SEC Info - Virtus Opportunities Trust

Virtus Opportunities Trust – ‘N-Q’ for 6/30/17

Virtus Opportunities Trust – ‘N-Q’ for 6/30/17

On: Tuesday, 8/29/17, at 12:35pm ET · Effective: 8/29/17 · For: 6/30/17 · Accession #: 1193125-17-271614 · File #: 811-07455

Previous ‘N-Q’: ‘N-Q’ on 2/28/17 for 12/31/16 · Next: ‘N-Q’ on 2/28/18 for 12/31/17 · Latest: ‘N-Q’ on 3/1/19 for 12/31/18

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents

N-Q — Virtus Opportunities Trust

This is an HTML Document rendered as filed. [ Alternative Formats ]

Dates Referenced Herein and Documents Incorporated by Reference

On: Tuesday, 8/29/17, at 12:35pm ET · Effective: 8/29/17 · For: 6/30/17 · Accession #: 1193125-17-271614 · File #: 811-07455

Previous ‘N-Q’: ‘N-Q’ on 2/28/17 for 12/31/16 · Next: ‘N-Q’ on 2/28/18 for 12/31/17 · Latest: ‘N-Q’ on 3/1/19 for 12/31/18

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-QFiling Table of Contents

N-Q — Virtus Opportunities Trust

This is an HTML Document rendered as filed. [ Alternative Formats ]

Dates Referenced Herein and Documents Incorporated by Reference

Quarterly Schedule of Portfolio Holdings of a Management Investment Company — Form N-Q
Filing Table of Contents

Senior Vice President, Chief Legal Officer, Counsel and Secretary for Registrant

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

($ reported in thousands)


	SHARES		VALUE
AFFILIATED MUTUAL FUNDS⁽³⁾—52.1%
Equity Funds—43.1%
Virtus Duff & Phelps Global Infrastructure Fund Class I		552,495	$	8,144
Virtus Duff & Phelps Global Real Estate Securities Fund Class I		162,117		4,536
Virtus Duff & Phelps International Real Estate Securities Fund Class I		753,384		5,040
Virtus Duff & Phelps Real Estate Securities Fund Class I		108,832		3,267

				20,987

Fixed Income Fund—9.0%
Virtus Newfleet Senior Floating Rate Fund Class I		466,723		4,401

TOTAL AFFILIATED MUTUAL FUNDS (Identified Cost $18,307)				25,388

EXCHANGE-TRADED FUNDS⁽³⁾—46.9%
Global X Uranium Index Fund		1,538		20
iShares S&P North American Natural Resources Sector Index Fund		262,616		8,315
PowerShares DB Commodity Index Tracking Fund⁽²⁾		450,108		6,504
PowerShares DB G10 Currency Harvest Fund⁽²⁾		188,728		4,605
Vaneck Vectors Agribusiness Index Fund		35,066		1,929
Vaneck Vectors Coal Index Fund		114,071		1,510

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $21,879)				22,883

TOTAL LONG TERM INVESTMENTS—99.0% (Identified Cost $40,186)				48,271

TOTAL INVESTMENTS—99.0% (Identified Cost $40,186)				48,271	⁽¹⁾

Other assets and liabilities, net—1.0%				468

NET ASSETS—100.0%			$	48,739

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	SHARES		VALUE
COMMON STOCKS—98.8%
Energy—18.4%
Antero Midstream GP LP (United States)⁽²⁾		45,745	$	1,005
Cheniere Energy, Inc. (United States)⁽²⁾		24,280		1,183
Enbridge, Inc. (Canada)		83,208		3,313
Kinder Morgan, Inc. (United States)		200,920		3,850
ONEOK, Inc. (United States)		31,090		1,622
Pembina Pipeline Corp. (Canada)		40,375		1,337
Plains GP Holdings LP Class A (United States)		40,155		1,050
Tallgrass Energy GP LP (United States)		41,915		1,066
Targa Resources Corp. (United States)		21,405		968
TransCanada Corp. (Canada)		84,080		4,008
Williams Cos., Inc. (The) (United States)		61,245		1,854

				21,256

Industrials—30.7%
Aena SA (Spain)⁽³⁾		16,220		3,165
Aeroports de Paris (France)		13,660		2,204
Atlantia SpA (Italy)		213,676		6,013
Auckland International Airport Ltd. (New Zealand)		539,594		2,819
Canadian National Railway Co. (Canada)		30,805		2,497
CSX Corp. (United States)		56,245		3,069
East Japan Railway Co. (Japan)		11,930		1,140
Ferrovial SA (Spain)		61,430		1,364
Flughafen Zuerich AG Registered Shares (Switzerland)		9,355		2,297
Norfolk Southern Corp. (United States)		10,050		1,223
Transurban Group (Australia)		770,860		7,021
Union Pacific Corp. (United States)		13,060		1,422
Vinci SA (France)		15,785		1,347

				35,581

Real Estate—7.2%
American Tower Corp. (United States)		35,130		4,648
Crown Castle International Corp. (United States)		36,630		3,670

				8,318

Telecommunication Services—2.6%
Cellnex Telecom SA (Spain)⁽³⁾		81,420		1,680
TELUS Corp. (Canada)		40,090		1,384

				3,064

Utilities—39.9%
ALLETE, Inc. (United States)		15,230		1,092
American Electric Power Co., Inc. (United States)		45,110		3,134


	SHARES		VALUE
Utilities—(continued)
American Water Works Co., Inc. (United States)		31,055	$	2,421
Aqua America, Inc. (United States)		33,615		1,119
Atmos Energy Corp. (United States)		22,785		1,890
Black Hills Corp. (United States)		21,590		1,457
CenterPoint Energy, Inc. (United States)		31,070		851
CMS Energy Corp. (United States)		31,165		1,441
Dominion Energy, Inc. (United States)		33,095		2,536
DTE Energy Co. (United States)		22,645		2,396
Edison International (United States)		19,415		1,518
Emera, Inc. (Canada)		35,720		1,328
Engie SA (France)		74,900		1,130
Exelon Corp. (United States)		22,770		821
Fortis, Inc. (Canada)		34,365		1,208
Iberdrola SA (Spain)		192,835		1,527
National Grid plc (United Kingdom)		193,471		2,398
NextEra Energy, Inc. (United States)		36,585		5,127
NiSource, Inc. (United States)		77,890		1,975
ONE Gas, Inc. (United States)		13,930		972
PG&E Corp. (United States)		43,390		2,880
Sempra Energy (United States)		32,185		3,629
Spire, Inc. (United States)		12,640		882
Vectren Corp. (United States)		20,370		1,190
Xcel Energy, Inc. (United States)		28,340		1,300

				46,222

TOTAL COMMON STOCKS (Identified Cost $99,335)				114,441

TOTAL LONG TERM INVESTMENTS—98.8% (Identified Cost $99,335)				114,441

TOTAL INVESTMENTS—98.8% (Identified Cost $99,335)				114,441	⁽¹⁾
Other assets and liabilities, net—1.2%				1,355

NET ASSETS—100.0%			$	115,796

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $4,845 or 4.2% of net assets.


Country Weightings †
United States	57	%
Canada	13
Spain	7
Australia	6
Italy	5
France	4
New Zealand	3
Other	5

Total	100	%

†	% of total investments as of June 30, 2017

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $9,840 were transferred from Level 2 into Level 1.


	SHARES		VALUE
COMMON STOCKS—98.9%
Australia—4.7%
Dexus Property Group		134,339	$	979
GPT Group (The)—In Specie^(2)(3)(5)		13,566		—	⁽⁶⁾
National Storage REIT		2,135,000		2,478
Scentre Group		898,389		2,796
Westfield Corp.		428,350		2,644

				8,897

Austria—0.3%
Atrium European Real Estate Ltd.⁽²⁾		154,777		691

Canada—3.0%
Allied Properties Real Estate Investment Trust		67,885		2,037
Canadian Real Estate Investment Trust		22,475		795
First Capital Realty, Inc.		63,880		973
RioCan Real Estate Investment Trust		100,662		1,869

				5,674

Finland—0.5%
Citycon OYJ		387,232		1,016

France—2.2%
Klepierre		65,620		2,690
Mercialys SA		73,150		1,431

				4,121

Germany—5.9%
ADO Properties SA⁽⁴⁾		72,542		3,069
Deutsche Wohnen AG		58,775		2,248
TLG Immobilien AG		128,900		2,635
Vonovia SE		83,948		3,333

				11,285

Hong Kong—2.0%
Hysan Development Co., Ltd.		106,000		506
Link REIT		425,504		3,237

				3,743

Japan—5.8%
GLP J-REIT		1,052		1,133
Hulic Co., Ltd.		131,900		1,345
Invincible Investment Corp.		1,735		745
Japan Real Estate Investment Corp.		218		1,084
Kenedix Office Investment Corp.		204		1,088
Kenedix Retail REIT Corp.		571		1,205


	SHARES		VALUE
Japan—(continued)
LaSalle Logiport REIT		1,011	$	1,018
Nippon Building Fund, Inc.		217		1,107
Nippon Prologis REIT, Inc.		593		1,262
United Urban Investment Corp.		688		982

				10,969

Mexico—0.3%
Prologis Property Mexico SA de CV		328,800		622

Netherlands—2.2%
Unibail-Rodamco SE		16,648		4,196

Norway—0.9%
Entra ASA⁽⁴⁾		132,500		1,650

Singapore—0.6%
CapitaLand Mall Trust		432,450		621
Global Logistic Properties Ltd.		222,500		462

				1,083

Spain—2.2%
Axiare Patrimonio SOCIMI SA		89,319		1,526
Hispania Activos Inmobiliarios SOCIMI SA		164,318		2,717

				4,243

Sweden—0.9%
Castellum AB		124,410		1,827

United Kingdom—6.5%
Big Yellow Group plc		115,728		1,194
British Land Co. plc (The)		143,500		1,132
Derwent London plc		31,910		1,103
Great Portland Estates plc		113,312		881
Hammerson plc		153,420		1,148
Land Securities Group plc		108,131		1,427
Safestore Holdings plc		218,557		1,199
Segro plc		275,628		1,756
UNITE Group plc (The)		300,900		2,543

				12,383

United States—60.9%
Alexandria Real Estate Equities, Inc.		37,400		4,506
American Campus Communities, Inc.		46,738		2,211
American Homes 4 Rent Class A		169,750		3,831
Apartment Investment & Management Co. Class A		87,800		3,773


	SHARES		VALUE
United States—(continued)
AvalonBay Communities, Inc.		23,765	$	4,567
Boston Properties, Inc.		23,328		2,870
Brixmor Property Group, Inc.		138,633		2,479
CoreSite Realty Corp.		13,200		1,367
Cousins Properties, Inc.		256,400		2,254
CubeSmart		147,975		3,557
CyrusOne, Inc.		27,500		1,533
DCT Industrial Trust, Inc.		73,298		3,917
Digital Realty Trust, Inc.		42,050		4,749
Douglas Emmett, Inc.		76,995		2,942
Duke Realty Corp.		102,531		2,866
Equinix, Inc.		1,500		644
Equity LifeStyle Properties, Inc.		22,746		1,964
Equity Residential		58,515		3,852
Essex Property Trust, Inc.		12,427		3,197
Extra Space Storage, Inc.		39,745		3,100
Federal Realty Investment Trust		19,900		2,515
GGP, Inc.		36,719		865
Healthcare Realty Trust, Inc.		51,821		1,770
Healthcare Trust of America, Inc. Class A		105,000		3,267
Highwoods Properties, Inc.		49,406		2,505
Host Hotels & Resorts, Inc.		72,708		1,328
Kilroy Realty Corp.		45,822		3,443
Paramount Group, Inc.		151,440		2,423
Pebblebrook Hotel Trust		36,509		1,177
Prologis, Inc.		117,098		6,867
Public Storage		5,322		1,110
Regency Centers Corp.		62,250		3,899
RLJ Lodging Trust		92,550		1,839
Simon Property Group, Inc.		54,231		8,772
STORE Capital Corp.		113,672		2,552
Sun Communities, Inc.		41,350		3,626
Tanger Factory Outlet Centers, inc.		79,750		2,072
Vornado Realty Trust		49,600		4,657
Welltower, Inc.		11,919		892

				115,758

TOTAL COMMON STOCKS (Identified Cost $174,914)				188,158

TOTAL LONG TERM INVESTMENTS—98.9% (Identified Cost $174,914)				188,158


	VALUE
TOTAL INVESTMENTS—98.9% (Identified Cost $174,914)	$	188,158	⁽¹⁾
Other assets and liabilities, net—1.1%		2,031

NET ASSETS—100.0%	$	190,189

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $4,719 or 2.5% of net assets.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.

⁽⁶⁾	Amount is less than $500.


Country Weightings †
United States	62	%
United Kingdom	7
Germany	6
Japan	6
Australia	5
Canada	3
Spain	2
Other	9

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $24,692 were transferred from Level 2 into Level 1.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
PREFERRED STOCK—2.9%
Consumer Staples—2.9%
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 1.507% (Brazil)⁽²⁾		6,070	$	119

TOTAL PREFERRED STOCK (Identified Cost $100)				119

COMMON STOCKS—94.3%
Consumer Discretionary—10.3%
IMAX Corp. (Canada)⁽²⁾		3,890		86
Kroton Educacional SA (Brazil)		18,875		84
Sony Corp. Sponsored ADR (Japan)		3,770		144
Subaru Corp. (Japan)		3,175		107

				421

Consumer Staples—5.3%
British American Tobacco plc (United Kingdom)		1,650		113
Marine Harvest ASA Sponsored ADR (Norway)⁽²⁾		6,042		103

				216

Energy—4.7%
Statoil ASA (Norway)		6,170		102
TechnipFMC plc (France)⁽²⁾		3,340		91

				193

Financials—19.2%
BNP Paribas SA (France)		1,875		135
CaixaBank SA (Spain)		25,223		120
DBS Group Holdings Ltd. (Singapore)		9,130		138
ING Groep NV (Netherlands)		7,833		135
ORIX Corp. (Japan)		8,420		130
UBS Group AG Registered Shares (Switzerland)		7,315		124

				782

Health Care—6.9%
Allergan plc (Ireland)		544		132
Icon plc (Ireland)⁽²⁾		1,530		150

				282

Industrials—22.1%
ACS Actividades de Construccion y Servicios SA (Spain)		3,154		122
Airbus SE (France)		1,600		132


	SHARES		VALUE
Industrials—(continued)
Ashtead Group plc (United Kingdom)		7,190	$	149
CK Hutchison Holdings Ltd. (Hong Kong)		9,510		119
Hitachi Ltd. (Japan)		18,060		111
Nidec Corp. (Japan)		1,440		147
RELX plc (United Kingdom)		5,700		123

				903

Information Technology—8.8%
Broadcom Ltd. (Singapore)		517		120
Check Point Software Technologies Ltd. (Israel)⁽²⁾		1,055		115
SAP SE Sponsored ADR (Germany)		1,165		122

				357

Materials—5.3%
Fortescue Metals Group Ltd. (Australia)		24,298		98
Toray Industries, Inc. (Japan)		14,370		120

				218

Real Estate—3.7%
LendLease Group (Australia)		11,760		150

Telecommunication Services—5.3%
Nippon Telegraph & Telephone Corp. ADR (Japan)		2,271		107
Telekomunikasi Indonesia Persero Tbk PT (Indonesia)		317,600		108

				215

Utilities—2.7%
Veolia Environnement SA (France)		5,264		111

TOTAL COMMON STOCKS (Identified Cost $3,268)				3,848

RIGHTS—0.1%
Industrials—0.1%
ACS Actividades de Construccion y Servicios SA (Spain)⁽²⁾		3,154		3

TOTAL RIGHTS (Identified Cost $3)				3

TOTAL LONG TERM INVESTMENTS—97.3% (Identified Cost $3,371)				3,970


	VALUE
TOTAL INVESTMENTS—97.3% (Identified Cost $3,371)	$	3,970	⁽¹⁾
Other assets and liabilities, net—2.7%		110

NET ASSETS—100.0%	$	4,080

Abbreviation:


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.


Country Weightings †
Japan	22	%
France	12
United Kingdom	10
Ireland	7
Singapore	6
Australia	6
Spain	6
Other	31

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $522 were transferred from Level 2 into Level 1.


	SHARES		VALUE
COMMON STOCKS—97.4%
Australia—12.7%
Dexus Property Group		48,518	$	354
GPT Group (The)—In Specie^(2)(3)(5)		588,920		10
National Storage REIT		621,000		721
Scentre Group		359,171		1,118
Westfield Corp.		148,473		916

				3,119

Austria—0.5%
Atrium European Real Estate Ltd.⁽²⁾		28,030		125

Canada—7.7%
Allied Properties Real Estate Investment Trust		22,065		662
Canadian Real Estate Investment Trust		4,795		170
First Capital Realty, Inc.		24,705		376
RioCan Real Estate Investment Trust		37,050		688

				1,896

Finland—1.5%
Citycon OYJ		142,791		375

France—6.0%
Klepierre		23,556		965
Mercialys SA		25,600		501

				1,466

Germany—11.7%
ADO Properties SA⁽⁴⁾		12,822		542
Deutsche Wohnen AG		20,075		768
TLG Immobilien AG		21,800		446
Vonovia SE		28,545		1,133

				2,889

Hong Kong—5.8%
Hysan Development Co., Ltd.		53,000		253
Link REIT		155,441		1,183

				1,436

Japan—17.1%
GLP J-REIT		420		452
Hulic Co., Ltd.		60,500		617
Invincible Investment Corp.		602		258
Japan Real Estate Investment Corp.		78		388
Kenedix Office Investment Corp.		73		389
Kenedix Retail REIT Corp.		214		452


	SHARES		VALUE
Japan—(continued)
LaSalle Logiport REIT		354	$	357
Nippon Building Fund, Inc.		87		444
Nippon Prologis REIT, Inc.		198		421
United Urban Investment Corp.		302		431

				4,209

Mexico—0.6%
Prologis Property Mexico SA de CV		77,000		146

Netherlands—6.3%
Unibail-Rodamco SE		6,100		1,537

Norway—1.8%
Entra ASA⁽⁴⁾		36,000		448

Singapore—1.8%
CapitaLand Mall Trust		211,650		304
Global Logistic Properties Ltd.		66,000		137

				441

Spain—4.3%
Axiare Patrimonio SOCIMI SA		22,656		387
Hispania Activos Inmobiliarios SOCIMI SA		40,827		675

				1,062

Sweden—2.5%
Castellum AB		41,699		612

United Kingdom—17.1%
Big Yellow Group plc		35,188		363
British Land Co. plc (The)		53,105		419
Derwent London plc		13,346		462
Great Portland Estates plc		40,397		314
Hammerson plc		48,409		362
Land Securities Group plc		49,485		653
Safestore Holdings plc		67,376		370
Segro plc		102,368		652
UNITE Group plc (The)		71,700		606

				4,201

TOTAL COMMON STOCKS (Identified Cost $17,442)				23,962

TOTAL LONG TERM INVESTMENTS—97.4% (Identified Cost $17,442)				23,962


	VALUE
TOTAL INVESTMENTS—97.4% (Identified Cost $17,442)	$	23,962	⁽¹⁾
Other assets and liabilities, net—2.6%		648

NET ASSETS—100.0%	$	24,610

Abbreviation:


REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Illiquid security.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $990 or 4.0% of net assets.

⁽⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a level 3 security in the disclosure table located after the Schedule of Investments.


Country Weightings †
Japan	18	%
United Kingdom	18
Australia	13
Germany	12
Canada	8
Netherlands	6
France	6
Other	19

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $9,194 were transferred from Level 2 into Level 1.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	SHARES		VALUE
COMMON STOCKS—99.3%
Real Estate Investment Trusts—99.3%
DATA CENTERS—9.2%
CoreSite Realty Corp.		120,600	$	12,486
CyrusOne, Inc.		216,000		12,042
Digital Realty Trust, Inc.		340,450		38,454
Equinix, Inc.		69,400		29,783

				92,765

DIVERSIFIED—3.7%
Vornado Realty Trust		402,600		37,804

HEALTH CARE—4.9%
Healthcare Realty Trust, Inc.		442,275		15,103
Healthcare Trust of America, Inc. Class A		934,000		29,057
Welltower, Inc.		66,641		4,988

				49,148

INDUSTRIAL/OFFICE—28.5%
Industrial—11.3%
DCT Industrial Trust, Inc.		619,903		33,128
Duke Realty Corp.		881,359		24,634
Prologis, Inc.		943,452		55,324

				113,086

Office—17.2%
Alexandria Real Estate Equities, Inc.		273,800		32,985
Boston Properties, Inc.		200,483		24,663
Cousins Properties, Inc.		2,094,170		18,408
Douglas Emmett, Inc.		658,529		25,162
Highwoods Properties, Inc.		411,731		20,879
Kilroy Realty Corp.		340,666		25,601
Paramount Group, Inc.		1,601,874		25,630

				173,328

Total Industrial / Office				286,414

LODGING/RESORTS—4.3%
Host Hotels & Resorts, Inc.		510,386		9,325
Pebblebrook Hotel Trust		450,463		14,523


	SHARES		VALUE
Real Estate Investment Trusts—(continued)
RLJ Lodging Trust		969,802	$	19,270

				43,118

RESIDENTIAL—22.3%
Apartments—14.4%
American Campus Communities, Inc.		426,517		20,174
Apartment Investment & Management Co. Class A		738,300		31,725
AvalonBay Communities, Inc.		184,090		35,377
Equity Residential		459,945		30,278
Essex Property Trust, Inc.		104,304		26,834

				144,388

Manufactured Homes—4.6%
Equity LifeStyle Properties, Inc.		181,653		15,684
Sun Communities, Inc.		350,700		30,753

				46,437

Single Family Homes—3.3%
American Homes 4 Rent Class A		1,491,700		33,668

Total Residential				224,493

RETAIL—19.2%
Free Standing—2.0%
STORE Capital Corp.		865,643		19,434

Regional Malls—7.8%
GGP, Inc.		296,875		6,994
Simon Property Group, Inc.		443,441		71,731

				78,725

Shopping Centers—9.4%
Brixmor Property Group, Inc.		1,198,696		21,433
Federal Realty Investment Trust		169,200		21,385
Regency Centers Corp.		505,700		31,677
Tanger Factory Outlet Centers, Inc.		776,384		20,170

				94,665

Total Retail				192,824

SELF STORAGE—7.2%
CubeSmart		1,311,650		31,532
Extra Space Storage, Inc.		394,183		30,746


	SHARES		VALUE
Real Estate Investment Trusts—(continued)
Public Storage		48,292	$	10,071

				72,349

TOTAL COMMON STOCKS (Identified Cost $718,349)				998,915

TOTAL LONG TERM INVESTMENTS—99.3% (Identified Cost $718,349)				998,915

TOTAL INVESTMENTS—99.3% (Identified Cost $718,349)				998,915	⁽¹⁾
Other assets and liabilities, net—0.7%				6,601

NET ASSETS—100.0%			$	1,005,516

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	SHARES		VALUE
COMMON STOCKS—98.9%
Consumer Discretionary—27.2%
Amazon.com, Inc.⁽²⁾		6,508	$	6,300
Best Buy Co., Inc.		166,037		9,519
BorgWarner, Inc.		59,475		2,519
Carnival Corp.		44,215		2,899
CBS Corp. Class B		80,620		5,142
Charter Communications, Inc. Class A⁽²⁾		7,332		2,470
Chipotle Mexican Grill, Inc.⁽²⁾		1,039		432
Comcast Corp. Class A		161,314		6,278
Darden Restaurants, Inc.		4,486		406
Delphi Automotive plc		80,190		7,029
Discovery Communications, Inc. Class A⁽²⁾		33,085		855
Discovery Communications, Inc. Class C⁽²⁾		46,763		1,179
DISH Network Corp. Class A⁽²⁾		7,734		485
Expedia, Inc.		1,981		295
Garmin Ltd.		185,003		9,441
Goodyear Tire & Rubber Co. (The)		270,626		9,461
H&R Block, Inc.		306,633		9,478
Harley-Davidson, Inc.		172,288		9,307
Home Depot, Inc. (The)		45,320		6,952
Interpublic Group of Cos., Inc. (The)		125,630		3,090
Leggett & Platt, Inc.		56,216		2,953
Lowe’s Cos., Inc.		32,219		2,498
Marriott International, Inc. Class A		33,273		3,338
McDonald’s Corp.		29,588		4,532
Mohawk Industries, Inc.⁽²⁾		26,505		6,406
Netflix, Inc.⁽²⁾		7,073		1,057
Newell Brands, Inc.		176,614		9,470
Omnicom Group, Inc.		75,032		6,220
Priceline Group, Inc. (The)⁽²⁾		808		1,511
Royal Caribbean Cruises Ltd.		17,725		1,936
Scripps Networks Interactive, Inc. Class A		20,707		1,414
Starbucks Corp.		52,652		3,070
TEGNA, Inc.		46,541		671
TripAdvisor, Inc.⁽²⁾		1,856		71
Whirlpool Corp.		49,994		9,580
Wyndham Worldwide Corp.		11,106		1,115
Wynn Resorts Ltd.		69,339		9,300
Yum! Brands, Inc.		12,144		896

				159,575


	SHARES		VALUE
Consumer Staples—6.4%
Altria Group, Inc.		47,380	$	3,528
Brown-Forman Corp. Class B		41,241		2,004
Campbell Soup Co.		6,530		341
Conagra Brands, Inc.		13,957		499
Constellation Brands, Inc. Class A		40,266		7,801
General Mills, Inc.		19,580		1,085
Hershey Co. (The)		4,714		506
Hormel Foods Corp.		9,104		311
J.M. Smucker Co. (The)		3,930		465
Kellogg Co.		8,535		593
Kraft Heinz Co.(The)		20,133		1,724
McCormick & Co., Inc.		3,837		374
Mondelez International, Inc. Class A		51,535		2,226
Philip Morris International, Inc.		37,901		4,451
Reynolds American, Inc.		20,205		1,314
Sysco Corp.		189,009		9,513
Tyson Foods, Inc. Class A		9,687		607

				37,342

Energy—1.6%
Marathon Petroleum Corp.		47,229		2,471
Phillips 66		39,476		3,264
Tesoro Corp.		10,468		980
Valero Energy Corp.		40,362		2,723

				9,438

Financials—9.7%
Aflac, Inc.		20,104		1,562
Allstate Corp. (The)		18,669		1,651
Aon plc		23,647		3,144
Bank of America Corp.		88,458		2,146
BB&T Corp.		28,849		1,310
Charles Schwab Corp. (The)		52,259		2,245
Chubb Ltd.		23,815		3,462
Cincinnati Financial Corp.		7,664		555
Citigroup, Inc.		24,448		1,635
Citizens Financial Group, Inc.		18,169		648
Comerica, Inc.		6,276		460
E*Trade Financial Corp.⁽²⁾		11,816		449
Fifth Third Bancorp		26,782		695
Gallagher (Arthur J.) & Co.		16,084		921
Goldman Sachs Group, Inc. (The)		15,938		3,537
Huntington Bancshares, Inc.		38,752		524


	SHARES		VALUE
Financials—(continued)
JPMorgan Chase & Co.		31,518	$	2,881
KeyCorp		38,272		717
Lincoln National Corp.		11,279		762
M&T Bank Corp.		5,502		891
Marsh & McLennan Cos., Inc.		46,375		3,615
MetLife, Inc.		54,450		2,992
Morgan Stanley		61,815		2,755
People’s United Financial, Inc.		12,258		216
PNC Financial Services Group, Inc. (The)		17,349		2,166
Principal Financial Group, Inc.		13,389		858
Progressive Corp. (The)		29,696		1,309
Prudential Financial, Inc.		21,535		2,329
Raymond James Financial, Inc.		5,501		441
Regions Financial Corp.		43,012		630
SunTrust Banks, Inc.		17,537		995
Torchmark Corp.		5,485		420
Travelers Cos., Inc. (The)		14,300		1,809
U.S. Bancorp		14,051		730
Unum Group		11,480		535
Wells Fargo & Co.		39,733		2,202
Willis Towers Watson plc		11,472		1,669
XL Group Ltd.		13,548		593
Zions Bancorporation		7,224		317

				56,776

Health Care—4.8%
Abbott Laboratories		29,179		1,419
Aetna, Inc.		8,411		1,277
Agilent Technologies, Inc.		19,984		1,185
Anthem, Inc.		6,703		1,261
Bard (C.R.), Inc.		1,216		384
Baxter International, Inc.		8,208		497
Becton, Dickinson & Co.		3,809		743
Boston Scientific Corp.⁽²⁾		23,024		638
Centene Corp.⁽²⁾		4,362		349
Cigna Corp.		6,518		1,091
Danaher Corp.		10,302		869
Edwards Lifesciences Corp.⁽²⁾		3,588		424
Hologic, Inc.⁽²⁾		4,716		214
Humana, Inc.		3,786		911
IDEXX Laboratories, Inc.⁽²⁾		1,486		240
Illumina, Inc.⁽²⁾		9,078		1,575
Intuitive Surgical, Inc.⁽²⁾		620		580


	SHARES		VALUE
Health Care—(continued)
Medtronic plc		23,115	$	2,052
Mettler-Toledo International, Inc.⁽²⁾		1,610		948
PerkinElmer, Inc.		6,812		464
Stryker Corp.		5,226		725
Thermo Fisher Scientific, Inc.		24,224		4,226
UnitedHealth Group, Inc.		24,394		4,523
Varian Medical Systems, Inc.⁽²⁾		1,578		163
Waters Corp.⁽²⁾		4,969		914
Zimmer Biomet Holdings, Inc.		3,396		436

				28,108

Industrials—14.4%
3M Co.		11,528		2,400
Alaska Air Group, Inc.		8,608		773
Allegion plc		12,763		1,035
American Airlines Group, Inc.		35,148		1,769
Arconic, Inc.		8,452		192
Boeing Co. (The)		10,929		2,161
Cintas Corp.		74,360		9,372
CSX Corp.		47,158		2,573
Deere & Co.		76,342		9,435
Delta Air Lines, Inc.		50,947		2,738
Dover Corp.		8,196		658
Flowserve Corp.		6,879		319
Fortive Corp.		15,866		1,005
Fortune Brands Home & Security, Inc.		20,465		1,335
General Dynamics Corp.		5,460		1,082
General Electric Co.		168,702		4,557
Honeywell International, Inc.		14,718		1,962
Illinois Tool Works, Inc.		16,438		2,355
Ingersoll-Rand plc		13,677		1,250
Johnson Controls International plc		125,494		5,441
Kansas City Southern		5,428		568
L3 Technologies, Inc.		1,493		250
Lockheed Martin Corp.		4,790		1,330
Masco Corp.		42,823		1,636
Norfolk Southern Corp.		14,790		1,800
Northrop Grumman Corp.		3,350		860
Parker Hannifin Corp.		7,025		1,123
Pentair plc		8,812		586
Raytheon Co.		5,619		907
Republic Services, Inc.		42,484		2,708
Rockwell Collins, Inc.		3,114		327


	SHARES		VALUE
Industrials—(continued)
Roper Technologies, Inc.		1,970	$	456
Snap-on, Inc.		3,055		483
Southwest Airlines Co.		42,894		2,665
Stanley Black & Decker, Inc.		8,042		1,132
Stericycle, Inc.⁽²⁾		15,674		1,196
Textron, Inc.		5,182		244
TransDigm Group, Inc.		953		256
Union Pacific Corp.		41,423		4,511
United Continental Holdings, Inc.⁽²⁾		19,961		1,502
United Technologies Corp.		14,380		1,756
Waste Management, Inc.		74,524		5,466
Xylem, Inc.		9,459		524

				84,698

Information Technology—17.3%
Activision Blizzard, Inc.		87,844		5,057
Adobe Systems, Inc.⁽²⁾		22,662		3,205
Advanced Micro Devices, Inc.⁽²⁾		11,336		141
Akamai Technologies, Inc.⁽²⁾		1,592		79
Alliance Data Systems Corp.		1,005		258
Alphabet, Inc. Class A⁽²⁾		2,731		2,539
Alphabet, Inc. Class C⁽²⁾		2,716		2,468
Altaba, Inc.⁽²⁾		8,069		440
Amphenol Corp. Class A		56,403		4,164
Analog Devices, Inc.		5,348		416
Apple, Inc.		56,209		8,095
Applied Materials, Inc.		119,498		4,936
Autodesk, Inc.⁽²⁾		8,954		903
Automatic Data Processing, Inc.		8,070		827
Broadcom Ltd.		5,893		1,373
CA, Inc.		4,004		138
Citrix Systems, Inc.⁽²⁾		7,148		569
Corning, Inc.		170,146		5,113
eBay, Inc.⁽²⁾		9,293		325
Electronic Arts, Inc.⁽²⁾		39,149		4,139
Facebook, Inc. Class A⁽²⁾		21,650		3,269
Fidelity National Information Services, Inc.		5,910		505
Fiserv, Inc.⁽²⁾		3,857		472
FLIR Systems, Inc.		269,543		9,342
Global Payments, Inc.		2,737		247
Hewlett Packard Enterprise Co.		17,836		296
HP, Inc.		18,142		317


	SHARES		VALUE
Information Technology—(continued)
Intel Corp.		69,480	$	2,344
Intuit, Inc.		11,110		1,476
KLA-Tencor Corp.		17,344		1,587
Lam Research Corp.		18,021		2,549
Mastercard, Inc. Class A		16,936		2,057
Microchip Technology, Inc.		3,181		245
Micron Technology, Inc.⁽²⁾		15,233		455
Microsoft Corp.		98,708		6,804
NetApp, Inc.		2,903		116
NVIDIA Corp.		8,656		1,251
Oracle Corp.		38,283		1,920
Paychex, Inc.		5,741		327
PayPal Holdings, Inc.⁽²⁾		20,188		1,083
Qorvo, Inc.⁽²⁾		1,858		118
QUALCOMM, Inc.		21,706		1,199
Red Hat, Inc.⁽²⁾		2,277		218
salesforce.com, Inc.⁽²⁾		29,942		2,593
Seagate Technology plc		3,162		123
Skyworks Solutions, Inc.		2,717		261
Symantec Corp.		7,905		223
Synopsys, Inc.⁽²⁾		6,881		502
TE Connectivity Ltd.		119,451		9,398
Texas Instruments, Inc.		14,690		1,130
Total System Services, Inc.		2,966		173
VeriSign, Inc.⁽²⁾		818		76
Visa, Inc. Class A		33,400		3,132
Western Digital Corp.		3,086		273
Western Union Co. (The)		8,645		165
Xerox Corp.		2,287		66
Xilinx, Inc.		3,658		235

				101,732

Materials—8.0%
Albemarle Corp.		9,184		969
Avery Dennison Corp.		15,624		1,381
Dow Chemical Co. (The)		68,671		4,331
Du Pont (E.I.) de Nemours & Co.		53,188		4,293
Eastman Chemical Co.		9,012		757
Ecolab, Inc.		21,420		2,844
International Flavors & Fragrances, Inc.		6,448		871
International Paper Co.		71,847		4,067
Martin Marietta Materials, Inc.		18,831		4,191
Nucor Corp.		162,041		9,377


	SHARES		VALUE
Materials—(continued)
PPG Industries, Inc.		20,975	$	2,306
Sealed Air Corp.		33,801		1,513
Sherwin-Williams Co. (The)		6,623		2,324
Vulcan Materials Co.		39,520		5,006
WestRock Co.		43,746		2,479

				46,709

Real Estate—6.3%
American Tower Corp.		18,281		2,419
CBRE Group, Inc. Class A⁽²⁾		253,862		9,240
Crown Castle International Corp.		15,428		1,546
Digital Realty Trust, Inc.		6,815		770
Equinix, Inc.		3,325		1,427
Extra Space Storage, Inc.		5,388		420
Host Hotels & Resorts, Inc.		506,769		9,259
Iron Mountain, Inc.		10,496		361
Prologis, Inc.		159,248		9,338
Public Storage		6,390		1,332
Weyerhaeuser Co.		32,052		1,074

				37,186

Telecommunication Services—1.6%
Level 3 Communications, Inc.⁽²⁾		155,108		9,198

Utilities—1.6%
Ameren Corp.		10,457		572
CenterPoint Energy, Inc.		18,561		508
CMS Energy Corp.		12,063		558
Consolidated Edison, Inc.		13,147		1,063
Dominion Energy, Inc.		27,069		2,074
DTE Energy Co.		7,733		818
NiSource, Inc.		13,939		353
Public Service Enterprise Group, Inc.		21,816		938
SCANA Corp.		6,159		413
Sempra Energy		10,797		1,217
WEC Energy Group, Inc.		13,600		835

				9,349

TOTAL COMMON STOCKS (Identified Cost $487,478)				580,111

TOTAL LONG TERM INVESTMENTS—98.9% (Identified Cost $487,478)				580,111

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	SHARES		VALUE
COMMON STOCKS—59.4%
Consumer Discretionary—16.3%
Amazon.com, Inc.⁽²⁾		102	$	99
Best Buy Co., Inc.		2,611		150
BorgWarner, Inc.		935		40
Carnival Corp.		695		46
CBS Corp. Class B		1,268		81
Charter Communications, Inc. Class A⁽²⁾		115		39
Chipotle Mexican Grill, Inc.⁽²⁾		16		7
Comcast Corp. Class A		2,537		99
Darden Restaurants, Inc.		71		6
Delphi Automotive plc		1,261		110
Discovery Communications, Inc. Class A⁽²⁾		520		13
Discovery Communications, Inc. Class C⁽²⁾		735		19
DISH Network Corp. Class A⁽²⁾		122		8
Expedia, Inc.		31		5
Garmin Ltd.		2,910		148
Goodyear Tire & Rubber Co. (The)		4,256		149
H&R Block, Inc.		4,818		149
Harley-Davidson, Inc.		2,710		146
Home Depot, Inc. (The)		713		109
Interpublic Group of Cos., Inc. (The)		1,976		49
Leggett & Platt, Inc.		884		46
Lowe’s Cos., Inc.		507		39
Marriott International, Inc. Class A		523		52
McDonald’s Corp.		465		71
Mohawk Industries, Inc.⁽²⁾		417		101
Netflix, Inc.⁽²⁾		111		17
Newell Brands, Inc.		2,778		149
Omnicom Group, Inc.		1,180		98
Priceline Group, Inc. (The)⁽²⁾		13		24
Royal Caribbean Cruises Ltd.		279		30
Scripps Networks Interactive, Inc. Class A		326		22
Starbucks Corp.		828		48
TEGNA, Inc.		732		11
TripAdvisor, Inc.⁽²⁾		29		1
Whirlpool Corp.		785		150
Wyndham Worldwide Corp.		175		18
Wynn Resorts Ltd.		1,091		146
Yum! Brands, Inc.		191		14

				2,509


	SHARES		VALUE
Consumer Staples—3.8%
Altria Group, Inc.		745	$	55
Brown-Forman Corp. Class B		649		32
Campbell Soup Co.		103		5
Conagra Brands, Inc.		220		8
Constellation Brands, Inc. Class A		633		123
General Mills, Inc.		308		17
Hershey Co. (The)		74		8
Hormel Foods Corp.		143		5
J.M. Smucker Co. (The)		62		7
Kellogg Co.		134		9
Kraft Heinz Co.(The)		317		27
McCormick & Co., Inc.		60		6
Mondelez International, Inc. Class A		811		35
Philip Morris International, Inc.		596		70
Reynolds American, Inc.		318		21
Sysco Corp.		2,972		150
Tyson Foods, Inc. Class A		152		9

				587

Energy—1.0%
Marathon Petroleum Corp.		743		39
Phillips 66		621		51
Tesoro Corp.		165		16
Valero Energy Corp.		635		43

				149

Financials—5.8%
Aflac, Inc.		316		25
Allstate Corp. (The)		294		26
AON plc		372		49
Bank of America Corp.		1,391		34
BB&T Corp.		454		21
Charles Schwab Corp. (The)		822		35
Chubb Ltd.		375		55
Cincinnati Financial Corp.		121		9
Citigroup, Inc.		385		26
Citizens Financial Group, Inc.		286		10
Comerica, Inc.		99		7
E*Trade Financial Corp.⁽²⁾		186		7
Fifth Third Bancorp		421		11
Gallagher (Arthur J.) & Co.		253		14
Goldman Sachs Group, Inc. (The)		251		56
Huntington Bancshares, Inc.		609		8


	SHARES		VALUE
Financials—(continued)
JPMorgan Chase & Co.		496	$	45
KeyCorp		602		11
Lincoln National Corp.		177		12
M&T Bank Corp.		87		14
Marsh & McLennan Cos., Inc.		729		57
MetLife, Inc.		856		47
Morgan Stanley		972		43
People’s United Financial, Inc.		193		3
PNC Financial Services Group, Inc. (The)		273		34
Principal Financial Group, Inc.		211		14
Progressive Corp. (The)		467		21
Prudential Financial, Inc.		339		37
Raymond James Financial, Inc.		87		7
Regions Financial Corp.		676		10
SunTrust Banks, Inc.		276		16
Torchmark Corp.		86		7
Travelers Cos., Inc. (The)		225		28
U.S. Bancorp		221		11
Unum Group		181		8
Wells Fargo & Co.		625		35
Willis Towers Watson plc		180		26
XL Group Ltd.		213		9
Zions Bancorporation		114		5

				893

Health Care—2.9%
Abbott Laboratories		459		22
Aetna, Inc.		132		20
Agilent Technologies, Inc.		314		19
Anthem, Inc.		105		20
Bard (C.R.), Inc.		19		6
Baxter International, Inc.		129		8
Becton, Dickinson & Co.		60		12
Boston Scientific Corp.⁽²⁾		362		10
Centene Corp.⁽²⁾		69		6
Cigna Corp.		103		17
Danaher Corp.		162		14
Edwards Lifesciences Corp.⁽²⁾		56		7
Hologic, Inc.⁽²⁾		74		3
Humana, Inc.		60		14
IDEXX Laboratories, Inc.⁽²⁾		23		4
Illumina, Inc.⁽²⁾		143		25
Intuitive Surgical, Inc.⁽²⁾		10		9


	SHARES		VALUE
Health Care—(continued)
Medtronic plc		364	$	32
Mettler-Toledo International, Inc.⁽²⁾		25		15
PerkinElmer, Inc.		107		7
Stryker Corp.		82		11
Thermo Fisher Scientific, Inc.		381		66
UnitedHealth Group, Inc.		384		71
Varian Medical Systems, Inc.⁽²⁾		25		3
Waters Corp.⁽²⁾		78		14
Zimmer Biomet Holdings, Inc.		53		7

				442

Industrials—8.7%
3M Co.		181		38
Alaska Air Group, Inc.		135		12
Allegion plc		201		16
American Airlines Group, Inc.		553		28
Arconic, Inc.		133		3
Boeing Co. (The)		172		34
Cintas Corp.		1,170		147
CSX Corp.		742		40
Deere & Co.		1,201		148
Delta Air Lines, Inc.		801		43
Dover Corp.		129		10
Flowserve Corp.		108		5
Fortive Corp.		250		16
Fortune Brands Home & Security, Inc.		322		21
General Dynamics Corp.		86		17
General Electric Co.		2,653		72
Honeywell International, Inc.		231		31
Illinois Tool Works, Inc.		259		37
Ingersoll-Rand plc		215		20
Johnson Controls International plc		1,974		86
Kansas City Southern		85		9
L3 Technologies, Inc.		23		4
Lockheed Martin Corp.		75		21
Masco Corp.		674		26
Norfolk Southern Corp.		233		28
Northrop Grumman Corp.		53		14
Parker-Hannifin Corp.		110		17
Pentair plc		139		9
Raytheon Co.		88		14
Republic Services, Inc.		668		42
Rockwell Collins, Inc.		49		5


	SHARES		VALUE
Industrials—(continued)
Roper Technologies, Inc.		31	$	7
Snap-on, Inc.		48		8
Southwest Airlines Co.		675		42
Stanley Black & Decker, Inc.		126		18
Stericycle, Inc.⁽²⁾		247		19
Textron, Inc.		82		4
TransDigm Group, Inc.		15		4
Union Pacific Corp.		651		71
United Continental Holdings, Inc.⁽²⁾		314		24
United Technologies Corp.		226		28
Waste Management, Inc.		1,172		86
Xylem, Inc.		149		8

				1,332

Information Technology—10.4%
Activision Blizzard, Inc.		1,382		80
Adobe Systems, Inc.⁽²⁾		356		50
Advanced Micro Devices, Inc.⁽²⁾		178		2
Akamai Technologies, Inc.⁽²⁾		25		1
Alliance Data Systems Corp.		16		4
Alphabet, Inc. Class A⁽²⁾		43		40
Alphabet, Inc. Class C⁽²⁾		43		39
Altaba, Inc.⁽²⁾		127		7
Amphenol Corp. Class A		887		65
Analog Devices, Inc.		84		7
Apple, Inc.		884		127
Applied Materials, Inc.		1,879		78
Autodesk, Inc.⁽²⁾		141		14
Automatic Data Processing, Inc.		127		13
Broadcom Ltd.		93		22
CA, Inc.		63		2
Citrix Systems, Inc.⁽²⁾		112		9
Corning, Inc.		2,676		80
eBay, Inc.⁽²⁾		146		5
Electronic Arts, Inc.⁽²⁾		616		65
Facebook, Inc. Class A⁽²⁾		340		51
Fidelity National Information Services, Inc.		93		8
Fiserv, Inc.⁽²⁾		61		7
FLIR Systems, Inc.		4,239		147
Global Payments, Inc.		43		4
Hewlett Packard Enterprise Co.		281		5
HP, Inc.		285		5
Intel Corp.		1,093		37


	SHARES		VALUE
Information Technology—(continued)
Intuit, Inc.		175	$	23
KLA-Tencor Corp.		273		25
Lam Research Corp.		283		40
Mastercard, Inc. Class A		266		32
Microchip Technology, Inc.		50		4
Micron Technology, Inc.⁽²⁾		240		7
Microsoft Corp.		1,552		107
NetApp, Inc.		46		2
NVIDIA Corp.		136		20
Oracle Corp.		602		30
Paychex, Inc.		90		5
PayPal Holdings, Inc.⁽²⁾		318		17
Qorvo, Inc.⁽²⁾		29		2
QUALCOMM, Inc.		341		19
Red Hat, Inc.⁽²⁾		36		3
salesforce.com, Inc.⁽²⁾		471		41
Seagate Technology plc		50		2
Skyworks Solutions, Inc.		43		4
Symantec Corp.		124		4
Synopsys, Inc.⁽²⁾		108		8
TE Connectivity Ltd.		1,879		148
Texas Instruments, Inc.		231		18
Total System Services, Inc.		47		3
VeriSign, Inc.⁽²⁾		13		1
Visa, Inc. Class A		525		49
Western Digital Corp.		49		4
Western Union Co. (The)		136		3
Xerox Corp.		36		1
Xilinx, Inc.		58		4

				1,600

Materials—4.8%
Albemarle Corp.		144		15
Avery Dennison Corp.		246		22
Dow Chemical Co. (The)		1,080		68
Du Pont (E.I.) de Nemours & Co.		837		68
Eastman Chemical Co.		142		12
Ecolab, Inc.		337		45
International Flavors & Fragrances, Inc.		101		14
International Paper Co.		1,130		64
Martin Marietta Materials, Inc.		296		66
Nucor Corp.		2,549		147
PPG Industries, Inc.		330		36


	SHARES		VALUE
Materials—(continued)
Sealed Air Corp.		532	$	24
Sherwin-Williams Co. (The)		104		36
Vulcan Materials Co.		622		79
WestRock Co.		688		39

				735

Real Estate—3.8%
American Tower Corp.		288		38
CBRE Group, Inc. Class A⁽²⁾		3,993		145
Crown Castle International Corp.		243		24
Digital Realty Trust, Inc.		107		12
Equinix, Inc.		52		22
Extra Space Storage, Inc.		85		7
Host Hotels & Resorts, Inc.		7,970		146
Iron Mountain, Inc.		165		6
Prologis, Inc.		2,505		147
Public Storage		101		21
Weyerhaeuser Co.		504		17

				585

Telecommunication Services—0.9%
Level 3 Communications, Inc.⁽²⁾		2,440		145

Utilities—1.0%
Ameren Corp.		164		9
CenterPoint Energy, Inc.		292		8
CMS Energy Corp.		190		9
Consolidated Edison, Inc.		207		17
Dominion Energy, Inc.		426		33
DTE Energy Co.		122		13
NiSource, Inc.		219		5
Public Service Enterprise Group, Inc.		343		15
SCANA Corp.		97		6
Sempra Energy		170		19
WEC Energy Group, Inc.		214		13

				147

TOTAL COMMON STOCKS (Identified Cost $7,691)				9,124

EXCHANGE-TRADED FUNDS⁽³⁾—39.6%
iShares MSCI Australia Index Fund		35,200		763
iShares MSCI Hong Kong Index Fund		32,511		762
iShares MSCI India Index Fund		23,817		765
iShares MSCI Japan Index Fund		14,183		761


	SHARES		VALUE
iShares MSCI South Korea Capped Index Fund		11,238	$	762
iShares MSCI Spain Capped Index Fund		22,903		752
iShares MSCI Switzerland Capped Index Fund		22,035		756
iShares MSCI Taiwan Capped Index Fund		21,277		761

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $5,454)				6,082

TOTAL LONG TERM INVESTMENTS—99.0% (Identified Cost $13,145)				15,206

TOTAL INVESTMENTS—99.0% (Identified Cost $13,145)				15,206	⁽¹⁾
Other assets and liabilities, net—1.0%				147

NET ASSETS—100.0%			$	15,353

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	SHARES		VALUE
CLOSED END FUNDS⁽³⁾—66.6%
Equity Funds—32.0%
Adams Diversified Equity Fund, Inc.		81,991	$	1,172
Adams Natural Resources Fund, Inc.		99,208		1,855
Allianzgi NFJ Dividend Interest & Premium Strategy Fund		111,708		1,462
Alpine Total Dynamic Dividend Fund		205,809		1,788
BlackRock Science & Technology Trust		123,301		2,739
Boulder Growth & Income Fund, Inc.		303,102		2,943
Central Securities Corp.		122,048		3,043
Cohen & Steers MLP Income and Energy Opportunity Fund, Inc.		20,613		224
Gabelli Healthcare & WellnessRx Trust (The)		85,355		926
General American Investors Co., Inc.		32,686		1,123
Liberty All Star Equity Fund		212,715		1,204
Source Capital, Inc.		19,696		761
Tortoise Pipeline & Energy Fund, Inc.		48,244		938
Tortoise Power and Energy Infrastructure Fund, Inc.		10,432		219
Tri-Continental Corp.		24,536		597

				20,994

Fixed Income Funds—14.9%
BlackRock Credit Allocation Income Trust IV		62,504		841
Franklin Limited Duration Income Trust		28,651		339
NexPoint Credit Strategies Fund		335,393		7,305
Nuveen Preferred Income Opportunities Fund		73,067		760
Western Asset/Claymore Inflation-Linked Opportunities & Income Fund		25,700		283
Western Asset/Claymore Inflation-Linked Securities & Income Fund		20,482		231

				9,759

International Fixed Income Funds—1.8%
Avenue Income Credit Strategies Fund		57,856		805
Diversified Real Asset Income Fund		19,626		342

				1,147

International Equity Funds—17.9%
Aberdeen Japan Equity Fund, Inc.		92,393		785
Aberdeen Latin America Equity Fund, Inc.		18,110		420
Alpine Global Dynamic Dividend Fund		106,859		1,093
China Fund, Inc. (The)		6,118		114


	SHARES		VALUE
International Equity Funds—(continued)
Delaware Enhanced Global Dividend and Income Fund		18,872	$	215
First Trust Dynamic Europe Equity Income Fund		47,455		893
Japan Smaller Capitalization Fund, Inc.		97,928		1,124
Mexico Equity & Income Fund, Inc.⁽²⁾		69,111		789
New Germany Fund, Inc. (The)		60,161		1,001
Taiwan Fund, Inc. (The)⁽²⁾		47,560		941
Tekla Healthcare Opportunities Fund		137,806		2,528
Tekla World Healthcare Fund		95,102		1,437
Templeton Dragon Fund, Inc.		19,655		397

				11,737

TOTAL CLOSED END FUNDS (Identified Cost $39,579)				43,637

PREFERRED STOCKS—17.2%
Financials—17.2%
Eagle Point Credit Co., Inc. 7.00%		147,840		3,785
Eagle Point Credit Co., Inc. Series A 7.75%		10,600		273
MVC Capital, Inc. 7.25%		84,231		2,125
Oxford Lane Capital Corp. 7.50%		61,448		1,563
Oxford Lane Capital Corp. 8.125%		140,861		3,531

TOTAL PREFERRED STOCK (Identified Cost $11,032)				11,277

TOTAL LONG TERM INVESTMENTS—83.8% (Identified Cost $50,611)				54,914

SHORT-TERM INVESTMENT—13.9%
Money Market Mutual Fund—13.9%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.860%)⁽³⁾		9,108,316		9,108

TOTAL SHORT-TERM INVESTMENT (Identified Cost $9,108)				9,108

TOTAL INVESTMENTS—97.7% (Identified Cost $59,719)				64,022	⁽¹⁾
Other assets and liabilities, net—2.3%				1,502

NET ASSETS—100.0%			$	65,524

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	SHARES		VALUE
COMMON STOCKS—99.9%
Consumer Discretionary—30.1%
Altice NV Class A (Netherlands)⁽²⁾		1,729	$	40
Autogrill S.p.A (Italy)		658		8
Autoneum Holding AG (Switzerland)		92		25
Axel Springer SE (Germany)		508		31
Bayerische Motoren Werke AG (Germany)		330		31
Benesse Holdings, Inc. (Japan)		1,030		39
Brembo S.p.A (Italy)		554		8
Brunello Cucinelli S.p.A (Italy)		318		8
Carnival plc (United Kingdom)		639		42
Chow Tai Fook Jewellery Group Ltd. (Hong Kong)		6,200		7
Cie Financiere Richemont SA Registered Shares (Switzerland)		310		26
Continental AG (Germany)		141		30
Crown Resorts Ltd. (Australia)		2,404		23
CTS Eventim AG & Co. KGaA (Germany)		698		31
Daily Mail & General Trust plc Class A (United Kingdom)		4,964		43
De’ Longhi S.p.A (Italy)		254		8
Dixons Carphone plc (United Kingdom)		10,632		39
Domino’s Pizza Enterprises Ltd. (Australia)		573		23
Don Quijote Holdings Co., Ltd. (Japan)		975		37
Dufry AG Registered Shares (Switzerland)⁽²⁾		154		25
Dunelm Group plc (United Kingdom)		5,398		42
Fast Retailing Co., Ltd. (Japan)		115		38
Fielmann AG (Germany)		400		31
Fnac Darty SA (France)⁽²⁾		239		19
Forbo Holding AG Registered Shares (Switzerland)		16		26
Galaxy Entertainment Group Ltd. (Hong Kong)		1,090		7
Genting Singapore plc (Singapore)		9,300		7
Geox S.p.A (Italy)⁽⁴⁾		2,609		9
Global Brands Group Holding Ltd. (Hong Kong)⁽²⁾		58,000		6
Harvey Norman Holdings Ltd. (Australia)		7,988		23
Heiwa Corp. (Japan)		1,735		39
Hennes & Mauritz AB Class B (Sweden)		446		11
Hermes International (France)		36		18
Hikari Tsushin, Inc. (Japan)		375		39
Industria de Diseno Textil SA (Spain)		571		22
Izumi Co., Ltd. (Japan)		660		37
Jardine Cycle & Carriage Ltd. (Singapore)		239		8


	SHARES		VALUE
Consumer Discretionary—(continued)
JCDecaux SA (France)		530	$	17
Kering (France)		53		18
L’Occitane International SA (France)		8,500		20
Li & Fung Ltd. (Hong Kong)		18,150		7
Luxottica Group S.p.A (Italy)		132		8
LVMH Moet Hennessy Louis Vuitton SE (France)		69		17
Man Wah Holdings Ltd. (Hong Kong)		7,800		7
Mediaset S.p.A (Italy)⁽²⁾		2,064		8
Mekonomen AB (Sweden)		527		10
Melco Crown Entertainment Ltd. ADR (Hong Kong)		291		7
Melco International Development Ltd. (Hong Kong)		2,550		7
Melia Hotels International SA (Spain)		1,492		22
Merlin Entertainment plc (United Kingdom)⁽³⁾		6,691		42
Metropole Television SA (France)		747		17
MGM China Holdings Ltd. (Hong Kong)		3,200		7
Moncler S.p.A (Italy)		334		8
Nitori Holdings Co., Ltd. (Japan)		251		34
NOS SGPS SA (Portugal)		669		4
Ocado Group plc (United Kingdom)⁽²⁾		11,817		45
Plastic Omnium SA (France)		478		17
PRADA S.p.A (Italy)		2,100		8
Premier Investments Ltd. (Australia)		2,413		23
Publicis Groupe SA (France)		233		17
Rakuten, Inc. (Japan)		3,120		37
Royal Caribbean Cruises Ltd. (Norway)		48		5
Salvatore Ferragamo S.p.A (Italy)		292		8
Sands China Ltd. (Hong Kong)		1,450		7
Sankyo Co., Ltd. (Japan)		1,125		38
Sega Sammy Holdings, Inc. (Japan)		2,905		39
Seven West Media Ltd. (Australia)		45,128		25
SFR Group SA (France)⁽²⁾		499		17
Shangri-La Asia Ltd. (Hong Kong)		4,050		7
Shimamura Co., Ltd. (Japan)		297		36
SJM Holdings Ltd. (Hong Kong)		6,400		7
Sodexo SA (France)		131		17
Sports Direct International plc (United Kingdom)⁽²⁾		11,127		42
Start Today Co., Ltd. (Japan)		1,450		36
Steinhoff International Holdings NV (Germany)⁽⁴⁾		6,123		31
Swatch Group AG (The) (Switzerland)		68		25
Techtronic Industries Co., Ltd. (Hong Kong)		1,435		7
Television Francaise 1 (France)		1,290		18


	SHARES		VALUE
Consumer Discretionary—(continued)
Tod’s S.p.A (Italy)		122	$	8
Universal Entertainment Corp. (Japan)		1,286		39
Vivendi (France)		775		17
Wynn Macau Ltd. (Hong Kong)		2,900		7
Yoox Net-A-Porter Group S.p.A (Italy)⁽²⁾		307		8
Yue Yuen Industrial Holdings Ltd. (Hong Kong)		1,625		7
Zensho Holdings Co., Ltd. (Japan)		2,000		36

				1,800

Consumer Staples—11.9%
AAK AB (Sweden)		136		10
Anheuser-Busch InBev NV (Belgium)		536		59
Associated British Foods plc (United Kingdom)		1,095		42
Axfood AB (Sweden)		610		10
Barry Callebaut AG Registered Shares (Switzerland)⁽²⁾		18		25
Beiersdorf AG (Germany)		288		30
Carrefour SA (France)		670		17
Casino Guichard Perrachon SA (France)		296		18
Cosmos Pharmaceutical Corp. (Japan)		180		35
Dairy Farm International Holdings Ltd. (Hong Kong)		960		8
Davide Campari-Milano S.p.A (Italy)		1,164		8
First Resources Ltd. (Singapore)		5,530		8
Golden Agri-Resources Ltd. (Singapore)		28,900		8
Heineken Holding NV (Netherlands)		475		44
Henkel AG & Co. KGaA (Germany)		248		30
Jeronimo Martins SGPS SA (Portugal)		212		4
Kose Corp. (Japan)		330		36
L’Oreal SA (France)		83		17
Marine Harvest ASA (Norway)⁽²⁾		316		5
MARR S.p.A (Italy)		331		8
Metro AG (Germany)		965		33
Orkla ASA (Norway)		539		5
Pernod Ricard SA (France)		130		17
Pola Orbis Holdings, Inc. (Japan)		1,366		36
Rallye SA (France)		844		17
Remy Cointreau SA (France)		153		18
Sonae SGPS SA (Portugal)		3,896		4
Sugi Holdings Co., Ltd. (Japan)		695		37
Sundrug Co., Ltd. (Japan)		970		36
Suntory Beverage & Food Ltd. (Japan)		780		36
Unicharm Corp. (Japan)		1,435		36


	SHARES		VALUE
Consumer Staples—(continued)
WH Group Ltd. (Hong Kong)⁽³⁾		7,000	$	7
Wilmar International Ltd. (Singapore)		3,090		8

				712

Energy—3.3%
Akastor ASA (Norway)⁽²⁾		3,271		5
Aker BP ASA (Norway)		350		5
Aker Solutions ASA (Norway)⁽²⁾		1,200		5
Avance Gas Holding Ltd. (Norway)⁽²⁾⁽³⁾		2,245		6
BW LPG Ltd. (Norway)⁽³⁾		1,674		6
BW Offshore Ltd. (Norway)⁽²⁾		2,267		6
Delek Group Ltd. (Israel)		25		6
Galp Energia SGPS SA (Portugal)		275		4
Genel Energy plc (United Kingdom)⁽²⁾⁽⁴⁾		35,232		38
Petrofac Ltd. (United Kingdom)		7,699		44
Saras S.p.A (Italy)		3,367		8
Seadrill Ltd. (Norway)⁽²⁾⁽⁴⁾		12,694		5
Ship Finance International Ltd. (Norway)		426		6
Tecnicas Reunidas SA (Spain)		592		23
Tenaris SA ADR (Italy)		264		8
Transocean Ltd. (United States)⁽²⁾		2,960		24

				199

Financials—9.7%
ACOM Co., Ltd. (Japan)⁽²⁾		8,600		39
Ashmore Group plc (United Kingdom)		9,258		43
Assicurazioni Generali S.p.A (Italy)		500		8
Banca Mediolanum S.p.A (Italy)		1,009		8
Banco Santander SA (Spain)		3,413		23
Bank Hapoalim BM (Israel)		782		5
Bank of East Asia Ltd. (The) (Hong Kong)		1,600		7
Bankinter SA (Spain)		2,473		23
City Developments Ltd. (Singapore)		1,000		8
Dah Sing Financial Holdings Ltd. (Hong Kong)		850		7
Emperor Capital Group Ltd. (Hong Kong)		72,000		7
First Pacific Co., Ltd. (Hong Kong)		9,000		7
Goldin Financial Holdings Ltd. (Hong Kong)⁽²⁾		15,100		7
Groupe Bruxelles Lambert SA (Belgium)		642		62
Hutchison Port Holdings Trust Class U (Singapore)		17,200		7
Industrivarden AB Class A (Sweden)		409		10
Investment AB Latour Class B (Sweden)		856		11
Jardine Lloyd Thompson Group plc (United Kingdom)		2,724		43


	SHARES		VALUE
Financials—(continued)
Kingston Financial Group Ltd. (Hong Kong)		20,300	$	7
Matsui Securities Co., Ltd. (Japan)		4,595		37
Mizrahi Tefahot Bank Ltd. (Israel)		298		5
Oversea-Chinese Banking Corp., Ltd. (Singapore)		1,005		8
Pargesa Holding SA (Switzerland)		335		26
Partners Group Holding AG (Switzerland)		42		26
Platinum Asset Management Ltd. (Australia)		6,735		24
Reinet Investments SCA (United Kingdom)		17,744		40
Schroders plc (United Kingdom)		1,046		42
Svenska Handelsbanken AB Class A (Sweden)		730		10
United Overseas Bank Ltd. (Singapore)		452		8
Wendel SE (France)		114		17
Wharf Holdings Ltd. (The) (Hong Kong)		750		6

				581

Health Care—3.9%
BioMerieux (France)		80		17
CYBERDYNE, Inc. (Japan)⁽²⁾		2,865		38
DiaSorin S.p.A (Italy)		102		8
Eurofins Scientific SE (France)		32		18
Getinge AB Class B (Sweden)		512		10
Ipsen SA (France)		134		18
RHOEN-KLINIKUM AG (Germany)		1,048		31
Roche Holding AG (Switzerland)		97		25
Straumann Holding AG Registered Shares (Switzerland)		46		26
Taisho Pharmaceutical Holdings Co., Ltd. (Japan)		490		37
Taro Pharmaceutical Industries Ltd. (Israel)⁽²⁾		49		6

				234

Industrials—14.3%
ACS Actividades de Construccion y Servicios SA (Spain)		563		22
ACS Actividades de Construccion y Servicios SA (Spain)⁽²⁾		593		0
Alfa Laval AB (Sweden)		522		11
Alstom SA (France)⁽²⁾		506		18
ANDRITZ AG (Austria)		623		37
Assa Abloy AB Class B (Sweden)		470		10
Bollore SA (France)		3,842		17
Bouygues SA (France)		409		17
Cargotec Oyj Class B (Finland)		577		37


	SHARES		VALUE
Industrials—(continued)
CK Hutchison Holdings Ltd. (Hong Kong)		550	$	7
Dassault Aviation SA (France)		12		17
easyJet plc (United Kingdom)		2,417		43
Ferrovial SA (Spain)		994		22
Fomento de Construcciones y Contratas SA (Spain)⁽²⁾		2,110		23
Golden Ocean Group Ltd. (Norway)⁽²⁾		886		6
HK Electric Investments & HK Electric Investments Ltd. (Hong Kong)⁽³⁾		7,200		7
Indutrade AB (Sweden)		445		10
IWG plc (United Kingdom)		9,211		39
Jardine Matheson Holdings Ltd. (Singapore)		118		8
Jardine Strategic Holdings Ltd. (Singapore)		186		8
Kloeckner & Co. SE (Germany)		3,043		32
Kone Oyj Class B (Finland)		675		34
Kuehne & Nagel International AG Registered Shares (Switzerland)		157		26
Nidec Corp. (Japan)		370		38
Noble Group Ltd. (Singapore)⁽²⁾⁽⁴⁾		35,670		12
Nordex SE (Germany)⁽²⁾		2,346		29
NWS Holdings Ltd. (Hong Kong)		3,425		7
Obrascon Huarte Lain SA (Spain)⁽⁴⁾		6,243		22
OC Oerlikon Corp. AG Registered Shares (Switzerland)⁽²⁾		2,033		27
Orient Overseas International Ltd. (Hong Kong)⁽²⁾		1,100		8
Persol Holdings Co., Ltd. (Japan)		1,950		36
Prosegur Cia de Seguridad SA (Spain)		3,388		22
Rieter Holding AG Registered Shares (Switzerland)⁽²⁾		114		26
Ryanair Holdings plc Sponsored ADR (United Kingdom)⁽²⁾		381		41
Salini Impregilo S.p.A (Italy)		2,339		8
Securitas AB Class B (Sweden)		611		10
Seven Group Holdings Ltd. (Australia)		2,810		24
SGL Carbon SE (Germany)⁽²⁾		2,433		30
SGS SA Registered Shares (Switzerland)		11		27
Skanska AB Class B (Sweden)		435		10
Sulzer AG Registered Shares (Switzerland)		224		25
Summit Ascent Holdings Ltd. (Hong Kong)⁽²⁾		28,000		6

				859

Information Technology—11.1%
Arbonia AG (Switzerland)⁽²⁾		1,432		26


	SHARES		VALUE
Information Technology—(continued)
Check Point Software Technologies Ltd. (Israel)⁽²⁾		49	$	5
COLOPL, Inc. (Japan)		3,800		38
Dassault Systemes SE (France)		189		17
Gree, Inc. (Japan)		4,200		37
GungHo Online Entertainment, Inc. (Japan)		14,800		38
Hexagon AB Class B (Sweden)		219		10
Keyence Corp. (Japan)		86		38
Koei Tecmo Holdings Co., Ltd. (Japan)		1,810		36
Konami Holdings Corp. (Japan)		665		37
Lenovo Group Ltd. (Hong Kong)		10,400		7
Mixi, Inc. (Japan)		635		35
Nemetschek SE (Germany)		411		31
Nexon Co., Ltd. (Japan)⁽²⁾		1,890		37
OBIC Co., Ltd. (Japan)		671		41
Otsuka Corp. (Japan)		617		38
Renishaw plc (United Kingdom)		905		43
SAP SE (Germany)		296		31
Silverlake Axis Ltd. (Singapore)		19,500		8
Square Enix Holdings Co., Ltd. (Japan)		1,140		37
United Internet AG Registered Shares (Germany)		567		31
VTech Holdings Ltd. (Hong Kong)		417		7
Yahoo Japan Corp. (Japan)		8,900		39

				667

Materials—7.4%
APERAM SA (Netherlands)		970		45
ArcelorMittal (Netherlands)⁽²⁾		2,156		49
EMS-Chemie Holding AG Registered Shares (Switzerland)		36		27
Evolution Mining Ltd. (Australia)		12,515		23
Fortescue Metals Group Ltd. (Australia)		6,563		26
Frutarom Industries Ltd. (Israel)		81		6
Glencore plc (United Kingdom)		11,451		43
HeidelbergCement AG (Germany)		323		31
Hexpol AB (Sweden)		937		10
Holmen AB Class B (Sweden)		237		10
Imerys SA (France)		200		17
Israel Chemicals Ltd. (Israel)		1,223		6
Israel Corp., Ltd. (The) (Israel)⁽²⁾		27		6
LafargeHolcim Ltd. Registered Shares (Switzerland)⁽²⁾		443		25
OCI NV (Netherlands)⁽²⁾		1,966		43
Pact Group Holdings Ltd. (Australia)		5,118		24


	SHARES		VALUE
Materials—(continued)
Vicat (France)		249	$	18
Wacker Chemie AG (Germany)		301		33

				442

Real Estate—4.6%
Abacus Property Group (Australia)		8,986		22
Champion REIT (Hong Kong)		10,600		7
Cheung Kong Property Holdings Ltd. (Hong Kong)		850		7
Fabege AB (Sweden)		529		10
Fonciere Des Regions (France)		188		17
Fortune REIT (Hong Kong)		5,400		7
Hang Lung Group Ltd. (Hong Kong)		1,600		7
Hang Lung Properties Ltd. (Hong Kong)		2,500		6
Henderson Land Development Co., Ltd. (Hong Kong)		1,147		6
Hongkong Land Holdings Ltd. (Singapore)		1,000		7
Hufvudstaden AB Class A (Sweden)		610		10
Hysan Development Co., Ltd. (Hong Kong)		1,370		7
Intu Properties plc (United Kingdom)		12,000		42
Kerry Properties Ltd. (Hong Kong)		1,900		6
L E Lundbergforetagen AB Class B (Sweden)		130		10
Melisron Ltd. (Israel)		104		6
New World Development Co., Ltd. (Hong Kong)		5,100		7
Scentre Group (Australia)		7,139		22
Sino Land Co., Ltd. (Hong Kong)		3,925		6
Sun Hung Kai Properties Ltd. (Hong Kong)		450		7
UOL Group Ltd. (Singapore)		1,408		8
Westfield Corp. (Australia)		3,553		22
Wheelock & Co., Ltd. (Hong Kong)		855		6
Wihlborgs Fastigheter AB (Sweden)		486		10
Yanlord Land Group Ltd. (Singapore)		5,900		8

				273

Telecommunication Services—2.5%
HKT Trust & HKT Ltd. (Hong Kong)		5,000		7
Iliad SA (France)		72		17
Partner Communications Co., Ltd. (Israel)⁽²⁾		1,027		5
PCCW Ltd. (Hong Kong)		11,900		7
SmarTone Telecommunications Holdings Ltd. (Hong Kong)		5,000		7
SoftBank Group Corp. (Japan)		476		38
TalkTalk Telecom Group plc (United Kingdom)⁽⁴⁾		18,401		43


	SHARES		VALUE
Telecommunication Services—(continued)
TPG Telecom Ltd. (Australia)		5,600	$	25

				149

Utilities—1.1%
CK Infrastructure Holdings Ltd. (Hong Kong)		790		7
CLP Holdings Ltd. (Hong Kong)		639		7
Engie SA (France)		1,120		17
Hong Kong & China Gas Co., Ltd. (Hong Kong)		3,613		7
Kenon Holdings Ltd. (Israel)⁽²⁾		412		5
Power Assets Holdings Ltd. (Hong Kong)		750		7
Rubis SCA (France)		155		17

				67

TOTAL COMMON STOCKS (Identified Cost $5,305)				5,983

TOTAL LONG TERM INVESTMENTS—99.9% (Identified Cost $5,305)				5,983

SECURITIES LENDING COLLATERAL—1.6%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) - Institutional Shares (seven-day effective yield 1.160%)⁽⁵⁾⁽⁶⁾		94,116		94

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $94)				94

TOTAL INVESTMENTS—101.5% (Identified Cost $5,399)				6,077	⁽¹⁾
Other assets and liabilities, net—(1.5)%				(90	)

NET ASSETS—100.0%			$	5,987

Abbreviations:


ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $68 or 1.1% of net assets.

⁽⁴⁾	All or a portion of security is on loan.

⁽⁵⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁶⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.


Country Weightings †
Japan	25	%
United Kingdom	14
France	10
Germany	9
Switzerland	8
Hong Kong	6
Australia	5
Other	23

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $2,043 were transferred from Level 2 into Level 1.


	SHARES		VALUE
COMMON STOCKS—99.9%
Consumer Discretionary—34.3%
Amazon.com, Inc.⁽²⁾		414	$	401
AMC Networks, Inc. Class A⁽²⁾		7,162		383
American Eagle Outfitters, Inc.		34,808		419
AutoNation, Inc.⁽²⁾		9,335		394
Buckle, Inc. (The)		22,838		406
Cabela’s, Inc.⁽²⁾		7,018		417
Carnival Corp.		6,096		400
CBS Corp. Class B		6,499		414
Choice Hotels International, Inc.		5,982		384
Columbia Sportswear Co.		6,954		404
Comcast Corp. Class A		9,636		375
Dick’s Sporting Goods, Inc.		9,812		391
Dillard’s, Inc. Class A		7,171		414
Discovery Communications, Inc. Class C⁽²⁾		15,636		394
DISH Network Corp. Class A⁽²⁾		6,113		384
DSW, Inc. Class A		22,801		404
Expedia, Inc.		2,739		408
Fossil Group, Inc.⁽²⁾⁽³⁾		42,950		445
Gap, Inc. (The)		17,313		381
Garmin Ltd.		7,728		394
Horton (D.R.), Inc.		11,806		408
Hyatt Hotels Corp. Class A⁽²⁾		6,950		391
International Speedway Corp. Class A		11,054		415
L Brands, Inc.		7,672		413
Lands’ End, Inc.⁽²⁾⁽³⁾		26,012		388
Las Vegas Sands Corp.		6,170		394
Lennar Corp. Class A		7,526		401
Liberty Braves Group Class C⁽²⁾		16,615		398
Liberty Broadband Corp. Class C⁽²⁾		4,562		396
Liberty Expedia Holdings, Inc. Class A⁽²⁾		7,800		421
Liberty Global plc Class C⁽²⁾		14,314		446
Liberty Global plc Class C⁽²⁾		20,130		431
Liberty Interactive Corp. Class A⁽²⁾		16,404		403
Liberty Media Corp. Class C⁽²⁾		11,219		411
Liberty Sirius XM Group Class C⁽²⁾		10,024		418
Liberty TripAdvisor Holdings, Inc. Class A⁽²⁾		34,901		405
Liberty Ventures Class A⁽²⁾		7,569		396
Lions Gate Entertainment Corp. Class B⁽²⁾		16,014		421
Madison Square Garden Co. (The) Class A⁽²⁾		2,043		402
Marriott International, Inc. Class A		3,817		383
Marriott Vacations Worldwide Corp.		3,225		380


	SHARES		VALUE
Consumer Discretionary—(continued)
Mohawk Industries, Inc.⁽²⁾		1,646	$	398
MSG Networks, Inc. Class A⁽²⁾		18,248		410
News Corp. Class A		29,357		402
NIKE, Inc. Class B		7,556		446
Nordstrom, Inc.⁽³⁾		8,495		406
Papa John’s International, Inc.		5,116		367
Penn National Gaming, Inc.⁽²⁾		18,565		397
Penske Automotive Group, Inc.		9,086		399
Ralph Lauren Corp.		5,584		412
Restaurant Brands International, Inc.		6,706		419
Sears Holdings Corp.⁽²⁾⁽³⁾		58,202		516
Sears Hometown and Outlet Stores, Inc.⁽²⁾⁽³⁾		142,603		385
Starbucks Corp.		6,652		388
Tesla, Inc.⁽²⁾⁽³⁾		1,063		384
Twenty-First Century Fox, Inc. Class A		14,397		408
Under Armour, Inc. Class C⁽²⁾		19,630		396
Urban Outfitters, Inc.⁽²⁾		21,985		408
Viacom, Inc. Class B		11,423		383
Weight Watchers International, Inc.⁽²⁾⁽³⁾		13,869		463
Wendy’s Co. (The)		26,309		408
Wynn Resorts Ltd.		2,977		399

				25,127

Consumer Staples—5.3%
Boston Beer Co., Inc. (The) Class A⁽²⁾⁽³⁾		2,985		394
Brown-Forman Corp. Class B		8,009		389
Estee Lauder Cos., Inc. (The) Class A		4,097		393
HRG Group, Inc.⁽²⁾		21,045		373
Kraft Heinz Co.(The)		4,355		373
Lancaster Colony Corp.		3,093		379
Monster Beverage Corp.⁽²⁾		7,781		387
Nomad Foods Ltd.⁽²⁾		28,403		401
PriceSmart, Inc.		4,524		396
Tootsie Roll Industries, Inc.⁽³⁾		11,127		388

				3,873

Energy—5.0%
Cheniere Energy, Inc.⁽²⁾		8,574		418
Continental Resources, Inc.⁽²⁾		12,083		391
CVR Energy, Inc.⁽³⁾		19,990		435
Exterran Corp.⁽²⁾		14,789		395
Hess Corp.		9,182		403
Par Pacific Holdings, Inc.⁽²⁾		23,368		421


	SHARES		VALUE
Energy—(continued)
RPC, Inc.⁽³⁾		19,697	$	398
Transocean Ltd.⁽²⁾		46,601		383
W&T Offshore, Inc.⁽²⁾⁽³⁾		196,921		386

				3,630

Financials—14.2%
Altisource Portfolio Solutions SA⁽²⁾⁽³⁾		18,629		407
American Financial Group, Inc.		3,917		389
AmTrust Financial Services, Inc.		28,538		432
Berkley (W.R.) Corp.		5,727		396
Berkshire Hathaway, Inc. Class B⁽²⁾		2,341		397
BOK Financial Corp.		4,689		395
Brown & Brown, Inc.		9,011		388
Charles Schwab Corp. (The)		9,483		407
Cohen & Steers, Inc.		9,722		394
Erie Indemnity Co. Class A		3,250		407
First Citizens BancShares, Inc. Class A		1,079		402
Franklin Resources, Inc.		8,979		402
Gaming and Leisure Properties, Inc.		10,999		414
Greenlight Capital Re Ltd. Class A⁽²⁾		19,545		409
Hilltop Holdings, Inc.		14,998		393
Leucadia National Corp.		15,485		405
Loews Corp.		8,306		389
Mercury General Corp.		7,137		385
Morningstar, Inc.		5,111		400
National General Holdings Corp.		18,327		387
Ocwen Financial Corp.⁽²⁾⁽³⁾		142,080		382
PJT Partners, Inc. Class A		10,137		408
Raymond James Financial, Inc.		5,079		408
Third Point Reinsurance Ltd.⁽²⁾		29,597		411
Virtu Financial, Inc.		22,895		404
WisdomTree Investments, Inc.⁽³⁾		40,837		415

				10,426

Health Care—5.0%
Akorn, Inc.⁽²⁾		11,935		400
AquaBounty Technologies, Inc.⁽²⁾⁽³⁾		48,184		386
Bruker Corp.		14,377		415
Cerner Corp.⁽²⁾		6,059		403
Danaher Corp.		4,734		399
Halozyme Therapeutics, Inc.⁽²⁾		30,629		393
Insys Therapeutics, Inc.⁽²⁾		35,236		446
Intrexon Corp.⁽²⁾		17,507		422


	SHARES		VALUE
Health Care—(continued)
OPKO Health, Inc.⁽²⁾⁽³⁾		61,934	$	407

				3,671

Industrials—11.8%
Air Lease Corp.		10,382		388
American Railcar Industries, Inc.⁽³⁾		11,090		425
Cintas Corp.		3,127		394
Colfax Corp.⁽²⁾		10,111		398
Covanta Holding Corp.		27,618		365
FedEx Corp.		1,899		413
Fortive Corp.		6,336		401
Heartland Express, Inc.		19,187		399
Herc Holdings, Inc.⁽²⁾		10,646		419
Hertz Global Holdings, Inc.⁽²⁾⁽³⁾		41,804		481
Manitowoc Co., Inc. (The)⁽²⁾		67,932		408
MasTec, Inc.⁽²⁾		8,974		405
MSC Industrial Direct Co., Inc. Class A		4,779		411
Navistar International Corp.⁽²⁾		14,724		386
Rollins, Inc.		9,233		376
Seaspan Corp.		71,055		507
Timken Co. (The)		8,717		403
W.W. Grainger, Inc.		2,257		407
Welbilt, Inc.⁽²⁾		20,888		394
Werner Enterprises, Inc.		13,542		397
XPO Logistics, Inc.⁽²⁾		6,537		423

				8,600

Information Technology—11.5%
Alphabet, Inc. Class C⁽²⁾		423		384
Amkor Technology, Inc.⁽²⁾		38,356		375
Anixter International, Inc.⁽²⁾		5,101		399
CommerceHub, Inc. Class C⁽²⁾		23,590		411
Conduent, Inc.⁽²⁾		25,532		407
eBay, Inc.⁽²⁾		11,711		409
EchoStar Corp. Class A⁽²⁾		6,494		394
Facebook, Inc. Class A⁽²⁾		2,668		403
IAC/InterActiveCorp⁽²⁾		3,958		409
Intuit, Inc.		2,852		379
National Instruments Corp.		10,263		413
Oracle Corp.		8,940		448
Paychex, Inc.		6,586		375
PayPal Holdings, Inc.⁽²⁾		7,646		410
Pegasystems, Inc.		6,734		393
RealPage, Inc.⁽²⁾		11,284		406


	SHARES		VALUE
Information Technology—(continued)
salesforce.com, Inc.⁽²⁾		4,633	$	401
SS&C Technologies Holdings, Inc.		10,333		397
Syntel, Inc.		24,143		409
TeleTech Holdings, Inc.		9,433		385
Xerox Corp.		14,357		413

				8,420

Materials—5.8%
Freeport-McMoRan, Inc.⁽²⁾		34,756		417
Huntsman Corp.		16,788		434
LyondellBasell Industries N.V. Class A		4,981		420
NewMarket Corp.		858		395
Novagold Resources, Inc.⁽²⁾		98,192		448
Platform Specialty Products Corp.⁽²⁾		32,994		418
Scotts Miracle-Gro Co. (The)		4,521		405
Silgan Holdings, Inc.		12,629		401
TimkenSteel Corp.⁽²⁾		29,852		459
Westlake Chemical Corp.		6,386		423

				4,220

Real Estate—7.0%
American Homes 4 Rent Class A		17,790		402
Boston Properties, Inc.		3,138		386
Colony Northstar, Inc. Class A		28,168		397
Equity LifeStyle Properties, Inc.		4,655		402
Equity Residential		5,900		388
Host Hotels & Resorts, Inc.		21,477		392
Howard Hughes Corp. (The)⁽²⁾		3,207		394
Marcus & Millichap, Inc.⁽²⁾		15,596		411
Seritage Growth Properties Class A		9,416		395
Simon Property Group, Inc.		2,484		402
Taubman Centers, Inc.		6,714		400
Urban Edge Properties		15,983		379
Vornado Realty Trust		4,230		397

				5,145

TOTAL COMMON STOCKS (Identified Cost $58,389)				73,112

TOTAL LONG TERM INVESTMENTS—99.9% (Identified Cost $58,389)				73,112


	SHARES		VALUE
SECURITIES LENDING COLLATERAL—9.0%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) - Institutional Shares (seven-day effective yield 1.160%)⁽⁴⁾⁽⁵⁾		6,605,336	$	6,605

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $6,605)				6,605

TOTAL INVESTMENTS—108.9% (Identified Cost $64,994)				79,717	⁽¹⁾
Other assets and liabilities, net—(8.9)%				(6,495	)

NET ASSETS—100.0%			$	73,222

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	All or a portion of security is on loan.

⁽⁴⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁵⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.


	SHARES		VALUE
COMMON STOCKS—87.9%
Consumer Discretionary—10.1%
Ace Hardware Indonesia Tbk PT (Indonesia)		3,093,000	$	246
Fila Korea Ltd. (South Korea)		2,350		175
Goldlion Holdings Ltd. (Hong Kong)		500,284		223
Pico Far East Holdings Ltd. (Hong Kong)		422,780		177
Whirlpool SA (Brazil) ⁽²⁾		54,761		54

				875

Consumer Staples—22.4%
AVI Ltd. (South Africa)		27,110		197
Compania Cervecerias Unidas SA Sponsored ADR (Chile)		8,080		212
Distell Group Ltd. (South Africa)		20,100		210
Embotelladora Andina ADR S.A. Class-B (Chile)		3,500		89
Heineken Malaysia Bhd (Malaysia)		44,000		190
Oldtown Bhd (Malaysia)		240,750		162
Pinar SUT Mamulleri Sanayii AS (Turkey)		22,800		95
Premier Marketing PCL (Thailand)		739,000		257
Taisun International Holding Corp. (Taiwan)⁽²⁾		38,000		172
Union de Cervecerias Peruanas Backus y Johnston SAA Class I (Peru)		35,000		178
Wawel SA (Poland)		573		182

				1,944

Energy—1.3%
Qualitech PCL Class F (Thailand)		418,279		111

Financials—10.4%
BFI Finance Indonesia Tbk PT (Indonesia)		7,790,000		304
CARE Ratings Ltd. (India)		9,700		241
Korea Ratings Corp. (South Korea)		4,900		209
Tisco Financial Group PCL (Thailand)		66,700		149

				903

Industrials—20.8%
Blue Dart Express Ltd. (India)		2,300		168
DKSH Holding AG (Switzerland)		830		67
Freight Management Holdings Bhd (Malaysia)		218,729		67
Hy-Lok Corp. (South Korea)		10,600		233
Lumax International Corp., Ltd. (Taiwan)		125,088		242
S-1 Corp. (South Korea)		1,950		165
Sarine Technologies Ltd. (Israel)		176,000		197
Sinmag Equipment Corp. (Taiwan)		44,520		260
Taiwan Secom Co., Ltd. (Taiwan)		81,874		247


	SHARES		VALUE
Industrials—(continued)
Turk Traktor ve Ziraat Makineleri AS (Turkey)		6,900	$	155

				1,801

Information Technology—10.1%
Autohome, Inc. ADR (China)⁽²⁾		7,140		324
Cartrack Holdings Ltd. (South Africa)		76,200		79
e-Credible Co., Ltd. (South Korea)		14,700		171
Yandex N.V. Class A (Russia)⁽²⁾		11,360		298

				872

Materials—12.8%
Corp. Moctezuma SAB de C.V. (Mexico)		78,300		301
Enaex SA (Chile)		12,300		136
Sniezka SA (Poland)		6,300		116
Tikkurila Oyj (Finland)		5,500		119
Transpaco Ltd. (South Africa)		86,890		176
Yung Chi Paint & Varnish Manufacturing Co., Ltd. (Taiwan)		96,000		262

				1,110

TOTAL COMMON STOCKS (Identified Cost $6,459)				7,616

TOTAL LONG TERM INVESTMENTS—87.9% (Identified Cost $6,459)				7,616

SHORT-TERM INVESTMENT—9.8%
Money Market Mutual Fund—9.8%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.860%)⁽³⁾		846,432		846

TOTAL SHORT-TERM INVESTMENT (Identified Cost $846)				846

TOTAL INVESTMENTS—97.7% (Identified Cost $7,305)				8,462	⁽¹⁾
Other assets and liabilities, net—2.3%				202

NET ASSETS—100.0%			$	8,664

Abbreviation:


ADR		American Depositary Receipt


Country Weightings †
Taiwan	14	%
South Korea	11
United States	10
South Africa	8
Indonesia	7
Thailand	6
Chile	5
Other	39

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $54 were transferred from Level 1 to Level 2, and securities held by the Fund with an end of period value of $2,775 were transferred from Level 2 to Level 1 based on our valuation procedures for non-U.S.Securities.


	SHARES		VALUE
COMMON STOCKS—91.4%
Consumer Discretionary—7.5%
Goldlion Holdings Ltd. (Hong Kong)		11,634,316	$	5,186
Pico Far East Holdings Ltd. (Hong Kong)		11,041,668		4,624
REA Group Ltd. (Australia)		94,310		4,813

				14,623

Consumer Staples—5.4%
Heineken Malaysia Bhd (Malaysia)		663,500		2,859
Premier Marketing PCL (Thailand)		9,157,029		3,181
Taisun International Holding Corp. (Taiwan)⁽²⁾		434,000		1,962
Wawel SA (Poland)		8,092		2,577

				10,579

Energy—2.8%
Pason Systems, Inc. (Canada)		197,600		2,947
Qualitech PCL (Thailand)		3,073,163		814
Schoeller-Bleckmann Oilfield Equipment AG (Austria)⁽²⁾		26,048		1,705

				5,466

Financials—10.1%
Euler Hermes Group SA (France)		66,760		7,930
Euroz Ltd. (Australia)		2,242,413		1,861
Hiscox Ltd. (United Kingdom)		179,480		2,962
Korea Ratings Corp. (South Korea)		67,093		2,862
Topdanmark A/S (Denmark)⁽²⁾		129,000		4,119

				19,734

Health Care—6.2%
DVx, Inc. (Japan)		70,500		846
Haw Par Corp., Ltd. (Singapore)		280,219		2,279
Software Service, Inc. (Japan)		41,253		1,790
WIN-Partners Co., Ltd. (Japan)		631,365		7,264

				12,179

Industrials—20.2%
AIT Corp. (Japan)		306,300		2,832
Amadeus Fire AG (Germany)		16,595		1,458
Asiakastieto Group Oyj (Finland)		262,817		6,529
Howden Joinery Group plc (United Kingdom)		1,282,550		6,801
Hy-Lok Corp. (South Korea)		98,488		2,165
Interworks, Inc. (Japan)		371,600		3,872
Lumax International Corp., Ltd. (Taiwan)		2,060,288		3,982
Rotork plc (United Kingdom)		831,804		2,550


	SHARES		VALUE
Industrials—(continued)
Sarine Technologies Ltd. (Israel)		3,419,000	$	3,825
SJR in Scandinavia AB (Sweden)		568,300		2,698
WABCO Holdings, Inc. (United States)⁽²⁾		23,300		2,971

				39,683

Information Technology—32.5%
Alten SA (France)		70,044		5,783
Altran Technologies SA (France)		171,000		2,787
Auto Trader Group plc (United Kingdom)		1,892,040		9,364
Autohome, Inc. ADR (China)⁽²⁾		154,500		7,008
Bouvet ASA (Norway)		209,645		3,980
carsales.com Ltd. (Australia)		540,975		4,790
Computer Modelling Group Ltd. (Canada)		348,900		2,739
e-Credible Co., Ltd. (South Korea)		296,500		3,447
Firstlogic, Inc. (Japan)		210,000		4,800
Rightmove plc (United Kingdom)		176,660		9,779
Scout24 AG (Germany)		251,725		9,271

				63,748

Materials—6.7%
Corp. Moctezuma SAB de C.V. (Mexico)		768,830		2,957
Rimoni Industries Ltd. (Israel)		89,509		1,369
Sniezka SA (Poland)		38,526		708
Tikkurila Oyj (Finland)		188,750		4,081
Transpaco Ltd. (South Africa)		1,247,008		2,526
Victrex plc (United Kingdom)		58,100		1,420

				13,061

TOTAL COMMON STOCKS (Identified Cost $160,401)				179,073

TOTAL LONG TERM INVESTMENTS—91.4% (Identified Cost $160,401)				179,073

SHORT-TERM INVESTMENT—7.2%
Money Market Mutual Fund—7.2%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.860%)⁽³⁾		14,079,999		14,080

TOTAL SHORT-TERM INVESTMENT (Identified Cost $14,080)				14,080


	VALUE
TOTAL INVESTMENTS—98.6% (Identified Cost $174,481)		193,153	⁽¹⁾

Other assets and liabilities, net—1.4%		2,717

NET ASSETS—100.0%	$	195,870

Abbreviation:

ADR	American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.


Country Weightings †
United Kingdom	17	%
Japan	11
United States	9
France	8
Australia	6
Germany	6
Finland	5
Other	38

Total	100	%

†	% of total investments as of June 30, 2017

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

Securities held by the Fund with an end of period value of $56,997 were transferred from Level 2 into Level 1.


	SHARES		VALUE
COMMON STOCKS—35.7%
Consumer Discretionary—9.8%
Amazon.com, Inc.⁽²⁾		368	$	356
Best Buy Co., Inc.		9,401		539
BorgWarner, Inc.		3,367		143
Carnival Corp.		2,503		164
CBS Corp. Class B		4,565		291
Charter Communications, Inc. Class A⁽²⁾		415		140
Chipotle Mexican Grill, Inc.⁽²⁾		59		25
Comcast Corp. Class A		9,133		355
Darden Restaurants, Inc.		254		23
Delphi Automotive plc		4,540		398
Discovery Communications, Inc. Class A⁽²⁾		1,873		48
Discovery Communications, Inc. Class C⁽²⁾		2,648		67
DISH Network Corp. Class A⁽²⁾		438		27
Expedia, Inc.		112		17
Garmin Ltd.		10,475		534
Goodyear Tire & Rubber Co. (The)		15,322		536
H&R Block, Inc.		17,359		537
Harley-Davidson, Inc.		9,755		527
Home Depot, Inc. (The)		2,566		394
Interpublic Group of Cos., Inc. (The)		7,113		175
Leggett & Platt, Inc.		3,183		167
Lowe’s Cos., Inc.		1,824		141
Marriott International, Inc. Class A		1,884		189
McDonald’s Corp.		1,675		256
Mohawk Industries, Inc.⁽²⁾		1,501		363
Netflix, Inc.⁽²⁾		400		60
Newell Brands, Inc.		10,000		536
Omnicom Group, Inc.		4,248		352
Priceline Group, Inc. (The)⁽²⁾		46		86
Royal Caribbean Cruises Ltd.		1,004		110
Scripps Networks Interactive, Inc. Class A		1,172		80
Starbucks Corp.		2,981		174
TEGNA, Inc.		2,635		38
TripAdvisor, Inc.⁽²⁾		105		4
Whirlpool Corp.		2,830		542
Wyndham Worldwide Corp.		629		63
Wynn Resorts Ltd.		3,926		527
Yum! Brands, Inc.		688		51

				9,035


	SHARES		VALUE
Consumer Staples—2.3%
Altria Group, Inc.		2,683	$	200
Brown-Forman Corp. Class B		2,335		113
Campbell Soup Co.		370		19
Conagra Brands, Inc.		790		28
Constellation Brands, Inc. Class A		2,280		442
General Mills, Inc.		1,109		61
Hershey Co. (The)		267		29
Hormel Foods Corp.		515		18
J.M. Smucker Co. (The)		223		26
Kellogg Co.		483		34
Kraft Heinz Co.(The)		1,140		98
McCormick & Co., Inc.		217		21
Mondelez International, Inc. Class A		2,918		126
Philip Morris International, Inc.		2,146		252
Reynolds American, Inc.		1,144		74
Sysco Corp.		10,701		539
Tyson Foods, Inc. Class A		548		34

				2,114

Energy—0.6%
Marathon Petroleum Corp.		2,674		140
Phillips 66		2,235		185
Tesoro Corp.		593		55
Valero Energy Corp.		2,285		154

				534

Financials—3.5%
Aflac, Inc.		1,138		88
Allstate Corp. (The)		1,057		93
Aon plc		1,339		178
Bank of America Corp.		5,008		122
BB&T Corp.		1,633		74
Charles Schwab Corp. (The)		2,959		127
Chubb Ltd.		1,348		196
Cincinnati Financial Corp.		434		31
Citigroup, Inc.		1,384		93
Citizens Financial Group, Inc.		1,029		37
Comerica, Inc.		355		26
E*Trade Financial Corp.⁽²⁾		669		25
Fifth Third Bancorp		1,516		39
Gallagher (Arthur J.) & Co.		911		52
Goldman Sachs Group, Inc. (The)		902		200
Huntington Bancshares, Inc.		2,194		30


	SHARES		VALUE
Financials—(continued)
JPMorgan Chase & Co.		1,784	$	163
KeyCorp		2,167		41
Lincoln National Corp.		639		43
M&T Bank Corp.		312		51
Marsh & McLennan Cos., Inc.		2,626		205
MetLife, Inc.		3,083		169
Morgan Stanley		3,500		156
People’s United Financial, Inc.		694		12
PNC Financial Services Group, Inc. (The)		982		123
Principal Financial Group, Inc.		758		49
Progressive Corp. (The)		1,681		74
Prudential Financial, Inc.		1,219		132
Raymond James Financial, Inc.		311		25
Regions Financial Corp.		2,435		36
SunTrust Banks, Inc.		993		56
Torchmark Corp.		311		24
Travelers Cos., Inc. (The)		810		102
U.S. Bancorp		796		41
Unum Group		650		30
Wells Fargo & Co.		2,250		125
Willis Towers Watson plc		650		95
XL Group Ltd.		767		34
Zions Bancorporation		409		18

				3,215

Health Care—1.7%
Abbott Laboratories		1,652		80
Aetna, Inc.		476		72
Agilent Technologies, Inc.		1,131		67
Anthem, Inc.		380		71
Bard (C.R.), Inc.		69		22
Baxter International, Inc.		465		28
Becton, Dickinson & Co.		216		42
Boston Scientific Corp.⁽²⁾		1,304		36
Centene Corp.⁽²⁾		247		20
Cigna Corp.		369		62
Danaher Corp.		583		49
Edwards Lifesciences Corp.⁽²⁾		203		24
Hologic, Inc.⁽²⁾		267		12
Humana, Inc.		214		52
IDEXX Laboratories, Inc.⁽²⁾		84		14
Illumina, Inc.⁽²⁾		514		89
Intuitive Surgical, Inc.⁽²⁾		35		33


	SHARES		VALUE
Health Care—(continued)
Medtronic plc		1,309	$	116
Mettler-Toledo International, Inc.⁽²⁾		91		54
PerkinElmer, Inc.		386		26
Stryker Corp.		296		41
Thermo Fisher Scientific, Inc.		1,372		239
UnitedHealth Group, Inc.		1,381		256
Varian Medical Systems, Inc.⁽²⁾		89		9
Waters Corp.⁽²⁾		281		52
Zimmer Biomet Holdings, Inc.		192		25

				1,591

Industrials—5.2%
3M Co.		653		136
Alaska Air Group, Inc.		487		44
Allegion plc		723		59
American Airlines Group, Inc.		1,990		100
Arconic, Inc.		479		11
Boeing Co. (The)		619		122
Cintas Corp.		4,210		531
CSX Corp.		2,670		146
Deere & Co.		4,322		534
Delta Air Lines, Inc.		2,885		155
Dover Corp.		464		37
Flowserve Corp.		389		18
Fortive Corp.		898		57
Fortune Brands Home & Security, Inc.		1,159		76
General Dynamics Corp.		309		61
General Electric Co.		9,552		258
Honeywell International, Inc.		833		111
Illinois Tool Works, Inc.		931		133
Ingersoll-Rand plc		774		71
Johnson Controls International plc		7,105		308
Kansas City Southern		307		32
L3 Technologies, Inc.		85		14
Lockheed Martin Corp.		271		75
Masco Corp.		2,425		93
Norfolk Southern Corp.		837		102
Northrop Grumman Corp.		190		49
Parker Hannifin Corp.		398		64
Pentair plc		499		33
Raytheon Co.		318		51
Republic Services, Inc.		2,405		153
Rockwell Collins, Inc.		176		19


	SHARES		VALUE
Industrials—(continued)
Roper Technologies, Inc.		112	$	26
Snap-on, Inc.		173		27
Southwest Airlines Co.		2,429		151
Stanley Black & Decker, Inc.		455		64
Stericycle, Inc.⁽²⁾		887		68
Textron, Inc.		293		14
TransDigm Group, Inc.		54		15
Union Pacific Corp.		2,345		255
United Continental Holdings, Inc.⁽²⁾		1,130		85
United Technologies Corp.		814		99
Waste Management, Inc.		4,219		309
Xylem, Inc.		536		30

				4,796

Information Technology—6.2%
Activision Blizzard, Inc.		4,974		286
Adobe Systems, Inc.⁽²⁾		1,283		181
Advanced Micro Devices, Inc.⁽²⁾		642		8
Akamai Technologies, Inc.⁽²⁾		90		4
Alliance Data Systems Corp.		57		15
Alphabet, Inc. Class A⁽²⁾		155		144
Alphabet, Inc. Class C⁽²⁾		154		140
Altaba, Inc.⁽²⁾		457		25
Amphenol Corp. Class A		3,193		236
Analog Devices, Inc.		303		24
Apple, Inc.		3,182		458
Applied Materials, Inc.		6,766		279
Autodesk, Inc.⁽²⁾		507		51
Automatic Data Processing, Inc.		457		47
Broadcom Ltd.		334		78
CA, Inc.		227		8
Citrix Systems, Inc.⁽²⁾		405		32
Corning, Inc.		9,633		289
eBay, Inc.⁽²⁾		526		18
Electronic Arts, Inc.⁽²⁾		2,217		234
Facebook, Inc. Class A⁽²⁾		1,226		185
Fidelity National Information Services, Inc.		335		29
Fiserv, Inc.⁽²⁾		218		27
FLIR Systems, Inc.		15,261		529
Global Payments, Inc.		155		14
Hewlett Packard Enterprise Co.		1,010		17
HP, Inc.		1,027		18


	SHARES		VALUE
Information Technology—(continued)
Intel Corp.		3,934	$	133
Intuit, Inc.		629		84
KLA-Tencor Corp.		982		90
Lam Research Corp.		1,020		144
Mastercard, Inc. Class A		959		116
Microchip Technology, Inc.		180		14
Micron Technology, Inc.⁽²⁾		862		26
Microsoft Corp.		5,589		385
NetApp, Inc.		164		7
NVIDIA Corp.		490		71
Oracle Corp.		2,168		109
Paychex, Inc.		325		19
PayPal Holdings, Inc.⁽²⁾		1,143		61
Qorvo, Inc.⁽²⁾		105		7
QUALCOMM, Inc.		1,229		68
Red Hat, Inc.⁽²⁾		129		12
salesforce.com, Inc.⁽²⁾		1,695		147
Seagate Technology plc		179		7
Skyworks Solutions, Inc.		154		15
Symantec Corp.		448		13
Synopsys, Inc.⁽²⁾		390		28
TE Connectivity Ltd.		6,763		532
Texas Instruments, Inc.		832		64
Total System Services, Inc.		168		10
VeriSign, Inc.⁽²⁾		46		4
Visa, Inc. Class A		1,891		177
Western Digital Corp.		175		16
Western Union Co. (The)		489		9
Xerox Corp.		129		4
Xilinx, Inc.		207		13

				5,761

Materials—2.9%
Albemarle Corp.		520		55
Avery Dennison Corp.		885		78
Dow Chemical Co. (The)		3,888		245
Du Pont (E.I.) de Nemours & Co.		3,011		243
Eastman Chemical Co.		510		43
Ecolab, Inc.		1,213		161
International Flavors & Fragrances, Inc.		365		49
International Paper Co.		4,068		230
Martin Marietta Materials, Inc.		1,066		237
Nucor Corp.		9,175		531


	SHARES		VALUE
Materials—(continued)
PPG Industries, Inc.		1,188	$	131
Sealed Air Corp.		1,914		86
Sherwin-Williams Co. (The)		375		132
Vulcan Materials Co.		2,238		284
WestRock Co.		2,477		140

				2,645

Real Estate—2.3%
American Tower Corp.		1,035		137
CBRE Group, Inc. Class A⁽²⁾		14,373		523
Crown Castle International Corp.		874		87
Digital Realty Trust, Inc.		386		44
Equinix, Inc.		188		81
Extra Space Storage, Inc.		305		24
Host Hotels & Resorts, Inc.		28,693		524
Iron Mountain, Inc.		594		20
Prologis, Inc.		9,016		529
Public Storage		362		75
Weyerhaeuser Co.		1,815		61

				2,105

Telecommunication Services—0.6%
Level 3 Communications, Inc.⁽²⁾		8,782		521

				521

Utilities—0.6%
Ameren Corp.		592		32
CenterPoint Energy, Inc.		1,051		29
CMS Energy Corp.		683		32
Consolidated Edison, Inc.		744		60
Dominion Energy, Inc.		1,533		118
DTE Energy Co.		438		46
NiSource, Inc.		789		20
Public Service Enterprise Group, Inc.		1,235		53
SCANA Corp.		349		23
Sempra Energy		611		69
WEC Energy Group, Inc.		770		47

				529

TOTAL COMMON STOCKS (Identified Cost $27,764)				32,846

EXCHANGE-TRADED FUNDS⁽³⁾—63.5%
iShares 20+ Year Treasury Bond Index Fund		87,209		10,912
iShares Dow Jones U.S. Real Estate Index Fund		37,988		3,030


	SHARES		VALUE
iShares iBoxx $ High Yield Corporate Bond Index Fund		62,384	$	5,514
iShares iBoxx $ Investment Grade Corporate Bond Index Fund		45,584		5,493
iShares JPMorgan Emerging Markets Bond Index Fund		47,937		5,482
iShares MSCI Australia Index Fund		126,717		2,747
iShares MSCI Hong Kong Index Fund		117,036		2,742
iShares MSCI India Index Fund		85,739		2,752
iShares MSCI Japan Index Fund		51,053		2,739
iShares MSCI South Korea Capped Index Fund		40,454		2,743
iShares MSCI Spain Capped Index Fund		82,520		2,710
iShares MSCI Switzerland Capped Index Fund		79,326		2,722
iShares MSCI Taiwan Capped Index Fund		76,593		2,739
PowerShares DB Gold Fund⁽²⁾		76,823		3,045
PowerShares DB U.S. Dollar Index Bullish Fund⁽²⁾		123,391		3,054

TOTAL EXCHANGE-TRADED FUNDS (Identified Cost $56,138)				58,424

TOTAL LONG TERM INVESTMENTS—99.2% (Identified Cost $83,902)				91,270

TOTAL INVESTMENTS—99.2% (Identified Cost $83,902)				91,270	⁽¹⁾
Other assets and liabilities, net—0.8%				736

NET ASSETS—100.0%			$	92,006

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	PAR VALUE		VALUE
U.S. GOVERNMENT SECURITIES—7.5%
U.S. Treasury Bond 2.500%, 2/15/46	$	5,320	$	4,960
U.S. Treasury Note 1.625%, 2/15/26		500		475

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $5,600)				5,435

MUNICIPAL BONDS—3.5%
California—1.1%
State of California, Build America Bonds Taxable 7.600%, 11/1/40		520		809

Georgia—0.4%
Rockdale County Water & Sewerage Authority Revenue Taxable 3.060%, 7/1/24		255		260

New York—2.0%
New York City Transitional Finance Authority Future Tax Secured Revenue 5.000%, 5/1/40		650		750
Port Authority of New York & New Jersey, Consolidated Bonds Revenue 5.000%, 4/15/57		640		734

				1,484

TOTAL MUNICIPAL BONDS (Identified Cost $2,579)				2,553

FOREIGN GOVERNMENT SECURITIES—3.2%
Argentine Republic
7.500%, 4/22/26		155		167
6.875%, 1/26/27		190		196
7.625%, 4/22/46		150		154
Dominican Republic 144A 6.600%, 1/28/24⁽³⁾		135		148
Kingdom of Bahrain 144A 7.000%, 10/12/28⁽³⁾		200		202
Kingdom of Jordan 144A 5.750%, 1/31/27⁽³⁾		200		199
Republic of Costa Rica 144A 7.000%, 4/4/44⁽³⁾		200		208
Republic of Indonesia 144A 4.350%, 1/8/27⁽³⁾		200		209
Republic of South Africa 4.665%, 1/17/24		100		101
4.300%, 10/12/28		200		187
Republic of Turkey 4.875%, 10/9/26		400		394
Sultanate of Oman 144A 4.750%, 6/15/26⁽³⁾		200		197

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $2,332)				2,362


	PAR VALUE			VALUE
MORTGAGE-BACKED SECURITIES—19.0%
Agency—5.9%
FHLMC
5.000%, 12/1/35	$	27		$	29
4.000%, 2/1/45		373			393
3.500%, 3/1/45		303			313
3.500%, 4/1/46		353			363
FNMA
6.000%, 7/1/17		—	⁽¹³⁾		—	⁽¹³⁾
5.500%, 9/1/17		—	⁽¹³⁾		—	⁽¹³⁾
5.000%, 4/1/20		34			35
5.000%, 8/1/21		6			6
6.000%, 5/1/29		24			27
6.500%, 5/1/30		1			1
7.000%, 7/1/31		8			8
5.500%, 4/1/36		31			35
5.500%, 9/1/36		136			152
6.000%, 9/1/37		20			24
6.000%, 8/1/38		157			183
6.000%, 8/1/38		12			14
5.000%, 6/1/39		464			509
5.000%, 9/1/39		129			143
5.500%, 9/1/39		274			305
4.500%, 9/1/40		210			230
3.500%, 12/1/42		255			263
4.000%, 9/1/44		95			100
3.500%, 8/1/45		537			551
3.500%, 1/1/46		131			134
4.000%, 1/1/46		223			234
3.500%, 6/1/46		230			237
GNMA 6.500%, 9/15/28		26			29

					4,318

Non-Agency—13.1%
Agate Bay Mortgage Trust 13-1, A1 144A 3.500%, 7/25/43⁽²⁾⁽³⁾		71			71
American Homes 4 Rent Trust
14-SFR2, C 144A 4.705%, 10/17/36⁽³⁾		195			207
15-SFR2, C 144A 4.691%, 10/17/45⁽³⁾		125			133
15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		216			223


	PAR VALUE		VALUE
Non-Agency—(continued)
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 03-AR3, M4 4.144%, 6/25/33⁽²⁾	$	130	$	129
AMSR Trust 16-SFR1, C 144A 3.459%, 11/17/33⁽²⁾⁽³⁾		100		102
Aventura Mall Trust 13-AVM, C 144A 3.867%, 12/5/32⁽²⁾⁽³⁾		325		335
Banc of America Funding Trust
04-B, 2A1 3.638%, 11/20/34⁽²⁾		75		75
05-1, 1A1 5.500%, 2/25/35		81		81
Banc of America Mortgage Trust 05-3, 1A15 5.500%, 4/25/35		60		61
Bank of America (Countrywide) Asset-Backed Certificates 05-1, AF5A 5.109%, 7/25/35⁽²⁾		228		236
Bank of America (Merrill Lynch - Countrywide) Home Loan Mortgage Pass-Through-Trust 04-6, 1A2 3.608%, 5/25/34⁽²⁾		205		203
Bayview Opportunity Master Fund IVa Trust
16-SPL1, B1 144A 4.250%, 4/28/55⁽³⁾		160		166
17-SLP5, B1 144A 4.000%, 6/28/57⁽²⁾⁽³⁾		100		105
17-SPL1, B1 144A 4.250%, 10/28/64⁽²⁾⁽³⁾		114		119
Bayview Opportunity Master Fund IVb Trust
16-SPL2, B1 144A 4.250%, 6/28/53⁽²⁾⁽³⁾		100		103
17-SPL3, B1 144A 4.250%, 11/28/53⁽²⁾⁽³⁾		145		152
Colony Starwood Homes Trust 16-2A, C 144A 3.359%, 12/17/33⁽²⁾⁽³⁾		195		195
COLT Mortgage Loan Trust Funding LLC 17-1, A3 144A 3.074%, 5/27/47⁽²⁾⁽³⁾		98		98
Credit Suisse Commercial Mortgage-Backed Trust 06-08, 3A1 6.000%, 10/25/21		65		61
Credit Suisse Mortgage Loan Trust 15-1, B4 144A 3.893%, 5/25/45⁽²⁾⁽³⁾		96		90
Freddie Mac Structured Agency Credit Risk Debt Notes 16-DNA2, M2 3.416%, 10/25/28⁽²⁾		250		255
Galton Funding Mortgage Trust 17-1, A21 144A 3.500%, 7/25/56⁽²⁾⁽³⁾		136		138
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		59		60
GSR Mortgage Loan Trust 06-1F, 2A4 6.000%, 2/25/36		145		127
Jefferies Resecuritization Trust 14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾		29		29


	PAR VALUE		VALUE
Non-Agency—(continued)
JPMorgan Chase (WaMu) Mortgage Pass-Through Certificates 03-S11, 3A5 5.950%, 11/25/33	$	153	$	160
JPMorgan Chase Commercial Mortgage Securities Trust 14-C22, A4 3.801%, 9/15/47		195		204
JPMorgan Chase Mortgage Trust
04-A4, 2A1 3.240%, 9/25/34⁽²⁾		159		161
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		89		92
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		126		128
15-4, 1A4 144A 3.500%, 6/25/45⁽²⁾⁽³⁾		103		105
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾		167		169
16-1, A3 144A 3.500%, 5/25/46⁽²⁾⁽³⁾		468		474
16-5, A1 144A 2.605%, 12/25/46⁽²⁾⁽³⁾		160		159
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		106		109
Morgan Stanley - Bank of America (Merrill Lynch) Trust
13-C13, AS 4.266%, 11/15/46		360		383
15-C22, AS 3.561%, 4/15/48		310		313
Morgan Stanley Capital Barclays Bank Trust 16-MART, A 144A 2.200%, 9/13/31⁽³⁾		140		138
Morgan Stanley Capital I Trust 08-T29, A4 6.503%, 1/11/43⁽²⁾		455		462
Motel 6 Trust 15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		210		210
New Residential Mortgage Loan Trust
14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		138		142
15-2A, A1 144A 3.750%, 8/25/55⁽²⁾⁽³⁾		165		170
16-1A, A1 144A 3.750%, 3/25/56⁽²⁾⁽³⁾		140		144
16-4A, B1A 144A 4.500%, 11/25/56⁽²⁾⁽³⁾		176		183
NovaStar Mortgage Funding Trust Series 04-4, M5 2.941%, 3/25/35⁽²⁾		185		184
One Market Plaza Trust 17-1MKT, A 144A 3.614%, 2/10/32⁽³⁾		150		156
Residential Asset Securitization Trust 05-A1, A3 5.500%, 4/25/35		127		128
Sequoia Mortgage Trust
13-8, B1 3.533%, 6/25/43⁽²⁾		109		110
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		84		85
Towd Point Mortgage Trust
15-1, A2 144A 3.250%, 10/25/53⁽²⁾⁽³⁾		150		150
16-1, A1B 144A 2.750%, 2/25/55⁽²⁾⁽³⁾		155		156
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		220		225


	PAR VALUE		VALUE
Non-Agency—(continued)
15-2, 1M1 144A 3.250%, 11/25/60⁽²⁾⁽³⁾	$	445	$	445
Vericrest Opportunity Loan Trust LI LLC 16-NP11, A1 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		81		81
Vericrest Opportunity Loan Trust XXII LLC 15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		67		67
Wells Fargo Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50		300		302

				9,549

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $13,637)				13,867

ASSET-BACKED SECURITIES—5.4%
American Credit Acceptance Receivables Trust 17-2, C 144A 2.860%, 6/12/23⁽³⁾		185		185
AmeriCredit Automobile Receivables Trust 14-1, D 2.540%, 6/8/20		235		237
Avis Budget Rental Car Funding LLC
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		375		376
(AESOP) 16-1A, A 144A 2.990%, 6/20/22⁽³⁾		200		201
CarMax Auto Owner Trust 15-2, C 2.390%, 3/15/21		235		236
Centre Point Funding LLC 12-2A,1 144A 2.610%, 8/20/21⁽³⁾		179		176
Drive Auto Receivables Trust 15-DA, C 144A 3.380%, 11/15/21⁽³⁾		260		262
Drug Royalty II LP 2 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		120		119
DT Auto Owner Trust 16-4A, C 144A 2.740%, 10/17/22⁽³⁾		235		236
Exeter Automobile Receivables Trust 13-1A, C 144A 3.520%, 2/15/19⁽³⁾		70		70
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		139		139
GLS Auto Receivables Trust 17-1A, B 144A 2.980%, 12/15/21⁽³⁾		220		220
Mariner Finance Issuance Trust 17-AA, A 144A 3.620%, 2/20/29⁽³⁾		185		186
Navistar Financial Dealer Note Master Owner Trust II 16-1, B 144A 2.966%, 9/27/21⁽²⁾⁽³⁾		310		311
Orange Lake Timeshare Trust 12-AA, A 144A 3.450%, 3/10/27⁽³⁾		29		29


	PAR VALUE		VALUE
ASSET-BACKED SECURITIES—Continued
Santander Drive Auto Receivables Trust 13-1, D 2.270%, 1/15/19	$	192	$	192
Sierra Timeshare Receivables Funding LLC 12-3A, A 144A 1.870%, 8/20/29⁽³⁾		62		62
SoFi Professional Loan Program LLC 15-A, A2 144A 2.420%, 3/25/30⁽³⁾		71		71
TGIF Funding LLC 17-1A, A2 144A 6.202%, 4/30/47⁽³⁾		185		187
Trip Rail Master Funding LLC 14-1A, A1 144A 2.863%, 4/15/44⁽³⁾		224		220
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		206		206

TOTAL ASSET-BACKED SECURITIES (Identified Cost $3,919)				3,921

CORPORATE BONDS AND NOTES—48.5%
Consumer Discretionary—4.6%
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽⁴⁾		98		127
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		75		81
CalAtlantic Group, Inc. 5.250%, 6/1/26		150		156
Century Communities, Inc. 144A 5.875%, 7/15/25⁽³⁾		145		144
Charter Communications Operating LLC 4.908%, 7/23/25		185		200
Clear Channel Worldwide Holdings, Inc. Series B, 7.625%, 3/15/20		50		50
Cooper-Standard Automotive, Inc. 144A 5.625%, 11/15/26⁽³⁾		155		156
Eldorado Resorts, Inc. 144A 6.000%, 4/1/25⁽³⁾		20		21
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24⁽³⁾		60		62
Hilton Worldwide Finance LLC 144A 4.875%, 4/1/27⁽³⁾		40		42
Horton (D.R.), Inc. 4.750%, 2/15/23		220		237
MDC Holdings, Inc. 5.500%, 1/15/24		180		190
Priceline Group, Inc. (The) 3.650%, 3/15/25		195		200
QVC, Inc. 4.375%, 3/15/23		265		268
Scientific Games International, Inc. 6.625%, 5/15/21		95		94
SFR Group S.A. 144A 7.375%, 5/1/26⁽³⁾		200		217
Signet UK Finance plc 4.700%, 6/15/24		210		204


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Sirius XM Radio, Inc. 144A 5.000%, 8/1/27⁽³⁾	$	145	$	146
TI Group Automotive Systems LLC 144A 8.750%, 7/15/23⁽³⁾		80		85
TRI Pointe Group, Inc. 5.875%, 6/15/24		175		185
Vista Outdoor, Inc. 5.875%, 10/1/23		150		154
Wyndham Worldwide Corp.
5.100%, 10/1/25		245		265
4.500%, 4/1/27		50		52

				3,336

Consumer Staples—1.4%
Anheuser-Busch InBev Finance, Inc. 3.650%, 2/1/26		185		191
CVS Health Corp. 2.875%, 6/1/26		255		247
Flowers Foods, Inc. 4.375%, 4/1/22		275		295
Safeway, Inc. 7.250%, 2/1/31		115		108
Smithfield Foods, Inc. 144A 4.250%, 2/1/27⁽³⁾		49		50
Tops Holding LLC 144A 8.000%, 6/15/22⁽³⁾		155		127

				1,018

Energy—3.6%
Alta Mesa Holdings LP 144A 7.875%, 12/15/24⁽³⁾		75		76
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		45		45
Cheniere Corpus Christi Holdings LLC 5.875%, 3/31/25		110		117
Crestwood Midstream Partners LP 144A 5.750%, 4/1/25⁽³⁾		125		125
Enbridge Energy Partners LP 4.375%, 10/15/20		30		32
Energy Transfer Partners LP 4.200%, 4/15/27		185		184
EP Energy LLC 144A 8.000%, 11/29/24⁽³⁾		75		75
FTS International, Inc. 6.250%, 5/1/22		60		49
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		115		121
HollyFrontier Corp. 5.875%, 4/1/26		190		201
Kinder Morgan Energy Partners LP 7.500%, 11/15/40		245		306
MPLX LP 4.875%, 12/1/24		255		272
NGL Energy Partners LP 5.125%, 7/15/19		155		154
Noble Holding International Ltd. 7.750%, 1/15/24		90		71
NuStar Logistics LP 5.625%, 4/28/27		60		63
Oasis Petroleum, Inc. 6.875%, 1/15/23		70		68
Petrobras Global Finance BV


	PAR VALUE		VALUE
Energy—(continued)
8.750%, 5/23/26	$	130	$	149
7.375%, 1/17/27		105		111
Petroleos Mexicanos 6.875%, 8/4/26		170		188
Sabine Pass Liquefaction LLC
6.250%, 3/15/22		140		158
144A 4.200%, 3/15/28⁽³⁾		35		35

				2,600

Financials—17.2%
AerCap Ireland Capital Ltd. 3.950%, 2/1/22		200		208
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁶⁾		180		197
Ally Financial, Inc. 5.750%, 11/20/25		120		126
Apollo Management Holdings LP 144A 4.000%, 5/30/24⁽³⁾		190		193
Ares Capital Corp.
4.875%, 11/30/18		26		27
3.875%, 1/15/20		71		72
Ares Finance Co., LLC 144A 4.000%, 10/8/24⁽³⁾		270		259
Banco de Credito del Peru 144A 6.125%, 4/24/27⁽²⁾⁽³⁾		175		193
Banco de Credito e Inversiones 144A 4.000%, 2/11/23⁽³⁾		275		286
Banco Inbursa S.A. Institucion de Banca Multiple 144A 4.125%, 6/6/24⁽³⁾		160		163
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29⁽²⁾⁽³⁾		185		205
Banco Nacional de Comercio Exterior SNC 144A 4.375%, 10/14/25⁽³⁾		200		207
Banco Santander Chile 144A 3.875%, 9/20/22⁽³⁾		215		223
Bancolombia S.A. 5.125%, 9/11/22		260		272
Bank of America Corp.
2.000%, 1/11/18		150		150
5.625%, 7/1/20		235		257
4.200%, 8/26/24		338		351
Brookfield Finance LLC 4.000%, 4/1/24		232		238
Capital One Financial Corp.
4.200%, 10/29/25		180		182
3.750%, 7/28/26		200		195
Citigroup, Inc. 3.200%, 10/21/26		330		321
Compass Bank 3.875%, 4/10/25		250		249
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽³⁾		290		290


	PAR VALUE		VALUE
Financials—(continued)
Discover Financial Services 3.950%, 11/6/24	$	190	$	193
Ford Motor Credit Co., LLC 5.750%, 2/1/21		235		259
FS Investment Corp.
4.250%, 1/15/20		165		168
4.750%, 5/15/22		40		41
General Motors Financial Co., Inc. 4.200%, 3/1/21		90		94
3.450%, 4/10/22		30		30
Goldman Sachs Group, Inc. (The) 5.750%, 1/24/22		500		563
ICAHN Enterprises LP 5.875%, 2/1/22		65		67
6.250%, 2/1/22		35		36
ING Groep N.V. 6.000% ^(2)(5)(6)		200		204
iStar, Inc. 6.000%, 4/1/22		65		67
Jefferies Group LLC
5.125%, 1/20/23		85		93
4.850%, 1/15/27		100		104
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		215		228
Leucadia National Corp. 5.500%, 10/18/23		150		161
Liberty Mutual Group, Inc. 144A 4.250%, 6/15/23⁽³⁾		245		261
Lincoln National Corp. 4.200%, 3/15/22		250		266
Macquarie Group Ltd. 144A 6.250%, 1/14/21⁽³⁾		210		234
Manulife Financial Corp. 4.150%, 3/4/26		215		227
Morgan Stanley
4.100%, 5/22/23		155		162
3.125%, 7/27/26		365		355
6.375%, 7/24/42		435		579
Navient Corp.
7.250%, 9/25/23		40		43
6.750%, 6/25/25		110		113
Nordea Bank AB 144A 2.125%, 5/29/20⁽³⁾		200		200
OM Asset Management plc 4.800%, 7/27/26		200		201
Powszechna Kasa Oszczednosci Bank Polski S.A. 144A 4.630%, 9/26/22⁽³⁾⁽⁷⁾		255		272
Prudential Financial, Inc. 5.625%, 6/15/43⁽²⁾⁽⁶⁾		160		176
S&P Global, Inc. 4.000%, 6/15/25		195		204
Santander Holdings USA, Inc. 144A 3.700%, 3/28/22⁽³⁾		185		187
SBA Tower Trust 144A 2.877%, 7/15/21⁽³⁾		320		319
Societe Generale S.A. 144A 4.750%, 11/24/25⁽³⁾		200		210


	PAR VALUE		VALUE
Financials—(continued)
TC Ziraat Bankasi AS 144A 5.125%, 5/3/22⁽³⁾	$	200	$	201
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽²⁾⁽³⁾		160		162
Trinity Acquisition plc
3.500%, 9/15/21		15		15
4.400%, 3/15/26		80		84
Turkiye Vakiflar Bankasi TAO 144A 5.625%, 5/30/22⁽³⁾		200		200
UBS AG 7.625%, 8/17/22		500		587
Wells Fargo & Co. 3.069%, 1/24/23		95		96

				12,526

Health Care—3.9%
Abbott Laboratories
3.400%, 11/30/23		40		41
3.750%, 11/30/26		215		219
AbbVie, Inc.
2.850%, 5/14/23		135		135
3.600%, 5/14/25		65		66
3.200%, 5/14/26		110		109
Becton Dickinson & Co.
3.363%, 6/6/24		38		38
3.700%, 6/6/27		225		225
Cardinal Health, Inc.
3.200%, 3/15/23		130		133
3.079%, 6/15/24		10		10
3.410%, 6/15/27		75		75
Community Health Systems, Inc. 6.250%, 3/31/23		95		98
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A 7.625%, 5/15/22^(3)(14)		20		21
Envision Healthcare Corp. 144A 6.250%, 12/1/24⁽³⁾		35		37
Forest Laboratories LLC 144A 4.875%, 2/15/21⁽³⁾		75		81
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		35		37
HCA, Inc. 5.375%, 2/1/25		80		84
Hill-Rom Holdings, Inc. 144A 5.000%, 2/15/25⁽³⁾		86		88
MEDNAX, Inc. 144A 5.250%, 12/1/23⁽³⁾		90		93
Mylan NV
3.000%, 12/15/18		55		56
3.150%, 6/15/21		55		56


	PAR VALUE		VALUE
Health Care—(continued)
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾	$	120	$	115
Owens & Minor, Inc. 3.875%, 9/15/21		35		36
Shire Acquisitions Investments Ireland DAC 2.400%, 9/23/21		80		79
Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21⁽³⁾		120		130
Team Health Holdings, Inc. 144A 6.375%, 2/1/25⁽³⁾		90		87
Tenet Healthcare Corp.
4.746%, 6/15/20⁽²⁾		75		76
4.500%, 4/1/21		85		86
144A 7.500%, 1/1/22⁽³⁾		5		5
144A 4.625%, 7/15/24⁽³⁾		33		33
Teva Pharmaceutical Finance III BV 3.150%, 10/1/26		120		114
THC Escrow Corp. III 144A 4.625%, 7/15/24⁽³⁾		42		42
Valeant Pharmaceuticals International, Inc.
144A 7.500%, 7/15/21⁽³⁾		25		24
144A 6.500%, 3/15/22⁽³⁾		10		10
144A 5.500%, 3/1/23⁽³⁾		50		42
144A 7.000%, 3/15/24⁽³⁾		20		21
Zimmer Biomet Holdings, Inc. 3.550%, 4/1/25		255		258

				2,860

Industrials—2.9%
Carpenter Technology Corp. 4.450%, 3/1/23		250		254
CNH Industrial N.V. 4.500%, 8/15/23		130		138
Continental Airlines Pass-Through-Trust 00-1, A1 8.048%, 11/1/20		199		220
Doric Nimrod Air Alpha Pass-Through-Trust 13-1, A 144A 5.250%, 5/30/23⁽³⁾		156		162
GATX Corp. 3.250%, 9/15/26		35		34
Hertz Corp. (The) 144A 7.625%, 6/1/22⁽³⁾		55		55
Masco Corp.
5.950%, 3/15/22		84		95
4.450%, 4/1/25		55		59
Owens Corning 3.400%, 8/15/26		200		197
Park Aerospace Holdings Ltd.
144A 5.250%, 8/15/22⁽³⁾		55		58
144A 5.500%, 2/15/24⁽³⁾		90		94
Penske Truck Leasing Co., LP 144A 3.375%, 2/1/22⁽³⁾		75		77


	PAR VALUE		VALUE
Industrials—(continued)
Pitney Bowes, Inc. 3.875%, 5/15/22	$	176	$	176
Prime Security Services Borrower LLC 144A 9.250%, 5/15/23⁽³⁾		75		82
TransDigm, Inc.
6.000%, 7/15/22		115		118
6.500%, 5/15/25		45		46
Wheels Up Finance I LLC Series A, 7.702%, 6/1/24⁽²⁾⁽⁸⁾		229		228

				2,093

Information Technology—2.0%
Arrow Electronics, Inc. 3.875%, 1/12/28		185		184
Broadcom Corp.
144A 3.000%, 1/15/22⁽³⁾		80		81
144A 3.625%, 1/15/24⁽³⁾		145		148
Dell International LLC
144A 5.450%, 6/15/23⁽³⁾		40		43
144A 6.020%, 6/15/26⁽³⁾		40		44
144A 8.100%, 7/15/36⁽³⁾		85		107
Dun & Bradstreet Corp. (The) 4.625%, 12/1/22		105		109
First Data Corp. 144A 5.000%, 1/15/24⁽³⁾		230		237
Flex Ltd. 4.750%, 6/15/25		200		213
Hewlett Packard Enterprise Co. 4.900%, 10/15/25		120		126
Verisk Analytics, Inc. 4.000%, 6/15/25		190		196

				1,488

Materials—4.0%
Alpek SAB de C.V. 144A 5.375%, 8/8/23⁽³⁾		310		332
CRH America Finance, Inc. 144A 3.400%, 5/9/27⁽³⁾		200		200
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		95		97
Freeport-McMoRan, Inc. 3.875%, 3/15/23		80		75
Glencore Funding LLC 144A 4.000%, 3/27/27⁽³⁾		185		182
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24⁽³⁾		200		206
Inversiones CMPC S.A. 144A 4.375%, 5/15/23⁽³⁾		375		388
NewMarket Corp. 4.100%, 12/15/22		288		298
NOVA Chemicals Corp.
144A 4.875%, 6/1/24⁽³⁾		80		80
144A 5.000%, 5/1/25⁽³⁾		100		100
OCP SA 144A 5.625%, 4/25/24⁽³⁾		200		216
Rusal Capital DAC 144A 5.125%, 2/2/22⁽³⁾		200		200
Severstal OAO Via Steel Capital S.A. 144A 3.850%, 8/27/21⁽³⁾⁽⁷⁾		220		222


	PAR VALUE		VALUE
Materials—(continued)
Standard Industries, Inc. 144A 6.000%, 10/15/25⁽³⁾	$	145	$	155
Vulcan Materials Co. 3.900%, 4/1/27		185		190

				2,941

Real Estate—4.8%
Alexandria Real Estate Equities, Inc. 3.950%, 1/15/27		120		122
Brixmor Operating Partnership LP 3.875%, 8/15/22		55		56
CoreCivic, Inc. 5.000%, 10/15/22		165		172
Corporate Office Properties LP 3.600%, 5/15/23		265		263
DDR Corp. 7.875%, 9/1/20		155		177
Digital Realty Trust LP 5.250%, 3/15/21		165		179
Education Realty Operating Partnership LP 4.600%, 12/1/24		205		208
EPR Properties 4.750%, 12/15/26		245		252
Healthcare Realty Trust, Inc. 3.875%, 5/1/25		125		126
Healthcare Trust of America Holdings LP 3.750%, 7/1/27		190		188
Hospitality Properties Trust 4.950%, 2/15/27		220		230
Kilroy Realty LP 4.375%, 10/1/25		190		199
Kimco Realty Corp. 3.400%, 11/1/22		185		188
LifeStorage LP 3.500%, 7/1/26		125		120
MPT Operating Partnership LP
6.375%, 3/1/24		20		22
5.500%, 5/1/24		90		94
National Retail Properties, Inc. 4.000%, 11/15/25		60		61
Retail Opportunity Investments Partnership LP 4.000%, 12/15/24		155		150
Select Income REIT 4.500%, 2/1/25		190		190
Uniti Group, Inc. (Communications Sales & Leasing, Inc.) 144A 7.125%, 12/15/24⁽³⁾		150		149
Welltower, Inc. 4.000%, 6/1/25		200		207
WP Carey, Inc. 4.600%, 4/1/24		160		167

				3,520

Telecommunication Services—1.8%
AT&T, Inc. 3.875%, 8/15/21		425		444
Frontier Communications Corp. 10.500%, 9/15/22		145		138
Qwest Corp. 7.250%, 9/15/25		150		167
T-Mobile USA, Inc. 6.375%, 3/1/25		105		113
Telefonica Emisiones SAU 4.570%, 4/27/23		225		245


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Verizon Communications, Inc. 4.125%, 3/16/27	$	180	$	186

				1,293

Utilities—2.3%
Dominion Energy, Inc. 2.962%, 7/1/19⁽²⁾		20		20
Duke Energy Corp. 2.650%, 9/1/26		205		195
Dynegy, Inc. 7.375%, 11/1/22		165		163
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25⁽³⁾		200		204
Exelon Corp. 3.497%, 6/1/22		255		262
FirstEnergy Transmission LLC 144A 4.350%, 1/15/25⁽³⁾		210		219
Southern Power Co. 4.150%, 12/1/25		230		240
State Grid Overseas Investment 2014 Ltd. 144A 4.125%, 5/7/24⁽³⁾		200		212
TerraForm Power Operating LLC 144A 6.375%, 2/1/23⁽²⁾⁽³⁾		145		151

				1,666

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $34,341)				35,341

LOAN AGREEMENTS⁽²⁾—3.9%
Consumer Discretionary—1.0%
Boyd Gaming Corp. Refinancing, Tranche B, 3.688%, 9/15/23		35		35
Caesars Entertainment Operating Co., Inc. 0.000%, 4/4/24⁽¹²⁾		30		30
Caesars Entertainment Resort Properties LLC Tranche B, 4.545%, 10/11/20		153		154
Caesars Growth Properties Holdings LLC Tranche 2017, First Lien, 4.226%, 5/8/21		59		59
Playa Resorts Holding B.V. 4.170%, 4/29/24		20		20
Seminole Tribe of Florida, Inc. Tranche B, 0.000%, 6/22/24⁽¹²⁾		120		120
Station Casinos LLC Tranche B, 3.710%, 6/8/23		84		84
U.S. Farathane LLC Tranche B-3, 5.296%, 12/23/21		108		109
UFC Holdings LLC First Lien, 4.470%, 8/18/23		98		98

				709


	PAR VALUE		VALUE
Consumer Staples—0.4%
Albertson’s LLC 2017-1, Tranche B-4, 3.976%, 8/25/21	$	103	$	101
JBS USA Lux S.A. 5.750%, 10/30/22		110		107
TKC Holdings, Inc. First Lien, 5.376%, 2/1/23		80		80

				288

Energy—0.3%
Jonah Energy LLC Second Lien, 7.726%, 5/12/21		94		90
Ultra Resources, Inc. 4.117%, 4/12/24		100		99

				189

Health Care—0.7%
CHG Healthcare Services, Inc. First Lien, 4.422%, 6/7/23		104		105
Envision Healthcare Corp. 4.300%, 12/1/23		21		20
Grifols Worldwide Operations Ltd. Tranche B, 3.436%, 1/31/25		30		30
HLF Financing S.a.r.l. Senior Lien, 6.726%, 2/15/23		39		40
Inventiv Group Holdings, Inc. 4.952%, 11/9/23		58		58
Iasis Healthcare LLC Tranche B-3, 5.296%, 2/17/21		5		5
MMM Holdings, Inc. 10.250%, 6/30/19		40		40
MPH Acquisition Holdings LLC 4.296%, 6/7/23		44		43
MSO of Puerto Rico, Inc. 10.250%, 6/30/19		29		29
NVA Holdings, Inc. Second Lien, 8.296%, 8/14/22		73		73
Quorum Health Corp. 7.976%, 4/29/22		90		90

				533

Industrials—0.5%
Advanced Disposal Services, Inc. 3.939%, 11/10/23		17		17
Navistar, Inc. Tranche B, 5.090%, 8/7/20		119		120
Sedgwick Claims Management Services, Inc. Second Lien, 6.952%, 2/28/22		120		121
Zodiac Pool Solutions LLC Tranche B-1, First Lien, 5.296%, 12/20/23		100		100

				358

Information Technology—0.2%
Rackspace Hosting, Inc. 2017 Refinancing, Tranche B, First Lien, 4.172%, 11/3/23		124		124
SS&C Technologies Holdings, Inc. 2017 Refinancing, Tranche B-2, 3.476%, 7/8/22		2		2


	PAR VALUE			VALUE
Information Technology—(continued)
2017 Refinancing, Tranche B-1, 3.476%, 7/8/22	$	39		$	39

					165

Materials—0.3%
Anchor Glass Container Corp. First Lien, 4.407%, 12/7/23		17			17
CPI Acquisition, Inc. First Lien, 5.834%, 8/17/22		160			136
Huntsman International LLC 2023, Tranche B, 4.121%, 4/1/23		43			43
Ineos U.S. Finance LLC Tranche 2022, 3.976%, 3/31/22		9			9

					205

Real Estate—0.0%
Capital Automotive LP Tranche B-2, First Lien, 4.220%, 3/25/24		20			20

Telecommunication Services—0.1%
UPC Financing Partnership 3.909%, 4/15/25		60			60

Utilities—0.4%
Energy Future Intermediate Holding Co. LLC 0.000%, 6/23/18⁽¹²⁾		85			85
Helix Gen Funding LLC 4.960%, 6/3/24		5			5
NRG Energy, Inc. 3.546%, 6/30/23		109			109
Vistra Operations Company LLC
3.976%, 8/4/23		70			69
Tranche C, 3.977%, 8/4/23		17			17

					285

TOTAL LOAN AGREEMENTS (Identified Cost $2,820)					2,812


	SHARES
PREFERRED STOCKS—3.9%
Energy—0.3%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		200	⁽⁹⁾		205

Financials—2.6%
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		150	⁽⁹⁾		156
Citigroup, Inc. Series J, 7.125%⁽²⁾		8	⁽⁹⁾		239
Citigroup, Inc. Series T, 6.250%⁽²⁾		155	⁽⁹⁾		172


	SHARES			VALUE
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		45	⁽⁹⁾	$	47
Financials—(continued)
KeyCorp Series D, 5.000%⁽²⁾		190	⁽⁹⁾		194
M&T Bank Corp. Series F, 5.125%⁽²⁾		195	⁽⁹⁾		202
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		215	⁽⁹⁾		219
PNC Financial Services Group, Inc. (The) Series S, 5.000%⁽²⁾		195	⁽⁹⁾		201
Wells Fargo & Co. Series K, 7.980%⁽²⁾		230	⁽⁹⁾		240
Zions Bancorp 6.950%⁽²⁾		8,800			262

					1,932

Industrials—1.0%
General Electric Co. Series D, 5.000%⁽²⁾		686	⁽⁹⁾		728

TOTAL PREFERRED STOCKS (Identified Cost $2,665)					2,865

EXCHANGE-TRADED FUND⁽¹¹⁾—1.1%
iShares iBoxx $ Investment Grade Corporate Bond Index Fund		6,725			810

TOTAL EXCHANGE-TRADED FUND (Identified Cost $802)					810

AFFILIATED MUTUAL FUND—1.6%
Virtus Newfleet Credit Opportunities Fund Class R6⁽¹¹⁾		117,904			1,170

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $1,179)					1,170

TOTAL LONG TERM INVESTMENTS—97.6% (Identified Cost $69,874)					71,136	⁽¹⁰⁾

TOTAL INVESTMENTS—97.6% (Identified Cost $69,874)					71,136	⁽¹⁾
Other assets and liabilities, net—2.4%					1,753

NET ASSETS—100.0%				$	72,889

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA		Federal National Mortgage Association (“Fannie Mae”)
GNMA		Government National Mortgage Association (“Ginnie Mae”)
PIK		Payment-in-Kind Security
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $21,744 or 29.8% of net assets.

⁽⁴⁾	Security in default, a portion of the interest payments are being received during the bankruptcy proceedings.

⁽⁵⁾	No contractual maturity date.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	Illiquid security.

⁽⁹⁾	Value shown as par value.

⁽¹⁰⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery securities.

⁽¹¹⁾	Shares of these funds are publicly offered and the prospectus and annual reports of each are publicly available.

⁽¹²⁾	This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹³⁾	Amount is less than $500.

⁽¹⁴⁾	100% of the income received was in cash.


Country Weightings †
United States	83	%
Chile	1
Mexico	1
Turkey	1
Netherlands	1
Canada	1
Switzerland	1
Other	11

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers from Level 1 to Level 2 related to securities held as of June 30, 2017.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.

None of the securities in this table are internally fair valued. The Fund’s investments that are categorized as Level 3 were valued utilizing third party pricing information without adjustment. Such valuations are based on unobservable inputs. A significant change in third party information could result in a significantly lower or higher value of Level 3 investments.


	PAR VALUE		VALUE
MUNICIPAL TAX-EXEMPT BONDS⁽²⁾—96.9%
Electric Revenue—5.2%
Northern California Power Agency, Hydroelectric Project No.1, 5.000%, 7/1/32	$	200	$	226
Roseville Natural Gas Financing Authority,
5.000%, 2/15/24		450		511
5.000%, 2/15/27		210		241
Sacramento Municipal Utility District, 5.000%, 8/15/29		150		177
Southern California Public Power Authority, Windy Point Project, 5.000%, 7/1/28		250		277

				1,432

General Obligation—14.5%
Cajon Valley Union School District, 5.000%, 8/1/31		250		295
California State of,
5.500%, 3/1/26		250		257
(AMBAC Insured) 5.000%, 2/1/27		290		361
5.000%, 9/1/32		300		340
5.000%, 12/1/37		5		5
6.000%, 4/1/38		250		271
Gilroy Unified School District 4.000%, 8/1/41		250		258
Grossmont Healthcare District 5.000%, 7/15/25		400		495
Long Beach Community College District, 5.000%, 5/1/32		225		269
Los Alamitos Unified School District, School Facilities Improvement District No. 1, 5.250%, 8/1/39		100		118
Midpeninsula Regional Open Space District 4.000%, 9/1/36		100		107
Oakland Unified School District (AGM Insured) 5.000%, 8/1/24		200		243
Ross Valley School District, 5.000%, 8/1/37		350		401
San Diego Unified School District, (AGM Insured) 5.500%, 7/1/25		225		288
Temple City Unified School District, 4.000%, 8/1/33		250		265

				3,973

General Revenue—7.4%
California Infrastructure & Economic Development Bank
5.000%, 10/1/23		200		242


	PAR VALUE		VALUE
General Revenue—(continued)
5.000%, 10/1/33	$	500	$	604
Los Angeles Museum 0.600%, 9/1/37⁽⁴⁾		500		500
California State Municipal Finance Authority, Bowles Hall Foundation 4.000%, 6/1/22		100		105
Golden State Tobacco Securitization Corp., 5.000%, 6/1/29		350		405
Midpeninsula Regional Open Space District, Promissory Notes 5.000%, 9/1/23		145		175

				2,031

Healthcare Revenue—10.1%
California State Health Facilities Financing Authority,
El Camino Hospital, 5.000%, 2/1/26		100		118
Kaiser Permanente Revenue, 5.000%, 11/1/27		100		125
Cedars-Sinai Medical Center, 5.000%, 11/15/31		250		295
Cedars-Sinai Medical Center 5.000%, 8/15/34		300		350
Sutter Health, 5.000%, 11/15/35		125		144
Providence St Joseph Health Revenue, 4.000%, 10/1/36		50		52
Lucille Salter Packard Children’s Hospital at Stanford, 5.000%, 8/15/43		100		113
Sutter Health, 5.000%, 8/15/43		135		153
Sutter Health 5.000%, 11/15/46		100		113
California State Municipal Finance Authority,
Community Medical Centers Revenue 5.000%, 2/1/27		100		117
Community Medical Centers 5.000%, 2/1/47		150		167
California Statewide Communities Development Authority,
Loma Linda University Medical Center, 5.000%, 12/1/30⁽³⁾		100		111
John Muir Health Center 5.000%, 8/15/41		100		114
Cottage Health System, 5.000%, 11/1/43		250		276
Loma Linda University Medical Center 5.250%, 12/1/56⁽³⁾		100		109
Regents of The University of California Medical Center Pooled Revenue 4.500%, 5/15/36		250		274
San Benito Health Care District, (CHFCLIF Insured) 4.000%, 3/1/18		140		143

				2,774


	PAR VALUE		VALUE
Higher Education Revenue—4.5%
California Municipal Finance Authority, University of La Verne, 5.000%, 6/1/43	$	60	$	68
California State University
5.000%, 11/1/32		125		149
5.000%, 11/1/41		300		349
California Statewide Communities Development Authority, The Culinary Institute of America 5.000%, 7/1/46		250		273
University of California,
Limited Projects Revenue 5.000%, 5/15/23		225		270
General Revenue 5.000%, 5/15/23		100		120

				1,229

Lease Revenue—6.6%
California State Public Works Board,
Department of Forestry & Fire Protection, 5.000%, 11/1/32		500		506
Department of Corrections 4.000%, 12/1/33		150		159
Municipal Improvement Corp. of Los Angeles Real Property 5.000%, 11/1/36		150		174
San Diego Regional Building Authority, County Operations Center 5.000%, 10/15/35		335		389
Ventura County Public Financing Authority, 5.000%, 11/1/25		250		291
West Hollywood Public Financing Authority, West Hollywood Park Phase II 5.000%, 4/1/34		250		292

				1,811

Pre-Refunded—17.4%
California State Health Facilities Financing Authority,
Providence Health & Services (Pre-refunded 10/1/18 @100) 6.500%, 10/1/38		5		5
Providence Health & Services (Pre-refunded 10/1/18 @100) 6.500%, 10/1/38		195		208
California State Infrastructure & Economic Development Bank,
Bay Area Toll Bridges (AMBAC Insured) (Pre-refunded 1/01/28 @ 100) 5.000%, 7/1/36		100		128
Bay Area Toll Bridges (AMBAC Insured) (Pre-refunded 7/1/26 @100) 5.125%, 7/1/37		530		675
California State of, (Pre-refunded 12/01/17 @ 100) 5.000%, 12/1/37		70		71


	PAR VALUE		VALUE
Pre-Refunded—(continued)
California State Public Works Board,
Department of General Services, Buildings 8&9 (Pre-refunded 4/1/19 @100) 6.125%, 4/1/29	$	500	$	544
Capital Projects (Pre-refunded 10/1/19 @100) 5.750%, 10/1/30		550		607
Los Alamitos Unified School District, School Facilities Improvement District No. 1, (Pre-refunded 8/01/23 @ 100) 5.250%, 8/1/39		150		182
Northern California Power Agency, (AMBAC Insured) (Pre-refunded 7/1/21 @ 100) 7.500%, 7/1/23		195		226
Riverside County Single Family Mortgage, (Escrowed to Maturity) (GNMA Collateralized) 7.800%, 5/1/21		1,085		1,341
Santa Margarita-Dana Point Authority, Water Improvement Districts Nos. 2,3,4 (Pre-refunded 8/1/18 @100) 5.125%, 8/1/38		630		658
Stockton Housing Facility, O’Connor Woods Project, (GNMA Collateralized) (Pre-refunded 9/20/17 @ 100) 5.600%, 3/20/28		145		146

				4,791

Special Tax Revenue—4.8%
Chula Vista Municipal Financing Authority, 5.000%, 9/1/27		200		236
Los Angeles County Transportation Authority, Special Tax, 5.000%, 7/1/29		500		620
San Diego County Regional Transportation Commission, Sales Tax Revenue 5.000%, 4/1/36		150		176
Tustin Unified School District, Community Facilities District No. 97-1 (BAM Insured) 5.000%, 9/1/33		250		286

				1,318

Tax Allocation Revenue—12.9%
Garden Grove Agency for Community Development Successor Agency, Garden Grove Community Project (BAM Insured) 5.000%, 10/1/29		350		413
Lafayette Redevelopment Agency Successor Agency, Lafayette Redevelopment Project (AGM Insured) 5.000%, 8/1/38		250		282


	PAR VALUE		VALUE
Tax Allocation Revenue—(continued)
Lancaster Redevelopment Agency Successor Agency, Combined Redevelopment Project Areas (AGM Insured) 5.000%, 8/1/33	$	70	$	80
Los Angeles County Redevelopment Refunding Authority, Long Beach Project, 5.000%, 8/1/34		215		249
Menlo Park Community Development Agency Successor Agency, Las Pulgas Community Development Project (AGM Insured) 5.000%, 10/1/29		100		117
Milpitas Redevelopment Agency Successor Agency Redevelopment Project Area No.1, 5.000%, 9/1/30		300		353
Palm Desert Redevelopment Agency Successor Agency (BAM Insured), 5.000%, 10/1/28		75		91
Palmdale Community Redevelopment Agency Successor Agency, Subordinate Lien (NATL Insured) 5.000%, 9/1/34		300		344
Rancho Cucamonga Redevelopment Agency Successor Agency, Rancho Redevelopment Project Area (NATL Insured) 4.000%, 9/1/34		200		208
Sacramento Redevelopment Agency Successor Agency
(BAM Insured) 5.000%, 12/1/33		75		86
(BAM Insured) 5.000%, 12/1/34		75		86
San Marcos Redevelopment Agency Successor Agency, 5.000%, 10/1/33		300		349
San Mateo Redevelopment Agency Successor Agency, 5.000%, 8/1/30		250		290
Union City Redevelopment Agency Successor Agency, Union City Redevelopment Project, 5.000%, 10/1/36		215		248
Westminster Redevelopment Agency Successor Agency,
(BAM Insured) 4.000%, 11/1/34		75		79
(BAM Insured) 4.000%, 11/1/36		250		260

				3,535

Transportation Revenue—6.1%
Los Angeles Department of Airports, Los Angeles International Airport, Subordinate Lien 5.000%, 5/15/32		210		250
Los Angeles Harbor Department, 5.000%, 8/1/35		235		274


	PAR VALUE		VALUE
Transportation Revenue—(continued)
San Diego County Regional Airport Authority, 5.000%, 7/1/40	$	400	$	437
San Diego Unified Port District, 5.000%, 9/1/28		200		231
San Francisco City & County Airport Commission, San Francisco International Airport, 5.000%, 5/1/43		150		169
San Francisco Municipal Transportation Agency,
5.000%, 3/1/31		125		145
5.000%, 3/1/33		150		175

				1,681

Water & Sewer Revenue—7.4%
California State Municipal Finance Authority, San Bernardino Municipal Water Department Project (BAM Insured) 5.000%, 8/1/41		250		285
East Bay Municipal Utility District Water System Revenue 5.000%, 6/1/42		250		297
Los Angeles Department of Water & Power, 5.000%, 7/1/35		295		342
Oakland, City of, Sewer Revenue, 5.000%, 6/15/29		230		274
Ross Valley Public Financing Authority, Sanitary District No.1 (AGM Insured) 5.000%, 10/1/33		225		258
San Diego County Water Authority Financing Corp. 5.000%, 5/1/37		500		588

				2,044

TOTAL MUNICIPAL TAX-EXEMPT BONDS (Identified Cost $25,492)				26,619

TOTAL LONG TERM INVESTMENTS—96.9% (Identified Cost $25,492)				26,619

TOTAL INVESTMENTS—96.9% (Identified Cost $25,492)				26,619	⁽¹⁾
Other assets and liabilities, net—3.1%				853

NET ASSETS—100.0%			$	27,472

Abbreviations:


AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BAM		Build America Municipal Insured
CHFCLIF		California Health Facility Construction Loan Insurance Fund
GNMA		Government National Mortgage Association (“Ginnie Mae”)
NATL		National Public Finance Guarantee Corp.

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾

At June 30, 2017, the concentration of the Fund’s investments by state or territory determined as a percentage of net assets is as follows: California 100%. At June 30, 2017, 31.38% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the insurers’ concentration exceeds 10% of the Fund’s net assets.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $220 or 0.8% of net assets.

⁽⁴⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 1 (quoted prices) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.


	PAR VALUE		VALUE
FOREIGN GOVERNMENT SECURITIES—1.1%
Argentine Republic
7.500%, 4/22/26	$	340	$	366
7.125%, 7/6/36		210		208
Provincia de Buenos Aires 144A 9.125%, 3/16/24⁽³⁾		210		236

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $766)				810

MORTGAGE-BACKED SECURITIES—0.2%
Non-Agency—0.2%
Citigroup Mortgage Loan Trust, Inc. 05-5, 2A3 5.000%, 8/25/35		61		61
Residential Accredit Loans, Inc. 05-QS1, A5 5.500%, 1/25/35		47		47

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $109)				108

ASSET-BACKED SECURITIES—1.1%
Carnow Auto Receivables Trust 16-1A, D 144A 7.340%, 11/15/21⁽³⁾		215		216
First Investors Auto Owner Trust 15-2A, E 144A 5.590%, 11/15/22⁽³⁾		225		226
Leaf Receivables Funding 10 LLC 15-1, E2 144A 6.000%, 6/15/23⁽³⁾		160		157
TGIF Funding LLC 17-1A, A2 144A 6.202%, 4/30/47⁽³⁾		180		182

TOTAL ASSET-BACKED SECURITIES (Identified Cost $780)				781

CORPORATE BONDS AND NOTES—79.4%
Consumer Discretionary—19.1%
Altice Luxembourg S.A. 144A 7.625%, 2/15/25⁽³⁾		300		330
AMC Entertainment Holdings, Inc. 144A 5.875%, 11/15/26⁽³⁾		50		52
American Greetings Corp. 144A 7.875%, 2/15/25⁽³⁾		150		162
Beazer Homes USA, Inc.
5.750%, 6/15/19		115		121
6.750%, 3/15/25		95		99
Cablevision Systems Corp. 5.875%, 9/15/22		250		263


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽⁷⁾	$	251	$	324
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20		100		103
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		190		206
CalAtlantic Group, Inc.
5.875%, 11/15/24		28		30
5.250%, 6/1/26		265		275
Century Communities, Inc. 144A 5.875%, 7/15/25⁽³⁾		215		214
Cequel Communications Holdings I LLC 144A 6.375%, 9/15/20⁽³⁾		280		286
Clear Channel Worldwide Holdings, Inc.
Series B, 7.625%, 3/15/20		540		537
Series A 7.625%, 3/15/20		150		148
Cooper-Standard Automotive, Inc. 144A 5.625%, 11/15/26⁽³⁾		220		221
CSC Holdings LLC 5.250%, 6/1/24		290		296
Dana Financing Luxembourg S.a.r.l.
144A 5.750%, 4/15/25⁽³⁾		40		41
144A 6.500%, 6/1/26⁽³⁾		55		59
Diamond Resorts International, Inc. 144A 10.750%, 9/1/24⁽³⁾		250		265
DISH DBS Corp.
5.000%, 3/15/23		475		487
7.750%, 7/1/26		160		190
Eldorado Resorts, Inc. 144A 6.000%, 4/1/25⁽³⁾		55		58
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24⁽³⁾		315		328
Goodyear Tire & Rubber Co. (The) 4.875%, 3/15/27		125		127
Hilton Worldwide Finance LLC
144A 4.625%, 4/1/25⁽³⁾		60		62
144A 4.875%, 4/1/27⁽³⁾		20		21
iHeartCommunications, Inc. 9.000%, 12/15/19		400		314
Intelsat Jackson Holdings SA
5.500%, 8/1/23		220		182
144A 8.000%, 2/15/24⁽³⁾		70		75
International Game Technology plc 144A 6.250%, 2/15/22⁽³⁾		200		218
Landry’s, Inc. 144A 6.750%, 10/15/24⁽³⁾		135		138


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Laureate Education, Inc. 144A 8.250%, 5/1/25⁽³⁾	$	85	$	91
McGraw-Hill Global Education Holdings LLC 144A 7.875%, 5/15/24⁽³⁾		295		285
MDC Holdings, Inc. 5.500%, 1/15/24		325		344
Meritor, Inc. 6.750%, 6/15/21		225		233
MGM Growth Properties Operating Partnership LP 5.625%, 5/1/24		65		71
MGM Resorts International 4.625%, 9/1/26		230		232
Neiman Marcus Group Ltd. 144A 8.000%, 10/15/21⁽³⁾		170		93
PetSmart, Inc.
144A 7.125%, 3/15/23⁽³⁾		345		307
144A 5.875%, 6/1/25⁽³⁾		10		10
Pinnacle Entertainment, Inc. 144A 5.625%, 5/1/24⁽³⁾		190		198
PulteGroup, Inc. 5.500%, 3/1/26		200		213
Sally Holdings LLC 5.625%, 12/1/25		145		148
Scientific Games International, Inc.
6.625%, 5/15/21		205		204
144A 7.000%, 1/1/22⁽³⁾		245		261
Servicemaster Co., LLC (The) 144A 5.125%, 11/15/24⁽³⁾		180		186
SFR (Numericable) Group S.A. 144A 6.000%, 5/15/22⁽³⁾		465		486
SFR Group S.A. 144A 7.375%, 5/1/26⁽³⁾		340		369
Sinclair Television Group, Inc. 144A 5.125%, 2/15/27⁽³⁾		200		193
Sirius XM Radio, Inc.
144A 3.875%, 8/1/22⁽³⁾		175		176
144A 5.375%, 7/15/26⁽³⁾		205		212
144A 5.000%, 8/1/27⁽³⁾		250		252
Six Flags Entertainment Corp. 144A 4.875%, 7/31/24⁽³⁾		95		96
Sonic Automotive, Inc. 144A 6.125%, 3/15/27⁽³⁾		200		199
Tenneco, Inc. 5.000%, 7/15/26		175		177
TI Group Automotive Systems LLC 144A 8.750%, 7/15/23⁽³⁾		355		375
TRI Pointe Group, Inc. 5.875%, 6/15/24		345		364
Univision Communications, Inc. 144A 5.125%, 5/15/23⁽³⁾		230		232
UPCB Finance IV Ltd. 144A 5.375%, 1/15/25⁽³⁾		200		209
Vista Outdoor, Inc. 5.875%, 10/1/23		185		190


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾	$	450	$	477
Wolverine World Wide, Inc. 144A 5.000%, 9/1/26⁽³⁾		250		247
Ziggo Secured Finance BV 144A 5.500%, 1/15/27⁽³⁾		265		271

				13,633

Consumer Staples—4.2%
Albertson’s, Inc. 144A 5.750%, 3/15/25⁽³⁾		195		181
Cumberland Farms, Inc. 144A 6.750%, 5/1/25⁽³⁾		350		368
Dole Food Co., Inc. 144A 7.250%, 6/15/25⁽³⁾		325		338
JBS USA LUX SA (JBS USA Finance, Inc.) 144A 5.750%, 6/15/25⁽³⁾		120		113
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23⁽³⁾		185		185
Lamb Weston Holdings, Inc. 144A 4.875%, 11/1/26⁽³⁾		180		187
MARB BondCo plc 144A 7.000%, 3/15/24⁽³⁾		200		193
Post Holdings, Inc.
144A 5.500%, 3/1/25⁽³⁾		65		67
144A 5.000%, 8/15/26⁽³⁾		305		304
144A 5.750%, 3/1/27⁽³⁾		45		46
Prestige Brands, Inc. 144A 6.375%, 3/1/24⁽³⁾		200		214
Rite Aid Corp.
6.750%, 6/15/21		250		257
144A 6.125%, 4/1/23⁽³⁾		225		222
Safeway, Inc. 7.250%, 2/1/31		215		202
Tops Holding LLC 144A 8.000%, 6/15/22⁽³⁾		130		107

				2,984

Energy—10.8%
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25⁽³⁾		243		255
Alta Mesa Holdings LP 144A 7.875%, 12/15/24⁽³⁾		215		217
American Midstream Partners LP 144A 8.500%, 12/15/21⁽³⁾		175		175
Antero Resources Corp. 5.625%, 6/1/23		205		208
Archrock Partners LP 6.000%, 10/1/22		300		291
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		340		343
California Resources Corp.
144A 8.000%, 12/15/22⁽³⁾		169		107
6.000%, 11/15/24		16		8
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		245		236


	PAR VALUE		VALUE
Energy—(continued)
Cheniere Corpus Christi Holdings LLC 5.875%, 3/31/25	$	475	$	506
Chesapeake Energy Corp. 144A 8.000%, 6/15/27⁽³⁾		435		427
CONSOL Energy, Inc. 5.875%, 4/15/22		200		196
Continental Resources, Inc. 4.500%, 4/15/23		145		138
Crestwood Midstream Partners LP 6.250%, 4/1/23		295		302
Denbury Resources, Inc. 5.500%, 5/1/22		170		95
Encana Corp. 8.125%, 9/15/30		115		146
Energy Transfer Equity LP 5.875%, 1/15/24		200		212
EP Energy LLC
9.375%, 5/1/20		70		55
144A 8.000%, 11/29/24⁽³⁾		105		105
144A 8.000%, 2/15/25⁽³⁾		80		60
FTS International, Inc.
144A 8.746%, 6/15/20⁽²⁾⁽³⁾		230		231
6.250%, 5/1/22		190		154
Laredo Petroleum, Inc. 5.625%, 1/15/22		110		107
Matador Resources Co. 6.875%, 4/15/23		135		140
MEG Energy Corp. 144A 6.500%, 1/15/25⁽³⁾		180		164
Nabors Industries, Inc. 144A 5.500%, 1/15/23⁽³⁾		35		33
NGL Energy Partners LP 5.125%, 7/15/19		200		198
Noble Holding International Ltd. 7.750%, 1/15/24		225		178
NuStar Logistics LP 5.625%, 4/28/27		155		163
Oasis Petroleum, Inc. 6.875%, 1/15/23		280		271
Peabody Securities Finance Corp. 144A 6.000%, 3/31/22⁽³⁾		290		288
Petrobras Global Finance BV
8.375%, 5/23/21		100		112
7.375%, 1/17/27		65		69
Rowan Cos., Inc. 5.400%, 12/1/42		265		187
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾		190		190
Sabine Oil & Gas Corp. 7.250%, 6/15/19^(10)(11)(15)		329		1
SM Energy Co.
6.125%, 11/15/22		115		109
6.500%, 1/1/23		185		176
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾		200		216
Tapstone Energy LLC 144A 9.750%, 6/1/22⁽³⁾		175		150
Transocean, Inc. 6.800%, 3/15/38		300		219
Ultra Resources, Inc.
144A 6.875%, 4/15/22⁽³⁾		13		13


	PAR VALUE		VALUE
Energy—(continued)
144A 7.125%, 4/15/25⁽³⁾	$	55	$	54
Weatherford International Ltd.
8.250%, 6/15/23		190		190
144A 9.875%, 2/15/24⁽³⁾		30		31

				7,726

Financials—4.9%
Ally Financial, Inc. 5.750%, 11/20/25		235		247
Altice US Finance I Corp. 144A 5.375%, 7/15/23⁽³⁾		210		219
Banco de Bogota S.A. 144A 6.250%, 5/12/26⁽³⁾		200		213
Genworth Holdings, Inc. 4.900%, 8/15/23		130		108
ICAHN Enterprises LP
5.875%, 2/1/22		295		302
6.250%, 2/1/22		25		26
ING Groep N.V. 6.000%^(2)(4)(5)		200		204
iStar, Inc.
5.000%, 7/1/19		255		258
6.000%, 4/1/22		170		174
Ladder Capital Finance Holdings LLLP (Ladder Capital Finance Corp.) 144A 5.250%, 3/15/22⁽³⁾		80		82
LPL Holdings Inc. 144A 5.750%, 9/15/25⁽³⁾		125		130
Nationstar Mortgage LLC 6.500%, 7/1/21		250		256
Navient Corp.
6.500%, 6/15/22		208		221
7.250%, 9/25/23		60		64
6.750%, 6/25/25		190		196
Springleaf Finance Corp.
5.250%, 12/15/19		205		213
6.125%, 5/15/22		130		137
Sprint Capital Corp. 6.900%, 5/1/19		195		209
Voya Financial, Inc. 5.650%, 5/15/53⁽²⁾		205		218

				3,477

Health Care—11.1%
Alere, Inc. 144A 6.375%, 7/1/23⁽³⁾		50		54
Capsugel S.A. PIK Interest Capitalization, 144A 7.000%, 5/15/19⁽³⁾⁽⁶⁾		212		212
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25⁽³⁾		85		87
Community Health Systems, Inc.
6.875%, 2/1/22		240		210
6.250%, 3/31/23		550		568


	PAR VALUE		VALUE
Health Care—(continued)
Concordia International Corp. 144A 9.000%, 4/1/22⁽³⁾	$	65	$	49
DaVita, Inc.
5.125%, 7/15/24		100		101
5.000%, 5/1/25		100		100
DJO Finco, Inc. (DJO Finance LLC) 144A 8.125%, 6/15/21⁽³⁾		215		200
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A 7.625%, 5/15/22⁽³⁾⁽⁶⁾		195		200
Endo Finance LLC 144A 5.375%, 1/15/23⁽³⁾		250		209
Envision Healthcare Corp. 144A 6.250%, 12/1/24⁽³⁾		70		75
HCA, Inc.
5.375%, 2/1/25		505		533
5.250%, 6/15/26		230		248
4.500%, 2/15/27		145		149
Hill-Rom Holdings, Inc. 144A 5.000%, 2/15/25⁽³⁾		145		148
IASIS Healthcare LLC 8.375%, 5/15/19		165		166
Inventiv Group Holdings, Inc. 144A 7.500%, 10/1/24⁽³⁾		180		195
Kindred Healthcare, Inc. 8.000%, 1/15/20		100		105
Mallinckrodt International Finance S.A. 144A 5.625%, 10/15/23⁽³⁾		110		100
MEDNAX, Inc. 144A 5.250%, 12/1/23⁽³⁾		105		108
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24⁽³⁾		225		240
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾		270		258
Pinnacle Merger Sub, Inc. (PRA Holdings, Inc.) 144A 9.500%, 10/1/23⁽³⁾		225		250
Sterigenics-Nordion Holdings LLC 144A 6.500%, 5/15/23⁽³⁾		325		335
Surgery Center Holdings, Inc.
144A 8.875%, 4/15/21⁽³⁾		200		217
144A 6.750%, 7/1/25⁽³⁾		55		56
Team Health Holdings, Inc. 144A 6.375%, 2/1/25⁽³⁾		555		538
Tenet Healthcare Corp.
6.000%, 10/1/20		375		402
8.125%, 4/1/22		285		303
THC Escrow Corp. III
144A 5.125%, 5/1/25⁽³⁾		220		221
144A 7.000%, 8/1/25⁽³⁾		380		378


	PAR VALUE		VALUE
Health Care—(continued)
Valeant Pharmaceuticals International, Inc.
144A 6.750%, 8/15/18⁽³⁾	$	41	$	41
144A 5.375%, 3/15/20⁽³⁾		200		193
144A 6.375%, 10/15/20⁽³⁾		325		315
144A 6.500%, 3/15/22⁽³⁾		15		16
144A 7.250%, 7/15/22⁽³⁾		70		66
144A 7.000%, 3/15/24⁽³⁾		25		26
144A 6.125%, 4/15/25⁽³⁾		140		118
Wellcare Health Plans, Inc. 5.250%, 4/1/25		135		141

				7,931

Industrials—6.6%
ADT Corp. (The) 6.250%, 10/15/21		200		218
Advanced Disposal Services, Inc. 144A 5.625%, 11/15/24⁽³⁾		205		211
Bombardier, Inc. 144A 8.750%, 12/1/21⁽³⁾		150		166
Cemex Finance LLC 144A 6.000%, 4/1/24⁽³⁾		200		212
Cemex SAB de C.V. 144A 7.750%, 4/16/26⁽³⁾		200		229
CNH Industrial N.V. 4.500%, 8/15/23		250		266
Harland Clarke Holdings Corp. 144A 9.250%, 3/1/21⁽³⁾		150		147
Hawaiian Airlines Pass-Through Certificates 13-1, B 4.950%, 1/15/22		94		96
Hertz Corp. (The) 144A 7.625%, 6/1/22⁽³⁾		255		254
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22⁽³⁾		120		115
KAR Auction Services, Inc. 144A 5.125%, 6/1/25⁽³⁾		80		81
Latam Finance Ltd. 144A 6.875%, 4/11/24⁽³⁾		205		208
Navistar International Corp. 8.250%, 11/1/21		175		177
NCI Building Systems, Inc. 144A 8.250%, 1/15/23⁽³⁾		290		314
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22⁽³⁾		130		141
Park Aerospace Holdings Ltd.
144A 5.250%, 8/15/22⁽³⁾		365		382
144A 5.500%, 2/15/24⁽³⁾		125		131
Prime Security Services Borrower LLC 144A 9.250%, 5/15/23⁽³⁾		195		212
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾		90		95
TransDigm, Inc.
6.000%, 7/15/22		105		108
6.500%, 5/15/25		230		234
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22		154		167


	PAR VALUE		VALUE
Industrials—(continued)
United Rentals North America, Inc. 5.500%, 7/15/25	$	270	$	283
Vertiv Intermediate Holding Corp. PIK Interest Capitalization, 144A 12.000%, 2/15/22⁽³⁾⁽⁶⁾		220		235

				4,682

Information Technology—3.1%
Blackboard, Inc. 144A 9.750%, 10/15/21⁽³⁾		129		121
BMC Software Finance, Inc. 144A 8.125%, 7/15/21⁽³⁾		220		228
Cogent Communications Group, Inc. 144A 5.375%, 3/1/22⁽³⁾		35		37
CommScope Technologies LLC 144A 5.000%, 3/15/27⁽³⁾		145		145
Corporate Risk Holdings LLC 144A 9.500%, 7/1/19⁽³⁾		210		223
Dell International LLC
144A 5.450%, 6/15/23⁽³⁾		60		65
144A 6.020%, 6/15/26⁽³⁾		45		49
144A 8.100%, 7/15/36⁽³⁾		55		69
First Data Corp.
144A 5.000%, 1/15/24⁽³⁾		105		108
144A 5.750%, 1/15/24⁽³⁾		450		467
Rackspace Hosting, Inc. 144A 8.625%, 11/15/24⁽³⁾		400		426
Radiate Holdco LLC 144A 6.625%, 2/15/25⁽³⁾		240		240

				2,178

Materials—10.0%
AK Steel Corp.
7.625%, 10/1/21		100		104
7.500%, 7/15/23		140		151
7.000%, 3/15/27		145		150
Aleris International, Inc. 144A 9.500%, 4/1/21⁽³⁾		360		370
Alpha 3 BV 144A 6.250%, 2/1/25⁽³⁾		65		67
ArcelorMittal 6.125%, 6/1/25		300		336
Ardagh Packaging Finance plc
144A 7.250%, 5/15/24⁽³⁾		345		377
144A 6.000%, 2/15/25⁽³⁾		200		210
BlueScope Steel Finance Ltd. 144A 6.500%, 5/15/21⁽³⁾		235		248
Boise Cascade Co. 144A 5.625%, 9/1/24⁽³⁾		175		180
Bway Holding Co.
144A 5.500%, 4/15/24⁽³⁾		75		77


	PAR VALUE		VALUE
Materials—(continued)
7.250%, 4/15/25⁽³⁾	$	190	$	193
Cascades, Inc.
144A 5.500%, 7/15/22⁽³⁾		575		586
144A 5.750%, 7/15/23⁽³⁾		225		230
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		150		154
Flex Acquisition Co., Inc. 144A 6.875%, 1/15/25⁽³⁾		100		104
FMG Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		100		114
Freeport-McMoRan, Inc.
3.550%, 3/1/22		160		150
3.875%, 3/15/23		425		395
Hexion U.S. Finance Corp.
6.625%, 4/15/20		75		68
144A 10.375%, 2/1/22⁽³⁾		75		74
144A 13.750%, 2/1/22⁽³⁾		190		167
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24⁽³⁾		315		325
Kraton Polymers LLC 144A 7.000%, 4/15/25⁽³⁾		355		373
NOVA Chemicals Corp.
144A 4.875%, 6/1/24⁽³⁾		110		110
144A 5.000%, 5/1/25⁽³⁾		175		174
Owens-Brockway Glass Container, Inc. 144A 6.375%, 8/15/25⁽³⁾		180		202
Rusal Capital DAC 144A 5.125%, 2/2/22⁽³⁾		255		255
Standard Industries, Inc. 144A 6.000%, 10/15/25⁽³⁾		155		166
Teck Resources Ltd.
144A 8.500%, 6/1/24⁽³⁾		50		58
6.125%, 10/1/35		150		156
Vale Overseas Ltd.
5.875%, 6/10/21		130		140
6.250%, 8/10/26		145		156
Vedanta Resources plc
144A 8.250%, 6/7/21⁽³⁾		200		218
144A 6.375%, 7/30/22⁽³⁾		200		201
Venator Finance S.a.r.l. (Venator Materials Corp.) 144A 5.750%, 7/15/25⁽³⁾		95		96

				7,135

Real Estate—0.9%
CoreCivic, Inc. 5.000%, 10/15/22		145		151
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾		170		176
MPT Operating Partnership LP 6.375%, 3/1/24		65		71


	PAR VALUE		VALUE
Real Estate—(continued)
Uniti Group, Inc. (Communications Sales & Leasing, Inc.) 144A 7.125%, 12/15/24⁽³⁾	$	270	$	268

				666

Telecommunication Services—6.1%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		280		297
CenturyLink, Inc. Series Y 7.500%, 4/1/24		175		192
CSC Holdings LLC 144A 5.500%, 4/15/27⁽³⁾		135		143
Frontier Communications Corp.
8.500%, 4/15/20		296		311
10.500%, 9/15/22		550		525
GTH Finance BV 144A 7.250%, 4/26/23⁽³⁾		200		221
Level 3 Financing, Inc. 5.250%, 3/15/26		135		140
Qwest Corp. 7.250%, 9/15/25		130		144
Sprint Capital Corp. 6.875%, 11/15/28		250		278
Sprint Communications, Inc. 6.000%, 11/15/22		235		249
Sprint Corp. 7.875%, 9/15/23		305		351
T-Mobile USA, Inc.
6.125%, 1/15/22		240		252
6.500%, 1/15/24		275		296
6.375%, 3/1/25		100		108
6.500%, 1/15/26		100		110
Virgin Media Finance plc 144A 6.000%, 10/15/24⁽³⁾		250		265
Windstream Corp. 7.750%, 10/1/21		150		141
Zayo Group LLC
6.000%, 4/1/23		180		189
6.375%, 5/15/25		70		75
144A 5.750%, 1/15/27⁽³⁾		35		37

				4,324

Utilities—2.6%
AmeriGas Partners LP 5.500%, 5/20/25		105		107
Calpine Corp. 5.375%, 1/15/23		350		341
Dynegy, Inc. 7.375%, 11/1/22		425		420
Ferrellgas Partners LP
144A 8.625%, 6/15/20⁽³⁾		140		132
6.750%, 6/15/23		210		195
NRG Energy, Inc. 7.250%, 5/15/26		185		192
Suburban Propane Partners LP 5.500%, 6/1/24		145		144
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		31		30
TerraForm Power Operating LLC 144A 6.375%, 2/1/23⁽²⁾⁽³⁾		250		260


	PAR VALUE		VALUE
Utilities—(continued)
Vistra Operations Company LLC 144A 11.500%, 10/1/20^(10)(11)(15)	$	500	$	—	⁽¹⁴⁾

				1,821

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $55,465)				56,557

LOAN AGREEMENTS⁽²⁾—12.1%
Consumer Discretionary—2.8%
Advantage Sales & Marketing, Inc. Second Lien, 7.796%, 7/25/22		180		172
Bass Pro Group LLC 6.296%, 12/15/23		140		136
Caesars Entertainment Operating Co., Inc.
Tranche B-5, 1.500%, 3/1/20⁽⁷⁾		45		52
Tranche B-7, 1.500%, 3/1/20⁽⁷⁾		156		195
Caesars Entertainment Resort Properties LLC Tranche B, 4.545%, 10/11/20		114		114
CDS U.S. Intermediate Holdings, Inc. First Lien, 5.296%, 7/8/22		211		212
Floor & Decor Outlets of America, Inc. Tranche B-1, 4.730%, 9/30/23		66		66
Gateway Casinos & Entertainment Ltd. Tranche B-1, 5.046%, 2/22/23		30		30
Laureate Education, Inc. Tranche 2024, 5.726%, 4/26/24		323		325
Leslie’s Poolmart, Inc. Tranche B-1, 4.871%, 8/16/23		109		109
Mohegan Tribal Gaming Authority Tranche B, 5.226%, 10/13/23		189		191
U.S. Farathane LLC Tranche B-3, 5.296%, 12/23/21		235		237
UFC Holdings LLC First Lien, 4.470%, 8/18/23		194		194

				2,033

Consumer Staples—1.2%
Albertson’s LLC 2017-1, Tranche B-4, 3.976%, 8/25/21		192		190
Amplify Snack Brands, Inc. 6.730%, 9/2/23		109		108
Chobani LLC First Lien, 5.476%, 10/10/23		45		45
Crossmark Holdings, Inc. Second Lien, 8.796%, 12/21/20⁽¹⁰⁾		190		85
Milk Specialties Co. 5.296%, 8/16/23		148		149
PDC Brands Tranche B, 0.000%, 6/28/24⁽⁸⁾		125		124


	PAR VALUE		VALUE
Consumer Staples—(continued)
TKC Holdings, Inc. First Lien, 5.376%, 2/1/23	$	145	$	144

				845

Energy—0.9%
Blackhawk Mining LLC First Lien, 10.710%, 2/17/22		152		129
California Resources Corp. 11.534%, 12/31/21		155		164
Chesapeake Energy Corp. Tranche A, 8.686%, 8/23/21		31		33
Contura Energy, Inc. 6.230%, 3/18/24		110		106
Jonah Energy LLC Second Lien, 7.726%, 5/12/21		125		119
MEG Energy Corp. 5.383%, 12/31/23		73		71

				622

Financials—0.3%
Lightstone HoldCo., LLC
Tranche B, 5.726%, 1/30/24		81		78
Tranche C, 5.726%, 1/30/24		5		5
Lonestar Intermediate Super Holdings LLC 10.226%, 8/31/21		145		149

				232

Health Care—1.6%
21st Century Oncology Holdings, Inc. Tranche B, 7.425%, 4/30/22⁽¹⁶⁾		157		147
Change Healthcare Holdings, Inc. 3.976%, 3/1/24		80		80
HLF Financing S.a.r.l. Senior Lien, 6.726%, 2/15/23		108		109
Immucor, Inc. 0.000%, 6/25/21⁽⁸⁾		20		20
Inventiv Group Holdings, Inc. 4.952%, 11/9/23		57		57
MMM Holdings, Inc. 10.250%, 6/30/19		64		63
MSO of Puerto Rico, Inc. 10.250%, 6/30/19		47		46
NVA Holdings, Inc.
Tranche B-2, First Lien, 4.647%, 8/14/21		82		83
Second Lien, 8.296%, 8/14/22		259		261
Quorum Health Corp. 7.976%, 4/29/22		96		97
U.S. Renal Care, Inc. First Lien, 5.546%, 12/30/22		189		182

				1,145

Industrials—1.2%
84 Lumber Co. 6.966%, 10/25/23		138		139
Brickman Group Ltd. LLC (The) Second Lien, 7.709%, 12/17/21		51		52
Navistar, Inc. Tranche B, 5.090%, 8/7/20		173		175


	PAR VALUE		VALUE
Industrials—(continued)
PAE Holding Corp. First Lien, 6.726%, 10/20/22	$	70	$	71
Sedgwick Claims Management Services, Inc. Second Lien, 6.952%, 2/28/22		390		391

				828

Information Technology—1.2%
Avaya, Inc. 8.666%, 1/24/18		65		67
Blackboard, Inc. Tranche B-4, First Lien, 6.158%, 6/30/21		141		140
Cologix, Inc. Second Lien, 8.216%, 3/20/25		20		20
Donnelley Financial Solutions, Inc. Tranche B, 5.076%, 9/29/23		33		33
Kronos, Inc. Second Lien, 9.420%, 11/1/24		78		81
Presidio LLC Tranche B, 4.525%, 2/2/22		125		125
Rackspace Hosting, Inc. 2017 Refinancing, Tranche B, First Lien, 4.172%, 11/3/23		110		110
Veritas US, Inc. Tranche B, 5.796%, 1/27/23		318		319

				895

Materials—1.6%
Anchor Glass Container Corp. Second Lien, 8.810%, 12/7/24		64		65
CPG International LLC 5.046%, 5/5/24		150		150
CPI Acquisition, Inc. First Lien, 5.834%, 8/17/22		320		272
Klockner Pentaplast of America, Inc. (Kleopatra Acquisition Corp.) 0.000%, 6/29/22⁽⁸⁾		355		351
KMG Chemicals, Inc. 5.409%, 6/15/24		60		61
New Arclin U.S. Holdings Corp. First Lien, 5.670%, 2/14/24		50		51
Omnova Solutions, Inc. Tranche B-2, 5.476%, 8/25/23		192		193

				1,143

Real Estate—0.2%
Capital Automotive LP Tranche B, Second Lien, 7.220%, 3/24/25		115		117

Telecommunication Services—0.4%
Securus Technologies Holdings, Inc. Second Lien, 0.000%, 6/20/25⁽⁸⁾		190		190
Sprint Communications, Inc. 3.750%, 2/2/24		115		115

				305


	PAR VALUE			VALUE
Utilities—0.7%
APLP Holdings LP 5.476%, 4/13/23	$	197		$	198
Helix Gen Funding LLC 4.960%, 6/3/24		5			5
Talen Energy Supply LLC 5.226%, 4/15/24		110			101
Vistra Operations Company LLC
3.976%, 8/4/23		137			136
Tranche C, 3.977%, 8/4/23		31			30

					470

TOTAL LOAN AGREEMENTS (Identified Cost $8,694)					8,635


	SHARES
PREFERRED STOCKS—1.2%
Financials—1.2%
Citigroup, Inc. Series T, 6.250%⁽²⁾		205	⁽⁹⁾		227
Goldman Sachs Group, Inc. (The) Series L, 5.700%⁽²⁾		215	⁽⁹⁾		224
JPMorgan Chase & Co. Series V, 5.000%⁽²⁾		145	⁽⁹⁾		149
KeyCorp Series D, 5.000%⁽²⁾		250	⁽⁹⁾		255

TOTAL PREFERRED STOCKS (Identified Cost $817)					855

COMMON STOCKS—0.4%
Energy—0.2%
Frontera Energy Corp.⁽¹³⁾		557			15
Linn Energy, Inc.⁽¹³⁾		4,652			142
Sabine Oil & Gas LLC⁽¹⁰⁾		157			6

					163

Utilities—0.2%
Vistra Energy Corp.		8,562			144

TOTAL COMMON STOCKS (Identified Cost $258)					307

RIGHTS—0.0%
Vistra Energy Corp.		8,562			9

TOTAL RIGHTS (Identified Cost $7)					9


WARRANTS—0.0%

	SHARES		VALUE
Sabine Oil & Gas LLC^(10)(13)		1		4

TOTAL WARRANTS (Identified Cost $4)				4

TOTAL LONG TERM INVESTMENTS—95.5% (Identified Cost $66,900)				68,066	⁽¹²⁾


	SHARES
SHORT-TERM INVESTMENT—2.1%
Money Market Mutual Fund—2.1%
JPMorgan U.S. Government Money Market Fund - Institutional Shares (seven-day effective yield 0.860%)⁽¹⁷⁾		1,483,059		1,483

TOTAL SHORT-TERM INVESTMENT (Identified Cost $1,483)				1,483

TOTAL INVESTMENTS—97.6% (Identified Cost $68,383)				69,549	⁽¹⁾
Other assets and liabilities, net—2.4%				1,705

NET ASSETS—100.0%			$	71,254

Abbreviation:

PIK	Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $32,374 or 45.4% of net assets.

⁽⁴⁾	No contractual maturity date.

⁽⁵⁾	Interest payments may be deferred.

⁽⁶⁾	100% of the income received was in cash.

⁽⁷⁾	Security in default, a portion of the interest payments are being received during the bankruptcy proceedings.

⁽⁸⁾	This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁹⁾	Value shown as par value.

⁽¹⁰⁾	Illiquid security.

⁽¹¹⁾	Security in default, no interest payments are being received during the bankruptcy proceedings.

⁽¹²⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery securities.


Country Weightings †
United States	81	%
Canada	5
Luxembourg	3
Cayman Islands	2
Netherlands	2
Ireland	1
United Kingdom	1
Other	5

Total	100	%

†	% of total investments as of June 30, 2017

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 (quoted prices) and Level 2 (significant observable inputs) related to securities held as of June 30, 2017.

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


	PAR VALUE		VALUE
U.S. GOVERNMENT SECURITIES—7.1%
U.S. Treasury Note 0.750%, 12/31/17	$	25,500	$	25,449

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $25,473)				25,449

MUNICIPAL BOND—0.1%
Illinois—0.1%
State of Illinois Build America Taxable 5.547%, 4/1/19		190		195

TOTAL MUNICIPAL BOND (Identified Cost $197)				195

FOREIGN GOVERNMENT SECURITIES—0.8%
Republic of Indonesia 144A 5.875%, 1/15/24⁽³⁾		775		883
Republic of South Africa 4.665%, 1/17/24		875		886
Republic of Turkey 6.250%, 9/26/22		825		896
Sultanate of Oman 144A 3.625%, 6/15/21⁽³⁾		200		199

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $2,890)				2,864

MORTGAGE-BACKED SECURITIES—31.9%
Agency—8.1%
FHLMC 4.000%, 2/1/45		334		351
FNMA
4.000%, 8/1/25		74		78
3.000%, 6/1/27		224		230
3.000%, 11/1/27		827		851
2.500%, 5/1/28		664		672
2.500%, 11/1/29		662		668
2.500%, 9/1/30		1,504		1,517
3.000%, 9/1/30		2,548		2,617
3.000%, 10/1/30		1,472		1,511
3.000%, 10/1/30		4,611		4,735
2.500%, 2/1/31		5,836		5,869
4.000%, 11/1/31		373		396
5.000%, 10/1/39		276		306
4.500%, 4/1/40		105		113
4.000%, 10/1/44		830		873
3.500%, 8/1/45		738		758
3.500%, 1/1/46		2,387		2,452
3.500%, 1/1/46		438		450
4.000%, 1/1/46		1,459		1,534


	PAR VALUE		VALUE
Agency—(continued)
3.500%, 4/1/46	$	487	$	501
3.500%, 12/1/46		2,652		2,724
FNMA REMIC 97-70, PE (P.O.) 0.000%, 4/25/22		4		4
GNMA
7.000%, 7/15/23		2		2
7.000%, 9/15/23		7		8
7.000%, 1/15/24		4		5
7.000%, 9/15/24		5		6
7.000%, 7/15/25		2		2
7.000%, 7/15/25		11		11

				29,244

Non-Agency—23.8%
Agate Bay Mortgage Trust 13-1, A1 144A 3.500%, 7/25/43⁽²⁾⁽³⁾		2,129		2,151
American Homes 4 Rent Trust 15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		192		198
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33⁽²⁾		140		143
AMSR Trust
16-SFR1, A 144A 2.609%, 11/17/33⁽²⁾⁽³⁾		498		501
16-SFR1, C 144A 3.459%, 11/17/33⁽²⁾⁽³⁾		498		507
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 1/25/35⁽²⁾		70		71
Aventura Mall Trust
13-AVM, C 144A 3.867%, 12/5/32⁽²⁾⁽³⁾		1,130		1,166
13-AVM, A 144A 3.867%, 12/5/32⁽²⁾⁽³⁾		1,721		1,806
Banc of America Commercial Mortgage Trust 07-4, AM 6.158%, 2/10/51⁽²⁾		640		640
Banc of America Funding Trust
04-B, 2A1 3.638%, 11/20/34⁽²⁾		50		50
05-1, 1A1 5.500%, 2/25/35		137		137
06-2, 3A1 6.000%, 3/25/36		28		29
Bank of America (Merrill Lynch - Countrywide) Alternative Loan Trust
04-22CB, 1A1 6.000%, 10/25/34		330		340
04-24CB, 1A1 6.000%, 11/25/34		223		229
Bank of America (Merrill Lynch) Commercial Mortgage Securities Trust 15-200P, A 144A 3.218%, 4/14/33⁽³⁾		790		799
Bank of America (Merrill Lynch) Investors Trust MLMI 04-A4, A1 3.090%, 8/25/34⁽²⁾		664		675


	PAR VALUE		VALUE
Non-Agency—(continued)
Barclays (Lehman Brothers) - UBS Commercial Mortgage Trust 07-C7, A3 5.866%, 9/15/45⁽²⁾	$	401	$	403
Bayview Commercial Asset Trust
06-2A, A2 144A 1.496%, 7/25/36⁽²⁾⁽³⁾		318		300
08-1, A3 144A 2.716%, 1/25/38⁽²⁾⁽³⁾		121		120
Bayview Financial Acquisition Trust 07-A, 1A2 6.205%, 5/28/37⁽²⁾		292		303
Bayview Opportunity Master Fund IIIb Trust 17-RN2, A1 144A 3.475%, 4/28/32⁽²⁾⁽³⁾		443		443
Bayview Opportunity Master Fund IVa Trust 17-RT1, A1 144A 3.000%, 3/28/57⁽²⁾⁽³⁾		466		471
Bayview Opportunity Master Fund IVb Trust 17-SPL4, A 144A 3.500%, 1/28/55⁽²⁾⁽³⁾		362		372
Centex Home Equity Loan Trust
02-A, AF6 5.540%, 1/25/32		67		67
04-D, AF5 5.850%, 9/25/34⁽²⁾		345		354
Citigroup Commercial Mortgage Trust
16-SMPL, A 144A 2.228%, 9/10/31⁽³⁾		750		741
07-C6, A1A 5.701%, 12/10/49⁽²⁾		9		9
08-C7, AM 6.385%, 12/10/49⁽²⁾		230		233
Citigroup Mortgage Loan Trust, Inc.
04-NCM2, 2CB2 6.750%, 8/25/34		151		162
14-A, A 144A 4.000%, 1/25/35⁽²⁾⁽³⁾		456		475
15-PS1, A1 144A 3.750%, 9/25/42⁽²⁾⁽³⁾		380		389
15-A, A1 144A 3.500%, 6/25/58⁽²⁾⁽³⁾		999		1,018
CLNS Trust 17-IKPR, B 144A 2.000%, 6/11/32⁽²⁾⁽³⁾		905		906
Cold Storage Trust 17-ICE3, A 144A 2.159%, 4/15/36⁽²⁾⁽³⁾		1,090		1,091
Colony American Finance Ltd. 15-1, A 144A 2.896%, 10/15/47⁽³⁾		587		588
Colony Multi-Family Mortgage Trust 14-1, A 144A 2.543%, 4/20/50⁽³⁾		509		507
Colony Starwood Homes Trust 16-2A, C 144A 3.359%, 12/17/33⁽²⁾⁽³⁾		1,000		1,000
COLT Mortgage Loan Trust Funding LLC
16-1 A1, 144A 3.000%, 5/25/46⁽³⁾		478		483
16-2, A1 144A 2.750%, 9/25/46⁽²⁾⁽³⁾		630		636
17-1, A3 144A 3.074%, 5/27/47⁽²⁾⁽³⁾		605		608
Commercial Mortgage Lease-Backed Certificates 01-CMLB, A3 144A 7.471%, 6/20/31⁽²⁾⁽³⁾		460		511
Commercial Mortgage Trust
14-277P, A 144A 3.732%, 8/10/49⁽²⁾⁽³⁾		2,595		2,708


	PAR VALUE		VALUE
Non-Agency—(continued)
07-GG11, AM 5.867%, 12/10/49⁽²⁾	$	2,123	$	2,129
Credit Suisse Commercial Mortgage Trust 14-LVR2, A2 144A 3.842%, 4/25/44⁽²⁾⁽³⁾		784		809
Credit Suisse First Boston Mortgage Securities Corp.
03-27, 5A3 5.250%, 11/25/33		56		56
03-AR30, 5A1 3.277%, 1/25/34⁽²⁾		317		322
Credit Suisse Mortgage Capital Trust
16-BDWN, A 144A 4.059%, 2/15/29⁽²⁾⁽³⁾		875		879
13-HYB1, A16,144A 2.996%, 4/25/43⁽²⁾⁽³⁾		870		877
Credit Suisse Mortgage Trust 17-FHA1, A1 144A 3.250%, 4/25/47⁽²⁾⁽³⁾		1,107		1,116
Deephaven Residential Mortgage Trust
17-1A, A1 144A 2.725%, 12/26/46⁽²⁾⁽³⁾		396		396
17-2A, A1 144A 2.453%, 6/25/47⁽²⁾⁽³⁾		310		309
Freddie Mac Structured Agency Credit Risk Debt Notes 16-DNA2, M2 3.416%, 10/25/28⁽²⁾		835		852
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.495%, 12/15/34⁽²⁾⁽³⁾		810		825
Galton Funding Mortgage Trust 17-1, A21 144A 3.500%, 7/25/56⁽²⁾⁽³⁾		1,329		1,343
GMAC Mortgage Corp. Loan Trust 04-AR1, 12A 3.929%, 6/25/34⁽²⁾		139		140
GSAA Home Equity Trust
05-1, AF4 5.619%, 11/25/34⁽²⁾		154		158
05-12, AF3W 4.999%, 9/25/35⁽²⁾		46		47
GSR Mortgage Loan Trust 03-3F, 1A6 6.000%, 4/25/33		552		560
Hilton USA Trust 16-SFP, B 144A 3.323%, 11/5/35⁽³⁾		650		652
Home Equity Loan Trust 03-HS2, AIIB 1.466%, 6/25/28⁽²⁾		188		186
Hospitality Mortgage Trust 17-HIT, B 144A 2.269%, 5/8/30⁽²⁾⁽³⁾		1,045		1,046
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		94		94
Jefferies Resecuritization Trust 14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾		88		88
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust
04-1, 21A1 3.305%, 4/25/34⁽²⁾		79		79
04-9, 22A1 3.623%, 11/25/34⁽²⁾		612		617


	PAR VALUE		VALUE
Non-Agency—(continued)
04-10, 21A1 3.488%, 1/25/35⁽²⁾	$	595	$	602
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities Trust
07- PW17, A4 5.694%, 6/11/50⁽²⁾		247		248
07-PW18, A4 5.700%, 6/11/50		237		238
07-PW18, AM, 6.084%, 6/11/50⁽²⁾		965		976
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust
03-S8, A2 5.000%, 9/25/18		20		20
03-AR6, A1 3.233%, 6/25/33⁽²⁾		259		260
03-AR4, 2A1 2.915%, 8/25/33⁽²⁾		164		162
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾		110		115
15-SGP, B 144A 3.909%, 7/15/36⁽²⁾⁽³⁾		759		764
11-C4, A3 144A 4.106%, 7/15/46⁽³⁾		1,379		1,403
14-C22, A4 3.801%, 9/15/47		1,695		1,774
07-LDPX, AM 5.464%, 1/15/49⁽²⁾		428		428
JPMorgan Chase Mortgage Trust
14-2, 2A2 144A 3.500%, 6/25/29⁽²⁾⁽³⁾		142		145
06-A2, 4A1 3.556%, 8/25/34⁽²⁾		133		134
04-A4, 2A1 3.240%, 9/25/34⁽²⁾		108		110
05-A4, 3A1 3.319%, 7/25/35⁽²⁾		516		523
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		250		258
15-1, AM1 144A 2.626%, 12/25/44⁽²⁾⁽³⁾		742		744
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		725		735
15-5, A2 144A 2.867%, 5/25/45⁽²⁾⁽³⁾		884		887
15-4, 1A4 144A 3.500%, 6/25/45⁽²⁾⁽³⁾		1,279		1,297
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾		1,130		1,146
11-C4, A4, 144A 4.388%, 7/15/46⁽³⁾		295		314
16-5, A1 144A 2.605%, 12/25/46⁽²⁾⁽³⁾		2,638		2,633
MASTR Alternative Loan Trust
04-10, 3A1 5.000%, 9/25/19		56		57
03-8, 2A1 5.750%, 11/25/33		106		109
04-4, 6A1 5.500%, 4/25/34		151		156
04-7, 9A1 6.000%, 8/25/34		124		127
05-2, 2A1 6.000%, 1/25/35		433		447
MASTR Asset Securitization Trust 05-1, 1A1 5.000%, 5/25/20		246		248
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		349		360
Mill City Mortgage Trust


	PAR VALUE		VALUE
Non-Agency—(continued)
15-1, A3 144A 3.000%, 6/25/56⁽²⁾⁽³⁾	$	600	$	601
16-1, A1 144A 2.500%, 4/25/57⁽²⁾⁽³⁾		1,021		1,023
17-1, A1 144A 2.750%, 11/25/58⁽²⁾⁽³⁾		514		519
Morgan Stanley - Bank of America (Merrill Lynch) Trust 13-C13, AS 4.266%, 11/15/46		1,515		1,611
Morgan Stanley Capital Barclays Bank Trust 16-MART, A 144A 2.200%, 9/13/31⁽³⁾		1,660		1,642
Morgan Stanley Capital I Trust
08-T29, AM 6.503%, 1/11/43⁽²⁾		950		971
08-T29, A4 6.503%, 1/11/43⁽²⁾		165		167
07-IQ16, A4 5.809%, 12/12/49		275		276
Morgan Stanley Residential Mortgage Loan Trust 14-1A, A1 144A 2.967%, 6/25/44⁽²⁾⁽³⁾		440		445
Motel 6 Trust
15-MTL6, B 144A 3.298%, 2/5/30⁽³⁾		365		364
15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		810		810
National City Mortgage Capital Trust 08-1, 2A1 6.000%, 3/25/38		182		189
New Residential Mortgage Loan Trust
16-2A, A1 144A 3.750%, 11/26/35⁽²⁾⁽³⁾		692		713
14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		1,590		1,634
14-2A, A3 144A 3.750%, 5/25/54⁽²⁾⁽³⁾		191		195
14-3A, AFX3 144A 3.750%, 11/25/54⁽²⁾⁽³⁾		1,657		1,678
15-2A, A1 144A 3.750%, 8/25/55⁽²⁾⁽³⁾		1,416		1,460
16-1A, A1 144A 3.750%, 3/25/56⁽²⁾⁽³⁾		579		593
16-3A, A1 144A 3.750%, 9/25/56⁽²⁾⁽³⁾		1,231		1,268
16-4A, A1 144A 3.750%, 11/25/56⁽²⁾⁽³⁾		330		340
17-2A, A3 144A 4.000%, 3/25/57⁽²⁾⁽³⁾		561		584
NovaStar Mortgage Funding Trust Series 04-4, M5 2.941%, 3/25/35⁽²⁾		1,560		1,548
Pretium Mortgage Credit Partners I LLC
17-NPL3, A1 144A 3.250%, 6/29/32⁽²⁾⁽³⁾		100		100
17-NPL2, A1, 144A 3.250%, 3/28/57⁽²⁾⁽³⁾		727		728
Sequoia Mortgage Trust 14-3, A9 144A 3.750%, 10/25/44⁽²⁾⁽³⁾		644		654
Structured Adjustable Rate Mortgage Loan Trust
04-1, 6A 3.419%, 2/25/34⁽²⁾		580		568
04-4, 3A2 3.449%, 4/25/34⁽²⁾		690		693
04-4, 3A1 3.449%, 4/25/34⁽²⁾		143		143
04-5, 3A2 3.430%, 5/25/34⁽²⁾		293		297
04-14, 7A 3.362%, 10/25/34⁽²⁾		251		250
Structured Asset Securities Corp.


	PAR VALUE		VALUE
Non-Agency—(continued)
03-AL1, A 144A 3.357%, 4/25/31⁽³⁾	$	156	$	155
03-37A, 2A 3.016%, 12/25/33⁽²⁾		141		140
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates
03-33H, 1A1 5.500%, 10/25/33		390		397
03-34A, 6A 3.541%, 11/25/33⁽²⁾		349		346
Structured Asset Securities Corp. Pass-Through Certificates 02-AL1, A2 3.450%, 2/25/32		139		138
Towd Point Mortgage Trust
15-3, A1B 144A 3.000%, 3/25/54⁽²⁾⁽³⁾		563		570
16-1, A1B 144A 2.750%, 2/25/55⁽²⁾⁽³⁾		634		639
15 - 5, A1B 144A 2.750%, 5/25/55⁽²⁾⁽³⁾		940		947
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		275		281
16-2, A1 144A 3.000%, 8/25/55⁽²⁾⁽³⁾		336		340
16-4, A1 144A 2.250%, 7/25/56⁽²⁾⁽³⁾		766		763
Velocity Commercial Capital Loan Trust 17-1, AFX 144A 3.000%, 5/25/47⁽²⁾⁽³⁾		177		178
Vericrest Opportunity Loan Trust LVI LLC 17-NPL3, A1 144A 3.500%, 3/25/47⁽²⁾⁽³⁾		839		842
Vericrest Opportunity Loan Trust LVIII LLC 17-NPL5, A1 144A 3.375%, 5/28/47⁽²⁾⁽³⁾		179		179
Vericrest Opportunity Loan Trust LX LLC 17-NPL7, A1 144A 3.250%, 4/25/59⁽²⁾⁽³⁾		550		549
Vericrest Opportunity Loan Trust XXII LLC 15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		45		45
Verus Securitization Trust 17-1A, A1 144A 2.853%, 1/25/47⁽²⁾⁽³⁾		299		300
VSD 17-PLT1, A 3.600%, 12/25/43		393		394
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 07-C33, A5 6.174%, 2/15/51⁽²⁾		21		20
Wells Fargo Mortgage Backed Securities Trust
03-G, A1 2.992%, 6/25/33⁽²⁾		58		59
03-J, 2A1 2.951%, 10/25/33⁽²⁾		138		139
03-J, 5A1 2.957%, 10/25/33⁽²⁾		216		219
04-A, A1 3.112%, 2/25/34⁽²⁾		66		66
04-K, 1A2 3.476%, 7/25/34⁽²⁾		259		260
04-U, A1 3.262%, 10/25/34⁽²⁾		73		73
04-Z, 2A1 2.999%, 12/25/34⁽²⁾		181		183
05-14, 2A1 5.500%, 12/25/35		59		60

				85,686

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $114,788)				114,930


	PAR VALUE		VALUE
ASSET-BACKED SECURITIES—26.4%
American Credit Acceptance Receivables Trust
16- 1A, B 144A 4.240%, 6/13/22⁽³⁾	$	835	$	845
17-2, C 144A 2.860%, 6/12/23⁽³⁾		920		919
AmeriCredit Automobile Receivables Trust
13-2, D 2.420%, 5/8/19		800		801
14-1, D 2.540%, 6/8/20		650		655
16-1, B 2.300%, 3/8/21		2,045		2,057
15-3, C 2.730%, 3/8/21		615		621
16-2, B 2.210%, 5/10/21		1,000		1,003
15-4, C 2.880%, 7/8/21		700		706
16-4, C 2.410%, 7/8/22		725		723
17-1, C 2.710%, 8/18/22		915		920
Associates Manufactured Housing Pass-Through Certificates 96-1, B1 8.000%, 3/15/27⁽²⁾		384		393
Avis Budget Rental Car Funding LLC
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		540		541
(AESOP) 13-1A, A 144A 1.920%, 9/20/19⁽³⁾		1,000		1,000
(AESOP) 13-2A, A 144A 2.970%, 2/20/20⁽³⁾		1,905		1,924
(AESOP) 16-1A, A 144A 2.990%, 6/20/22⁽³⁾		800		805
BRE Grand Islander Timeshare Issuer LLC 17-1A, A 144A 2.940%, 5/25/29⁽³⁾		864		867
BXG Receivables Note Trust
12-A, A 144A 2.660%, 12/2/27⁽³⁾		45		44
13-A, A 144A 3.010%, 12/4/28⁽³⁾		146		147
15-A, A 144A 2.880%, 5/2/30⁽³⁾		339		341
California Republic Auto Receivables Trust
13-1, B 144A 2.240%, 1/15/19⁽³⁾		189		189
15-3, B 2.700%, 9/15/21		650		656
16-1, B 3.430%, 2/15/22		785		801
Capital Auto Receivables Asset Trust 13-4, C 2.670%, 2/20/19		505		506
CarFinance Capital Auto Trust 14-2A, B 144A 2.640%, 11/16/20⁽³⁾		425		426
CarMax Auto Owner Trust
14-4, B 2.200%, 9/15/20		700		703
15-2, C 2.390%, 3/15/21		1,495		1,504
16-2, B 2.160%, 12/15/21		750		749
17-1, B 2.540%, 9/15/22		900		906
CCG Receivables Trust
14-1, B 144A 2.150%, 11/15/21⁽³⁾		400		400
15-1, A3 144A 1.920%, 1/17/23⁽³⁾		1,000		1,002


	PAR VALUE		VALUE
Centre Point Funding LLC 12-2A,1 144A 2.610%, 8/20/21⁽³⁾	$	1,076	$	1,061
Chrysler Capital Auto Receivables Trust
14-BA, D 144A 3.440%, 8/16/21⁽³⁾		750		756
15-BA, D 144A 4.170%, 1/16/23⁽³⁾		965		995
Citigroup 15-PM3, A 144A 2.560%, 5/16/22⁽³⁾		21		21
CKE Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		606		605
Commonbond Student Loan Trust 17-AGS, A1 144A 2.550%, 5/25/41⁽³⁾		920		916
Conseco Financial Corp. 97-3, A5 7.140%, 3/15/28		52		53
Diamond Resorts Owner Trust 14-1, A 144A 2.540%, 5/20/27⁽³⁾		674		668
DRB Prime Student Loan Trust 15-D, A3 144A 2.500%, 1/25/36⁽³⁾		351		351
Drive Auto Receivables Trust
15-DA, B 144A 2.590%, 12/16/19⁽³⁾		204		205
16-AA, B 144A 3.170%, 5/15/20⁽³⁾		1,065		1,068
16-BA, B 144A 2.560%, 6/15/20⁽³⁾		1,785		1,791
15-AA, C 144A 3.060%, 5/17/21⁽³⁾		1,403		1,413
16-CA, C 144A 3.020%, 11/15/21⁽³⁾		995		999
15-DA, C 144A 3.380%, 11/15/21⁽³⁾		1,505		1,519
17-AA, C 144A 2.980%, 1/18/22⁽³⁾		900		907
DT Auto Owner Trust
16-1A, B 144A 2.790%, 5/15/20⁽³⁾		849		851
14-3A, C 144A 3.040%, 9/15/20⁽³⁾		599		601
15-3A, C 144A 3.250%, 7/15/21⁽³⁾		655		660
16-2A, C 144A 3.670%, 1/18/22⁽³⁾		820		829
16-3A C,144A 3.150%, 3/15/22⁽³⁾		865		870
16-4A, C 144A 2.740%, 10/17/22⁽³⁾		1,200		1,203
Earnest Student Loan Program LLC 17-A A2 144A 2.650%, 1/25/41⁽³⁾		905		901
Exeter Automobile Receivables Trust
13-1A, C 144A 3.520%, 2/15/19⁽³⁾		149		149
14-1A, C 144A 3.570%, 7/15/19⁽³⁾		108		109
14-2A, C 144A 3.260%, 12/16/19⁽³⁾		335		337
16-1A, A 144A 2.350%, 7/15/20⁽³⁾		465		466
15-A1, C 144A 4.100%, 12/15/20⁽³⁾		1,000		1,021
15-2A, C 144A 3.900%, 3/15/21⁽³⁾		1,190		1,208
16-3A, B 144A 2.840%, 8/16/21⁽³⁾		1,400		1,405
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		421		422


	PAR VALUE		VALUE
First Investors Auto Owner Trust
16-2A, C 144A 2.530%, 7/15/22⁽³⁾	$	1,490	$	1,476
15-2A, E 144A 5.590%, 11/15/22⁽³⁾		345		346
Flagship Credit Auto Trust
16-1, A 144A 2.770%, 12/15/20⁽³⁾		525		529
14-2, D 144A 5.210%, 2/15/21⁽³⁾		905		932
15-2, C 144A 4.080%, 12/15/21⁽³⁾		505		513
16-2, B 144A 3.840%, 9/15/22⁽³⁾		825		847
Foursight Capital Automobile Receivables Trust 16-1, A2, 144A 2.870%, 10/15/21⁽³⁾		917		922
GM Financial Consumer Automobile Receivables Trust 17-1A, B 144A 2.300%, 6/16/23⁽³⁾		915		916
Gold Key Resorts LLC 14-A, A 144A 3.220%, 3/17/31⁽³⁾		299		300
GreatAmerica Leasing Receivables Funding LLC 17-1, A4 144A 2.360%, 1/20/23⁽³⁾		905		905
Hertz Vehicle Financing LLC
15-2A, A 144A 2.020%, 9/25/19⁽³⁾		1,080		1,076
16 -1A, A144A 2.320%, 3/25/20⁽³⁾		750		747
Hilton Grand Vacations Trust
13-A, A 144A 2.280%, 1/25/26⁽³⁾		629		627
14-AA, A 144A 1.770%, 11/25/26⁽³⁾		187		184
17-AA, A 144A 2.660%, 12/26/28⁽³⁾		833		833
Hyundai Auto Receivables Trust
14-B, D 2.510%, 12/15/20		400		403
15-A, D 2.730%, 6/15/21		550		553
15-C, B 2.150%, 11/15/21		1,500		1,504
Leaf Receivables Funding 10 LLC 15-1, D 144A 3.740%, 5/17/21⁽³⁾		585		578
Leaf Receivables Funding 12 LLC 17-1, B 144A 2.650%, 2/15/22⁽³⁾		1,080		1,076
Mariner Finance Issuance Trust 17-AA, A 144A 3.620%, 2/20/29⁽³⁾		900		907
Marriott Vacation Club Owner Trust 12-1A, A 144A 2.510%, 5/20/30⁽³⁾		253		253
MVW Owner Trust
15-1A, B 144A 2.960%, 12/20/32⁽³⁾		327		326
16-1A, A 144A 2.250%, 12/20/33⁽³⁾		952		940
Navistar Financial Dealer Note Master Owner Trust II 16-1, B 144A 2.966%, 9/27/21⁽²⁾⁽³⁾		1,710		1,714
OneMain Financial Issuance Trust
14-1A, A 144A 2.430%, 6/18/24⁽³⁾		89		90
15-1A, A 144A 3.190%, 3/18/26⁽³⁾		1,660		1,677


	PAR VALUE		VALUE
Orange Lake Timeshare Trust
12-AA, A 144A 3.450%, 3/10/27⁽³⁾	$	364	$	366
15-AA, A 144A 2.880%, 9/8/27⁽³⁾		306		307
Santander Drive Auto Receivables Trust
13-1, D 2.270%, 1/15/19		1,507		1,509
13-3, C 1.810%, 4/15/19		110		110
13-5, D 2.730%, 10/15/19		540		544
14-4, D 3.100%, 11/16/20		1,095		1,111
16-2, B 2.080%, 2/16/21		1,000		1,002
16-1, C 3.090%, 4/15/22		2,010		2,038
17-1, C 2.580%, 5/16/22		915		915
Sierra Timeshare Receivables Funding LLC
12-3A, A 144A 1.870%, 8/20/29⁽³⁾		274		274
13-1A, A 144A 1.590%, 11/20/29⁽³⁾		55		55
14-1A, A 144A 2.070%, 3/20/30⁽³⁾		84		84
14-2A, A 144A 2.050%, 6/20/31⁽²⁾⁽³⁾		54		54
16-1A, A 144A 3.080%, 3/21/33⁽³⁾		430		434
16-2A, A 144A 2.330%, 7/20/33⁽³⁾		562		561
Silverleaf Finance LLC
XVII 13-A, A 144A 2.680%, 3/16/26⁽³⁾		42		42
XVIII 14-A, A 144A 2.810%, 1/15/27⁽³⁾		159		158
SLM Private Education Loan Trust
14-A, 2A2 144A 2.590%, 1/15/26⁽³⁾		1,450		1,460
13-B, A2A 144A 1.850%, 6/17/30⁽³⁾		1,000		1,001
13-C, A2A 144A 2.940%, 10/15/31⁽³⁾		275		279
SoFi Consumer Loan Program LLC
16-3, A 144A 3.050%, 12/26/25⁽³⁾		725		732
17-1, A 144A 3.280%, 1/26/26⁽³⁾		449		455
SoFi Professional Loan Program LLC
14-B, A2 144A 2.550%, 8/27/29⁽³⁾		476		479
15-A, A2 144A 2.420%, 3/25/30⁽³⁾		187		187
16-A, A2 144A 2.760%, 12/26/36⁽³⁾		449		454
17-B, A1FX 144A 1.830%, 5/25/40⁽³⁾		838		837
17-C, A2A 144A 1.750%, 7/25/40⁽³⁾		1,105		1,104
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 01-SB1, A2 3.375%, 8/25/31		125		123
SVO VOI Mortgage Corp. 12-AA, A 144A 2.000%, 9/20/29⁽³⁾		943		934
TCF Auto Receivables Owner Trust 14-1A, B 144A 2.330%, 5/15/20⁽³⁾		475		477
Tidewater Auto Receivables Trust 16-AA, B 144A 3.130%, 3/15/20⁽³⁾		785		788


	PAR VALUE		VALUE
Trip Rail Master Funding LLC 11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾	$	219	$	220
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		899		901
Volvo Financial Equipment LLC Series 14-1A, C 144A 1.940%, 11/15/21⁽³⁾		205		205
VSE VOI Mortgage LLC 16-A, A 144A 2.540%, 7/20/33⁽³⁾		1,237		1,233
Welk Resorts LLC
13-AA, A 144A 3.100%, 3/15/29⁽³⁾		109		110
15-AA, A 144A 2.790%, 6/16/31⁽³⁾		241		240
17-AA, A 144A 2.820%, 6/15/33⁽³⁾		915		915
Westgate Resorts LLC 16-1A, A 144A 3.500%, 12/20/28⁽³⁾		1,017		1,022
Westlake Automobile Receivables Trust
16-2A C, 144A 2.830%, 5/17/21⁽³⁾		1,030		1,036
16-3A, B 144A 2.070%, 12/15/21⁽³⁾		1,688		1,684

TOTAL ASSET-BACKED SECURITIES (Identified Cost $94,813)				95,128

CORPORATE BONDS AND NOTES—24.1%
Consumer Discretionary—2.2%
CalAtlantic Group, Inc.
5.875%, 11/15/24		199		216
5.250%, 6/1/26		565		586
Daimler Finance North America LLC 144A 2.200%, 10/30/21⁽³⁾		1,195		1,180
Delphi Automotive plc 3.150%, 11/19/20		540		552
Horton (D.R.), Inc. 4.750%, 2/15/23		895		966
Hyundai Capital America
144A 2.125%, 10/2/17⁽³⁾		60		60
144A 2.450%, 6/15/21⁽³⁾		855		844
Marriott International, Inc. Series N, 3.125%, 10/15/21		290		297
QVC, Inc. 3.125%, 4/1/19		990		1,001
Sirius XM Radio, Inc. 144A 3.875%, 8/1/22⁽³⁾		740		746
Time Warner Cable, Inc. 6.750%, 7/1/18		215		225
Toll Brothers Finance Corp. 4.875%, 11/15/25		595		617
TRI Pointe Group, Inc.
4.875%, 7/1/21		400		421
5.875%, 6/15/24		175		185
Wyndham Worldwide Corp.
2.500%, 3/1/18		40		40


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
4.150%, 4/1/24	$	45	$	46

				7,982

Consumer Staples—0.3%
CVS Health Corp. 2.800%, 7/20/20		540		550
Kraft Heinz Foods Co. (The)
2.800%, 7/2/20		85		86
3.500%, 7/15/22		90		93
Smithfield Foods, Inc. 144A 3.350%, 2/1/22⁽³⁾		372		374

				1,103

Energy—1.8%
Anadarko Petroleum Corp. 4.850%, 3/15/21		530		566
Enbridge Energy Partners LP 4.375%, 10/15/20		90		95
Energy Transfer Partners LP 5.200%, 2/1/22		310		333
EP Energy LLC 144A 8.000%, 11/29/24⁽³⁾		70		70
Kinder Morgan, Inc. 144A 5.625%, 11/15/23⁽³⁾		85		94
NGL Energy Partners LP 5.125%, 7/15/19		705		700
Noble Holding International Ltd. 7.750%, 1/15/24		350		276
Oasis Petroleum, Inc. 6.875%, 1/15/23		350		339
Petrobras Global Finance BV 8.375%, 5/23/21		775		867
Petroleos Mexicanos 4.875%, 1/24/22		850		874
Regency Energy Partners LP 5.000%, 10/1/22		575		616
Sabine Pass Liquefaction LLC 6.250%, 3/15/22		1,240		1,404
Sinopec Capital Ltd. 144A 1.875%, 4/24/18⁽³⁾		250		250

				6,484

Financials—9.4%
Air Lease Corp. 2.625%, 9/4/18		550		554
Ally Financial, Inc. 5.750%, 11/20/25		330		347
Ares Capital Corp.
4.875%, 11/30/18		62		64
3.875%, 1/15/20		173		176
Aviation Capital Group Corp.
RegS 2.875%, 9/17/18⁽⁴⁾		220		222
144A 2.875%, 9/17/18⁽³⁾		115		116
Bank of America Corp.
5.490%, 3/15/19		66		69
Series L, 2.650%, 4/1/19		350		354
2.336%, 10/21/22⁽²⁾		1,835		1,863
4.200%, 8/26/24		1,375		1,426
Bank of New York Mellon Corp. (The) 2.050%, 5/3/21		860		852


	PAR VALUE		VALUE
Financials—(continued)
BBVA Banco Continental S.A. RegS 5.000%, 8/26/22⁽⁴⁾	$	520	$	565
Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19⁽³⁾		200		218
Brookfield Finance LLC 4.000%, 4/1/24		789		809
Citigroup, Inc. 2.632%, 9/1/23⁽²⁾		1,090		1,110
Fifth Third Bancorp 4.500%, 6/1/18		150		154
First Horizon National Corp. 3.500%, 12/15/20		440		451
First Tennessee Bank N.A. 2.950%, 12/1/19		250		253
Ford Motor Credit Co., LLC 5.750%, 2/1/21		400		440
FS Investment Corp.
4.250%, 1/15/20		300		306
4.750%, 5/15/22		185		190
General Motors Financial Co., Inc.
3.700%, 11/24/20		670		693
4.200%, 3/1/21		405		425
3.200%, 7/6/21		975		986
Goldman Sachs Group, Inc. (The)
2.350%, 11/15/21		350		346
3.000%, 4/26/22		900		908
4.250%, 10/21/25		320		331
2.922%, 10/28/27⁽²⁾		2,015		2,095
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		750		768
HSBC Holdings plc
2.950%, 5/25/21		860		871
2.799%, 1/5/22⁽²⁾		476		490
Huntington Bancshares, Inc. 7.000%, 12/15/20		245		280
ICAHN Enterprises LP
5.875%, 2/1/22		200		205
6.250%, 2/1/22		180		188
Industrial & Commercial Bank of China Ltd. 3.231%, 11/13/19		250		254
iStar, Inc.
5.000%, 7/1/19		270		273
6.000%, 4/1/22		105		108
Jefferies Group LLC 5.125%, 4/13/18		150		154
JPMorgan Chase & Co.
2.250%, 1/23/20		540		542
2.295%, 8/15/21		300		298
KeyCorp 5.100%, 3/24/21		185		202
Lazard Group LLC 4.250%, 11/14/20		350		369
Lincoln National Corp.


	PAR VALUE		VALUE
Financials—(continued)
8.750%, 7/1/19	$	69	$	78
4.200%, 3/15/22		470		500
3.196%, 4/20/67⁽²⁾⁽⁵⁾		75		69
Macquarie Group Ltd. 144A 3.000%, 12/3/18⁽³⁾		75		76
Metropolitan Life Global Funding I 144A 2.500%, 12/3/20⁽³⁾		650		654
Mizuho Financial Group, Inc. 2.273%, 9/13/21		565		556
Morgan Stanley 2.553%, 10/24/23⁽²⁾		730		743
Navient Corp. 6.500%, 6/15/22		473		502
Nordea Bank AB 144A 1.625%, 9/30/19⁽³⁾		1,005		997
NUVEEN FINANCE LLC 144A 2.950%, 11/1/19⁽³⁾		430		436
Prudential Financial, Inc. 8.875%, 6/15/38⁽²⁾		100		106
S&P Global, Inc. 3.300%, 8/14/20		519		532
Santander Holdings USA, Inc. 144A 3.700%, 3/28/22⁽³⁾		910		922
SBA Tower Trust
144A 3.156%, 10/15/20⁽³⁾		750		765
144A 2.877%, 7/15/21⁽³⁾		800		798
State Bank of India 144A 3.250%, 4/18/18⁽³⁾		300		302
State Street Corp. 4.956%, 3/15/18		525		537
Toronto-Dominion Bank (The) 2.125%, 4/7/21		700		697
Turkiye Is Bankasi 144A 5.500%, 4/21/22⁽³⁾		800		802
Turkiye Vakiflar Bankasi TAO 144A 5.625%, 5/30/22⁽³⁾		530		529
UBS Group Funding Jersey Ltd. 144A 2.650%, 2/1/22⁽³⁾		400		399
Voya Financial, Inc. 2.900%, 2/15/18		267		269
Wells Fargo & Co.
3.069%, 1/24/23		470		476
2.402%, 10/31/23⁽²⁾		730		743
XLIT Ltd. Series E, 2.300%, 12/15/18		135		136

				33,949

Health Care—2.3%
Abbott Laboratories
2.350%, 11/22/19		360		363
2.900%, 11/30/21		500		505
AbbVie, Inc.
2.500%, 5/14/20		370		374
2.300%, 5/14/21		495		494
3.200%, 11/6/22		45		46
2.850%, 5/14/23		495		494


	PAR VALUE		VALUE
Health Care—(continued)
Allergan Funding SCS
3.000%, 3/12/20	$	85	$	87
3.450%, 3/15/22		90		93
Becton Dickinson & Co.
2.894%, 6/6/22		322		322
3.363%, 6/6/24		192		192
Cardinal Health, Inc.
2.616%, 6/15/22		735		736
3.079%, 6/15/24		735		736
Community Health Systems, Inc. 6.250%, 3/31/23		150		155
Forest Laboratories LLC 144A 4.375%, 2/1/19⁽³⁾		55		57
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		95		100
Mylan NV
3.000%, 12/15/18		195		198
3.150%, 6/15/21		230		234
Owens & Minor, Inc. 3.875%, 9/15/21		65		66
Shire Acquisitions Investments Ireland DAC 2.400%, 9/23/21		435		430
Tenet Healthcare Corp.
4.746%, 6/15/20⁽²⁾		440		444
6.000%, 10/1/20		80		86
144A 4.625%, 7/15/24⁽³⁾		244		244
Teva Pharmaceutical Finance Netherlands III BV
2.200%, 7/21/21		140		137
2.800%, 7/21/23		140		136
THC Escrow Corp. III 144A 4.625%, 7/15/24⁽³⁾		306		307
Valeant Pharmaceuticals International, Inc. 144A 6.500%, 3/15/22⁽³⁾		105		110
Zimmer Biomet Holdings, Inc. 3.150%, 4/1/22		825		837
Zoetis, Inc. 3.450%, 11/13/20		165		171

				8,154

Industrials—2.3%
America West Airlines Pass-Through-Trust 01-1, G 7.100%, 4/2/21		897		976
British Airways Pass-Through-Trust 13-1, B 144A 5.625%, 6/20/20⁽³⁾		564		589
CNH Industrial N.V. 4.500%, 8/15/23		641		681
Continental Airlines Pass-Through-Trust 01-1, A1 6.703%, 6/15/21		227		244


	PAR VALUE		VALUE
Industrials—(continued)
Doric Nimrod Air Alpha Pass-Through-Trust 13-1, A 144A 5.250%, 5/30/23⁽³⁾	$	841	$	875
Masco Corp. 5.950%, 3/15/22		224		253
Park Aerospace Holdings Ltd. 144A 5.250%, 8/15/22⁽³⁾		780		815
Penske Truck Leasing Co., LP
RegS 2.500%, 6/15/19⁽⁴⁾		150		151
144A 3.375%, 2/1/22⁽³⁾		205		210
Pitney Bowes, Inc. 3.875%, 5/15/22		858		858
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22		2,500		2,712

				8,364

Information Technology—0.9%
Broadcom Corp.
144A 2.375%, 1/15/20⁽³⁾		545		546
144A 3.000%, 1/15/22⁽³⁾		385		389
Dell International LLC 144A 5.450%, 6/15/23⁽³⁾		685		743
Dun & Bradstreet Corp. (The)
3.500%, 12/1/17		65		65
4.250%, 6/15/20		135		139
First Data Corp. 144A 5.000%, 1/15/24⁽³⁾		785		807
Hewlett Packard Enterprise Co.
2.850%, 10/5/18		325		328
3.600%, 10/15/20		60		62

				3,079

Materials—1.3%
FMG Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		915		1,042
Glencore Funding LLC 144A 4.125%, 5/30/23⁽³⁾		900		924
NOVA Chemicals Corp.
144A 4.875%, 6/1/24⁽³⁾		380		379
144A 5.000%, 5/1/25⁽³⁾		520		517
OCP SA 144A 5.625%, 4/25/24⁽³⁾		790		854
Severstal OAO Via Steel Capital S.A. 144A 3.850%, 8/27/21⁽³⁾⁽⁸⁾		1,075		1,086

				4,802

Real Estate—1.7%
Brixmor Operating Partnership LP 3.875%, 8/15/22		140		143
CoreCivic, Inc. 5.000%, 10/15/22		390		406
Corporate Office Properties LP 3.700%, 6/15/21		220		225


	PAR VALUE		VALUE
Real Estate—(continued)
DDR Corp. 7.875%, 9/1/20	$	570	$	653
Digital Realty Trust LP
3.400%, 10/1/20		325		333
3.950%, 7/1/22		195		204
HCP, Inc. 3.750%, 2/1/19		225		230
Healthcare Trust of America Holdings LP
3.375%, 7/15/21		135		138
2.950%, 7/1/22		920		918
Hospitality Properties Trust 4.500%, 6/15/23		445		466
Kimco Realty Corp. 3.400%, 11/1/22		550		561
Select Income REIT 4.150%, 2/1/22		580		585
Senior Housing Properties Trust 3.250%, 5/1/19		125		126
Ventas Realty LP
4.000%, 4/30/19		505		519
2.700%, 4/1/20		152		154
West Europe Finance LLC 144A 3.250%, 10/5/20⁽³⁾		535		544

				6,205

Telecommunication Services—1.5%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		460		488
AT&T, Inc. 3.000%, 6/30/22		1,260		1,262
Frontier Communications Corp. 10.500%, 9/15/22		455		434
SBA Tower Trust 144A 3.168%, 4/15/22⁽³⁾		730		733
T-Mobile USA, Inc. 6.000%, 4/15/24		555		594
Telefonica Emisiones SAU 3.192%, 4/27/18		195		197
Verizon Communications, Inc.
4.600%, 4/1/21		70		75
144A 2.946%, 3/15/22⁽³⁾		1,364		1,373
3.125%, 3/16/22		306		310

				5,466

Utilities—0.4%
Exelon Corp.
2.850%, 6/15/20		805		818
3.497%, 6/1/22		196		201
State Grid Overseas Investment Ltd. 144A 2.750%, 5/7/19⁽³⁾		330		333

				1,352

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $86,052)				86,940


	PAR VALUE		VALUE
LOAN AGREEMENTS⁽²⁾—6.9%
Consumer Discretionary—1.9%
Altice US Finance I Corp. 2017 Refinancing, 3.466%, 7/28/25	$	319	$	316
Aristocrat Leisure Ltd. Tranche B-2, 3.406%, 10/20/21		522		525
Boyd Gaming Corp. Refinancing, Tranche B, 3.688%, 9/15/23		830		831
Charter Communications Operating LLC
Tranche F-1, 3.230%, 1/3/21		119		119
Tranche I-1, 3.476%, 1/15/24		875		878
CityCenter Holdings LLC Tranche B, 3.716%, 4/18/24		320		320
CSC Holdings LLC 2017 Refinancing, 3.459%, 7/17/25		185		184
El Dorado Resorts, Inc. 3.375%, 4/17/24		733		727
Harbor Freight Tools USA, Inc. 2016, 4.476%, 8/18/23		749		749
Hilton Worldwide Finance LLC Series B-2, 3.216%, 10/25/23		731		733
Las Vegas Sands LLC 2017 Refinancing, 3.230%, 3/29/24		557		558
MGM Growth Properties Operation Partnership LP Tranche B, 3.476%, 4/25/23		281		282
PetSmart, Inc. Tranche B-2, 4.220%, 3/11/22		306		284
Six Flags Theme Parks, Inc. Tranche B, 3.903%, 6/30/22		122		122
Station Casinos LLC Tranche B, 3.710%, 6/8/23		360		359

				6,987

Consumer Staples—0.5%
Albertson’s LLC
2017-1, Tranche B-4, 3.976%, 8/25/21		186		183
2017-1, Tranche B-5, 4.293%, 12/21/22		332		328
Aramark Intermediate HoldCo Corp. Tranche B, 3.226%, 3/28/24		444		446
JBS USA Lux S.A. 5.750%, 10/30/22		244		238
Kronos, Inc. First Lien, 4.680%, 11/1/23		492		495
Post Holdings, Inc. Series A, 3.470%, 5/24/24		160		160
Prestige Brands, Inc. Tranche B-4, 3.976%, 1/26/24		56		56

				1,906


	PAR VALUE		VALUE
Energy—0.2%
MEG Energy Corp. 5.383%, 12/31/23	$	211	$	205
Paragon Offshore Finance Co. 6.000%, 7/16/21⁽⁷⁾		137		52
Ultra Resources, Inc. 4.117%, 4/12/24		320		318

				575

Financials—0.1%
Fortress Investment Group LLC Tranche B, 0.000%, 6/10/22⁽⁹⁾		260		261

Health Care—1.5%
Community Health Systems, Inc. 2021 Tranche H, 4.123%, 1/27/21		594		593
DaVita, Inc. Tranche B, 3.976%, 6/24/21		98		98
Endo Luxembourg Finance Co. S.a.r.l. 5.500%, 4/29/24		515		519
Envision Healthcare Corp. 4.300%, 12/1/23		620		623
Grifols Worldwide Operations Ltd. Tranche B, 3.436%, 1/31/25		145		145
HCA, Inc. Tranche B-9, 3.226%, 3/17/23		2,175		2,179
INC Research Holdings, Inc. Tranche B, 0.000%, 6/28/24⁽⁹⁾		300		300
Iasis Healthcare LLC Tranche B-3, 5.296%, 2/17/21		35		35
Valeant Pharmaceuticals International, Inc. Series F, Tranche B, 5.830%, 4/1/22		744		754

				5,246

Industrials—1.1%
American Airlines, Inc.
2017 Replacement, 3.220%, 6/27/20		995		994
Replacement, Tranche B, 3.724%, 4/28/23		653		653
TransDigm, Inc.
Tranche D, 4.261%, 6/4/21		65		65
Tranche E, 4.261%, 5/14/22		78		78
Tranche F, 4.226%, 6/9/23		677		676
United Airlines, Inc. Tranche B, 3.422%, 4/1/24		1,566		1,571

				4,037

Information Technology—0.4%
Leidos Innovations Corp. Tranche B, 3.500%, 8/16/23		258		259
Rackspace Hosting, Inc. 2017 Refinancing, Tranche B, First Lien, 4.172%, 11/3/23		642		641
SS&C Technologies Holdings, Inc.


	PAR VALUE			VALUE
Information Technology—(continued)
2017 Refinancing, Tranche B-2, 3.476%, 7/8/22	$	6		$	6
2017 Refinancing, Tranche B-1, 3.476%, 7/8/22		98			98
Western Digital Corp. Tranche B-2, 3.976%, 4/29/23		549			550

					1,554

Materials—0.1%
Huntsman International LLC 2023, Tranche B, 4.121%, 4/1/23		176			176
Ineos U.S. Finance LLC 2022, 3.976%, 3/31/22		24			25

					201

Telecommunication Services—0.5%
CenturyLink, Inc. Tranche B, 1.375%, 1/31/25		440			435
Level 3 Financing, Inc. 2024, Tranche B, 3.466%, 2/22/24		913			915
Sprint Communications, Inc. 3.750%, 2/2/24		224			224
UPC Financing Partnership 3.909%, 4/15/25		285			285

					1,859

Utilities—0.6%
Calpine Corp. 2016, 4.050%, 5/31/23		668			667
Helix Gen Funding LLC 4.960%, 6/3/24		57			58
NRG Energy, Inc. 3.546%, 6/30/23		996			994
Vistra Operations Co. LLC 2016, 4.474%, 12/14/23		83			82
Vistra Operations Company LLC
3.976%, 8/4/23		233			231
Tranche C, 3.977%, 8/4/23		54			53

					2,085

TOTAL LOAN AGREEMENTS (Identified Cost $24,809)					24,711


	SHARES
PREFERRED STOCKS—0.7%
Financials—0.7%
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		390	⁽⁶⁾		407
Citigroup, Inc. Series T, 6.250%⁽²⁾		660	⁽⁶⁾		732
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		1,155	⁽⁶⁾		1,202
Wells Fargo & Co. Series K, 7.980%⁽²⁾		325	⁽⁶⁾		339


	VALUE
TOTAL PREFERRED STOCKS (Identified Cost $2,594)	$	2,680

TOTAL LONG TERM INVESTMENTS—98.0% (Identified Cost $351,616)		352,897

TOTAL INVESTMENTS—98.0% (Identified Cost $351,616)		352,897	⁽¹⁾
Other assets and liabilities, net—2.0%		7,129

NET ASSETS—100.0%	$	360,026

Abbreviations:


FHLMC		Federal Home Loan Mortgage Corporation (“Freddie Mac”)
FNMA		Federal National Mortgage Association (“Fannie Mae”)
GNMA		Government National Mortgage Association (“Ginnie Mae”)
REIT		Real Estate Investment Trust
REMIC		Real Estate Mortgage Investment Conduit

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $158,881 or 44.1% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	Interest payments may be deferred.

⁽⁶⁾	Value shown as par value.

⁽⁷⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

⁽⁸⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁹⁾	This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 1 (quoted prices) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—2.5%
U.S. Treasury Note
1.875%, 2/28/22	$	5,585		$	5,591
1.625%, 2/15/26		3,340			3,174

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $8,801)					8,765

MUNICIPAL BONDS—0.1%
Michigan—0.0%
Tobacco Settlement Finance Authority Taxable Turbo Series A, 7.309%, 6/1/34		140			140

Virginia—0.1%
Tobacco Settlement Financing Corp. Series A-1, Taxable 6.706%, 6/1/46		325			284

TOTAL MUNICIPAL BONDS (Identified Cost $458)					424

FOREIGN GOVERNMENT SECURITIES—12.5%
Argentine Republic
5.625%, 1/26/22		465			476
7.500%, 4/22/26		1,765			1,897
6.875%, 1/26/27		655			677
Series NY, 8.280%, 12/31/33		1,570			1,740
7.125%, 7/6/36		735			728
7.625%, 4/22/46		370			379
Bolivarian Republic of Venezuela
RegS 7.650%, 4/21/25⁽⁴⁾		1,500			641
9.375%, 1/13/34		920			416
Dominican Republic 144A 6.875%, 1/29/26⁽³⁾		180			201
Federative Republic of Brazil
12.500%, 1/5/22		2,645	^BRL		906
Treasury Note Series F, 10.000%, 1/1/23		2,480	^BRL		741
8.500%, 1/5/24		1,690	^BRL		508
Treasury Note Series F, 10.000%, 1/1/25		1,880	^BRL		555
10.250%, 1/10/28		2,665	^BRL		859
5.625%, 1/7/41		670			645
Kingdom of Bahrain 144A 7.000%, 10/12/28⁽³⁾		910			921
Kingdom of Jordan 144A 5.750%, 1/31/27⁽³⁾		1,075			1,069
Kingdom of Morocco 144A 5.500%, 12/11/42⁽³⁾		800			887
Kingdom of Qatar 144A 3.250%, 6/2/26⁽³⁾		480			467
Provincia de Buenos Aires


	PAR VALUE			VALUE
144A 9.125%, 3/16/24⁽³⁾	$	730		$	821
144A 7.875%, 6/15/27⁽³⁾		1,180			1,225
Republic of Chile 5.500%, 8/5/20		474,000	^CLP		757
Republic of Colombia
4.375%, 3/21/23		3,746,000	^COP		1,143
3.875%, 4/25/27		400			404
9.850%, 6/28/27		946,000	^COP		398
Republic of Costa Rica
144A 4.375%, 4/30/25⁽³⁾		795			754
144A 7.000%, 4/4/44⁽³⁾		200			208
Republic of Ecuador 144A 9.650%, 12/13/26⁽³⁾		1,210			1,214
Republic of El Salvador 144A 6.375%, 1/18/27⁽³⁾		1,405			1,268
Republic of Ghana 144A 10.750%, 10/14/30⁽³⁾		665			823
Republic of Indonesia
Series FR70, 8.375%, 3/15/24		9,640,000	^IDR		785
Series FR56, 8.375%, 9/15/26		13,950,000	^IDR		1,157
144A 4.350%, 1/8/27⁽³⁾		460			480
Republic of Iraq RegS 5.800%, 1/15/28⁽⁴⁾		610			543
Republic of Kazakhstan 144A 5.125%, 7/21/25⁽³⁾		245			266
Republic of South Africa
Series R203, 8.250%, 9/15/17		3,690	^ZAR		282
Series R208, 6.750%, 3/31/21		6,720	^ZAR		497
4.875%, 4/14/26		430			431
4.300%, 10/12/28		2,140			1,999
Republic of Turkey
6.250%, 9/26/22		515			560
7.375%, 2/5/25		1,570			1,818
4.875%, 10/9/26		2,440			2,405
6.000%, 3/25/27		790			841
4.875%, 4/16/43		945			838
Russian Federation
144A 7.850%, 3/10/18⁽³⁾		60,000	^RUB		1,016
Series 6216, 6.700%, 5/15/19		57,000	^RUB		947
Sultanate of Oman 144A 4.750%, 6/15/26⁽³⁾		1,170			1,151
Ukraine
144A 7.750%, 9/1/22⁽³⁾		900			905
144A 7.750%, 9/1/26⁽³⁾		850			827
United Mexican States
Series M, 6.500%, 6/9/22		16,410	^MXN		899
4.150%, 3/28/27		460			476
4.750%, 3/8/44		508			509

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $45,041)					43,360


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES—12.5%
Agency—1.8%
FHLMC 3.500%, 4/1/46	$	1,181	$	1,214
FNMA
4.000%, 10/1/44		1,063		1,117
3.500%, 9/1/45		1,828		1,878
3.500%, 1/1/46		1,010		1,038
3.500%, 5/1/46		980		1,007

				6,254

Non-Agency—10.7%
American Homes 4 Rent Trust
14-SFR2, C 144A 4.705%, 10/17/36⁽³⁾		915		972
15-SFR2, C 144A 4.691%, 10/17/45⁽³⁾		805		857
15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		673		694
Ameriquest Mortgage Securities, Inc. Pass-Through Certificates, 03-AR3, M4 4.144%, 6/25/33⁽²⁾		1,135		1,127
AMSR Trust 16-SFR1, D 144A 3.609%, 11/17/33⁽²⁾⁽³⁾		765		776
Banc of America Funding Trust
04-D, 5A1 3.545%, 1/25/35⁽²⁾		837		787
05-1, 1A1 5.500%, 2/25/35		371		371
06-2, 3A1 6.000%, 3/25/36		172		175
Bank of America (Countrywide) Asset-Backed Certificates 05-1, AF5A 5.109%, 7/25/35⁽²⁾		877		908
Bank of America (Merrill Lynch—Countrywide) Alternative Loan Trust
04-22CB, 1A1 6.000%, 10/25/34		357		368
04-24CB, 1A1 6.000%, 11/25/34		82		85
Bank of America (Merrill Lynch) Commercial Mortgage Securities Trust 15-200P, A 144A 3.218%, 4/14/33⁽³⁾		705		713
Bayview Opportunity Master Fund IIIb Trust 17-RN2, A1 144A 3.475%, 4/28/32⁽²⁾⁽³⁾		514		513
Bayview Opportunity Master Fund IVa Trust
16-SPL1, B1 144A 4.250%, 4/28/55⁽³⁾		625		647
17-SLP5, B1 144A 4.000%, 6/28/57⁽²⁾⁽³⁾		700		738
17-SPL1, B1 144A 4.250%, 10/28/64⁽²⁾⁽³⁾		493		514
Bayview Opportunity Master Fund IVb Trust
16-SPL2, B1 144A 4.250%, 6/28/53⁽²⁾⁽³⁾		445		460
17-SPL3, B1 144A 4.250%, 11/28/53⁽²⁾⁽³⁾		745		780
Citigroup Mortgage Loan Trust, Inc.


	PAR VALUE		VALUE
Non-Agency—(continued)
05-5, 2A3 5.000%, 8/25/35	$	172	$	170
15-A, A1 144A 3.500%, 6/25/58⁽²⁾⁽³⁾		588		600
Colony American Finance Ltd. 15-1, A 144A 2.896%, 10/15/47⁽³⁾		610		611
Colony Starwood Homes Trust 16-2A, C 144A 3.359%, 12/17/33⁽²⁾⁽³⁾		770		770
COLT Mortgage Loan Trust Funding LLC 17-1, A3 144A 3.074%, 5/27/47⁽²⁾⁽³⁾		694		697
Commercial Mortgage Trust 07-GG11, AM 5.867%, 12/10/49⁽²⁾		600		602
Credit Suisse Commercial Mortgage Trust 14-LVR2, A2 144A 3.842%, 4/25/44⁽²⁾⁽³⁾		314		324
Credit Suisse Commercial Mortgage-Backed Trust 06-08, 3A1 6.000%, 10/25/21		291		276
Credit Suisse Mortgage Loan Trust 15-1, B4 144A 3.893%, 5/25/45⁽²⁾⁽³⁾		678		632
Deephaven Residential Mortgage Trust
17-1A, A2 144A 2.928%, 12/26/46⁽²⁾⁽³⁾		558		558
17-2A, A2 144A 2.606%, 6/25/47⁽²⁾⁽³⁾		325		324
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.495%, 12/15/34⁽²⁾⁽³⁾		600		611
Galton Funding Mortgage Trust 17-1, A21 144A 3.500%, 7/25/56⁽²⁾⁽³⁾		582		588
GSAA Home Equity Trust 05-12, AF3W 4.999%, 9/25/35⁽²⁾		266		269
GSR Mortgage Loan Trust 06-1F, 2A4 6.000%, 2/25/36		303		265
Home Equity Loan Trust 03-HS3, AI4 5.550%, 9/25/33⁽²⁾		105		106
Jefferies Resecuritization Trust 14-R1, 2A1 144A 4.000%, 12/27/37⁽³⁾		152		151
JPMorgan Chase Commercial Mortgage Securities Trust 07-LDPX, AM 5.464%, 1/15/49⁽²⁾		214		214
JPMorgan Chase Mortgage Trust
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		514		531
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		709		719
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾		882		894
16-5, A1 144A 2.605%, 12/25/46⁽²⁾⁽³⁾		1,216		1,213
MASTR Alternative Loan Trust
05-5, 2A3 5.500%, 7/25/25		749		747
04-6, 7A1 6.000%, 7/25/34		912		915


	PAR VALUE		VALUE
Non-Agency—(continued)
05-2, 2A1 6.000%, 1/25/35	$	403	$	416
MASTR Specialized Loan Trust 05-3, A2 144A 5.704%, 11/25/35⁽²⁾⁽³⁾		275		284
Mill City Mortgage Loan Trust 16-1, M1 144A 3.150%, 4/25/57⁽²⁾⁽³⁾		525		514
Motel 6 Trust 15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		1,080		1,080
New Residential Mortgage Loan Trust
16-4A, B1A 144A 4.500%, 11/25/56⁽²⁾⁽³⁾		695		720
17-2A, A3 144A 4.000%, 3/25/57⁽²⁾⁽³⁾		490		510
One Market Plaza Trust 17-1MKT, A 144A 3.614%, 2/10/32⁽³⁾		620		645
Pretium Mortgage Credit Partners I LLC 17-NPL2, A1, 144A 3.250%, 3/28/57⁽²⁾⁽³⁾		580		581
Resecuritization Pass-Through Trust 05-8R, A5 6.000%, 10/25/34		346		348
Residential Asset Securitization Trust 05-A1, A3 5.500%, 4/25/35		592		596
Sequoia Mortgage Trust
13-8, B1 3.533%, 6/25/43⁽²⁾		733		740
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		214		218
Towd Point Mortgage Trust
15-1, A2 144A 3.250%, 10/25/53⁽²⁾⁽³⁾		555		554
15-6, M1 144A 3.750%, 4/25/55⁽²⁾⁽³⁾		760		767
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		690		705
15-2, 1M1 144A 3.250%, 11/25/60⁽²⁾⁽³⁾		1,920		1,919
Vericrest Opportunity Loan Trust LI LLC 16-NP11, A1 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		248		248
Vericrest Opportunity Loan Trust LVI LLC 17-NPL3, A1 144A 3.500%, 3/25/47⁽²⁾⁽³⁾		619		621
Vericrest Opportunity Loan Trust LVIII LLC 17-NPL5, A1 144A 3.375%, 5/28/47⁽²⁾⁽³⁾		488		488
VSD 17-PLT1, A 3.600%, 12/25/43		344		344
Wells Fargo Commercial Mortgage Trust 15-LC20, B 3.719%, 4/15/50		875		880

				37,450

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $43,378)				43,704

ASSET-BACKED SECURITIES—4.0%
Carnow Auto Receivables Trust 16-1A, D 144A 7.340%, 11/15/21⁽³⁾		745		748


	PAR VALUE		VALUE
Chrysler Capital Auto Receivables Trust 16-BA, D 144A 3.510%, 9/15/23⁽³⁾	$	860	$	858
CKE Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		547		546
DB Master Finance LLC 15-1A, A2II 144A 3.980%, 2/20/45⁽³⁾		374		384
Drug Royalty III LP 1 16-1A, A 144A 3.979%, 4/15/27⁽³⁾		950		953
DT Auto Owner Trust 17-2A, D 144A 3.890%, 1/15/23⁽³⁾		1,180		1,188
Exeter Automobile Receivables Trust 14-3A, D 144A 5.690%, 4/15/21⁽³⁾		965		997
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		516		517
First Investors Auto Owner Trust 15-2A, E 144A 5.590%, 11/15/22⁽³⁾		950		953
Flagship Credit Auto Trust
15-1, D 144A 5.260%, 7/15/21⁽³⁾		885		915
14-1, E 144A 5.710%, 8/16/21⁽³⁾		665		682
Leaf Receivables Funding 10 LLC 15-1, E2 144A 6.000%, 6/15/23⁽³⁾		555		547
Leaf Receivables Funding 11 LLC 16-1, E2 144A 6.000%, 6/15/24⁽³⁾		290		290
Mariner Finance Issuance Trust 17-AA, A 144A 3.620%, 2/20/29⁽³⁾		775		781
Prosper Marketplace Issuance Trust 17-1A, B 144A 3.650%, 6/15/23⁽³⁾		848		854
Santander Drive Auto Receivables Trust 17-2, D 3.490%, 7/17/23		1,020		1,020
TGIF Funding LLC 17-1A, A2 144A 6.202%, 4/30/47⁽³⁾		780		788
Trip Rail Master Funding LLC 11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		156		157
Wendy’s Funding LLC 15-1A, A2II 144A 4.080%, 6/15/45⁽³⁾		678		695

TOTAL ASSET-BACKED SECURITIES (Identified Cost $13,776)				13,873

CORPORATE BONDS AND NOTES—51.1%
Consumer Discretionary—6.9%
Altice Luxembourg S.A. 144A 7.625%, 2/15/25⁽³⁾		715		786
American Greetings Corp. 144A 7.875%, 2/15/25⁽³⁾		300		324


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Beazer Homes USA, Inc.
5.750%, 6/15/19	$	472	$	495
6.750%, 3/15/25		325		339
Cablevision Systems Corp. 5.875%, 9/15/22		835		878
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽¹⁰⁾		207		266
Caesars Entertainment Resort Properties LLC 8.000%, 10/1/20		320		330
Caesars Growth Properties Holdings LLC 9.375%, 5/1/22		785		852
CalAtlantic Group, Inc.
5.250%, 6/1/26		510		529
5.000%, 6/15/27		550		551
Century Communities, Inc. 144A 5.875%, 7/15/25⁽³⁾		880		876
Cequel Communications Holdings I LLC 144A 5.125%, 12/15/21⁽³⁾		655		667
Charter Communications Operating LLC 4.908%, 7/23/25		860		929
Clear Channel Worldwide Holdings, Inc.
Series B, 7.625%, 3/15/20		575		572
Series A 7.625%, 3/15/20		320		315
Cooper-Standard Automotive, Inc. 144A 5.625%, 11/15/26⁽³⁾		540		542
Eldorado Resorts, Inc. 144A 6.000%, 4/1/25⁽³⁾		125		133
Gateway Casinos & Entertainment Ltd. 144A 8.250%, 3/1/24⁽³⁾		710		738
Goodyear Tire & Rubber Co. (The) 4.875%, 3/15/27		455		462
Hilton Worldwide Finance LLC
144A 4.625%, 4/1/25⁽³⁾		210		217
144A 4.875%, 4/1/27⁽³⁾		130		136
Horton (D.R.), Inc. 4.750%, 2/15/23		620		669
iHeartCommunications, Inc. 9.000%, 12/15/19		550		432
International Game Technology plc 144A 6.250%, 2/15/22⁽³⁾		340		371
Laureate Education, Inc. 144A 8.250%, 5/1/25⁽³⁾		210		225
McGraw-Hill Global Education Holdings LLC 144A 7.875%, 5/15/24⁽³⁾		700		677
MDC Holdings, Inc. 5.500%, 1/15/24		880		931
Meritor, Inc. 6.750%, 6/15/21		300		311
PetSmart, Inc. 144A 8.875%, 6/1/25⁽³⁾		485		448


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Pinnacle Entertainment, Inc. 144A 5.625%, 5/1/24⁽³⁾	$	350	$	364
QVC, Inc. 5.125%, 7/2/22		240		254
Scientific Games International, Inc.
6.625%, 5/15/21		540		537
144A 7.000%, 1/1/22⁽³⁾		590		628
SFR Group S.A. 144A 7.375%, 5/1/26⁽³⁾		905		982
Signet UK Finance plc 4.700%, 6/15/24		895		871
Six Flags Entertainment Corp. 144A 4.875%, 7/31/24⁽³⁾		610		614
TI Group Automotive Systems LLC 144A 8.750%, 7/15/23⁽³⁾		490		518
Toll Brothers Finance Corp. 4.875%, 11/15/25		195		202
TRI Pointe Group, Inc. 5.875%, 6/15/24		815		860
Vista Outdoor, Inc. 5.875%, 10/1/23		850		873
VTR Finance BV 144A 6.875%, 1/15/24⁽³⁾		600		636
Wyndham Worldwide Corp. 4.500%, 4/1/27		795		820
Ziggo Secured Finance BV 144A 5.500%, 1/15/27⁽³⁾		890		909

				24,069

Consumer Staples—1.4%
Cumberland Farms, Inc. 144A 6.750%, 5/1/25⁽³⁾		395		416
Dole Food Co., Inc. 144A 7.250%, 6/15/25⁽³⁾		575		598
Kronos Acquisition Holdings, Inc. 144A 9.000%, 8/15/23⁽³⁾		485		484
MARB BondCo plc 144A 7.000%, 3/15/24⁽³⁾		400		387
Pilgrim’s Pride Corp. 144A 5.750%, 3/15/25⁽³⁾		340		341
Post Holdings, Inc.
144A 5.000%, 8/15/26⁽³⁾		620		618
144A 5.750%, 3/1/27⁽³⁾		205		211
Rite Aid Corp. 144A 6.125%, 4/1/23⁽³⁾		785		775
Safeway, Inc. 7.250%, 2/1/31		510		479
Tops Holding LLC 144A 8.000%, 6/15/22⁽³⁾		760		624

				4,933

Energy—12.2%
Afren plc 144A 11.500%, 2/1/20^(3)(11)(12)		464		—	⁽¹⁴⁾
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25⁽³⁾		815		857
Alta Mesa Holdings LP 144A 7.875%, 12/15/24⁽³⁾		455		458
American Midstream Partners LP 144A 8.500%, 12/15/21⁽³⁾		365		366


	PAR VALUE		VALUE
Energy—(continued)
Anadarko Finance Co. Series B, 7.500%, 5/1/31	$	245	$	306
Anadarko Petroleum Corp. 6.600%, 3/15/46		460		568
Antero Resources Corp. 5.625%, 6/1/23		490		496
Archrock Partners LP 6.000%, 10/1/22		740		718
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		380		383
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		675		650
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24		680		758
Chesapeake Energy Corp. 144A 8.000%, 6/15/27⁽³⁾		885		870
Compagnie Generale de Geophysique-Veritas 6.500%, 6/1/21⁽¹¹⁾		725		279
Concho Resources, Inc. 5.500%, 4/1/23		295		303
CONSOL Energy, Inc. 5.875%, 4/15/22		325		319
Continental Resources, Inc. 4.500%, 4/15/23		305		291
Crestwood Midstream Partners LP 144A 5.750%, 4/1/25⁽³⁾		670		668
Denbury Resources, Inc. 5.500%, 5/1/22		360		202
Ecopetrol S.A.
5.875%, 9/18/23		615		673
5.375%, 6/26/26		1,705		1,773
Encana Corp.
3.900%, 11/15/21		320		326
8.125%, 9/15/30		330		419
Energy Transfer Equity LP 5.875%, 1/15/24		885		938
EP Energy LLC
9.375%, 5/1/20		380		300
144A 8.000%, 11/29/24⁽³⁾		530		529
FTS International, Inc. 6.250%, 5/1/22		450		365
Gazprom Neft OAO 144A 6.000%, 11/27/23⁽³⁾⁽⁷⁾		255		278
Gazprom OAO 144A 4.950%, 2/6/28⁽³⁾⁽⁷⁾		750		754
Helmerich & Payne International Drilling Co. 4.650%, 3/15/25		540		566
HollyFrontier Corp. 5.875%, 4/1/26		900		954
KazMunayGas National Co. 144A 6.375%, 4/9/21⁽³⁾		450		489
Kinder Morgan, Inc. 7.750%, 1/15/32		1,115		1,402
Matador Resources Co. 6.875%, 4/15/23		910		944
MEG Energy Corp. 144A 6.500%, 1/15/25⁽³⁾		450		410
MPLX LP 4.875%, 12/1/24		875		933
Nabors Industries, Inc. 144A 5.500%, 1/15/23⁽³⁾		1,055		1,000


	PAR VALUE		VALUE
Energy—(continued)
NGL Energy Partners LP 5.125%, 7/15/19	$	925	$	918
Noble Holding International Ltd. 7.750%, 1/15/24		420		332
Novatek OAO (Novatek Finance Ltd.) 144A 4.422%, 12/13/22⁽³⁾⁽⁷⁾		1,105		1,127
NuStar Logistics LP 5.625%, 4/28/27		360		378
Oasis Petroleum, Inc. 6.875%, 1/15/23		1,000		967
Occidental Petroleum Corp. 4.400%, 4/15/46		700		729
Odebrecht Offshore Drilling Finance Ltd. 144A 6.750%, 10/1/22^(3)(11)		1,013		339
Parker Drilling Co. 7.500%, 8/1/20		1,075		935
Peabody Securities Finance Corp. 144A 6.000%, 3/31/22⁽³⁾		95		94
Pertamina Persero PT
144A 4.300%, 5/20/23⁽³⁾		600		621
144A 6.000%, 5/3/42⁽³⁾		400		432
144A 5.625%, 5/20/43⁽³⁾		320		331
Petrobras Global Finance BV
5.375%, 1/27/21		830		844
8.375%, 5/23/21		170		190
8.750%, 5/23/26		1,775		2,041
7.375%, 1/17/27		327		346
Petroleos de Venezuela S.A. 144A 6.000%, 5/16/24⁽³⁾		1,580		591
Petroleos Mexicanos
6.875%, 8/4/26		2,050		2,271
6.500%, 6/2/41		465		462
5.500%, 6/27/44		650		575
Regency Energy Partners LP 5.000%, 10/1/22		1,010		1,083
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾		735		736
Sabine Oil & Gas Corp. 7.250%, 6/15/19^(11)(12)(17)		935		3
Sabine Pass Liquefaction LLC 144A 4.200%, 3/15/28⁽³⁾		320		323
SM Energy Co.
6.125%, 11/15/22		320		304
6.500%, 1/1/23		400		381
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾		895		969
State Oil Co. of the Azerbaijan Republic 6.950%, 3/18/30		855		900
Transocean, Inc.
144A 9.000%, 7/15/23⁽³⁾		440		456
6.800%, 3/15/38		250		183


	PAR VALUE			VALUE
Energy—(continued)
Ultra Resources, Inc.
144A 6.875%, 4/15/22⁽³⁾	$	37		$	37
144A 7.125%, 4/15/25⁽³⁾		185			182
Weatherford International Ltd. 144A 9.875%, 2/15/24⁽³⁾		250			261
YPF S.A. 144A 8.500%, 3/23/21⁽³⁾		490			545

					42,431

Financials—10.5%
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		2,440	^TRY		675
Allstate Corp. (The) 5.750%, 8/15/53⁽²⁾⁽⁶⁾		845			925
Ally Financial, Inc. 5.750%, 11/20/25		575			605
Ares Capital Corp. 3.625%, 1/19/22		465			470
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26⁽³⁾		725			748
Banco Bilbao Vizcaya Argentaria Bancomer S.A. 144A 6.500%, 3/10/21⁽³⁾		425			468
Banco de Bogota S.A. 144A 6.250%, 5/12/26⁽³⁾		730			778
Banco de Credito del Peru 144A 6.125%, 4/24/27⁽²⁾⁽³⁾		1,095			1,206
Banco Internacional del Peru SAA Interbank 144A 6.625%, 3/19/29⁽²⁾⁽³⁾		395			437
Banco Nacional de Comercio Exterior SNC 144A 4.375%, 10/14/25⁽³⁾		550			569
Bancolombia S.A. 5.125%, 9/11/22		1,015			1,061
Bank of America Corp. 4.200%, 8/26/24		1,057			1,097
Bank of China Ltd. 144A 5.000%, 11/13/24⁽³⁾		875			938
Bonos del Banco Central de Chile En Pesos 4.500%, 6/1/20		185,000	^CLP		289
Brookfield Finance LLC 4.000%, 4/1/24		575			590
Capital One Financial Corp. 3.750%, 7/28/26		1,030			1,005
Citigroup, Inc. 3.200%, 10/21/26		685			666
Citizens Financial Group, Inc. 5.500%^(2)(5)(6)		920			961
Compass Bank 3.875%, 4/10/25		900			897
Development Bank of Kazakhstan JSC 144A 4.125%, 12/10/22⁽³⁾		1,090			1,090
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾		915			923
Eurasian Development Bank 144A 4.767%, 9/20/22⁽³⁾		925			959
FS Investment Corp.
4.250%, 1/15/20		525			536


	PAR VALUE		VALUE
Financials—(continued)
4.750%, 5/15/22	$	200	$	205
Genworth Holdings, Inc. 4.900%, 8/15/23		585		486
GrupoSura Finance S.A. 144A 5.500%, 4/29/26⁽³⁾		725		780
ICAHN Enterprises LP
6.000%, 8/1/20		370		381
5.875%, 2/1/22		510		522
6.250%, 2/1/22		195		203
ICICI Bank Ltd. 144A 4.000%, 3/18/26⁽³⁾		230		232
ING Groep N.V. 6.000%^(2)(5)(6)		865		884
iStar, Inc.
5.000%, 7/1/19		430		434
6.000%, 4/1/22		350		359
Jefferies Group LLC 4.850%, 1/15/27		360		376
JPMorgan Chase & Co. 2.950%, 10/1/26		1,200		1,158
Kazakhstan Temir Zholy Finance BV 144A 6.950%, 7/10/42⁽³⁾		795		844
Leucadia National Corp. 5.500%, 10/18/23		575		615
Lincoln National Corp. 3.196%, 4/20/67⁽²⁾⁽⁶⁾		300		275
Morgan Stanley 3.125%, 7/27/26		850		827
Navient Corp.
7.250%, 9/25/23		190		204
6.750%, 6/25/25		715		737
OM Asset Management plc 4.800%, 7/27/26		785		791
Powszechna Kasa Oszczednosci Bank Polski S.A. 144A 4.630%, 9/26/22⁽³⁾⁽⁷⁾		1,315		1,404
Prudential Financial, Inc. 5.875%, 9/15/42⁽²⁾		1,430		1,593
Santander Bank NA 8.750%, 5/30/18		400		424
Sberbank of Russia 144A 5.500%, 2/26/24^(2)(3)(7)		450		458
Springleaf Finance Corp. 6.125%, 5/15/22		235		248
TC Ziraat Bankasi AS 144A 5.125%, 5/3/22⁽³⁾		635		637
Teachers Insurance & Annuity Association of America 144A 4.375%, 9/15/54⁽²⁾⁽³⁾		740		748
Toronto-Dominion Bank (The) 3.625%, 9/15/31⁽²⁾		295		293
Turkiye Garanti Bankasi AS 144A 5.250%, 9/13/22⁽³⁾		500		507
Turkiye Vakiflar Bankasi TAO 144A 5.625%, 5/30/22⁽³⁾		910		908
Voya Financial, Inc. 5.650%, 5/15/53⁽²⁾		870		924

				36,350

Health Care—3.8%
Abbott Laboratories 3.750%, 11/30/26		1,030		1,052


	PAR VALUE		VALUE
Health Care—(continued)
Becton Dickinson & Co.
3.363%, 6/6/24	$	178	$	178
3.700%, 6/6/27		1,050		1,052
Change Healthcare Holdings LLC 144A 5.750%, 3/1/25⁽³⁾		140		143
Community Health Systems, Inc.
6.875%, 2/1/22		420		367
6.250%, 3/31/23		355		366
Concordia International Corp. 144A 9.000%, 4/1/22⁽³⁾		185		140
DJO Finco, Inc. 144A 8.125%, 6/15/21⁽³⁾		345		321
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A 7.625%, 5/15/22^(3)(18)		445		458
Endo Finance LLC 144A 5.375%, 1/15/23⁽³⁾		660		551
Envision Healthcare Corp. 144A 6.250%, 12/1/24⁽³⁾		165		176
HCA, Inc. 5.375%, 2/1/25		435		459
Inventiv Group Holdings, Inc. 144A 7.500%, 10/1/24⁽³⁾		640		694
MEDNAX, Inc. 144A 5.250%, 12/1/23⁽³⁾		395		407
MPH Acquisition Holdings LLC 144A 7.125%, 6/1/24⁽³⁾		675		720
Ortho-Clinical Diagnostics, Inc. 144A 6.625%, 5/15/22⁽³⁾		710		678
Surgery Center Holdings, Inc.
144A 8.875%, 4/15/21⁽³⁾		570		618
144A 6.750%, 7/1/25⁽³⁾		190		192
Team Health Holdings, Inc. 144A 6.375%, 2/1/25⁽³⁾		470		456
Tenet Healthcare Corp.
4.750%, 6/1/20		275		285
6.000%, 10/1/20		180		193
144A 7.500%, 1/1/22⁽³⁾		35		38
8.125%, 4/1/22		385		409
THC Escrow Corp. III
144A 5.125%, 5/1/25⁽³⁾		515		517
144A 7.000%, 8/1/25⁽³⁾		785		782
Valeant Pharmaceuticals International, Inc.
144A 6.375%, 10/15/20⁽³⁾		320		310
144A 7.500%, 7/15/21⁽³⁾		130		126
144A 5.625%, 12/1/21⁽³⁾		140		126
144A 6.500%, 3/15/22⁽³⁾		70		73
144A 5.875%, 5/15/23⁽³⁾		380		326


	PAR VALUE		VALUE
Health Care—(continued)
144A 7.000%, 3/15/24⁽³⁾	$	80	$	84
Zimmer Biomet Holdings, Inc. 3.550%, 4/1/25		1,030		1,040

				13,337

Industrials—3.8%
Bombardier, Inc. 144A 6.125%, 1/15/23⁽³⁾		575		576
Cemex Finance LLC 144A 6.000%, 4/1/24⁽³⁾		740		786
CNH Industrial N.V. 4.500%, 8/15/23		602		640
Continental Airlines Pass-Through-Trust 01-1, A1 6.703%, 6/15/21		42		45
Delhi International Airport Pvt Ltd. 144A 6.125%, 10/31/26⁽³⁾		250		267
DP World Ltd. 144A 6.850%, 7/2/37⁽³⁾		400		470
Embraer Netherlands Finance BV 5.400%, 2/1/27		370		387
GATX Corp. 3.250%, 9/15/26		125		121
Great Lakes Dredge & Dock Corp 144A 8.000%, 5/15/22⁽³⁾		500		509
Hawaiian Airlines Pass-Through Certificates 13-1, B 4.950%, 1/15/22		731		746
Hertz Corp. (The) 144A 7.625%, 6/1/22⁽³⁾		600		599
Hillman Group, Inc. (The) 144A 6.375%, 7/15/22⁽³⁾		430		413
JBS Investments GmbH 144A 7.250%, 4/3/24⁽³⁾		830		741
Latam Finance Ltd. 144A 6.875%, 4/11/24⁽³⁾		795		809
Masco Corp. 5.950%, 3/15/22		486		549
New Enterprise Stone & Lime Co., Inc. 144A 10.125%, 4/1/22⁽³⁾		60		65
Owens Corning 3.400%, 8/15/26		900		887
Park Aerospace Holdings Ltd.
144A 5.250%, 8/15/22⁽³⁾		405		423
144A 5.500%, 2/15/24⁽³⁾		390		407
Pitney Bowes, Inc. 3.875%, 5/15/22		939		939
Prime Security Services Borrower LLC 144A 9.250%, 5/15/23⁽³⁾		490		532
SCF Capital Designated Activity Co. 144A 5.375%, 6/16/23⁽³⁾		470		486
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾		225		237
TransDigm, Inc. 6.500%, 5/15/25		270		275
United Airlines Pass-Through Trust 14-1, B 4.750%, 4/11/22		387		401
Wheels Up Finance I LLC Series A, 7.702%, 6/1/24^(2)(12)		838		834

				13,144


	PAR VALUE		VALUE
Information Technology—1.5%
Arrow Electronics, Inc. 3.875%, 1/12/28	$	860	$	856
Blackboard, Inc. 144A 9.750%, 10/15/21⁽³⁾		503		473
Broadcom Corp.
144A 3.000%, 1/15/22⁽³⁾		250		252
144A 3.625%, 1/15/24⁽³⁾		625		639
Dell International LLC
144A 5.450%, 6/15/23⁽³⁾		150		163
144A 8.100%, 7/15/36⁽³⁾		295		371
Hewlett Packard Enterprise Co. 4.900%, 10/15/25		425		446
Rackspace Hosting, Inc. 144A 8.625%, 11/15/24⁽³⁾		1,085		1,156
Radiate Holdco LLC 144A 6.625%, 2/15/25⁽³⁾		930		930

				5,286

Materials—5.5%
AK Steel Corp.
7.500%, 7/15/23		385		416
7.000%, 3/15/27		630		650
Aleris International, Inc. 144A 9.500%, 4/1/21⁽³⁾		393		404
Alpek SAB de C.V. 144A 5.375%, 8/8/23⁽³⁾		1,460		1,562
ArcelorMittal 6.125%, 6/1/25		945		1,058
Ardagh Packaging Finance plc 144A 6.000%, 2/15/25⁽³⁾		270		284
BHP Billiton Finance USA Ltd. 144A 6.750%, 10/19/75^(2)(3)(6)		525		600
BlueScope Steel Finance Ltd. 144A 6.500%, 5/15/21⁽³⁾		500		528
Eldorado Gold Corp. 144A 6.125%, 12/15/20⁽³⁾		455		466
Equate Petrochemical BV 144A 4.250%, 11/3/26⁽³⁾		765		775
FMG Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		375		427
Freeport-McMoRan, Inc.
3.550%, 3/1/22		255		239
3.875%, 3/15/23		385		358
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		635		679
Gerdau Trade, Inc. 144A 5.750%, 1/30/21⁽³⁾		150		157
Glencore Funding LLC 144A 4.000%, 3/27/27⁽³⁾		950		935
INEOS Group Holdings S.A. 144A 5.625%, 8/1/24⁽³⁾		910		938
Kraton Polymers LLC 144A 7.000%, 4/15/25⁽³⁾		1,120		1,176
NOVA Chemicals Corp.
144A 4.875%, 6/1/24⁽³⁾		395		394
144A 5.000%, 5/1/25⁽³⁾		790		786


	PAR VALUE			VALUE
Materials—(continued)
OCP SA 144A 5.625%, 4/25/24⁽³⁾	$	690		$	746
Owens-Brockway Glass Container, Inc. 144A 6.375%, 8/15/25⁽³⁾		620			696
Rusal Capital DAC 144A 5.125%, 2/2/22⁽³⁾		930			930
Severstal OAO 144A 5.900%, 10/17/22⁽³⁾⁽⁷⁾		275			299
Severstal OAO Via Steel Capital S.A. 144A 3.850%, 8/27/21⁽³⁾⁽⁷⁾		620			626
Standard Industries, Inc. 144A 6.000%, 10/15/25⁽³⁾		450			482
Vale Overseas Ltd.
5.875%, 6/10/21		535			574
6.250%, 8/10/26		500			539
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		995			1,027
Venator Finance S.a.r.l (Venator Materials Corp.) 144A 5.750%, 7/15/25⁽³⁾		170			172

					18,923

Real Estate—1.7%
EPR Properties 4.750%, 12/15/26		815			838
ESH Hospitality, Inc. 144A 5.250%, 5/1/25⁽³⁾		605			627
Healthcare Trust of America Holdings LP 3.750%, 7/1/27		455			450
Hospitality Properties Trust 4.950%, 2/15/27		925			966
MPT Operating Partnership LP 5.500%, 5/1/24		455			475
Physicians Realty LP 4.300%, 3/15/27		790			801
Select Income REIT 4.500%, 2/1/25		900			901
Uniti Group, Inc. (Communications Sales & Leasing, Inc.) 144A 7.125%, 12/15/24⁽³⁾		900			894

					5,952

Telecommunication Services—1.9%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		650			690
America Movil SAB de C.V. Series 12, 6.450%, 12/5/22		5,000	^MXN		260
AT&T, Inc.
4.250%, 3/1/27		470			486
5.250%, 3/1/37		155			165
4.800%, 6/15/44		580			576
5.650%, 2/15/47		300			331
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		665			622
Frontier Communications Corp.
6.250%, 9/15/21		370			330
10.500%, 9/15/22		695			663
GTH Finance BV 144A 7.250%, 4/26/23⁽³⁾		700			772


	PAR VALUE		VALUE
Telecommunication Services—(continued)
Qwest Corp. 7.250%, 9/15/25	$	400	$	444
Sprint Communications, Inc. 6.000%, 11/15/22		875		927
T-Mobile USA, Inc. 6.375%, 3/1/25		435		470

				6,736

Utilities—1.9%
AmeriGas Partners LP 5.500%, 5/20/25		340		345
Dynegy, Inc. 7.375%, 11/1/22		675		667
Eskom Holdings SOC Ltd. 144A 7.125%, 2/11/25⁽³⁾		600		612
Exelon Corp. 3.497%, 6/1/22		1,370		1,405
Ferrellgas Partners LP 144A
8.625%, 6/15/20⁽³⁾		155		147
6.750%, 6/15/23		855		795
Lamar Funding Ltd. 144A 3.958%, 5/7/25⁽³⁾		910		853
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾		795		888
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		111		108
TerraForm Power Operating LLC 144A 6.375%, 2/1/23⁽²⁾⁽³⁾		860		894
Texas Competitive Electric Escrow Series A 10.250%, 11/1/36^(11)(12)(17)		200		—	⁽¹⁴⁾
Vistra Operations Company LLC 144A 11.500%, 10/1/20^{(3)(11)(12)(17)}		375		—	⁽¹⁴⁾

				6,714

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $178,006)				177,875

LOAN AGREEMENTS⁽²⁾—9.9%
Consumer Discretionary—2.3%
Advantage Sales & Marketing, Inc.
Tranche B-2, First Lien, 4.420%, 7/23/21		345		330
Second Lien, 7.796%, 7/25/22		680		649
Affinity Gaming LLC 4.726%, 7/1/23		522		525
Bass Pro Group LLC 6.296%, 12/15/23		915		888
Caesars Entertainment Operating Co., Inc.
Tranche B-6, 1.500%, 3/1/20⁽¹⁰⁾		484		574
0.000%, 4/4/24⁽⁸⁾		195		194
Caesars Entertainment Resort Properties LLC Tranche B, 4.545%, 10/11/20		747		751
Caesars Growth Properties Holdings LLC Tranche 2017, First Lien, 4.226%, 5/8/21		346		348


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Gateway Casinos & Entertainment Ltd. Tranche B-1, 5.046%, 2/22/23	$	140	$	141
Harbor Freight Tools USA, Inc. Tranche 2016, 4.476%, 8/18/23		335		335
Laureate Education, Inc. 2024, 5.726%, 4/26/24		764		767
Leslie’s Poolmart, Inc. Tranche B-1, 4.871%, 8/16/23		303		304
Mohegan Tribal Gaming Authority Tranche B, 5.226%, 10/13/23		448		452
Playa Resorts Holding B.V. 4.170%, 4/29/24		120		120
Seminole Tribe of Florida, Inc. Tranche B, 0.000%, 6/26/24⁽⁸⁾		550		551
U.S. Farathane LLC Tranche B-3, 5.296%, 12/23/21		474		478
UFC Holdings LLC First Lien, 4.470%, 8/18/23		394		395
Vivid Seats LLC Tranche B, 0.000%, 6/23/24⁽⁸⁾		245		245

				8,047

Consumer Staples—0.8%
Albertson’s LLC 2017-1, Tranche B-4, 3.976%, 8/25/21		611		603
Amplify Snack Brands, Inc. 6.730%, 9/2/23		645		645
Chobani LLC First Lien, 5.476%, 10/10/23		151		152
Galleria Co. Tranche B, 4.250%, 9/29/23		237		238
JBS USA Lux S.A. 5.750%, 10/30/22		209		204
Milk Specialties Co. 5.296%, 8/16/23		556		560
TKC Holdings, Inc. First Lien, 5.376%, 2/1/23		454		452

				2,854

Energy—0.7%
California Resources Corp. 11.534%, 12/31/21		420		443
Chesapeake Energy Corp. Tranche A, 8.686%, 8/23/21		122		129
Contura Energy, Inc. 6.230%, 3/18/24		479		465
Jonah Energy LLC Second Lien, 7.726%, 5/12/21		520		495
Peabody Energy Corp. 2017, 5.726%, 3/31/22		389		388
Seadrill Operating LP 4.296%, 2/21/21		493		314
Ultra Resources, Inc. 4.117%, 4/12/24		345		342

				2,576

Financials—0.4%
Focus Financial Partners LLC 0.000%, 5/22/24⁽⁸⁾		105		105


	PAR VALUE		VALUE
Financials—(continued)
Fortress Investment Group LLC Tranche B, 0.000%, 6/10/22⁽⁸⁾	$	200	$	201
Lonestar Intermediate Super Holdings LLC 10.226%, 8/31/21		460		473
Walter Investment Management Corp. Tranche B, 4.976%, 12/18/20		655		593

				1,372

Health Care—1.1%
21st Century Oncology Holdings, Inc. Tranche B, 7.425%, 4/30/22⁽¹⁹⁾		159		149
American Renal Associates, Inc. Tranche B, 4.466%, 6/14/24		168		168
Change Healthcare Holdings, Inc. 3.976%, 3/1/24		329		329
CHG Healthcare Services, Inc. First Lien, 4.422%, 6/7/23		476		481
Endo Luxembourg Finance Co. S.a.r.l. 5.500%, 4/29/24		225		227
Envision Healthcare Corp. 4.300%, 12/1/23		95		96
HLF Financing S.a.r.l. Senior Lien, 6.726%, 2/15/23		216		218
Inventiv Group Holdings, Inc. 4.952%, 11/9/23		223		223
Iasis Healthcare LLC Tranche B-3, 5.296%, 2/17/21		20		20
MMM Holdings, Inc. 10.250%, 6/30/19		198		195
MPH Acquisition Holdings LLC 4.296%, 6/7/23		197		197
MSO of Puerto Rico, Inc. 10.250%, 6/30/19		144		142
NVA Holdings, Inc. Second Lien, 8.296%, 8/14/22		569		574
Quorum Health Corp. 7.976%, 4/29/22		243		244
U.S. Renal Care, Inc. First Lien, 5.546%, 12/30/22		635		613

				3,876

Industrials—1.2%
84 Lumber Co. 6.966%, 10/25/23		467		472
Husky Injection Molding Systems Ltd. 4.476%, 6/30/21		482		484
Navistar, Inc. Tranche B, 5.090%, 8/7/20		447		451
PAE Holding Corp. First Lien, 6.726%, 10/20/22		275		277
Sedgwick Claims Management Services, Inc. Second Lien, 6.952%, 2/28/22		1,105		1,109
TransDigm, Inc. Tranche F, 0.000%, 6/9/23⁽⁸⁾		860		858


	PAR VALUE		VALUE
Industrials—(continued)
Zodiac Pool Solutions LLC Tranche B-1, First Lien, 5.296%, 12/20/23	$	418	$	421

				4,072

Information Technology—1.3%
Applied Systems, Inc. Second Lien, 7.796%, 1/24/22		283		285
Blackboard, Inc. Tranche B-4, First Lien, 6.158%, 6/30/21		488		485
Everi Payments, Inc. Tranche B, 5.754%, 5/9/24		225		227
First Data Corp. 2022, Tranche-D, 3.466%, 7/8/22		854		852
Kronos, Inc. Second Lien, 9.420%, 11/1/24		193		200
NAB Holdings LLC 0.000%, 6/14/24⁽⁸⁾		300		300
Presidio LLC Tranche B, 4.525%, 2/2/22		574		575
Rackspace Hosting, Inc. 2017 Refinancing, Tranche B, First Lien, 4.172%, 11/3/23		276		276
Sungard Availability Services Capital, Inc. Tranche B, 6.226%, 3/29/19		625		618
Veritas US, Inc. Tranche B, 5.796%, 1/27/23		677		678

				4,496

Materials—1.1%
Anchor Glass Container Corp.
First Lien, 4.407%, 12/7/23		187		188
Second Lien, 8.810%, 12/7/24		202		205
CPG International LLC 5.046%, 5/5/24		574		576
CPI Acquisition, Inc. First Lien, 5.834%, 8/17/22		1,049		892
DuBois Chemicals, Inc.
First Lien, 4.000%, 3/15/24		30		30
First Lien, 4.909%, 3/15/24		125		125
Ineos U.S. Finance LLC 2022, 3.976%, 3/31/22		56		56
KMG Chemicals, Inc. 5.409%, 6/15/24		150		151
MacDermid, Inc. Tranche B-5, 4.726%, 6/7/20		428		429
New Arclin U.S. Holdings Corp. First Lien, 5.670%, 2/14/24		350		354
Omnova Solutions, Inc. Tranche B-2, 5.476%, 8/25/23		589		594
PQ Corp. Tranche B-1, 5.476%, 11/4/22		122		123

				3,723

Real Estate—0.1%
Capital Automotive LP Tranche B, Second Lien, 7.220%, 3/24/25		255		259


	PAR VALUE			VALUE
Telecommunication Services—0.3%
Digicel International Finance Ltd. Tranche-B, First Lien 4.940%, 5/27/24	$	80		$	80
Securus Technologies Holdings, Inc.
0.000%, 6/20/24⁽⁸⁾		695			694
Second Lien, 0.000%, 6/20/25⁽⁸⁾		390			391

					1,165

Utilities—0.6%
APLP Holdings LP 5.476%, 4/13/23		609			610
Energy Future Intermediate Holding Co. LLC 0.000%, 6/23/18⁽⁸⁾		620			621
Helix Gen Funding LLC 4.960%, 6/3/24		24			24
Talen Energy Supply LLC 5.226%, 4/15/24		409			378
Vistra Operations Company LLC
3.976%, 8/4/23		323			320
Tranche C, 3.977%, 8/4/23		73			73

					2,026

TOTAL LOAN AGREEMENTS (Identified Cost $34,487)					34,466


	SHARES
PREFERRED STOCKS—3.1%
Energy—0.3%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		905	⁽⁹⁾		926

Financials—2.4%
Citigroup, Inc. Series J, 7.125%⁽²⁾		46,600			1,393
Citigroup, Inc. Series T, 6.250%⁽²⁾		1,010	⁽⁹⁾		1,121
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		175	⁽⁹⁾		182
KeyCorp Series D, 5.000%⁽²⁾		735	⁽⁹⁾		749
M&T Bank Corp. Series F, 5.125%⁽²⁾		930	⁽⁹⁾		966
PNC Financial Services Group, Inc. (The) Series R, 4.850%⁽²⁾		965	⁽⁹⁾		982
PNC Financial Services Group, Inc. (The) Series S, 5.000%⁽²⁾		775	⁽⁹⁾		798
Wells Fargo & Co. Series K, 7.980%⁽²⁾		950	⁽⁹⁾		990
Zions Bancorp 6.950%⁽²⁾		38,525			1,146

					8,327

Industrials—0.4%
General Electric Co. Series D, 5.000%⁽²⁾		1,485	⁽⁹⁾		1,576


	SHARES		VALUE
TOTAL PREFERRED STOCKS (Identified Cost $10,005)			$	10,829

COMMON STOCKS—0.1%
Consumer Discretionary—0.0%
Mark IV Industries⁽¹⁶⁾		446		14

Energy—0.0%
Frontera Energy Corp.⁽¹⁶⁾		3,405		88

Utilities—0.1%
Vistra Energy Corp.		6,252		105

TOTAL COMMON STOCKS (Identified Cost $221)				207

AFFILIATED MUTUAL FUND—2.7%
Virtus Newfleet Credit Opportunities Fund Class R6⁽¹³⁾		934,418		9,270

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $9,341)				9,270

RIGHTS—0.0%
Vistra Energy Corp.^(12)(16)		6,252		6

TOTAL RIGHTS (Identified Cost $5)				6

TOTAL LONG TERM INVESTMENTS—98.5% (Identified Cost $343,519)				342,779	⁽¹⁵⁾

TOTAL INVESTMENTS—98.5% (Identified Cost $343,519)				342,779	⁽¹⁾
Other assets and liabilities, net—1.5%				5,279

NET ASSETS—100.0%			$	348,058

Abbreviations:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $141,119 or 40.5% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	No contractual maturity date.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁸⁾	This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁹⁾	Value shown as par value.

⁽¹⁰⁾	Security in default, a portion of the interest payments are being received during the bankruptcy proceedings.

⁽¹¹⁾	Security in default, no interest payments are being received during the bankruptcy proceedings.

⁽¹²⁾	Illiquid security.

⁽¹³⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽¹⁴⁾	Amount is less than $500.

⁽¹⁵⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery securities.

⁽¹⁶⁾	Non-income producing.

⁽¹⁷⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽¹⁸⁾	100% of the income received was in cash.

⁽¹⁹⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

Foreign Currencies:


BRL		Brazilian Real
CLP		Chilean Peso
COP		Colombian Peso
IDR		Indonesian Rupiah
MXN		Mexican Peso
RUB		Russian Ruble
TRY		Turkish Lira
ZAR		South African Rand


Country Weightings †
United States	67	%
Brazil	3
Turkey	3
Argentina	2
Canada	2
Colombia	2
Mexico	2
Other	19

Total	100	%

†	% of total investments as of June 30, 2017

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers from Level 1 to Level 2 related to securities held at June 30, 2017.


	PAR VALUE			VALUE
U.S. GOVERNMENT SECURITIES—0.3%
U.S. Treasury Note 1.375%, 1/15/20	$	21,350		$	21,296

TOTAL U.S. GOVERNMENT SECURITIES (Identified Cost $21,372)					21,296

MUNICIPAL BONDS—0.1%
Virginia—0.1%
Tobacco Settlement Financing Corp. Series A-1, Taxable 6.706%, 6/1/46		4,635			4,051

TOTAL MUNICIPAL BONDS (Identified Cost $4,317)					4,051

FOREIGN GOVERNMENT SECURITIES—8.1%
Argentine Republic
6.875%, 4/22/21		19,945			21,371
5.625%, 1/26/22		17,805			18,232
7.500%, 4/22/26		12,545			13,486
Series NY, 8.280%, 12/31/33		24,360			26,991
Bolivarian Republic of Venezuela
7.000%, 12/1/18		20,999			13,628
RegS 7.750%, 10/13/19⁽⁴⁾		9,851			5,049
Dominican Republic
144A 6.600%, 1/28/24⁽³⁾		7,115			7,818
144A 6.875%, 1/29/26⁽³⁾		3,300			3,684
Federative Republic of Brazil
12.500%, 1/5/22		62,795	^BRL		21,514
Treasury Note Series F, 10.000%, 1/1/23		47,335	^BRL		14,146
2.625%, 1/5/23		19,200			17,784
8.500%, 1/5/24		37,050	^BRL		11,133
Treasury Note Series F, 10.000%, 1/1/25		37,510	^BRL		11,073
10.250%, 1/10/28		13,095	^BRL		4,219
Kingdom of Qatar 144A 3.250%, 6/2/26⁽³⁾		11,745			11,416
Provincia de Buenos Aires 144A 7.875%, 6/15/27⁽³⁾		5,000			5,189
Provincia de Buenos Aires Argentina
144A 5.750%, 6/15/19⁽³⁾		5,795			5,993
144A 6.500%, 2/15/23⁽³⁾		18,460			18,894
Republic of Chile 5.500%, 8/5/20		11,647,000	^CLP		18,596
Republic of Colombia
Treasury Note, Series B, 11.250%, 10/24/18		21,072,000	^COP		7,506
4.375%, 3/21/23		33,056,000	^COP		10,090
9.850%, 6/28/27		24,145,000	^COP		10,159


	PAR VALUE			VALUE
Republic of Costa Rica 144A 4.375%, 4/30/25⁽³⁾	$	18,640		$	17,681
Republic of Indonesia
144A 5.875%, 1/15/24⁽³⁾		9,500			10,828
Series FR70, 8.375%, 3/15/24		177,598,000	^IDR		14,467
Series FR56, 8.375%, 9/15/26		258,591,000	^IDR		21,450
Republic of Kazakhstan 144A 5.125%, 7/21/25⁽³⁾		6,495			7,056
Republic of South Africa
Series R203, 8.250%, 9/15/17		134,520	^ZAR		10,291
5.875%, 5/30/22		9,500			10,373
4.665%, 1/17/24		29,080			29,438
Republic of Turkey
5.625%, 3/30/21		44,330			46,990
6.250%, 9/26/22		36,420			39,568
7.375%, 2/5/25		23,255			26,930
4.875%, 10/9/26		6,820			6,722
Russian Federation
144A 7.850%, 3/10/18⁽³⁾		410,000	^RUB		6,942
Series 6216, 6.700%, 5/15/19		1,682,000	^RUB		27,945
Sultanate of Oman
144A 3.625%, 6/15/21⁽³⁾		9,610			9,548
144A 4.750%, 6/15/26⁽³⁾		5,295			5,208
United Mexican States Series M, 6.500%, 6/9/22		250,769	^MXN		13,737

TOTAL FOREIGN GOVERNMENT SECURITIES (Identified Cost $590,263)					583,145

MORTGAGE-BACKED SECURITIES—20.8%
Agency—3.2%
FNMA
4.500%, 4/1/18		24			24
5.000%, 10/1/19		98			101
5.500%, 2/1/20		24			24
5.500%, 3/1/20		14			14
5.500%, 3/1/20		7			7
5.500%, 3/1/20		17			17
5.500%, 3/1/20		44			45
5.500%, 4/1/20		90			93
5.000%, 6/1/20		178			183
4.000%, 8/1/25		6,779			7,136
3.000%, 6/1/27		732			753
3.000%, 10/1/30		21,653			22,236
3.000%, 10/1/30		30,470			31,290


	PAR VALUE		VALUE
Agency—(continued)
2.500%, 2/1/31	$	34,746	$	34,944
3.000%, 2/1/31		13,309		13,668
6.000%, 12/1/32		30		34
5.500%, 2/1/33		38		42
5.500%, 5/1/34		211		236
6.000%, 8/1/34		168		192
5.500%, 11/1/34		144		159
5.500%, 11/1/34		134		148
6.000%, 11/1/34		138		155
5.500%, 12/1/34		49		55
5.500%, 1/1/35		221		247
6.000%, 7/1/37		17		19
6.000%, 4/1/38		118		134
5.000%, 12/1/39		3,882		4,273
4.500%, 4/1/40		5,536		5,974
5.000%, 8/1/40		7,459		8,153
4.000%, 10/1/40		122		128
4.000%, 3/1/41		4,285		4,521
4.500%, 5/1/41		4,090		4,424
3.500%, 4/1/42		8,599		8,870
4.000%, 10/1/44		20,866		21,941
3.500%, 1/1/46		9,901		10,172
4.000%, 1/1/46		12,905		13,570
3.500%, 6/1/46		20,112		20,663
3.500%, 12/1/46		17,585		18,067
GNMA
6.500%, 11/15/31		18		20
6.500%, 2/15/32		11		12

				232,744

Non-Agency—17.6%
ABN AMRO Mortgage Corp. 02-9, M 5.750%, 12/25/32		494		501
Adjustable Rate Mortgage Trust 05-1, 3A1 3.257%, 5/25/35⁽²⁾		2,910		2,908
Agate Bay Mortgage Trust 13-1, A1 144A 3.500%, 7/25/43⁽²⁾⁽³⁾		9,065		9,160
American Homes 4 Rent Trust 15-SFR1, A 144A 3.467%, 4/17/52⁽³⁾		11,716		12,084
Ameriquest Mortgage Securities, Inc. 03-10, AF6 5.210%, 11/25/33⁽²⁾		486		500


	PAR VALUE		VALUE
Non-Agency—(continued)
AMSR Trust
16-SFR1, A 144A 2.609%, 11/17/33⁽²⁾⁽³⁾	$	4,170	$	4,196
16-SFR1, C 144A 3.459%, 11/17/33⁽²⁾⁽³⁾		3,495		3,560
16-SFR1, D 144A 3.609%, 11/17/33⁽²⁾⁽³⁾		425		431
Asset Backed Funding Certificates 05-AQ1, A6 4.780%, 1/25/35⁽²⁾		1,282		1,313
Aventura Mall Trust 13-AVM, A 144A 3.867%, 12/5/32⁽²⁾⁽³⁾		10,350		10,862
Banc of America Commercial Mortgage Trust 07-4, AM 6.158%, 2/10/51⁽²⁾		907		907
Banc of America Funding Trust
04-4, 3A1 4.750%, 10/25/19		1,069		998
04-B, 2A1 3.638%, 11/20/34⁽²⁾		667		664
04-D, 5A1 3.545%, 1/25/35⁽²⁾		3,760		3,532
05-1, 1A1 5.500%, 2/25/35		414		414
06-2, 3A1 6.000%, 3/25/36		1,752		1,779
Banc of America Mortgage Trust 05-3, 1A15 5.500%, 4/25/35		1,117		1,129
Bank of America (Countrywide) Asset-Backed Certificates 05-1, AF5A 5.109%, 7/25/35⁽²⁾		9,832		10,182
Bank of America (Merrill Lynch—Countrywide) Alternative Loan Trust 04-22CB, 1A1 6.000%, 10/25/34		18,809		19,371
Bank of America (Merrill Lynch—Countrywide) Asset-Backed Certificates Trust 04-10, AF6 4.485%, 12/25/34⁽²⁾		213		219
Bank of America (Merrill Lynch—Countrywide) Home Loan Mortgage Pass-Through-Trust
04-6, 1A2 3.608%, 5/25/34⁽²⁾		1,084		1,076
04-4, A6 5.500%, 5/25/34		617		621
Bank of America (Merrill Lynch) Mortgage Investors Trust, Inc. 98-C1, B 6.750%, 11/15/26⁽²⁾		1,821		1,822
Bank of America (Merrill Lynch) Commercial Mortgage Securities Trust 15-200P, A 144A 3.218%, 4/14/33⁽³⁾		12,120		12,253
Bank of America (Merrill Lynch) Investors Trust MLMI 04-A4, A1 3.090%, 8/25/34⁽²⁾		1,322		1,343
Barclays (Lehman Brothers)—UBS Commercial Mortgage Trust 07-C7, A3 5.866%, 9/15/45⁽²⁾		6,913		6,957
Bayview Commercial Asset Trust
06-2A, A2 144A 1.496%, 7/25/36⁽²⁾⁽³⁾		6,010		5,666
08-1, A3 144A 2.716%, 1/25/38⁽²⁾⁽³⁾		12,038		11,888


	PAR VALUE		VALUE
Non-Agency—(continued)
Bayview Financial Acquisition Trust
07-A, 1A2 6.205%, 5/28/37⁽²⁾	$	4,785	$	4,972
06-A, 1A4 6.087%, 2/28/41⁽²⁾		9,626		9,758
Bayview Opportunity Master Fund IIIb Trust 17-RN2, A1 144A 3.475%, 4/28/32⁽²⁾⁽³⁾		7,668		7,660
Bayview Opportunity Master Fund IVa Trust
16-SPL1, B1 144A 4.250%, 4/28/55⁽³⁾		7,758		8,027
17-RT1, A1 144A 3.000%, 3/28/57⁽²⁾⁽³⁾		5,112		5,172
17-SLP5, B1 144A 4.000%, 6/28/57⁽²⁾⁽³⁾		5,910		6,233
17-SPL1, B1 144A 4.250%, 10/28/64⁽²⁾⁽³⁾		7,957		8,297
Bayview Opportunity Master Fund IVb Trust
16-SPL2, B1 144A 4.250%, 6/28/53⁽²⁾⁽³⁾		5,532		5,724
17-SPL3, B1 144A 4.250%, 11/28/53⁽²⁾⁽³⁾		2,000		2,094
17-SPL4, A 144A 3.500%, 1/28/55⁽²⁾⁽³⁾		3,649		3,742
Citigroup Commercial Mortgage Trust
16-SMPL, A 144A 2.228%, 9/10/31⁽³⁾		3,655		3,613
07-C6, A1A 5.701%, 12/10/49⁽²⁾		300		299
08-C7, AM 6.385%, 12/10/49⁽²⁾		12,335		12,520
Citigroup Mortgage Loan Trust, Inc.
04-UST1, A3 3.089%, 8/25/34⁽²⁾		971		973
04-NCM2, 2CB2 6.750%, 8/25/34		9,719		10,459
14-A, A 144A 4.000%, 1/25/35⁽²⁾⁽³⁾		8,603		8,952
05-5, 2A3 5.000%, 8/25/35		309		306
15-PS1, A1 144A 3.750%, 9/25/42⁽²⁾⁽³⁾		7,700		7,885
15-A, A1 144A 3.500%, 6/25/58⁽²⁾⁽³⁾		3,561		3,631
CLNS Trust 17-IKPR, B 144A 2.000%, 6/11/32⁽²⁾⁽³⁾		11,820		11,838
Cold Storage Trust 17-ICE3, A 144A 2.159%, 4/15/36⁽²⁾⁽³⁾		21,345		21,371
Colony American Finance Ltd. 15-1, A 144A 2.896%, 10/15/47⁽³⁾		10,216		10,225
Colony Multi-Family Mortgage Trust 14-1, A 144A 2.543%, 4/20/50⁽³⁾		6,148		6,126
Colony Starwood Homes Trust 16-2A, C 144A 3.359%, 12/17/33⁽²⁾⁽³⁾		18,880		18,880
COLT Mortgage Loan Trust Funding LLC
16-1 A1, 144A 3.000%, 5/25/46⁽³⁾		3,359		3,394
16-2, A1 144A 2.750%, 9/25/46⁽²⁾⁽³⁾		8,943		9,031
16-3 A1, 144A 2.800%, 12/26/46⁽²⁾⁽³⁾		4,395		4,397
17-1, A3 144A 3.074%, 5/27/47⁽²⁾⁽³⁾		1,681		1,690
Commercial Mortgage Lease-Backed Certificates 01-CMLB, A3 144A 7.471%, 6/20/31⁽²⁾⁽³⁾		4,080		4,536
Commercial Mortgage Trust


	PAR VALUE		VALUE
Non-Agency—(continued)
14-277P, A 144A 3.732%, 8/10/49⁽²⁾⁽³⁾	$	8,705	$	9,084
07-GG11, AM 5.867%, 12/10/49⁽²⁾		19,989		20,043
Credit Suisse Commercial Mortgage Trust 14-LVR2, A2 144A 3.842%, 4/25/44⁽²⁾⁽³⁾		9,367		9,662
Credit Suisse First Boston Mortgage Securities Corp.
03-27, 5A3 5.250%, 11/25/33		1,129		1,143
03-AR30, 5A1 3.277%, 1/25/34⁽²⁾		5,602		5,699
04-8, 7A1 6.000%, 12/25/34		4,883		5,123
Credit Suisse Mortgage Capital Trust
16-BDWN, A 144A 4.059%, 2/15/29⁽²⁾⁽³⁾		2,975		2,990
13-HYB1, A16, 144A 2.996%, 4/25/43⁽²⁾⁽³⁾		4,677		4,713
Credit Suisse Mortgage Loan Trust 15-1, B4 144A 3.893%, 5/25/45⁽²⁾⁽³⁾		3,178		2,962
Credit Suisse Mortgage Trust 17-FHA1, A1 144A 3.250%, 4/25/47⁽²⁾⁽³⁾		13,233		13,339
Deephaven Residential Mortgage Trust
17-1A, A1 144A 2.725%, 12/26/46⁽²⁾⁽³⁾		7,805		7,802
17-1A, A2 144A 2.928%, 12/26/46⁽²⁾⁽³⁾		1,979		1,978
17-2A, A1 144A 2.453%, 6/25/47⁽²⁾⁽³⁾		6,425		6,405
17-2A, A2 144A 2.606%, 6/25/47⁽²⁾⁽³⁾		2,900		2,891
Freddie Mac Structured Agency Credit Risk Debt Notes 16-DNA2, M2 3.416%, 10/25/28⁽²⁾		5,005		5,108
GAHR Commercial Mortgage Trust 15-NRF, CFX 144A 3.495%, 12/15/34⁽²⁾⁽³⁾		16,875		17,181
Galton Funding Mortgage Trust 17-1, A21 144A 3.500%, 7/25/56⁽²⁾⁽³⁾		22,523		22,756
GMAC Mortgage Corp. Loan Trust
04-AR1, 12A 3.929%, 6/25/34⁽²⁾		4,348		4,384
05-AR1, 5A 3.582%, 3/18/35⁽²⁾		1,379		1,305
Goldman Sachs Mortgage Securities Trust 12-ALOH, A 144A 3.551%, 4/10/34⁽³⁾		8,176		8,573
GSAA Home Equity Trust
05-1, AF4 5.619%, 11/25/34⁽²⁾		330		338
05-12, AF3W 4.999%, 9/25/35⁽²⁾		3,729		3,776
GSR Mortgage Loan Trust 06-1F, 2A4 6.000%, 2/25/36		749		655
Hilton USA Trust 16-SFP, B 144A 3.323%, 11/5/35⁽³⁾		22,020		22,075
Home Equity Loan Trust
06-HI1, M1 6.010%, 2/25/36⁽²⁾		1,088		1,091
07-HSA3, AI4 6.110%, 6/25/37⁽²⁾		8,356		8,385


	PAR VALUE		VALUE
Non-Agency—(continued)
Hospitality Mortgage Trust 17-HIT, B 144A 2.269%, 5/8/30⁽²⁾⁽³⁾	$	12,255	$	12,270
IMC Home Equity Loan Trust 97-5, A9 7.310%, 11/20/28		2,099		2,105
Jefferies Resecuritization Trust
14-R1, 1A1 144A 4.000%, 12/27/37⁽³⁾		3,024		3,021
14-R1, 2A1 144A 4.000%, 12/27/37⁽³⁾		1,676		1,660
JPMorgan Chase (Bear Stearns) Adjustable Rate Mortgage Trust
04-10, 14A1 3.452%, 1/25/35⁽²⁾		1,111		1,097
04-10, 21A1 3.488%, 1/25/35⁽²⁾		7,232		7,311
JPMorgan Chase (Bear Stearns) Commercial Mortgage Securities Trust
07- PW17, A4 5.694%, 6/11/50⁽²⁾		6,511		6,536
07-PW18, AM, 6.084%, 6/11/50⁽²⁾		12,400		12,540
JPMorgan Chase (Washington Mutual) Mortgage Pass-Through Certificates Trust
04-CB1, 5A 5.000%, 6/25/19		456		459
03-AR6, A1 3.233%, 6/25/33⁽²⁾		659		661
03-AR4, 2A1 2.915%, 8/25/33⁽²⁾		215		213
04-CB1, 2A 5.000%, 6/25/34		2,160		2,194
JPMorgan Chase Commercial Mortgage Securities Trust
10-CNTR, A2 144A 4.311%, 8/5/32⁽³⁾		7,503		7,815
15-SGP, B 144A 3.909%, 7/15/36⁽²⁾⁽³⁾		13,925		14,012
11-C4, A3 144A 4.106%, 7/15/46⁽³⁾		1,808		1,839
06-LDP9, AM 5.372%, 5/15/47		14,915		14,904
14-C22, A4 3.801%, 9/15/47		16,998		17,786
07-LDPX, AM 5.464%, 1/15/49⁽²⁾		6,841		6,836
JPMorgan Chase Mortgage Trust
14-2, 2A2 144A 3.500%, 6/25/29⁽²⁾⁽³⁾		8,929		9,060
06-A2, 4A1 3.556%, 8/25/34⁽²⁾		1,280		1,289
04-A4, 2A1 3.240%, 9/25/34⁽²⁾		4,489		4,560
05-A1, 4A1 3.529%, 2/25/35⁽²⁾		621		628
05-A2, 4A1 3.097%, 4/25/35⁽²⁾		882		872
05-A4, 3A1 3.319%, 7/25/35⁽²⁾		3,052		3,091
06-A6, 3A3L 3.213%, 10/25/36⁽²⁾		1,222		1,038
14-1, 1A1 144A 4.000%, 1/25/44⁽²⁾⁽³⁾		17,148		17,696
15-1, AM1 144A 2.626%, 12/25/44⁽²⁾⁽³⁾		15,196		15,236
16-1, M2 144A 3.750%, 4/25/45⁽²⁾⁽³⁾		14,879		15,087
15-5, A2 144A 2.867%, 5/25/45⁽²⁾⁽³⁾		14,529		14,572
15-4, 1A4 144A 3.500%, 6/25/45⁽²⁾⁽³⁾		9,935		10,071


	PAR VALUE		VALUE
Non-Agency—(continued)
16-2, M2 144A 3.750%, 12/25/45⁽²⁾⁽³⁾	$	15,312	$	15,525
16-1, A3 144A 3.500%, 5/25/46⁽²⁾⁽³⁾		11,758		11,918
11-C4, A4, 144A 4.388%, 7/15/46⁽³⁾		5,175		5,518
16-5, A1 144A 2.605%, 12/25/46⁽²⁾⁽³⁾		45,248		45,152
MASTR Adjustable Rate Mortgages Trust 04-12, 3A1 3.430%, 11/25/34⁽²⁾		510		506
MASTR Alternative Loan Trust
04-7, 4A1 4.500%, 7/25/19		1,166		1,172
03-8, 2A1 5.750%, 11/25/33		4,305		4,442
04-4, 6A1 5.500%, 4/25/34		2,450		2,536
04-6, 7A1 6.000%, 7/25/34		4,402		4,414
04-7, 9A1 6.000%, 8/25/34		11,881		12,262
05-2, 2A1 6.000%, 1/25/35		2,901		2,992
05-2, 1A1 6.500%, 3/25/35		8,663		8,900
MASTR Asset Securitization Trust 05-1, 1A1 5.000%, 5/25/20		353		356
Mill City Mortgage Trust
15-1, A3 144A 3.000%, 6/25/56⁽²⁾⁽³⁾		11,900		11,929
16-1, A1 144A 2.500%, 4/25/57⁽²⁾⁽³⁾		3,545		3,551
17-1, A1 144A 2.750%, 11/25/58⁽²⁾⁽³⁾		9,520		9,596
Morgan Stanley—Bank of America (Merrill Lynch) Trust 13-C13, AS 4.266%, 11/15/46		1,735		1,845
Morgan Stanley Capital Barclays Bank Trust 16-MART, A 144A 2.200%, 9/13/31⁽³⁾		14,805		14,643
Morgan Stanley Capital I Trust
08-T29, AM 6.503%, 1/11/43⁽²⁾		1,610		1,646
07-IQ16, A4 5.809%, 12/12/49		6,780		6,800
Morgan Stanley Mortgage Loan Trust
04-2AR, 4A 2.912%, 2/25/34⁽²⁾		788		797
04-2AR, 3A 3.060%, 2/25/34⁽²⁾		981		983
Morgan Stanley Residential Mortgage Loan Trust 14-1A, A1 144A 2.967%, 6/25/44⁽²⁾⁽³⁾		5,446		5,508
Motel 6 Trust
15-MTL6, B 144A 3.298%, 2/5/30⁽³⁾		7,775		7,763
15-MTL6, D 144A 4.532%, 2/5/30⁽³⁾		1,500		1,500
National City Mortgage Capital Trust 08-1, 2A1 6.000%, 3/25/38		1,320		1,372
New Residential Mortgage Loan Trust
16-2A, A1 144A 3.750%, 11/26/35⁽²⁾⁽³⁾		16,431		16,939
14-1A, A 144A 3.750%, 1/25/54⁽²⁾⁽³⁾		14,832		15,243
14-2A, A3 144A 3.750%, 5/25/54⁽²⁾⁽³⁾		1,423		1,452
14-3A, AFX3 144A 3.750%, 11/25/54⁽²⁾⁽³⁾		11,802		11,951


	PAR VALUE		VALUE
Non-Agency—(continued)
15-2A, A1 144A 3.750%, 8/25/55⁽²⁾⁽³⁾	$	9,103	$	9,392
16-1A, A1 144A 3.750%, 3/25/56⁽²⁾⁽³⁾		7,847		8,044
16-3A, A1 144A 3.750%, 9/25/56⁽²⁾⁽³⁾		8,280		8,529
16-4A, A1 144A 3.750%, 11/25/56⁽²⁾⁽³⁾		5,964		6,144
17-2A, A3 144A 4.000%, 3/25/57⁽²⁾⁽³⁾		11,147		11,606
NovaStar Mortgage Funding Trust Series 04-4, M5 2.941%, 3/25/35⁽²⁾		3,556		3,529
One Market Plaza Trust 17-1MKT, A 144A 3.614%, 2/10/32⁽³⁾		10,700		11,132
Pretium Mortgage Credit Partners I LLC
17-NPL3, A1 144A 3.250%, 6/29/32⁽²⁾⁽³⁾		2,400		2,400
17-NPL2, A1, 144A 3.250%, 3/28/57⁽²⁾⁽³⁾		12,948		12,969
Residential Accredit Loans, Inc. 05-QS1, A5 5.500%, 1/25/35		406		406
Residential Asset Mortgage Products Trust
04-SL1, A8 6.500%, 11/25/31		2,009		2,118
05-SL2, A4 7.500%, 2/25/32		1,622		1,613
Residential Asset Mortgage Products, Inc.
04-SL2, A3 7.000%, 10/25/31		1,441		1,499
04-SL4, A3 6.500%, 7/25/32		764		771
03-RS8, AI7 5.015%, 9/25/33⁽²⁾		172		174
Residential Asset Securitization Trust
03-A11, A9 5.750%, 11/25/33		2,168		2,200
04-A1, A5 5.500%, 4/25/34		10,371		10,433
Residential Funding Mortgage Securities I, Inc. 06-S12, 1A1 5.500%, 12/25/21		582		587
Seasoned Credit Risk Transfer Trust Series 16-1, M1 144A 3.000%, 9/25/55⁽²⁾⁽³⁾		6,500		6,286
Sequoia Mortgage Trust
13-8, B1 3.533%, 6/25/43⁽²⁾		6,626		6,692
14-2, A1 144A 4.000%, 7/25/44⁽²⁾⁽³⁾		6,014		6,117
14-3, A9 144A 3.750%, 10/25/44⁽²⁾⁽³⁾		13,355		13,557
Structured Adjustable Rate Mortgage Loan Trust
04-4, 3A2 3.449%, 4/25/34⁽²⁾		2,343		2,352
04-4, 3A4 3.449%, 4/25/34⁽²⁾		1,808		1,803
04-4, 3A1 3.449%, 4/25/34⁽²⁾		530		527
04-5, 3A2 3.430%, 5/25/34⁽²⁾		997		1,011
04-14, 7A 3.362%, 10/25/34⁽²⁾		8,375		8,366
Structured Asset Securities Corp. 03-AL1, A 144A 3.357%, 4/25/31⁽³⁾		5,952		5,885
Structured Asset Securities Corp. Mortgage-Pass-Through Certificates


	PAR VALUE		VALUE
Non-Agency—(continued)
03-30, 2A1 5.079%, 10/25/33⁽²⁾	$	2,344	$	2,384
03-33H, 1A1 5.500%, 10/25/33		3,152		3,209
03-34A, 6A 3.541%, 11/25/33⁽²⁾		2,266		2,242
Towd Point Mortgage Trust
15-1, A2 144A 3.250%, 10/25/53⁽²⁾⁽³⁾		10,356		10,338
15-3, A1B 144A 3.000%, 3/25/54⁽²⁾⁽³⁾		4,210		4,259
16-1, A1B 144A 2.750%, 2/25/55⁽²⁾⁽³⁾		6,788		6,838
15-6, M1 144A 3.750%, 4/25/55⁽²⁾⁽³⁾		11,010		11,111
15-5, A1B 144A 2.750%, 5/25/55⁽²⁾⁽³⁾		6,093		6,139
15-5, A2 144A 3.500%, 5/25/55⁽²⁾⁽³⁾		3,901		3,987
16-2, A1 144A 3.000%, 8/25/55⁽²⁾⁽³⁾		7,126		7,226
16-3, A1 144A 2.250%, 4/25/56⁽²⁾⁽³⁾		5,823		5,806
16-4, A1 144A 2.250%, 7/25/56⁽²⁾⁽³⁾		9,080		9,041
15-2, 1M1 144A 3.250%, 11/25/60⁽²⁾⁽³⁾		7,523		7,519
Tricon American Homes Trust 16-SFR1, C 144A 3.487%, 11/17/33⁽³⁾		4,640		4,617
Velocity Commercial Capital Loan Trust 17-1, AFX 144A 3.000%, 5/25/47⁽²⁾⁽³⁾		3,493		3,523
Vericrest Opportunity Loan Trust LI LLC 16-NP11, A1 144A 3.500%, 10/25/46⁽²⁾⁽³⁾		5,968		5,973
Vericrest Opportunity Loan Trust LVI LLC 17-NPL3, A1 144A 3.500%, 3/25/47⁽²⁾⁽³⁾		13,408		13,451
Vericrest Opportunity Loan Trust LVIII LLC 17-NPL5, A1 144A 3.375%, 5/28/47⁽²⁾⁽³⁾		3,911		3,910
Vericrest Opportunity Loan Trust LX LLC 17-NPL7, A1 144A 3.250%, 4/25/59⁽²⁾⁽³⁾		12,820		12,809
Vericrest Opportunity Loan Trust XXII LLC 15-NPL4, A1 144A 3.500%, 2/25/55⁽²⁾⁽³⁾		2,075		2,083
Vericrest Opportunity Loan Trust XXXIII LLC 15-NPL5, A1 144A 3.500%, 3/25/55⁽²⁾⁽³⁾		3,368		3,380
Verus Securitization Trust 17-1A, A1 144A 2.853%, 1/25/47⁽²⁾⁽³⁾		7,486		7,524
VSD 17-PLT1, A 3.600%, 12/25/43		7,646		7,649
Wells Fargo (Wachovia Bank) Commercial Mortgage Trust 07-C33, A5 6.174%, 2/15/51⁽²⁾		329		329
Wells Fargo Mortgage Backed Securities Trust
03-G, A1 2.992%, 6/25/33⁽²⁾		918		923
03-J, 5A1 2.957%, 10/25/33⁽²⁾		305		309
04-4, A9 5.500%, 5/25/34		1,403		1,432
04-U, A1 3.262%, 10/25/34⁽²⁾		782		781
04-Z, 2A1 2.999%, 12/25/34⁽²⁾		4,015		4,071
04-CC, A1 3.099%, 1/25/35⁽²⁾		1,853		1,885


	PAR VALUE		VALUE
Non-Agency—(continued)
05-12, 1A1 5.500%, 11/25/35	$	2,711	$	2,772
05-14, 2A1 5.500%, 12/25/35		1,799		1,845
07-16, 1A1 6.000%, 12/28/37		2,060		2,145
07-AR10, 2A1 6.114%, 1/25/38⁽²⁾		2,722		2,610

				1,263,534

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $1,486,705)				1,496,278

ASSET-BACKED SECURITIES—20.7%
American Credit Acceptance Receivables Trust
14-3, C 144A 3.430%, 6/10/20⁽³⁾		13,984		14,028
16- 1A, B 144A 4.240%, 6/13/22⁽³⁾		7,500		7,588
17-1, C 144A 2.880%, 3/13/23⁽³⁾		9,000		9,023
17-2, C 144A 2.860%, 6/12/23⁽³⁾		6,705		6,697
AmeriCredit Automobile Receivables Trust
14-2, C 2.180%, 6/8/20		19,450		19,521
14-1, D 2.540%, 6/8/20		22,955		23,116
15-3, C 2.730%, 3/8/21		9,730		9,824
16-4, C 2.410%, 7/8/22		18,468		18,406
17-1, C 2.710%, 8/18/22		10,360		10,414
17-2, C 2.970%, 3/20/23		7,840		7,862
Ascentium Equipment Receivables LLC 15-A1, B 144A 2.260%, 6/10/21⁽³⁾		4,431		4,443
Ascentium Equipment Receivables Trust 17-1A, B 144A 2.850%, 10/10/21⁽³⁾		7,764		7,774
Associates Manufactured Housing Pass-Through Certificates 96-1, B1 8.000%, 3/15/27⁽²⁾		660		675
Avis Budget Rental Car Funding LLC
(AESOP) 12-3A, A 144A 2.100%, 3/20/19⁽³⁾		23,085		23,128
(AESOP) 13-2A, A 144A 2.970%, 2/20/20⁽³⁾		6,350		6,415
(AESOP) 16-1A, A 144A 2.990%, 6/20/22⁽³⁾		27,000		27,156
BankAmerica Manufactured Housing Contract Trust 98-1, B1 7.810%, 8/10/25⁽²⁾		85		85
BCC Funding VIII LLC
14-A, B 144A 3.123%, 8/20/20⁽³⁾		2,799		2,801
14-1A, C 144A 4.216%, 8/20/20⁽³⁾		5,519		5,526
BCC Funding XIII LLC 16-1, D 144A 4.780%, 8/20/22⁽³⁾		5,392		5,322
BRE Grand Islander Timeshare Issuer LLC 17-1A, A 144A 2.940%, 5/25/29⁽³⁾		10,798		10,829
BXG Receivables Note Trust 12-A, A 144A 2.660%, 12/2/27⁽³⁾		2,441		2,416


	PAR VALUE		VALUE
13-A, A 144A 3.010%, 12/4/28⁽³⁾	$	5,176	$	5,207
15-A, A 144A 2.880%, 5/2/30⁽³⁾		2,147		2,160
17-A, A 144A 2.950%, 10/4/32⁽³⁾		9,775		9,760
California Republic Auto Receivables Trust
13-1, B 144A 2.240%, 1/15/19⁽³⁾		6,436		6,437
14-2, B 2.340%, 4/15/20		7,090		7,130
15-3, B 2.700%, 9/15/21		3,705		3,738
16-1, B 3.430%, 2/15/22		4,615		4,710
17-1, B 2.910%, 12/15/22		7,000		7,006
Capital Auto Receivables Asset Trust
15-2, C 2.670%, 8/20/20		7,250		7,285
16-3, C 2.350%, 9/20/21		8,935		8,874
CarFinance Capital Auto Trust
13-A1, C 144A 3.450%, 3/15/19⁽³⁾		2,030		2,035
14-1A, B 144A 2.720%, 4/15/20⁽³⁾		2,703		2,713
14-2A, B 144A 2.640%, 11/16/20⁽³⁾		3,455		3,462
14-2A, C 144A 3.240%, 11/16/20⁽³⁾		2,765		2,771
15-A1, B 144A 2.910%, 6/15/21⁽³⁾		6,000		6,024
CarMax Auto Owner Trust
14-2, B 1.880%, 11/15/19		1,000		1,001
15-2, C 2.390%, 3/15/21		2,275		2,289
17-1, B 2.540%, 9/15/22		5,025		5,059
Carnow Auto Receivables Trust 16-1A, D 144A 7.340%, 11/15/21⁽³⁾		4,460		4,476
CCG Receivables Trust 14-1, B 144A 2.150%, 11/15/21⁽³⁾		5,080		5,081
Centre Point Funding LLC 12-2A,1 144A 2.610%, 8/20/21⁽³⁾		9,120		8,991
Chrysler Capital Auto Receivables Trust
15-BA, D 144A 4.170%, 1/16/23⁽³⁾		8,400		8,663
16-BA, D 144A 3.510%, 9/15/23⁽³⁾		2,150		2,146
Citi Held For Asset Issuance 15-PM3, B 144A 4.310%, 5/16/22⁽³⁾		23,110		23,318
CKE Restaurant Holdings, Inc. 13-1A, A2 144A 4.474%, 3/20/43⁽³⁾		20,096		20,056
Club Credit Trust
17-NP1, A144A 2.390%, 4/17/23⁽³⁾		2,000		1,999
17-NP1, B 144A 3.170%, 4/17/23⁽³⁾		5,500		5,494
Commonbond Student Loan Trust 17-AGS, A1 144A 2.550%, 5/25/41⁽³⁾		9,435		9,391
Conn’s Receivables Funding LLC 16-B, A 144A 3.730%, 10/15/18⁽³⁾		2,069		2,072


	PAR VALUE		VALUE
Consumer Installment Loan Trust 16-LD1, A 144A 3.960%, 7/15/22⁽³⁾	$	2,566	$	2,584
CPS Auto Receivables Trust
16-C, B 144A 2.480%, 9/15/20⁽³⁾		3,000		3,010
16-B, B 144A 3.180%, 9/15/20⁽³⁾		4,500		4,550
16-A, C 144A 3.800%, 12/15/21⁽³⁾		6,500		6,605
DB Master Finance LLC 15-1A, A2II 144A 3.980%, 2/20/45⁽³⁾		19,333		19,823
Diamond Resorts Owner Trust 14-1, A 144A 2.540%, 5/20/27⁽³⁾		6,513		6,454
DRB Prime Student Loan Trust 15-D, A3 144A 2.500%, 1/25/36⁽³⁾		3,697		3,702
Drive Auto Receivables Trust
15-DA, B 144A 2.590%, 12/16/19⁽³⁾		742		743
16-AA, B 144A 3.170%, 5/15/20⁽³⁾		5,224		5,240
17-1, B 2.360%, 3/15/21		14,640		14,632
15-AA, C 144A 3.060%, 5/17/21⁽³⁾		19,953		20,098
17-BA, C 144A 2.610%, 8/16/21⁽³⁾		8,750		8,763
16-CA, C 144A 3.020%, 11/15/21⁽³⁾		6,280		6,308
17-AA, C 144A 2.980%, 1/18/22⁽³⁾		15,410		15,522
15-AA, D 144A 4.120%, 7/15/22⁽³⁾		13,120		13,288
Drug Royalty II LP 2 14-1, A2 144A 3.484%, 7/15/23⁽³⁾		12,018		11,921
Drug Royalty III LP
1 17-1A, A1 144A 3.720%, 4/15/27⁽²⁾⁽³⁾		4,000		4,000
16-1A, A 144A 3.979%, 4/15/27⁽³⁾		10,712		10,747
DT Auto Owner Trust
16-1A, B 144A 2.790%, 5/15/20⁽³⁾		5,194		5,205
14-3A, C 144A 3.040%, 9/15/20⁽³⁾		4,477		4,492
15-1A, C 144A 2.870%, 11/16/20⁽³⁾		3,476		3,486
15-3A, C 144A 3.250%, 7/15/21⁽³⁾		2,285		2,302
16-2A, C 144A 3.670%, 1/18/22⁽³⁾		8,555		8,645
16-3A C,144A 3.150%, 3/15/22⁽³⁾		8,485		8,539
16-4A, C 144A 2.740%, 10/17/22⁽³⁾		21,875		21,928
17-1A, D 144A 3.550%, 11/15/22⁽³⁾		10,000		10,021
17-2A, D 144A 3.890%, 1/15/23⁽³⁾		10,070		10,135
Earnest Student Loan Program LLC 17-A A2 144A 2.650%, 1/25/41⁽³⁾		6,350		6,325
Exeter Automobile Receivables Trust 13-1A, C 144A 3.520%, 2/15/19⁽³⁾		6,156		6,172
14-1A, C 144A 3.570%, 7/15/19⁽³⁾		10,177		10,231
14-2A, C 144A 3.260%, 12/16/19⁽³⁾		13,715		13,801
15-A1, C 144A 4.100%, 12/15/20⁽³⁾		19,850		20,271


	PAR VALUE		VALUE
15-2A, C 144A 3.900%, 3/15/21⁽³⁾	$	24,230	$	24,600
14-3A, D 144A 5.690%, 4/15/21⁽³⁾		23,980		24,778
16-3A, B 144A 2.840%, 8/16/21⁽³⁾		8,475		8,508
17-1A, B 144A 3.000%, 12/15/21⁽³⁾		13,250		13,288
17-2A, B 144A 2.820%, 5/16/22⁽³⁾		18,780		18,741
Fairway Outdoor Funding LLC 12-1A, A2 144A 4.212%, 10/15/42⁽³⁾		19,761		19,811
First Investors Auto Owner Trust 15-1A, C 144A 2.710%, 6/15/21⁽³⁾		5,000		5,018
Flagship Credit Auto Trust
16-1, A 144A 2.770%, 12/15/20⁽³⁾		3,115		3,139
14-2, D 144A 5.210%, 2/15/21⁽³⁾		11,010		11,335
15-1, D 144A 5.260%, 7/15/21⁽³⁾		3,565		3,688
15-2, C 144A 4.080%, 12/15/21⁽³⁾		6,495		6,596
16-2, B 144A 3.840%, 9/15/22⁽³⁾		4,175		4,286
16-3, D 144A 3.890%, 11/15/22⁽³⁾		4,990		5,039
17-1 C 144A 3.220%, 5/15/23⁽³⁾		7,500		7,549
Foundation Finance Trust 16-1A, A 144A 3.960%, 6/15/35⁽³⁾		2,476		2,495
Foursight Capital Automobile Receivables Trust
16-1, A2, 144A 2.870%, 10/15/21⁽³⁾		5,913		5,943
17-1, B 144A 3.050%, 12/15/22⁽³⁾		5,965		5,964
17-1, C 144A 3.470%, 12/15/22⁽³⁾		2,258		2,262
GLS Auto Receivables Trust
16-1A, B 144A 4.390%, 1/15/21⁽³⁾		10,500		10,530
17-1A, B 144A 2.980%, 12/15/21⁽³⁾		12,150		12,135
17-1A, C 144A 3.500%, 7/15/22⁽³⁾		5,900		5,889
GM Financial Consumer Automobile Receivables Trust 17-1A, B 144A 2.300%, 6/16/23⁽³⁾		4,185		4,192
Gold Key Resorts LLC 14-A, A 144A 3.220%, 3/17/31⁽³⁾		5,901		5,919
GreatAmerica Leasing Receivables Funding LLC 17-1, A4 144A 2.360%, 1/20/23⁽³⁾		18,010		18,019
Hertz Vehicle Financing LLC
15-2A, A 144A 2.020%, 9/25/19⁽³⁾		4,845		4,827
16 -1A, A144A 2.320%, 3/25/20⁽³⁾		8,800		8,769
15-1A, A 144A 2.730%, 3/25/21⁽³⁾		20,000		19,886
Hilton Grand Vacations Trust
13-A, A 144A 2.280%, 1/25/26⁽³⁾		5,250		5,234
14-AA, A 144A 1.770%, 11/25/26⁽³⁾		7,419		7,302
17-AA, A 144A 2.660%, 12/26/28⁽³⁾		6,807		6,810
Hyundai Auto Receivables Trust 14-B, D 2.510%, 12/15/20		9,675		9,736


	PAR VALUE		VALUE
15-A, D 2.730%, 6/15/21	$	8,950	$	8,995
Leaf Receivables Funding 10 LLC
15-1, D 144A 3.740%, 5/17/21⁽³⁾		800		790
15-1, E1 144A 5.210%, 7/15/21⁽³⁾		4,500		4,477
15-1, E2 144A 6.000%, 6/15/23⁽³⁾		2,455		2,418
Leaf Receivables Funding 11 LLC
16-1, E1 144A 5.500%, 4/15/23⁽³⁾		5,000		5,133
16-1, E2 144A 6.000%, 6/15/24⁽³⁾		4,170		4,170
Leaf Receivables Funding 12 LLC 17-1, B 144A 2.650%, 2/15/22⁽³⁾		9,145		9,110
Mariner Finance Issuance Trust 17-AA, A 144A 3.620%, 2/20/29⁽³⁾		7,335		7,392
Marriott Vacation Club Owner Trust
12-1A, A 144A 2.510%, 5/20/30⁽³⁾		9,522		9,544
10-1A, A 144A 3.540%, 10/20/32⁽³⁾		272		274
10-1A, B 144A 4.520%, 10/20/32⁽³⁾		530		535
Murray Hill Marketplace Trust 16-LC1, A 144A 4.190%, 11/25/22⁽³⁾		1,524		1,538
MVW Owner Trust
15-1A, B 144A 2.960%, 12/20/32⁽³⁾		1,185		1,183
16-1A, A 144A 2.250%, 12/20/33⁽³⁾		5,730		5,660
NCF Dealer Floorplan Master Trust 16-1A, A 144A 4.462%, 3/21/22⁽²⁾⁽³⁾		9,000		8,949
OneMain Direct Auto Receivables Trust 16-1A, B 144A 2.760%, 5/15/21⁽³⁾		5,000		5,009
OneMain Financial Issuance Trust
14-1A, A 144A 2.430%, 6/18/24⁽³⁾		1,895		1,895
15-2A, A 144A 2.570%, 7/18/25⁽³⁾		17,264		17,283
15-1A, A 144A 3.190%, 3/18/26⁽³⁾		26,301		26,563
Orange Lake Timeshare Trust
12-AA, A 144A 3.450%, 3/10/27⁽³⁾		2,381		2,396
15-AA, A 144A 2.880%, 9/8/27⁽³⁾		5,209		5,214
14-AA, A 144A 2.290%, 7/9/29⁽³⁾		2,282		2,269
Prestige Auto Receivables Trust 14-1A, C 144A 2.390%, 5/15/20⁽³⁾		7,000		7,015
Prosper Marketplace Issuance Trust 17-1A, B 144A 3.650%, 6/15/23⁽³⁾		17,008		17,121
Santander Drive Auto Receivables Trust
13-3, C 1.810%, 4/15/19		1,137		1,137
14-3, C 2.130%, 8/17/20		9,956		9,974
16-2, B 2.080%, 2/16/21		8,250		8,266
17-1, C 2.580%, 5/16/22		9,435		9,434
17-2, D 3.490%, 7/17/23		9,960		9,962


	PAR VALUE		VALUE
Sierra Receivables Funding Co., LLC 17-1A, A 144A 2.910%, 3/20/34⁽³⁾	$	8,513	$	8,583
Sierra Timeshare Receivables Funding LLC
12-3A, A 144A 1.870%, 8/20/29⁽³⁾		4,780		4,777
13-1A, A 144A 1.590%, 11/20/29⁽³⁾		1,734		1,731
14-1A, A 144A 2.070%, 3/20/30⁽³⁾		1,602		1,600
14-2A, A 144A 2.050%, 6/20/31⁽²⁾⁽³⁾		2,240		2,237
16-1A, A 144A 3.080%, 3/21/33⁽³⁾		5,298		5,354
16-2A, A 144A 2.330%, 7/20/33⁽³⁾		5,054		5,051
Silverleaf Finance LLC
XVII 13-A, A 144A 2.680%, 3/16/26⁽³⁾		1,718		1,716
XVIII 14-A, A 144A 2.810%, 1/15/27⁽³⁾		1,216		1,214
Skopos Auto Receivables Trust 15-2A, A 144A 3.550%, 2/15/20⁽³⁾		1,070		1,070
SLM Private Education Loan Trust
13-B, A2A 144A 1.850%, 6/17/30⁽³⁾		4,500		4,506
13-C, A2A 144A 2.940%, 10/15/31⁽³⁾		4,233		4,285
SoFi Consumer Loan Program LLC
16-3, A 144A 3.050%, 12/26/25⁽³⁾		14,301		14,435
17-1, A 144A 3.280%, 1/26/26⁽³⁾		11,722		11,874
17-3, A 144A 2.770%, 5/25/26⁽³⁾		9,702		9,752
SoFi Professional Loan Program LLC
14-B, A2 144A 2.550%, 8/27/29⁽³⁾		712		715
15-A, A2 144A 2.420%, 3/25/30⁽³⁾		2,949		2,953
16-A, A2 144A 2.760%, 12/26/36⁽³⁾		1,706		1,722
17-A, A2B 144A 2.400%, 3/26/40⁽³⁾		10,000		9,907
17-B, A1FX 144A 1.830%, 5/25/40⁽³⁾		9,613		9,605
17-C, A2A 144A 1.750%, 7/25/40⁽³⁾		7,620		7,613
Springleaf Funding Trust 16-AA, A 144A 2.900%, 11/15/29⁽³⁾		9,485		9,531
Structured Asset Securities Corp. Mortgage Pass-Through Certificates 01-SB1, A2 3.375%, 8/25/31		1,228		1,215
SVO VOI Mortgage Corp. 12-AA, A 144A 2.000%, 9/20/29⁽³⁾		6,352		6,292
TCF Auto Receivables Owner Trust
14-1A, B 144A 2.330%, 5/15/20⁽³⁾		1,733		1,741
14-1A, C 144A 3.120%, 4/15/21⁽³⁾		2,035		2,044
16-PT1A, C 144A 3.210%, 1/17/23⁽³⁾		10,900		10,890
TGIF Funding LLC 17-1A, A2 144A 6.202%, 4/30/47⁽³⁾		17,655		17,827
Tidewater Auto Receivables Trust 14-AA, C 144A 2.560%, 8/15/19⁽³⁾		1,893		1,896


	PAR VALUE		VALUE
16-AA, B 144A 3.130%, 3/15/20⁽³⁾	$	7,393	$	7,419
Trip Rail Master Funding LLC
11-1A, A1A 144A 4.370%, 7/15/41⁽³⁾		10,315		10,395
14-1A, A1 144A 2.863%, 4/15/44⁽³⁾		9,250		9,093
U-Haul S Fleet LLC 10-BT1A, 1 144A 4.899%, 10/25/23⁽³⁾		27,173		27,219
United Auto Credit Securitization Trust 16-2, C 144A 2.480%, 3/10/20⁽³⁾		9,425		9,441
Volvo Financial Equipment LLC Series
14-1A, C 144A 1.940%, 11/15/21⁽³⁾		6,000		6,005
17-1A, B 144A 2.400%, 1/18/22⁽³⁾		3,600		3,604
VSE VOI Mortgage LLC 16-A, A 144A 2.540%, 7/20/33⁽³⁾		6,209		6,189
Welk Resorts LLC
13-AA, A 144A 3.100%, 3/15/29⁽³⁾		2,627		2,643
15-AA, A 144A 2.790%, 6/16/31⁽³⁾		4,783		4,769
17-AA, A 144A 2.820%, 6/15/33⁽³⁾		3,585		3,584
Wendy’s Funding LLC
15-1A, A2I 144A 3.371%, 6/15/45⁽³⁾		11,018		11,112
15-1A, A2II 144A 4.080%, 6/15/45⁽³⁾		9,425		9,662
Westgate Resorts LLC 16-1A, A 144A 3.500%, 12/20/28⁽³⁾		7,623		7,657
Westlake Automobile Receivables Trust
15-1A, C 144A 2.290%, 11/16/20⁽³⁾		5,867		5,873
16-2A C, 144A 2.830%, 5/17/21⁽³⁾		3,190		3,208
15-3A, D,144A 4.400%, 5/17/21⁽³⁾		10,000		10,143
17-1A, B 144A 2.300%, 10/17/22⁽³⁾		10,000		9,997

TOTAL ASSET-BACKED SECURITIES (Identified Cost $1,482,077)				1,488,083

CORPORATE BONDS AND NOTES—34.4%
Consumer Discretionary—2.1%
Alibaba Group Holding Ltd. 2.500%, 11/28/19		6,600		6,650
American Greetings Corp. 144A 7.875%, 2/15/25⁽³⁾		3,540		3,828
Caesars Entertainment Operating Co., Inc. 9.000%, 2/15/20⁽⁹⁾		3,565		4,599
Clear Channel Worldwide Holdings, Inc. Series B, 7.625%, 3/15/20		10,670		10,617
Delphi Automotive plc 3.150%, 11/19/20		15,000		15,322
Horton (D.R.), Inc. 4.750%, 2/15/23		10,550		11,387
Hyundai Capital America 144A 2.125%, 10/2/17⁽³⁾		2,940		2,942


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
International Game Technology plc 144A 6.250%, 2/15/22⁽³⁾	$	5,190	$	5,670
Marriott International, Inc. Series N, 3.125%, 10/15/21		13,545		13,860
MGM Growth Properties Operating Partnership LP 5.625%, 5/1/24		1,740		1,897
Newell Brands, Inc. 3.150%, 4/1/21		1,925		1,970
QVC, Inc. 3.125%, 4/1/19		12,765		12,907
Scientific Games International, Inc. 144A 7.000%, 1/1/22⁽³⁾		8,970		9,553
SFR Group S.A.
144A 6.000%, 5/15/22⁽³⁾		4,580		4,792
144A 7.375%, 5/1/26⁽³⁾		7,075		7,676
Toll Brothers Finance Corp.
4.000%, 12/31/18		5,080		5,207
6.750%, 11/1/19		9,716		10,675
TRI Pointe Group, Inc.
4.875%, 7/1/21		3,740		3,936
5.875%, 6/15/24		10,130		10,687
Wyndham Worldwide Corp.
2.500%, 3/1/18		2,960		2,973
4.150%, 4/1/24		915		940

				148,088

Consumer Staples—0.4%
ESAL GmbH 144A 6.250%, 2/5/23⁽³⁾		8,600		7,503
MARB BondCo plc 144A 7.000%, 3/15/24⁽³⁾		10,535		10,179
Smithfield Foods, Inc.
144A 2.700%, 1/31/20⁽³⁾		6,867		6,903
144A 3.350%, 2/1/22⁽³⁾		3,678		3,697

				28,282

Energy—5.9%
Afren plc 144A 11.500%, 2/1/20^(3)(8)(13)		4,674		1
Anadarko Finance Co. Series B, 7.500%, 5/1/31		3,000		3,749
Anadarko Petroleum Corp.
4.850%, 3/15/21		3,845		4,104
5.550%, 3/15/26		5,455		6,097
Antero Resources Corp. 5.625%, 6/1/23		6,835		6,920
Blue Racer Midstream LLC 144A 6.125%, 11/15/22⁽³⁾		6,070		6,115
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		11,090		10,674


	PAR VALUE		VALUE
Energy—(continued)
Cheniere Corpus Christi Holdings LLC 7.000%, 6/30/24	$	7,155	$	7,978
Cimarex Energy Co. 4.375%, 6/1/24		11,490		12,045
CNOOC Finance Property Ltd. 2.625%, 5/5/20		5,800		5,815
Concho Resources, Inc. 5.500%, 4/1/23		9,345		9,602
Continental Resources, Inc.
5.000%, 9/15/22		5,035		4,941
4.500%, 4/15/23		3,035		2,898
Ecopetrol S.A. 5.875%, 9/18/23		36,745		40,181
Enbridge Energy Partners LP 4.375%, 10/15/20		3,930		4,136
Encana Corp.
3.900%, 11/15/21		7,960		8,113
8.125%, 9/15/30		8,110		10,299
Energy Transfer Partners LP 5.200%, 2/1/22		4,855		5,219
EP Energy LLC
9.375%, 5/1/20		7,130		5,624
144A 8.000%, 11/29/24⁽³⁾		7,660		7,641
FTS International, Inc. 6.250%, 5/1/22		2,245		1,818
KazMunayGas National Co. 144A 6.375%, 4/9/21⁽³⁾		4,800		5,214
Kinder Morgan, Inc. 144A 5.625%, 11/15/23⁽³⁾		20,300		22,458
Lukoil OAO International Finance BV 144A 3.416%, 4/24/18⁽³⁾		6,000		6,041
Midcontinent Express Pipeline LLC 144A 6.700%, 9/15/19⁽³⁾		3,500		3,745
Newfield Exploration Co. 5.625%, 7/1/24		7,925		8,262
NGL Energy Partners LP 5.125%, 7/15/19		11,500		11,414
Noble Holding International Ltd. 7.750%, 1/15/24		8,325		6,571
Oasis Petroleum, Inc. 6.875%, 3/15/22		10,500		10,185
Petrobras Global Finance BV
8.375%, 5/23/21		35,515		39,755
8.750%, 5/23/26		405		466
Petroleos de Venezuela S.A. 144A 8.500%, 10/27/20⁽³⁾		9,543		6,880
Petroleos Mexicanos
5.500%, 1/21/21		10,070		10,563
4.875%, 1/24/22		34,600		35,586
6.875%, 8/4/26		13,475		14,930
Regency Energy Partners LP 5.000%, 10/1/22		17,910		19,206
Sabine Oil & Gas Corp. 7.250%, 6/15/19^(8)(13)(15)		9,035		28
Sabine Pass Liquefaction LLC 5.625%, 2/1/21		8,000		8,709


	PAR VALUE			VALUE
Energy—(continued)
6.250%, 3/15/22	$	8,415		$	9,528
Sinopec Capital Ltd. 144A 1.875%, 4/24/18⁽³⁾		11,750			11,735
Southern Gas Corridor CJSC 144A 6.875%, 3/24/26⁽³⁾		6,435			6,966
Transocean, Inc.
144A 9.000%, 7/15/23⁽³⁾		3,680			3,818
6.800%, 3/15/38		7,800			5,694
Ultra Resources, Inc. 144A 6.875%, 4/15/22⁽³⁾		1,258			1,249
Weatherford International Ltd. 144A 9.875%, 2/15/24⁽³⁾		4,795			5,011
YPF S.A. 144A 8.500%, 3/23/21⁽³⁾		7,000			7,786

					425,770

Financials—11.8%
AerCap Ireland Capital Ltd. 3.950%, 2/1/22		3,670			3,821
Air Lease Corp. 2.625%, 9/4/18		5,495			5,536
Akbank TAS 144A 7.500%, 2/5/18⁽³⁾		33,705	^TRY		9,329
Ally Financial, Inc. 5.750%, 11/20/25		7,090			7,462
Altice US Finance I Corp. 144A 5.375%, 7/15/23⁽³⁾		8,250			8,585
Ares Capital Corp.
4.875%, 11/30/18		1,545			1,599
3.875%, 1/15/20		4,286			4,370
3.625%, 1/19/22		4,475			4,526
Australia & New Zealand Banking Group Ltd. 144A 4.400%, 5/19/26⁽³⁾		14,195			14,648
Aviation Capital Group Corp. 144A 2.875%, 9/17/18⁽³⁾		4,415			4,458
Banco de Credito del Peru 144A 4.250%, 4/1/23⁽³⁾		15,500			16,430
Bank of America Corp.
2.000%, 1/11/18		14,905			14,928
5.490%, 3/15/19		2,868			3,018
2.336%, 10/21/22⁽²⁾		10,735			10,900
4.200%, 8/26/24		10,473			10,865
Bank of Baroda 144A 4.875%, 7/23/19⁽³⁾		11,775			12,262
Bank of India 144A 3.625%, 9/21/18⁽³⁾		10,200			10,302
Barclays Bank plc 144A 6.050%, 12/4/17⁽³⁾		13,130			13,355
Barclays plc 3.200%, 8/10/21		10,345			10,494
BBVA Banco Continental S.A. RegS 5.000%, 8/26/22⁽⁴⁾		16,280			17,684
Blackstone Holdings Finance Co., LLC 144A 6.625%, 8/15/19⁽³⁾		7,105			7,756


	PAR VALUE			VALUE
Financials—(continued)
Bonos del Banco Central de Chile En Pesos 4.500%, 6/1/20		4,570,000	^CLP	$	7,141
Brookfield Finance LLC 4.000%, 4/1/24	$	15,475			15,870
Capital One N.A. 2.400%, 9/5/19		5,000			5,018
Citigroup, Inc.
2.632%, 9/1/23⁽²⁾		10,755			10,955
3.200%, 10/21/26		7,335			7,134
Corp Financiera de Desarrollo SA 144A 4.750%, 7/15/25⁽³⁾		6,000			6,428
Corpbanca SA 144A 3.875%, 9/22/19⁽³⁾		4,000			4,122
Discover Bank 8.700%, 11/18/19		1,750			1,977
Drawbridge Special Opportunities Fund LP 144A 5.000%, 8/1/21⁽³⁾		14,685			14,807
Fifth Third Bancorp 4.500%, 6/1/18		6,745			6,906
First Tennessee Bank N.A. 2.950%, 12/1/19		4,500			4,549
Ford Motor Credit Co., LLC 5.000%, 5/15/18		10,000			10,256
FS Investment Corp. 4.250%, 1/15/20		7,725			7,881
General Motors Financial Co., Inc.
3.500%, 7/10/19		9,715			9,941
4.200%, 3/1/21		7,300			7,656
Genworth Holdings, Inc. 7.625%, 9/24/21		6,910			6,668
Goldman Sachs Group, Inc. (The)
2.350%, 11/15/21		4,425			4,371
4.250%, 10/21/25		24,315			25,136
Guanay Finance Ltd. 144A 6.000%, 12/15/20⁽³⁾		21,140			21,658
HBOS plc 144A 6.750%, 5/21/18⁽³⁾		685			713
HSBC Holdings plc 2.799%, 1/5/22⁽²⁾		6,524			6,711
HSBC USA, Inc. 2.625%, 9/24/18		19,485			19,673
Huntington Bancshares, Inc. 7.000%, 12/15/20		17,065			19,494
ICAHN Enterprises LP
5.875%, 2/1/22		12,875			13,181
6.250%, 2/1/22		3,610			3,763
ICICI Bank Ltd.
RegS 4.700%, 2/21/18⁽⁴⁾		13,000			13,205
144A 4.000%, 3/18/26⁽³⁾		6,505			6,574
Industrial & Commercial Bank of China Ltd. 3.231%, 11/13/19		6,275			6,383
International Lease Finance Corp. 3.875%, 4/15/18		7,635			7,751
iStar, Inc.
4.875%, 7/1/18		6,945			6,989
5.000%, 7/1/19		4,435			4,479


	PAR VALUE		VALUE
Financials—(continued)
6.000%, 4/1/22	$	4,815	$	4,935
Jefferies Group LLC
5.125%, 4/13/18		6,541		6,709
5.125%, 1/20/23		3,725		4,056
JPMorgan Chase & Co. 2.295%, 8/15/21		4,495		4,468
JPMorgan Chase Bank N.A. 1.650%, 9/23/19		8,805		8,756
Lazard Group LLC 4.250%, 11/14/20		7,765		8,191
Lincoln National Corp.
8.750%, 7/1/19		4,613		5,187
3.196%, 4/20/67⁽²⁾⁽⁶⁾		2,885		2,640
Macquarie Group Ltd.
144A 3.000%, 12/3/18⁽³⁾		4,870		4,931
144A 6.000%, 1/14/20⁽³⁾		10,950		11,895
Mitsubishi UFJ Financial Group, Inc. 2.950%, 3/1/21		2,500		2,540
Morgan Stanley 2.553%, 10/24/23⁽²⁾		25,080		25,516
Navient Corp.
6.500%, 6/15/22		8,220		8,723
7.250%, 9/25/23		3,620		3,882
NUVEEN FINANCE LLC 144A 2.950%, 11/1/19⁽³⁾		2,850		2,891
Prudential Financial, Inc. 8.875%, 6/15/38⁽²⁾		11,200		11,903
QBE Insurance Group Ltd. 144A 2.400%, 5/1/18⁽³⁾		7,750		7,755
Regions Bank 7.500%, 5/15/18		2,369		2,480
Russian Agricultural Bank OJSC (RSHB Capital SA) 144A 5.298%, 12/27/17⁽³⁾		8,655		8,763
S&P Global, Inc. 3.300%, 8/14/20		15,097		15,476
Santander Holdings USA, Inc.
2.700%, 5/24/19		10,650		10,729
2.650%, 4/17/20		7,540		7,520
144A 3.700%, 3/28/22⁽³⁾		7,190		7,282
SBA Tower Trust 144A 3.156%, 10/15/20⁽³⁾		6,050		6,168
Sberbank of Russia 5.717%, 6/16/21⁽⁵⁾		7,000		7,536
Springleaf Finance Corp. 6.125%, 5/15/22		3,130		3,302
State Bank of India 144A 3.250%, 4/18/18⁽³⁾		10,470		10,558
State Street Corp. 4.956%, 3/15/18		24,025		24,556
TC Ziraat Bankasi AS 144A 5.125%, 5/3/22⁽³⁾		11,820		11,859
Toronto-Dominion Bank (The) 2.125%, 4/7/21		11,005		10,958
Trinity Acquisition plc
3.500%, 9/15/21		1,485		1,521
4.400%, 3/15/26		9,145		9,550
Turkiye Garanti Bankasi AS 144A 4.750%, 10/17/19⁽³⁾		8,500		8,689


	PAR VALUE		VALUE
Financials—(continued)
Turkiye Is Bankasi 144A 3.750%, 10/10/18⁽³⁾	$	12,630	$	12,624
Turkiye Vakiflar Bankasi TAO
144A 3.750%, 4/15/18⁽³⁾		4,000		3,995
144A 5.625%, 5/30/22⁽³⁾		14,600		14,564
UBS Group Funding Jersey Ltd. 144A 2.650%, 2/1/22⁽³⁾		8,475		8,456
Vnesheconombank 144A 6.902%, 7/9/20⁽³⁾		9,500		10,323
Wells Fargo & Co.
3.069%, 1/24/23		6,915		7,007
2.402%, 10/31/23⁽²⁾		10,770		10,961
Wells Fargo Bank N.A. 2.150%, 12/6/19		17,645		17,728
XLIT Ltd. Series E, 2.300%, 12/15/18		9,730		9,773

				847,074

Health Care—2.8%
Abbott Laboratories
2.350%, 11/22/19		6,325		6,373
2.900%, 11/30/21		8,815		8,899
3.400%, 11/30/23		3,910		4,002
AbbVie, Inc.
2.500%, 5/14/20		11,705		11,840
3.200%, 11/6/22		1,940		1,990
Allergan Funding SCS
3.000%, 3/12/20		2,825		2,887
3.450%, 3/15/22		3,815		3,932
Becton Dickinson & Co.
2.894%, 6/6/22		11,831		11,846
3.363%, 6/6/24		7,740		7,755
Cardinal Health, Inc.
2.616%, 6/15/22		10,985		10,994
3.079%, 6/15/24		11,180		11,204
Community Health Systems, Inc. 6.250%, 3/31/23		7,185		7,417
Endo Dac 144A 6.000%, 7/15/23⁽³⁾		720		605
Express Scripts Holding Co. 3.300%, 2/25/21		2,330		2,399
Forest Laboratories LLC 144A 4.375%, 2/1/19⁽³⁾		3,556		3,667
Fresenius U.S. Finance II, Inc. 144A 4.500%, 1/15/23⁽³⁾		2,590		2,719
HCA, Inc. 6.500%, 2/15/20		13,125		14,323
Mylan NV
3.000%, 12/15/18		5,360		5,433
3.150%, 6/15/21		4,065		4,135
Owens & Minor, Inc. 3.875%, 9/15/21		2,485		2,542


	PAR VALUE		VALUE
Health Care—(continued)
Shire Acquisitions Investments Ireland DAC 2.400%, 9/23/21	$	9,275	$	9,166
Tenet Healthcare Corp.
4.750%, 6/1/20		4,650		4,813
4.746%, 6/15/20⁽²⁾		4,045		4,085
6.000%, 10/1/20		9,560		10,241
144A 7.500%, 1/1/22⁽³⁾		490		532
8.125%, 4/1/22		3,015		3,203
144A 4.625%, 7/15/24⁽³⁾		3,405		3,409
Teva Pharmaceutical Finance Netherlands III BV
2.200%, 7/21/21		2,670		2,621
2.800%, 7/21/23		2,640		2,567
THC Escrow Corp. III
144A 4.625%, 7/15/24⁽³⁾		4,265		4,277
144A 5.125%, 5/1/25⁽³⁾		7,765		7,794
Valeant Pharmaceuticals International, Inc. 144A 6.500%, 3/15/22⁽³⁾		2,190		2,297
Zimmer Biomet Holdings, Inc. 3.150%, 4/1/22		17,905		18,176

				198,143

Industrials—3.4%
America West Airlines Pass-Through-Trust 01-1, G 7.100%, 4/2/21		34,376		37,384
British Airways Pass-Through-Trust 13-1, B 144A 5.625%, 6/20/20⁽³⁾		7,723		8,071
Cemex Finance LLC 144A 6.000%, 4/1/24⁽³⁾		7,110		7,555
CNH Industrial N.V. 4.500%, 8/15/23		12,864		13,668
Continental Airlines Pass-Through-Trust
99-2, C2 Series AMBC, 6.236%, 3/15/20		6,306		6,527
00-1, A1 8.048%, 11/1/20		3,412		3,771
01-1, A1 6.703%, 6/15/21		2,490		2,676
Doric Nimrod Air Alpha Pass-Through-Trust 13-1, A 144A 5.250%, 5/30/23⁽³⁾		16,960		17,638
Embraer Overseas Ltd. 144A 5.696%, 9/16/23⁽³⁾		3,460		3,728
Hawaiian Airlines Pass-Through Certificates 13-1, B 4.950%, 1/15/22		6,732		6,875
Hertz Corp. (The) 144A 7.625%, 6/1/22⁽³⁾		12,760		12,729
Latam Finance Ltd. 144A 6.875%, 4/11/24⁽³⁾		18,525		18,843
Masco Corp. 5.950%, 3/15/22		13,945		15,740
Park Aerospace Holdings Ltd. 144A 5.250%, 8/15/22⁽³⁾		7,710		8,059
Penske Truck Leasing Co., LP


	PAR VALUE		VALUE
Industrials—(continued)
RegS 2.500%, 6/15/19⁽⁴⁾	$	3,470	$	3,485
144A 3.375%, 2/1/22⁽³⁾		8,365		8,568
Pitney Bowes, Inc. 3.875%, 5/15/22		10,523		10,519
SCF Capital Designated Activity Co. 144A 5.375%, 6/16/23⁽³⁾		8,460		8,746
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾		6,590		6,953
Toledo Edison Co. (The) 7.250%, 5/1/20		224		248
UAL Pass-Through-Trust 07-01, A 6.636%, 7/2/22		37,572		40,766
United Airlines Pass-Through Trust 14-1, B 4.750%, 4/11/22		4,317		4,474

				247,023

Information Technology—0.8%
Broadcom Corp.
144A 2.375%, 1/15/20⁽³⁾		10,660		10,675
144A 3.000%, 1/15/22⁽³⁾		7,550		7,617
Dell International LLC 144A 5.450%, 6/15/23⁽³⁾		10,540		11,436
Dun & Bradstreet Corp. (The)
3.500%, 12/1/17		12,110		12,173
4.250%, 6/15/20		4,660		4,802
Hewlett Packard Enterprise Co.
2.850%, 10/5/18		9,690		9,773
3.600%, 10/15/20		1,845		1,902

				58,378

Materials—2.6%
Allegheny Technologies, Inc. 9.375%, 6/1/19		7,245		7,852
Cemex SAB de CV RegS 6.500%, 12/10/19⁽⁴⁾		3,598		3,796
Equate Petrochemical BV 144A 3.000%, 3/3/22⁽³⁾		9,535		9,392
FMG Resources August 2006 Pty Ltd. 144A 9.750%, 3/1/22⁽³⁾		16,815		19,148
Freeport-McMoRan, Inc.
3.550%, 3/1/22		3,070		2,877
3.875%, 3/15/23		7,645		7,110
Gerdau Holdings, Inc. 144A 7.000%, 1/20/20⁽³⁾		7,630		8,155
Gerdau Trade, Inc. 144A 5.750%, 1/30/21⁽³⁾		1,700		1,778
Glencore Funding LLC 144A 4.125%, 5/30/23⁽³⁾		17,615		18,075
NOVA Chemicals Corp.
144A 4.875%, 6/1/24⁽³⁾		9,000		8,966
144A 5.000%, 5/1/25⁽³⁾		16,890		16,805
OCP SA 144A 5.625%, 4/25/24⁽³⁾		17,090		18,485
Reynolds Group Issuer, Inc. 144A 4.658%, 7/15/21⁽²⁾⁽³⁾		3,100		3,150


	PAR VALUE		VALUE
Materials—(continued)
Rusal Capital DAC 144A 5.125%, 2/2/22⁽³⁾	$	17,980	$	17,984
Severstal OAO Via Steel Capital S.A. 144A 3.850%, 8/27/21⁽³⁾⁽⁵⁾		17,780		17,964
Vale Overseas Ltd. 5.875%, 6/10/21		7,475		8,024
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		17,325		17,888

				187,449

Real Estate—1.6%
Brixmor Operating Partnership LP 3.875%, 8/15/22		5,570		5,695
Digital Realty Trust LP
3.400%, 10/1/20		11,735		12,035
3.950%, 7/1/22		8,175		8,568
Education Realty Operating Partnership LP 4.600%, 12/1/24		2,040		2,071
Government Properties Income Trust 3.750%, 8/15/19		2,905		2,928
HCP, Inc. 3.750%, 2/1/19		4,035		4,120
Healthcare Trust of America Holdings LP 2.950%, 7/1/22		17,890		17,846
Hospitality Properties Trust 4.500%, 6/15/23		4,445		4,658
Select Income REIT 4.150%, 2/1/22		18,910		19,062
Senior Housing Properties Trust 3.250%, 5/1/19		6,685		6,750
Ventas Realty LP
4.000%, 4/30/19		7,100		7,297
2.700%, 4/1/20		2,948		2,973
Welltower, Inc. 4.125%, 4/1/19		4,100		4,222
West Europe Finance LLC 144A 3.250%, 10/5/20⁽³⁾		19,265		19,604

				117,829

Telecommunication Services—1.9%
Altice Financing S.A. 144A 6.625%, 2/15/23⁽³⁾		7,045		7,474
AT&T, Inc.
3.200%, 3/1/22		1,910		1,933
3.800%, 3/15/22		11,365		11,762
3.000%, 6/30/22		7,200		7,213
3.800%, 3/1/24		1,860		1,906
4.125%, 2/17/26		6,955		7,131
Crown Castle Towers LLC 144A 6.113%, 1/15/20⁽³⁾		5,900		6,343
Digicel Group Ltd. 144A 8.250%, 9/30/20⁽³⁾		10,365		9,690
Frontier Communications Corp.


	PAR VALUE		VALUE
Telecommunication Services—(continued)
8.500%, 4/15/20	$	3,200	$	3,364
8.875%, 9/15/20		3,380		3,576
10.500%, 9/15/22		9,085		8,665
SBA Tower Trust 144A 3.168%, 4/15/22⁽³⁾		18,490		18,566
Sprint Communications, Inc. 6.000%, 11/15/22		14,060		14,904
T-Mobile USA, Inc. 6.000%, 4/15/24		10,030		10,732
Telefonica Emisiones SAU 3.192%, 4/27/18		2,805		2,835
Verizon Communications, Inc. 3.125%, 3/16/22		9,017		9,135
Zayo Group LLC 6.000%, 4/1/23		6,960		7,325

				132,554

Utilities—1.1%
Dominion Energy, Inc. 2.962%, 7/1/19⁽²⁾		1,760		1,786
Eskom Holdings SOC Ltd. 144A 5.750%, 1/26/21⁽³⁾		13,900		14,039
Exelon Corp.
2.850%, 6/15/20		18,845		19,144
3.497%, 6/1/22		8,261		8,472
Ferrellgas Partners LP 6.750%, 6/15/23		11,560		10,751
Majapahit Holding BV 144A 7.750%, 1/20/20⁽³⁾		8,800		9,834
State Grid Overseas Investment Ltd.
144A 1.750%, 5/22/18⁽³⁾		5,000		4,985
144A 2.750%, 5/7/19⁽³⁾		9,370		9,457
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		1,825		1,779
Vistra Operations Company LLC 144A 11.500%, 10/1/20^{(3)(8)(13)(15)}		5,925		4

				80,251

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $2,438,076)				2,470,841

LOAN AGREEMENTS⁽²⁾—12.7%
Consumer Discretionary—4.3%
Advantage Sales & Marketing, Inc. Tranche B-2, First Lien, 4.420%, 7/23/21		7,085		6,779
Altice US Finance I Corp. 2017 Refinancing, 3.466%, 7/28/25		12,773		12,646
Aristocrat Leisure Ltd. Tranche B-2, 3.406%, 10/20/21		8,352		8,385
Bass Pro Group LLC 6.296%, 12/15/23		10,535		10,224
Boyd Gaming Corp. Refinancing, Tranche B, 3.688%, 9/15/23		4,695		4,703
Caesars Entertainment Operating Co., Inc.


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Tranche B-4, 1.500%, 10/31/17⁽⁹⁾	$	3,413	$	4,328
Tranche B-6, 1.500%, 3/1/20⁽⁹⁾		3,645		4,327
0.000%, 4/4/24⁽¹¹⁾		3,020		3,009
Caesars Entertainment Resort Properties LLC Tranche B, 4.545%, 10/11/20		11,362		11,417
Caesars Growth Properties Holdings LLC Tranche 2017, First Lien, 4.226%, 5/8/21		7,137		7,168
CDS U.S. Intermediate Holdings, Inc. First Lien, 5.296%, 7/8/22		20,169		20,244
Charter Communications Operating LLC
Tranche E-1, 3.230%, 7/1/20		6,240		6,256
Tranche F-1, 3.230%, 1/3/21		14,122		14,157
Tranche I-1, 3.476%, 1/15/24		10,075		10,107
CSC Holdings LLC 2017 Refinancing, 3.459%, 7/17/25		10,991		10,906
Delta 2 (Lux) S.a.r.l. Tranche B-3, 4.504%, 2/1/24		7,421		7,423
El Dorado Resorts, Inc. 3.375%, 4/17/24		11,032		10,936
Harbor Freight Tools USA, Inc. Tranche 2016, 4.476%, 8/18/23		10,733		10,721
Hilton Worldwide Finance LLC Tranche B-2, 3.216%, 10/25/23		12,402		12,434
Intelsat Jackson Holdings S.A. Tranche B-2, 4.000%, 6/30/19		7,912		7,839
Las Vegas Sands LLC 2017 Refinancing, 3.230%, 3/29/24		7,343		7,351
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.226%, 5/4/22		10,568		10,382
MGM Growth Properties Operation Partnership LP Tranche B, 3.476%, 4/25/23		7,076		7,083
Nexstar Broadcasting, Inc.
Tranche B, 4.238%, 1/17/24		3,624		3,629
Tranche B, 5.744%, 1/17/24		358		359
PetSmart, Inc. Tranche B-2, 4.220%, 3/11/22		13,695		12,721
Playa Resorts Holding B.V. 4.170%, 4/29/24		9,605		9,600
Scientific Games International, Inc. Tranche B-3, 5.151%, 10/1/21		4,789		4,834
Seminole Tribe of Florida, Inc. 3.476%, 4/29/20		6,273		6,278
Tranche B, 0.000%, 6/26/24⁽¹¹⁾		11,920		11,938
ServiceMaster Co. Tranche C, 3.726%, 11/8/23		8,147		8,179
Sinclair Television Group, Inc. Tranche B, 3.480%, 1/3/24		11,428		11,433


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Six Flags Theme Parks, Inc. Tranche B, 3.903%, 6/30/22	$	4,979	$	5,007
Station Casinos LLC Tranche B, 3.710%, 6/8/23		7,606		7,592
Tribune Media Co.
Tranche B, 4.226%, 12/27/20		445		446
Tranche C, 4.226%, 1/26/24		5,546		5,559
UFC Holdings LLC First Lien, 4.470%, 8/18/23		9,079		9,092
Vivid Seats LLC Tranche B, 0.000%, 6/23/24⁽¹¹⁾		3,860		3,865

				309,357

Consumer Staples—0.9%
Albertson’s LLC
2017-1, Tranche B-4, 3.976%, 8/25/21		14,734		14,535
2017-1, Tranche B-5, 4.293%, 12/21/22		2,166		2,141
Aramark Intermediate HoldCo Corp. Tranche B, 3.226%, 3/28/24		7,491		7,529
Chobani LLC First Lien, 5.476%, 10/10/23		2,861		2,877
Galleria Co. Tranche B, 4.250%, 9/29/23		5,523		5,550
Hostess Brands LLC 2017 Refinancing Tranche B, First Lien, 3.726%, 8/3/22		14,607		14,647
JBS USA Lux S.A. 5.750%, 10/30/22		4,808		4,683
Post Holdings, Inc. Series A, 3.470%, 5/24/24		4,155		4,158
Prestige Brands, Inc. Tranche B-4, 3.976%, 1/26/24		1,456		1,461
TKC Holdings, Inc. First Lien, 5.376%, 2/1/23		8,997		8,972

				66,553

Energy—0.2%
Paragon Offshore Finance Co. 6.000%, 7/16/21⁽¹⁶⁾		9,933		3,799
Seadrill Operating LP 4.296%, 2/21/21		8,747		5,563
Ultra Resources, Inc. 4.117%, 4/12/24		8,020		7,960

				17,322

Financials—0.8%
Asurion LLC
Tranche B-4, 4.476%, 8/4/22		6,062		6,086
Tranche B-5, 4.226%, 11/3/23		4,893		4,917
Clipper Acquisitions Corp. Tranche B, 3.468%, 2/6/20		6,093		6,093
Delos Finance S.a.r.l. 3.546%, 10/6/23		16,529		16,573
Focus Financial Partners LLC 0.000%, 5/22/24⁽¹¹⁾		1,345		1,354
Fortress Investment Group LLC Tranche B, 0.000%, 6/10/22⁽¹¹⁾		5,220		5,248


	PAR VALUE		VALUE
Financials—(continued)
iStar, Inc. 4.900%, 7/1/20	$	3,184	$	3,204
Trans Union LLC 2016 Tranche B-2, 3.726%, 4/9/23		9,993		10,050

				53,525

Health Care—1.4%
American Renal Associates, Inc. Tranche B, 4.466%, 6/14/24		5,593		5,578
Change Healthcare Holdings, Inc. 3.976%, 3/1/24		5,127		5,125
Endo Luxembourg Finance Co. S.a.r.l. 5.500%, 4/29/24		7,705		7,772
Envision Healthcare Corp. 4.300%, 12/1/23		12,754		12,805
HLF Financing S.a.r.l. Senior Lien, 6.726%, 2/15/23		3,655		3,692
INC Research Holdings, Inc. Tranche B, 0.000%, 6/28/24⁽¹¹⁾		7,870		7,880
Inventiv Group Holdings, Inc. 4.952%, 11/9/23		5,336		5,343
Iasis Healthcare LLC Tranche B-3, 5.296%, 2/17/21		653		656
MPH Acquisition Holdings LLC 4.296%, 6/7/23		3,320		3,318
Quorum Health Corp. 7.976%, 4/29/22		6,181		6,211
Surgery Partners LLC Tranche B, 0.000%, 6/20/24⁽¹¹⁾		8,865		8,893
Team Health Holdings, Inc. 3.976%, 2/6/24		9,055		8,973
Tranche A, 3.546%, 10/25/21		1,882		1,881
U.S. Renal Care, Inc. First Lien, 5.546%, 12/30/22		6,950		6,709
Valeant Pharmaceuticals International, Inc. Series F, Tranche B, 5.830%, 4/1/22		14,994		15,191

				100,027

Industrials—1.0%
Advanced Disposal Services, Inc. 3.939%, 11/10/23		2,290		2,297
American Airlines, Inc. Replacement, Tranche B, 3.724%, 4/28/23		15,904		15,902
Husky Injection Molding Systems Ltd. 4.476%, 6/30/21		4,743		4,760
Quikrete Holdings, Inc. First Lien 3.976%, 11/15/23		11,055		11,023
TransDigm, Inc. Tranche F, 0.000%, 6/9/23⁽¹¹⁾		18,350		18,313
United Airlines, Inc. Tranche B, 3.422%, 4/1/24		13,950		13,996


	PAR VALUE		VALUE
Industrials—(continued)
Zodiac Pool Solutions LLC Tranche B-1, First Lien, 5.296%, 12/20/23	$	6,512	$	6,561

				72,852

Information Technology—1.6%
Blackboard, Inc. Tranche B-4, First Lien, 6.158%, 6/30/21		13,827		13,741
First Data Corp.
2022, Tranche-D, 3.466%, 7/8/22		5,504		5,492
2024, 3.716%, 4/26/24		26,634		26,624
Kronos, Inc.
First Lien, 4.680%, 11/1/23		17,765		17,871
Second Lien, 9.420%, 11/1/24		3,287		3,409
Leidos Innovations Corp. Tranche B, 3.500%, 8/16/23		5,339		5,364
Mitchell International, Inc. 4.672%, 10/13/20		4,943		4,965
Presidio LLC Tranche B, 4.525%, 2/2/22		7,241		7,251
Rackspace Hosting, Inc. 2017 Refinancing, Tranche B, First Lien, 4.172%, 11/3/23		15,511		15,496
SS&C Technologies Holdings, Inc.
2017 Refinancing, Tranche B-2, 3.476%, 7/8/22		289		290
2017 Refinancing, Tranche B-1, 3.476%, 7/8/22		4,765		4,782
Veritas US, Inc. Tranche B, 5.796%, 1/27/23		6,172		6,179
Western Digital Corp. Tranche B-2, 3.976%, 4/29/23		5,050		5,067

				116,531

Materials—0.7%
Anchor Glass Container Corp. First Lien, 4.407%, 12/7/23		2,845		2,857
Berry Global Group, Inc.
Tranche I, 3.672%, 10/1/22		6,702		6,706
Tranche J, 3.617%, 1/19/24		1,042		1,042
CPG International LLC 5.046%, 5/5/24		12,105		12,157
CPI Acquisition, Inc. First Lien, 5.834%, 8/17/22		11,746		9,984
Huntsman International LLC 2023, Tranche B, 4.121%, 4/1/23		3,875		3,887
Ineos U.S. Finance LLC
2022, 3.976%, 3/31/22		5,640		5,648
2024, 3.976%, 4/1/24		1,965		1,968
New Arclin U.S. Holdings Corp. First Lien, 5.670%, 2/14/24		4,770		4,818

				49,067


	PAR VALUE		VALUE
Real Estate—0.1%
Capital Automotive LP
Tranche B-2, First Lien, 4.220%, 3/25/24	$	860	$	866
Tranche B, Second Lien, 7.220%, 3/24/25		4,210		4,268
ESH Hospitality, Inc. 3.726%, 8/30/23		2,478		2,487

				7,621

Telecommunication Services—1.0%
CenturyLink, Inc. Tranche B, 1.375%, 1/31/25		9,095		8,986
Digicel International Finance Ltd. Tranche-B, First Lien 4.940%, 5/27/24		1,735		1,745
Frontier Communications Corp. Tranche B-1, 4.910%, 6/15/24		11,740		11,563
Level 3 Financing, Inc. 2024, Tranche B, 3.466%, 2/22/24		18,044		18,078
Securus Technologies Holdings, Inc. 0.000%, 6/20/24⁽¹¹⁾		16,425		16,391
Sprint Communications, Inc. 3.750%, 2/2/24		3,212		3,211
UPC Financing Partnership 3.909%, 4/15/25		5,345		5,351
Virgin Media Bristol LLC 3.909%, 1/31/25		7,300		7,298

				72,623

Utilities—0.7%
Dynegy, Inc. Tranche C-1, 4.476%, 2/7/24		10,237		10,211
Energy Future Intermediate Holding Co. LLC 0.000%, 6/23/18⁽¹¹⁾		11,305		11,333
Helix Gen Funding LLC 4.960%, 6/3/24		398		400
NRG Energy, Inc. 3.546%, 6/30/23		10,068		10,049
State of Santa Catarina (The) 4.000%, 12/27/22		11,058		10,726
Vistra Operations Co. LLC 2016, 4.474%, 12/14/23		1,568		1,567
Vistra Operations Company LLC
3.976%, 8/4/23		5,987		5,931
Tranche C, 3.977%, 8/4/23		1,373		1,360

				51,577

TOTAL LOAN AGREEMENTS (Identified Cost $926,851)				917,055


	SHARES			VALUE
PREFERRED STOCKS—1.0%
Energy—0.1%
PTT Exploration & Production PCL 144A, 4.875%⁽²⁾⁽³⁾		8,645	⁽⁷⁾	$	8,848

Financials—0.9%
Bank of New York Mellon Corp. (The) Series E, 4.950%⁽²⁾		12,070	⁽⁷⁾	$	12,589
Citigroup, Inc. Series T, 6.250%⁽²⁾		17,805	⁽⁷⁾		19,752
JPMorgan Chase & Co. Series Z, 5.300%⁽²⁾		3,985	⁽⁷⁾		4,149
Wells Fargo & Co. Series K, 7.980%⁽²⁾		16,155	⁽⁷⁾		16,838
XLIT Ltd. Series E, 6.50%⁽²⁾		12,790	⁽⁷⁾		11,927

					65,255

TOTAL PREFERRED STOCKS (Identified Cost $71,931)					74,103

COMMON STOCKS—0.1%
Energy—0.1%
Frontera Energy Corp.⁽¹⁴⁾		75,733			1,964

Utilities—0.0%
Vistra Energy Corp.		98,789			1,659

TOTAL COMMON STOCKS (Identified Cost $4,210)					3,623

AFFILIATED MUTUAL FUND—0.9%
Virtus Newfleet Credit Opportunities Fund Class R6⁽¹⁰⁾		6,989,143			69,332

TOTAL AFFILIATED MUTUAL FUND (Identified Cost $69,865)					69,332

RIGHTS—0.0%
Vistra Energy Corp.⁽¹³⁾		98,789			101

TOTAL RIGHTS (Identified Cost $84)					101

TOTAL LONG TERM INVESTMENTS—99.1% (Identified Cost $7,095,751)					7,127,908	⁽¹²⁾


	VALUE
TOTAL INVESTMENTS—99.1% (Identified Cost $7,095,751)	$	7,127,908	⁽¹⁾
Other assets and liabilities, net—0.9%		61,736

NET ASSETS—100.0%	$	7,189,644

Abbreviations:


FNMA		Federal National Mortgage Association (“Fannie Mae”)
GNMA		Government National Mortgage Association (“Ginnie Mae”)
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $3,149,059 or 43.8% of net assets.

⁽⁴⁾	Regulation S security. Security is offered and sold outside of the United States, therefore, it is exempt from registration with the SEC under Rules 903 and 904 of the Securities Act of 1933.

⁽⁵⁾	This Note was issued for the sole purpose of funding a loan agreement between the issuer and the borrower. As the credit risk for this security lies solely with the borrower, the name represented here is that of the borrower.

⁽⁶⁾	Interest payments may be deferred.

⁽⁷⁾	Value shown as par value.

⁽⁸⁾	Security in default, no interest payments are being received during the bankruptcy proceedings.

⁽⁹⁾	Security in default, a portion of the interest payments are being received during the bankruptcy proceedings.

⁽¹⁰⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

⁽¹¹⁾	This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽¹²⁾	All or a portion of the Fund’s assets have been segregated for delayed delivery security.

⁽¹³⁾	Illiquid security.

⁽¹⁴⁾	Non-income producing.

⁽¹⁵⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽¹⁶⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

Foreign Currencies:

BRL	Brazilian Real

CLP	Chilean Peso

COP	Colombian Peso

IDR	Indonesian Rupiah

MXN	Mexican Peso

RUB	Russian Ruble

TRY	Turkish Lira

ZAR	South African Rand


Country Weightings †
United States	77	%
Turkey	3
Brazil	2
Argentina	2
Mexico	1
Cayman Islands	1
Luxembourg	1
Other	13

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.

The following is a reconciliation of assets of the Fund for Level 3 investments for which significant unobservable inputs were used to determine fair value.


	PAR VALUE		VALUE
MORTGAGE-BACKED SECURITIES—0.2%
Non-Agency—0.2%
Home Equity Loan Trust 07-HSA3, AI4 6.110%, 6/25/37⁽²⁾	$	964	$	968

TOTAL MORTGAGE-BACKED SECURITIES (Identified Cost $959)				968

CORPORATE BONDS AND NOTES—6.0%
Consumer Discretionary—0.8%
PetSmart, Inc.
144A 7.125%, 3/15/23⁽³⁾		905		805
144A 5.875%, 6/1/25⁽³⁾		95		91
Scientific Games International, Inc. 144A 7.000%, 1/1/22⁽³⁾		720		767
SFR Group S.A. 144A 6.000%, 5/15/22⁽³⁾		1,505		1,575
Sirius XM Radio, Inc. 144A 3.875%, 8/1/22⁽³⁾		455		459
TRI Pointe Group, Inc. 4.875%, 7/1/21		1,165		1,226

				4,923

Consumer Staples—0.2%
Dole Food Co., Inc. 144A 7.250%, 6/15/25⁽³⁾		855		889

Energy—1.4%
Alliance Resource Operating Partners LP 144A 7.500%, 5/1/25⁽³⁾		1,241		1,305
Alta Mesa Holdings LP 144A 7.875%, 12/15/24⁽³⁾		765		771
Carrizo Oil & Gas, Inc. 6.250%, 4/15/23		895		861
Chesapeake Energy Corp. 6.625%, 8/15/20		905		907
Denbury Resources, Inc. 5.500%, 5/1/22		690		386
EP Energy LLC 144A 8.000%, 11/29/24⁽³⁾		835		833
FTS International, Inc.
144A 8.746%, 6/15/20⁽²⁾⁽³⁾		1,120		1,123
6.250%, 5/1/22		825		668
MEG Energy Corp. 144A 6.500%, 1/15/25⁽³⁾		630		573
Noble Holding International Ltd. 7.750%, 1/15/24		180		142
Peabody Securities Finance Corp. 144A 6.000%, 3/31/22⁽³⁾		70		70
RSP Permian, Inc. 144A 5.250%, 1/15/25⁽³⁾		480		481

				8,120

Financials—0.5%
iStar, Inc.
4.875%, 7/1/18		785		790


	PAR VALUE		VALUE
Financials—(continued)
5.000%, 7/1/19	$	305	$	308
6.000%, 4/1/22		180		184
Springleaf Finance Corp. 5.250%, 12/15/19		1,410		1,467

				2,749

Health Care—1.0%
Capsugel S.A. PIK Interest Capitalization, 144A 7.000%, 5/15/19⁽³⁾⁽⁴⁾		270		270
Community Health Systems, Inc. 6.250%, 3/31/23		320		330
Eagle Holding Co. II, LLC PIK Interest Capitalization, 144A 7.625%, 5/15/22⁽³⁾⁽⁴⁾		110		113
Surgery Center Holdings, Inc. 144A 8.875%, 4/15/21⁽³⁾		435		471
Tenet Healthcare Corp.
5.000%, 3/1/19		415		436
4.746%, 6/15/20⁽²⁾		730		737
6.000%, 10/1/20		435		466
144A 4.625%, 7/15/24⁽³⁾		681		682
THC Escrow Corp. III
144A 4.625%, 7/15/24⁽³⁾		854		856
144A 5.125%, 5/1/25⁽³⁾		920		924
Valeant Pharmaceuticals International, Inc. 144A 5.375%, 3/15/20⁽³⁾		750		723

				6,008

Industrials—0.6%
American Airlines Group, Inc. 144A 4.625%, 3/1/20⁽³⁾		460		476
Hertz Corp. (The) 144A 7.625%, 6/1/22⁽³⁾		645		643
Standard Industries, Inc. 144A 5.500%, 2/15/23⁽³⁾		555		586
Wheels Up Finance I LLC Series A, 7.702%, 6/1/24⁽²⁾⁽⁷⁾		1,662		1,654

				3,359

Information Technology—0.1%
First Data Corp.
144A 5.000%, 1/15/24⁽³⁾		600		617
144A 5.750%, 1/15/24⁽³⁾		225		234

				851

Materials—1.0%
Ardagh Packaging Finance plc 144A 6.000%, 2/15/25⁽³⁾		785		824


	PAR VALUE		VALUE
Materials—(continued)
Bway Holding Co. 144A 5.500%, 4/15/24⁽³⁾	$	1,160	$	1,185
Hexion Inc. 6.625%, 4/15/20		645		589
NOVA Chemicals Corp.
144A 4.875%, 6/1/24⁽³⁾		345		344
144A 5.000%, 5/1/25⁽³⁾		260		259
Reynolds Group Issuer, Inc.
144A 4.658%, 7/15/21⁽²⁾⁽³⁾		1,500		1,524
144A 5.125%, 7/15/23⁽³⁾		575		597
Vedanta Resources plc 144A 6.000%, 1/31/19⁽³⁾		685		707

				6,029

Telecommunication Services—0.2%
T-Mobile USA, Inc. 6.000%, 4/15/24		1,090		1,166

Utilities—0.2%
Ferrellgas Partners LP 6.750%, 6/15/23		920		856
Talen Energy Supply LLC 144A 4.625%, 7/15/19⁽³⁾		138		135
Vistra Operations Company LLC 144A 11.500%, 10/1/20^{(3)(7)(9)(10)}		9,165		6

				997

TOTAL CORPORATE BONDS AND NOTES (Identified Cost $35,216)				35,091

LOAN AGREEMENTS⁽²⁾—99.6%
Consumer Discretionary—25.6%
Accuride International, Inc. 8.147%, 11/17/23		1,791		1,800
Advantage Sales & Marketing, Inc.
Tranche B-2, First Lien, 4.420%, 7/23/21		985		943
First Lien, 4.546%, 7/23/21		564		539
Second Lien, 7.796%, 7/25/22		1,200		1,146
Affinity Gaming LLC 4.726%, 7/1/23		998		1,004
Altice US Finance I Corp. 2017 Refinancing, 3.466%, 7/28/25		1,670		1,653
American Axle & Manufacturing, Inc. Tranche B, 3.470%, 4/6/24		1,396		1,382
Aristocrat Leisure Ltd. Tranche B-2, 3.406%, 10/20/21		2,129		2,137
Bass Pro Group LLC
6.046%, 6/8/18		3,575		3,595
6.296%, 12/15/23		2,850		2,766
Boyd Gaming Corp. Refinancing, Tranche B, 3.688%, 9/15/23		1,441		1,443
Caesars Entertainment Operating Co., Inc.


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Tranche B-4, 1.500%, 10/31/17⁽⁵⁾	$	890	$	1,129
Tranche B-6, 1.500%, 3/1/20⁽⁵⁾		2,415		2,867
Tranche B-5, 1.500%, 3/1/20⁽⁵⁾		300		348
Tranche B-7, 1.500%, 3/1/20⁽⁵⁾		1,199		1,499
0.000%, 4/4/24⁽⁶⁾		1,520		1,515
Caesars Entertainment Resort Properties LLC Tranche B, 4.545%, 10/11/20		3,871		3,889
Caesars Growth Properties Holdings LLC Tranche 2017, First Lien, 4.226%, 5/8/21		1,220		1,225
CBAC Borrower LLC
Tranche B, 8.296%, 7/2/20		944		939
Tranche B, 0.000%, 6/29/24⁽⁶⁾		1,100		1,094
CBS Radio, Inc. Tranche B, 4.716%, 10/17/23		590		591
CDS U.S. Intermediate Holdings, Inc. First Lien, 5.296%, 7/8/22		2,195		2,203
Charter Communications Operating LLC
Tranche F-1, 3.230%, 1/3/21		5,072		5,084
Tranche I-1, 3.476%, 1/15/24		1,331		1,335
CityCenter Holdings LLC Tranche B, 3.716%, 4/18/24		2,215		2,217
Cooper-Standard Automotive, Inc. Tranche B-1, 3.546%, 11/2/23		1,365		1,364
CSC Holdings LLC 2017 Refinancing, 3.459%, 7/17/25		3,321		3,295
Delta 2 (Lux) S.a.r.l. 4.504%, 2/1/24		3,018		3,019
El Dorado Resorts, Inc. 3.375%, 4/17/24		1,830		1,814
Federal-Mogul Corp. Tranche C, 4.957%, 4/15/21		3,460		3,469
Floor & Decor Outlets of America, Inc. Tranche B-1, 4.730%, 9/30/23		717		719
Gates Global LLC Tranche B-1, 4.546%, 4/1/24		2,169		2,167
Gateway Casinos & Entertainment Ltd. Tranche B-1, 5.046%, 2/22/23		825		831
Greektown Holdings LLC 4.226%, 4/25/24		861		860
Hilton Worldwide Finance LLC Series B-2, 3.216%, 10/25/23		5,706		5,721
iHeartCommunications, Inc. Tranche D, 7.976%, 1/30/19		5,288		4,305
Intelsat Jackson Holdings S.A. Tranche B-2, 4.000%, 6/30/19		1,838		1,821
KAR Auction Services, Inc. Tranche B-4, 3.563%, 3/11/21		1,669		1,679
Laureate Education, Inc. 2024, 5.726%, 4/26/24		4,625		4,644


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Leslie’s Poolmart, Inc. Tranche B-1, 4.871%, 8/16/23	$	1,581	$	1,585
Libbey Glass, Inc. 4.096%, 4/9/21		1,334		1,207
Lions Gate Entertainment Corp. Tranche B, 4.226%, 12/8/23		976		982
MCC LLC Tranche H, 3.690%, 1/29/21		1,614		1,618
McGraw-Hill Global Education Holdings LLC Tranche B, First Lien, 5.226%, 5/4/22		3,016		2,963
Mediacom Illinois LLC Tranche K 3.440%, 2/15/24		2,284		2,289
MGM Growth Properties Operation Partnership LP Tranche B, 3.476%, 4/25/23		2,489		2,492
Michaels Stores, Inc. Tranche B-1, 3.935%, 1/30/23		2,115		2,109
Mohegan Tribal Gaming Authority Tranche B, 5.226%, 10/13/23		1,448		1,463
Neiman Marcus Group 4.339%, 10/25/20		1,807		1,351
Nexstar Broadcasting, Inc.
Tranche B, 4.238%, 1/17/24		1,176		1,178
Tranche B, 5.744%, 1/17/24		116		116
Party City Holdings, Inc. 2016 Replacement, 4.240%, 8/19/22		1,816		1,817
Penn National Gaming, Inc. Tranche B, 3.726%, 1/19/24		628		631
PetSmart, Inc. Tranche B-2, 4.220%, 3/11/22		2,431		2,258
Playa Resorts Holding B.V. 4.170%, 4/29/24		1,835		1,834
Scientific Games International, Inc. Tranche B-3, 5.151%, 10/1/21		2,155		2,175
Serta Simmons Bedding LLC First Lien, 4.739%, 11/8/23		1,710		1,707
ServiceMaster Co. Tranche C, 3.726%, 11/8/23		5,076		5,096
SFR Group S.A. Tranche B-11, 3.944%, 7/31/25		3,320		3,290
Sinclair Television Group, Inc. Tranche B, 3.480%, 1/3/24		4,494		4,496
Speedstar Holding Co. PIK Interest Capitalization 8.750%, 4/11/22^(4)(7)(10)		214		162
SRAM, LLC First Lien, 5.663%, 3/15/24		2,481		2,487
Station Casinos LLC Tranche B, 3.710%, 6/8/23		2,463		2,459
TI Group Auto Systems LLC 3.976%, 6/30/22		1,122		1,120
Transtar Holding Co.
First Lien 5.500%, 4/11/22^(7)(10)		704		557
5.523%, 4/11/22^(7)(10)		278		271
Tribune Media Co.


	PAR VALUE		VALUE
Consumer Discretionary—(continued)
Tranche B, 4.226%, 12/27/20	$	167	$	167
Tranche C, 4.226%, 1/26/24		2,084		2,088
U.S. Farathane LLC Tranche B-3, 5.296%, 12/23/21		1,937		1,957
UFC Holdings LLC First Lien, 4.470%, 8/18/23		2,422		2,425
University Support Services LLC 6.400%, 7/6/22		1,265		1,268
Univision Communications, Inc. First Lien, 3.976%, 3/15/24		9,494		9,300
Vivid Seats LLC Tranche B, 0.000%, 6/23/24⁽⁶⁾		1,085		1,086
Ziggo Secured Finance Partnership Tranche E, 3.659%, 4/15/25		2,995		2,985

				151,040

Consumer Staples—5.9%
Albertson’s LLC
2017-1, Tranche B-4, 3.976%, 8/25/21		2,074		2,046
2017-1, Tranche B-5, 4.293%, 12/21/22		2,025		2,001
Amplify Snack Brands, Inc. 6.730%, 9/2/23		924		924
Aramark Intermediate HoldCo Corp. Tranche B, 3.226%, 3/28/24		1,397		1,404
Chobani LLC First Lien, 5.476%, 10/10/23		399		401
Crossmark Holdings, Inc.
First Lien, 4.796%, 12/20/19⁽⁷⁾		1,933		1,341
Second Lien, 8.796%, 12/21/20⁽⁷⁾		520		232
Dole Food Co., Inc. Tranche B, 4.167%, 4/6/24		2,780		2,783
Galleria Co. Tranche B, 4.250%, 9/29/23		1,698		1,706
Hostess Brands LLC 2017 Refinancing Tranche B, First Lien, 3.726%, 8/3/22		2,697		2,705
JBS USA Lux S.A. 5.750%, 10/30/22		4,692		4,570
Milk Specialties Co. 5.296%, 8/16/23		1,171		1,179
PDC Brands Tranche B, 0.000%, 6/29/24⁽⁶⁾		1,045		1,037
Post Holdings, Inc. Series A, 3.470%, 5/24/24		1,030		1,031
Prestige Brands, Inc. Tranche B-4, 3.976%, 1/26/24		751		754
Revlon Consumer Products Corp. 0.000%, 9/7/23⁽⁶⁾		985		918
Reynolds Group Holdings, Inc. 4.226%, 2/5/23		4,979		4,982
Rite Aid Corp. Tranche 2, Second Lien, 5.105%, 6/21/21		1,150		1,153
TKC Holdings, Inc. First Lien, 5.376%, 2/1/23		2,439		2,432
US Foods, Inc. 3.980%, 6/27/23		1,455		1,461

				35,060


	PAR VALUE		VALUE
Energy—3.5%
Blackhawk Mining LLC First Lien, 10.710%, 2/17/22	$	964	$	822
Chesapeake Energy Corp. Tranche A, 8.686%, 8/23/21		910		961
Chief Exploration & Development LLC Second Lien, 7.932%, 5/16/21		1,639		1,575
Contura Energy, Inc. 6.230%, 3/18/24		1,830		1,776
Drillships Financing Holding, Inc. (Ocean Rig) Tranche B-1, 8.250%, 3/31/21⁽⁹⁾		1,713		1,099
Drillships Ocean Ventures, Inc. 7.750%, 7/25/21⁽⁹⁾		746		613
Fieldwood Energy LLC
8.296%, 8/31/20		733		683
Second Lien, 8.421%, 9/30/20		1,623		897
First Lien, 8.421%, 9/30/20		989		779
Gavilan Resources LLC Second Lien, 7.224%, 3/1/24		790		749
Jonah Energy LLC Second Lien, 7.726%, 5/12/21		2,045		1,946
MEG Energy Corp. 5.383%, 12/31/23		2,984		2,904
Paragon Offshore Finance Co. 6.000%, 7/16/21⁽¹¹⁾		1,712		655
Peabody Energy Corp. 2017, 5.726%, 3/31/22		1,476		1,473
Seadrill Operating LP 4.296%, 2/21/21		4,030		2,563
Ultra Resources, Inc. 4.117%, 4/12/24		955		948

				20,443

Financials—3.5%
AlixPartners LLP 2017 Refinancing, 4.296%, 4/4/24		2,269		2,278
Asurion LLC
Tranche B-4, 4.476%, 8/4/22		1,618		1,624
Tranche B-5, 4.226%, 11/3/23		703		706
Delos Finance S.a.r.l. 3.546%, 10/6/23		1,212		1,215
Focus Financial Partners LLC 0.000%, 5/22/24⁽⁶⁾		385		387
Fortress Investment Group LLC Tranche B, 0.000%, 6/10/22⁽⁶⁾		1,310		1,317
iStar, Inc. 4.900%, 7/1/20		460		463
Lightstone HoldCo., LLC
Tranche B, 5.726%, 1/30/24		710		691
Tranche C, 5.726%, 1/30/24		44		43
Lonestar Intermediate Super Holdings LLC 10.226%, 8/31/21		1,205		1,239
Trans Union LLC 2016 Tranche B-2, 3.726%, 4/9/23		5,121		5,151


	PAR VALUE		VALUE
Financials—(continued)
VF Holdings Corp. Tranche B-1, First Lien, 4.546%, 6/30/23	$	1,115	$	1,113
Walter Investment Management Corp. Tranche B, 4.976%, 12/18/20		4,662		4,219

				20,446

Health Care—13.7%
21st Century Oncology Holdings, Inc. Tranche B, 7.425%, 4/30/22⁽¹¹⁾		1,330		1,250
Acadia Healthcare Co., Inc. Tranche B-2, 3.801%, 2/16/23		2,055		2,067
Akorn, Inc. 5.500%, 4/16/21		2,180		2,197
Alere, Inc. Tranche B, 4.480%, 6/20/22		2,733		2,737
American Renal Associates, Inc. Tranche B, 4.466%, 6/14/24		1,386		1,382
Amneal Pharmaceuticals LLC Tranche B, 4.796%, 11/1/19		1,845		1,855
Ardent Legacy Acquisitions, Inc. 6.796%, 8/4/21		1,524		1,526
Capsugel Holdings LLC 4.226%, 7/31/21		3,154		3,153
Change Healthcare Holdings, Inc. 3.976%, 3/1/24		3,282		3,280
CHG Healthcare Services, Inc. First Lien, 4.422%, 6/7/23		355		359
Community Health Systems, Inc.
Tranche G, 3.873%, 12/31/19		1,647		1,644
2021 Tranche H, 4.123%, 1/27/21		4,625		4,615
Concordia International Corp. 5.501%, 10/21/21		1,207		898
DaVita, Inc. Tranche B, 3.976%, 6/24/21		3,060		3,064
DJO Finance 4.477%, 6/8/20		2,026		2,003
Endo Luxembourg Finance Co. S.a.r.l. 5.500%, 4/29/24		2,055		2,073
Envision Healthcare Corp. 4.300%, 12/1/23		2,308		2,317
Greatbatch Ltd. Tranche B, 4.710%, 10/27/22		748		751
Grifols Worldwide Operations Ltd. Tranche B, 3.436%, 1/31/25		818		818
HLF Financing S.a.r.l. Senior Lien, 6.726%, 2/15/23		908		917
Immucor, Inc. 0.000%, 6/25/21⁽⁶⁾		175		176
INC Research Holdings, Inc. Tranche B, 0.000%, 6/26/24⁽⁶⁾		1,280		1,282
Inventiv Group Holdings, Inc. 4.952%, 11/9/23		1,892		1,895
Jaguar Holding Company I, LLC 2017, 4.011%, 8/18/22		3,067		3,067


	PAR VALUE		VALUE
Health Care—(continued)
Kindred Healthcare, Inc. 4.688%, 4/9/21	$	1,141	$	1,144
Iasis Healthcare LLC Tranche B-3, 5.296%, 2/17/21		1,790		1,797
Mallinckrodt International S.A Tranche B, 4.046%, 9/24/24		489		487
MMM Holdings, Inc. 10.250%, 6/30/19		295		291
MPH Acquisition Holdings LLC 4.296%, 6/7/23		796		795
MSO of Puerto Rico, Inc. 10.250%, 6/30/19		214		212
National Mentor Holdings, Inc. Tranche B, 4.296%, 1/31/21		1,048		1,056
National Surgical Hospitals First Lien, 4.726%, 6/1/22		1,066		1,064
NVA Holdings, Inc.
Tranche B-2, First Lien, 3.500%, 8/14/21		70		70
Tranche B-2, First Lien, 4.647%, 8/14/21		640		643
Second Lien, 8.296%, 8/14/22		1,263		1,274
Ortho-Clinical Diagnostics Holdings S.a.r.l. 4.783%, 6/30/21		3,146		3,126
Quintiles IMS, Inc. Tranche B-1 3.223%, 3/7/24		2,038		2,047
Quorum Health Corp. 7.976%, 4/29/22		1,475		1,483
Select Medical Corp. Tranche B, 5.700%, 3/6/24		1,511		1,522
Sterigenics-Nordion 4.150%, 5/15/22		1,690		1,684
Surgery Center Holdings, Inc. First Lien, 4.980%, 11/3/20		1,435		1,439
Surgery Partners LLC Tranche B, 0.000%, 6/20/24⁽⁶⁾		2,895		2,904
Team Health Holdings, Inc. 3.976%, 2/6/24		1,937		1,920
U.S. Renal Care, Inc. First Lien, 5.546%, 12/30/22		3,223		3,111
US Anesthesia Partners First Lien, 4.466%, 6/23/24		835		835
Valeant Pharmaceuticals International, Inc. Series F, Tranche B, 5.830%, 4/1/22		6,342		6,426

				80,656

Industrials—13.0%
84 Lumber Co. 6.966%, 10/25/23		2,642		2,668
Accudyne Industries Borrower S.C.A. 4.226%, 12/13/19		3,070		3,043
Advanced Disposal Services, Inc. 3.939%, 11/10/23		620		622
American Airlines, Inc.
2017 Replacement, 3.220%, 6/27/20		2,263		2,260


	PAR VALUE			VALUE
Industrials—(continued)
Replacement, Tranche B, 3.724%, 4/28/23	$	1,198		$	1,198
Apex Tool Group LLC 4.500%, 1/31/20		1,807			1,759
Brand Energy & Infrastructure Services, Inc. 0.000%, 6/14/24⁽⁶⁾		2,360			2,355
Brickman Group Ltd. LLC (The)
First Lien, 4.217%, 12/18/20		3,687			3,688
Second Lien, 7.709%, 12/17/21		923			921
Casella Waste Systems, Inc. 3.959%, 10/17/23		1,189			1,193
Columbus McKinnon Corp. 4.296%, 1/31/24		469			471
CSC SW Holdco, Inc. (CSC Serviceworks, Inc.) Tranche B-1, First Lien, 4.966%, 11/14/22		3,301			3,279
Filtration Group Corp. First Lien, 4.476%, 11/23/20		2,759			2,763
Fort Dearborn Holding Co., Inc. First Lien, 5.284%, 10/19/23		1,810			1,819
Gardner Denver, Inc. 4.546%, 7/30/20		2,590			2,592
Greenrock Finance, Inc. Tranche B, 0.000%, 6/5/24⁽⁶⁾		1,175			1,186
GW Honos Security Corp. (Garda Garda World Security Corp.) 5.226%, 5/24/24		805			810
Harland Clarke Holdings Corp.
Tranche B-5, 7.296%, 12/31/21		—	⁽¹³⁾		—	⁽¹³⁾
Tranche B-6 6.796%, 2/9/22		1,907			1,908
HD Supply, Inc.
Tranche B-1, 4.046%, 8/13/21		1,871			1,873
Tranche B-2, 4.046%, 10/17/23		664			667
Husky Injection Molding Systems Ltd. 4.476%, 6/30/21		3,511			3,523
MRC Global (U.S.), Inc. 5.226%, 11/8/19		2,423			2,436
Navistar, Inc. Tranche B, 5.090%, 8/7/20		1,514			1,530
NN, Inc.
4.976%, 4/2/21		990			989
Tranche B, 5.476%, 10/19/22		1,431			1,428
PAE Holding Corp. First Lien, 6.726%, 10/20/22		953			958
Prime Security Services Tranche B-1, First Lien, 3.974%, 5/2/22		2,437			2,435
Quikrete Holdings, Inc. First Lien 3.976%, 11/15/23		3,608			3,597
RBS Global, Inc. (Rexnord LLC) Tranche B 3.974%, 8/21/23		2,342			2,341
Science Applications International Corp. Tranche B, 3.688%, 5/4/22		1,501			1,506
Sedgwick Claims Management Services, Inc.


	PAR VALUE		VALUE
Industrials—(continued)
First Lien, 3.976%, 3/1/21	$	3,444	$	3,443
Second Lien, 6.952%, 2/28/22		1,725		1,730
Siteone Landscape Supply, LLC Tranche C, 4.760%, 4/29/22		1,350		1,358
TransDigm, Inc.
Tranche D, 4.261%, 6/4/21		610		609
Tranche F, 4.226%, 6/9/23		5,998		5,986
Waste Industries USA, Inc. Tranche B, 4.046%, 2/27/20		2,147		2,155
WEX, Inc. Tranche B 4.726%, 6/30/23		2,013		2,022
Zodiac Pool Solutions LLC Tranche B-1, First Lien, 5.296%, 12/20/23		1,711		1,724

				76,845

Information Technology—10.8%
Alorica, Inc. Tranche B, 5.976%, 6/30/22		355		356
Applied Systems, Inc. Second Lien, 7.796%, 1/24/22		1,140		1,150
Avaya, Inc.
8.667%, 1/24/18		1,025		1,056
Tranche B-7, 6.417%, 5/29/20⁽¹¹⁾		934		746
Blackboard, Inc. Tranche B-4, First Lien, 6.158%, 6/30/21		4,790		4,760
BMC Software, Inc. Tranche B-1 5.226%, 9/10/22		2,602		2,605
Cologix, Inc.
Delayed Draw, First Lien 3.608%, 12/15/21		560		558
First Lien, 4.216%, 3/20/24		1,112		1,110
Second Lien, 8.216%, 3/20/25		180		181
Cypress Semiconductor Corp. 4.840%, 7/5/21		1,733		1,748
Dell International LLC Tranche B, 3.730%, 9/7/23		5,611		5,630
Donnelley Financial Solutions, Inc. Tranche B, 5.076%, 9/29/23		422		425
Everi Payments, Inc. Tranche B, 5.754%, 5/9/24		1,830		1,840
First Data Corp.
2022-D, 3.466%, 7/8/22		1,525		1,521
2024, 3.716%, 4/26/24		5,673		5,671
Go Daddy Operating Co., LLC 3.726%, 2/15/24		1,983		1,986
Infor U.S., Inc. Tranche B-6, 4.046%, 2/1/22		4,694		4,662
Kronos, Inc.
First Lien, 4.680%, 11/1/23		3,815		3,838
Second Lien, 9.420%, 11/1/24		965		1,001


	PAR VALUE		VALUE
Information Technology—(continued)
Leidos Innovations Corp. Tranche B, 3.500%, 8/16/23	$	1,403	$	1,410
Mitchell International, Inc.
4.672%, 10/13/20		1,770		1,778
Second Lien, 8.672%, 10/11/21		716		720
MKS Instruments, Inc. Tranche B-2, 3.976%, 5/1/23		447		448
NAB Holdings LLC 0.000%, 6/14/24⁽⁶⁾		1,740		1,741
ON Semiconductor Corp. 2017 New Replacement, 3.476%, 3/31/23		952		952
Presidio LLC Tranche B, 4.525%, 2/2/22		1,205		1,207
Rackspace Hosting, Inc. 2017 Refinancing, Tranche B, First Lien, 4.172%, 11/3/23		2,676		2,674
Radiate Holdco LLC 4.226%, 2/1/24		1,575		1,551
Sophia L.P. 4.546%, 9/30/22		2,497		2,490
SS&C Technologies Holdings, Inc.
2017 Refinancing, Tranche B-2, 3.476%, 7/8/22		76		77
2017 Refinancing, Tranche B-1, 3.476%, 7/8/22		1,261		1,265
Tempo Acquisition LLC 4.060%, 5/1/24		1,585		1,588
Veritas US, Inc. Tranche B, 5.796%, 1/27/23		2,672		2,675
Western Digital Corp. Tranche B-2, 3.976%, 4/29/23		2,338		2,346

				63,766

Materials—10.9%
ABC Supply, Inc. 3.726%, 10/31/23		4,531		4,540
Alpha 3 B.V. Tranche B-1, 4.296%, 1/31/24		760		761
Anchor Glass Container Corp.
First Lien, 4.407%, 12/7/23		1,003		1,007
Second Lien, 8.810%, 12/7/24		1,358		1,378
Berlin Packaging, Inc. S.a.r.l. 2017, First Lien, 4.527%, 10/1/21		1,862		1,865
Berry Global Group, Inc.
Tranche K, 3.367%, 2/8/20		3,810		3,809
Tranche L, 3.367%, 1/6/21		1,843		1,842
Tranche I, 3.672%, 10/1/22		564		565
Tranche J, 3.617%, 1/19/24		274		274
Bway Corp. 4.326%, 4/3/24		1,830		1,829
CPG International LLC 5.046%, 5/5/24		2,402		2,413
CPI Acquisition, Inc. First Lien, 5.834%, 8/17/22		5,097		4,333
DuBois Chemicals, Inc.
First Lien, 4.000%, 3/15/24		155		156


	PAR VALUE		VALUE
Materials—(continued)
First Lien, 4.909%, 3/15/24	$	608	$	611
Duke Finance LLC Tranche B, First Lien, 6.296%, 2/21/24		633		641
Huntsman International LLC 2023, Tranche B, 4.121%, 4/1/23		4,327		4,340
Ineos U.S. Finance LLC
2022, 3.976%, 3/31/22		6,819		6,829
2024, 3.976%, 4/1/24		517		518
Klockner Pentaplast of America, Inc. (Kleopatra Acquisition Corp.) 0.000%, 6/29/22⁽⁶⁾		3,120		3,085
KMG Chemicals, Inc. 5.409%, 6/15/24		530		535
Kraton Polymers LLC 5.226%, 1/6/22		1,248		1,258
MacDermid, Inc. Tranche B-5, 4.726%, 6/7/20		1,039		1,042
New Arclin U.S. Holdings Corp. First Lien, 5.670%, 2/14/24		710		717
Omnova Solutions, Inc. Tranche B-2, 5.476%, 8/25/23		2,822		2,850
PQ Corp. Tranche B-1, 5.476%, 11/4/22		615		621
Royal Holdings, Inc. 2017 Refinancing, First Lien, 4.546%, 6/20/22		2,102		2,116
Solenis International LP First Lien, 4.452%, 7/31/21		2,265		2,270
Summit Materials 3.976%, 7/18/22		3,483		3,492
Transcendia, Inc. 5.226%, 5/10/24		1,470		1,479
TricorBraun, Inc.
First Lien, 3.750%, 11/30/23		181		182
First Lien, 5.046%, 11/30/23		1,799		1,812
Univar USA, Inc. Tranche B-2, 3.976%, 7/1/22		2,827		2,828
Venator Materials Corp. Tranche B, 0.000%, 6/29/24⁽⁶⁾		2,335		2,341

				64,339

Real Estate—2.2%
Capital Automotive LP
Tranche B-2, First Lien, 4.220%, 3/25/24		535		539
Tranche B, Second Lien, 7.220%, 3/24/25		1,495		1,516
Communications Sales & Leasing, Inc. 6.250%, 10/24/22		2,228		2,231
DTZ U.S. Borrower, LLC First Lien, 4.473%, 11/4/21		2,940		2,934
ESH Hospitality, Inc. 3.726%, 8/30/23		1,022		1,025
GEO Group, Inc. 3.480%, 3/22/24		1,137		1,138


	PAR VALUE		VALUE
Real Estate—(continued)
Realogy Group LLC Tranche B, 3.476%, 7/20/22	$	3,535	$	3,543

				12,926

Telecommunication Services—6.8%
Altice Financing S.A. 2017 Refinancing 3.908%, 7/15/25		2,135		2,128
CenturyLink, Inc. Tranche B, 1.375%, 1/31/25		3,085		3,048
Digicel International Finance Ltd. Tranche-B, First Lien 4.940%, 5/27/24		735		739
Frontier Communications Corp. Tranche B-1, 4.910%, 6/15/24		1,850		1,822
Global Tel*Link Corp. First Lien, 5.046%, 5/23/20		1,756		1,754
Level 3 Financing, Inc. 2024, Tranche B, 3.466%, 2/22/24		8,712		8,728
Neustar, Inc.
Tranche B1 0.000%, 9/2/19⁽⁶⁾		390		393
Tranche B2, 0.000%, 3/1/24⁽⁶⁾		1,205		1,212
SBA Senior Finance II LLC Tranche B-1, 3.480%, 3/24/21		3,672		3,678
Securus Technologies Holdings, Inc.
First Lien, 4.750%, 4/30/20		1,431		1,428
First Lien, 5.476%, 4/30/20		733		731
0.000%, 6/20/24⁽⁶⁾		2,495		2,490
Second Lien, 0.000%, 6/20/25⁽⁶⁾		715		717
Sprint Communications, Inc. 3.750%, 2/2/24		2,354		2,354
Telenet Financing USD LLC 3.909%, 6/30/25		580		580
UPC Financing Partnership 3.909%, 4/15/25		5,995		6,001
Virgin Media Bristol LLC 3.909%, 1/31/25		2,310		2,309

				40,112

Utilities—3.7%
APLP Holdings LP 5.476%, 4/13/23		1,650		1,653
Calpine Construction Finance Co., LP Tranche B-1, 3.480%, 5/3/20		3,116		3,101
Dayton Power And Light Co. 4.480%, 8/24/22		275		278
Dynegy, Inc. Tranche C-1, 4.476%, 2/7/24		2,945		2,937
Energy Future Intermediate Holding Co. LLC 0.000%, 6/23/18⁽⁶⁾		3,670		3,679
Helix Gen Funding LLC 4.960%, 6/3/24		125		125
NRG Energy, Inc. 3.546%, 6/30/23		6,092		6,080
Talen Energy Supply LLC
Tranche B-1 5.226%, 7/15/23		1,049		971
5.226%, 4/15/24		1,246		1,154


	PAR VALUE		VALUE
Utilities—(continued)
Vistra Operations Co. LLC 2016, 4.474%, 12/14/23	$	392	$	392
Vistra Operations Company LLC
3.976%, 8/4/23		1,358		1,346
Tranche C, 3.977%, 8/4/23		312		309

				22,025

TOTAL LOAN AGREEMENTS (Identified Cost $593,408)				587,658

COMMON STOCKS—0.4%

	SHARES		VALUE
Consumer Discretionary—0.0%
Speedstar Holding Corp.^(10)(12)		968,988		—	⁽¹³⁾

Energy—0.0%
Sabine Oil & Gas LLC^(7)(12)		714		28

Utilities—0.4%
Vistra Energy Corp.		152,810		2,566

TOTAL COMMON STOCKS (Identified Cost $2,441)				2,594

RIGHTS—0.0%
Vistra Energy Corp.⁽⁷⁾		152,810		155

TOTAL RIGHTS (Identified Cost $130)				155

WARRANTS—0.0%
Sabine Oil & Gas LLC^(7)(12)		404		2
Sabine Oil & Gas LLC^(7)(12)		2,268		16

TOTAL WARRANTS (Identified Cost $18)				18

TOTAL LONG TERM INVESTMENTS—106.2% (Identified Cost $632,172)				626,484	⁽⁸⁾


	VALUE
TOTAL INVESTMENTS—106.2% (Identified Cost $632,172)	$	626,484	⁽¹⁾
Other assets and liabilities, net—(6.2)%		(36,322	)

NET ASSETS—100.0%	$	590,162

Abbreviation:

PIK Payment-in-Kind Security

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $21,918 or 3.7% of net assets.

⁽⁴⁾	100% of the income received was in cash.

⁽⁵⁾	Security in default, a portion of the interest payments are being received during the bankruptcy proceedings.

⁽⁶⁾	This loan will settle after June 30, 2017, at which time the interest rate, based on the London Interbank Offered Rate (“LIBOR”) and the agreed upon spread on trade date, will be reflected.

⁽⁷⁾	Illiquid security.

⁽⁸⁾	All or a portion of the Fund’s assets have been segregated as collateral for delayed delivery settlements and leverage.

⁽⁹⁾	Security in default, no interest payments are being received during the bankruptcy proceedings.

⁽¹⁰⁾	Security valued at fair value as determined in good faith by or under the direction of the Trustees. This security is disclosed as a Level 3 security in the disclosure table located after the Schedule of Investments.

⁽¹¹⁾	Security in default, interest payments are being received during the bankruptcy proceedings.

⁽¹²⁾	Non-income producing.

⁽¹³⁾	Amount is less than $500.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	PAR VALUE		VALUE
MUNICIPAL BONDS⁽³⁾—96.3%
Alabama—1.0%
Pell City Special Care Facilities Financing Authority, Noland Health Services Revenue, 4.000%, 12/1/25	$	500	$	527
5.000%, 12/1/25		1,000		1,124

				1,651

Arizona—5.0%
Arizona Board of Regents, Arizona State University System Revenue, 5.000%, 7/1/36		1,000		1,167
5.000%, 7/1/37		360		419
Arizona Department of Transportation, State Highway Fund Revenue, 5.000%, 7/1/36		500		593
Arizona State Health Facilities Authority, Scottsdale Lincoln Hospital Revenue, 5.000%, 12/1/24		565		674
Maricopa County Industrial Development Authority, Banner Health Revenue 4.000%, 1/1/34		1,000		1,043
Mesa, City of, Excise Tax Revenue, 5.000%, 7/1/27		500		501
Northern Arizona University, Stimulus Plan for Economic and Educational Development Revenue, 5.000%, 8/1/24		1,115		1,302
5.000%, 8/1/25		2,290		2,671

				8,370

Arkansas—0.4%
University of Arkansas, Facility Revenue, 5.000%, 11/1/33		505		598

California—6.1%
California Health Facilities Financing Authority,
Kaiser Permanente Revenue, 5.000%, 11/1/27		360		449
Sutter Health Revenue, 5.000%, 11/15/30		600		705
California Municipal Finance Authority, Bowles Hall Foundation Revenue, 4.000%, 6/1/21		100		105
4.500%, 6/1/23		225		242
4.500%, 6/1/24		150		161


	PAR VALUE		VALUE
California—(continued)
California State Health Facilities Financing Authority, Providence St Joseph Health Revenue, 4.000%, 10/1/36	$	275	$	287
California State Municipal Finance Authority, Community Medical Centers Revenue 5.000%, 2/1/27		400		466
California Statewide Communities Development Authority, The Culinary Institute of America Revenue, 5.000%, 7/1/28		200		227
California, State of, General Obligation, 5.000%, 2/1/24		1,500		1,771
California, State of, Public Works Board, Judicial Council Projects Revenue, 5.000%, 3/1/27		500		579
Garden Grove Agency Community Development Successor Agency, Tax Allocation Revenue (BAM Insured), 5.000%, 10/1/30		1,000		1,172
Inglewood Redevelopment Agency Successor Agency, Subordinate Lien Merged Redevelopment Project, Tax Allocation Revenue (BAM Insured), 5.000%, 5/1/32		545		635
Oakland Unified School District, General Obligation, 5.000%, 8/1/30		500		594
Palm Desert Redevelopment Agency Successor Agency (BAM Insured), 5.000%, 10/1/28		250		303
San Diego Public Facilities Financing Authority Sewer Revenue, 5.000%, 5/15/32		2,000		2,386
Temecula Valley Unified School District Financing Authority, Special Tax Revenue (BAM Insured), 5.000%, 9/1/25		175		207

				10,289

Colorado—6.7%
Colorado State Health Facilities Authority, Catholic Health Initiatives Revenue, 6.250%, 10/1/33		650		685
Denver Convention Center Hotel Authority Revenue, Senior Lien, 5.000%, 12/1/27		400		472
E-470 Public Highway Authority Revenue, 5.000%, 9/1/20		340		377
(NATL Insured), 0.000%, 9/1/29		665		374
Public Authority For Colorado Energy, Natural Gas Purchase Revenue, 6.125%, 11/15/23		2,135		2,605


	PAR VALUE		VALUE
Colorado—(continued)
6.250%, 11/15/28	$	2,250	$	2,914
Regional Transportation District, Sales Tax Revenue, Fastracks Project, 5.000%, 11/1/32		1,195		1,429
University of Colorado, Enterprise Revenue, 5.000%, 6/1/19		625		671
(Pre-refunded 6/1/19 @100) 5.625%, 6/1/22		1,650		1,790

				11,317

Connecticut—1.0%
Connecticut State Health & Educational Facility Authority, Hartford Healthcare Revenue, 5.000%, 7/1/25		1,500		1,766

District of Columbia—3.1%
Metropolitan Washington Airports Authority, Dulles Toll Road Revenue, Second Lien, (AGC Insured) 6.500%, 10/1/41		4,000		5,167

Florida—8.5%
Brevard County Health Facilities Authority, Health First Revenue, 5.000%, 4/1/21		115		129
(Pre-refunded 4/1/19 @100), 7.000%, 4/1/39		1,050		1,156
Brevard County School Board, Certificates of Participation, 5.000%, 7/1/32		1,000		1,171
Broward County School Board, Certificates of Participation, 5.000%, 7/1/32		300		348
Central Florida Expressway Authority, Senior Lien Toll Revenue, 4.000%, 7/1/30		200		217
Lee County Transportation Facilities Revenue (AGM Insured), 5.000%, 10/1/19		400		433
Miami Beach Redevelopment Agency, Tax Increment Revenue, 5.000%, 2/1/32		300		341
Miami Beach, City of, Stormwater Revenue, 5.250%, 9/1/23		1,265		1,450
Miami-Dade County Aviation Revenue, 5.000%, 10/1/24		2,425		2,802
Miami-Dade County Educational Facilities Authority, University of Miami Revenue, 5.000%, 4/1/30		200		233
Miami-Dade County Expressway Authority, Toll Revenue, 5.000%, 7/1/33		455		529


	PAR VALUE		VALUE
Florida—(continued)
Miami-Dade County School Board, Certificates of Participation, 5.000%, 2/1/34	$	1,700	$	1,939
Seminole County School Board, Certificates of Participation, 5.000%, 7/1/29		1,935		2,288
South Florida Water Management District, Certificates of Participation, 5.000%, 10/1/35		750		863
Tallahassee, City of, Health Facilities Revenue, Tallahassee Memorial Healthcare, 5.000%, 12/1/36		480		523

				14,422

Georgia—3.3%
Athens-Clarke County Unified Government, Water and Sewer Revenue (Pre-refunded 1/19/19 @100), 5.625%, 1/1/28		1,500		1,600
Atlanta Water & Wastewater Revenue, 5.000%, 11/1/31		650		768
DeKalb County Water & Sewer Revenue, 5.250%, 10/1/26		2,750		3,173

				5,541

Idaho—1.0%
Idaho Housing & Finance Association, Federal Highway Grant Anticipation Revenue, 4.500%, 7/15/29		1,500		1,635

Illinois—7.9%
Chicago O’Hare International Airport,
General Revenue, Senior Lien, 5.250%, 1/1/29		100		122
Passenger Facilities Charge Revenue, 5.000%, 1/1/20		750		819
Chicago, City of,
Sales Tax Revenue, 5.000%, 1/1/21		750		811
Waterworks Revenue, Second Lien, 5.000%, 11/1/22		500		569
Waterworks Revenue, Second Lien, 5.000%, 11/1/30		500		561
Waterworks Revenue, Second Lien, 5.250%, 11/1/32		350		412
Illinois Finance Authority,
KishHealth System Revenue (Escrowed to Maturity), 4.750%, 10/1/18		700		731


	PAR VALUE		VALUE
Illinois—(continued)
Rush University Medical Center Revenue (Pre-refunded 11/1/18 @100), 7.250%, 11/1/38	$	1,220	$	1,318
Rush University Medical Center Revenue, 5.000%, 11/15/21		250		285
Illinois State Toll Highway Authority, Toll Highway Revenue Senior Lien, 5.000%, 1/1/32		1,000		1,159
Illinois, State of, General Obligation,
5.000%, 4/1/22		815		848
5.000%, 2/1/26		1,490		1,517
5.000%, 2/1/27		1,250		1,281
Metropolitan Pier & Exposition Authority, McCormick Place Expansion Project Revenue (AGM Insured), 0.000%, 6/15/26		1,000		711
University of Illinois, Auxiliary Facilities System Revenue,
5.500%, 4/1/31		1,540		1,709
5.125%, 4/1/36		500		544

				13,397

Indiana—2.1%
Indiana Finance Authority, Indiana University Health Center Revenue, 5.000%, 12/1/22		800		938
Indianapolis Local Public Improvements Bond Bank Revenue, 5.000%, 6/1/19		2,500		2,677

				3,615

Iowa—1.5%
Iowa, State of, Prison Infrastructure Funding Revenue (Pre-refunded 6/15/20 @100), 5.000%, 6/15/27		2,250		2,497

Louisiana—0.7%
New Orleans Sewerage Service Revenue,
5.000%, 6/1/19		500		534
5.000%, 6/1/20		550		602

				1,136

Maine—1.5%
Portland, City of, General Airport Revenue, 5.000%, 7/1/26		1,000		1,125
5.000%, 7/1/29		580		642
5.000%, 7/1/30		770		850

				2,617


	PAR VALUE		VALUE
Maryland—2.9%
Baltimore, City of, Convention Center Hotel Revenue, 5.000%, 9/1/36	$	250	$	281
Maryland Economic Development Corp., Exelon Generation Co. Revenue, 2.550%, 12/1/25⁽²⁾		500		498
Maryland Health & Higher Educational Facilities Authority,
Anne Arundel Health System Revenue (Pre-refunded 7/1/19 @100), 6.750%, 7/1/29		2,015		2,237
Anne Arundel Health System Revenue, 5.000%, 7/1/32		250		264
Medstar Health System Revenue, 5.000%, 8/15/26		800		945
Medstar Health System Revenue, 5.000%, 5/15/42		600		677

				4,902

Michigan—1.7%
Michigan Finance Authority, Beaumont Health Credit Group Revenue, 5.000%, 8/1/27		1,250		1,458
Michigan State Building Authority, Facilities Program Lease Revenue,
5.000%, 4/15/25		500		600
4.000%, 10/15/36		500		523
Royal Oak Hospital Finance Authority, William Beaumont Hospital Revenue, 5.000%, 9/1/19		200		215

				2,796

New Jersey—4.4%
Camden County Improvement Authority Healthcare Redevelopment Project, Cooper Health System Revenue, 5.000%, 2/15/22		950		1,064
New Jersey Economic Development Authority, Cigarette Tax Revenue (AGM Insured), 5.000%, 6/15/22		3,000		3,360
New Jersey Housing & Mortgage Finance Agency, Mortgage Revenue, 4.375%, 4/1/28		1,885		1,980
Tobacco Settlement Financing Corp. Tobacco Settlement Revenue 5.000%, 6/1/41		1,000		979

				7,383


	PAR VALUE		VALUE
New York—12.2%
Buffalo & Erie County Industrial Land Development Corp., Catholic Health System Revenue, 5.000%, 7/1/23	$	550	$	632
Metropolitan Transportation Authority, Transportation Revenue, 6.250%, 11/15/23		605		646
(Pre-refunded 11/15/18 @100), 6.250%, 11/15/23		25		27
(Pre-refunded 11/15/18 @100), 6.250%, 11/15/23		2,510		2,688
New York City General Obligation, 6.250%, 10/15/28		40		43
(Pre-refunded 10/15/18 @100), 6.250%, 10/15/28		960		1,023
New York City Industrial Development Agency, Queens Baseball Stadium Project Revenue
(AGC Insured), 6.125%, 1/1/29		500		534
(AMBAC Insured), 5.000%, 1/1/20		900		902
(AMBAC Insured), 5.000%, 1/1/31		470		471
New York City Municipal Water Finance Authority, Water & Sewer System Revenue, 5.750%, 6/15/40		3,530		3,685
(Pre-refunded 6/15/18 @100), 5.500%, 6/15/21		500		522
(Pre-refunded 6/15/18 @100), 5.500%, 6/15/22		1,000		1,043
(Pre-refunded 6/15/18 @100), 5.625%, 6/15/24		1,050		1,097
(Pre-refunded 6/15/18 @100), 5.750%, 6/15/40		1,060		1,107
New York City Transitional Finance Authority, Subordinate Future Tax Secured Revenue 5.000%, 5/1/35		3,165		3,681
New York State Dormitory Authority,
New York University Hospitals Center Revenue, 5.000%, 7/1/33		150		172
Orange Regional Medical Center Revenue, 5.000%, 12/1/23⁽⁴⁾		300		342
New York Transportation Development Corp., American Airlines JFK Project Revenue, 5.000%, 8/1/26		250		268
Triborough Bridge & Tunnel Authority, Toll Revenue Subordinate Lien, 5.000%, 11/15/23		750		891
TSASC, Inc., Tobacco Settlement Revenue 5.000%, 6/1/34		190		215


	PAR VALUE		VALUE
New York—(continued)
Utility Debt Securitization Authority Restructuring Charge, Electric Revenue, 5.000%, 6/15/26	$	500	$	601

				20,590

North Dakota—0.8%
Barnes County North Public School District Building Authority, Lease Revenue, 4.250%, 5/1/27		1,330		1,368

Ohio—2.7%
New Albany Community Authority, Community Facilities Revenue, 5.000%, 10/1/24		1,250		1,447
Ohio State Juvenile Correction Facilities Project, Lease Revenue,
5.000%, 10/1/20		465		519
5.000%, 10/1/21		1,080		1,239
5.000%, 10/1/22		1,135		1,329

				4,534

Oklahoma—0.8%
Oklahoma State Turnpike Authority, Turnpike Revenue, Second Senior Lien, 5.000%, 1/1/29		1,250		1,393

Oregon—1.5%
Oregon Facilities Authority, University of Portland Revenue, 5.000%, 4/1/30		240		281
Oregon, State of, General Obligation, 5.000%, 5/1/33		1,095		1,303
Washington & Multnomah Counties, Beaverton School District No. 48J, 0.000%, 6/15/36		800		898

				2,482

Pennsylvania—4.5%
Butler County Hospital Authority, Butler Health System Revenue, 5.000%, 7/1/30		250		280
Delaware River Joint Toll Bridge Commission, Bridge System Revenue, 5.000%, 7/1/34		250		293
Pennsylvania Turnpike Commission, Turnpike Revenue Subordinate Lien,
5.250%, 12/1/31		2,000		2,255
6.000%, 12/1/34		1,235		1,409
0.000%, 12/1/38		2,000		2,465
(Pre-refunded 12/1/20 @ 100), 6.000%, 12/1/34		250		290
(Pre-refunded 12/1/20 @ 100), 6.000%, 12/1/34		265		307


	PAR VALUE		VALUE
Pennsylvania—(continued)
Philadelphia, City of, Water & Wastewater Revenue, 5.000%, 10/1/42	$	300	$	344

				7,643

South Carolina—0.9%
Dorchester County, Water & Sewer Revenue, 5.000%, 10/1/28		1,020		1,182
South Carolina Association of Governmental Organizations Educational Facilities Corp., for Pickens School District Lease Revenue, 5.000%, 12/1/24		250		299

				1,481

Tennessee—1.3%
Chattanooga-Hamilton County Hospital Authority, Erlanger Health System Revenue, 5.000%, 10/1/26		1,000		1,124
Tennessee Housing Development Agency, Residential Finance Program Revenue,
2.050%, 7/1/20		625		636
2.300%, 1/1/21		360		369

				2,129

Texas—8.9%
Forney Independent School District, General Obligation (PSF Guaranteed) (Pre-refunded 8/15/18 @100), 5.750%, 8/15/33		750		789
Harris County Health Facilities Development Corp., Memorial Hermann Healthcare System (Pre-refunded 12/1/18 @ 100), 7.250%, 12/1/35		2,525		2,743
Hidalgo County Drain District No. 1, General Obligation, 5.000%, 9/1/28		1,000		1,185
La Joya Independent School District, General Obligation (PSF Guaranteed), 5.000%, 2/15/20		1,000		1,094
North Texas Tollway Authority, Senior Lien Toll Revenue, 5.000%, 1/1/30		400		470
Southmost Regional Water Authority, Desalination Plant Project Revenue
(AGM Insured), 5.000%, 9/1/25		1,015		1,164
(AGM Insured), 5.000%, 9/1/23		1,085		1,246
Texas Municipal Gas Acquisition & Supply, Gas Supply Revenue,
Corp. I, Senior Lien, 6.250%, 12/15/26		1,580		1,930


	PAR VALUE		VALUE
Texas—(continued)
Corp. II, 1.512%, 9/15/27⁽²⁾	$	3,000	$	2,865
Upper Trinity Regional Water District Authority, Regional Treated Supply System Revenue (BAM Insured), 5.000%, 8/1/24		1,340		1,593

				15,079

Vermont—0.3%
Burlington, City of, Airport Revenue (AGM Insured), 5.000%, 7/1/24		200		228
Vermont Educational & Health Buildings Financing Agency, University of Vermont Health Network Revenue, 5.000%, 12/1/35		300		335

				563

Virginia—1.4%
Riverside Regional Jail Authority, Jail Facility Revenue, 5.000%, 7/1/26		1,250		1,524
Virginia College Building Authority, Marymount University Revenue,
5.000%, 7/1/20⁽⁴⁾		200		213
5.000%, 7/1/21⁽⁴⁾		400		432
5.000%, 7/1/22⁽⁴⁾		195		213

				2,382

Washington—1.1%
King County Sewer Revenue 5.000%, 7/1/36		1,630		1,889

West Virginia—0.3%
Monongalia County Building Commission, Monongalia Health System Revenue, 5.000%, 7/1/23		400		462

Wisconsin—0.8%
Public Finance Authority,
Renown Regional Medical Center Revenue, 5.000%, 6/1/33		1,000		1,132
Waste Management, Inc. Revenue, 2.875%, 5/1/27		250		250

				1,382

TOTAL MUNICIPAL BONDS (Identified Cost $154,967)				162,476

TOTAL LONG TERM INVESTMENTS—96.3% (Identified Cost $154,967)				162,476


	SHARES		VALUE
SHORT-TERM INVESTMENT—2.7%
Money Market Mutual Fund—2.7%
BlackRock Liquidity Funds MuniCash Portfolio - Institutional Shares (seven-day effective yield 0.679%)⁽⁵⁾		4,496,571	$	4,498

TOTAL SHORT-TERM INVESTMENT (Identified Cost $4,498)				4,498

TOTAL INVESTMENTS—99.0% (Identified Cost $159,465)				166,974	⁽¹⁾
Other assets and liabilities, net—1.0%				1,664

NET ASSETS—100.0%			$	168,638

Abbreviations:


AGC		Assured Guaranty Corp.
AGM		Assured Guaranty Municipal Corp.
AMBAC		American Municipal Bond Assurance Corp.
BAM		Build America Municipal Insured
NATL		National Public Finance Guarantee Corp.
PSF		Permanent School Fund

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Variable or step coupon security; interest rate shown reflects the rate in effect at June 30, 2017.

⁽³⁾	At June 30, 2017, 21.0% of the securities in the portfolio are backed by insurance of financial institutions and financial guaranty assurance agencies. None of the Insurers concentration exceeds 10% of the Fund’s net assets.

⁽⁴⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $1,200 or 0.7% of net assets.

⁽⁵⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.


	SHARES		VALUE
EXCHANGE-TRADED FUND—97.8%
PowerShares S&P 500 Low Volatility Portfolio⁽³⁾⁽⁴⁾		53,204	$	2,380

TOTAL EXCHANGE-TRADED FUND (Identified Cost $2,379)				2,380


	CONTRACTS
PURCHASED OPTION—0.0%
Call Option—0.0%
CBOE Volatility Index expiration 7/5/17 strike price $12		10		—	⁽²⁾

TOTAL PURCHASED OPTION—% (Premiums Paid $—⁽²⁾)				—	⁽²⁾

TOTAL LONG TERM INVESTMENTS—97.8% (Identified Cost $2,379)				2,380	⁽¹⁾

TOTAL INVESTMENTS, BEFORE WRITTEN OPTIONS—97.8% (Identified Cost $2,379)				2,380	⁽¹⁾

WRITTEN OPTIONS—(0.1)%
Call Options—(0.1)%
S&P 500^® Index expiration 7/7/17 strike price $2,485		2		—	⁽²⁾
S&P 500^® Index expiration 7/14/17 strike price $2,475		2		—	⁽²⁾
S&P 500^® Index expiration 7/21/17 strike price $2,490		3		—	⁽²⁾
S&P 500^® Index expiration 7/28/17 strike price $2,475		2		(1	)

TOTAL WRITTEN OPTIONS—(0.1)% (Premiums Received $(2))				(1	)

TOTAL INVESTMENTS, NET OF WRITTEN OPTIONS—97.7% (Identified Cost $2,377)				2,379	⁽¹⁾
Other assets and liabilities, net—2.3%				55

NET ASSETS—100.0%			$	2,434

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Amount is less than $500.

⁽³⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held at June 30, 2017.


	SHARES		VALUE
COMMON STOCKS—99.1%
Consumer Discretionary—19.9%
Advance Auto Parts, Inc.		1,728	$	201
Amazon.com, Inc.⁽²⁾		9,283		8,986
AutoNation, Inc.⁽²⁾		1,540		65
AutoZone, Inc.⁽²⁾		659		376
Bed Bath & Beyond, Inc.		3,396		103
Best Buy Co., Inc.		6,208		356
BorgWarner, Inc.		4,668		198
CarMax, Inc.⁽²⁾		4,334		273
Carnival Corp.		9,794		642
CBS Corp. Class B		8,619		550
Charter Communications, Inc. Class A⁽²⁾		5,047		1,700
Chipotle Mexican Grill, Inc.⁽²⁾		671		279
Coach, Inc.		6,578		311
Comcast Corp. Class A		110,740		4,310
Darden Restaurants, Inc.		2,909		263
Delphi Automotive plc		6,268		549
Discovery Communications, Inc. Class A⁽²⁾		3,598		93
Discovery Communications, Inc. Class C⁽²⁾		4,933		124
DISH Network Corp. Class A⁽²⁾		5,323		334
Dollar General Corp.		5,903		426
Dollar Tree, Inc.⁽²⁾		5,538		387
Expedia, Inc.		2,845		424
Foot Locker, Inc.		3,071		151
Ford Motor Co.		91,516		1,024
Gap, Inc. (The)		5,151		113
Garmin Ltd.		2,684		137
General Motors Co.		32,132		1,122
Genuine Parts Co.		3,449		320
Goodyear Tire & Rubber Co. (The)		5,892		206
H&R Block, Inc.		4,847		150
Hanesbrands, Inc.		8,521		197
Harley-Davidson, Inc.		4,096		221
Hasbro, Inc.		2,632		294
Hilton Worldwide Holdings, Inc.		4,793		296
Home Depot, Inc. (The)		27,975		4,291
Horton (D.R.), Inc.		7,997		276
Interpublic Group of Cos., Inc. (The)		9,245		227
Kohl’s Corp.		3,989		154
L Brands, Inc.		5,638		304
Leggett & Platt, Inc.		3,096		163
Lennar Corp. Class A		4,754		253


	SHARES		VALUE
Consumer Discretionary—(continued)
LKQ Corp.⁽²⁾		7,213	$	238
Lowe’s Cos., Inc.		20,078		1,557
Macy’s, Inc.		7,125		166
Marriott International, Inc. Class A		7,270		729
Mattel, Inc.		8,015		173
McDonald’s Corp.		19,072		2,921
Michael Kors Holdings Ltd.⁽²⁾		3,646		132
Mohawk Industries, Inc.⁽²⁾		1,478		357
Netflix, Inc.⁽²⁾		10,085		1,507
Newell Brands, Inc.		11,304		606
News Corp. Class A		8,942		123
News Corp. Class B		2,803		40
NIKE, Inc. Class B		31,009		1,830
Nordstrom, Inc.		2,603		125
O’Reilly Automotive, Inc.⁽²⁾		2,129		466
Omnicom Group, Inc.		5,446		451
Priceline Group, Inc. (The)⁽²⁾		1,151		2,153
PulteGroup, Inc.		6,644		163
PVH Corp.		1,825		209
Ralph Lauren Corp.		1,290		95
Ross Stores, Inc.		9,172		530
Royal Caribbean Cruises Ltd.		3,925		429
Scripps Networks Interactive, Inc. Class A		2,244		153
Signet Jewelers Ltd.		1,600		101
Staples, Inc.		15,283		154
Starbucks Corp.		33,884		1,976
Target Corp.		12,909		675
Tiffany & Co.		2,508		235
Time Warner, Inc.		18,147		1,822
TJX Cos., Inc. (The)		15,052		1,086
Tractor Supply Co.		3,008		163
TripAdvisor, Inc.⁽²⁾		2,584		99
Twenty-First Century Fox, Inc. Class A		24,623		698
Twenty-First Century Fox, Inc. Class B		11,397		318
Ulta Salon Cosmetics & Fragrance, Inc.⁽²⁾		1,364		392
Under Armour, Inc. Class A⁽²⁾		4,321		94
Under Armour, Inc. Class C⁽²⁾		4,313		87
VF Corp.		7,496		432
Viacom, Inc. Class B		8,243		277
Walt Disney Co. (The)		34,039		3,617
Whirlpool Corp.		1,731		332
Wyndham Worldwide Corp.		2,442		245
Wynn Resorts Ltd.		1,868		251


	SHARES		VALUE
Consumer Discretionary—(continued)
Yum! Brands, Inc.		7,741	$	571

				59,627

Consumer Staples—4.9%
Altria Group, Inc.		13,769		1,025
Archer-Daniels-Midland Co.		4,896		203
Brown-Forman Corp. Class B		1,645		80
Campbell Soup Co.		1,954		102
Church & Dwight Co., Inc.		1,965		102
Clorox Co. (The)		1,199		160
Coca-Cola Co. (The)		30,320		1,360
Colgate-Palmolive Co.		7,206		534
Conagra Brands, Inc.		3,695		132
Constellation Brands, Inc. Class A		2,036		394
Costco Wholesale Corp.		3,605		577
Coty, Inc. Class A		3,714		70
CVS Health Corp.		8,261		665
Dr. Pepper Snapple Group, Inc.		1,717		156
Estee Lauder Cos., Inc. (The) Class A		2,009		193
General Mills, Inc.		4,856		269
Hershey Co. (The)		1,279		137
Hormel Foods Corp.		3,008		103
J.M. Smucker Co. (The)		1,102		130
Kellogg Co.		2,266		157
Kimberly-Clark Corp.		2,945		380
Kraft Heinz Co. (The)		4,704		403
Kroger Co. (The)		8,139		190
McCormick & Co., Inc.		1,084		106
Molson Coors Brewing Co. Class B		1,847		160
Mondelez International, Inc. Class A		11,281		487
Monster Beverage Corp.⁽²⁾		3,667		182
PepsiCo, Inc.		6,458		746
Philip Morris International, Inc.		12,246		1,438
Procter & Gamble Co. (The)		20,166		1,757
Reynolds American, Inc.		7,274		473
Sysco Corp.		4,265		215
Tyson Foods, Inc. Class A		2,985		187
Wal-Mart Stores, Inc.		11,647		881
Walgreens Boots Alliance, Inc.		7,178		562
Whole Foods Market, Inc.		2,792		118

				14,834

Financials—15.1%
Affiliated Managers Group, Inc.		847		141


	SHARES		VALUE
Financials—(continued)
Aflac, Inc.		5,936	$	461
Allstate Corp. (The)		5,452		482
American Express Co.		11,230		946
American International Group, Inc.		13,155		822
Ameriprise Financial, Inc.		2,280		290
Aon plc		3,920		521
Assurant, Inc.		820		85
Bank of America Corp.		148,861		3,611
Bank of New York Mellon Corp. (The)		15,555		794
BB&T Corp.		12,137		551
Berkshire Hathaway, Inc. Class B⁽²⁾		28,413		4,812
BlackRock, Inc.		1,814		766
Capital One Financial Corp.		7,224		597
CBOE Holdings, Inc.		1,374		126
Charles Schwab Corp. (The)		18,201		782
Chubb Ltd.		6,984		1,015
Cincinnati Financial Corp.		2,242		162
Citigroup, Inc.		41,183		2,754
Citizens Financial Group, Inc.		7,577		270
CME Group, Inc.		5,083		637
Comerica, Inc.		2,647		194
Discover Financial Services		5,687		354
E*Trade Financial Corp.⁽²⁾		4,109		156
Everest Re Group Ltd.		614		156
Fifth Third Bancorp		11,223		291
Franklin Resources, Inc.		5,122		229
Gallagher (Arthur J.) & Co.		2,685		154
Goldman Sachs Group, Inc. (The)		5,476		1,215
Hartford Financial Services Group, Inc. (The)		5,495		289
Huntington Bancshares, Inc.		16,261		220
Intercontinental Exchange, Inc.		8,856		584
Invesco Ltd.		6,086		214
JPMorgan Chase & Co.		53,143		4,857
KeyCorp		16,396		307
Leucadia National Corp.		4,844		127
Lincoln National Corp.		3,355		227
Loews Corp.		4,130		193
M&T Bank Corp.		2,302		373
Marsh & McLennan Cos., Inc.		7,708		601
MetLife, Inc.		16,161		888
Moody’s Corp.		2,489		303
Morgan Stanley		21,305		949
Nasdaq, Inc.		1,705		122


	SHARES		VALUE
Financials—(continued)
Navient Corp.		4,262	$	71
Northern Trust Corp.		3,228		314
People’s United Financial, Inc.		5,151		91
PNC Financial Services Group, Inc. (The)		7,238		904
Principal Financial Group, Inc.		4,009		257
Progressive Corp. (The)		8,689		383
Prudential Financial, Inc.		6,417		694
Raymond James Financial, Inc.		1,917		154
Regions Financial Corp.		17,981		263
S&P Global, Inc.		3,856		563
State Street Corp.		5,290		475
SunTrust Banks, Inc.		7,232		410
Synchrony Financial		11,521		344
T. Rowe Price Group, Inc.		3,609		268
Torchmark Corp.		1,627		125
Travelers Cos., Inc. (The)		4,180		529
U.S. Bancorp		23,696		1,230
Unum Group		3,414		159
Wells Fargo & Co.		67,275		3,728
Willis Towers Watson plc		1,901		277
XL Group Ltd.		3,911		171
Zions Bancorporation		3,031		133

				45,171

Health Care—4.9%
Abbott Laboratories		7,207		350
AbbVie, Inc.		7,798		565
Aetna, Inc.		1,669		253
Agilent Technologies, Inc.		1,579		94
Alexion Pharmaceuticals, Inc.⁽²⁾		1,100		134
Align Technology, Inc.⁽²⁾		370		56
Allergan plc		1,737		422
AmerisourceBergen Corp.		844		80
Amgen, Inc.		3,606		621
Anthem, Inc.		1,333		251
Bard (C.R.), Inc.		378		120
Baxter International, Inc.		2,425		147
Becton, Dickinson & Co.		1,144		223
Biogen, Inc.⁽²⁾		1,070		290
Boston Scientific Corp.⁽²⁾		6,773		188
Bristol-Myers Squibb Co.		8,113		452
Cardinal Health, Inc.		1,563		122
Celgene Corp.⁽²⁾		3,826		497


	SHARES		VALUE
Health Care—(continued)
Centene Corp.⁽²⁾		844	$	67
Cerner Corp.⁽²⁾		1,441		96
Cigna Corp.		1,298		217
Cooper Cos., Inc. (The)		239		57
Danaher Corp.		2,993		253
DaVita, Inc.⁽²⁾		763		49
DENTSPLY SIRONA, Inc.		1,123		73
Edwards Lifesciences Corp.⁽²⁾		1,028		122
Eli Lilly & Co.		4,758		392
Envision Healthcare Corp.⁽²⁾		618		39
Express Scripts Holding Co.⁽²⁾		3,062		196
Gilead Sciences, Inc.		6,403		453
HCA Healthcare, Inc.⁽²⁾		1,402		122
Henry Schein, Inc.⁽²⁾		389		71
Hologic, Inc.⁽²⁾		1,372		62
Humana, Inc.		760		183
IDEXX Laboratories, Inc.⁽²⁾		464		75
Illumina, Inc.⁽²⁾		715		124
Incyte Corp.⁽²⁾		833		105
Intuitive Surgical, Inc.⁽²⁾		181		169
Johnson & Johnson		13,199		1,746
Laboratory Corporation of America Holdings⁽²⁾		501		77
Mallinckrodt plc⁽²⁾		487		22
McKesson Corp.		1,064		175
Medtronic plc		6,739		598
Merck & Co., Inc.		13,402		859
Mettler-Toledo International, Inc.⁽²⁾		127		75
Mylan NV⁽²⁾		2,258		88
Patterson Cos., Inc.		400		19
PerkinElmer, Inc.		539		37
Perrigo Co., plc		702		53
Pfizer, Inc.		29,241		982
Quest Diagnostics, Inc.		695		77
Regeneron Pharmaceuticals, Inc.⁽²⁾		373		183
Stryker Corp.		1,545		214
Thermo Fisher Scientific, Inc.		1,917		334
UnitedHealth Group, Inc.		4,760		883
Universal Health Services, Inc. Class B		438		53
Varian Medical Systems, Inc.⁽²⁾		450		46
Vertex Pharmaceuticals, Inc.⁽²⁾		1,220		157
Waters Corp.⁽²⁾		392		72
Zimmer Biomet Holdings, Inc.		1,002		129


	SHARES		VALUE
Health Care—(continued)
Zoetis, Inc.		2,405	$	150

				14,819

Industrials—19.9%
3M Co.		16,428		3,420
Acuity Brands, Inc.		1,182		240
Alaska Air Group, Inc.		3,314		297
Allegion plc		2,554		207
American Airlines Group, Inc.		13,205		665
AMETEK, Inc.		6,169		374
Arconic, Inc.		11,816		268
Boeing Co. (The)		15,717		3,108
Caterpillar, Inc.		16,844		1,810
Cintas Corp.		2,794		352
CSX Corp.		29,818		1,627
Cummins, Inc.		7,631		1,238
Deere & Co.		8,809		1,089
Delta Air Lines, Inc.		19,732		1,060
Dover Corp.		5,050		405
Eaton Corp. plc		14,661		1,141
Emerson Electric Co.		18,295		1,091
Equifax, Inc.		4,385		603
Expeditors International of Washington, Inc.		4,830		273
Fastenal Co.		7,755		338
FedEx Corp.		7,071		1,537
Flowserve Corp.		3,502		163
Fluor Corp.		5,450		250
Fortive Corp.		9,079		575
Fortune Brands Home & Security, Inc.		4,124		269
General Dynamics Corp.		8,274		1,639
General Electric Co.		172,866		4,669
Honeywell International, Inc.		21,562		2,874
Hunt (JB) Transport Services, Inc.		2,300		210
IHS Markit Ltd.⁽²⁾		8,479		373
Illinois Tool Works, Inc.		8,859		1,269
Ingersoll-Rand plc		6,863		627
Jacobs Engineering Group, Inc.		3,228		176
Johnson Controls International plc		25,149		1,090
Kansas City Southern		2,844		298
L3 Technologies, Inc.		2,088		349
Lockheed Martin Corp.		7,069		1,962
Masco Corp.		9,546		365
Nielsen Holdings plc		9,004		348


	SHARES		VALUE
Industrials—(continued)
Norfolk Southern Corp.		9,120	$	1,110
Northrop Grumman Corp.		5,056		1,298
PACCAR, Inc.		10,955		723
Parker-Hannifin Corp.		4,503		720
Pentair plc		4,495		299
Quanta Services, Inc.⁽²⁾		3,971		131
Raytheon Co.		8,539		1,379
Republic Services, Inc.		6,163		393
Robert Half International, Inc.		4,822		231
Robinson (C.H.) Worldwide, Inc.		3,777		259
Rockwell Automation, Inc.		4,469		724
Rockwell Collins, Inc.		5,625		591
Roper Technologies, Inc.		2,735		633
Snap-on, Inc.		1,553		245
Southwest Airlines Co.		17,773		1,104
Stanley Black & Decker, Inc.		4,101		577
Stericycle, Inc.⁽²⁾		2,286		174
Textron, Inc.		8,961		422
TransDigm Group, Inc.		1,311		353
Union Pacific Corp.		23,560		2,566
United Continental Holdings, Inc.⁽²⁾		7,554		568
United Parcel Service, Inc. Class B		18,800		2,079
United Rentals, Inc.⁽²⁾		2,266		255
United Technologies Corp.		20,753		2,534
Verisk Analytics, Inc.⁽²⁾		4,122		348
W.W. Grainger, Inc.		1,888		341
Waste Management, Inc.		11,890		872
Xylem, Inc.		4,818		267

				59,845

Information Technology—18.0%
Accenture plc Class A		7,228		894
Activision Blizzard, Inc.		8,261		476
Adobe Systems, Inc.⁽²⁾		5,790		819
Advanced Micro Devices, Inc.⁽²⁾		10,198		127
Akamai Technologies, Inc.⁽²⁾		2,123		106
Alliance Data Systems Corp.		678		174
Alphabet, Inc. Class A⁽²⁾		3,440		3,198
Alphabet, Inc. Class C⁽²⁾		3,449		3,134
Amphenol Corp. Class A		3,652		270
Analog Devices, Inc.		4,390		342
ANSYS, Inc.⁽²⁾		988		120
Apple, Inc.		60,261		8,679


	SHARES		VALUE
Information Technology—(continued)
Applied Materials, Inc.		12,711	$	525
Autodesk, Inc.⁽²⁾		2,355		237
Automatic Data Processing, Inc.		5,247		538
Broadcom Ltd.		4,688		1,093
CA, Inc.		3,848		133
Cisco Systems, Inc.		58,032		1,816
Citrix Systems, Inc.⁽²⁾		1,830		146
Cognizant Technology Solutions Corp. Class A		6,925		460
Corning, Inc.		10,934		329
CSRA, Inc.		2,000		63
DXC Technology Co.		3,273		251
eBay, Inc.⁽²⁾		11,914		416
Electronic Arts, Inc.⁽²⁾		3,679		389
F5 Networks, Inc.⁽²⁾		807		103
Facebook, Inc. Class A⁽²⁾		27,320		4,125
Fidelity National Information Services, Inc.		3,934		336
Fiserv, Inc.⁽²⁾		2,516		308
FLIR Systems, Inc.		1,803		62
Gartner, Inc.⁽²⁾		1,045		129
Global Payments, Inc.		1,858		168
Harris Corp.		1,491		163
Hewlett Packard Enterprise Co.		19,631		326
HP, Inc.		20,020		350
Intel Corp.		54,642		1,844
International Business Machines Corp.		9,926		1,527
Intuit, Inc.		2,874		382
Juniper Networks, Inc.		4,756		133
KLA-Tencor Corp.		1,906		174
Lam Research Corp.		1,948		275
Mastercard, Inc. Class A		10,913		1,325
Microchip Technology, Inc.		2,797		216
Micron Technology, Inc.⁽²⁾		12,541		374
Microsoft Corp.		89,233		6,151
Motorola Solutions, Inc.		1,999		173
NetApp, Inc.		3,405		136
NVIDIA Corp.		7,050		1,019
Oracle Corp.		34,883		1,749
Paychex, Inc.		3,817		217
PayPal Holdings, Inc.⁽²⁾		13,106		703
Qorvo, Inc.⁽²⁾		1,597		101
QUALCOMM, Inc.		17,205		950
Red Hat, Inc.⁽²⁾		2,147		206
salesforce.com, Inc.⁽²⁾		7,820		677


	SHARES		VALUE
Information Technology—(continued)
Seagate Technology plc		3,731	$	145
Skyworks Solutions, Inc.		2,241		215
Symantec Corp.		7,363		208
Synopsys, Inc.⁽²⁾		1,737		127
TE Connectivity Ltd.		4,225		332
Texas Instruments, Inc.		11,627		894
Total System Services, Inc.		2,045		119
VeriSign, Inc.⁽²⁾		1,096		102
Visa, Inc. Class A		21,426		2,009
Western Digital Corp.		3,525		312
Western Union Co. (The)		5,793		110
Xerox Corp.		2,634		76
Xilinx, Inc.		3,015		194

				53,980

Materials—5.0%
Air Products & Chemicals, Inc.		4,873		697
Albemarle Corp.		2,876		303
Avery Dennison Corp.		2,348		207
Ball Corp.		9,069		383
CF Industries Holdings, Inc.		6,180		173
Dow Chemical Co. (The)		28,248		1,782
Du Pont (E.I.) de Nemours & Co.		21,791		1,759
Eastman Chemical Co.		3,788		318
Ecolab, Inc.		6,561		871
FMC Corp.		3,530		258
Freeport-McMoRan, Inc.⁽²⁾		34,234		411
International Flavors & Fragrances, Inc.		2,060		278
International Paper Co.		10,573		599
LyondellBasell Industries N.V. Class A		7,346		620
Martin Marietta Materials, Inc.		1,620		361
Monsanto Co.		11,028		1,305
Mosaic Co. (The)		9,159		209
Newmont Mining Corp.		13,701		444
Nucor Corp.		8,185		474
PPG Industries, Inc.		6,439		708
Praxair, Inc.		7,184		952
Sealed Air Corp.		5,152		231
Sherwin-Williams Co. (The)		2,068		726
Vulcan Materials Co.		3,405		431
WestRock Co.		6,502		368

				14,868


	SHARES		VALUE
Real Estate—4.9%
Alexandria Real Estate Equities, Inc.		2,167	$	261
American Tower Corp.		10,418		1,378
Apartment Investment & Management Co. Class A		3,829		165
AvalonBay Communities, Inc.		3,349		644
Boston Properties, Inc.		3,752		462
CBRE Group, Inc. Class A⁽²⁾		7,332		267
Crown Castle International Corp.		8,793		881
Digital Realty Trust, Inc.		3,884		439
Equinix, Inc.		1,895		813
Equity Residential		8,953		589
Essex Property Trust, Inc.		1,599		411
Extra Space Storage, Inc.		3,071		240
Federal Realty Investment Trust		1,758		222
GGP, Inc.		14,244		336
HCP, Inc.		11,418		365
Host Hotels & Resorts, Inc.		18,028		329
Iron Mountain, Inc.		5,981		205
Kimco Realty Corp.		10,380		190
Macerich Co. (The)		2,948		171
Mid-America Apartment Communities, Inc.		2,769		292
Prologis, Inc.		12,909		757
Public Storage		3,642		759
Realty Income Corp.		6,612		365
Regency Centers Corp.		3,561		223
Simon Property Group, Inc.		7,800		1,262
SL Green Realty Corp.		2,453		260
UDR, Inc.		6,517		254
Ventas, Inc.		8,648		601
Vornado Realty Trust		4,198		394
Welltower, Inc.		8,842		662
Weyerhaeuser Co.		18,266		612

				14,809

Telecommunication Services—1.6%
AT&T, Inc.		71,058		2,681
CenturyLink, Inc.		6,587		157
Level 3 Communications, Inc.⁽²⁾		3,522		209
Verizon Communications, Inc.		39,006		1,742

				4,789

Utilities—4.9%
AES Corp.		15,047		167
Alliant Energy Corp.		5,162		207


	SHARES		VALUE
Utilities—(continued)
Ameren Corp.		5,544	$	303
American Electric Power Co., Inc.		11,193		778
American Water Works Co., Inc.		4,038		315
CenterPoint Energy, Inc.		9,904		271
CMS Energy Corp.		6,494		300
Consolidated Edison, Inc.		6,968		563
Dominion Energy, Inc.		14,252		1,092
DTE Energy Co.		4,108		435
Duke Energy Corp.		14,628		1,223
Edison International		7,415		580
Entergy Corp.		4,067		312
Eversource Energy		7,180		436
Exelon Corp.		20,985		757
FirstEnergy Corp.		10,055		293
NextEra Energy, Inc.		10,608		1,487
NiSource, Inc.		7,444		189
NRG Energy, Inc.		7,162		123
PG&E Corp.		11,631		772
Pinnacle West Capital Corp.		2,587		220
PPL Corp.		15,539		601
Public Service Enterprise Group, Inc.		11,463		493
SCANA Corp.		3,238		217
Sempra Energy		5,714		644
Southern Co. (The)		22,537		1,079
WEC Energy Group, Inc.		7,151		439
Xcel Energy, Inc.		11,605		532

				14,828

TOTAL COMMON STOCKS (Identified Cost $260,300)				297,570

TOTAL LONG TERM INVESTMENTS—99.1% (Identified Cost $260,300)				297,570

TOTAL INVESTMENTS—99.1% (Identified Cost $260,300)				297,570	⁽¹⁾
Other assets and liabilities, net—0.9%				2,736

NET ASSETS—100.0%			$	300,306

Abbreviation:

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.


	SHARES			VALUE
COMMON STOCKS—95.6%
Consumer Discretionary—5.7%
Kangwon Land, Inc. (South Korea)		2,649,257		$	80,694
Las Vegas Sands Corp. (United States)		1,918,294			122,560
Matahari Department Store Tbk PT (Indonesia)		84,739,947			90,028
Naspers Ltd. Class N (South Africa)		815,412			158,626

					451,908

Consumer Staples—32.5%
Ambev S.A. ADR (Brazil)		58,395,911			320,594
Amorepacific Corp. (South Korea)		375,896			99,875
Anheuser-Busch InBev N.V. (Belgium)		1,410,886			155,843
British American Tobacco Bhd (Malaysia)		1,679,314	⁽⁴⁾		16,986
British American Tobacco plc (United Kingdom)		3,343,130	⁽³⁾		228,314
CP ALL PCL (Thailand)		88,430,800			163,351
Fomento Economico Mexicano SAB de CV Sponsored ADR (Mexico)		3,027,288			297,703
Hanjaya Mandala Sampoerna Tbk PT (Indonesia)		300,979,263			86,720
Heineken N.V. (Netherlands)		2,057,238			200,028
Hindustan Unilever Ltd. (India)		2,567,274			42,880
ITC Ltd. (India)		51,949,504			260,119
LG Household & Health Care Ltd. (South Korea)		103,152			89,615
President Chain Store Corp. (Taiwan)		9,257,307			83,231
Thai Beverage PCL (Thailand)		111,383,100			72,813
Unilever N.V. CVA (Netherlands)		4,597,946			253,755
Wal-Mart de Mexico SAB de CV (Mexico)		85,906,929			199,185

					2,571,012

Energy—2.4%
Ultrapar Participacoes S.A. (Brazil)		7,916,670			187,110

Financials—21.5%
Bank Central Asia Tbk PT (Indonesia)		99,633,856			135,793
Bank Pekao SA (Poland)		2,473,092			83,290
BB Seguridade Participacoes S.A. (Brazil)		14,655,409			126,607
Credicorp Ltd. (Peru)		437,653			78,511
Grupo Financiero Santander Mexico SAB de C.V. ADR, Class B (Mexico)		11,483,272			110,699
HDFC Bank Ltd. (India)		15,378,364			393,051
Hong Kong Exchanges & Clearing Ltd. (Hong Kong)		1,076,137			27,815
Housing Development Finance Corp., Ltd. (India)		12,809,033			320,030
Public Bank Bhd (Malaysia)		22,569,700	⁽⁴⁾		106,838


	SHARES		VALUE
Financials—(continued)
Remgro Ltd. (South Africa)		4,487,578	$	73,221
Samsung Fire & Marine Insurance Co., Ltd. (South Korea)		447,000		109,977
United Overseas Bank Ltd. (Singapore)⁽⁵⁾		7,974,190		133,912

				1,699,744

Health Care—0.9%
Mediclinic International plc (United Kingdom)		7,542,562		72,955

Industrials—3.4%
Airports of Thailand PCL (Thailand)		58,136,400		80,864
CCR S.A. (Brazil)		12,787,484		65,155
Grupo Aeroportuario del Pacifico SAB de C.V. Class B (Mexico)		7,809,555		87,998
Korea Aerospace Industries Ltd. (South Korea)		712,045		35,473

				269,490

Information Technology—22.4%
Alibaba Group Holding Ltd. Sponsored ADR (China)⁽²⁾		3,291,232		463,735
Autohome, Inc. ADR (China)⁽²⁾⁽⁵⁾		1,771,082		80,336
Cielo S.A. (Brazil)		24,768,148		184,664
NetEase, Inc. ADR (China)		685,124		205,969
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan)		28,441,430		194,939
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan)		3,210,117		112,226
Tata Consultancy Services Ltd. (India)		3,703,315		135,347
Tencent Holdings Ltd. (China)		11,072,171		395,949

				1,773,165

Real Estate—1.4%
Link REIT (Hong Kong)		14,789,474		112,520

Telecommunication Services—2.4%
Telekomunikasi Indonesia Persero Tbk PT (Indonesia)		568,003,639		192,708

Utilities—3.0%
Equatorial Energia SA (Brazil)		938,317		15,408
Infraestructura Energetica Nova Sab de CV (Mexico)		21,704,354		115,681


	SHARES		VALUE
Utilities—(continued)
Power Grid Corp. of India Ltd. (India)⁽²⁾		31,663,424	$	103,140

				234,229

TOTAL COMMON STOCKS (Identified Cost $6,277,866)				7,564,841

TOTAL LONG TERM INVESTMENTS—95.6% (Identified Cost $6,277,866)				7,564,841

SHORT-TERM INVESTMENT—1.5%
Money Market Mutual Fund—1.5%
JPMorgan U.S. Government Money Market Fund—Institutional Shares (seven-day effective yield 0.860%)⁽⁷⁾		119,148,359		119,148

TOTAL SHORT-TERM INVESTMENT (Identified Cost $119,148)				119,148

SECURITIES LENDING COLLATERAL—1.0%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The)—Institutional Shares (seven-day effective yield 1.160%)⁽⁶⁾⁽⁷⁾		81,775,287		81,775

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $81,775)				81,775

TOTAL INVESTMENTS—98.1% (Identified Cost $6,478,789)				7,765,764	⁽¹⁾
Other assets and liabilities, net—1.9%				149,760

NET ASSETS—100.0%			$	7,915,524

Abbreviations:

ADR American Depositary Receipt

REIT Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Shares traded on Johannesburg Exchange.

⁽⁴⁾	Shares traded on the Bursa Malaysia Exchange.

⁽⁵⁾	All or a portion of security is on loan.

⁽⁶⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁷⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.


Country Weightings †
India	16	%
China	15
Brazil	12
Mexico	10
Indonesia	7
Netherlands	6
South Korea	5
Other	29

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $3,290,865 were transferred from Level 2 into Level 1.


	SHARES		VALUE
COMMON STOCKS—98.9%
Consumer Discretionary—16.2%
Alimentation Couche-Tard, Inc. Class B (Canada)		925,944	$	44,384
Domino’s Pizza Group plc (United Kingdom)		5,872,208		22,478
Hermes International (France)		7,057		3,487
LVMH Moet Hennessy Louis Vuitton SE (France)		69,585		17,350
Naspers Ltd. Class N (South Africa)		154,905		30,134
Paddy Power Betfair plc (Ireland)		333,711		35,626
Priceline Group, Inc. (The) (United States)⁽²⁾		19,191		35,897
Shimano, Inc. (Japan)		163,400		25,830
Sodexo SA (France)		116,278		15,034

				230,220

Consumer Staples—29.1%
Ambev S.A. ADR (Brazil)		3,317,382		18,212
Anheuser-Busch InBev NV (Belgium)		350,110		38,672
British American Tobacco plc (United Kingdom)		1,003,095		68,382
Diageo plc (United Kingdom)		787,305		23,262
Fomento Economico Mexicano SAB de CV Sponsored ADR (Mexico)		204,597		20,120
L’Oreal SA (France)		70,056		14,595
Nestle S.A. Registered Shares (Switzerland)		507,415		44,159
Philip Morris International, Inc. (United States)		430,996		50,620
Reckitt Benckiser Group plc (United Kingdom)		567,047		57,489
Unicharm Corp. (Japan)		551,200		13,830
Unilever NV CVA (Netherlands)		1,163,124		64,191

				413,532

Financials—11.3%
Allied Irish Banks plc (Ireland)		2,723,629		15,398
HDFC Bank Ltd. (India)		2,783,370		71,139
Housing Development Finance Corp., Ltd. (India)		1,964,265		49,077
Lloyds Banking Group plc (United Kingdom)		9,576,745		8,251
UBS Group AG Registered Shares (Switzerland)⁽²⁾		943,308		15,976

				159,841

Health Care—8.4%
Coloplast A/S Class B (Denmark)		34,475		2,881
CSL Ltd. (Australia)		135,299		14,354
Essilor International SA (France)		138,337		17,601
Grifols SA (Spain)⁽⁴⁾		762,317		21,232
Ramsay Health Care Ltd. (Australia)		348,641		19,722


	SHARES		VALUE
Health Care—(continued)
Roche Holding AG (Switzerland)		169,125	$	43,070

				118,860

Industrials—11.8%
Aena SA (Spain)⁽³⁾		232,479		45,365
Bureau Veritas SA (France)		740,364		16,384
Canadian National Railway Co. (Canada)		479,857		38,935
DCC plc (Ireland)		242,818		22,106
RELX NV (Netherlands)		1,409,845		28,985
Teleperformance (France)		121,896		15,614

				167,389

Information Technology—19.7%
Accenture plc Class A (United States)		189,771		23,471
Alibaba Group Holding Ltd. Sponsored ADR (China)⁽²⁾		321,746		45,334
Keyence Corp. (Japan)		32,700		14,345
Mastercard, Inc. Class A (United States)		472,122		57,339
SAP SE (Germany)		454,466		47,469
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan)		774,733		27,085
Tencent Holdings Ltd. (China)		1,029,982		36,833
Visa, Inc. Class A (United States)		294,428		27,611

				279,487

Real Estate—2.4%
Daito Trust Construction Co., Ltd. (Japan)		125,600		19,536
Link REIT (Hong Kong)		1,846,917		14,052

				33,588

TOTAL COMMON STOCKS (Identified Cost $938,431)				1,402,917

TOTAL LONG TERM INVESTMENTS—98.9% (Identified Cost $938,431)				1,402,917

SECURITIES LENDING COLLATERAL—0.7%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) – Institutional Shares (seven-day effective yield 1.160%)⁽⁵⁾⁽⁶⁾		9,531,524		9,532

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $9,532)				9,532


	VALUE
TOTAL INVESTMENTS—99.6% (Identified Cost $947,963)	$	1,412,449	⁽¹⁾
Other assets and liabilities, net—0.4%		5,311

NET ASSETS—100.0%	$	1,417,760

Abbreviations:


ADR		American Depositary Receipt
REIT		Real Estate Investment Trust

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $45,365 or 3.2% of net assets.

⁽⁴⁾	All or a portion of security is on loan.

⁽⁵⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁶⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.


Country Weightings †
United States	14	%
United Kingdom	13
India	9
Switzerland	7
France	7
Netherlands	7
Canada	6
Other	37

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $264,373 were transferred from Level 2 into Level 1.


	SHARES		VALUE
COMMON STOCKS—96.5%
Consumer Discretionary—19.4%
Alimentation Couche-Tard, Inc. Class B (Canada)		130,988	$	6,279
Amazon.com, Inc. (United States)⁽²⁾		7,927		7,673
Naspers Ltd. Class N (South Africa)		13,812		2,687
NIKE, Inc. Class B (United States)		98,125		5,789
O’Reilly Automotive, Inc. (United States)⁽²⁾		8,981		1,964
Paddy Power Betfair plc (Ireland)		46,316		4,945
Priceline Group, Inc. (The) (United States)⁽²⁾		2,407		4,502
Starbucks Corp. (United States)		57,735		3,367
TJX Cos., Inc. (The) (United States)		39,430		2,846

				40,052

Consumer Staples—24.4%
Altria Group, Inc. (United States)		58,365		4,346
Ambev S.A. ADR (Brazil)		401,305		2,203
Anheuser-Busch InBev NV (Belgium)		39,717		4,387
British American Tobacco plc (United Kingdom)		129,311		8,815
Casey’s General Stores, Inc. (United States)		24,924		2,670
Coca-Cola Co. (The) (United States)		63,793		2,861
Fomento Economico Mexicano SAB de CV Sponsored ADR (Mexico)		28,206		2,774
Nestle S.A. Registered Shares (Switzerland)		52,244		4,547
Philip Morris International, Inc. (United States)		56,425		6,627
Reckitt Benckiser Group plc (United Kingdom)		60,082		6,091
Unilever N.V. CVA (Netherlands)		91,011		5,023

				50,344

Financials—12.7%
Berkshire Hathaway, Inc. Class B (United States)⁽²⁾		32,412		5,490
HDFC Bank Ltd. (India)		317,715		8,120
Housing Development Finance Corp., Ltd. (India)		207,295		5,179
M&T Bank Corp. (United States)		9,132		1,479
PNC Financial Services Group, Inc. (The) (United States)		11,730		1,465
Wells Fargo & Co. (United States)		81,696		4,527

				26,260

Health Care—8.0%
Abbott Laboratories (United States)		71,808		3,491
Medtronic plc (United States)		43,895		3,896
Roche Holding AG (Switzerland)		14,360		3,657


	SHARES		VALUE
Health Care—(continued)
UnitedHealth Group, Inc. (United States)		29,153	$	5,405

				16,449

Industrials—3.1%
Nielsen Holdings plc (United States)		84,150		3,253
RELX NV (Netherlands)		153,511		3,156

				6,409

Information Technology—26.4%
Alibaba Group Holding Ltd. Sponsored ADR (China)⁽²⁾		32,840		4,627
Alphabet, Inc. Class C (United States)⁽²⁾		10,923		9,926
Facebook, Inc. Class A (United States)⁽²⁾		31,297		4,725
Mastercard, Inc. Class A (United States)		73,218		8,892
PayPal Holdings, Inc. (United States)⁽²⁾		87,905		4,718
SAP SE (Germany)		48,242		5,039
Taiwan Semiconductor Manufacturing Co., Ltd. Sponsored ADR (Taiwan)		109,195		3,818
Tencent Holdings Ltd. (China)		122,852		4,393
Visa, Inc. Class A (United States)		90,524		8,489

				54,627

Materials—0.9%
Martin Marietta Materials, Inc. (United States)		8,548		1,903

Real Estate—1.6%
American Tower Corp. (United States)		24,477		3,239

TOTAL COMMON STOCKS (Identified Cost $138,141)				199,283

TOTAL LONG TERM INVESTMENTS—96.5% (Identified Cost $138,141)				199,283

TOTAL INVESTMENTS—96.5% (Identified Cost $138,141)				199,283	⁽¹⁾
Other assets and liabilities, net—3.5%				7,152

NET ASSETS—100.0%			$	206,435

Abbreviation:


ADR		American Depositary Receipt

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.


Country Weightings †
United States	57	%
United Kingdom	7
India	7
China	5
Switzerland	4
Netherlands	4
Canada	3
Other	13

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

Securities held by the Fund with an end of period value of $ 17,693 were transferred from Level 2 into Level 1.


	SHARES		VALUE
PREFERRED STOCK—1.6%
Health Care—1.6%
Grifols SA Class B, 1.790% (Spain)		16,710	$	353

TOTAL PREFERRED STOCK (Identified Cost $299)				353

COMMON STOCKS—96.0%
Consumer Discretionary—13.6%
Christian Dior SE (France)		878		251
Domino’s Pizza Group plc (United Kingdom)		96,098		368
Hermes International (France)		690		341
LVMH Moet Hennessy Louis Vuitton SE (France)		973		242
Paddy Power Betfair plc (Ireland)		5,262		562
Priceline Group, Inc. (The) (United States)⁽²⁾		512		958
Sodexo SA (France)⁽⁴⁾		2,880		372

				3,094

Consumer Staples—34.4%
Anheuser-Busch InBev NV (Belgium)		5,866		648
British American Tobacco plc (United Kingdom)		20,508		1,398
Diageo plc (United Kingdom)		8,473		250
Heineken NV (Netherlands)		4,076		396
L’Oreal SA (France)		1,596		333
Nestle S.A. Registered Shares (Switzerland)		12,374		1,077
Pernod Ricard SA (France)		1,711		229
Philip Morris International, Inc. (United States)		9,689		1,138
Reckitt Benckiser Group plc (United Kingdom)		11,360		1,152
Unilever NV CVA (Netherlands)		21,604		1,192

				7,813

Financials—8.5%
ABN AMRO Group NV CVA (Netherlands)⁽³⁾		9,262		246
Allied Irish Banks plc (Ireland)		44,063		249
Groupe Bruxelles Lambert SA (Belgium)		2,383		229
Lloyds Banking Group plc (United Kingdom)		152,839		132
Pargesa Holding SA (Switzerland)		1,635		124
Reinet Investments SCA (Luxembourg)		6,447		158
Svenska Handelsbanken AB Class A (Sweden)		15,708		225
Swedbank AB Class A (Sweden)		12,717		310
UBS Group AG Registered Shares (Switzerland)		14,882		252

				1,925

Health Care—12.1%
Coloplast A/S Class B (Denmark)		4,976		416


	SHARES		VALUE
Health Care—(continued)
Essilor International SA (France)		4,211	$	536
Fresenius Medical Care AG & Co. KGaA (Germany)		7,494		720
Grifols SA (Spain)		9,042		252
Roche Holding AG (Switzerland)		3,299		840

				2,764

Industrials—14.0%
Aena SA (Spain)⁽³⁾		3,497		683
Ald SA (United Kingdom)⁽²⁾⁽³⁾		15,170		238
Bureau Veritas SA (France)		9,928		220
DCC plc (Ireland)		3,639		331
DKSH Holding AG (Switzerland)		2,625		213
RELX NV (Netherlands)		30,300		623
Teleperformance (France)		2,953		378
Vinci SA (France)		5,887		503

				3,189

Information Technology—9.3%
Accenture plc Class A (United States)		6,295		779
Amadeus IT Group SA (Spain)		7,767		464
SAP SE (Germany)		8,327		870

				2,113

Materials—3.0%
Air Liquide SA (France)		3,568		441
HeidelbergCement AG (Germany)		2,516		243

				684

Real Estate—1.1%
Unibail-Rodamco SE (Netherlands)		998		252

TOTAL COMMON STOCKS (Identified Cost $16,965)				21,834

TOTAL LONG TERM INVESTMENTS—97.6% (Identified Cost $17,264)				22,187

SECURITIES LENDING COLLATERAL—1.2%
INVESCO Trust Short-Term Investments Liquid Assets Portfolio (The) – Institutional Shares (seven-day effective yield 1.160%)⁽⁵⁾⁽⁶⁾		273,200		273

TOTAL SECURITIES LENDING COLLATERAL (Identified Cost $273)				273


	VALUE
TOTAL INVESTMENTS—98.8% (Identified Cost $17,537)	$	22,460	⁽¹⁾
Other assets and liabilities, net—1.2%		277

NET ASSETS—100.0%	$	22,737

Footnote Legend:

⁽¹⁾	Federal Income Tax Information: For tax information at June 30, 2017, see Note 3 Federal Income Tax Information in the Notes to Schedules of Investments.

⁽²⁾	Non-income producing.

⁽³⁾	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017, these securities amounted to a value of $1,167 or 5.1% of net assets.

⁽⁴⁾	All or a portion of security is on loan.

⁽⁵⁾	Represents security purchased with cash collateral received for securities on loan.

⁽⁶⁾	Shares of this fund are publicly offered and its prospectus and annual report are publicly available.


Country Weightings †
France	17	%
United Kingdom	16
United States	14
Netherlands	12
Switzerland	11
Germany	8
Spain	8
Other	14

Total	100	%

†	% of total investments as of June 30, 2017.

The following table provides a summary of inputs used to value the Fund’s investments as of June 30, 2017 (See Security Valuation Note 1A in the Notes to Schedules of Investments):

There are no Level 2 (significant observable inputs) or Level 3 (significant unobservable inputs) priced securities.

There were no transfers between Level 1 and Level 2 related to securities held as of June 30, 2017.

The significant accounting policies consistently followed by the Virtus Opportunities Trust (the “Trust”), a trust consisting of 28 Funds (each a “Fund”), in the preparation of the Schedules of Investments are summarized below and for derivatives, included in Note 1B below. The preparation of the Schedules of Investments in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the Schedules of Investments. Actual results could differ from those estimates, and those differences could be significant.

Security valuation procedures for the Trust, which include nightly price variance, as well as back-testing items such as bi-weekly unchanged price, monthly secondary source and transaction analysis, have been approved by the Board of Trustees (the “Board”, or the “Trustees”). All internally fair valued securities are approved by a valuation committee appointed by the Board (the “Valuation Committee”). The Valuation Committee is comprised of certain members of management as identified to the Board and convenes independently from portfolio management. All internally fair valued securities are updated daily and reviewed in detail by the Valuation Committee monthly unless changes occur within the period. The Valuation Committee reviews the validity of the model inputs and any changes to the model. Fair valuations are reviewed quarterly by the Board.

The Funds utilize a fair value hierarchy which prioritizes the inputs to valuation techniques used to measure fair value into three broad levels. The Funds’ policy is to recognize transfers between levels at the end of the reporting period.

A description of the valuation techniques applied to the Funds’ major categories of assets and liabilities measured at fair value on a recurring basis is as follows:

Equity securities are valued at the official closing price (typically last sale) on the exchange on which the securities are primarily traded or, if no closing price is available, at the last bid price and are categorized as Level 1 in the hierarchy. Restricted equity securities and private placements that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Certain non-U.S. securities may be fair valued in cases where closing prices are not readily available or are deemed not reflective of readily available market prices. For example, significant events (such as movement in the U.S. securities market or other regional and local developments) may occur between the time that non-U.S. markets close (where the security is principally traded) and the time that a Fund calculates its net asset value (“NAV”) (at the close of regular trading on the New York Stock Exchange (“NYSE”), generally 4 p.m. Eastern time) that may impact the value of securities traded in these non-U.S. markets. In such cases the Funds fair value non-U.S. securities using an independent pricing service which considers the correlation of the trading patterns of the non-U.S. security to the intraday trading in the U.S. markets for investments such as ADRs, financial futures,

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

exchange-traded funds (“ETFs”) and certain indexes, as well as prices for similar securities. Such fair valuations are categorized as Level 2 in the hierarchy. Because the frequency of significant events is not predictable, fair valuation of certain non-U.S. common stocks may occur on a frequent basis.

Debt securities, including restricted securities, are valued based on evaluated quotations received from independent pricing services or from dealers who make markets in such securities. For most bond types, the pricing service utilizes matrix pricing which considers one or more of the following factors: yield or price of bonds of comparable quality, coupon, maturity, current cash flows, type, and current day trade information, as well as dealer supplied prices. These valuations are generally categorized as Level 2 in the hierarchy. Structured debt instruments, such as mortgage-backed and asset-backed securities, may also incorporate collateral analysis and utilize cash flow models for valuation and are generally categorized as Level 2 in the hierarchy. Pricing services do not provide pricing for all securities and therefore indicative bids from dealers are utilized which are based on pricing models used by market makers in the security and are generally categorized as Level 2 in the hierarchy. Debt securities that are not widely traded, are illiquid, or are internally fair valued by the Valuation Committee, are generally categorized as Level 3 in the hierarchy.

Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts and equity-linked instruments, do not require material subjectivity as pricing inputs are observed from actively quoted markets and are categorized as Level 2 in the hierarchy.

Investments in open-end mutual funds are valued at NAV. Investments in closed-end funds are valued as of the close of regular trading on the NYSE each business day. Both are categorized as Level 1 in the hierarchy.

A summary of the inputs used to value the Funds’ net assets by each major security type is disclosed at the end of the Schedule of Investments for each Fund. The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The significant unobservable inputs used in the fair value measurement of these corporate bonds are based on comparable liquid assets adjusted for accretion/amortization rate, current yield, current swap rates, and discount rates related to differences in capital structure and liquidity. Significant changes in any of these inputs in isolation would result in a significantly lower or higher fair value measurement. Generally, a change in the observable market assumptions would have direct impacts to the discount rates used related to capital structure and/or liquidity discounts.

Disclosures about derivative instruments and hedging activities are intended to enable investors to understand how and why a Fund uses derivatives, how derivatives are accounted for, and how derivative instruments affect a Fund’s results of operations and financial position. Summarized below are such disclosures and accounting policies for each specific type of derivative instruments used by certain Funds.

Forward Currency Contracts: A forward currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. These contracts are traded directly between currency traders and their customers.

Funds enter into forward currency contracts in conjunction with the planned purchase or sale of non-U.S. denominated securities in order to hedge the U.S. dollar cost of proceeds. The Funds also, from time to time, hedge the currency exposure of foreign denominated securities held in the portfolio,

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

back to U.S. dollars during perceived times of U.S. dollar strength. This is done to protect the U.S. dollar value of the portfolio. Forward currency contracts involve, to varying degrees, elements of market risk in excess of the amounts reflected on the Schedules of Investments. Risks arise from the possible movements in non-U.S. exchange rates or if the counterparty does not perform under the contract.

Certain Funds may invest in options contracts. An options contract provides the purchaser with the right, but not the obligation, to buy (call option) or sell (put option) a financial instrument at an agreed upon price. Certain Funds may purchase or write both put and call options on portfolio securities. The Fund is subject to equity price risk in the normal course of pursuing its investment objectives. The Fund may use options contracts to hedge against changes in the values of equities. When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. Holdings of the Fund designated to cover outstanding written options are noted in the Schedules of Investments.

The risk in writing call options is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing put options is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying options is that the Fund pays a premium whether or not the option is exercised. The use of such instruments may involve certain additional risks as a result of unanticipated movements in the market. Writers (sellers) of options are subject to unlimited risk of loss, as the seller will be obligated to deliver or take delivery of the security at a predetermined price which may, upon exercise of the option, be significantly different from the then-market value.

Warrants and Rights: Certain Funds hold warrants and rights acquired either through a direct purchase, including as part of private placement, or pursuant to corporate actions. Warrants and rights entitle the holder to buy a proportionate amount of common stock at a specific price and time through the expiration dates. Such warrants and rights are held as long positions by the Fund until exercised, sold or expired. Warrants and rights are valued at fair value in accordance with the Board approved fair valuation procedures.

Certain Funds may loan securities to qualified brokers through an agreement with Brown Brothers Harriman (“BBH”), as a third party lending agent. Under the terms of agreement, a Fund doing so is required to maintain collateral with a market value not less than 100% of the market value of loaned securities. Collateral is adjusted daily in connection with changes in the market value of securities on loan. Collateral may consist of cash and securities issued by the U.S. Government or its agencies. Cash collateral is invested in a short-term money market fund. Dividends earned on the collateral and premiums paid by the broker are recorded as income by a Fund net of fees and rebates charged by BBH for its services as securities lending agent and in connection with this securities lending program. Lending portfolio securities involves a risk of delay in the recovery of the loaned securities or in the declining value of the collateral.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

In countries with limited or developing markets, investments may present greater risks than in more developed markets and the prices of such investments may be volatile. The consequences of political, social or economic changes in these markets may have disruptive effects on the market prices of these investments and the income they generate, as well as a Fund’s ability to repatriate such amounts.

High-yield/high-risk securities typically entail greater price volatility and/or principal and interest rate risk. There is a greater chance that an issuer will not be able to make principal and interest payments on time. Analysis of the creditworthiness of issuers of high-yield/high-risk securities may be complex, and as a result, it may be more difficult for the adviser and/or subadviser to accurately predict risk.

Many municipalities insure repayment for their obligations. Although bond insurance reduces the risk of loss due to default by an issuer, such bonds remain subject to the risk that the market may fluctuate for other reasons, and there is no assurance that the insurance company will meet its obligations. Insured securities have been identified in the Schedule of Investments. A real or perceived decline in creditworthiness of a bond insurer can have an adverse impact on the value of insured bonds held in the Funds.

Certain Funds may invest a high percentage of their assets in specific sectors of the market in their pursuit of a greater investment return. Fluctuations in these sectors of concentration may have a greater impact on a Fund, positive or negative, than if a Fund did not concentrate its investments in such sectors.

Investments are generally considered illiquid if they cannot be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by a Fund. Additionally, the following information is also considered in determining liquidity: the frequency of trades and quotes for the investment, whether the investment is listed for trading on a recognized domestic exchange and/or whether two or more brokers are willing to purchase or sell the security at a comparable price, the extent of market making activity in the investment and the nature of the market for investment. Illiquid securities are footnoted as such at the end of each Fund’s Schedule of Investments, where applicable. However, a portion of such footnoted securities could be liquid where it is determined that some, though not all, of the position could be disposed of within seven days in the ordinary course of business at the approximate amount at which such securities have been valued by the Fund.

Restricted securities are illiquid securities as defined above, not registered under the Securities Act of 1933, as amended (the “1933 Act”). Generally, 144A securities are excluded from this category, except where defined as illiquid.

Each Fund will bear any costs, including those involved in registration under the 1933 Act, in connection with the disposition of such securities.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

At June 30, 2017, the Funds did not hold any securities that were both illiquid and restricted.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

From time to time, the Trust, the Funds’ Adviser and/or subadvisers and/or their affiliates may be involved in litigation and arbitration as well as examinations and investigations by various regulatory bodies, including the SEC, involving compliance with, among other things, securities laws, client investment guidelines, laws governing the activities of broker-dealers and other laws and regulations affecting their products and other activities. At this time, the Adviser believes that the outcomes of such matters are not likely, either individually or in the aggregate, to be material to these financial statements.

On February 20, 2015, a putative class action complaint (In re Virtus Investment Partners, Inc. Securities Litigation; formerly styled as Tom Cummins v. Virtus Investment Partners Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed by an individual shareholder against Virtus and certain of its officers (the “defendants”) in the United States District Court for the Southern District of New York. On August 21, 2015, the lead plaintiff filed a Consolidated Class Action Complaint (the “Consolidated Complaint”) amending the originally filed complaint and adding the Trust as a defendant. The Consolidated Complaint was purportedly filed on behalf of all purchasers of Virtus common stock between January 25, 2013 and May 11, 2015 (the “Class Period”). The Consolidated Complaint alleges that during the Class Period, the defendants disseminated materially false and misleading statements and concealed material adverse facts relating to certain funds previously subadvised by F-Squared Investments, Inc. and/or its affiliates (“F-Squared”). The plaintiff seeks to recover unspecified damages. A motion to dismiss the Consolidated Complaint was filed on behalf of the defendants on October 21, 2015. Pursuant to an Opinion & Order (“Order”) filed on July 1, 2016, the court granted in part and denied in part the defendants’ motion to dismiss. Although the Order narrows the scope of the claims asserted and dismisses one of the defendants from the suit, claims under Sections 10(b) and 20(a) of the Exchange Act and Rule 10b-5 thereunder survive the motion. The remaining defendants filed an Answer to the Consolidated Complaint on August 5, 2016. Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiff’s motion for class certification was granted by the court. Virtus and its affiliates, including the Adviser, believe that the suit is without merit and intend to defend it vigorously. The Trust believes that the risk of loss to the Funds as a result of this suit is remote. The Adviser does not believe that the suit will have any impact on its ability to provide services to the Funds.

On May 8, 2015, a putative class action complaint (Mark Youngers v. Virtus Investment Partners, Inc., et al.) alleging violations of certain provisions of the federal securities laws was filed in the United States District Court for the Central District of California. The complaint, which was purportedly filed on behalf of purchasers of certain Virtus Funds previously subadvised by F-Squared between May 8, 2010 and December 22, 2014, inclusive (the “Class Period”), alleged claims against Virtus, certain Virtus officers and affiliates (including the Adviser, Euclid Advisors LLC (“Euclid”) and VP Distributors, LLC), the trustees and certain officers of the Trust, and certain other parties (the “defendants”). The complaint alleges that during the Class Period the defendants disseminated materially false and misleading statements and concealed or omitted material facts necessary to make the statements made not misleading. On October 1, 2015, the plaintiffs filed a First Amended Class Action Complaint which, among other things, added a derivative claim for breach of fiduciary duty on behalf of the Trust. On October 19, 2015, the United States District Court for the Central District of California entered an order transferring the action to the Southern District of New York. On January 4, 2016, the plaintiffs filed a Second Amended Complaint. Motions to dismiss were filed on behalf of Virtus, its officers and affiliates and the independent trustees on February 1, 2016. An Opinion & Order (“Order”) granting in part and denying in part the defendants’ motions to dismiss was issued on July 1, 2016. The Order dismissed all claims against the Adviser, Euclid, the independent trustees and certain of the other individual defendants, and narrowed the claims asserted against the remaining defendants. The remaining defendants filed an Answer to the Second Amended Complaint on August 5, 2016. A Stipulation of Voluntary Dismissal of the claim under Section 12 of the Securities Act of 1933, as amended, was filed on September 15, 2016.

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Pursuant to an Opinion & Order filed on May 15, 2017, the plaintiffs’ motion for class certification was denied by the court. On July 28, 2017 plaintiffs filed a motion for leave to amend the Second Amended Complaint to which defendants filed an opposition on August 11, 2017. Oral argument on the motion is scheduled for September 7, 2017. Virtus and its affiliates, including the Adviser, believe that the suit has no basis in law or fact and intend to defend it vigorously. The Trust believes that the risk of loss to the Funds as a result of this suit is remote. The Adviser does not believe that the suit will have any impact on its ability to provide services to the Funds.

Management has evaluated the impact of all subsequent events on the Funds through the date the Schedules of Investments (“N-Q”) were filed and has determined that the following subsequent events require recognition or disclosure in these Notes to Schedules of Investments.

Effective August 25, 2017, Rampart Investment Management Company, LLC will begin serving as subadviser to each of the following Funds: Virtus Alternatives Diversifier Fund, Virtus Equity Trend Fund, Virtus Global Equity Trend Fund, Virtus Multi-Asset Trend Fund, and Virtus Sector Trend Fund, each a series of Virtus Opportunities Trust.

Additionally, effective September 26, 2017, each Fund’s name will change as shown in the table below:

Other information regarding each Fund is available in the Fund’s most recent Report to Shareholders.

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

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.


	Total Value at June 30, 2017		Level 1 Quoted Prices
Equity Securities:
Common Stocks	$	114,441	$	114,441

Total Investments	$	114,441	$	114,441


Investments in Securities	Common Stocks
Balance as of September 30, 2016:	$	0
Accrued discount/(premium)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		—	^(b)
Purchases		—
Sales		—
Transfers into Level 3^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of June 30, 2017	$	—	^(b)(c)


Currency Purchased	Value		Currency Sold	Value		Counterparty	Settlement Date		Unrealized Appreciation		Unrealized (Depreciation)
JPY		64,768	USD		584	JPMorgan Chase		7/18/17	$	—	$	(7	)

USD		567	JPY		64,768	JPMorgan Chase		7/18/17		—		(9	)

											$	(16	)


	Total Value at June 30, 2017		Level 1 Quoted Prices		Level 3 Significant Unobservable Inputs
Equity Securities:
Common Stocks	$	23,962	$	23,952	$	10

Total Investments	$	23,962	$	23,952	$	10


Investments in Securities	Common Stocks
Balance as of September 30, 2016:	$	0	^(b)
Accrued discount/(premium)		—
Realized gain (loss)		—
Change in unrealized appreciation (depreciation)		10
Purchases		—
Sales		—
Transfers into Level 3^(a)		—
Transfers from Level 3 ^(a)		—

Balance as of June 30, 2017	$	10	^(b)


	Total Value at June 30, 2017			Level 1 Quoted Prices		Level 2 Significant Observable Inputs
Assets:
Equity Securities:
Common Stocks	$	3,848		$	3,848	$	—
Preferred Stocks		119			119		—
Rights		3			3		—

Total Assets	$	3,970		$	3,970	$	—

Liabilities:
Other Financial Instruments:
Foreign Currency Exchange Contracts		(16	)		—		(16	)

Total Liabilities	$	(16	)	$	—	$	(16	)


	Total Value at June 30, 2017		Level 1 Quoted Prices
Equity Securities:
Closed End Funds	$	43,637	$	43,637
Preferred Stocks		11,277		11,277
Short-Term Investment		9,108		9,108

Total Investments	$	64,022	$	64,022


	Total Value at March 31, 2017		Level 1 Quoted Prices		Level 2 Significant Observable Inputs
Equity Securities:
Common Stocks	$	179,073	$	176,117	$	2,956
Short-Term Investment		14,080		14,080		—

Total Investments	$	193,153	$	190,197	$	2,956


Investments in Securities	Total			Corporate Bonds and Notes
Balance as of September 30, 2016:	$	240		$	240
Accrued discount/(premium)		—	^(c)		—	^(c)
Realized gain (loss)		—	^(c)		—	^(c)
Change in unrealized appreciation (depreciation)		(38	)		(38	)
Purchases		42			42
Sales^(b)		(16	)		(16	)
Transfers into Level 3^(a)		—			—
Transfers from Level 3 ^(a)		—			—

Balance as of June 30, 2017	$	228		$	228


	Total Value at June 30, 2017		Level 2 Significant Observable Inputs
Debt Securities:
Municipal Tax-Exempt Bonds	$	26,619	$	26,619

Total Investments	$	26,619	$	26,619


Investments in Securities	Total			Asset- Backed Securities			Corporate Bonds and Notes			Loan Agreements			Common Stocks			Rights		Warrants
Balance as of September 30, 2016:	$	312		$	255		$	19		$	38		$	—		$	—	$	—
Accrued discount/(premium)		—			—			—			—			—			—		—
Realized gain (loss)		(552	)		2			(82	)		(472	)		—			—		—
Change in unrealized appreciation (depreciation)		524			(5	)		82			446			(1	)		2		—	^(c)
Purchases		18			—			—			—			7			7		4
Sales^(b)		(283	)		(252	)		(19	)		(12	)		—			—		—
Transfers into Level 3^(a)(d)		1			—			1			—			—			—		—
Transfers from Level 3^(a)		—			—			—			—			—			—		—

Balance as of June 30, 2017	$	20		$	—		$	1		$	—		$	6		$	9	$	4


	Total Value at June 30, 2017		Level 1 Quoted Prices		Level 2 Significant Observable Inputs		Level 3 Significant Unobservable Inputs
Debt Securities:
Asset-Backed Securities	$	1,488,083	$	—	$	1,488,083	$	—
Corporate Bonds And Notes		2,470,841		—		2,470,808		33
Foreign Government Securities		583,145		—		583,145		—
Loan Agreements		917,055		—		906,329		10,726
Mortgage-Backed Securities		1,496,278		—		1,496,278		—
Municipal Bonds		4,051		—		4,051		—
U.S. Government Securities		21,296		—		21,296		—
Equity Securities:
Affiliated Mutual Fund		69,332		69,332		—		—
Common Stocks		3,623		3,623		—		—
Preferred Stocks		74,103		—		74,103		—
Rights		101		—		—		101

Total Investments	$	7,127,908	$	72,955	$	7,044,093	$	10,860


Investments in Securities	Total			Asset-Backed Securities			Corporate Bonds and Notes			Loan Agreements			Rights
Balance as of September 30, 2016:	$	22,276		$	8,363		$	2,595		$	11,318		$	—
Accrued discount/(premium)		(82	)		—			—			(82	)		—
Realized gain (loss)		(10,926	)		72			(10,920	)		(78	)		—
Change in unrealized appreciation /(depreciation)		11,904			(168	)		10,984			1,071			17
Purchases		84			—			—			—			84
Sales^(b)		(12,424	)		(8,267	)		(2,654	)		(1,503	)		—
Transfers into Level 3^(a)(c)		28			—			28			—			—
Transfers from Level 3^(a)		—			—			—			—			—

Balance as of June 30, 2017	$	10,860		$	—		$	33		$	10,726		$	101


Investments in Securities	Total			Corporate Bonds and Notes			Loans Agreements			Common Stocks			Rights		Warrants
Balance as of September 30, 2016:	$	1,846		$	1,736		$	110		$	—		$	—	$	—
Accrued discount/(premium)		8			2			6			—			—		—
Realized gain (loss)		(1,694	)		1			(1,695	)		—			—		—
Change in unrealized appreciation (depreciation)		1,276			(272	)		1,528			(6	)		26		—	^(c)
Purchases		1,582			307			1,094			34			129		18
Sales^(b)		(166	)		(113	)		(53	)		—			—		—
Transfers into Level 3 ^(a)		—			—			—			—			—		—
Transfers from Level 3 ^(a)		—			—			—			—			—		—

Balance as of June 30, 2017	$	2,852		$	1,661		$	990		$	28		$	155	$	18


Fund	Market value		Collateral
Horizon International Wealth Masters Fund	$	86	$	94
Horizon Wealth Masters Fund		6,511		6,605
Vontobel Emerging Markets Opportunities Fund		80,643		81,775
Vontobel Foreign Opportunities Fund		8,986		9,531
Vontobel Greater European Opportunities Fund		259		273


	Fund Aggregate Value ($ reported in 000’s)		% of Fund’s net assets
Duff & Phelps Global Real Estate Securities Fund	$	0		0.0	%
Duff & Phelps International Real Estate Fund		10		0.0
Newfleet Bond Fund		228		0.3
Newfleet High Yield Fund		96		0.1
Newfleet Multi-Sector Intermediate Bond Fund		843		0.2
Newfleet Multi-Sector Short Term Bond Fund		134		0.0
Newfleet Senior Floating Rate Fund		4,424		0.8


Fund	Federal Tax Cost			Unrealized Appreciation		Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Alternatives Diversifier Fund	$	67,423		$	4,060	$	(23,212	)	$	(19,152	)
Duff & Phelps Global Infrastructure Fund		99,788			18,411		(3,758	)		14,653
Duff & Phelps Global Real Estate Securities Fund		178,199			17,822		(7,863	)		9,959
Duff & Phelps International Equity Fund		3,425			600		(55	)		545
Duff & Phelps International Real Estate Securities Fund		21,979			2,268		(285	)		1,983
Duff & Phelps Real Estate Securities Fund		735,802			292,738		(29,625	)		263,113
Equity Trend Fund		490,731			93,290		(3,910	)		89,380
Global Equity Trend Fund		13,280			1,985		(59	)		1,926
Herzfeld Fund		59,800			4,351		(129	)		4,222
Horizon International Wealth Masters Fund		5,451			932		(306	)		626
Horizon Wealth Masters Fund		70,731			12,750		(3,764	)		8,986
KAR Emerging Markets Small Cap Fund		7,381			1,232		(151	)		1,081
KAR International Small-Cap Fund		175,041			19,397		(1,285	)		18,112
Multi-Asset Trend Fund		84,388			7,535		(653	)		6,882
Newfleet Bond Fund		70,009			1,679		(552	)		1,127
Newfleet CA Tax-Exempt Bond		25,492			1,277		(150	)		1,127
Newfleet High Yield Fund		68,562			2,225		(1,238	)		987
Newfleet Low Duration Income Fund		351,641			2,256		(1,000	)		1,256
Newfleet Multi-Sector Intermediate Bond Fund		343,824			8,782		(9,827	)		(1,045	)
Newfleet Multi-Sector Short Term Bond Fund		7,097,269			110,641		(80,002	)		30,639
Newfleet Senior Floating Rate Fund		633,393			3,553		(10,462	)		(6,909	)
Newfleet Tax-Exempt Bond Fund		159,465			8,738		(1,229	)		7,509
Rampart Low Volatility Equity Fund		2,379			1		—			1
Rampart Low Volatility Equity Fund (written options)		(2	)		1		—			1
Sector Trend Fund		264,062			36,516		(3,008	)		33,508
Vontobel Emerging Markets Opportunities Fund		6,514,633			1,453,015		(201,884	)		1,251,131
Vontobel Foreign Opportunities Fund		954,348			466,688		(8,587	)		458,101
Vontobel Global Opportunities Fund		138,299			61,942		(958	)		60,984
Vontobel Greater European Opportunities Fund		17,675			4,810		(25	)		4,785


Current Name:		New Name:
Virtus Alternatives Diversifier Fund		Virtus Rampart Alternatives Diversifier Fund
Virtus Equity Trend Fund		Virtus Rampart Equity Trend Fund
Virtus Global Equity Trend Fund		Virtus Rampart Global Equity Trend Fund
Virtus Multi-Asset Trend Fund		Virtus Rampart Multi-Asset Trend Fund
Virtus Sector Trend Fund		Virtus Rampart Sector Trend Fund



By (Signature and Title)*		/s/ *George R. Aylward*
		George R. Aylward, President
		(principal executive officer)


By (Signature and Title)*		/s/ *W. Patrick Bradley*
		W. Patrick Bradley, Executive Vice President, Chief Financial Officer, and Treasurer
		(principal financial officer)

This ‘N-Q’ Filing	Date	Other Filings

	9/26/17
	9/7/17
Filed on / Effective on:	8/29/17
	8/25/17
	8/11/17
	7/28/17
For Period End:	6/30/17	497, N-PX
	5/15/17
	3/31/17	N-CSRS, NSAR-A
	9/30/16	24F-2NT, 497, N-CSR, NSAR-B
	9/15/16
	8/5/16
	7/1/16
	2/1/16
	1/4/16
	10/21/15
	10/19/15
	10/1/15
	8/21/15	40-APP
	5/11/15	497, 497K
	5/8/15
	2/20/15
	12/22/14
	1/25/13	485BPOS
	5/8/10
		List all Filings

Federal Home Loan Mortgage Corporation (“Freddie Mac”)

Federal National Mortgage Association (“Fannie Mae”)

Payment-in-Kind Security

Real Estate Investment Trust