on June 30, 2017.

(b)		Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate.

(c)		Exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be deemed liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $47,232,444, which represents approximately 10.0% of net assets as of June 30, 2017.

(d)		TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $197,310,662 which represents approximately 41.7% of net assets as of June 30, 2017.

(e)		Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates.

(f)		Represents an Affiliated Fund.



Investment Abbreviations:
CLO		— Collateralized Loan Obligation
FHLMC		— Federal Home Loan Mortgage Corp.
FNMA		— Federal National Mortgage Association
GNMA		— Government National Mortgage Association
LIBOR		— London Interbank Offered Rate
PI		— Private Investment
REMIC		— Real Estate Mortgage Investment Conduit
STRIPS		— Separate Trading of Registered Interest and Principal of Securities


For information on the mutual funds, please call our toll free Shareholder Services Line at 1-800-526-7384 or visit us on the web at www.GSAMFUNDS.com.

FORWARD SALES CONTRACTS — At June 30, 2017, the Fund had the following forward sales contracts:

FUTURES CONTRACTS — At June 30, 2017, the Fund had the following futures contracts:

SWAP CONTRACTS — At June 30, 2017, the Fund had the following swap contracts:

TAX INFORMATION — At June 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:

Investment Valuation — The Funds’ valuation policy is to value investments at fair value.

Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;

Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).

Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.

Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The Investment Manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.

Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Funds invest in Underlying Funds that fluctuate in value, the Funds’ shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.

i. Bank Loans — Bank loans (“Loans”) are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. Loans are arranged through private negotiations between the borrower and one or more financial institutions (“Lenders”). A Fund’s investments in Loans are in the form of either participations in Loans (“Participations”) or assignments of all or a portion of Loans from third parties (“Assignments”). With respect to Participations, a Fund has the right to receive payments of principal, interest and any fees to which it is entitled from the Lender selling the Participations and only upon receipt by the Lender of the payments from the borrower. A Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement with respect to Participations. Conversely, assignments result in a Fund having a direct contractual relationship with the borrower, and the Fund may be permitted to enforce compliance by the borrower with the terms of the loan agreement.

ii. Inverse Floaters — The interest rate on inverse floating rate securities (“inverse floaters”) resets in the opposite direction from the market rate of interest to which the inverse floaters are indexed. An inverse floater may be considered to be leveraged to the extent that its interest rate varies by a magnitude that exceeds the magnitude of the change in the index rate of interest. The higher the degree of leverage of an inverse floater, the greater the volatility of its market value.

iii. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.

iv. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.

v. Structured Notes — The values of structured notes are based on the price movements of a reference security or index. Upon termination, a Fund will receive a payment from the issuer based on the value of the referenced instrument (notional amount multiplied by price of the referenced instrument) and record a realized gain or loss.

vi. Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.

vii. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.

ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For finanical reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments.

reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.

Secured Borrowings — Secured borrowings are valued at their contractual amounts, which approximate fair value, and are generally classified as Level 2 of the fair value hierarchy.

i. Reverse Repurchase Agreements — Reverse repurchase agreements involve the sale of securities held by a Fund subject to the Fund’s agreement to repurchase the securities at a mutually agreed upon date and price (including interest), under the terms of an MRA. The gross value of reverse repurchase agreements is included in the Statements of Assets and Liabilities for financial reporting purposes.

When a Fund enters into a reverse repurchase agreement, it is required to deliver securities as collateral to the counterparty that exceed the value of the reverse repurchase agreement. During the term of a reverse repurchase agreement, the value of the underlying securities pledged as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the reverse repurchase agreement, including accrued interest. If the value of those securities pledged as collateral, including accrued interest, becomes less than the value of the reverse repurchase agreement, including accrued interest, a Fund will be obligated to deliver additional collateral to the buyer. If the buyer defaults on its commitment to sell back the securities, a Fund could suffer a loss to the extent that the amount borrowed is less than the replacement cost of similar securities and the Fund’s costs associated with delay and enforcement of the reverse repurchase agreement. In addition, in the event of default or insolvency of the buyer, a court could determine that the Fund’s interest in the amount borrowed is not enforceable, resulting in additional losses to a Fund.

dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.

To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs (examples include but are not limited to single source broker quotations, third party pricing, etc.) for the valuation of Level 3 Assets and Liabilities.

Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2017:

The following is a reconciliation of Level 3 investments for the period ended June 30, 2017:

For further information regarding security characteristics, see the Schedules of Investments.

Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which a Fund invests. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.

Foreign Custody Risk — If a Fund invests in foreign securities, such Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.

Geographic Risk — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, it will subject the Funds, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.

Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.

Loan-Related Investments Risk — In addition to risks generally associated with debt investments, loan-related investments such as loan participations and assignments are subject to other risks. Although a loan obligation may be fully collateralized at the time of acquisition, the collateral may decline in value, be relatively illiquid, or lose all or substantially all of its value subsequent to investment. Many loan investments are subject to legal or contractual restrictions on resale and may be relatively illiquid and difficult to value. There is less readily available, reliable information about most loan investments than is the case for many other types of securities. Substantial increases in interest rates may cause an increase in loan obligation defaults. With respect to loan participations, the Fund may not always have direct recourse against a borrower if the borrower fails to pay scheduled principal and/or interest; may be subject to greater delays, expenses and risks than if the Fund had purchased a direct obligation of the borrower; and may be regarded as the creditor of the agent lender (rather than the borrower), subjecting the Fund to the creditworthiness of that lender as well. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. The market for loan obligations may be subject to irregular trading activity, wide bid/ask spreads and extended trade settlement periods. Because transactions in many loans are subject to extended trade settlement periods, the Fund may not receive the proceeds from the sale of a loan for a period after the sale. As a result, sale proceeds related to the sale of loans may not be available to make additional investments or to meet the Fund’s redemption obligations for a period after the sale of the loans, and, as a result, the Fund may have to sell other investments or engage in borrowing transactions, such as borrowing from its credit facility, if necessary to raise cash to meet its obligations.

Non-Diversification Risk — Each of the Dynamic Emerging Markets Debt Fund, Emerging Markets Debt Fund and Local Emerging Markets Debt Fund are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.

(a) The Registrant’s President/Chief Executive Officer and Principal Financial Officer concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) were effective as of a date within 90 days prior to the filing date of this report (the “Evaluation Date”), based on their evaluation of the effectiveness of the Registrant’s disclosure controls and procedures as of the Evaluation Date.

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

(a) Separate certifications for the President/Chief Executive Officer and the Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)) are filed herewith.

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

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


		71 South Wacker Drive, Chicago, Illinois		60606
		(Address of principal executive offices)		(Zip code)


				Rates Exchanged		Market Value
	Notional Amount (000s)^(a)		Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)

	$	29,854	09/20/24	3 month LIBOR	2.250%	$	(366,491	)	$	184,806


(a) Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2017. CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT
						Market Value
Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)	Termination Date	Credit Spread at June 30, 2017^(b)	Upfront Payments Made (Received)			Unrealized Gain (Loss)

Protection Purchased:
CDX North America High Yield Index 28		60,000	(5.000)%	06/20/22	3.390%	$	(4,523,408	)	$	291,638



Tax Cost	$	222,924,222

Gross unrealized gain		2,560,604
Gross unrealized loss		(5,579,533	)

Net unrealized security loss	$	(3,018,929	)


Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date	Unrealized Loss

Citibank NA	ARS	3,231,000	USD	198,167	$	193,728	07/06/17	$	(4,439	)
	BRL	10,633,482	USD	3,229,153		3,206,056	07/05/17		(23,097	)
	BRL	4,989,257	USD	1,505,944		1,495,053	08/02/17		(10,891	)
	BRL	3,556,804	USD	1,067,789		1,058,946	09/05/17		(8,843	)
	CHF	1,505,194	EUR	1,387,812		1,577,936	09/20/17		(13,980	)
	CLP	42,350,080	USD	64,142		63,792	07/03/17		(351	)
	CLP	42,234,880	USD	64,000		63,592	07/17/17		(408	)
	CLP	363,513,106	USD	547,252		546,681	08/30/17		(570	)
	COP	1,085,001,845	USD	368,646		353,890	08/11/17		(14,756	)
	COP	692,363,732	USD	234,839		224,941	09/14/17		(9,898	)
	EGP	590,352	USD	33,990		31,550	11/03/17		(2,441	)
	EGP	530,700	USD	29,000		28,327	11/09/17		(673	)
	EUR	68,350	CAD	101,568		78,402	09/20/17		(20	)
	EUR	382,620	CZK	10,059,092		437,077	07/03/17		(2,879	)
	EUR	1,236,134	CZK	32,322,034		1,417,931	09/20/17		(2,956	)
	EUR	106,113	HUF	32,822,749		121,718	09/20/17		(79	)
	EUR	1,853,269	SEK	17,902,615		2,125,829	09/20/17		(9,053	)
	EUR	374,685	USD	429,213		429,182	08/24/17		(31	)
	EUR	140,000	USD	160,593		160,590	09/20/17		(3	)
	HKD	2,578,355	USD	331,453		331,085	10/03/17		(368	)
	HUF	64,223,100	EUR	207,959		238,317	09/20/17		(226	)
	IDR	13,133,739,021	USD	982,743		979,217	08/25/17		(3,526	)
	INR	56,695,388	USD	879,000		875,783	07/14/17		(3,217	)
	INR	21,531,894	USD	333,093		332,228	07/24/17		(865	)
	INR	31,032,160	USD	480,000		478,485	07/31/17		(1,515	)
	JPY	91,149,367	EUR	727,660		813,292	09/20/17		(21,383	)
	JPY	109,534,000	USD	986,815		974,740	07/20/17		(12,076	)
	JPY	608,113,013	USD	5,472,259		5,425,972	09/20/17		(46,293	)
	KRW	77,107,500	USD	67,840		67,374	07/03/17		(467	)
	KRW	463,177,004	USD	409,655		404,572	07/12/17		(5,083	)
	KRW	2,568,801,411	USD	2,276,984		2,243,792	07/13/17		(33,191	)
	KRW	1,093,758,889	USD	960,218		955,426	07/20/17		(4,792	)
	KRW	722,962,457	USD	636,000		631,554	07/26/17		(4,446	)
	KRW	109,627,200	USD	96,000		95,769	07/31/17		(231	)
	KRW	861,664,884	USD	759,712		753,368	09/27/17		(6,343	)
	MXN	918,267	USD	50,688		50,144	08/25/17		(545	)
	MXN	57,822,017	USD	3,185,155		3,145,391	09/20/17		(39,764	)
	NOK	5,035,445	CAD	786,075		604,100	09/20/17		(2,847	)
	NOK	37,323,355	EUR	3,932,469		4,477,667	09/20/17		(33,147	)
	NZD	444,000	CAD	423,604		324,874	09/20/17		(2,200	)
	PHP	18,083,608	USD	363,052		356,005	09/14/17		(7,047	)
	PLN	20,377,087	EUR	4,833,712		5,496,971	09/20/17		(47,631	)
	RUB	94,041,716	USD	1,623,414		1,587,707	07/20/17		(35,707	)
	TRY	3,095,629	USD	864,000		859,732	09/20/17		(4,268	)
	TWD	4,838,686	USD	160,000		159,227	07/11/17		(773	)
	TWD	9,634,154	USD	320,000		316,991	07/17/17		(3,009	)
	TWD	9,647,675	USD	318,000		317,415	07/20/17		(585	)
	TWD	4,409,763	USD	145,825		145,053	08/17/17		(772	)
	USD	578,467	AUD	770,326		591,838	07/27/17		(13,370	)
	USD	157,241	AUD	205,337		157,757	07/28/17		(516	)
	USD	570,229	AUD	749,841		576,017	08/09/17		(5,787	)
	USD	3,808,020	AUD	5,040,389		3,870,059	09/20/17		(62,041	)
	USD	663,731	CAD	905,891		698,764	07/14/17		(35,033	)
	USD	190,749	CAD	251,888		194,381	08/09/17		(3,632	)
	USD	550,011	CAD	734,776		567,031	08/10/17		(17,020	)
	USD	5,429,725	CAD	7,178,790		5,542,910	09/20/17		(113,184	)


Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date	Unrealized Loss

Citibank NA (continued)	USD	102,621	CHF	99,162	$	103,813	08/30/17	$	(1,191	)
	USD	639,000	CHF	610,373		639,871	09/20/17		(871	)
	USD	128,000	CLP	85,138,944		128,192	07/17/17		(192	)
	USD	1,261,587	CNH	8,648,335		1,267,871	09/20/17		(6,284	)
	USD	4,437,157	EUR	3,916,863		4,486,561	08/24/17		(49,404	)
	USD	3,938,577	EUR	3,485,142		3,997,698	09/20/17		(59,119	)
	USD	5,206,369	GBP	4,078,807		5,319,455	08/10/17		(113,088	)
	USD	7,207,909	GBP	5,633,506		7,355,831	09/20/17		(147,926	)
	USD	1,666,600	HUF	459,143,899		1,701,386	08/17/17		(34,786	)
	USD	515,049	INR	33,930,134		524,125	07/14/17		(9,076	)
	USD	96,000	JPY	10,769,145		96,089	09/20/17		(89	)
	USD	151,280	KRW	173,215,600		151,320	07/31/17		(40	)
	USD	64,000	MXN	1,179,030		64,137	09/20/17		(137	)
	USD	58,770	MYR	254,619		59,047	08/17/17		(278	)
	USD	194,227	NOK	1,670,924		200,196	07/12/17		(5,969	)
	USD	63,674	NOK	538,837		64,644	09/20/17		(970	)
	USD	503,108	NZD	700,000		512,686	07/28/17		(9,579	)
	USD	3,043,418	NZD	4,208,205		3,079,143	09/20/17		(35,725	)
	USD	440,354	PLN	1,653,618		446,104	08/30/17		(5,750	)
	USD	151,995	PLN	574,056		154,859	09/20/17		(2,863	)
	USD	96,000	RUB	5,707,200		96,355	07/20/17		(355	)
	USD	1,037,897	SEK	9,180,721		1,090,502	07/12/17		(52,605	)
	USD	134,539	SEK	1,145,726		136,628	09/20/17		(2,089	)
	USD	698,962	SGD	967,087		703,340	09/20/17		(4,377	)
	USD	223,000	TRY	805,332		223,661	09/20/17		(661	)
	USD	277,087	TWD	8,460,402		278,407	07/11/17		(1,320	)
	USD	159,000	TWD	4,835,031		159,076	07/20/17		(76	)
	USD	448,000	TWD	13,652,192		449,071	07/31/17		(1,071	)
	USD	1,095,136	TWD	33,412,601		1,099,063	08/17/17		(3,927	)
	USD	64,000	ZAR	849,312		64,037	09/20/17		(37	)
	ZAR	7,483,705	USD	573,340		564,259	09/20/17		(9,072	)

TOTAL								$	(1,237,195	)


Type	Number of Contracts Long (Short)	Expiration Date		Current Value			Unrealized Gain (Loss)

Australian 3 Year Government Bonds	96		September 2017	$	8,238,376		$	(50,708	)
Eurodollars	(63)		December 2018		(15,466,500	)		(15,879	)
Japan 10 Year Government Bonds	(2)		September 2017		(2,669,215	)		5,416
Primary Aluminum	(13)		September 2017		(623,837	)		(9,524	)
S&P 500 E-Mini Index	(57)		September 2017		(6,899,565	)		26,689
20 Year U.S. Treasury Bonds	(109)		September 2017		(16,751,938	)		(137,435	)
Ultra 10 Year U.S. Treasury Notes	(13)		September 2017		(1,752,563	)		2,730
Ultra Long U.S. Treasury Bonds	5		September 2017		829,375			(1,728	)
Wheat	(55)		September 2017		(1,446,500	)		(119,888	)
Zinc	23		September 2017		1,587,000			103,737
Zinc	(17)		September 2017		(1,173,000	)		(123,454	)
2 Year U.S. Treasury Notes	(78)		September 2017		(16,856,531	)		19,389
5 Year U.S. Treasury Notes	(675)		September 2017		(79,539,258	)		171,145
10 Year U.S. Treasury Notes	535		September 2017		67,159,219			(160,968	)

TOTAL							$	(290,478	)


Counterparty	Notional Amount (000s)			Termination Date		Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)

Morgan Stanley & Co. International PLC (continued)		7,200			01/02/18		1 month Brazilian Interbank Deposit Average	13.380%	$	—		$	(46,557	)
		8,470			01/02/18		1 month Brazilian Interbank Deposit Average	10.268		—			(7,716	)
	KRW	2,475,720			09/09/18		1.235	3 month KWCDC		—			(7,686	)
		1,729,550			11/12/18		1.500	3 month KWCDC		(738	)		(78	)
		809,330			11/24/18		1.505	3 month KWCDC		—			(366	)
	BRL	410			01/02/19		12.610	1 month Brazilian Interbank Deposit Average		—			4,891
		1,990			01/02/19		1 month Brazilian Interbank Deposit Average	10.030		—			(5,877	)
		2,020			01/02/19		1 month Brazilian Interbank Deposit Average	10.040		—			(6,165	)
		2,600			01/02/19		14.080	1 month Brazilian Interbank Deposit Average		—			53,443
	BRL	4,220			01/02/19		15.475	1 month Brazilian Interbank Deposit Average		—			122,861
		1,250			01/02/20		9.780	1 month Brazilian Interbank Deposit Average		—			1,115
		1,390			01/02/20		10.055	1 month Brazilian Interbank Deposit Average		—			3,109
		1,410			01/02/20		10.080	1 month Brazilian Interbank Deposit Average		—			3,446
		1,670			01/02/20		9.680	1 month Brazilian Interbank Deposit Average		—			409
		920			01/04/21		11.870	1 month Brazilian Interbank Deposit Average		—			11,861
		1,320			01/04/21		9.883	1 month Brazilian Interbank Deposit Average		—			(1,679	)
		1,370			01/04/21		11.845	1 month Brazilian Interbank Deposit Average		—			17,394
		2,260			01/04/21		1 month Brazilian Interbank Deposit Average	11.410		—			(2,713	)
	INR	52,430	^(a)		09/20/22		6 month MIBOR	6.200%		(1,660	)		1,625
	BRL	2,110			01/02/23		9.900%	1 month Brazilian Interbank Deposit Average		—			(9,321	)

TOTAL									$	(34,941	)	$	(210,422	)


Counterparty	Notional Amount of Currency Received		Notional Amount of Currency Delivered		Termination Date	Receive	Pay	Unrealized Gain (Loss)*

Citibank NA	TRY	3,340,000		942,172	12/20/22	10.440%	3 month LIBOR	$	4,821
	$	580,000		580,000	12/20/27	3 month LIBOR	0.000%		495
Morgan Stanley & Co. International PLC	TRY	6,110,000		1,723,554	12/20/19	10.655	3 month LIBOR		10,043
	$	470,000		470,000	12/20/27	3 month LIBOR	0.000		1,977

TOTAL								$	17,336


Counterparty	Notional Amount (000s)		Reference Obligation	Settlement Date	Unrealized Gain (Loss)*

Bank of America Securities LLC	COP	620	Titulos de Tesoreria	07/18/17	$	(344	)
Deutsche Bank AG	COP	1,390	Titulos de Tesoreria	07/18/17		(780	)
JPMorgan Securities, Inc.	COP	392,500	Titulos de Tesoreria	07/25/17		(1,126	)

TOTAL					$	(2,250	)


	Notional Amount (000s)			Premiums Received

Contracts Outstanding March 31, 2017	$	15,668		$	101,609

Contracts Written		10,472			30,317
Contracts Bought to Close		(8,347	)		(49,657	)
Contracts Expired		(16,789	)		(79,672	)

Contracts Outstanding June 30, 2017	$	1,004		$	2,597



Tax Cost	$	42,651,077

Gross unrealized gain		456,266
Gross unrealized loss		(872,069	)

Net unrealized security loss	$	(415,803	)


CREDIT STRATEGIES

Investment Type	Level 1		Level 2		Level 3
Assets
Fixed Income
U.S. Treasury Obligations	$	4,990,115	$	—	$	—
Common Stock and/or Other Equity Investments^(a)
North America		—		445,808		—
Investment Company		41,740,070		—		—
Bank Loans		—		49,812,013		875,290
Other Secured Debt Obligations		—		37,634,707		—
Unsecured Debt Obligations		—		84,407,290		—
Total	$	46,730,185	$	172,299,818	$	875,290

Derivative Type
Assets^(b)
Interest Rate Swap Contracts	$	—	$	184,806	$	—
Credit Default Swap Contracts		—		291,638		—
Total	$	—	$	476,444	$	—


STRATEGIC MACRO

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Foreign Sovereign Debt Obligations	$	4,379,332		$	6,296,800		$	—
Mortgage-Backed Obligations		—			5,118,215			—
Asset-Backed Securities		—			1			—
U.S. Treasury Obligations		15,786,155			—			—
Investment Company		10,530,781			—			—
Total	$	30,696,268		$	11,415,016		$	—
Liabilities
Reverse Repurchase Agreements	$	—		$	(13,830,000	)	$	—

Derivative Type
Assets
Options Purchased	$	60,538		$	63,452		$	—
Forward Foreign Currency Exchange Contracts^(b)		—			1,603,451			—
Futures Contracts^(b)		329,106			—			—
Interest Rate Swap Contracts^(b)		—			3,351,271			—
Cross Currency Swap Contracts^(b)		—			17,336
Total Return Swap Contracts^(b)		—			18,927			—
Total	$	389,644		$	5,054,437		$	—
Liabilities
Forward Foreign Currency Exchange Contracts^(b)	$	—		$	(1,237,195	)	$	—
Futures Contracts^(b)		(619,584	)		—			—
Interest Rate Swap Contracts^(b)		—			(2,532,334	)		—
Non-Deliverable Bond Forward Contracts^(b)		—			(2,250	)
Written Options Contracts		(52,900	)		(8,352	)		—
Total	$	(672,484	)	$	(3,780,131	)	$	—


Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain

Morgan Stanley & Co. International PLC	AUD	1,404,000	NZD	1,472,522	$	1,078,005		09/20/17	$	560
	AUD	1,403,634	USD	1,053,325		1,078,405		07/27/17		25,080
	AUD	14,560,910	USD	11,037,054		11,180,009		09/20/17		142,960
	BRL	12,880,467	USD	3,873,000		3,883,537		07/05/17		10,537
	CAD	24,439,722	USD	18,300,358		18,870,478		09/20/17		570,121
	CLP	210,054,312	USD	312,832		315,897		08/30/17		3,065
	CNH	25,952,005	USD	3,782,950		3,804,637		09/20/17		21,687
	CNY	2,482,568	USD	360,367		363,992		09/28/17		3,625
	COP	617,061,000	USD	200,279		200,476		09/14/17		196
	CZK	33,833,856	EUR	1,267,370		1,479,795		07/03/17		32,045
	CZK	29,653,024	EUR	1,105,436		1,297,597		07/10/17		34,350
	CZK	161,804,678	EUR	6,133,482		7,112,976		09/20/17		77,451
	CZK	26,267,041	EUR	982,609		1,154,786		09/21/17		27,602
	CZK	25,919,634	EUR	963,000		1,140,513		10/03/17		35,078
	CZK	25,499,073	EUR	955,000		1,125,581		11/09/17		27,004
	CZK	40,570,484	EUR	1,516,609		1,792,715		11/21/17		46,895
	CZK	12,198,023	EUR	455,745		539,049		11/22/17		14,395
	CZK	47,731,165	EUR	1,789,697		2,116,432		01/03/18		51,401
	EUR	193,904	AUD	287,928		222,421		09/20/17		1,347
	EUR	2,368,000	CHF	2,584,260		2,716,259		09/20/17		7,107
	EUR	480,000	GBP	420,845		550,593		09/20/17		1,084
	EUR	3,087,634	JPY	381,215,068		3,541,729		09/20/17		140,287
	EUR	772,000	NOK	7,371,540		885,537		09/20/17		1,177
	EUR	1,828,597	PLN	7,753,332		2,097,526		09/20/17		5,967
	EUR	12,831,511	USD	14,583,704		14,697,819		08/24/17		114,115
	EUR	7,535,958	USD	8,523,497		8,644,264		09/20/17		120,767
	GBP	337,856	CAD	569,579		441,148		09/20/17		1,363
	GBP	345,334	EUR	389,258		450,913		09/20/17		4,407
	GBP	2,496,961	USD	3,185,860		3,256,460		08/10/17		70,600
	GBP	3,502,903	USD	4,448,817		4,573,845		09/20/17		125,027
	HUF	325,795,296	USD	1,194,943		1,208,952		09/20/17		14,009
	INR	305,463,162	USD	4,662,576		4,718,543		07/14/17		55,967
	INR	13,865,509	USD	214,000		214,036		07/20/17		36
	INR	127,414,969	USD	1,965,219		1,965,957		07/24/17		738
	JPY	226,502,676	USD	2,015,765		2,021,000		09/20/17		5,235
	KRW	957,199,039	USD	827,547		836,093		07/13/17		8,546
	KRW	51,614,887	USD	45,016		45,090		07/31/17		75
	MXN	99,523,204	USD	5,394,862		5,413,842		09/20/17		18,980
	MYR	873,011	USD	201,503		202,626		07/27/17		1,123
	NOK	7,423,564	CAD	1,150,958		890,602		09/20/17		1,920
	NOK	9,036,052	CHF	1,030,000		1,084,051		09/20/17		4,274
	NOK	31,162,559	EUR	3,243,087		3,738,559		09/20/17		18,515
	NOK	9,073,203	USD	1,074,000		1,088,508		09/20/17		14,508
	NZD	10,168,229	USD	7,331,183		7,440,091		09/20/17		108,908
	PEN	1,705,189	USD	514,930		522,077		08/29/17		7,147
	PHP	54,559,260	USD	1,075,000		1,077,820		07/31/17		2,820
	PLN	4,778,077	EUR	1,120,963		1,288,945		09/20/17		3,124
	RUB	120,422,284	USD	2,009,572		2,033,091		07/20/17		23,520
	SEK	214,109,604	EUR	21,969,200		25,532,502		09/20/17		332,314
	SEK	6,256,302	NOK	6,081,903		746,062		09/20/17		16,419
	SEK	6,755,588	USD	765,205		802,440		07/12/17		37,236
	SEK	5,099,986	USD	587,193		608,172		09/20/17		20,978
	SGD	1,500,125	USD	1,081,000		1,091,006		09/20/17		10,006
	TRY	9,202,397	USD	2,542,699		2,555,734		09/20/17		13,035


Description	Interest Rate			Maturity Date^(a)	Settlement Date	Principal Amount		Value

FNMA(Proceeds Receivable: $(1,006,563))		3.000	%	TBA-30yr	07/13/17	$	(1,000,000)	$	(998,672)


Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain

Citibank NA	AUD	415,000	NZD	435,254	$	318,641		09/20/17	$	166
	AUD	896,857	USD	674,098		689,051		07/27/17		14,953
	AUD	292,666	USD	221,525		224,850		07/28/17		3,326
	AUD	522,627	USD	398,543		401,474		08/09/17		2,930
	AUD	4,311,276	USD	3,267,924		3,310,239		09/20/17		42,315
	BRL	3,817,872	USD	1,148,000		1,151,110		07/05/17		3,110
	CAD	966,846	USD	708,101		745,783		07/14/17		37,681
	CAD	7,226,356	USD	5,410,292		5,579,637		09/20/17		169,345
	CHF	109,000	USD	112,803		114,112		08/30/17		1,310
	CLP	69,344,853	USD	103,275		104,287		08/30/17		1,012
	CNH	7,744,984	USD	1,128,992		1,135,437		09/20/17		6,445
	CNY	294,843	USD	42,799		43,230		09/28/17		430
	COP	196,996,000	USD	63,939		64,002		09/14/17		63
	CZK	10,059,092	EUR	376,295		439,956		07/03/17		10,105
	CZK	16,538,061	EUR	616,896		723,695		07/10/17		18,731
	CZK	47,931,745	EUR	1,816,748		2,107,092		09/20/17		23,159
	CZK	7,706,721	EUR	288,241		338,813		09/21/17		8,162
	CZK	8,478,390	EUR	315,000		373,065		10/03/17		11,474
	CZK	8,410,689	EUR	315,000		371,265		11/09/17		8,907
	CZK	12,541,592	EUR	468,872		554,184		11/21/17		14,449
	CZK	3,684,153	EUR	137,602		162,808		11/22/17		4,401
	CZK	14,729,432	EUR	552,274		653,112		01/03/18		15,872
	EGP	599,175	USD	30,885		32,734		07/31/17		1,849
	EGP	627,802	USD	30,850		33,234		12/19/17		2,384
	EGP	189,454	USD	9,221		10,023		12/22/17		801
	EGP	465,980	USD	23,299		24,545		01/09/18		1,246
	EGP	503,208	USD	24,547		26,379		01/24/18		1,832
	EGP	633,149	USD	30,885		33,127		01/30/18		2,242
	EGP	598,982	USD	29,726		31,259		02/07/18		1,533
	EUR	56,726	AUD	84,232		65,068		09/20/17		394
	EUR	703,000	CHF	767,194		806,389		09/20/17		2,119
	EUR	142,000	GBP	124,500		162,884		09/20/17		321
	EUR	1,076,130	JPY	132,864,451		1,234,395		09/20/17		48,894
	EUR	228,000	NOK	2,177,098		261,532		09/20/17		346
	EUR	516,587	PLN	2,190,492		592,562		09/20/17		1,648
	EUR	3,881,502	USD	4,397,559		4,446,056		08/24/17		48,496
	EUR	2,284,127	USD	2,583,024		2,620,052		09/20/17		37,027


Counterparty	Currency Purchased		Currency Sold		Current Value		Settlement Date		Unrealized Gain

Citibank NA (continued)	NZD	673,027	USD	483,721	$	492,931		07/28/17	$	9,209
	NZD	3,005,478	USD	2,166,908		2,199,108		09/20/17		32,198
	PEN	554,268	USD	167,377		169,700		08/29/17		2,323
	PHP	16,139,390	USD	318,000		318,834		07/31/17		834
	PLN	1,410,899	EUR	331,005		380,607		09/20/17		922
	PLN	1,578,824	USD	420,437		425,927		08/30/17		5,489
	RUB	35,682,072	USD	595,458		602,421		07/20/17		6,963
	SEK	65,071,633	EUR	6,675,775		7,759,770		09/20/17		102,198
	SEK	1,872,187	NOK	1,819,998		223,258		09/20/17		4,913
	SEK	9,358,000	USD	1,058,317		1,111,559		07/12/17		53,243
	SEK	1,499,499	USD	172,647		178,815		09/20/17		6,167
	SGD	439,907	USD	317,000		319,934		09/20/17		2,934
	TRY	2,642,448	USD	730,123		733,873		09/20/17		3,749
	TWD	1,958,378	USD	63,501		64,444		07/11/17		943
	TWD	11,547,340	USD	379,120		379,916		07/20/17		796
	TWD	312,657	USD	10,254		10,284		07/31/17		30
	USD	200,559	ARS	3,231,000		193,728		07/06/17		6,830
	USD	239,337	ARS	3,901,167		232,998		07/13/17		6,340
	USD	4,451,985	BRL	14,451,288		4,357,147		07/05/17		94,839
	USD	1,843,631	BRL	6,171,000		1,828,023		10/03/17		15,608
	USD	64,000	CLP	42,350,080		63,792		07/03/17		208
	USD	96,000	CLP	63,722,784		95,946		07/17/17		54
	USD	127,002	CLP	83,997,860		126,448		07/24/17		554
	USD	256,026	CLP	169,729,280		255,254		08/30/17		773
	USD	377,061	CNH	2,569,695		376,724		09/20/17		336
	USD	126,339	COP	368,846,871		120,305		08/11/17		6,034
	USD	67,715	COP	200,877,699		65,263		09/14/17		2,453
	USD	224,995	EUR	196,109		224,951		09/20/17		44
	USD	89,984	HKD	701,231		89,898		07/28/17		86
	USD	304,152	HKD	2,355,174		302,403		09/29/17		1,749
	USD	774,206	HKD	5,998,242		770,231		10/03/17		3,975
	USD	1,238,000	HKD	9,590,910		1,231,715		10/10/17		6,285
	USD	1,432,683	HKD	11,084,498		1,426,977		03/27/18		5,706
	USD	695,000	HKD	5,383,585		693,339		05/11/18		1,661
	USD	159,000	IDR	2,119,470,000		158,600		07/21/17		400
	USD	165,942	IDR	2,214,125,847		165,542		07/31/17		400
	USD	169,774	IDR	2,274,376,640		169,571		08/25/17		203


Type	Number of Contracts Long (Short)	Expiration Date	Current Value			Unrealized Gain (Loss)

Australian 3 Year Government Bonds	301	September 2017	$	25,830,742		$	(158,589	)
Eurodollars	(204)	December 2018		(50,082,000	)		(51,300	)
Ultra 10 Year U.S. Treasury Notes	(5)	September 2017		(674,063	)		1,058
Ultra Long U.S. Treasury Bonds	52	September 2017		8,625,500			143,139
2 Year U.S. Treasury Notes	153	September 2017		33,064,735			(36,167	)
5 Year U.S. Treasury Notes	(430)	September 2017		(50,669,453	)		164,242
10 Year U.S. Treasury Notes	52	September 2017		6,527,625			(8,002	)
20 Year U.S. Treasury Bonds	72	September 2017		11,065,500			(88,591	)

TOTAL						$	(34,210	)


									Market Value
Counterparty	Referenced Obligation	Notional Amount (000s)		Rates Received (Paid)		Termination Date	Credit Spread at June 30, 2017^(c)		Upfront Payments Made (Received)			Unrealized Gain (Loss)

Protection Purchased:
Bank of America Securities LLC	People’s Republic of China, 4.250% 10/28/17	$	100		(1.000)%	06/20/19		0.240%	$	(246	)	$	(1,276	)
	People’s Republic of China, 7.500%, 10/28/27		830		(1.000)	12/20/20		0.447		3,421			(19,245	)
	People’s Republic of China, 7.500%, 10/28/27		900		(1.000)	06/20/21		0.511		7,942			(25,157	)
Barclays Bank PLC	People’s Republic of China, 4.250% 10/28/17		270		(1.000)	03/20/19		0.212		(361	)		(3,371	)
	People’s Republic of China, 7.500%, 10/28/27		80		(1.000)	06/20/21		0.511		582			(2,112	)
	People’s Republic of China, 7.500%, 10/28/27		830		(1.000)	12/20/21		0.617		(2,545	)		(11,375	)



Tax Cost	$	677,267,125

Gross unrealized gain		9,181,305
Gross unrealized loss		(5,303,486	)

Net unrealized security gain	$	3,877,819


				Rates Exchanged		Market Value
Notional Amount (000s)			Termination Date	Payments Received	Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)

SEK	155,960		06/15/18	0.050%	3 month STIBOR	$	37,290		$	10,666
GBP	136,960		06/21/18	0.590	6 month GBP		6,756			—
SEK	104,320	^(b)	09/15/18	0.330	3 month STIBOR		549			6,965
EUR	42,900	^(b)	03/14/19	0.010	6 month EURO		(75,257	)		126,772
CHF	40,900	^(b)	03/29/19	0.554	6 month CHFOR		1,697			(18,289	)
$	28,490	^(b)	05/11/19	3 month LIBOR	1.826%		(3,035	)		(23,685	)
SEK	106,300	^(b)	06/29/19	0.100	3 month STIBOR		65			(8,085	)
NOK	41,060	^(b)	09/20/19	1.000	3 month NIBOR		(11,440	)		(3,734	)
CAD	150,590	^(b)	09/20/19	1.250	6 month CDOR		(155,924	)		(407,186	)
$	20,270	^(b)	09/20/19	3 month LIBOR	1.750		(52,611	)		21,781



Tax Cost	$	1,101,062,489

Gross unrealized gain		18,129,725
Gross unrealized loss		(5,366,590	)

Net unrealized security gain	$	12,763,135



Tax Cost	$	824,219,170

Gross unrealized gain		17,713,577
Gross unrealized loss		(12,690,547	)

Net unrealized security gain	$	5,023,030



Tax Cost	$	6,898,884,893

Gross unrealized gain		170,940,839
Gross unrealized loss		(257,928,514	)

Net unrealized security loss	$	(86,987,675	)


BOND

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	156,817,960		$	—
Mortgage-Backed Obligations		—			193,601,920			1,073,798
U.S. Treasury Obligations and/or Other U.S. Government Agencies		130,842,748			9,266,698			—
Asset-Backed Securities		—			105,325,681			—
Foreign Debt Obligations		—			8,926,484			—
Structured Notes		—			5,702,303			—
Municipal Debt Obligations		—			5,784,224			—
Government Guarantee Obligations		—			5,467,501			—
Common Stock and/or Other Equity Investments^(a)
North America		—			568,911			—
Investment Company		28,920,801			—			—
Short-term Investments		—			28,833,616			—
Total	$	159,763,549		$	520,295,298		$	1,073,798
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(998,672	)	$	—

Derivative Type
Assets
Options Purchased	$	—		$	12,299		$	—
Forward Foreign Currency Exchange Contracts^(b)		—			3,789,949			—
Futures Contracts^(b)		308,439			—			—
Interest Rate Swap Contracts^(b)		—			2,213,694			—
Credit Default Swap Contracts^(b)		—			519			—
Total	$	308,439		$	6,016,461		$	—
Liabilities^(b)
Forward Foreign Currency Exchange Contracts	$	—		$	(3,044,286	)	$	—
Futures Contracts		(342,649	)		—			—
Interest Rate Swap Contracts		—			(3,000,696	)		—
Credit Default Swap Contracts		—			(417,218	)		—
Total	$	(342,649	)	$	(6,462,200	)	$	—


CORE FIXED INCOME

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Corporate Obligations	$	—		$	341,825,640		$	—
Mortgage-Backed Obligations		—			279,645,477			—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		186,120,380			36,312,884			—
Asset-Backed Securities		—			143,651,041			—
Foreign Debt Obligations		—			8,912,514			—
Municipal Debt Obligations		—			9,259,840			—
Government Guarantee Obligations		—			27,439,861			—
Investment Company		43,055,912			—			—
Short-term Investments		—			37,602,075			—
Total	$	229,176,292		$	884,649,332		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(12,171,797	)	$	—

Derivative Type
Assets^(b)
Forward Foreign Currency Exchange Contracts	$	—		$	3,167,218		$	—
Futures Contracts		264,978			—			—
Interest Rate Swap Contracts		—			1,615,261			—
Total	$	264,978		$	4,782,479		$	—
Liabilities^(b)
Forward Foreign Currency Exchange Contracts	$	—		$	(2,815,815	)	$	—
Futures Contracts		(473,989	)		—			—
Interest Rate Swap Contracts		—			(1,960,680	)		—
Total	$	(473,989	)	$	(4,776,495	)	$	—

GLOBAL INCOME

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Foreign Sovereign Debt Obligations	$	294,650,289		$	48,902,908		$	—
Corporate Obligations		—			137,589,708			—
Foreign Debt Obligations		—			16,049,850			—
Asset-Backed Securities		—			153,590,804			—
Mortgage-Backed Obligations		—			131,352,499			—
U.S. Treasury Obligations and/or Other U.S. Government Agencies		19,552,944			2,605,230			—
Government Guarantee Obligations		—			12,471,730			—
Investment Company		12,463,338			—			—
Total	$	326,666,571		$	502,562,729		$	—
Liabilities
Fixed Income
Mortgage-Backed Obligations — Forward Sales Contracts	$	—		$	(1,072,500	)	$	—

Derivative Type
Assets
Options Purchased	$	—		$	12,900		$	—
Forward Foreign Currency Exchange Contracts^(b)		—			6,861,606			—
Futures Contracts^(b)		890,063			—			—
Interest Rate Swap Contracts^(b)		—			2,555,297			—
Total	$	890,063		$	9,429,803		$	—
Liabilities^(b)
Forward Foreign Currency Exchange Contracts	$	—		$	(6,433,167	)	$	—
Futures Contracts		(1,565,742	)		—			—
Interest Rate Swap Contracts		—			(3,680,346	)		—
Credit Default Swap Contracts		—			(641,211	)		—
Total	$	(1,565,742	)	$	(10,754,724	)	$	—


STRATEGIC INCOME

Investment Type	Level 1			Level 2			Level 3
Assets
Fixed Income
Bank Loans	$	—		$	78,930,986		$	89,754,779
Corporate Obligations		—			683,289,951			—
Mortgage-Backed Obligations		—			867,454,084			51,452,833
U.S. Treasury Obligations and/or Other U.S. Government Agencies		492,609,204			46,423,933			—
Asset-Backed Securities		—			2,215,642,673			—
Foreign Debt Obligations		1,613,863,538			362,549,658			—
Structured Notes		—			125,400,706			—
Municipal Debt Obligations		—			78,736,278			—
Common Stock and/or Other Equity Investments^(a)
North America		—			69,008,382			—
Investment Company		102,375			—			—
Short-term Investments		—			36,326,530			—
Total	$	2,106,575,117		$	4,563,763,181		$	141,207,612

Derivative Type
Assets
Options Purchased	$	—		$	351,308		$	—
Forward Foreign Currency Exchange Contracts^(b)		—			158,323,027			—
Futures Contracts^(b)		14,108,739			—			—
Interest Rate Swap Contracts^(b)		—			80,230,174			—
Total Return Swap Contracts^(b)		—			33,280			—
Total	$	14,108,739		$	238,937,789		$	—
Liabilities^(b)
Forward Foreign Currency Exchange Contracts	$	—		$	(134,103,941	)	$	—
Futures Contracts		(21,242,203	)		—			—
Interest Rate Swap Contracts		—			(96,170,998	)		—
Credit Default Swap Contracts		—			(31,970,786	)		—
Total Return Swap Contracts		—			(38,997	)		—
Total	$	(21,242,203	)	$	(262,284,722	)	$	—


	Bank Loans			Collateralized Mortgage Obligations			Corporate Bonds			Other Asset Backed
Beginning Balance as of April 1, 2017	$	57,319,558		$	52,441,925		$	—		$	34,550,000
Realized gain (loss)		39,904			335,368			(79,235	)		—
Net change in unrealized gain (loss) relating to instruments still held at reporting date		(1,357,786	)		3,667,151			196,127			—
Purchases		230,796			—			—			—
Sales		(1,374,885	)		(4,991,611	)		(62,394	)		—
Amortization		308,398			—			(54,498	)		—
Transfers into Level 3		34,588,794			—			—			—
Transfers out of Level 3		—			—			—			(34,550,000	)
Ending Balance as of June 30, 2017	$	89,754,779		$	51,452,833		$	—		$	—


						Rates Exchanged			Market Value
	Notional Amount (000’s)			Termination Date		Payments Received		Payments Made	Upfront Payments Made (Received)			Unrealized Gain (Loss)

	$	25,600	^(a)		09/20/27		3 Month LIBOR	2.500%	$	(794,358	)	$	324,516
		19,600			12/21/41		3 Month LIBOR	2.250		(1,267,515	)		2,265,473
		81,960	^(a)		09/20/47		3 Month LIBOR	2.500		(1,475,185	)		2,200,167

TOTAL									$	(3,537,058	)	$	4,790,156



Tax cost	$	1,174,977,824

Gross unrealized gain		50,477,173
Gross unrealized loss		(32,687,515	)

Net unrealized security gain	$	17,789,658



Tax cost	$	4,703,824,801

Gross unrealized gain		410,529,965
Gross unrealized loss		(236,206,976	)

Net unrealized security gain	$	174,322,989



Tax cost	$	4,712,400,888

Gross unrealized gain		60,094,152
Gross unrealized loss		(67,088,848	)

Net unrealized security loss	$	(6,994,696	)


DYNAMIC MUNICIPAL INCOME

Investment Type	Level 1			Level 2			Level 3
Assets
Municipal Debt Obligations	$	—		$	1,192,767,482		$	—

Derivative Type
Assets^(a)
Credit Default Swap Contracts	$	—		$	81,839		$	—
Interest Rate Swap Contracts		—			4,790,156			—
Total	$	—		$	4,871,995		$	—
Liabilities^(a)
Futures Contracts	$	(143,987	)	$	—		$	—

HIGH YIELD MUNICIPAL

Investment Type	Level 1			Level 2			Level 3
Assets
Municipal Debt Obligations	$	—		$	4,878,147,790		$	—

Derivative Type
Assets^(a)
Credit Default Swap Contracts	$	—		$	1,848,116		$	—
Interest Rate Swap Contracts		—			25,597,724			—
Total	$	—		$	27,445,840		$	—
Liabilities^(a)
Credit Default Swap Contracts	$	—		$	(1,201,073	)	$	—

SHORT DURATION TAX-FREE

Investment Type	Level 1			Level 2			Level 3
Assets
Municipal Debt Obligations	$	—		$	4,705,406,192		$	—

Derivative Type
Assets^(a)
Credit Default Swap Contracts	$	—		$	613,793		$	—



Tax Cost		533,348,844

Gross unrealized gain		896,813
Gross unrealized loss		(1,063,328	)

Net unrealized security loss	$	(166,515	)



Tax Cost	$	406,802,554

Gross unrealized gain		5,218,284
Gross unrealized loss		(3,604,876	)

Net unrealized security gain	$	1,613,408



Tax Cost		672,116,990

Gross unrealized gain		1,783,886
Gross unrealized loss		(1,121,403	)

Net unrealized security gain	$	662,483



Tax Cost	$	350,539,547

Gross unrealized gain		701,773
Gross unrealized loss		(3,057,407	)

Net unrealized security loss	$	(2,355,634	)