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Neuberger Berman Income Funds – ‘N-Q’ for 1/31/18

On:  Wednesday, 3/28/18, at 4:38pm ET   ·   Effective:  3/28/18   ·   For:  1/31/18   ·   Accession #:  898432-18-381   ·   File #:  811-03802

Previous ‘N-Q’:  ‘N-Q’ on 9/29/17 for 7/31/17   ·   Next:  ‘N-Q’ on 9/28/18 for 7/31/18   ·   Latest:  ‘N-Q’ on 3/27/19 for 1/31/19

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 3/28/18  Neuberger Berman Income Funds     N-Q         1/31/18    2:5.7M                                   K&L Gates LLP/DC/FANeuberger Berman Core Bond Fund Class A (NCRAX) — Class C (NCRCX) — Class R6 (NRCRX) — Institutional Class (NCRLX) — Investor Class (NCRIX)Neuberger Berman Core Plus Fund Class A (NCPAX) — Class C (NCPCX) — Class R6 (NCPRX) — Institutional Class (NCPIX)Neuberger Berman Emerging Markets Debt Fund Class A (NERAX) — Class C (NERCX) — Institutional Class (NERIX)Neuberger Berman Floating Rate Income Fund Class A (NFIAX) — Class C (NFICX) — Institutional Class (NFIIX)Neuberger Berman High Income Bond Fund Class A (NHIAX) — Class C (NHICX) — Class R3 (NHIRX) — Class R6 (NRHIX) — Institutional Class (NHILX) — Investor Class (NHINX)Neuberger Berman Municipal High Income Fund Class A (NMHAX) — Class C (NMHCX) — Institutional Class (NMHIX)Neuberger Berman Municipal Impact Fund Institutional Class (NMIIX)Neuberger Berman Municipal Intermediate Bond Fund Class A (NMNAX) — Class C (NMNCX) — Institutional Class (NMNLX) — Investor Class (NMUIX)Neuberger Berman Short Duration Bond Fund Class A (NSHAX) — Class C (NSHCX) — Class R6 (NRSHX) — Institutional Class (NSHLX) — Investor Class (NSBIX) — Trust Class (NSBTX)Neuberger Berman Short Duration High Income Fund Class A (NHSAX) — Class C (NHSCX) — Institutional Class (NHSIX)Neuberger Berman Strategic Income Fund Class A (NSTAX) — Class C (NSTCX) — Class R6 (NRSIX) — Institutional Class (NSTLX) — Trust Class (NSTTX)Neuberger Berman Unconstrained Bond Fund Class A (NUBAX) — Class C (NUBCX) — Class R6 (NRUBX) — Institutional Class (NUBIX)

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

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a       HTML   2.22M 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     18K 


N-Q   —   Quarterly Schedule of Portfolio Holdings of a Management Investment Company


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




As filed with the Securities and Exchange Commission on March 28, 2018
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C.  20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-03802
NEUBERGER BERMAN INCOME FUNDS
(Exact Name of Registrant as Specified in Charter)
c/o Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, New York 10104-0002
(Address of Principal Executive Offices – Zip Code)
Registrant's telephone number, including area code: (212) 476-8800
Robert Conti, Chief Executive Officer and President
Neuberger Berman Income Funds
c/o Neuberger Berman Investment Advisers LLC
1290 Avenue of the Americas
New York, New York 10104-0002
Arthur C. Delibert, Esq.
K&L Gates LLP
1601 K Street, N.W.
Washington, D.C. 20006-1600
(Names and Addresses of Agents for Service)
Date of fiscal year end:  October 31
Date of reporting period:  January 31, 2018
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 their first and third fiscal quarters, pursuant to Rule 30b1-5 under the Investment Company Act of 1940 (“1940 Act”) (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, 100 F Street, NE, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.


Item 1. Schedules of Investments.
Schedule of Investments Core Bond Fund
(Unaudited) January 31, 2018
 
 
 
PRINCIPAL
AMOUNT(a)
 
VALUE†
 
(000's omitted)
 
(000's omitted)
 
 
U.S. Treasury Obligations 33.5%
 
$
1,850
 
U.S. Treasury Bill, 0.67%, due 5/24/18
$
1,842
(b)(c)
   
5,020
 
U.S. Treasury Bond, 3.88%, due 8/15/40
 
5,840
 
       
U.S. Treasury Inflation-Indexed Bonds
     
   
10,737
 
0.25%, due 1/15/25
 
10,520
(d)
   
9,973
 
2.00%, due 1/15/26
 
11,072
(d)
   
4,119
 
2.50%, due 1/15/29
 
4,923
(d)
   
6,452
 
3.88%, due 4/15/29
 
8,671
(d)
   
3,537
 
3.38%, due 4/15/32
 
4,812
(d)
   
2,006
 
0.63%, due 2/15/43
 
1,933
(d)
       
U.S. Treasury Notes
     
   
9,250
 
1.50%, due 8/31/18 – 2/28/23
 
9,020
 
   
15,320
 
1.38%, due 11/30/18 – 4/30/21
 
15,110
 
   
3,035
 
1.13%, due 2/28/19
 
3,007
 
   
25,610
 
0.88%, due 4/15/19 – 5/15/19
 
25,241
 
   
1,800
 
0.75%, due 8/15/19
 
1,765
 
   
5,170
 
2.13%, due 12/31/21
 
5,111
 
   
9,535
 
2.75%, due 2/15/24
 
9,606
 
   
6,995
 
1.63%, due 2/15/26
 
6,450
 
   
3,455
 
2.25%, due 2/15/27
 
3,325
 
 
 
Total U.S. Treasury Obligations (Cost $128,864)
 
128,248
 
 
U.S. Government Agency Securities 2.3%
   
2,660
 
Federal Home Loan Bank, 5.50%, due 7/15/36
 
3,549
 
   
1,700
 
Federal National Mortgage Association, 6.63%, due 11/15/30
 
2,332
 
   
1,200
 
Federal National Mortgage Association, 1.60%, due 12/24/20
 
1,175
 
   
2,455
 
Residual Funding Corp., 0.00%, due 4/15/30
 
1,672
(e)
 
 
Total U.S. Government Agency Securities (Cost $8,759)
 
8,728
 
 
Mortgage-Backed Securities 33.4%
 
Collateralized Mortgage Obligations 0.0%(f)
   
16
 
Fannie Mae Whole Loan, Ser. 2003-W5, Class A, 1 month USD LIBOR + 0.11%, (1.67%), due 4/25/33
 
15
(g)
 
Commercial Mortgage-Backed 5.1%
   
1,849
 
CGMS Commercial Mortgage Trust, Ser. 2017-B1, Class A1, 2.01%, due 8/15/50
 
1,821
 
       
Citigroup Commercial Mortgage Trust
     
   
4,833
 
Ser. 2014-GC25, Class XA, 1.04%, due 10/10/47
 
267
(h)(i)
   
2,584
 
Ser. 2015-GC27, Class XA, 1.41%, due 2/10/48
 
192
(h)(i)
   
550
 
Ser. 2015-P1, Class A5, 3.72%, due 9/15/48
 
566
 
   
450
 
Ser. 2016-GC36, Class A5, 3.62%, due 2/10/49
 
458
 
   
725
 
Ser. 2017-C4, Class A4, 3.47%, due 10/12/50
 
730
 
   
6,749
 
Commercial Mortgage Loan Trust, Ser. 2014-CR17, Class XA, 1.12%, due 5/10/47
 
307
(h)(i)
       
Commercial Mortgage Trust
     
 
 
6,887
 
Ser. 2014-CR16, Class XA, 1.17%, due 4/10/47
 
306
(h)(i)
   
4,377
 
Ser. 2014-LC15, Class XA, 1.32%, due 4/10/47
 
213
(h)(i)
   
3,897
 
Ser. 2014-UBS3, Class XA, 1.30%, due 6/10/47
 
201
(h)(i)
   
4,837
 
Ser. 2014-UBS6, Class XA, 1.02%, due 12/10/47
 
223
(h)(i)
   
335
 
Ser. 2015-LC21, Class A4, 3.71%, due 7/10/48
 
344
 
   
534
 
Ser. 2017-COR2, Class A1, 2.11%, due 9/10/50
 
525
 
       
CSAIL Commercial Mortgage Trust
     
   
353
 
Ser. 2016-C7, Class A5, 3.50%, due 11/15/49
 
356
 
   
590
 
Ser. 2017-CX9, Class A1, 2.02%, due 9/15/50
 
581
 
   
1,970
 
Freddie Mac Multifamily, Ser. 2017-KT01, Class A, 1 month USD LIBOR + 0.32%, (1.88%), due 2/25/20
 
1,976
(g)
       
GS Mortgage Securities Trust
     
   
11,685
 
Ser. 2014-GC18, Class XA, 1.12%, due 1/10/47
 
530
(h)(i)
   
335
 
Ser. 2015-GC32, Class A4, 3.76%, due 7/10/48
 
346
 
   
442
 
Ser. 2015-GC34, Class AAB, 3.28%, due 10/10/48
 
446
 
   
355
 
JPMBB Commercial Mortgage Securities Trust, Ser. 2016-C1, Class A5, 3.58%, due 3/15/49
 
361
 
       
Morgan Stanley Bank of America Merrill Lynch Trust
     
   
4,592
 
Ser. 2014-C16, Class XA, 1.16%, due 6/15/47
 
211
(h)(i)
   
710
 
Ser. 2015-C24, Class A4, 3.73%, due 5/15/48
 
733
 
   
594
 
Ser. 2017-C34, Class A1, 2.11%, due 11/15/52
 
587
 
       
UBS Commercial Mortgage Trust
     
   
1,202
 
Ser. 2017-C2, Class A1, 2.01%, due 8/15/50
 
1,184
 
   
500
 
Ser. 2017-C2, Class A4, 3.49%, due 8/15/50
 
503
 
   
728
 
Ser. 2017-C4, Class A1, 2.13%, due 10/15/50
 
719
 
       
Wells Fargo Commercial Mortgage Trust
     
   
500
 
Ser. 2015-C29, Class A4, 3.64%, due 6/15/48
 
510
 
   
225
 
Ser. 2016-LC24, Class A4, 2.94%, due 10/15/49
 
218
 
   
950
 
Ser. 2016-NXS6, Class A4, 2.92%, due 11/15/49
 
918
 
   
755
 
Ser. 2017-C39, Class A1, 1.98%, due 9/15/50
 
742
 
   
580
 
Ser. 2017-C39, Class A5, 3.42%, due 9/15/50
 
581
 
   
500
 
Ser. 2015-C30, Class A4, 3.66%, due 9/15/58
 
511
 
   
445
 
Ser. 2016-LC25, Class A4, 3.64%, due 12/15/59
 
452
 
       
WF-RBS Commercial Mortgage Trust
     
   
6,366
 
Ser. 2014-C25, Class XA, 0.92%, due 11/15/47
 
283
(h)(i)
   
15,292
 
Ser. 2014-C22, Class XA, 0.91%, due 9/15/57
 
645
(h)(i)
 
19,546
 
Fannie Mae 14.8%
       
Pass-Through Certificates
     
   
9,687
 
3.00%, due 9/1/27 – 2/1/47
 
9,576
 
   
11,620
 
3.50%, due 1/1/27 – 12/1/47
 
11,777
(j)
   
14,078
 
4.00%, due 1/1/41 – 8/1/47
 
14,589
 
   
4,172
 
4.50%, due 7/1/23 – 1/1/47
 
4,420
 
   
2,470
 
5.00%, due 3/1/21 – 10/1/41
 
2,652
 
   
2,163
 
5.50%, due 11/1/22 – 3/1/41
 
2,360
 
   
741
 
6.00%, due 3/1/33 – 11/1/38
 
832
 
   
1,640
 
3.00%, TBA, 15 Year Maturity
 
1,648
(k)
   
4,625
 
3.50%, TBA, 30 Year Maturity
 
4,669
(k)
   
4,205
 
4.00%, TBA, 30 Year Maturity
 
4,343
(k)
 
56,866
 
Freddie Mac 10.5%
       
Pass-Through Certificates
     
   
5,059
 
3.00%, due 2/1/32 – 4/1/47
 
4,981
 
   
8,648
 
3.50%, due 7/1/42 – 10/1/47
 
8,756
(j)
 
 
10,419
 
4.00%, due 11/1/40 – 11/1/47
 
10,780
 
   
2,473
 
4.50%, due 6/1/39 – 5/1/47
 
2,610
 
   
1,119
 
5.00%, due 5/1/23 – 5/1/41
 
1,199
 
   
724
 
5.50%, due 12/1/22 – 11/1/38
 
793
 
   
13
 
6.00%, due 12/1/37
 
15
 
   
3
 
6.50%, due 11/1/25
 
4
 
   
2,020
 
3.00%, TBA, 15 Year Maturity
 
2,029
(k)
   
4,585
 
3.50%, TBA, 30 Year Maturity
 
4,629
(k)
   
4,110
 
4.00%, TBA, 30 Year Maturity
 
4,247
(k)
 
40,043
 
Ginnie Mae 3.0%
       
Pass-Through Certificates
     
   
935
 
3.00%, due 3/20/45 – 2/20/47
 
927
 
   
4,335
 
3.50%, due 1/20/43 – 12/20/47
 
4,419
 
   
1,603
 
4.00%, due 11/20/44 – 7/20/47
 
1,665
 
   
4,420
 
3.50%, TBA, 30 Year Maturity
 
4,499
(k)
 
11,510
 
 
 
Total Mortgage-Backed Securities (Cost $131,726)
 
127,980
 
 
Corporate Bonds 22.5%
 
Agriculture 0.5%
   
1,800
 
BAT Capital Corp., 4.54%, due 8/15/47
 
1,855
(l)
 
Auto Manufacturers 0.2%
   
840
 
General Motors Financial Co., Inc., 4.30%, due 7/13/25
 
858
 
 
Banks 7.3%
   
1,295
 
Banco Santander SA, 3.80%, due 2/23/28
 
1,287
 
   
2,015
 
Barclays PLC, 3.68%, due 1/10/23
 
2,031
(m)
   
1,910
 
Citibank N.A., 2.00%, due 3/20/19
 
1,902
 
   
1,280
 
Citigroup, Inc., 2.70%, due 3/30/21
 
1,272
(m)
       
Goldman Sachs Group, Inc.
     
   
1,310
 
3 month USD LIBOR + 1.51%, (3.69%), due 6/5/28
 
1,304
(g)
   
2,380
 
3 month USD LIBOR + 1.16%, (3.81%), due 4/23/29
 
2,386
(g)
   
1,030
 
3 month USD LIBOR + 3.74%, (4.02%), due 10/31/38
 
1,041
(g)
   
1,000
 
5.15%, due 5/22/45
 
1,141
(m)
   
2,045
 
HSBC Holdings PLC, 5 year USD ICE Swap + 3.75%, (6.00%), due 12/31/99
 
2,140
(g)
       
JPMorgan Chase & Co.
     
   
1,720
 
3 month USD LIBOR + 1.16%, (3.22%), due 3/1/25
 
1,704
(g)
   
975
 
3 month USD LIBOR + 1.36%, (3.88%), due 7/24/38
 
986
(g)
   
950
 
3 month USD LIBOR + 1.22%, (3.90%), due 1/23/49
 
953
(g)
   
2,360
 
KFW, 2.38%, due 12/29/22
 
2,325
 
       
Morgan Stanley
     
 
 
1,035
 
2.50%, due 4/21/21
 
1,022
(m)
   
1,095
 
2.75%, due 5/19/22
 
1,079
 
   
1,400
 
3.63%, due 1/20/27
 
1,403
(m)
   
1,910
 
3 month USD LIBOR + 1.14%, (3.77%), due 1/24/29
 
1,920
(g)
   
2,000
 
Westpac Banking Corp., 1 month USD LIBOR + 2.89%, (5.00%), due 12/31/99
 
1,979
(g)
 
27,875
 
Beverages 0.2%
   
660
 
Anheuser-Busch InBev Finance, Inc., 4.70%, due 2/1/36
 
729
 
 
Computers 1.8%
   
1,155
 
Apple, Inc., 4.65%, due 2/23/46
 
1,314
 
       
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
     
   
2,595
 
5.45%, due 6/15/23
 
2,788
(l)
   
1,065
 
6.02%, due 6/15/26
 
1,166
(l)(m)
   
1,650
 
HP Enterprise Co., 4.90%, due 10/15/25
 
1,728
(m)
 
6,996
 
Electric 0.4%
   
1,405
 
Duke Energy Corp., 1.80%, due 9/1/21
 
1,354
(m)
 
Food 0.7%
   
1,615
 
Grupo Bimbo SAB de CV, 4.70%, due 11/10/47
 
1,598
(l)
   
995
 
Kroger Co., 4.45%, due 2/1/47
 
994
 
 
2,592
 
Healthcare-Products 0.7%
       
Abbott Laboratories
     
   
1,410
 
2.35%, due 11/22/19
 
1,406
(m)
   
1,060
 
4.90%, due 11/30/46
 
1,209
(m)
 
2,615
 
 
Iron - Steel 0.3%
   
935
 
Vale Overseas Ltd., 6.25%, due 8/10/26
 
1,085
 
 
Media 2.5%
       
Charter Communications Operating LLC/Charter Communications Operating Capital
     
   
1,450
 
3.58%, due 7/23/20
 
1,469
(m)
   
2,900
 
4.91%, due 7/23/25
 
3,032
(m)
   
865
 
6.48%, due 10/23/45
 
1,017
(m)
   
1,695
 
5.38%, due 5/1/47
 
1,750
 
       
Discovery Communications LLC
     
   
975
 
5.00%, due 9/20/37
 
996
(m)
   
760
 
5.20%, due 9/20/47
 
778
(m)
   
625
 
Viacom, Inc., 4.38%, due 3/15/43
 
572
 
 
9,614
 
Miscellaneous Manufacturer 1.2%
   
4,740
 
General Electric Co., Ser. D, 3 month USD LIBOR + 3.33%, (5.00%), due 12/29/49
 
4,787
(g)
 
Oil & Gas 0.9%
   
995
 
Hess Corp., 4.30%, due 4/1/27
 
1,001
(m)
   
940
 
Noble Energy, Inc., 5.05%, due 11/15/44
 
1,035
 
   
1,250
 
Petroleos Mexicanos, 6.50%, due 3/13/27
 
1,366
(l)
 
3,402
 
Pharmaceuticals 1.1%
       
AbbVie, Inc.
     
 
 
1,215
 
2.50%, due 5/14/20
 
1,211
(m)
   
1,110
 
4.70%, due 5/14/45
 
1,216
 
   
1,685
 
Shire Acquisitions Investments Ireland DAC, 1.90%, due 9/23/19
 
1,663
(m)
 
4,090
 
Pipelines 1.1%
       
Energy Transfer Partners L.P.
     
   
650
 
4.15%, due 10/1/20
 
669
 
   
745
 
6.50%, due 2/1/42
 
856
(m)
   
1,520
 
Kinder Morgan, Inc., 5.55%, due 6/1/45
 
1,677
 
   
1,115
 
MPLX L.P., 4.13%, due 3/1/27
 
1,132
 
 
4,334
 
REITS 0.6%
   
1,135
 
Corporate Office Properties L.P., 3.60%, due 5/15/23
 
1,120
(m)
   
1,195
 
EPR Properties, 4.50%, due 6/1/27
 
1,183
 
 
2,303
 
Semiconductors 0.9%
       
Broadcom Corp./Broadcom Cayman Finance Ltd.
     
   
1,425
 
2.38%, due 1/15/20
 
1,410
(l)
   
2,180
 
3.88%, due 1/15/27
 
2,122
(l)
 
3,532
 
Software 0.2%
   
865
 
Microsoft Corp., 3.70%, due 8/8/46
 
877
 
 
Telecommunications 1.9%
       
AT&T, Inc.
     
   
1,865
 
5.25%, due 3/1/37
 
1,973
(m)
   
1,155
 
4.75%, due 5/15/46
 
1,128
(m)
   
2,045
 
5.45%, due 3/1/47
 
2,185
(m)
       
Verizon Communications, Inc.
     
   
820
 
4.13%, due 8/15/46
 
767
 
   
1,300
 
4.67%, due 3/15/55
 
1,274
 
 
7,327
 
 
 
Total Corporate Bonds (Cost $85,469)
 
86,225
 
 
Asset-Backed Securities 12.4%
   
1,400
 
Aames Mortgage Investment Trust, Ser. 2006-1, Class A4, 1 month USD LIBOR + 0.56%, (2.12%), due 4/25/36
 
1,382
(g)
   
1,350
 
ACE Securities Corp. Home Equity Loan Trust, Ser. 2005-HE3, Class M3, 1 month USD LIBOR + 0.71%, (2.27%), due 5/25/35
 
1,340
(g)
   
794
 
Ally Auto Receivables Trust, Ser. 2017-3, Class A2, 1.53%, due 3/16/20
 
792
 
   
4,180
 
American Express Credit Account Master Trust, Ser. 2013-1, Class A, 1 month USD LIBOR + 0.42%, (1.98%), due 2/16/21
 
4,188
(g)
   
530
 
Ameriquest Mortgage Securities, Inc., Ser. 2005-R7, Class M2, 1 month USD LIBOR + 0.50%, (2.06%), due 9/25/35
 
532
(g)
       
Asset Backed Funding Certificates
     
   
200
 
Ser. 2003-OPT1, Class A3, 1 month USD LIBOR + 0.68%, (2.24%), due 4/25/33
 
197
(g)
   
1,124
 
Ser. 2004-OPT3, Class A4, 1 month USD LIBOR + 0.78%, (2.34%), due 11/25/33
 
1,113
(g)
   
960
 
Bank of America Credit Card Trust, Ser. 2015-A2, Class A, 1.36%, due 9/15/20
 
959
 
   
6,740
 
Capital One Multi-Asset Execution Trust, Ser. 2017-A1, Class A1, 2.00%, due 1/17/23
 
6,680
 
 
 
1,100
 
Centex Home Equity Loan Trust, Ser. 2005-D, Class M3, 1 month USD LIBOR + 0.48%, (2.04%), due 10/25/35
 
1,101
(g)
   
15
 
Chase Funding Mortgage Loan Asset-Backed Certificates, Ser. 2004-1, Class 2A2, 1 month USD LIBOR + 0.46%, (2.02%), due 12/25/33
 
15
(g)
       
Chase Issuance Trust
     
   
440
 
Ser. 2015-A5, Class A5, 1.36%, due 4/15/20
 
440
 
   
3,490
 
Ser. 2016-A2, Class A, 1.37%, due 6/15/21
 
3,449
 
       
Citibank Credit Card Issuance Trust
     
   
6,540
 
Ser. 2016-A1, Class A1, 1.75%, due 11/19/21
 
6,469
 
   
2,940
 
Ser. 2018-A1, Class A1, 2.49%, due 1/20/23
 
2,940
(n)
   
55
 
Citigroup Mortgage Loan Trust, Inc., Ser. 2006-WFH1, Class M2, 1 month USD LIBOR + 0.56%, (2.12%), due 1/25/36
 
55
(g)
       
Countrywide Asset-Backed Certificates
     
   
235
 
Ser. 2004-5, Class 1A, 1 month USD LIBOR + 0.50%, (2.06%), due 10/25/34
 
232
(g)
   
669
 
Ser. 2005-15, Class 2AV3, 1 month USD LIBOR + 0.37%, (1.93%), due 4/25/36
 
649
(g)
   
9
 
Fannie Mae Grantor Trust, Ser. 2002-T5, Class A1, 1 month USD LIBOR + 0.12%, (1.79%), due 5/25/32
 
9
(g)
   
775
 
First Franklin Mortgage Loan Trust, Ser. 2005-FF3, Class M5, 1 month USD LIBOR + 0.98%, (2.54%), due 4/25/35
 
769
(g)
   
2,022
 
Home Equity Asset Trust, Ser. 2003-5, Class A1, 1 month USD LIBOR + 0.58%, (2.14%), due 12/25/33
 
1,939
(g)
   
1,380
 
IndyMac Residential Asset-Backed Trust, Ser. 2005-D, Class AII4, 1 month USD LIBOR + 0.35%, (1.91%), due 3/25/36
 
1,376
(g)
       
Morgan Stanley ABS Capital I, Inc. Trust
     
   
547
 
Ser. 2003-HE1, Class M1, 1 month USD LIBOR + 1.20%, (2.76%), due 5/25/33
 
542
(g)
   
790
 
Ser. 2004-NC1, Class M1, 1 month USD LIBOR + 1.05%, (2.61%), due 12/27/33
 
792
(g)
       
Navient Student Loan Trust
     
   
546
 
Ser. 2016-6A, Class A1, 1 month USD LIBOR + 0.48%, (2.04%), due 3/25/66
 
547
(g)(l)
   
872
 
Ser. 2017-3A, Class A1, 1 month USD LIBOR + 0.30%, (1.86%), due 7/26/66
 
873
(g)(l)
   
516
 
Ser. 2017-1A, Class A1, 1 month USD LIBOR + 0.40%, (1.96%), due 7/26/66
 
516
(g)(l)
   
1,520
 
Ser. 2017-4A, Class A1, 1 month USD LIBOR + 0.24%, (1.80%), due 9/27/66
 
1,520
(g)(l)
   
464
 
Popular ABS Mortgage Pass-Through Trust, Ser. 2005-2, Class AV1B, 1 month USD LIBOR + 0.26%, (1.82%), due 4/25/35
 
459
(g)
   
1,350
 
Residential Asset  Securities Corp., Ser. 2005-KS12, Class M2, 1 month USD LIBOR + 0.46%, (2.02%), due 1/25/36
 
1,343
(g)
   
750
 
Residential Asset Mortgage Products, Inc., Ser. 2005-RS4, Class M3, 1 month USD LIBOR + 0.48%, (2.04%), due 4/25/35
 
744
(g)
   
9
 
Saxon Asset Securities Trust, Ser. 2004-1, Class A, 1 month USD LIBOR + 0.54%, (2.10%), due 3/25/35
 
9
(g)
   
900
 
Soundview Home Equity Loan Trust, Ser. 2005-OPT3, Class M1, 1 month USD LIBOR + 0.47%, (2.03%), due 11/25/35
 
887
(g)
   
4
 
Specialty Underwriting & Residential Finance, Ser. 2003-BC1, Class A, 1 month USD LIBOR + 0.68%, (2.24%), due 1/25/34
 
4
(g)
   
1,359
 
Toyota Auto Receivables Owner Trust, Ser. 2017-B, Class A2A, 1.46%, due 1/15/20
 
1,355
 
 
 
1,350
 
Verizon Owner Trust, Ser. 2016-2A, Class A, 1.68%, due 5/20/21
 
1,338
(l)
 
 
Total Asset-Backed Securities (Cost $46,326)
 
47,555
 
 
Foreign Government Securities 0.8%
 
EUR
1,790
 
Italy Buoni Poliennali Del Tesoro, 2.70%, due 3/1/47
 
2,080
(o)
 
$
1,100
 
Mexico Government International Bond, 3.75%, due 1/11/28
 
1,079
 
 
 
Total Foreign Government Securities (Cost $3,126)
 
3,159
 
 
Developed Markets Ex- U.S. 0.9%
Regional(province) 0.9%
   
1,800
 
Province of New Brunswick Canada, 2.75%, due 6/15/18
 
1,805
 
   
1,875
 
Province of Ontario Canada, 1.20%, due 2/14/18
 
1,875
 
 
 
Total Developed Markets Ex- U.S. (Cost $3,684)
 
3,680
 
 
NUMBER OF
SHARES 
   
       
Short-Term Investments 1.3%
 
Investment Companies 1.3%
   
4,952,767
 
State Street Institutional U.S. Government Money Market Fund Premier Class, 1.24%(p) (Cost  $4,953)
 
4,953
(m)
       
 
Total Investments 107.1% (Cost $412,907)
410,528
 
       
 
Liabilities Less Other Assets (7.1)%
(27,324)
(q)
       
 
Net Assets 100.0%
$383,204
 
 
(a)
 
Principal amount is stated in the currency in which the security is denominated.
EUR=Euro
 
(b)
 
Rate shown was the discount rate at the date of purchase.
 
(c)
 
All or a portion of the security is pledged as collateral for futures.
 
(d)
 
Index-linked bond whose principal amount adjusts according to a government retail price index.
 
(e)
 
Principal only security. This security entitles the holder to receive principal payments from an underlying pool of assets or on the security itself.
 
(f)
 
Represents less than 0.05% of net assets.
 
(g)
 
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2018 and changes periodically.
 
Benchmarks for Variable/Floating Rates:
 
LIBOR (USD)= London Interbank Offered Rate
 
(h)
 
Weighted average coupon that changes/updates periodically. Rate shown is the rate at January 31, 2018.
 
(i)
 
Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding.
 
(j)
 
When-issued security. Total value of all such securities at January 31, 2018 amounted to approximately $2,146,000, which represents 0.6% of net assets of the Fund.
 
(k)
 
TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at January 31, 2018 amounted to approximately $26,064,000, which represents 6.8% of net assets of the Fund.
 
(l)
 
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2018, these securities amounted to approximately $17,099,000, which represents 4.5% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
 
(m)
 
All or a portion of this security is segregated in connection with obligations for to be announced securities, futures and/or when-issued securities with a total value of approximately $37,113,000.
 
(n)
 
Value determined using significant unobservable inputs.
 
(o)
 
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2018 amounted to approximately $2,080,000, which represents 0.5% of net assets of the Fund.
 
(p)
 
Represents 7-day effective yield as of January 31, 2018.
 
(q)
 
Includes the impact of the Fund's open positions in derivatives at January 31, 2018.
 
 
 
See Notes to Schedule of Investments

Schedule of Investments Core Bond Fund
(Unaudited) (cont’d)
 
 
 
Derivative Instruments
 
Futures contracts ("futures")
 
At January 31, 2018, open positions in futures for the Fund were as follows:
Long Futures:
 
Expiration
Date
 
Number of
Contracts
 
Notional
Amount
 
Value and
Unrealized
Appreciation/
(Depreciation)
 
2/2018
 
123
Brazilian Real
$
3,848,055
$
(40,949)
 
3/2018
 
17
Japanese Yen
 
1,952,663
 
(6,631)
 
3/2018
 
147
Mexican Peso
 
3,919,755
 
105,246
 
3/2018
 
142
U.S. Treasury Note, 10 Year
 
17,264,094
 
(421,957)
 
3/2018
 
4
U.S. Treasury Ultra Long Bond
 
647,750
 
(17,296)
 
3/2018
 
130
U.S. Treasury Note, 5 Year
 
14,912,422
 
(245,417)
 
Total Long Positions
$  42,544,739
$
(627,004)
 
Short Futures:
               
Expiration
Date
 
Number of
Contracts
 
Notional
Amount
 
Value and
Unrealized
Appreciation/
(Depreciation)
 
3/2018
 
111
Euro-Bobl Bond
$
(17,977,578)
$
134,909
 
3/2018
 
43
Euro-Bund
 
(8,478,866)
 
61,666
 
3/2018
 
11
Euro-Buxl Bond, 30 Year
 
(2,208,891)
 
7,346
 
3/2018
 
16
Euro
 
(2,489,500)
 
(49,998)
 
3/2018
 
43
U.S. Dollar Interest Rate Swap, 10 Year
 
(4,093,063)
 
127,714
 
3/2018
 
55
U.S. Long Bond
 
(8,129,688)
 
103,640
 
3/2018
 
55
U.S. Treasury Note, Ultra 10 Year
 
(7,161,172)
 
156,702
 
3/2018
 
52
United Kingdom Long Gilt Bond
 
(9,017,862)
 
147,501
 
Total Short Positions
$  (59,556,620)
$
689,480
 
Total Futures
$
62,476
 

 At January 31, 2018, the Fund had securities pledged in the amount of $1,592,704 to cover collateral requirements on open futures.
 
 

Schedule of Investments Core Bond Fund
(Unaudited) (cont’d)
 
 
 
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2018:
 
Asset Valuation Inputs
 
(000's omitted)
 
Level 1
   
Level 2
   
Level 3(b)
   
Total
 
Investments:
       
U.S. Treasury Obligations
 
$
—
   
$
128,248
   
$
—
   
$
128,248
 
U.S. Government Agency Securities
   
—
     
8,728
     
—
     
8,728
 
Mortgage-Backed Securities(a)
   
—
     
127,980
     
—
     
127,980
 
Corporate Bonds(a)
   
—
     
86,225
     
—
     
86,225
 
Asset-Backed Securities
   
—
     
44,615
     
2,940
     
47,555
 
Foreign Government Securities
   
—
     
3,159
     
—
     
3,159
 
Developed Markets Ex- U.S.
   
—
     
3,680
     
—
     
3,680
 
Short-Term Investments
   
—
     
4,953
     
—
     
4,953
 
Total Investments
 
$
—
   
$
407,588
   
$
2,940
   
$
410,528
 
 
(a)
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
 
(b)
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
 
(000’s omitted)
 
 
 
 
Beginning
balance, as of 11/1/2017
 
 
 
 
 
Accrued
discounts/
(premiums)
 
 
 
 
 
 
Realized
gain/(loss)
 
 
 
 
Change in
unrealized
appreciation/
(depreciation)
 
 
 
 
 
 
 
Purchases
 
 
 
 
 
 
 
Sales
 
 
 
 
 
Transfers in
to Level 3
 
 
 
 
 
Transfers
out of
Level 3
 
 
 
 
 
Balance as of
1/31/2018
Net change in
unrealized
appreciation/
(depreciation) from
investments still
held as of
1/31/2018
Investments in Securities:
                   
                     
Asset-Backed Securities(c)
 
 
$—
 
 
$—
 
 
$—
 
 
$—
 
 
$2,940
 
 
$—
 
 
$—
 
 
$—
 
 
$2,940
 
 
$—
Total
$—
$—
$—
$—
$2,940
$—
$—
$—
$2,940
$—

(c) Securities  categorized as Level 3 were valued based on a single quotation obtained from a dealer.  The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs in formulating such quotation.

 As of the period ended January 31, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
 
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2018:
 
 
Other Financial Instruments
(000's omitted)
Level 1
 
Level 2
 
Level 3
 
Total
 
Futures(a)
               
Assets
 
$
844
   
$
—
   
$
—
   
$
844
 
Liabilities
   
(782
)
   
—
     
—
     
(782
)
Total
 
$
62
   
$
—
   
$
—
   
$
62
 
 
(a)
Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.
 
 

Schedule of Investments Core Plus Fund
(Unaudited) January 31, 2018
 
 
 
PRINCIPAL
AMOUNT(a)
 
VALUE†
 
(000's omitted)
 
(000's omitted)
 
 
U.S. Treasury Obligations 23.9%
 
$
100
 
U.S. Treasury Bill, 1.15%, due 5/24/18
$
100
(b)(c)
       
U.S. Treasury Inflation-Indexed Bonds
     
   
518
 
3.88%, due 4/15/29
 
696
(d)
   
145
 
0.63%, due 2/15/43
 
140
(d)
       
U.S. Treasury Notes
     
   
650
 
1.38%, due 11/30/18
 
647
 
   
585
 
1.50%, due 1/31/19 – 3/31/23
 
560
 
   
560
 
2.75%, due 2/15/24
 
564
 
 
 
Total U.S. Treasury Obligations (Cost $2,744)
 
2,707
 
 
Mortgage-Backed Securities 41.0%
 
Collateralized Mortgage Obligations 4.4%
       
Fannie Mae Connecticut Avenue Securities
     
   
55
 
Ser. 2017-C04, Class 2M2, 1 month USD LIBOR + 2.85%, (4.41%), due 11/25/29
 
58
(e)
   
100
 
Ser. 2017-C05, Class 1M2, 1 month USD LIBOR + 2.20%, (3.76%), due 1/25/30
 
101
(e)(f)
   
20
 
Ser. 2017-C06, Class 1M2, 1 month USD LIBOR + 2.65%, (4.21%), due 2/25/30
 
21
(e)
   
20
 
Ser. 2017-C06, Class 2M2, 1 month USD LIBOR + 2.80%, (4.36%), due 2/25/30
 
21
(e)
   
40
 
Ser. 2017-C07, Class 2M2, 1 month USD LIBOR + 2.50%, (4.06%), due 5/25/30
 
41
(e)
   
250
 
Freddie Mac Structured Agency Credit Risk Debt Notes, Ser. 2017-HQA2, Class M2, 1 month USD LIBOR + 2.65%, (4.21%), due 12/25/29
 
260
(e)
 
502
 
 
Fannie Mae 13.7%
       
Pass-Through Certificates
     
   
115
 
3.00%, due 11/1/45 – 9/1/46
 
113
 
   
426
 
3.50%, due 8/1/45 – 8/1/47
 
432
(g)
   
403
 
4.00%, due 7/1/46 – 12/1/47
 
416
(g)
   
260
 
3.50%, TBA, 30 Year Maturity
 
262
(h)
   
320
 
4.00%, TBA, 30 Year Maturity
 
330
(h)
 
1,553
 
Freddie Mac 22.9%
       
Pass-Through Certificates
     
   
546
 
3.00%, due 1/1/29 – 4/1/47
 
543
 
   
128
 
3.50%, due 11/1/42 – 10/1/47
 
130
(g)
   
378
 
4.00%, due 1/1/40 – 6/1/47
 
390
(g)
   
200
 
3.00%, TBA, 15 Year Maturity
 
201
(h)
   
790
 
3.50%, TBA, 30 Year Maturity
 
798
(h)
   
515
 
4.00%, TBA, 30 Year Maturity
 
532
(h)
 
2,594
 
 
 
Total Mortgage-Backed Securities (Cost $4,700)
 
4,649
 
 
Corporate Bonds 34.8%
 
Agriculture 0.5%
   
55
 
BAT Capital Corp., 4.54%, due 8/15/47
 
57
(f)(i)
 
Auto Manufacturers 2.8%
   
100
 
Ford Motor Credit Co. LLC, 3.66%, due 9/8/24
 
99
(f)
   
40
 
General Motors Co., 6.75%, due 4/1/46
 
50
(f)
   
35
 
General Motors Financial Co., Inc., 3.15%, due 6/30/22
 
35
(f)
 
EUR
100
 
Volkswagen Int'l Finance NV, 10 year EUR Swap + 3.37%, (3.88%), due 12/31/99
 
131
(e)(j)
 
315
 
Banks 9.2%
 
$
100
 
Bank of America Corp., 4.20%, due 8/26/24
 
104
(f)
   
200
 
Barclays PLC, 3.68%, due 1/10/23
 
202
(f)
   
100
 
Citigroup, Inc., 4.40%, due 6/10/25
 
104
(f)
   
50
 
Goldman Sachs Group, Inc., 4.25%, due 10/21/25
 
51
(f)
   
100
 
HSBC Holdings PLC, 5 year USD ICE Swap + 3.75%, (6.00%), due 12/31/99
 
105
(e)(f)
   
90
 
Morgan Stanley, 5.00%, due 11/24/25
 
97
(f)
   
100
 
Royal Bank of Scotland Group PLC, 3 month USD LIBOR + 1.48%, (3.50%), due 5/15/23
 
100
(e)(f)
   
200
 
UBS Group AG, 5 year USD Swap + 4.59, (6.88%), due 12/29/49
 
222
(e)(f)(j)
   
55
 
Westpac Banking Corp., 5 year USD ICE Swap + 2.89%, (5.00%), due 12/31/99
 
54
(e)(f)
 
1,039
 
Computers 2.7%
   
185
 
Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.45%, due 6/15/23
 
199
(f)(i)
   
100
 
HP Enterprise Co., 4.90%, due 10/15/25
 
105
(f)
 
304
 
Diversified Financial Services 0.9%
   
100
 
Discover Financial Services, 4.10%, due 2/9/27
 
100
(f)
 
Food 0.3%
   
30
 
Kroger Co., 4.45%, due 2/1/47
 
30
 
 
Gas 1.3%
 
GBP
100
 
Centrica PLC, 5 year GBP Swap + 3.61%, (5.25%), due 4/10/75
 
152
(e)(j)
 
Iron - Steel 0.9%
 
$
90
 
Vale Overseas Ltd., 6.25%, due 8/10/26
 
104
(f)
 
Media 4.2%
 
EUR
100
 
Bertelsmann SE & Co. KGaA, 5 year EUR Swap + 3.21%, (3.50%), due 4/23/75
 
131
(e)(j)
 
$
185
 
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.91%, due 7/23/25
 
193
(f)
       
Discovery Communications LLC
     
   
100
 
4.90%, due 3/11/26
 
106
(f)
   
25
 
5.00%, due 9/20/37
 
26
(f)
   
20
 
5.20%, due 9/20/47
 
20
(f)
 
476
 
Mining 0.9%
   
100
 
Glencore Funding LLC, 4.63%, due 4/29/24
 
105
(f)(i)
 
Miscellaneous Manufacturer 1.1%
   
130
 
General Electric Co., Ser. D, 3 month USD LIBOR + 3.33%, (5.00%), due 12/29/49
 
131
(e)(f)
 
Oil & Gas 3.4%
   
100
 
Canadian Natural Resources Ltd., 6.25%, due 3/15/38
 
126
(f)
   
100
 
Hess Corp., 4.30%, due 4/1/27
 
100
(f)
   
55
 
Noble Energy, Inc., 3.85%, due 1/15/28
 
55
(f)
   
100
 
Petroleos Mexicanos, 4.63%, due 9/21/23
 
103
(f)
 
384
 
Pipelines 3.2%
 
 
   
Energy Transfer Partners L.P.
     
   
50
 
6.50%, due 2/1/42
 
57
(f)
   
45
 
Ser. B, 3 month USD LIBOR + 4.16%, (6.63%), due 12/31/99
 
45
(e)(f)
   
100
 
Enterprise Products Operating LLC, Ser. E, 3 month USD LIBOR + 3.03%, (5.25%), due 8/16/77
 
100
(e)(f)
   
50
 
Kinder Morgan Energy Partners L.P., 5.50%, due 3/1/44
 
54
(f)
   
100
 
MPLX L.P., 4.88%, due 12/1/24
 
107
(f)
 
363
 
Semiconductors 0.5%
   
60
 
Broadcom Corp./Broadcom Cayman Finance Ltd., 3.88%, due 1/15/27
 
58
(f)(i)
 
Telecommunications 2.9%
   
150
 
AT&T, Inc., 3.90%, due 8/14/27
 
150
(f)
 
EUR
100
 
Telefonica Europe BV, 5 year EUR Swap + 2.33%, (2.63%), due 12/31/99
 
125
(e)(j)
 
$
50
 
Verizon Communications, Inc., 4.13%, due 3/16/27
 
52
(f)
 
327
 
 
 
Total Corporate Bonds (Cost $3,924)
 
3,945
 
 
Asset-Backed Securities 9.0%
   
46
 
Ally Auto Receivables Trust, Ser. 2017-3, Class A2, 1.53%, due 3/16/20
 
46
(f)
   
150
 
Capital One Multi-Asset Execution Trust, Ser. 2014-A4, Class A4, 1 month USD LIBOR + 0.36%, (1.92%), due 6/15/22
 
150
(e)(f)
   
30
 
Centex Home Equity Loan Trust, Ser. 2005-D, Class M4, 1 month USD LIBOR + 0.61%, (2.17%), due 10/25/35
 
30
(e)
       
Chase Issuance Trust
     
   
150
 
Ser. 2015-A5, Class A5, 1.36%, due 4/15/20
 
150
(f)
   
100
 
Ser. 2016-A2, Class A, 1.37%, due 6/15/21
 
99
 
       
Citibank Credit Card Issuance Trust
     
   
100
 
Ser. 2017-A3, Class A3, 1.92%, due 4/7/22
 
99
(f)
   
115
 
Ser. 2018-A1, Class A1, 2.49%, due 1/20/23
 
115
(k)
   
37
 
Countrywide Asset-Backed Certificates, Ser. 2004-BC5, Class M5, 1 month USD LIBOR + 1.50%, (3.06%), due 10/25/34
 
38
(e)
   
100
 
Morgan Stanley Home Equity Loan Trust, Ser. 2005-1, Class M4, 1 month USD LIBOR + 1.05%, (2.61%), due 12/25/34
 
99
(e)(f)
   
79
 
Navient Student Loan Trust, Ser. 2017-4A, Class A1, 1 month USD LIBOR + 0.24%, (1.80%), due 9/27/66
 
79
(e)(f)(i)
   
100
 
Verizon Owner Trust, Ser. 2016-2A, Class A, 1.68%, due 5/20/21
 
99
(f)(i)
   
17
 
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates, Ser. 2004-1, Class 2A1, 1 month USD LIBOR + 0.30%, (1.86%), due 4/25/34
 
17
(e)
 
 
Total Asset-Backed Securities (Cost $1,022)
 
1,021
 
 
Foreign Government Securities 12.2%
   
30
 
Bolivian Government International Bond, 4.50%, due 3/20/28
 
30
(i)
 
 
   
Brazilian Government International Bond
     
   
45
 
2.63%, due 1/5/23
 
43
 
   
30
 
6.00%, due 4/7/26
 
33
 
   
25
 
5.63%, due 2/21/47
 
25
 
       
Colombia Government International Bond
     
   
30
 
4.00%, due 2/26/24
 
31
 
   
20
 
3.88%, due 4/25/27
 
20
 
   
20
 
5.00%, due 6/15/45
 
21
 
       
Dominican Republic International Bond
     
   
30
 
5.88%, due 4/18/24
 
32
(i)
   
25
 
6.88%, due 1/29/26
 
28
(i)
   
20
 
6.85%, due 1/27/45
 
22
(i)
   
30
 
Guatemala Government Bond, 4.38%, due 6/5/27
 
30
(i)
   
30
 
Hungary Government International Bond, 7.63%, due 3/29/41
 
46
 
       
Indonesia Government International Bond
     
   
70
 
3.70%, due 1/8/22
 
72
(f)(i)
   
20
 
4.35%, due 1/8/27
 
21
(i)
 
EUR
50
 
Italy Buoni Poliennali Del Tesoro, 2.70%, due 3/1/47
 
58
(j)
 
$
70
 
Kazakhstan Government International Bond, 5.13%, due 7/21/25
 
78
(f)(i)
       
Mexico Government International Bond
     
   
30
 
4.15%, due 3/28/27
 
31
 
   
30
 
4.35%, due 1/15/47
 
28
 
       
Morocco Government International Bond
     
   
30
 
4.25%, due 12/11/22
 
31
(i)
   
20
 
5.50%, due 12/11/42
 
23
(i)
   
25
 
Namibia International Bond, 5.25%, due 10/29/25
 
26
(i)
       
Oman Government International Bond
     
   
30
 
3.88%, due 3/8/22
 
30
(i)
   
20
 
5.38%, due 3/8/27
 
20
(i)
   
20
 
6.50%, due 3/8/47
 
20
(i)
       
Panama Government International Bond
     
   
30
 
3.75%, due 3/16/25
 
31
 
   
20
 
3.88%, due 3/17/28
 
21
 
   
20
 
4.50%, due 5/15/47
 
21
 
   
30
 
Paraguay Government International Bond, 4.70%, due 3/27/27
 
31
(i)
       
Qatar Government International Bond
     
   
30
 
2.38%, due 6/2/21
 
29
(i)
   
20
 
3.25%, due 6/2/26
 
19
(i)
   
20
 
4.63%, due 6/2/46
 
20
(i)
       
Republic of South Africa Government International Bond
     
   
30
 
4.88%, due 4/14/26
 
31
 
   
20
 
4.30%, due 10/12/28
 
19
 
   
20
 
5.00%, due 10/12/46
 
19
 
   
25
 
Romanian Government International Bond, 6.13%, due 1/22/44
 
32
(i)
       
Saudi Government International Bond
     
   
30
 
2.38%, due 10/26/21
 
29
(i)
   
20
 
3.25%, due 10/26/26
 
19
(i)
   
20
 
4.50%, due 10/26/46
 
19
(i)
   
45
 
Serbia International Bond, 4.88%, due 2/25/20
 
46
(i)
   
50
 
Trinidad & Tobago Government International Bond, 4.50%, due 8/4/26
 
51
(i)
       
Turkey Government International Bond
     
 
 
30
 
6.25%, due 9/26/22
 
32
 
   
30
 
6.00%, due 3/25/27
 
32
 
   
20
 
5.75%, due 5/11/47
 
19
 
       
Uruguay Government International Bond
     
   
30
 
4.38%, due 10/27/27
 
32
 
   
30
 
5.10%, due 6/18/50
 
33
 
 
 
Total Foreign Government Securities (Cost $1,388)
 
1,384
 
 
 
Total Investments 120.9% (Cost $13,778)
13,706
 
       
 
Liabilities Less Other Assets (20.9)%
(2,374)
(l)
       
 
Net Assets 100.0%
$11,332
 
 
 
(a)
 
Principal amount is stated in the currency in which the security is denominated.
 
 
EUR
=
Euro
 
 
GBP
=
Pound Sterling
 
(b)
 
Rate shown was the discount rate at the date of purchase.
 
(c)
 
All or a portion of the security is pledged as collateral for futures.
 
(d)
 
Index-linked bond whose principal amount adjusts according to a government retail price index.
 
(e)
 
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2018 and changes periodically.
 
Benchmarks for Variable/Floating Rates:
 
LIBOR (USD) = London Interbank Offered Rate
   
 
(f)
 
All or a portion of this security is segregated in connection with obligations for to be announced securities and futures with a total value of approximately $4,285,000.
 
(g)
 
When-issued security. Total value of all such securities at January 31, 2018 amounted to approximately $386,000, which represents 3.4% of net assets of the Fund.
 
(h)
 
TBA (To Be Announced) Securities are purchased/sold on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total value of all such securities (excluding forward sales contracts, if any) at January 31, 2018 amounted to approximately $2,123,000, which represents 18.7% of net assets of the Fund.
 
(i)
 
Securities were purchased under Rule 144A of the 1933 Act, as amended (the “1933 Act”), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2018, these securities amounted to approximately $1,355,000, which represents 12.0% of net assets of the Fund. These securities have been deemed by the investment manager to be liquid.
 
(j)
 
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2018 amounted to approximately $819,000, which represents 7.2% of net assets of the Fund.
 
(k)
 
Value determined using significant unobservable inputs.
 
(l)
 
Includes the impact of the Fund's open positions in derivatives at January 31, 2018.
 
 

 
See Notes to Schedule of Investments

Schedule of Investments Core Plus Fund
(Unaudited) (cont’d)


Derivative Instruments
 
Futures contracts ("futures")
 
At January 31, 2018, open positions in futures for the Fund were as follows:
Long Futures:
 
Expiration Date
Number of
Contracts
Notional
Amount
   
Value and
Unrealized
Appreciation/
(Depreciation)
 
2/2018
4
Brazilian Real
 
$
125,140
   
$
(1,326
)
3/2018
4
Australian Dollar, 10 Year
   
411,254
     
474
 
3/2018
1
Japanese Yen
   
114,863
     
(390
)
3/2018
4
Mexican Peso
   
106,660
     
2,864
 
3/2018
8
U.S. Treasury Note, 10 Year
   
972,625
     
(23,772
)
Total Long Positions
$ 1,730,542    
$
(22,150
)
Short Futures:
                   
Expiration Date
Number of
Contracts
Notional
Amount
   
Value and
Unrealized
Appreciation/
(Depreciation)
 
3/2018
6
Euro-Bobl Bond
 
$
(971,761
)
 
$
6,912
 
3/2018
2
Euro-Bund
   
(394,366
)
   
3,968
 
3/2018
2
Pound Sterling
   
(177,500
)
   
(7,646
)
3/2018
3
Euro
   
(466,781
)
   
(16,193
)
3/2018
6
U.S. Treasury Note, Ultra 10 Year
   
(781,219
)
   
11,631
 
3/2018
2
United Kingdom Long Gilt Bond
   
(346,841
)
   
5,673
 
Total Short Positions
$ (3,138,468)    
$
4,345
 
Total Futures
   
$
(17,805
)

At January 31, 2018, the Fund had $18,864 deposited in a segregated account to cover margin requirements on open futures. The Fund had securities pledged in the amount of $99,544 to cover collateral requirements on open futures.
 
Credit default swap contracts ("credit default swaps")
 
At January 31, 2018, the Fund had outstanding credit default swaps as follows:
 
Centrally Cleared Credit Default Swaps — Sell Protection
 
Clearinghouse
Reference
Entity
 
Notional
Amount
 
Financing Rate
Received by
the Fund
 
Maturity
Date
 
Upfront
Payments
(Receipts)
   
Unrealized
Appreciation/
(Depreciation)
   
Accrued
Net
Interest
Receivable/
(Payable)
   
Value
 
ICE Clear
Credit LLC
CDX Emerging
Markets Index,
Ser. 27 V1.
 
$
349,200
 
1.00%(a)
 
6/20/2022
 
$
(13,767
)
 
$
13,647
   
$
2,139
   
$
2,019
 
 
(a)
Payment frequency – quarterly.
 
Interest rate swap contracts ("interest rate swaps")
                                 
 
At January 31, 2018, the Fund had outstanding centrally cleared interest rate swaps as follows:
 
Clearinghouse
 
Notional
Amount
 
Fund
Pays/
Receives
Floating
Rate
Floating Rate Index
 
Annual
Fixed-Rate
 
Maturity
Date
 
Unrealized
Appreciation/
(Depreciation)
   
Upfront
Payments
(Receipts)
   
Accrued
Net
Interest
Receivable/
(Payable)
   
Value
 
CME Group, Inc.
 
$
125,000
 
Receive
3-month USD LIBOR(a)
   
2.43%(b)
 
$12/7/2027
 
$
2,910
   
$
451
   
$
(161
)
 
$
3,200
 
 
(a)
Payment frequency – quarterly.
(b)
Payment frequency – semi-annually.
 
LIBOR (USD) =   London Interbank Offered Rate
 
At January 31, 2018, the Fund had $245,606 deposited in a segregated account to cover margin requirements for centrally cleared swaps.
 
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's investments as of January 31, 2018:
 
Asset Valuation Inputs
 
(000's omitted)
 
Level 1
     Level 2      Level 3(b)    
Total
 
Investments:
       
U.S. Treasury Obligations
 
$
—
   
$
2,707
   
$
—
   
$
2,707
 
Mortgage-Backed Securities(a)
   
—
     
4,649
     
—
     
4,649
 
Corporate Bonds(a)
   
—
     
3,945
     
—
     
3,945
 
Asset-Backed Securities
   
—
     
906
     
115
     
1,021
 
Foreign Government Securities
   
—
     
1,384
     
—
     
1,384
 
Total Investments
 
$
—
   
$
13,591
   
$
115
   
$
13,706
 
 
(a)
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.

 
(b)
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
 
 
 
 
 
(000’s omitted)
 
 
 
 
Beginning balance, as
of  11/1/2017
 
 
 
 
 
Accrued discounts/
(premiums)
 
 
 
 
 
Realized gain/
(loss)
 
 
 
 
Change in unrealized appreciation/
(depreciation)
 
 
 
 
 
 
 
Purchases
 
 
 
 
 
 
 
Sales
 
 
 
 
 
Transfers
into
Level 3
 
 
 
 
 
Transfers
out of
Level 3
 
 
 
 
 
Balance,
as of
1/31/2018
Net change in unrealized appreciation/
(depreciation) from
investments still held as of 1/31/2018
Investments in Securities:
                   
Asset-Backed Securities (c)
$115
$115
Total
$115
$115

(c) Securities categorized as Level 3 were valued based on a single quotation obtained from a dealer.  The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs in formulating such quotation.

As of the period ended January 31, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
 
The following is a summary, categorized by Level (see Note A of Notes to Financial Statements), of inputs used to value the Fund's derivatives as of January 31, 2018:
 
Other Financial Instruments
     
(000's omitted)
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Futures(a)
                     
Assets
 
$
31
   
$
—
   
$
—
   
$
31
 
Liabilities
   
(49
)
   
—
     
—
     
(49
)
Swaps
                             
Assets
   
—
     
5
     
—
     
5
 
Total
 
$
(18
)
 
$
5
   
$
—
   
$
(13
)
   
 
(a)
Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.

 
See Notes to Schedule of Investments

Schedule of Investments Emerging Markets Debt Fund
(Unaudited) January 31, 2018
 
 
 
PRINCIPAL
AMOUNT(a)
 
VALUE†
 
(000's omitted)
 
(000's omitted)
 
 
Corporate Bonds 24.7%
 
Argentina 1.4%
       
Aeropuertos Argentina 2000 SA
     
 
$
150
 
6.88%, due 2/1/27
$
160
(c)
   
200
 
6.88%, due 2/1/27
 
214
(d)
   
206
 
Generacion Mediterranea SA/Generacion Frias SA/Central Termica Roca SA, 9.63%, due 7/27/23
 
229
(c)
   
86
 
Genneia SA, 8.75%, due 1/20/22
 
94
(c)
       
Pampa Energia SA
     
   
257
 
7.38%, due 7/21/23
 
278
(c)
   
524
 
7.50%, due 1/24/27
 
572
(d)
   
234
 
Rio Energy SA/UGEN SA/UENSA SA, 6.88%, due 2/1/25
 
236
(c)(e)(f)
   
667
 
Tecpetrol SA, 4.88%, due 12/12/22
 
652
(c)
       
YPF SA
     
   
83
 
BADLARPP + 4.00%, (27.13%), due 7/7/20
 
76
(d)(g)
   
200
 
8.75%, due 4/4/24
 
227
(d)
   
200
 
8.50%, due 7/28/25
 
226
(d)
   
206
 
7.00%, due 12/15/47
 
196
(c)
 
3,160
 
Austria 0.3%
       
JBS Investments GmbH
     
   
400
 
7.75%, due 10/28/20
 
411
(d)
   
200
 
7.25%, due 4/3/24
 
200
(d)
 
611
 
Azerbaijan 0.5%
       
Southern Gas Corridor CJSC
     
   
200
 
6.88%, due 3/24/26
 
228
(d)
   
800
 
6.88%, due 3/24/26
 
915
(d)(h)
 
1,143
 
Bahrain 0.1%
   
250
 
Oil and Gas Holding Co. BSCC, 7.50%, due 10/25/27
 
257
(c)
 
Belarus 0.1%
   
200
 
Eurotorg LLC Via Bonitron DAC, 8.75%, due 10/30/22
 
207
(c)
 
Brazil 3.1%
       
Banco do Brasil SA
     
   
284
 
4.63%, due 1/15/25
 
279
(c)
   
200
 
10 year CMT + 6.36%, (9.00%), due 6/29/49
 
216
(d)(g)
   
980
 
CSN Resources SA, 6.50%, due 7/21/20
 
948
(d)(h)
   
379
 
Gol Finance, Inc., 7.00%, due 1/31/25
 
379
(c)
   
200
 
GTL Trade Finance, Inc./Gerdau Holdings, Inc., 5.89%, due 4/29/24
 
217
(d)
   
276
 
MARB BondCo PLC, 6.88%, due 1/19/25
 
272
(c)
   
850
 
Marfrig Holdings Europe BV, 8.00%, due 6/8/23
 
889
(d)(h)
       
Minerva Luxembourg SA
     
   
200
 
6.50%, due 9/20/26
 
201
(d)(h)
   
254
 
6.50%, due 9/20/26
 
256
(c)
       
Petrobras Global Finance BV
     
   
616
 
7.38%, due 1/17/27
 
683
 
   
686
 
6.00%, due 1/27/28
 
693
(c)
   
200
 
6.88%, due 1/20/40
 
206
 
   
267
 
Rede D'or Finance Sarl, 4.95%, due 1/17/28
 
264
(c)
   
200
 
Rumo Luxembourg Sarl, 7.38%, due 2/9/24
 
218
(c)
   
200
 
Suzano Austria GmbH, 7.00%, due 3/16/47
 
232
(c)
 
 
   
Vale Overseas Ltd.
     
   
117
 
8.25%, due 1/17/34
 
157
 
   
150
 
6.88%, due 11/21/36
 
189
 
   
400
 
VM Holding SA Co., 5.38%, due 5/4/27
 
424
(d)
   
200
 
Votorantim Cimentos SA, 7.25%, due 4/5/41
 
221
(d)
 
6,944
 
Canada 0.0%(i)
   
20
 
Nexen, Inc., 5.88%, due 3/10/35
 
24
 
 
Chile 0.8%
   
422
 
Banco de Credito e Inversiones, 3.50%, due 10/12/27
 
407
(c)
   
200
 
Celulosa Arauco y Constitucion SA, 5.50%, due 11/2/47
 
210
(c)
   
390
 
Cencosud SA, 4.38%, due 7/17/27
 
384
(c)
   
200
 
Colbun SA, 3.95%, due 10/11/27
 
198
(c)
   
200
 
Empresa Electrica Guacolda SA, 4.56%, due 4/30/25
 
192
(d)
   
389
 
Geopark Ltd., 6.50%, due 9/21/24
 
402
(c)
 
1,793
 
China 2.9%
   
212
 
Alibaba Group Holding Ltd., 4.20%, due 12/6/47
 
213
 
   
300
 
Bluestar Finance Holdings Ltd., 3.50%, due 9/30/21
 
297
(d)
   
200
 
Chalieco Hong Kong Corp. Ltd., 3 year CMT + 8.29%, (5.70%), due 12/29/49
 
204
(d)(g)
       
China Evergrande Group
     
   
400
 
8.25%, due 3/23/22
 
420
(d)
   
200
 
8.75%, due 6/28/25
 
206
(d)
   
416
 
China Minmetals Corp., 5 year CMT + 4.72%, (3.75%), due 12/31/99
 
405
(d)(g)
   
200
 
China Overseas Finance Cayman VI Ltd., 6.45%, due 6/11/34
 
243
(d)
   
400
 
China Reinsurance Finance Corp. Ltd., 3.38%, due 3/9/22
 
389
(d)
   
300
 
China SCE Property Holdings Ltd., 5.88%, due 3/10/22
 
288
(d)
   
200
 
CNOOC Finance 2015 USA LLC, 3.50%, due 5/5/25
 
198
 
   
200
 
CNRC Capitale Ltd., 5 year CMT + 6.08%, (3.90%), due 12/31/99
 
196
(d)(g)
   
200
 
Country Garden Holdings Co. Ltd., 4.75%, due 7/25/22
 
200
(d)
   
300
 
Franshion Brilliant Ltd., 5 year USD Swap + 3.86%, (5.75%), due 12/29/49
 
304
(d)(g)
   
200
 
Golden Eagle Retail Group Ltd., 4.63%, due 5/21/23
 
187
(d)
   
200
 
Health and Happiness H&H International Holdings Ltd., 7.25%, due 6/21/21
 
208
(d)
   
200
 
Huarong Finance 2017 Co. Ltd., 5 year CMT + 6.98%, (4.00%), due 12/31/99
 
197
(d)(g)
   
200
 
Huarong Finance II Co. Ltd., 4.25%, due 11/7/27
 
193
(d)
   
250
 
Industrial & Commercial Bank of China Ltd., 3.54%, due 11/8/27
 
243
 
   
200
 
Longfor Properties Co. Ltd., 3.88%, due 7/13/22
 
198
(d)
   
400
 
Proven Honour Capital Ltd., 4.13%, due 5/19/25
 
402
(d)
   
300
 
Shui On Development Holding Ltd., 5 year CMT + 7.63%, (6.40%), due 12/31/99
 
306
(d)(g)
   
312
 
Sinopec Group Overseas Development 2017 Ltd., 3.25%, due 9/13/27
 
298
(c)
   
300
 
Sunac China Holdings Ltd., 6.88%, due 8/8/20
 
301
(d)
   
200
 
Weichai International Hong Kong Energy Group Co. Ltd., 5 year CMT + 6.08%, (3.75%), due 12/31/99
 
195
(d)(g)
   
200
 
Wisdom Glory Group Ltd., 3 year CMT + 8.67%, (5.25%), due 12/31/99
 
200
(d)(g)
 
6,491
 
Colombia 1.4%
   
200
 
Banco de Bogota SA, 5.38%, due 2/19/23
 
211
(d)
   
304
 
Bancolombia SA, 5 year CMT + 2.93%, (4.88%), due 10/18/27
 
302
(g)
       
Ecopetrol SA
     
   
300
 
7.38%, due 9/18/43
 
371
 
   
200
 
5.88%, due 5/28/45
 
211
 
       
Empresas Publicas de Medellin ESP
     
 
COP
1,278,000
 
8.38%, due 2/1/21
 
465
(d)(h)
 
COP
807,000
 
7.63%, due 9/10/24
 
289
(c)
 
COP
1,600,000
 
8.38%, due 11/8/27
 
584
(c)
 
COP
437,000
 
Financiera de Desarrollo Territorial SA Findeter, 7.88%, due 8/12/24
 
157
(c)
 
$
389
 
Millicom Int'l Cellular SA, 5.13%, due 1/15/28
 
393
(c)
   
100
 
SUAM Finance B.V., 4.88%, due 4/17/24
 
106
(d)
 
3,089
 
Ghana 0.1%
 
 
200
 
Tullow Oil PLC, 6.25%, due 4/15/22
 
205
(d)
 
Guatemala 0.4%
   
200
 
Cementos Progreso Trust, 7.13%, due 11/6/23
 
211
(c)
   
250
 
Central American Bottling Corp., 5.75%, due 1/31/27
 
262
(c)
   
500
 
Comunicaciones Celulares SA via Comcel Trust, 6.88%, due 2/6/24
 
527
(d)
 
1,000
 
Hong Kong 1.5%
   
250
 
Bank of East Asia Ltd, 5 year CMT + 3.83%, (5.50%), due 12/29/49
 
254
(d)(g)
   
200
 
CLP Power HK Finance Ltd., 6 month USD LIBOR + 2.30%, (4.25%), due 5/29/49
 
202
(d)(g)
   
500
 
Fita Int'l Ltd., 7.00%, due 2/10/20
 
533
 
   
200
 
HLP Finance Ltd., 4.45%, due 4/16/21
 
206
(d)
   
400
 
Melco Resorts Finance Ltd., 4.88%, due 6/6/25
 
400
(c)
   
200
 
NWD Finance BVI Ltd., 5.75%, due 12/29/49
 
195
(d)
   
300
 
PCPD Capital Ltd., 4.75%, due 3/9/22
 
303
(d)
   
850
 
Studio City Co. Ltd., 7.25%, due 11/30/21
 
897
(d)
       
WTT Investment Ltd.
     
   
200
 
5.50%, due 11/21/22
 
202
(c)
   
200
 
5.50%, due 11/21/22
 
202
(d)
 
3,394
 
India 1.7%
       
ABJA Investment Co. Pte Ltd.
     
   
200
 
5.95%, due 7/31/24
 
210
(d)
   
200
 
5.45%, due 1/24/28
 
196
(d)
   
200
 
Azure Power Energy Ltd., 5.50%, due 11/3/22
 
201
(c)
   
500
 
Bharti Airtel Int'l Netherlands BV, 5.13%, due 3/11/23
 
524
(d)(h)
   
212
 
Greenko Dutch BV, 4.88%, due 7/24/22
 
211
(c)
   
400
 
IDBI Bank Ltd./DIFC Dubai, 4.25%, due 11/30/20
 
404
(d)
       
JSW Steel Ltd.
     
   
200
 
4.75%, due 11/12/19
 
202
(d)
   
400
 
5.25%, due 4/13/22
 
407
(d)
   
200
 
Jubilant Pharma Ltd., 4.88%, due 10/6/21
 
199
(d)
   
250
 
Reliance Industries Ltd., 4.88%, due 2/10/45
 
269
(c)
       
Vedanta Resources PLC
     
   
200
 
6.38%, due 7/30/22
 
208
(c)
   
200
 
6.38%, due 7/30/22
 
208
(d)
   
200
 
7.13%, due 5/31/23
 
214
(d)
   
323
 
Yes Bank Ifsc Banking Unit Branch, 3.75%, due 2/6/23
 
322
(d)(f)
 
3,775
 
Indonesia 0.7%
   
400
 
Indika Energy Capital III Pte Ltd., 5.88%, due 11/9/24
 
399
(d)
   
200
 
Indo Energy Finance II BV, 6.38%, due 1/24/23
 
204
(d)(h)
   
200
 
Minejesa Capital BV, 5.63%, due 8/10/37
 
210
(c)
   
350
 
Pertamina Persero PT, 5.63%, due 5/20/43
 
377
(c)
   
450
 
Perusahaan Gas Negara Persero Tbk, 5.13%, due 5/16/24
 
481
(d)
 
1,671
 
Israel 0.3%
   
200
 
Israel Electric Corp. Ltd., 5.00%, due 11/12/24
 
215
(c)(d)
       
Teva Pharmaceutical Finance Netherlands III BV
     
   
200
 
2.80%, due 7/21/23
 
177
 
   
400
 
3.15%, due 10/1/26
 
334
 
 
726
 
Jamaica 0.5%
       
Digicel Group Ltd.
     
   
600
 
8.25%, due 9/30/20
 
595
(d)
   
300
 
7.13%, due 4/1/22
 
283
(d)
   
300
 
Digicel Ltd., 6.00%, due 4/15/21
 
297
(d)
 
1,175
 
Kazakhstan 1.1%
 
 
200
 
Halyk Savings Bank of Kazakhstan JSC, 7.25%, due 1/28/21
 
220
(d)
   
450
 
Kazkommertsbank JSC, 5.50%, due 12/21/22
 
450
(d)
       
KazMunayGas National Co. JSC
     
   
600
 
7.00%, due 5/5/20
 
644
(c)
   
560
 
5.75%, due 4/19/47
 
597
(d)
   
200
 
5.75%, due 4/19/47
 
213
(c)
   
250
 
Nostrum Oil & Gas Finance BV, 8.00%, due 7/25/22
 
264
(c)
 
2,388
 
Korea 0.3%
   
200
 
Shinhan Bank Co. Ltd., 3.88%, due 3/24/26
 
198
(c)
       
Woori Bank
     
   
200
 
4.75%, due 4/30/24
 
208
(c)
   
200
 
5 year CMT  + 3.31%, (4.50%), due 12/29/49
 
199
(c)(g)
 
605
 
Kuwait 0.2%
   
200
 
Kuwait Projects Co. SPC Ltd., 4.50%, due 2/23/27
 
200
(d)
   
200
 
NBK Tier 1 Financing Ltd., 6 year USD Swap + 4.12%, (5.75%), due 12/29/49
 
205
(d)(g)
 
405
 
Macau 0.1%
   
200
 
Wynn Macau Ltd., 4.88%, due 10/1/24
 
198
(c)
 
Mauritius 0.1%
   
318
 
Liquid Telecommunications Financing PLC, 8.50%, due 7/13/22
 
340
(c)
 
Mexico 2.9%
   
200
 
Alfa SAB de CV, 6.88%, due 3/25/44
 
215
(d)
   
300
 
Banco Inbursa SA Institucion de Banca Multiple, 4.38%, due 4/11/27
 
299
(d)
   
200
 
Banco Mercantil del Norte SA, 10 year CMT  + 5.35%, (7.63%), due 12/31/99
 
222
(d)(g)
   
200
 
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santander, 5 year CMT  + 4.58%, (5.95%), due 1/30/24
 
206
(d)(g)
   
220
 
BBVA Bancomer SA, 5 year CMT + 2.65%, (5.13%), due 1/18/33
 
218
(c)(g)
 
MXN
6,480
 
Comision Federal de Electricidad, Ser. 14-2, 7.35%, due 11/25/25
 
317
 
 
$
203
 
Cydsa SAB de CV, 6.25%, due 10/4/27
 
205
(c)
   
300
 
Elementia SAB de CV, 5.50%, due 1/15/25
 
306
(d)
   
200
 
Infraestructura Energetica Nova SAB de CV, 4.88%, due 1/14/48
 
192
(c)
   
200
 
Mexichem SAB de CV, 5.88%, due 9/17/44
 
205
(d)
   
409
 
Mexico City Airport Trust, 5.50%, due 7/31/47
 
396
(c)
       
Petroleos Mexicanos
     
 
MXN
$13,180
 
7.19%, due 9/12/24
 
634
(d)
 
$
41
 
6.88%, due 8/4/26
 
46
 
 
MXN
25,543
 
Ser. 14-2, 7.47%, due 11/12/26
 
1,201
 
 
$
250
 
6.50%, due 3/13/27
 
273
(d)
   
750
 
6.50%, due 6/2/41
 
775
 
   
130
 
5.50%, due 6/27/44
 
119
 
   
92
 
6.75%, due 9/21/47
 
96
(c)
   
500
 
PLA Administradora Industrial S de RL de CV, 5.25%, due 11/10/22
 
521
(d)
 
6,446
 
Nigeria 0.1%
   
200
 
Zenith Bank PLC, 7.38%, due 5/30/22
 
211
(d)
 
Panama 0.1%
   
200
 
C&W Senior Financing Designated Activity Co., 6.88%, due 9/15/27
 
211
(c)
 
Peru 0.9%
   
199
 
Abengoa Transmision Sur SA, 6.88%, due 4/30/43
 
220
(c)
   
100
 
BBVA Banco Continental SA, 5 year CMT  + 2.75%, (5.25%), due 9/22/29
 
108
(d)(g)
   
225
 
Fenix Power Peru SA, 4.32%, due 9/20/27
 
224
(c)
 
PEN
843
 
Fondo MIVIVIENDA SA, 7.00%, due 2/14/24
 
281
(c)
 
$
205
 
Inkia Energy Ltd., 5.88%, due 11/9/27
 
206
(c)
   
200
 
Orazul Energy Egenor S en C por A, 5.63%, due 4/28/27
 
197
(c)
 
 
200
 
Petroleos del Peru SA, 4.75%, due 6/19/32
 
204
(c)
   
250
 
Southern Copper Corp., 6.75%, due 4/16/40
 
330
 
   
200
 
Volcan Cia Minera SAA, 5.38%, due 2/2/22
 
209
(d)
 
1,979
 
Qatar 0.1%
   
100
 
Nakilat, Inc., 6.07%, due 12/31/33
 
114
(d)
 
Russia 0.6%
   
319
 
Credit Bank of Moscow Via CBOM Finance PLC, 5.88%, due 11/7/21
 
333
(c)
   
200
 
Petropavlovsk 2016 Ltd., 8.13%, due 11/14/22
 
198
(c)
   
200
 
Sberbank of Russia Via SB Capital SA, 5.13%, due 10/29/22
 
207
(d)
   
205
 
SCF Capital Ltd., 5.38%, due 6/16/23
 
211
(c)
   
300
 
Vnesheconombank Via VEB Finance PLC, 6.80%, due 11/22/25
 
343
(d)
 
1,292
 
Singapore 0.2%
   
200
 
Oversea-Chinese Banking Corp. Ltd., 4.25%, due 6/19/24
 
205
(d)
   
250
 
Parkway Pantai Ltd., 5 year CMT  + 4.43%, (4.25%), due 12/31/99
 
250
(d)(g)
 
455
 
South Africa 0.5%
   
400
 
Eskom Holdings SOC Ltd., 7.13%, due 2/11/25
 
420
(c)
   
400
 
Gold Fields Orogen Holdings BVI Ltd., 4.88%, due 10/7/20
 
410
(d)
   
280
 
Stillwater Mining Co., 7.13%, due 6/27/25
 
295
(c)
 
1,125
 
Supranational 0.1%
   
205
 
Banque Ouest Africaine de Developpement, 5.00%, due 7/27/27
 
212
(c)
 
Thailand 0.3%
   
200
 
Krung Thai Bank PCL, 5 year CMT  + 3.54%, (5.20%), due 12/26/24
 
205
(d)(g)
   
200
 
PTT PCL, 4.50%, due 10/25/42
 
202
(d)
   
200
 
Thai Oil PCL, 3.63%, due 1/23/23
 
201
(d)
 
608
 
Turkey 0.7%
   
200
 
Akbank TAS, 5.13%, due 3/31/25
 
196
(c)
   
200
 
Finansbank AS, 4.88%, due 5/19/22
 
196
(d)
       
TC Ziraat Bankasi AS
     
   
200
 
4.25%, due 7/3/19
 
200
(d)
   
200
 
5.13%, due 5/3/22
 
200
(c)
   
200
 
5.13%, due 9/29/23
 
197
(c)
   
300
 
Turkiye Garanti Bankasi AS, 5 year USD Swap + 4.22%, (6.13%), due 5/24/27
 
300
(c)(g)
   
200
 
Yapi ve Kredi Bankasi AS, 5.85%, due 6/21/24
 
200
(c)
 
1,489
 
United Arab Emirates 0.2%
       
Abu Dhabi Crude Oil Pipeline LLC
     
   
285
 
3.65%, due 11/2/29
 
278
(c)
   
283
 
4.60%, due 11/2/47
 
285
(c)
 
563
 
Venezuela 0.4%
       
Petroleos de Venezuela SA
     
   
748
 
6.00%, due 5/16/24
 
176
(d)(j)
   
1,631
 
6.00%, due 11/15/26
 
379
(d)(j)
   
650
 
5.38%, due 4/12/27
 
154
(d)(j)
   
785
 
5.38%, due 4/12/27
 
186
(d)(j)
 
895
 
 
 
Total Corporate Bonds (Cost $55,084)
 
55,201
 
 
Foreign Government Securities 63.3%
 
Argentina 3.5%
 
ARS
1,471
 
Argentina Bonar Bonds, BADLARPP + 2.00%, (24.90%), due 4/3/22
 
81
(g)
 
ARS
1,500
 
Argentina Treasury Bond BONCER, 2.50%, due 7/22/21
 
101
 
 
$
313
 
Argentine Bonad Bonds, 2.40%, due 3/18/18
 
313
 
       
Argentine Bonos del Tesoro
     
 
ARS
699
 
22.75%, due 3/5/18
 
39
 
 
ARS
10,656
 
21.20%, due 9/19/18
 
583
 
 
ARS
5,210
 
18.20%, due 10/3/21
 
279
 
       
Argentine Republic Government International Bond
     
 
$
238
 
5.88%, due 1/11/28
 
232
 
 
EUR
1,971
 
7.82%, due 12/31/33
 
2,839
(h)
 
EUR
2,254
 
2.26%, due 12/31/38
 
2,019
(k)(h)
 
EUR
256
 
2.26%, due 12/31/38
 
226
(k)
 
$
317
 
6.88%, due 1/11/48
 
307
 
 
ARS
11,983
 
City of Buenos Aires Argentina, BADLARPP + 3.25%, (26.16%), due 3/29/24
 
612
(g)
 
EUR
108
 
Provincia de Buenos Aires, 5.38%, due 1/20/23
 
142
(c)
 
7,773
 
Azerbaijan 1.0%
       
State Oil Co. of the Azerbaijan Republic
     
 
$
1,400
 
4.75%, due 3/13/23
 
1,432
(d)(h)
   
200
 
6.95%, due 3/18/30
 
230
(d)
   
560
 
6.95%, due 3/18/30
 
645
(d)
 
2,307
 
Bahrain 0.1%
   
283
 
Bahrain Government International Bond, 6.75%, due 9/20/29
 
280
(d)
 
Belize 0.1%
   
311
 
Belize Government International Bond, 4.94%, due 2/20/34
 
185
(d)
 
Bermuda 0.3%
       
Bermuda Government International Bond
     
   
400
 
4.85%, due 2/6/24
 
429
(d)
   
200
 
3.72%, due 1/25/27
 
200
(d)
 
629
 
Brazil 3.4%
 
BRL
1,425
 
Brazil Letras do Tesouro Nacional, 12.38% - 15.19%, due 1/1/19
 
421
(b)
 
$
600
 
Brazil Minas SPE via State of Minas Gerais, 5.33%, due 2/15/28
 
609
(d)
       
Brazil Notas do Tesouro Nacional
     
 
BRL
8,229
 
Ser. F, 10.00%, due 1/1/21
 
2,670
(h)
 
BRL
9,326
 
Ser. F, 10.00%, due 1/1/23
 
3,012
(h)
 
BRL
840
 
Ser. F, 10.00%, due 1/1/27
 
268
 
       
Brazilian Government International Bond
     
 
$
270
 
5.63%, due 1/7/41
 
272
 
   
370
 
5.00%, due 1/27/45
 
343
 
 
7,595
 
Chile 0.3%
       
Bonos de la Tesoreria de la Republica en pesos
     
 
CLP
205,000
 
5.00%, due 3/1/35
 
345
 
 
CLP
220,000
 
6.00%, due 1/1/43
 
405
 
 
750
 
Colombia 2.0%
       
Colombia Government International Bond
     
 
COP
423,000
 
4.38%, due 3/21/23
 
141
 
 
COP
921,000
 
9.85%, due 6/28/27
 
406
 
 
$
330
 
6.13%, due 1/18/41
 
397
 
   
310
 
5.63%, due 2/26/44
 
354
 
   
860
 
5.00%, due 6/15/45
 
905
 
       
Colombian TES
     
 
COP
1,850,900
 
Ser. B, 7.00%, due 5/4/22
 
682
(h)
 
COP
1,923,200
 
Ser. B, 10.00%, due 7/24/24
 
818
 
 
COP
799,700
 
Ser. B, 6.00%, due 4/28/28
 
271
 
 
COP
1,579,200
 
Ser. B, 7.75%, due 9/18/30
 
607
 
 
4,581
 
Costa Rica 0.2%
 
$
520
 
Costa Rica Government International Bond, 7.00%, due 4/4/44
 
545
(d)
 
Cote D'Ivoire 0.7%
       
Ivory Coast Government International Bond
     
 
EUR
172
 
5.13%, due 6/15/25
 
232
(d)
 
$
1,460
 
5.75%, due 12/31/32
 
1,440
(d)(h)
 
1,672
 
Croatia 1.0%
       
Croatia Government International Bond
     
 
EUR
795
 
3.00%, due 3/11/25
 
1,068
(d)
 
EUR
360
 
3.00%, due 3/20/27
 
481
(d)
 
EUR
488
 
2.75%, due 1/27/30
 
616
(d)
 
2,165
 
Dominican Republic 0.0%(i)
 
$
100
 
Dominican Republic International Bond, 6.85%, due 1/27/45
 
111
(d)
 
Ecuador 0.3%
       
Ecuador Government International Bond
     
   
300
 
7.95%, due 6/20/24
 
317
(d)
   
200
 
9.63%, due 6/2/27
 
227
(d)
   
200
 
8.88%, due 10/23/27
 
218
(d)
 
762
 
Egypt 1.2%
   
800
 
Egypt Government International Bond, 8.50%, due 1/31/47
 
916
(d)
       
Egypt Treasury Bill
     
 
EGP
3,600
 
Ser. 364D, 19.65%, due 2/6/18
 
204
(b)
 
EGP
13,000
 
Ser. 273D, 18.40%, due 5/22/18
 
699
(b)
 
EGP
10,000
 
Ser. 364D, 21.50%, due 7/10/18
 
526
(b)
 
EGP
5,500
 
Ser. 364D, 17.80%, due 10/2/18
 
280
(b)
 
2,625
 
El Salvador 0.5%
       
El Salvador Government International Bond
     
 
$
447
 
6.38%, due 1/18/27
 
457
(d)
   
67
 
8.63%, due 2/28/29
 
79
(d)
   
100
 
7.65%, due 6/15/35
 
110
(d)
   
450
 
7.63%, due 2/1/41
 
494
(d)
 
1,140
 
Ghana 0.7%
       
Ghana Government Bond
     
 
GHS
388
 
24.50%, due 4/22/19
 
94
 
 
GHS
194
 
24.00%, due 9/9/19
 
48
 
 
GHS
2,066
 
24.75%, due 7/19/21
 
567
 
 
$
600
 
Ghana Government International Bond, 10.75%, due 10/14/30
 
818
(d)
 
1,527
 
Hungary 1.7%
       
Hungary Government Bond
     
 
HUF
196,700
 
1.75%, due 10/26/22
 
803
 
 
HUF
439,620
 
3.00%, due 6/26/24
 
1,903
(h)
 
HUF
106,880
 
3.00%, due 10/27/27
 
450
 
 
$
460
 
Hungary Government International Bond, 7.63%, due 3/29/41
 
700
 
 
3,856
 
Indonesia 5.6%
       
Indonesia Government International Bond
     
 
EUR
990
 
3.75%, due 6/14/28
 
1,433
(d)(h)
 
$
550
 
8.50%, due 10/12/35
 
808
(d)
       
Indonesia Treasury Bond
     
 
IDR
3,500,000
 
7.88%, due 4/15/19
 
270
 
 
IDR
11,609,000
 
7.00%, due 5/15/22
 
911
(h)
 
IDR
18,175,000
 
8.38%, due 3/15/24
 
1,539
(h)
 
IDR
30,500,000
 
7.00%, due 5/15/27
 
2,381
(h)
 
IDR
9,975,000
 
9.00%, due 3/15/29
 
891
 
 
IDR
11,204,000
 
8.75%, due 5/15/31
 
969
(h)
 
IDR
3,500,000
 
7.50%, due 8/15/32
 
278
 
 
IDR
11,044,000
 
8.38%, due 3/15/34
 
935
(h)
 
IDR
12,683,000
 
8.25%, due 5/15/36
 
1,080
(h)
 
IDR
12,000,000
 
7.50%, due 5/15/38
 
950
 
 
12,445
 
Jamaica 0.1%
 
$
200
 
Jamaica Government International Bond, 6.75%, due 4/28/28
 
229
 
 
Jordan 0.1%
   
200
 
Jordan Government International Bond, 7.38%, due 10/10/47
 
216
(d)
 
Lebanon 0.2%
       
Lebanon Government International Bond
     
   
87
 
6.85%, due 3/23/27
 
86
(d)
   
281
 
6.65%, due 2/26/30
 
266
(d)
 
352
 
Malaysia 4.0%
   
1,000
 
1MDB Global Investments Ltd., 4.40%, due 3/9/23
 
974
(d)(h)
       
Malaysia Government Bond
     
 
MYR
6,800
 
3.26%, due 3/1/18
 
1,745
 
 
MYR
1,000
 
3.58%, due 9/28/18
 
257
 
 
MYR
6,399
 
3.49%, due 3/31/20
 
1,646
(h)
 
MYR
400
 
4.05%, due 9/30/21
 
104
 
 
MYR
500
 
3.80%, due 9/30/22
 
128
 
 
MYR
5,500
 
3.80%, due 8/17/23
 
1,405
(h)
 
MYR
2,300
 
4.18%, due 7/15/24
 
599
 
 
MYR
2,300
 
4.06%, due 9/30/24
 
594
 
 
MYR
1,500
 
3.96%, due 9/15/25
 
383
 
 
MYR
1,835
 
4.23%, due 6/30/31
 
459
 
 
MYR
350
 
4.94%, due 9/30/43
 
91
 
 
MYR
2,000
 
Malaysia Government Investment Issue, 4.07%, due 9/30/26
 
506
 
 
8,891
 
Mexico 3.8%
       
Mexican Bonos
     
 
MXN
44,019
 
Ser. M, 6.50%, due 6/9/22
 
2,276
(h)
 
MXN
33,190
 
Ser. M20, 10.00%, due 12/5/24
 
2,019
(h)
 
MXN
21,255
 
Ser. M20, 7.50%, due 6/3/27
 
1,132
 
 
MXN
8,388
 
Ser. M20, 8.50%, due 5/31/29
 
479
 
 
MXN
1,278
 
Ser. M20, 8.50%, due 5/31/29
 
73
 
 
MXN
3,473
 
Ser. M, 7.75%, due 5/29/31
 
187
 
 
MXN
3,634
 
Ser. M30, 8.50%, due 11/18/38
 
210
 
 
MXN
23,200
 
Ser. M, 7.75%, due 11/13/42
 
1,239
 
 
$
940
 
Mexico Government International Bond, 5.75%, due 10/12/10
 
985
 
 
8,600
 
Mongolia 0.3%
 
 
   
Mongolia Government International Bond
     
   
400
 
10.88%, due 4/6/21
 
473
(d)
   
200
 
8.75%, due 3/9/24
 
231
(d)
   
42
 
8.75%, due 3/9/24
 
49
(d)
 
753
 
Morocco 0.4%
 
EUR
570
 
Morocco Government International Bond, 3.50%, due 6/19/24
 
795
(d)
 
Nigeria 1.3%
       
Nigeria Government International Bond
     
 
$
530
 
5.63%, due 6/27/22
 
550
 
   
200
 
6.50%, due 11/28/27
 
208
(d)
   
600
 
7.88%, due 2/16/32
 
677
(d)
       
Nigeria Treasury Bill
     
 
NGN
135,981
 
Ser. 364D, 18.32%, due 4/5/18
 
367
(b)
 
NGN
230,000
 
Ser. 364D, 18.30%, due 8/2/18
 
594
(b)(l)
 
NGN
82,500
 
Ser. 364D, 14.10%, due 8/30/18
 
209
(b)
 
NGN
86,500
 
Ser. 364D, 14.05%, due 9/13/18
 
219
(b)
 
2,824
 
Oman 0.6%
       
Oman Government International Bond
     
 
$
430
 
5.63%, due 1/17/28
 
434
(d)
   
352
 
6.50%, due 3/8/47
 
351
(d)
   
615
 
6.75%, due 1/17/48
 
627
(d)
 
1,412
 
Peru 2.1%
 
PEN
1,347
 
Peru Government Bond, 6.15%, due 8/12/32
 
464
(d)
       
Peruvian Government International Bond
     
 
PEN
1,641
 
5.70%, due 8/12/24
 
564
(c)
 
PEN
1,156
 
5.70%, due 8/12/24
 
397
(d)
 
PEN
2,308
 
8.20%, due 8/12/26
 
910
(d)
 
PEN
622
 
6.35%, due 8/12/28
 
220
(c)
 
PEN
1,313
 
6.35%, due 8/12/28
 
464
(d)
 
EUR
994
 
3.75%, due 3/1/30
 
1,491
(h)
 
PEN
371
 
6.95%, due 8/12/31
 
137
(d)
 
4,647
 
Philippines 0.1%
 
PHP
12,000
 
Philippine Government International Bond, 3.90%, due 11/26/22
 
233
 
 
Poland 3.4%
       
Poland Government Bond
     
 
PLN
4,850
 
1.75%, due 7/25/21
 
1,423
(h)
 
PLN
1,861
 
5.75%, due 9/23/22
 
631
 
 
PLN
3,272
 
3.25%, due 7/25/25
 
981
 
 
PLN
1,100
 
2.50%, due 7/25/26
 
308
 
 
PLN
14,255
 
2.50%, due 7/25/27
 
3,937
(h)
 
PLN
1,000
 
2.75%, due 4/25/28
 
279
 
 
7,559
 
 
Romania 0.2%
 
EUR
260
 
Romanian Government International Bond, 3.88%, due 10/29/35
 
352
(d)
 
Russia 5.3%
       
Russian Federal Bond - OFZ
     
 
RUB
118,964
 
6.70%, due 5/15/19
 
2,116
(h)
 
RUB
61,234
 
6.80%, due 12/11/19
 
1,091
(h)
 
RUB
12,342
 
7.60%, due 7/20/22
 
226
 
 
RUB
43,851
 
7.00%, due 1/25/23
 
787
 
 
RUB
269,803
 
7.75%, due 9/16/26
 
5,018
(h)
 
RUB
108,650
 
7.70%, due 3/23/33
 
1,987
(h)
 
$
600
 
Russian Foreign Bond - Eurobond, 5.25%, due 6/23/47
 
631
(d)
 
11,856
 
Serbia 0.6%
       
Serbia International Bond
     
 
 
175
 
4.88%, due 2/25/20
 
181
(d)
   
500
 
4.88%, due 2/25/20
 
516
(d)
   
470
 
7.25%, due 9/28/21
 
531
(d)
   
200
 
7.25%, due 9/28/21
 
226
(d)
 
1,454
 
South Africa 5.9%
       
Republic of South Africa Government Bond
     
 
ZAR
1,728
 
7.75%, due 2/28/23
 
146
 
 
ZAR
1,040
 
10.50%, due 12/21/26
 
99
 
 
ZAR
45,150
 
10.50%, due 12/21/26
 
4,292
(h)
 
ZAR
26,888
 
8.00%, due 1/31/30
 
2,112
(h)
 
ZAR
1,864
 
8.50%, due 1/31/37
 
144
 
 
ZAR
19,312
 
9.00%, due 1/31/40
 
1,543
(h)
 
ZAR
23,970
 
8.75%, due 1/31/44
 
1,860
(h)
 
ZAR
25,902
 
8.75%, due 2/28/48
 
2,015
(h)
       
Republic of South Africa Government International Bond
     
 
$
207
 
4.30%, due 10/12/28
 
199
 
   
673
 
5.65%, due 9/27/47
 
691
 
 
13,101
 
Sri Lanka 1.3%
       
Sri Lanka Government Bonds
     
 
LKR
120,000
 
Ser. A, 11.50%, due 12/15/21
 
833
 
 
LKR
93,000
 
11.00%, due 6/1/26
 
646
 
 
LKR
27,000
 
Ser. A, 11.50%, due 8/1/26
 
194
 
 
LKR
69,000
 
Ser. A, 11.75%, due 6/15/27
 
499
 
       
Sri Lanka Government International Bond
     
 
$
291
 
6.85%, due 11/3/25
 
318
(d)
   
200
 
6.83%, due 7/18/26
 
219
(d)
   
200
 
6.20%, due 5/11/27
 
210
(d)
 
2,919
 
Thailand 3.3%
       
Bank of Thailand Bill
     
 
THB
20,850
 
Ser. 183, 1.35%, due 3/2/18
 
665
(b)
 
THB
35,000
 
Ser. 364, 1.20%, due 3/15/18
 
1,116
(b)
 
THB
17,000
 
Ser. 90, 1.10%, due 4/5/18
 
541
(b)
 
THB
8,000
 
Ser. 364, 1.38%, due 12/6/18
 
253
(b)
       
Thailand Government Bond
     
 
THB
27,000
 
5.13%, due 3/13/18
 
866
 
 
THB
24,828
 
3.88%, due 6/13/19
 
820
 
 
THB
4,000
 
3.63%, due 6/16/23
 
139
 
 
THB
19,457
 
3.85%, due 12/12/25
 
693
 
 
THB
6,500
 
2.13%, due 12/17/26
 
203
 
 
THB
4,400
 
4.88%, due 6/22/29
 
172
 
 
THB
38,000
 
3.65%, due 6/20/31
 
1,331
(h)
 
THB
14,500
 
3.40%, due 6/17/36
 
491
 
 
7,290
 
Tunisia 0.2%
 
EUR
360
 
Banque Centrale de Tunisie International Bond, 5.63%, due 2/17/24
 
470
(d)
 
Turkey 5.2%
       
Export Credit Bank of Turkey
     
 
 
200
 
5.38%, due 2/8/21
 
204
(c)
   
420
 
5.38%, due 10/24/23
 
425
(c)
       
Turkey Government Bond
     
 
TRY
1,489
 
7.40%, due 2/5/20
 
360
 
 
TRY
600
 
10.70%, due 2/17/21
 
152
 
 
TRY
13,502
 
9.20%, due 9/22/21
 
3,296
(h)
 
TRY
2,000
 
11.00%, due 3/2/22
 
516
 
 
TRY
9,889
 
8.50%, due 9/14/22
 
2,335
(h)
 
TRY
2,442
 
3.00%, due 8/2/23
 
657
 
 
TRY
1,729
 
10.60%, due 2/11/26
 
429
 
 
TRY
3,368
 
11.00%, due 2/24/27
 
865
 
 
TRY
2,906
 
10.50%, due 8/11/27
 
721
 
       
Turkey Government International Bond
     
 
$
280
 
4.25%, due 4/14/26
 
264
 
   
250
 
4.88%, due 10/9/26
 
244
 
   
620
 
6.00%, due 3/25/27
 
652
 
   
322
 
5.13%, due 2/17/28
 
316
 
   
200
 
5.75%, due 5/11/47
 
190
 
 
11,626
 
Ukraine 1.8%
       
Ukraine Government International Bond
     
   
271
 
7.75%, due 9/1/20
 
291
(c)
   
300
 
7.75%, due 9/1/21
 
327
(d)
   
300
 
7.75%, due 9/1/25
 
323
(d)
   
500
 
7.75%, due 9/1/26
 
534
(d)
   
200
 
7.75%, due 9/1/26
 
214
(d)
   
810
 
7.75%, due 9/1/27
 
865
(d)
   
866
 
7.38%, due 9/25/32
 
880
(d)
   
286
 
IGDCUKR Index, (0.00%), due 5/31/40
 
194
(c)(g)
   
170
 
IGDCUKR Index, (0.00%), due 5/31/40
 
115
(d)(g)
   
310
 
Ukreximbank Via Biz Finance PLC, 9.63%, due 4/27/22
 
338
(c)
 
4,081
 
Uruguay 0.4%
   
475
 
Uruguay Government International Bond, 5.10%, due 6/18/50
 
516
 
       
Uruguay Monetary Regulation Bill
     
 
UYU
5,408
 
Ser. 0001, 9.04%, due 2/14/18
 
190
(b)
 
UYU
2,979
 
Ser. 0001, 9.75%, due 9/21/18
 
99
(b)
 
805
 
Venezuela 0.0%(i)
 
$
372
 
Venezuela Government International Bond, 8.25%, due 10/13/24
 
97
(d)(j)
 
Zambia 0.1%
   
220
 
Zambia Government International Bond, 8.97%, due 7/30/27
 
244
(d)
 
 
Total Foreign Government Securities (Cost $132,696)
 
141,754
 
 
U.S. Treasury Obligations 1.5%
 
United States 1.5%
   
3,400
 
U.S. Treasury Bill, 1.67%, due 8/2/18 (Cost  $3,372)
 
3,372
(b)
     
NUMBER OF
SHARES
   
     
Short-Term Investments 5.2%
 
Investment Companies 5.2%
   
11,587,842
 
State Street Institutional U.S. Government Money Market Fund Premier Class, 1.25%(m) (Cost  $11,588)
 
11,588
(h)
       
 
Total Investments 94.7% (Cost $202,740)
$211,915
 
       
 
Other Assets Less Liabilities 5.3%
11,798
(n)
       
 
Net Assets 100.0%
$223,713
 
 
(a)
 
Principal amount is stated in the currency in which the security is denominated.
 
 
ARS
=
Argentine Peso
 
 
BRL
=
Brazilian Real
 
 
CLP
=
Chilean Peso
 
 
COP
=
Colombian Peso
 
 
EGP
=
Egyptian Pound
 
 
EUR
=
Euro
 
 
GHS
=
Ghanaian Cedi
 
 
HUF
=
Hungarian Forint
 
 
IDR
=
Indonesian Rupiah
 
 
LKR
=
Sri Lanka Rupee
 
 
MXN
=
Mexican Peso
 
 
MYR
=
Malaysian Ringgit
 
 
NGN
=
Nigeria Naira
 
 
PEN
=
Peruvian Nuevo Sol
 
 
PHP
=
Philippine Peso
 
 
PLN
=
Polish Zloty
 
 
RUB
=
Russian Ruble
 
 
THB
=
Thai Baht
 
 
TRY
=
Turkish Lira
 
 
UYU
=
Uruguayan Peso
 
 
ZAR
=
South African Rand
 
(b)
 
Rate shown was the discount rate at the date of purchase.
 
(c)
 
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2018, these securities amounted to approximately $21,607,000, which represents 9.7% of net assets of the Fund. Securities denoted with a (c) but without a (e) have been deemed by the investment manager to be liquid.
 
(d)
 
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2018 amounted to approximately $58,950,000, which represents 26.4% of net assets of the Fund.
 
(e)
 
Illiquid security.
 
(f)
 
When-issued security. Total value of all such securities at January 31, 2018 amounted to approximately $558,000, which represents 0.2% of net assets of the Fund.
 
(g)
 
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2018 and changes periodically.
 
Benchmarks for Variable/Floating Rates:
 
LIBOR (USD) = London Interbank Offered Rate
BADLARPP = Argentina Deposit Rates Badlar Private Banks
CMT = Constant Maturity Treasury
IGDCUKR = IMF Ukraine GDP Constant Price
 
 
(h)
 
All or a portion of this security is segregated in connection for when-issued securities, futures, forward foreign currency contracts and/or swaps with a total value of approximately $72,910,000.
 
(i)
 
Represents less than 0.05% of net assets.
 
(j)
 
Defaulted security.
 
(k)
 
Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of January 31, 2018.
 
(l)
 
Value determined using significant unobservable inputs.
 
(m)
 
Represents 7-day effective yield as of January 31, 2018.
 
(n)
 
Includes the impact of the Fund's open positions in derivatives at January 31, 2018.
 
 
 
See Notes to Schedule of Investments

Schedule of Investments Emerging Markets Debt Fund
(Unaudited) (cont’d)



 
POSITIONS BY INDUSTRY
 
Industry
Investments at
Value†
(000's omitted)
 
Percentage of
Net Assets
 
Foreign Government*
$
134,750
 
60.2%
   
Oil & Gas
 
13,985
 
6.2%
   
Banks
 
11,655
 
5.2%
   
Electric
 
5,304
 
2.4%
   
Telecommunications
 
3,976
 
1.8%
   
Real Estate
 
3,697
 
1.7%
   
U.S. Treasury Obligations
 
3,372
 
1.5%
   
Mining
 
2,901
 
1.3%
   
Food
 
2,613
 
1.2%
   
Iron - Steel
 
2,526
 
1.1%
   
Pipelines
 
1,706
 
0.7%
   
Engineering & Construction
 
1,577
 
0.7%
   
Lodging
 
1,495
 
0.7%
   
Diversified Financial Services
 
1,183
 
0.5%
   
Chemicals
 
903
 
0.4%
   
Regional(state/province)
 
751
 
0.3%
   
Pharmaceuticals
 
710
 
0.3%
   
Energy - Alternate Sources
 
648
 
0.3%
   
Municipal
 
612
 
0.3%
   
Gas
 
595
 
0.3%
   
Real Estate Investment Trusts
 
521
 
0.2%
   
Healthcare - Services
 
514
 
0.2%
   
Forest Products & Paper
 
442
 
0.2%
   
Building Materials
 
432
 
0.2%
   
Transportation
 
429
 
0.2%
   
Retail
 
394
 
0.2%
   
Insurance
 
389
 
0.2%
   
Airlines
 
379
 
0.2%
   
Metal Fabricate - Hardware
 
306
 
0.1%
   
Beverages
 
262
 
0.1%
   
Oil & Gas Services
 
257
 
0.1%
   
Holding Companies - Diversified
 
215
 
0.1%
   
Internet
 
213
 
0.1%
   
Multi-National
 
212
 
0.1%
   
Household Products - Wares
 
208
 
0.1%
   
Auto Parts & Equipment
 
195
 
0.1%
   
Short-Term Investments and Other Assets-Net
 
23,386
 
10.5%
   
 
$
223,713
 
100.0%
   

* Foreign governments do not constitute an industry.
 
 
See Notes to Schedule of Investments

Schedule of Investments Emerging Markets Debt Fund
(Unaudited) (cont’d)
 
 
 
Derivative Instruments

Futures contracts ("futures")
 
   
At January 31, 2018, open positions in futures for the Fund were as follows:
 
Long Futures:
                 
 
Expiration Date
Number of
Contracts
Notional
Amount
   
Value and
Unrealized
Appreciation/
(Depreciation)
 
3/2018
56
U.S. Treasury Note, 10 Year
 
$
6,808,375
   
$
(176,088
)
3/2018
27
U.S. Treasury Note, 5 Year
   
3,097,195
     
(17,971
)
Total Long Positions
  $ 9,905,570    
$
(194,059
)
Short Futures:
                   
Expiration Date
Number of
Contracts
Notional
Amount
   
Value and
Unrealized
Appreciation/
(Depreciation)
 
3/2018
44
Euro-Bund
 
$
(8,676,049
)
 
$
217,827
 
3/2018
11
Euro-Buxl Bond, 30 Year
   
(2,208,891
)
   
69,628
 
3/2018
4
U.S. Treasury Long Bond
   
(591,250
)
   
21,056
 
3/2018
64
U.S. Treasury Note, 10 Year
   
(7,781,000
)
   
193,937
 
3/2018
3
U.S. Treasury Ultra Long Bond
   
(485,813
)
   
13,917
 
3/2018
22
U.S. Treasury Note, 5 Year
   
(2,523,641
)
   
40,966
 
Total Short Positions
  $ 22,266,644    
$
557,331
 
Total Futures
   
$
363,272
 

At January 31, 2018, the Fund had $163,332 deposited in a segregated account to cover margin requirements on open futures.

Forward foreign currency contracts ("forward contracts")
             
 
At January 31, 2018, open forward contracts for the Fund were as follows:
 
 
Currency Purchased
 Currency Sold
Counterparty
 
Settlement
Date
   
Net
Unrealized
Appreciation/
(Depreciation)
             
428,101
 
USD
8,273,060
 
ARS
JPMorgan Chase Bank N.A.
 
2/5/2018
 
$
7,402
701,073
 
BRL
212,724
 
USD
Goldman Sachs International
 
2/9/2018
   
7,100
400,000
 
BRL
120,988
 
USD
Goldman Sachs International
 
2/9/2018
   
4,433
304,940
 
BRL
93,063
 
USD
Goldman Sachs International
 
2/9/2018
   
2,552
6,577,241
 
BRL
2,013,729
 
USD
Citibank, N.A.
 
3/6/2018
   
43,583
546,539
 
BRL
164,705
 
USD
Citibank, N.A.
 
3/6/2018
   
6,249
296,855
 
BRL
89,763
 
USD
Citibank, N.A.
 
3/6/2018
   
3,091
1,735,682
 
BRL
527,884
 
USD
Goldman Sachs International
 
3/6/2018
   
15,024
853,814
 
BRL
259,226
 
USD
Goldman Sachs International
 
3/6/2018
   
7,840
632,559
 
BRL
191,163
 
USD
JPMorgan Chase Bank N.A.
 
3/6/2018
   
6,696
835,234
 
BRL
257,185
 
USD
Goldman Sachs International
 
4/9/2018
   
3,158
370,320
 
USD
1,180,764
 
BRL
Goldman Sachs International
 
4/9/2018
   
2,275
19,855,666
 
BRL
6,071,883
 
USD
JPMorgan Chase Bank N.A.
 
4/9/2018
   
117,140
1,723,077
 
BRL
528,924
 
USD
Goldman Sachs International
 
4/16/2018
   
7,707
543,540
 
USD
1,723,077
 
BRL
Goldman Sachs International
 
4/16/2018
   
6,909
420,136,957
 
COP
145,688
 
USD
Citibank, N.A.
 
3/16/2018
   
1,965
8,488,912,765
 
COP
2,943,910
 
USD
JPMorgan Chase Bank N.A.
 
3/16/2018
   
39,439
72,370
 
USD
205,490,454
 
COP
JPMorgan Chase Bank N.A.
 
3/16/2018
   
152
766,811,890
 
COP
265,954
 
USD
Goldman Sachs International
 
4/16/2018
   
2,932
271,466
 
USD
766,811,890
 
COP
Goldman Sachs International
 
4/16/2018
   
2,578
2,757,702
 
EUR
70,366,979
 
CZK
Citibank, N.A.
 
2/6/2018
   
32,499
3,320,836
 
EUR
84,829,301
 
CZK
Goldman Sachs International
 
2/6/2018
   
43,709
45,226,440
 
CZK
2,178,635
 
USD
Citibank, N.A.
 
3/15/2018
   
47,893
897,692
 
EUR
22,894,970
 
CZK
Citibank, N.A.
 
4/9/2018
   
9,361
1,144,929
 
EUR
30,575,340
 
CZK
Goldman Sachs International
 
9/27/2018
   
74,477
1,105,446
 
EUR
29,341,852
 
CZK
Goldman Sachs International
 
12/20/2018
   
61,942
431,730
 
EUR
11,531,503
 
CZK
Goldman Sachs International
 
12/20/2018
   
27,797
118,192
 
EUR
3,150,395
 
CZK
Goldman Sachs International
 
12/20/2018
   
7,284
327,275
 
EUR
8,403,909
 
CZK
Standard Chartered Bank
 
12/20/2018
   
4,189
7,251,053
 
USD
5,823,652
 
EUR
Citibank, N.A.
 
2/5/2018
   
19,327
3,631,498
 
EUR
4,306,220
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
203,321
1,560,495
 
EUR
1,851,685
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
86,115
903,696
 
EUR
1,089,989
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
32,208
918,062
 
EUR
1,114,854
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
25,182
534,505
 
EUR
643,649
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
20,092
269,999
 
EUR
325,562
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
9,719
269,068
 
EUR
325,020
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
9,105
459,029
 
EUR
563,262
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
6,753
459,067
 
EUR
563,492
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
6,570
415,366
 
EUR
509,408
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
6,387
453,240
 
RON
97,794
 
EUR
JPMorgan Chase Bank N.A.
 
2/20/2018
   
480
794,759
 
PLN
190,956
 
EUR
JPMorgan Chase Bank N.A.
 
3/19/2018
   
112
49,419,000,000
 
IDR
3,630,547
 
USD
JPMorgan Chase Bank N.A.
 
2/6/2018
   
63,208
9,792,726,994
 
IDR
714,693
 
USD
JPMorgan Chase Bank N.A.
 
2/6/2018
   
17,250
9,947,600,000
 
IDR
729,992
 
USD
JPMorgan Chase Bank N.A.
 
2/6/2018
   
13,528
1,989,000,000
 
IDR
146,003
 
USD
Standard Chartered Bank
 
2/6/2018
   
2,662
210,675
 
USD
2,816,199,218
 
IDR
Standard Chartered Bank
 
2/6/2018
   
182
21,260,367,759
 
IDR
1,577,530
 
USD
JPMorgan Chase Bank N.A.
 
3/13/2018
   
10,675
299,400
 
USD
4,003,871,263
 
IDR
JPMorgan Chase Bank N.A.
 
3/13/2018
   
300
533,635
 
USD
7,164,043,122
 
IDR
Goldman Sachs International
 
4/30/2018
   
24
917,746
 
USD
974,178,110
 
KRW
Citibank, N.A.
 
3/12/2018
   
6,240
2,074,224,250
 
KRW
1,904,915
 
USD
Standard Chartered Bank
 
3/12/2018
   
35,868
5,239
 
MYR
1,317
 
USD
Goldman Sachs International
 
2/20/2018
   
23
2,200,000
 
MYR
539,176
 
USD
Standard Chartered Bank
 
3/8/2018
   
23,428
1,106,742
 
USD
20,499,501
 
MXN
Citibank, N.A.
 
2/7/2018
   
6,214
11,370,551
 
MXN
585,250
 
USD
Goldman Sachs International
 
2/7/2018
   
25,185
9,128,950
 
MXN
484,934
 
USD
Goldman Sachs International
 
2/7/2018
   
5,159
1,842,480
 
MXN
96,030
 
USD
Citibank, N.A.
 
2/14/2018
   
2,771
1,599,020
 
MXN
80,819
 
USD
Goldman Sachs International
 
2/14/2018
   
4,927
9,641,672
 
MXN
489,152
 
USD
JPMorgan Chase Bank N.A.
 
2/14/2018
   
27,874
7,799,164
 
MXN
400,537
 
USD
JPMorgan Chase Bank N.A.
 
2/14/2018
   
17,686
131,506
 
USD
2,448,429
 
MXN
JPMorgan Chase Bank N.A.
 
2/14/2018
   
211
120,850,801
 
MXN
6,358,034
 
USD
Standard Chartered Bank
 
2/14/2018
   
122,480
4,288,209
 
PEN
1,313,749
 
USD
JPMorgan Chase Bank N.A.
 
2/13/2018
   
19,015
1,662,856
 
PEN
504,814
 
USD
JPMorgan Chase Bank N.A.
 
2/13/2018
   
11,998
1,053,253
 
USD
53,500,000
 
PHP
JPMorgan Chase Bank N.A.
 
2/12/2018
   
11,210
99,681
 
USD
5,014,671
 
PHP
JPMorgan Chase Bank N.A.
 
2/12/2018
   
2,008
1,092,294
 
EUR
4,637,545
 
PLN
Goldman Sachs International
 
2/7/2018
   
29,732
783,009
 
EUR
3,333,444
 
PLN
Goldman Sachs International
 
2/7/2018
   
24,013
824,629
 
EUR
3,487,471
 
PLN
Goldman Sachs International
 
2/7/2018
   
18,365
615,375
 
EUR
2,617,792
 
PLN
Goldman Sachs International
 
2/7/2018
   
18,275
400,502
 
EUR
1,672,124
 
PLN
Goldman Sachs International
 
2/7/2018
   
2,447
452,594
 
EUR
1,914,482
 
PLN
JPMorgan Chase Bank N.A.
 
2/7/2018
   
10,200
307,418
 
EUR
1,300,382
 
PLN
JPMorgan Chase Bank N.A.
 
2/7/2018
   
6,927
1,970,616
 
EUR
8,263,543
 
PLN
Citibank, N.A.
 
3/19/2018
   
17,332
915,540
 
EUR
3,840,031
 
PLN
Goldman Sachs International
 
3/19/2018
   
8,299
150,942
 
EUR
707,106
 
RON
Goldman Sachs International
 
2/20/2018
   
1,274
346,357
 
EUR
1,614,122
 
RON
Goldman Sachs International
 
2/20/2018
   
672
52,541
 
EUR
245,690
 
RON
Goldman Sachs International
 
2/20/2018
   
324
178,790
 
EUR
832,532
 
RON
Goldman Sachs International
 
2/20/2018
   
166
36,757,202
 
RUB
621,791
 
USD
Goldman Sachs International
 
2/16/2018
   
30,926
649,090
 
USD
36,654,103
 
RUB
Citibank, N.A.
 
3/16/2018
   
514
36,958,566
 
RUB
622,706
 
USD
Goldman Sachs International
 
3/16/2018
   
31,255
11,868,683
 
RUB
200,117
 
USD
Goldman Sachs International
 
3/16/2018
   
9,893
36,654,103
 
RUB
597,917
 
USD
JPMorgan Chase Bank N.A.
 
3/16/2018
   
50,659
45,905,116
 
RUB
785,105
 
USD
Citibank, N.A.
 
5/29/2018
   
20,083
10,671,111
 
RUB
185,590
 
USD
Goldman Sachs International
 
5/29/2018
   
1,584
119,853,642
 
RUB
1,996,895
 
USD
JPMorgan Chase Bank N.A.
 
5/29/2018
   
105,372
88,054,102
 
RUB
1,521,453
 
USD
JPMorgan Chase Bank N.A.
 
5/29/2018
   
23,041
44,346,100
 
RUB
767,566
 
USD
JPMorgan Chase Bank N.A.
 
5/29/2018
   
10,278
1,246,713
 
USD
70,931,717
 
RUB
JPMorgan Chase Bank N.A.
 
5/29/2018
   
2,550
176,352
 
SGD
132,862
 
USD
Goldman Sachs International
 
3/5/2018
   
1,657
1,300,000
 
SGD
979,587
 
USD
Standard Chartered Bank
 
3/5/2018
   
12,044
104,200,000
 
THB
3,150,301
 
USD
Citibank, N.A.
 
2/7/2018
   
176,988
27,600,000
 
THB
834,593
 
USD
Citibank, N.A.
 
2/14/2018
   
46,860
25,048,399
 
THB
758,537
 
USD
Goldman Sachs International
 
2/14/2018
   
41,427
4,087,409
 
THB
125,806
 
USD
JPMorgan Chase Bank N.A.
 
2/14/2018
   
4,733
8,300,000
 
THB
255,275
 
USD
Goldman Sachs International
 
3/6/2018
   
9,925
25,003,499
 
THB
767,122
 
USD
JPMorgan Chase Bank N.A.
 
3/6/2018
   
31,783
20,800,000
 
THB
642,421
 
USD
JPMorgan Chase Bank N.A.
 
3/6/2018
   
22,175
13,708,295
 
THB
429,719
 
USD
JPMorgan Chase Bank N.A.
 
4/19/2018
   
8,791
13,708,295
 
THB
430,889
 
USD
JPMorgan Chase Bank N.A.
 
4/19/2018
   
7,620
48,157
 
USD
1,504,193
 
THB
JPMorgan Chase Bank N.A.
 
4/19/2018
   
39
899,539
 
USD
3,419,268
 
TRY
Standard Chartered Bank
 
3/23/2018
   
2,694
Total unrealized appreciation
$
2,243,790
   
8,273,060
 
ARS
421,880
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(1,180)
283,484
 
USD
5,754,733
 
ARS
Citibank, N.A.
 
4/3/2018
   
(1,191)
408,950
 
USD
8,273,060
 
ARS
JPMorgan Chase Bank N.A.
 
4/3/2018
   
(302)
21,735,298
 
ARS
1,087,581
 
USD
JPMorgan Chase Bank N.A.
 
4/24/2018
   
(24,184)
303,244
 
USD
1,007,104
 
BRL
Citibank, N.A.
 
2/9/2018
   
(12,537)
158,479
 
USD
520,000
 
BRL
Goldman Sachs International
 
3/6/2018
   
(4,173)
3,040,703
 
USD
9,934,766
 
BRL
Standard Chartered Bank
 
3/6/2018
   
(66,817)
449,240
 
USD
1,450,822
 
BRL
Goldman Sachs International
 
4/9/2018
   
(2,982)
1,028,103,481
 
CLP
1,706,537
 
USD
JPMorgan Chase Bank N.A.
 
4/2/2018
   
(2,489)
865,223,651
 
CLP
1,435,818
 
USD
JPMorgan Chase Bank N.A.
 
5/2/2018
   
(2,070)
90,891
 
EUR
2,298,270
 
CZK
JPMorgan Chase Bank N.A.
 
4/9/2018
   
(30)
1,398,969
 
USD
1,145,549
 
EUR
Citibank, N.A.
 
2/5/2018
   
(23,557)
4,442,618
 
USD
3,680,000
 
EUR
Citibank, N.A.
 
2/5/2018
   
(127,152)
301,179
 
USD
250,885
 
EUR
Goldman Sachs International
 
2/5/2018
   
(10,366)
452,651
 
USD
374,756
 
EUR
Goldman Sachs International
 
2/5/2018
   
(12,715)
410,078
 
EUR
509,847
 
USD
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(619)
266,363
 
USD
216,752
 
EUR
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(2,796)
224,716
 
USD
183,437
 
EUR
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(3,073)
564,249
 
USD
459,059
 
EUR
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(5,803)
243,731
 
USD
201,991
 
EUR
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(7,098)
297,139
 
USD
250,345
 
EUR
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(13,736)
839,207
 
USD
687,329
 
EUR
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(14,309)
542,707
 
USD
453,860
 
EUR
JPMorgan Chase Bank N.A.
 
2/5/2018
   
(20,889)
34,200,000
 
CZK
1,336,407
 
EUR
JPMorgan Chase Bank N.A.
 
2/6/2018
   
(20,640)
3,733,709
 
PLN
897,322
 
EUR
JPMorgan Chase Bank N.A.
 
2/7/2018
   
(1,693)
11,206,827
 
PLN
2,653,448
 
EUR
JPMorgan Chase Bank N.A.
 
2/7/2018
   
(54,620)
84,464
 
RON
18,154
 
EUR
JPMorgan Chase Bank N.A.
 
2/14/2018
   
(7)
1,168,787
 
RON
249,625
 
EUR
Goldman Sachs International
 
2/20/2018
   
(1,944)
3,364,809
 
RON
721,413
 
EUR
JPMorgan Chase Bank N.A.
 
2/20/2018
   
(2,153)
5,823,652
 
EUR
7,263,735
 
USD
Citibank, N.A.
 
3/5/2018
   
(19,091)
8,215,196
 
USD
6,890,000
 
EUR
JPMorgan Chase Bank N.A.
 
3/5/2018
   
(355,988)
2,180,835
 
USD
1,777,889
 
EUR
Citibank, N.A.
 
3/15/2018
   
(32,430)
18,222,702
 
CZK
711,178
 
EUR
Citibank, N.A.
 
9/27/2018
   
(8,013)
12,352,638
 
CZK
474,008
 
EUR
JPMorgan Chase Bank N.A.
 
9/27/2018
   
(15,633)
44,023,750
 
CZK
1,689,647
 
EUR
Goldman Sachs International
 
12/20/2018
   
(53,446)
1,512,812
 
EUR
466,570,118
 
HUF
Goldman Sachs International
 
3/8/2018
   
(12,113)
218,332
 
EUR
67,681,180
 
HUF
JPMorgan Chase Bank N.A.
 
3/8/2018
   
(366)
71,267,147
 
INR
1,119,497
 
USD
Goldman Sachs International
 
2/20/2018
   
(2,657)
1,050,411
 
USD
67,188,494
 
INR
Goldman Sachs International
 
3/13/2018
   
(30)
67,188,494
 
INR
1,050,526
 
USD
JPMorgan Chase Bank N.A.
 
3/13/2018
   
(85)
1,364,440
 
USD
18,677,000,000
 
IDR
Citibank, N.A.
 
2/6/2018
   
(31,546)
7,164,043,122
 
IDR
535,870
 
USD
Goldman Sachs International
 
2/6/2018
   
(403)
64,627
 
USD
869,950,000
 
IDR
JPMorgan Chase Bank N.A.
 
2/6/2018
   
(396)
97,250
 
USD
1,326,100,000
 
IDR
JPMorgan Chase Bank N.A.
 
2/6/2018
   
(1,868)
212,263
 
USD
2,897,600,000
 
IDR
JPMorgan Chase Bank N.A.
 
2/6/2018
   
(4,314)
212,232
 
USD
2,897,600,000
 
IDR
JPMorgan Chase Bank N.A.
 
2/6/2018
   
(4,345)
476,994
 
USD
6,531,000,000
 
IDR
JPMorgan Chase Bank N.A.
 
2/6/2018
   
(11,157)
3,048,567
 
USD
41,426,970,898
 
IDR
JPMorgan Chase Bank N.A.
 
2/6/2018
   
(47,835)
64,781
 
USD
869,950,000
 
IDR
Standard Chartered Bank
 
2/6/2018
   
(242)
1,288,664
 
USD
17,256,496,496
 
IDR
JPMorgan Chase Bank N.A.
 
3/13/2018
   
(441)
3,424,593,598
 
IDR
255,091
 
USD
Citibank, N.A.
 
4/30/2018
   
(11)
1,159,120,409
 
KRW
1,084,456
 
USD
Goldman Sachs International
 
2/12/2018
   
(362)
1,028,965
 
USD
1,100,046,140
 
KRW
JPMorgan Chase Bank N.A.
 
3/12/2018
   
(312)
92,857,129
 
KZT
286,154
 
USD
JPMorgan Chase Bank N.A.
 
7/31/2018
   
(3,676)
441,335
 
MYR
112,946
 
USD
Goldman Sachs International
 
3/6/2018
   
(76)
544,476
 
USD
10,627,655
 
MXN
JPMorgan Chase Bank N.A.
 
2/14/2018
   
(25,423)
2,742,633
 
USD
51,869,459
 
MXN
JPMorgan Chase Bank N.A.
 
2/14/2018
   
(38,819)
197,285
 
USD
3,821,668
 
MXN
Standard Chartered Bank
 
2/14/2018
   
(7,649)
1,473,847
 
USD
27,805,771
 
MXN
Standard Chartered Bank
 
2/14/2018
   
(17,213)
896,166
 
USD
17,526,777
 
MXN
Standard Chartered Bank
 
2/14/2018
   
(43,692)
10,655,930
 
MXN
568,814
 
USD
Citibank, N.A.
 
4/16/2018
   
(3,156)
542,374
 
USD
10,655,930
 
MXN
JPMorgan Chase Bank N.A.
 
4/16/2018
   
(23,285)
280,056
 
USD
908,312
 
PEN
Goldman Sachs International
 
2/13/2018
   
(2,245)
269,084
 
USD
872,370
 
PEN
JPMorgan Chase Bank N.A.
 
2/13/2018
   
(2,046)
502,447
 
USD
1,627,677
 
PEN
JPMorgan Chase Bank N.A.
 
2/13/2018
   
(3,431)
436,936
 
USD
1,420,261
 
PEN
JPMorgan Chase Bank N.A.
 
2/13/2018
   
(4,477)
8,259,077
 
PHP
163,104
 
USD
Goldman Sachs International
 
2/12/2018
   
(2,238)
1,320,283
 
EUR
6,132,485
 
RON
Goldman Sachs International
 
2/14/2018
   
(2,268)
1,642,519
 
EUR
7,590,135
 
RON
Goldman Sachs International
 
2/20/2018
   
(14,036)
2,455,755
 
USD
150,000,000
 
RUB
JPMorgan Chase Bank N.A.
 
2/16/2018
   
(207,873)
400,348
 
USD
23,000,000
 
RUB
Citibank, N.A.
 
3/16/2018
   
(6,625)
798,501
 
USD
47,500,000
 
RUB
Goldman Sachs International
 
3/16/2018
   
(41,987)
792,498
 
USD
48,000,000
 
RUB
Goldman Sachs International
 
3/16/2018
   
(56,838)
2,647,941
 
USD
162,326,732
 
RUB
JPMorgan Chase Bank N.A.
 
3/16/2018
   
(224,347)
34,254
 
USD
1,955,107
 
RUB
Goldman Sachs International
 
5/29/2018
   
(39)
1,025,238
 
USD
58,966,547
 
RUB
JPMorgan Chase Bank N.A.
 
5/29/2018
   
(9,052)
1,159,763
 
USD
38,300,000
 
THB
Goldman Sachs International
 
2/7/2018
   
(63,224)
2,484,149
 
USD
80,866,790
 
THB
JPMorgan Chase Bank N.A.
 
3/6/2018
   
(99,685)
98,246
 
TRY
25,809
 
USD
JPMorgan Chase Bank N.A.
 
3/23/2018
   
(40)
830,702
 
USD
3,190,399
 
TRY
Standard Chartered Bank
 
3/23/2018
   
(6,112)
129,191
 
USD
1,546,306
 
ZAR
JPMorgan Chase Bank N.A.
 
3/26/2018
   
(330)
1,659,241
 
USD
20,006,726
 
ZAR
JPMorgan Chase Bank N.A.
 
3/26/2018
   
(16,557)
     
Total unrealized depreciation
$
(1,970,648)
     
Net unrealized appreciation
$
273,142
ARS = Argentine Peso(a)            
BRL = Brazilian Real(a)
CLP = Chilean Peso(a)
COP = Colombian Peso(a)
CZK = Czech Koruna
EUR = Euro
HUF = Hungarian Forint
IDR = Indonesian Rupiah(a) 
INR = Indian Rupee(a) 
KRW = South Korean Won(a)
KZT = Kazakhstani Tenge(a)
MYR = Malaysian Ringgit(a)
MXN = Mexican Peso
PEN = Peruvian Nuevo Sol(a)
PHP = Philippine Peso(a)
PLN = Polish Zloty
RON = Romanian Leu
RUB = Russian Ruble(a)
SGD = Singapore Dollar
THB = Thai Baht
TRY = Turkish Lira
ZAR = South African Rand
(a)
Non-deliverable forward contracts.
 
 
See Notes to Schedule of Investments

Schedule of Investments Emerging Markets Debt Fund
(Unaudited) (cont’d)
 
 
 
Cross currency swap contracts ("cross currency swaps")
 
At January 31, 2018, the Fund had outstanding over–the-counter (“OTC”) cross currency swaps as follows:
 
 
Counterparty
Notional Amount(c)
Fund
Pays/
Receives
Floating
Rate
Floating Rate Index
 
Annual
Fixed-Rate
   
Maturity
Date
Unrealized
Appreciation/
(Depreciation)
 
Accrued
Interest
Receivable/
(Payable)
 
Value
 
Goldman Sachs International
RUB 253,488,047
Receive
3-month LIBOR(a)
 
6.88
%(b)
 
5/29/2019
 
$
(32,669
)
 
$
—
   
$
(32,669
)
 
(a)
Payment frequency – quarterly.
(b)
Payment frequency – annually.
(c)
Notional amount represents the value (including any fees or commissions) of the positions when they were established and is stated in the currency in which the contract is denominated.
RUB
=
 
Russian Ruble
 
Interest rate swap contracts ("interest rate swaps")
 
At January 31, 2018, the Fund had outstanding centrally cleared interest rate swaps as follows:
 
Clearinghouse
Notional Amount (f)
Fund
Pays/
Receives
Floating
Rate
Floating Rate Index
 
Annual
Fixed-Rate
 
Maturity
Date
 
Unrealized
Appreciation/
(Depreciation) (b)
 
Upfront Payments/(Receipts)
Accrued Net Interest Receivable/ (Payable)
 
Value
CME Group, Inc.
BRL 1,912,728
Pay
1-day Overnight Brazil (CETIP)(a)
 
8.86%(a)
 
1/4//2021
 
$2,068
 
$218
 
$2,286
LCH. Clearnet Limited
CZK 17,000,000
Receive
6-month Prague Interbank Offer Rate (PRIBOR)(d)
 
1.58%(e)
 
1/11/2023
 
10,374
 
23
(346)
 
10,051
LCH. Clearnet Limited
HUF 152,510,000
Receive
6-month Budapest Interbank Offer Rate (BUBOR)d)
 
1.70%(e)
 
1/22/2028
 
13,504
 
—
(278)
 
13,226
CME Group, Inc.
MXN 3,500,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.71%(b)
 
1/21/2022
 
132
 
—
2
 
134
CME Group, Inc.
MXN 15,505,918
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.58%(b)
 
1/28/2022
 
(3,192)
 
—
(31)
 
(3,223)
CME Group, Inc.
MXN 12,211,377
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
6.75%(b)
 
6/23/2022
 
(23,252)
 
—
(337)
 
(23,589)
CME Group, Inc.
  MXN 34,769,500
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
6.71%(b)
 
7/7/2022
 
(69,242)
 
58
(342)
 
(69,526)
CME Group, Inc.
MXN 14,000,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.61%(b)
 
3/7/2024
 
(5,060)
 
—
(8)
 
(5,068)
CME Group, Inc.
MXN 19,000,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.35%(b)
 
3/20/2024
 
(19,954)
 
—
(9)
 
(19,963)
CME Group, Inc.
 MXN 7,500,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.35%(b)
 
10/25/2024
 
(9,202)
 
12
(20)
 
(9,210)
CME Group, Inc.
 MXN 1,800,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.72%(b)
 
12/3/2026
 
(1,057)
 
—
5
 
(1,052)
CME Group, Inc.
MXN 3,300,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
8.16%(b)
 
12/28/2026
 
3,076
 
—
62
 
3,138
CME Group, Inc.
MXN 9,380,123
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.92%(b)
 
1/22/2027
 
689
 
—
108
 
797
CME Group, Inc.
MXN 6,685,611
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
 
7.51%(b)
 
4/20/2027
 
(9,558)
 
—
(27)
 
(9,585)
LCH.Clearnet Limited
 PLN 5,256,500
Pay
6-month Poland Warsaw Interbank Offer Rate (WIBOR)(d)
 
2.51%(e)
 
1/10/2022
 
302
 
—
34,945
 
35,247
LCH.Clearnet Limited
 PLN 1,250,000
Pay
6-month Poland Warsaw Interbank Offer Rate (WIBOR)(d)
 
2.33%(e)
 
4/6/2022
 
(3,296)
 
—
4,522
 
1,226
LCH.Clearnet Limited
 PLN 1,600,000
Receive
6-month Poland Warsaw Interbank Offer Rate (WIBOR(d)
 
2.76%(e)
 
7/3/2027
 
13,297
 
—
(2,790)
 
10,507
LCH.Clearnet Limited
 PLN 5,200,000
Receive
6-month Poland Warsaw Interbank Offer Rate (WIBOR(d)
 
3.01%(e)
 
10/26/2027
 
14,727
 
—
(4,752)
 
9,975
Total
                $(85,644)   $93 $30,922   $(54,629)
 
       At January 31, 2018, the Fund had $506,903 deposited in a segregated account to cover margin requirements on centrally cleared interest rate swaps.
 
       At Janaury 31, 2018, the Fund had outstanding OTC interest rate swaps as follows:
 
Counterparty
Notional Amount (f)
Fund
Pays/
Receives
Floating
Rate
Floating Rate
Index
Annual
Fixed-Rate
Maturity
Date
 
Unrealized
Appreciation/
(Depreciation)
 
Accrued Net Interest Receivable/ (Payable)
 
Value
                         
Goldman Sachs International
BRL 1,152,498
Pay
1-day Overnight Brazil (CETIP)(a)
9.73%(a)
1/2/2020
$
11,950
 
$
2,628
$
14,578
Goldman Sachs International
BRL 1,000,000
Pay
1-day Overnight Brazil (CETIP)(a)
11.99%(a)
1/2/2023
 
53,470
   
(3,148)
 
50,322
JPMorgan Chase Bank N.A.
BRL 1,332,786
Pay
1-day Overnight Brazil (CETIP)(a)
8.66%(a)
1/4/2021
 
(830)
   
1,704
 
874
JPMorgan Chase Bank N.A.
BRL 1,418,435
Pay
1-day Overnight Brazil (CETIP)(a)
9.11%(a)
1/4/2021
 
4,580
   
1,408
 
5,988
JPMorgan Chase Bank N.A.
BRL 1,614,106
Pay
1-day Overnight Brazil (CETIP)(a)
9.28%(a)
1/4/2021
 
7,700
   
3,368
 
11,068
JPMorgan Chase Bank N.A.
BRL 2,116,417
Pay
1-day Overnight Brazil (CETIP)(a)
9.18%(a)
1/4/2021
 
8,160
   
2,979
 
11,139
JPMorgan Chase Bank N.A.
BRL 4,682,947
Pay
1-day Overnight Brazil (CETIP)(a)
8.98%(a)
1/4/2021
 
9,863
   
2,616
 
12,479
JPMorgan Chase Bank N.A.
BRL 7,778,457
Pay
1-day Overnight Brazil (CETIP)(a)
8.87%(a)
1/4/2021
 
9,561
   
12,410
 
21,971
JPMorgan Chase Bank N.A.
BRL 930,916
Pay
1-day Overnight Brazil (CETIP)(a)
9.61%(a)
1/2/2020
 
8,990
   
1,620
 
10,610
JPMorgan Chase Bank N.A.
BRL 1,984,200
Pay
1-day Overnight Brazil (CETIP)(a)
9.07%(a)
1/2/2020
 
12,650
   
2,187
 
14,837
JPMorgan Chase Bank N.A.
BRL 1,063,932
Pay
1-day Overnight Brazil (CETIP)(a)
11.46%(a)
1/2/2020
 
23,145
   
5,471
 
28,616
JPMorgan Chase Bank N.A.
BRL 31,354
Pay
1-day Overnight Brazil (CETIP)(a)
10.23%(a)
1/4/2021
 
424
   
113
 
537
JPMorgan Chase Bank N.A.
BRL 489,151
Pay
1-day Overnight Brazil (CETIP)(a)
10.04%(a)
1/4/2021
 
5,726
   
1,589
 
7,315
JPMorgan Chase Bank N.A.
BRL 2,071,383
Pay
1-day Overnight Brazil (CETIP)(a)
9.20%(a)
1/4/2021
 
8,467
   
4,143
 
12,610
Goldman Sachs International
CLP 630,267,484
Pay
Sinacofi Chile Interbank Rate Avg. (CLICP)(d)
3.45%(d)
10/25/2022
 
171
   
2,725
 
2,896
JPMorgan Chase Bank N.A.
CLP 231,188,535
Pay
Sinacofi Chile Interbank Rate Avg. (CLICP)(d)
3.43%(d)
5/10/2022
 
1,155
   
818
 
1,973
JPMorgan Chase Bank N.A.
CLP 260,000,000
Pay
Sinacofi Chile Interbank Rate Avg. (CLICP)(d)
3.41%(d)
7/11/2022
 
357
   
218
 
575
JPMorgan Chase Bank N.A.
CLP 256,265,113
Pay
Sinacofi Chile Interbank Rate Avg. (CLICP)(d)
4.06%(d)
6/2/2027
 
(1,848)
   
1,074
 
(774)
Standard Chartered Bank
CNY 9,500,000
Receive
7-day China Fixing Repo Rates (CNRR007) (c)
3.99%(c)
11/8/2022
 
(2,581)
   
(3,423)
 
(6,004)
Goldman Sachs International
COP 1,717,651,141
Pay
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)(c)
5.44%(c)
9/7/2022
 
6,931
   
806
 
7,737
Goldman Sachs International
COP 853,857,000
Pay
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)(c)
5.23%(c)
11/28/2022
 
292
   
349
 
641
Citibank, N.A.
COP 2,000,000,000
Pay
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)(c)
5.57%(c)
8/25/2022
 
11,919
   
1,263
 
13,182
Goldman Sachs International
COP 270,032,867
Pay
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)(c)
5.36%(c)
5/23/2022
 
928
   
138
 
1,066
JPMorgan Chase Bank N.A.
COP 4,347,854,900
Pay
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)(c)
5.38%(c)
9/25/2022
 
13,086
   
1,259
 
14,345
JPMorgan Chase Bank N.A.
COP 996,329,313
Pay
1-day Colombia Overnight Interbank Reference Rate (IBRCOL)(c)
5.30%(c)
10/23/2022
 
1,641
   
59
 
1,700
Citibank, N.A.
CZK 34,781,263
Receive
6-month Prague Interbank Offer Rate (PRIBOR)(d)
1.17%(e)
9/8/2022
 
50,133
   
(4,213)
 
45,920
Goldman Sachs International
CZK 5,500,000
Receive
6-month Prague Interbank Offer Rate (PRIBOR)(d)
0.87%(e)
3/9/2022
 
9,792
   
(1,412)
 
8,380
JPMorgan Chase Bank N.A.
CZK 5,000,000
Receive
6-month Prague Interbank Offer Rate (PRIBOR)(d)
0.73%(e)
2/10/2022
 
10,166
   
(1,010)
 
9,156
JPMorgan Chase Bank N.A.
CZK 95,000,000
Receive
6-month Prague Interbank Offer Rate (PRIBOR)(d)
0.54%(e)
2/16/2020
 
85,008
   
(9,706)
 
75,302
Goldman Sachs International
HUF 2,000,000,000
Pay
3-month Budapest Interbank Offer Rate (BUBOR)(c)
0.52%(e)
1/18/2020
 
(622)
   
—
 
(622)
Goldman Sachs International
HUF 500,000,000
Pay
6-month Budapest Interbank Offer Rate (BUBOR)(d)
0.84%(e)
9/21/2022
 
(13,088)
   
4,708
 
(8,380)
Goldman Sachs International
HUF 359,014,464
Receive
6-month Budapest Interbank Offer Rate (BUBOR)(d)
1.27%(e)
1/10/2022
 
(25,777)
   
(9,781)
 
(35,558)
JPMorgan Chase Bank N.A.
HUF 600,000,000
Receive
6-month Budapest Interbank Offer Rate (BUBOR)(d)
0.85%(e)
10/10/2019
 
(24,291)
   
(5,550)
 
(29,841)
JPMorgan Chase Bank N.A.
HUF 382,000,000
Receive
6-month Budapest Interbank Offer Rate (BUPOR)(d)
0.69%(e)
4/20/2020
 
(10,835)
   
(7,538)
 
(18,373)
JPMorgan Chase Bank N.A.
HUF 128,246,450
Receive
6-month Budapest Interbank Offer Rate (BUBOR)(d)
1.38%(e)
6/17/2021
 
(12,425)
   
(4,156)
 
(16,581)
JPMorgan Chase Bank N.A.
HUF 45,000,000
Receive
6-month Budapest Interbank Offer Rate (BUBOR)(d)
1.30%(e)
4/6/2022
 
(3,232)
   
(1,769)
 
(5,001)
Standard Chartered Bank
KRW 10,800,000,000
Pay
3-month Certificate of Deposit Rate (KWCDC)(c)
2.14%(c)
11/9/2019
 
(7,956)
   
—
 
(7,956)
Goldman Sachs International
KRW 10,800,000,000
Pay
3-month Certificate of Deposit Rate (KWCDC)(c)
2.15%(c)
11/9/2019
 
(6,964)
   
—
 
(6,964)
Goldman Sachs International
KRW 2,400,000,000
Receive
3-month Certificate of Deposit Rate (KWCDC)(c)
2.16%(c)
11/9/2022
 
14,298
   
(3,884)
 
10,414
Standard Chartered Bank
KRW 2,400,000,000
Receive
3-month Certificate of Deposit Rate (KWCDC)(c)
2.14%(c)
11/9/2022
 
16,332
   
(3,782)
 
12,550
Goldman Sachs International
MXN 9,000,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
5.37%(b)
3/17/2021
 
(31,776)
   
(245)
 
(32,021)
Goldman Sachs International
MXN 28,033,731
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
5.90%(b)
9/12/2022
 
(105,264)
   
(1,720)
 
(106,984)
Goldman Sachs International
MXN 10,713,184
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
6.21%(b)
12/8/2025
 
(55,712)
   
(388)
 
(56,100)
Goldman Sachs International
MXN 9,462,643
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
6.17%(b)
3/5/2026
 
(51,895)
   
(291)
 
(52,186)
Goldman Sachs International
MXN 5,000,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
6.38%(b)
9/16/2026
 
(25,476)
   
(140)
 
(25,616)
JPMorgan Chase Bank N.A.
MXN 7,500,000
Pay
28-day Mexican Interbank Equilibrium Interest Rate (TIIE)(b)
6.13%(b)
6/18/2026
 
(43,416)
   
(350)
 
(43,766)
Standard Chartered Bank
MYR 12,300,000
Receive
3-month Malaysia Bumiputra Bank Rate (KLIBOR)(c)
3.88%(c)
10/24/2022
 
19,266
   
(265)
 
19,001
Goldman Sachs International
THB 290,000,000
Receive
6-month Thailand Fixing Rate (BOFX6M)(d)
1.33%(d)
9/15/2019
 
4,083
   
(12,750)
 
(8,667)
Total
           
$(13,744)
   
$(19,868)
 
$(33,612)
 
(a)
 
Payment frequency – upon termination.
(b)
 
Payment frequency – monthly.
(c)
 
Payment frequency – quarterly.
(d)
 
Payment frequency – semi-annually.
(e)
 
Payment frequency – annually.
(f)
 
Notional amount represents the value (including any fees or commissions) of the positions when they were established and is stated in the currency in which the contract is denominated.
 
BRL
=
Brazilian Real
CLP
=
Chilean Peso
CNY
=
Chinese Yuan Renminbi
COP
=
Colombian Peso
CZK
=
Czech Koruna
HUF
=
Hungarian Forint
KRW
=
South Korean Won
MXN
=
Mexican Peso
MYR
=
Malaysian Ringgit
PLN
=
Polish Zloty
THB
=
Thai Baht
 
At January 31, 2018, the Fund had cash collateral of $110,000 deposited in a segregated account for JPMorgan Chase Bank, N.A. to cover collateral requirements on OTC derivatives.
 
 
See Notes to Schedule of Investments

Schedule of Investments Emerging Markets Debt Fund
(Unaudited) (cont’d)
 
 
 
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2018:
 
Asset Valuation Inputs
 
(000's omitted)
 
Level 1
   
Level 2
   
Level 3(b)
   
Total
 
Investments:
       
U.S. Treasury Obligations
 
$
—
   
$
3,372
   
$
—
   
$
3,372
 
Corporate Bonds(a)
   
—
     
55,201
     
—
     
55,201
 
Foreign Government Securities
                               
       Nigeria
   
—
     
2,230
     
594
     
2,824
 
       Other Foreign Government Securities(a)
   
—
     
138,930
     
—
     
138,930
 
Total Foreign Government Securities
   
—
     
141,160
     
594
     
141,754
 
Short-Term Investments
   
—
     
11,588
     
—
     
11,588
 
Total Investments
 
$
—
   
$
211,321
   
$
594
   
$
211,915
 
 
(a)
The Schedule of Investments provides a geographic categorization as well as a Positions by Industry summary.
(b)
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
 
 
 
 
 (000’s omitted)
 
 
 
 
Beginning
balance, as
of 
11/1/2017
 
 
 
 
 
Accrued
discounts/
(premiums)
 
 
 
 
 
Realized
gain/
(loss)
 
 
 
 
Change in
unrealized
appreciation/
(depreciation)
 
 
 
 
 
 
 
Purchases
 
 
 
 
 
 
 
Sales
 
 
 
 
 
Transfers
into
Level 3
 
 
 
 
 
Transfers
out of
Level 3
 
 
 
 
 
Balance,
as of
1/31/2018
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
1/31/2018
Investments in Securities:
                   
Foreign Government Securities(c)
                   
Dominican Republic
$43
$(4)
$4
$(43)
Nigeria
555
28
—
11
—
—
—
—
594
11
Total
$598
$28
$(4)
$15
$(43)
$594
$11
 
 
(c)
Securities categorized as Level 3 are valued based on a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.
 
As of the period ended January 31, 2018, no securities were transferred from one level (as of October 31, 2017) to another.
 
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's derivatives as of January 31, 2018:
 
Other Financial Instruments
       
(000's omitted)
 
Level 1
   
Level 2
   
Level 3
   
Total
 
Futures(a)
                       
Assets
 
$
557
   
$
—
   
$
—
   
$
557
 
Liabilities
   
(194
)
   
—
     
—
     
(194
)
Forward Contracts(a)
                               
Assets
   
—
     
2,244
     
—
     
2,244
 
Liabilities
   
—
     
(1,971
)
   
—
     
(1,971
)
Swaps
                               
Assets
   
—
     
514
     
—
     
514
 
Liabilities
   
—
     
(635
)
   
—
     
(635
)
Total
 
$
363
   
$
152
   
$
—
   
$
515
 
 
(a)
Futures and forward contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument.

 
 
See Notes to Schedule of Investments

Schedule of Investments Floating Rate Income Fund
(Unaudited) January 31, 2018



NUMBER OF
SHARES
 
VALUE†
 
(000's omitted)
 
(000's omitted)
 
       
Common Stocks 0.1%
 
   
Business Equipment & Services 0.1%
 
   
22
 
Brock Holdings III, Inc. (Cost  $403)
$
436
(a)(b)(c)
               
PRINCIPAL
AMOUNT
 
Loan Assignments(d) 86.0%
 
   
Aerospace & Defense 0.6%
 
       
Transdigm Inc.
     
 
$
370
 
First Lien Term Loan E, 3 month USD LIBOR + 2.75%, (4.32%), due 5/14/22
 
374
 
   
1,629
 
First Lien Term Loan F, 3 month USD LIBOR + 2.75%, (4.35%), due 6/9/23
 
1,643
 
 
2,017
 
     
Air Transport 0.3%
 
   
584
 
American Airlines Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 6/27/20
 
586
 
   
540
 
United Airlines, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.58%), due 4/1/24
 
542
 
 
1,128
 
     
All Telecom 5.9%
 
   
1,169
 
Communications Sales and Leasing Inc., First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.57%), due 10/24/22
 
1,126
 
   
1,470
 
Consolidated Communications Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.57%), due 10/5/23
 
1,448
 
       
Frontier Communications Corp.
     
   
316
 
First Lien Term Loan A, 3 month USD LIBOR + 2.50%, (4.33%), due 3/31/21
 
313
 
   
2,255
 
First Lien Term Loan B, 3 month USD LIBOR + 3.75%, (5.33%), due 6/1/24
 
2,208
 
   
396
 
GTT Communications, Inc., Term Loan, 3 month USD LIBOR + 3.25%, (4.88%), due 1/9/24
 
398
 
   
235
 
Intelsat Jackson HLDG, First Lien Term Loan B3, 3 month USD LIBOR + 3.75%, due 11/2/23
 
233
(e)(f)
   
1,485
 
Level 3 Financing, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.70%), due 2/22/24
 
1,491
 
       
Lumos Networks
     
   
344
 
First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.82%), due 10/26/24
 
348
 
   
337
 
First Lien Term Loan B, 3 month USD LIBOR + 3.25%, due 10/27/24
 
339
(e)(f)
   
2,135
 
RCN Grande, First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.57%), due 2/1/24
 
2,141
 
   
632
 
SBA Communications, First Lien Term Loan B1, 3 month USD LIBOR + 2.25%, (3.83%), due 3/24/21
 
636
 
   
2,992
 
Sprint Communications, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.13%), due 2/2/24
 
2,999
 
       
Syniverse Technologies
     
   
2,390
 
First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.57%), due 4/23/19
 
2,380
 
   
405
 
First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.69%), due 4/23/19
 
403
 
   
1,477
 
Telesat, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.70%), due 11/17/23
 
1,485
 
   
819
 
Zayo Group, First Lien Term Loan B2, 3 month USD LIBOR + 2.25%, (3.82%), due 1/19/24
 
823
 
               
 
 
2,615
 
Ziggo Secured, First Lien Term Loan E, 3 month USD LIBOR + 2.50%, (4.06%), due 4/23/25
 
2,613
(e)(f)
 
21,384
 
     
Automotive 1.3%
 
       
ABRA Auto
     
   
942
 
First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.62%), due 9/17/21
 
950
 
   
700
 
Second Lien Term Loan, 3 month USD LIBOR + 7.25%, (9.14%), due 9/17/22
 
701
 
   
154
 
Belron, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (3.89%), due 11/15/24
 
156
 
   
735
 
Caliber Collision, First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.57%), due 2/1/24
 
741
 
   
599
 
Cooper Standard Automotive Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.94%), due 11/2/23
 
603
 
   
484
 
Dealer Tire LLC, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (5.00%), due 12/22/21
 
492
(a)
   
960
 
Safe Fleet Acquisition Corp., First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.25%), due 1/22/25
 
965
 
 
4,608
 
     
Building & Development 3.4%
 
   
1,747
 
American Builders & Co. Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 10/31/23
 
1,759
 
   
535
 
Beacon Roofing Supply, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 1/2/25
 
539
 
       
Capital Automotive LP
     
   
1,587
 
First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.08%), due 3/24/24
 
1,596
 
   
1,014
 
Second Lien Term Loan, 3 month USD LIBOR + 6.00%, (7.58%), due 3/24/25
 
1,034
A
   
2,268
 
DTZ, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.78%), due 11/4/21
 
2,266
 
   
578
 
Forterra, First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.57%), due 10/25/23
 
548
(e)(f)
   
1,108
 
HD Supply Waterworks, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.46%), due 8/1/24
 
1,115
 
   
191
 
HD Supply, Inc., First Lien Term Loan B4, 3 month USD LIBOR + 2.50%, (4.19%), due 10/17/23
 
193
 
   
416
 
Mueller Water Products Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.09%), due 11/25/21
 
420
(a)
   
276
 
Ply Gem Industries, Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.69%), due 1/30/21
 
278
 
   
683
 
Quikrete, Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 11/15/23
 
686
 
       
Realogy Group
     
   
558
 
First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.94%), due 7/20/22
 
562
 
   
770
 
First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.00%), due 1/25/25
 
775
 
   
695
 
Vici, First Lien Term Loan, 3 month USD LIBOR + 2.25%, due 12/15/24
 
700
(e)(f)
 
12,471
 
     
Business Equipment & Services 9.7%
 
   
2,590
 
Acosta Inc., First Lien Term Loan B1, 3 month USD LIBOR + 3.25%, (4.82%), due 9/26/21
 
2,248
 
       
Advantage Sales and Marketing
     
 
 
870
 
First Lien Term Loan, 3 month USD LIBOR + 3.25%, (5.02%), due 7/25/21
 
859
 
   
353
 
First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.81%), due 7/25/21
 
349
 
   
640
 
Second Lien Term Loan, 3 month USD LIBOR + 6.50%, (8.27%), due 7/25/22
 
597
 
   
392
 
Alixpartners, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.44%), due 4/4/24
 
395
 
       
Brickman Group Holdings Inc.
     
   
1,204
 
Term Loan, 3 month USD LIBOR + 3.00%, (4.50%), due 12/18/20
 
1,212
 
   
95
 
Second Lien Term Loan, 3 month USD LIBOR + 6.50%, (8.06%), due 12/18/21
 
95
 
   
582
 
CCC Information Services Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.58%), due 4/29/24
 
585
 
   
397
 
Ceridian Corp., First Lien Term Loan B2, 3 month USD LIBOR + 3.50%, (5.07%), due 9/15/20
 
399
 
   
1,478
 
Change Healthcare Holdings, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 3/1/24
 
1,486
(e)(f)
   
814
 
ConvergeOne, First Lien Term Loan B, 3 month USD LIBOR + 4.75%, (6.45%), due 6/20/24
 
815
 
   
879
 
CSC Serviceworks, First Lien Term Loan B, 3 month USD LIBOR + 3.75%, (5.49%), due 11/14/22
 
886
 
   
1,380
 
Element Materials, First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (5.19%), due 6/2/24
 
1,385
(a)
   
946
 
Endurance International, First Lien Term Loan, 3 month USD LIBOR + 4.00%, (5.46%), due 2/9/23
 
953
 
       
First Data Corporation
     
   
4,226
 
First Lien Term Loan, 3 month USD LIBOR + 2.25%, (3.81%), due 7/10/22
 
4,254
 
   
220
 
First Lien Term Loan, 3 month USD LIBOR + 2.25%, (3.81%), due 4/26/24
 
222
 
   
667
 
FleetCor Technologies, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 8/2/24
 
670
 
   
1,930
 
Garda World Security, Term Loan, 3 month USD LIBOR + 4.00%, (4.97%), due 5/3/24
 
1,946
 
   
1,569
 
Genesys, First Lien Term Loan B, 3 month USD LIBOR + 3.75%, (5.44%), due 12/1/23
 
1,580
 
   
287
 
Global Payments, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 5/2/23
 
289
 
       
Kronos
     
   
921
 
First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (4.90%), due 11/1/23
 
929
 
   
230
 
Second Lien Term Loan, 3 month USD LIBOR + 8.25%, (9.63%), due 11/1/24
 
239
 
   
981
 
Mitchell International, Inc., Second Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.94%), due 11/20/24
 
985
 
   
575
 
On Assignment, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 6/5/22
 
576
 
   
1,853
 
Presidio, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.44%), due 2/2/24
 
1,863
 
   
530
 
Prometric Inc., First Lien Term Loan, 3 month USD LIBOR + 3.00%, due 1/18/25
 
536
(e)(f)
   
1,780
 
Protection One, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 5/2/22
 
1,795
 
   
983
 
Servicemaster Company, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 11/8/23
 
988
 
   
1,431
 
Solera, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.82%), due 3/3/23
 
1,441
 
   
214
 
Switch Ltd., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.81%), due 6/27/24
 
215
 
 
 
980
 
Tempo Acquisition LLC, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.57%), due 5/1/24
 
984
 
   
701
 
TRANS UNION LLC, First Lien Term Loan B2, 3 month USD LIBOR + 2.00%, (3.57%), due 4/9/23
 
705
 
   
547
 
Vantiv, First Lien Term Loan B3, 3 month USD LIBOR + 2.00%, (3.56%), due 10/14/23
 
551
 
   
1,450
 
West, First Lien Term Loan, 3 month USD LIBOR + 4.00%, (5.57%), due 10/3/24
 
1,465
 
   
796
 
Wex, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (3.82%), due 7/1/23
 
805
 
 
35,302
 
     
Cable & Satellite Television 3.4%
 
   
370
 
Altice Financing, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.47%), due 7/15/25
 
365
 
   
976
 
Cablevision Systems Corp., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.81%), due 7/17/25
 
977
 
   
1,663
 
Cequel Communications, LLC, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 7/14/25
 
1,665
 
   
1,238
 
Charter Communications Operating LLC, First Lien Term Loan B,  due 4/30/25
 
1,245
(e)(f)
   
223
 
Lions Gate, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 12/8/23
 
225
(a)
   
675
 
Mediacom Illinois LLC, First Lien Term Loan K, 3 month USD LIBOR + 2.25%, (3.72%), due 2/19/24
 
682
(a)
       
Numericable
     
   
1,459
 
First Lien Term Loan B11, 3 month USD LIBOR + 2.75%, (4.33%), due 7/31/25
 
1,399
 
   
848
 
First Lien Term Loan B12, 3 month USD LIBOR + 3.00%, (4.72%), due 1/6/26
 
816
 
   
955
 
Telenet, First Lien Term Loan AL, 3 month USD LIBOR + 2.50%, (4.06%), due 3/31/26
 
960
 
       
Unity Media
     
   
660
 
First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.81%), due 9/30/25
 
661
 
   
370
 
First Lien Term Loan D, 3 month USD LIBOR + 2.25%, due 1/15/26
 
371
(e)(f)
   
1,300
 
UPC Financing Partnership, First Lien Term Loan AR, 3 month USD LIBOR + 2.50%, (4.06%), due 1/15/26
 
1,305
(e)(f)
   
1,205
 
Virgin Media, First Lien Term Loan K, 3 month USD LIBOR + 2.50%, (4.06%), due 1/31/26
 
1,212
 
   
678
 
Wide Open West, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.81%), due 8/19/23
 
678
 
 
12,561
 
     
Chemicals & Plastics 2.6%
 
       
Allnex
     
   
341
 
First Lien Term Loan B2, 3 month USD LIBOR + 3.25%, (4.71%), due 9/13/23
 
343
 
   
257
 
First Lien Term Loan B3, 3 month USD LIBOR + 3.25%, (4.71%), due 9/13/23
 
259
 
   
1,301
 
Diversey, First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.54%), due 9/6/24
 
1,294
(e)(f)
   
617
 
Dupont Performance Coatings, First Lien Term Loan, 3 month USD LIBOR + 2.00%, (3.69%), due 6/1/24
 
622
 
   
1,109
 
HB Fuller, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.81%), due 10/11/24
 
1,117
 
   
1,515
 
Ineos Finance PLC, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 3/31/24
 
1,522
 
 
 
1,055
 
KIK Custom Products, Inc., First Lien Term Loan B, 3 month USD LIBOR + 4.50%, (6.17%), due 8/26/22
 
1,065
 
   
379
 
Pq Corp., First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.83%), due 11/4/22
 
382
 
       
Solenis
     
   
997
 
First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.73%), due 7/31/21
 
995
 
   
408
 
Second Lien Term Loan, 3 month USD LIBOR + 6.75%, (8.23%), due 7/31/22
 
393
 
   
1,605
 
Univar USA, Inc., Second Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 7/1/24
 
1,619
 
 
9,611
 
     
Conglomerates 0.1%
 
   
269
 
Penn Engineering, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 6/27/24
 
269
 
               
Containers & Glass Products 3.5%
 
       
Berlin Packaging
     
   
2,730
 
First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.87%), due 10/1/21
 
2,751
 
   
525
 
Second Lien Term Loan, 3 month USD LIBOR + 6.75%, (8.32%), due 10/1/22
 
529
 
       
Berry Plastics
     
   
867
 
First Lien Term Loan M, 3 month USD LIBOR + 2.25%, (3.82%), due 10/1/22
 
873
 
   
1,161
 
First Lien Term Loan N, 3 month USD LIBOR + 2.25%, (3.80%), due 1/19/24
 
1,169
 
   
1,060
 
BWAY Corporation, First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.96%), due 4/3/24
 
1,068
 
   
599
 
Consolidated Container, First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (5.07%), due 5/9/24
 
601
 
   
684
 
Proampac, First Lien Term Loan, 3 month USD LIBOR + 4.00%, (5.00%), due 11/20/23
 
691
 
   
1,467
 
Reynolds Group, First Lien Term Loan, 3 month USD LIBOR + 2.75%, (4.32%), due 2/5/23
 
1,478
 
   
2,548
 
SIG Combibloc Group, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.57%), due 3/12/22
 
2,565
 
   
580
 
Tekni-Plex Inc., First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.75%), due 10/4/24
 
583
 
       
Tricorbraun
     
   
281
 
First Lien Term Loan, 3 month USD LIBOR + 3.75%, (5.44%), due 10/30/23
 
282
 
   
28
 
First Lien Term Loan, 3 month USD LIBOR + 3.50%, (5.39%), due 10/31/23
 
29
 
 
12,619
 
     
Cosmetics - Toiletries 0.2%
 
   
841
 
Prestige Brands, Inc., First Lien Term Loan B4, 3 month USD LIBOR + 2.75%, (4.32%), due 1/26/24
 
848
 
               
Diversified Insurance 0.0%(g)
 
   
25
 
Sedgwick Claims Management, First Lien Term Loan, 3 month USD LIBOR + 2.75%, due 2/28/21
 
25
(e)(f)
               
Drugs 3.2%
 
   
4,020
 
Endo Pharma, First Lien Term Loan B, 3 month USD LIBOR + 4.25%, (5.88%), due 4/27/24
 
4,022
 
   
4,041
 
Pharmaceutical Product Development, Inc., First Lien Term Loan, 3 month USD LIBOR + 2.75%, (4.37%), due 8/18/22
 
4,068
 
 
 
598
 
Pharmaceutical Technologies & Services, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 5/20/24
 
602
 
   
3,026
 
Valeant Pharmaceuticals, First Lien Term Loan BF3, 3 month USD LIBOR + 3.50%, (5.06%), due 4/1/22
 
3,071
 
 
11,763
 
     
Ecological Services & Equipment 0.7%
 
   
1,850
 
ADS Waste Holdings, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.72%), due 11/10/23
 
1,861
(e)(f)
   
520
 
Waste Industries USA Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.57%), due 9/20/24
 
524
 
 
2,385
 
     
Electronics - Electrical 8.6%
 
       
Applied Systems
     
   
1,217
 
First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.94%), due 9/18/24
 
1,229
 
   
500
 
Second Lien Term Loan, 3 month USD LIBOR + 7.00%, (8.69%), due 9/18/25
 
517
 
   
2,543
 
Avast Software BV, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.44%), due 9/30/23
 
2,558
 
   
2,738
 
BMC Software, First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.82%), due 9/10/22
 
2,751
(e)(f)
   
424
 
CommScope, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.48%), due 12/29/22
 
427
 
   
501
 
CPI ACQUISITION INC., First Lien Term Loan, 3 month USD LIBOR + 4.50%, (6.36%), due 8/17/22
 
375
 
   
3,897
 
Datatel-Sophia LP, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.94%), due 9/30/22
 
3,919
 
   
2,389
 
Dell, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.58%), due 9/7/23
 
2,398
 
   
1,262
 
Go Daddy, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 2/15/24
 
1,271
 
       
Hyland Software, Inc.
     
   
804
 
First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.82%), due 7/1/22
 
809
 
   
135
 
Second Lien Term Loan, 3 month USD LIBOR + 7.00%, (8.57%), due 7/7/25
 
138
(a)
   
450
 
IFS, First Lien Term Loan B, 3 month USD LIBOR + 3.75%, due 7/25/24
 
449
(e)(f)
   
1,853
 
Infor Global Solutions Ltd., First Lien Term Loan, 3 month USD LIBOR + 2.75%, (4.44%), due 2/1/22
 
1,862
 
   
1,047
 
Mcafee, First Lien Term Loan B, 3 month USD LIBOR + 4.50%, (6.07%), due 9/29/24
 
1,057
 
   
361
 
MKS Instruments, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 4/29/23
 
364
 
   
702
 
On Semiconductor, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 3/31/23
 
707
 
       
Optiv, Inc.
     
   
1,841
 
First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.63%), due 2/1/24
 
1,749
 
   
425
 
Second Lien Term Loan, 3 month USD LIBOR + 7.25%, (8.63%), due 2/1/25
 
389
 
   
3,200
 
Rackspace Hosting, Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.38%), due 11/3/23
 
3,227
 
   
1,602
 
Riverbed Technology, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.83%), due 4/24/22
 
1,582
 
       
SkillSoft
     
 
 
352
 
First Lien Term Loan, 3 month USD LIBOR + 4.75%, (6.32%), due 4/28/21
 
344
 
   
317
 
Second Lien Term Loan, 3 month USD LIBOR + 8.25%, (9.82%), due 4/28/22
 
285
 
   
1,610
 
Vertafore, First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.82%), due 6/17/23
 
1,626
 
   
524
 
Western Digital Corp., First Lien Term Loan B, 3 month USD LIBOR + 2.00%, due 4/29/23
 
527
(e)(f)
   
819
 
Zebra Technologies, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.75%), due 10/27/21
 
824
 
 
31,384
 
     
Equipment Leasing 1.0%
 
   
760
 
Aercap, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.69%), due 10/30/22
 
765
 
   
2,826
 
Avolon, First Lien Term Loan B2, 3 month USD LIBOR + 2.25%, (3.81%), due 4/3/22
 
2,821
 
 
3,586
 
     
Financial Intermediaries 1.3%
 
   
1,653
 
CITCO, First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.57%), due 4/3/22
 
1,665
 
   
563
 
Fortress Investment Group, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 7/14/22
 
571
 
   
1,716
 
Grosvenor Capital Management Holdings, LLP, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.57%), due 8/18/23
 
1,720
 
   
361
 
Lender Processing Services, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.88%), due 5/27/22
 
364
(a)
   
560
 
Royalty Pharma AG, First Lien Term Loan B6, 3 month USD LIBOR + 2.00%, (3.69%), due 3/27/23
 
563
 
 
4,883
 
     
Food & Drug Retailers 1.4%
 
       
Albertsons LLC
     
   
785
 
First Lien Term Loan B4, 3 month USD LIBOR + 2.75%, (4.32%), due 8/25/21
 
781
 
   
1,802
 
First Lien Term Loan B5, 3 month USD LIBOR + 3.00%, (4.67%), due 12/21/22
 
1,791
 
   
1,187
 
First Lien Term Loan B6, 3 month USD LIBOR + 3.00%, (4.46%), due 6/22/23
 
1,179
(e)(f)
   
1,500
 
General Nutrition Centers, First Lien Term Loan, 3 month USD LIBOR + 2.50%, (4.07%), due 3/4/19
 
1,338
 
 
5,089
 
     
Food Products 1.0%
 
   
515
 
B&G Foods Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.57%), due 11/2/22
 
520
 
   
576
 
DE Master Blenders, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.69%), due 7/2/22
 
580
 
   
986
 
Del Monte Foods, First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.70%), due 2/18/21
 
834
 
   
340
 
Nomad Foods Europe Midco Ltd., First Lien Term Loan, 3 month USD LIBOR + 2.25%, (3.81%), due 5/15/24
 
342
 
   
517
 
Pinnacle Foods Finance, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.56%), due 2/2/24
 
521
 
   
955
 
Post Holdings, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 5/24/24
 
961
 
 
3,758
 
     
Food Service 1.5%
 
 
 
605
 
ARBYS, First Lien Term Loan, 3 month USD LIBOR + 3.25%, due 1/19/25
 
613
(e)(f)
   
1,354
 
Burger King Corporation, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.85%), due 2/17/24
 
1,361
 
   
1,044
 
Manitowoc Foodservice, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 3/3/23
 
1,053
 
   
1,605
 
US Foods, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.07%), due 6/27/23
 
1,621
 
   
982
 
Yum Brands, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.56%), due 6/16/23
 
989
 
 
5,637
 
     
Health Care 6.2%
 
   
1,948
 
Acadia Healthcare Co., First Lien Term Loan B2, 3 month USD LIBOR + 2.75%, (4.31%), due 2/16/23
 
1,963
 
       
Air Medical Group Holding
     
   
495
 
First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.94%), due 4/28/22
 
500
 
   
532
 
First Lien Term Loan B1, 3 month USD LIBOR + 4.00%, (5.67%), due 4/28/22
 
537
 
   
30
 
First Lien Term Loan B, 3 month USD LIBOR + 4.25%, due 7/3/24
 
30
(e)(f)
       
CHS/Community Health
     
   
1,532
 
First Lien Term Loan G1, 3 month USD LIBOR + 2.75%, (4.23%), due 12/31/19
 
1,511
(e)(f)
   
1,871
 
First Lien Term Loan H1, 3 month USD LIBOR + 3.00%, (4.48%), due 1/27/21
 
1,834
 
       
Concentra Operating Company
     
   
1,436
 
First Lien Term Loan 1, 3 month USD LIBOR + 3.00%, (4.49%), due 6/1/22
 
1,449
 
   
395
 
Second Lien Term Loan, 3 month USD LIBOR + 6.50%, (7.50%), due 6/1/23
 
395
(a)
   
980
 
Convatec Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.94%), due 10/26/23
 
988
 
   
954
 
Davita Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 6/24/21
 
966
 
   
2,059
 
Envision Healthcare, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.58%), due 12/1/23
 
2,066
 
   
1,176
 
Grifols SA, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.72%), due 1/19/25
 
1,183
 
   
497
 
IMS Health Incorporated, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.69%), due 3/7/24
 
500
 
   
867
 
INC Research, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 8/1/24
 
871
 
   
1,426
 
Mallinckrodt International, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.44%), due 9/24/24
 
1,423
 
   
244
 
Mediware Information System, First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (5.07%), due 2/9/24
 
246
 
   
2,403
 
Multiplan, Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.69%), due 6/7/23
 
2,419
 
   
1,053
 
National Mentor, Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.69%), due 1/31/21
 
1,066
 
   
557
 
Surgery Partners, First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.82%), due 9/3/24
 
557
 
   
2,033
 
Team Health, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 2/6/24
 
1,993
 
 
22,497
 
     
Industrial Equipment 3.5%
 
       
Crosby Worldwide
     
 
 
1,550
 
First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.45%), due 11/22/20
 
1,522
 
   
440
 
Second Lien Term Loan, 3 month USD LIBOR + 6.00%, (7.45%), due 11/22/21
 
412
 
   
1,946
 
Doosan Infracore, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.19%), due 5/19/24
 
1,966
 
   
1,415
 
Filtration Group, First Lien Term Loan, 3 month USD LIBOR + 3.00%, (4.48%), due 11/21/20
 
1,432
 
   
364
 
Gardner Denver, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.44%), due 7/30/24
 
366
 
   
774
 
Gates Global LLC, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.69%), due 3/31/24
 
780
 
   
447
 
Harsco, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.63%), due 12/5/24
 
452
 
   
1,285
 
Husky Injection Molding, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.82%), due 6/30/21
 
1,291
 
   
439
 
Hyster-Yale Group, First Lien Term Loan B, 3 month USD LIBOR + 4.00%, (5.57%), due 5/30/23
 
443
 
   
2,401
 
Milacron LLC, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 9/24/23
 
2,417
 
   
743
 
Minimax Viking, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.07%), due 8/16/23
 
747
 
   
1,017
 
Signode Industrial, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.36%), due 5/1/21
 
1,018
 
 
12,846
 
     
Insurance 0.6%
 
       
Sedgwick Holdings Inc.
     
   
1,550
 
First Lien Term Loan, 3 month USD LIBOR + 2.75%, (4.32%), due 2/28/21
 
1,553
 
   
158
 
First Lien Term Loan, 4.32%, due 2/28/21
 
158
 
   
285
 
Second Lien Term Loan, 3 month USD LIBOR + 5.75%, (7.23%), due 2/28/22
 
288
 
   
120
 
Second Lien Term Loan, 3 month USD LIBOR + 5.75%, (7.32%), due 2/28/22
 
122
 
 
2,121
 
     
Leisure Goods - Activities - Movies 3.0%
 
   
494
 
Amc Entertainment, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (3.81%), due 12/15/22
 
495
 
   
657
 
Clubcorp, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.94%), due 8/15/24
 
662
 
   
2,340
 
Formula One, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (3.50%), due 2/1/24
 
2,348
 
   
785
 
Match Group Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.06%), due 11/16/22
 
793
(a)
   
2,687
 
Nielsen Business Media, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.42%), due 5/22/24
 
2,705
 
   
325
 
Regal Cinemas Corporation, First Lien Term Loan, 3 month USD LIBOR + 2.00%, (3.57%), due 4/1/22
 
325
 
   
2,426
 
Seaworld, First Lien Term Loan B5, 3 month USD LIBOR + 3.00%, (4.69%), due 3/31/24
 
2,422
(e)(f)
   
995
 
Warner Music, First Lien Term Loan, 3 month USD LIBOR + 2.25%, (3.81%), due 11/1/23
 
1,000
 
 
10,750
 
     
Lodging & Casinos 6.8%
 
 
 
530
 
Aristocrat Leisure, First Lien Term Loan, 3 month USD LIBOR + 2.00%, (3.74%), due 10/19/24
 
534
 
   
299
 
Belmond, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 7/3/24
 
300
 
   
1,324
 
Boyd Gaming Corporation, First Lien Term Loan B2, 3 month USD LIBOR + 2.50%, (3.97%), due 9/15/23
 
1,333
 
   
920
 
Caesars Entertainment, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 10/6/24
 
926
 
   
1,095
 
Caesars Resort Collection, First Lien Term Loan, 3 month USD LIBOR + 2.75%, (4.33%), due 9/28/24
 
1,108
 
   
1,517
 
CityCenter, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 4/18/24
 
1,528
 
   
2,039
 
Cowlitz Tribal Gaming, First Lien Term Loan B, 3 month USD LIBOR + 10.50%, (12.07%), due 12/6/21
 
2,263
(a)(c)
   
554
 
Eldorado Resorts, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.84%), due 4/17/24
 
558
(a)
   
1,595
 
Extended Stay, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 8/30/23
 
1,608
 
   
1,032
 
Four Seasons Holdings Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 11/30/23
 
1,041
 
       
Golden Entertainment
     
   
1,369
 
First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.57%), due 10/20/24
 
1,378
(e)(f)
   
630
 
Second Lien Term Loan, 3 month USD LIBOR + 7.00%, (8.57%), due 8/15/25
 
633
(a)(e)(f)
   
894
 
Hilton Worldwide, First Lien Term Loan B2, 3 month USD LIBOR + 2.25%, (3.56%), due 10/25/23
 
901
 
   
898
 
MGM Growth Properties, First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.82%), due 4/25/23
 
904
 
       
Mohegan Tribal Gaming
     
   
284
 
First Lien Term Loan A, 3 month USD LIBOR + 3.75%, (5.32%), due 10/13/21
 
285
 
   
1,685
 
First Lien Term Loan B, 3 month USD LIBOR + 4.00%, (5.57%), due 10/13/23
 
1,700
 
   
500
 
Penn National Gaming, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 1/19/24
 
502
 
   
2,675
 
Scientific Games Corp., First Lien Term Loan B4, 3 month USD LIBOR + 3.25%, (4.76%), due 8/14/24
 
2,689
 
   
1,903
 
Station Casinos, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 6/8/23
 
1,913
 
   
2,586
 
Twin Rivers Casino, First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (5.19%), due 7/10/20
 
2,617
 
 
24,721
 
     
Oil & Gas 1.7%
 
   
374
 
Chesapeake Energy Corp., First Lien Term Loan, 3 month USD LIBOR + 7.50%, (8.95%), due 8/23/21
 
400
 
   
1,005
 
EagleClaw, First Lien Term Loan, 3 month USD LIBOR + 4.25%, (5.73%), due 6/6/24
 
1,012
 
   
1,807
 
Energy Transfer Equity, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.56%), due 2/2/24
 
1,810
 
   
715
 
Gavilan Resources, Second Lien Term Loan, 3 month USD LIBOR + 6.00%, (7.56%), due 3/1/24
 
717
(e)(f)
   
1,420
 
Rover, First Lien Term Loan B, 3 month USD LIBOR + 4.00%, (5.58%), due 10/31/24
 
1,437
 
 
 
875
 
Traverse Midstream, First Lien Term Loan B, 3 month USD LIBOR + 4.00%, (5.85%), due 9/22/24
 
886
 
 
6,262
 
     
Publishing 0.7%
 
   
897
 
Harland Clarke Holdings Corp., First Lien Term Loan B7, 3 month USD LIBOR + 4.75%, (6.44%), due 10/31/23
 
906
 
   
625
 
Meredith Corp., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, due 1/17/25
 
632
(e)(f)
   
889
 
Nielsen Finance LLC, First Lien Term Loan B4, 3 month USD LIBOR + 2.00%, (3.55%), due 10/4/23
 
894
 
 
2,432
 
     
Radio & Television 2.6%
 
   
1,702
 
Cumulus Media, First Lien Term Loan B, 3 month USD LIBOR + 3.25%, (4.83%), due 12/23/20
 
1,461
 
   
490
 
Gray Television Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.81%), due 2/7/24
 
493
 
   
1,529
 
iHeartCommunications Inc., First Lien Term Loan D, 3 month USD LIBOR + 6.75%, (8.44%), due 1/30/19
 
1,169
 
   
186
 
Mission Broadcasting, First Lien Term Loan, 3 month USD LIBOR + 2.50%, (4.07%), due 1/17/24
 
187
(e)(f)
   
1,473
 
Nexstar Broadcasting, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 1/17/24
 
1,481
(e)(f)
       
Sinclair Broadcasting
     
   
891
 
First Lien Term Loan B2, 3 month USD LIBOR + 2.25%, (3.83%), due 1/3/24
 
895
 
   
680
 
First Lien Term Loan B, 3 month USD LIBOR + 2.50%, due 12/7/24
 
686
(e)(f)
   
3,186
 
Univision Communications Inc., First Lien Term Loan C5, 3 month USD LIBOR + 2.75%, (4.32%), due 3/15/24
 
3,187
(e)(f)
 
9,559
 
     
Retailers (except food & drug) 2.5%
 
   
2,125
 
Bass Pro Shops, First Lien Term Loan B, 3 month USD LIBOR + 5.00%, (6.57%), due 9/25/24
 
2,135
 
       
BJS Wholesale Club Inc.
     
   
2,048
 
First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (4.95%), due 1/27/24
 
2,047
(e)(f)
   
455
 
Second Lien Term Loan, 3 month USD LIBOR + 7.50%, (8.95%), due 1/27/25
 
456
 
   
372
 
Jo-Ann Stores, First Lien Term Loan B, 3 month USD LIBOR + 5.00%, (6.55%), due 10/21/23
 
370
(a)
   
1,149
 
PetSmart, Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.57%), due 3/10/22
 
929
 
       
Sally Beauty
     
   
369
 
First Lien Term Loan B1, 3 month USD LIBOR + 2.50%, (4.13%), due 6/22/24
 
372
 
   
555
 
First Lien Term Loan B2, 4.50%, due 6/22/24
 
554
(j)
   
2,428
 
Staples, First Lien Term Loan, 3 month USD LIBOR + 4.00%, (5.49%), due 8/14/24
 
2,415
(e)(f)
 
9,278
 
     
Steel 0.8%
 
   
1,655
 
McJunkin Red Man Corporation, First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (5.07%), due 9/14/24
 
1,676
 
   
1,387
 
TMS International, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.63%), due 8/9/24
 
1,390
(a)
 
3,066
 
     
Surface Transport 0.5%
 
 
 
1,239
 
Avis Budget Car Rental, First Lien Term Loan B, 3 month USD LIBOR + 2.00%, (3.70%), due 3/15/22
 
1,242
 
   
738
 
Hertz Corporation, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 6/30/23
 
738
 
 
1,980
 
     
Telecommunications 1.3%
 
   
          3,725
 
Centurylink, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 1/31/25
                             3,667
 
       
Intelsat Jackson HLDG
     
   
951
 
First Lien Term Loan B5, 3 month USD LIBOR + 0.00%, due 1/14/24
 
955
(e)(f)
   
145
 
First Lien Term Loan B4, 3 month USD LIBOR + 4.50%, (5.50%), due 1/14/24
 
147
 
 
4,769
 
     
Utilities 6.1%
 
       
Calpine Corp.
     
   
428
 
First Lien Term Loan B6, 3 month USD LIBOR + 2.50%, (4.20%), due 1/15/23
 
431
(e)(f)
   
1,307
 
First Lien Term Loan B7, 3 month USD LIBOR + 2.75%, (4.20%), due 5/31/23
 
1,313
 
   
306
 
First Lien Term Loan B5, 3 month USD LIBOR + 2.75%, (4.20%), due 1/16/24
 
307
 
   
835
 
Compass Power Generation, First Lien Term Loan B, 3 month USD LIBOR + 3.75%, (5.39%), due 12/14/24
 
845
 
   
3,424
 
Dynegy Holdings Inc., First Lien Term Loan C, 3 month USD LIBOR + 2.75%, (4.31%), due 2/7/24
 
3,457
(e)(f)
   
2,060
 
Energy Future Intermediate Holding Co. LLC, First Lien Term Loan, 3 month USD LIBOR + 3.25%, (4.57%), due 6/28/18
 
2,067
 
   
660
 
Exgen Renewable, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.47%), due 11/16/24
 
668
 
   
991
 
Helix Gen Funding LLC, First Lien Term Loan B, 3 month USD LIBOR + 3.75%, (5.44%), due 6/2/24
 
1,000
 
   
1,554
 
Nautilus Power LLC, First Lien Term Loan B, 3 month USD LIBOR + 4.25%, (5.82%), due 5/16/24
 
1,577
 
   
880
 
NRG Energy Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.25%, (3.94%), due 6/30/23
 
884
 
   
969
 
RJS Power Holdings LLC, First Lien Term Loan B1, 3 month USD LIBOR + 4.00%, (5.57%), due 7/6/23
 
976
 
       
Texas Competitive
     
   
598
 
First Lien Term Loan C, 3 month USD LIBOR + 2.75%, (4.06%), due 8/4/23
 
603
 
   
3,376
 
First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.07%), due 8/4/23
 
3,401
 
   
257
 
First Lien Term Loan B2, 3 month USD LIBOR + 2.75%, (4.31%), due 12/14/23
 
259
 
   
1,508
 
First Lien Term Loan B2, 3 month USD LIBOR + 4.00%, (5.57%), due 4/13/24
 
1,518
 
   
2,952
 
TPF II, First Lien Term Loan B, 3 month USD LIBOR + 3.75%, (5.32%), due 10/2/23
 
2,991
 
 
22,297
 
   
 
Total Loan Assignments (Cost $313,318)
 
313,906
 
   
Corporate Bonds 5.7%
 
   
Business Equipment & Services 0.1%
 
   
252
 
Brock Holdings Notes 2022, 15.00%, due 10/24/22
 
252
(a)(b)(c)
   
Cable & Satellite Television 0.5%
 
 
 
535
 
Altice Financing SA, 6.63%, due 2/15/23
 
542
(h)
   
360
 
Altice US Finance I Corp., 5.38%, due 7/15/23
 
369
(h)
   
360
 
CSC Holdings LLC, 6.75%, due 11/15/21
 
386
 
   
540
 
Numericable-SFR SA, 6.00%, due 5/15/22
 
528
(h)
 
1,825
 
Chemicals 0.1%
 
   
370
 
PQ Corp., 6.75%, due 11/15/22
 
395
(h)
               
Consumer - Commercial Lease Financing 0.2%
 
   
375
 
Park Aerospace Holdings Ltd., 5.25%, due 8/15/22
 
370
(h)
   
530
 
SLM Corp., 5.50%, due 1/25/23
 
532
 
 
902
 
     
Energy - Exploration & Production 0.3%
 
   
360
 
Chesapeake Energy Corp., 8.00%, due 12/15/22
 
386
(h)
   
860
 
EP Energy LLC/Everest Acquisition Finance, Inc., 8.00%, due 2/15/25
 
679
(h)
 
1,065
 
     
Gaming 0.2%
 
   
295
 
Int'l Game Technology PLC, 5.63%, due 2/15/20
 
306
(h)
   
410
 
Scientific Games Int'l, Inc., 5.00%, due 10/15/25
 
411
(h)
 
717
 
     
Gas Distribution 0.5%
 
       
Cheniere Corpus Christi Holdings LLC
     
   
380
 
5.88%, due 3/31/25
 
410
 
   
420
 
5.13%, due 6/30/27
 
434
 
   
480
 
Energy Transfer Equity L.P., 4.25%, due 3/15/23
 
482
 
   
325
 
Sabine Pass Liquefaction LLC, 5.63%, due 2/1/21
 
346
 
   
370
 
Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 4.25%, due 11/15/23
 
365
 
 
2,037
 
     
Health Facilities 0.4%
 
   
570
 
MPT Operating Partnership L.P./MPT Finance Corp., 5.00%, due 10/15/27
 
564
 
   
829
 
Tenet Healthcare Corp., 4.63%, due 7/15/24
 
815
(h)
 
1,379
 
     
Lodging & Casinos 0.0%(g)
 
   
125
 
Scientific Games Int'l, Inc., 7.00%, due 1/1/22
 
132
(i)
               
Media Content 0.1%
 
   
535
 
Univision Communications, Inc., 5.13%, due 2/15/25
 
519
(h)
               
               
Oil Field Equipment & Services 0.1%
 
   
340
 
Precision Drilling Corp., 7.75%, due 12/15/23
 
365
 
               
Packaging 0.6%
 
   
765
 
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc., 4.25%, due 9/15/22
 
770
(h)
   
880
 
BWAY Holding Co., 5.50%, due 4/15/24
 
912
(h)
   
475
 
Reynolds Group Issuer, Inc., 3 month USD LIBOR + 3.50%, (5.22%), due 7/15/21
 
483
(d)(h)
 
2,165
 
     
Pharmaceuticals 0.8%
 
       
Valeant Pharmaceuticals Int'l, Inc.
     
 
 
1,045
 
6.50%, due 3/15/22
 
1,095
(h)
   
1,055
 
7.00%, due 3/15/24
 
1,122
(h)
   
705
 
5.50%, due 11/1/25
 
712
(h)
 
2,929
 
     
     
Printing & Publishing 0.1%
 
   
365
 
Harland Clarke Holdings Corp., 8.38%, due 8/15/22
 
380
(h)
               
Restaurants 0.2%
 
   
615
 
1011778 BC ULC/New Red Finance, Inc., 5.00%, due 10/15/25
 
616
(h)
               
Steel Producers - Products 0.3%
 
   
950
 
Big River Steel LLC/BRS Finance Corp., 7.25%, due 9/1/25
 
1,019
(h)
               
Support - Services 0.1%
 
   
330
 
Hertz Corp., 7.63%, due 6/1/22
 
345
(h)
               
Telecom - Wireless 0.8%
 
   
825
 
Sprint Spectrum Co., LLC, 3.36%, due 9/20/21
 
828
(h)
   
2,320
 
Wind Tre SpA, 5.00%, due 1/20/26
 
2,106
(h)
 
2,934
 
Utilities 0.3%
 
   
585
 
Dynegy, Inc., 7.63%, due 11/1/24
 
632
 
   
390
 
NRG Energy, Inc., 6.25%, due 7/15/22
 
404
 
 
1,036
 
   
 
Total Corporate Bonds (Cost $21,028)
 
21,012
 
   
Asset-Backed Securities 2.3%
 
   
285
 
ALM VII Ltd., Ser. 2012-7A, Class DR, 3 month USD LIBOR + 7.10%, (8.82%), due 10/15/28
 
294
(d)(h)
   
390
 
Apidos CLO, Ser. 2015-22A, Class D, 3 month USD LIBOR + 6.00%, (7.74%), due 10/20/27
 
397
(d)(h)
   
500
 
Ares XLIII CLO Ltd., Ser. 2017-43A, Class E, 3 month USD LIBOR + 6.47%, (8.19%), due 10/15/29
 
514
(d)(h)
   
285
 
California Street CLO IX L.P., Ser. 2012-9A, Class ER, 3 month USD LIBOR + 7.18%, (8.90%), due 10/16/28
 
295
(d)(h)
   
385
 
Highbridge Loan Management Ltd., Ser. 2015-7A, Class E, 3 month USD LIBOR + 5.75%, (7.17%), due 11/15/26
 
385
(d)(h)
   
270
 
LCM Ltd. Partnership, Ser. 19A, Class E2, 3 month USD LIBOR + 5.70%, (7.42%), due 7/15/27
 
274
(d)(h)
   
385
 
Magnetite CLO Ltd., Ser. 2015-15A, Class E, 3 month USD LIBOR + 6.45%, (8.20%), due 10/25/27
 
386
(d)(h)
       
Palmer Square CLO Ltd.
     
   
1,000
 
Ser. 2013-2A, Class DR, 3 month USD LIBOR + 6.10%, (7.83%), due 10/17/27
 
1,026
(d)(h)
   
1,000
 
Ser. 2015-1A, Class DR, 3 month USD LIBOR + 6.20%, (7.64%), due 5/21/29
 
1,021
(d)(h)
   
335
 
Riserva CLO Ltd., Ser. 2016-3A, Class E, 3 month USD LIBOR + 6.75%, (8.48%), due 10/18/28
 
344
(d)(h)
   
500
 
Symphony CLO XIV Ltd., Ser. 2014-14A, Class E, 3 month USD LIBOR + 4.60%, (6.32%), due 7/14/26
 
500
(d)(h)
   
685
 
TCI-Flatiron CLO Ltd., Ser. 2016-1A, Class E, 3 month USD LIBOR + 7.25%, (8.98%), due 7/17/28
 
706
(d)(h)
   
250
 
TIAA CLO Ltd., Ser. 2017-1A, Class E, 3 month USD LIBOR + 5.85%, (7.59%), due 4/20/29
 
251
(d)(h)
   
1,000
 
TRESTLES CLO Ltd., Ser. 2017-1A, Class D, 3 month USD LIBOR + 6.68%, (8.01%), due 7/25/29
 
1,031
(d)(h)
   
405
 
Voya CLO Ltd., Ser. 2015-3A, Class D2, 3 month USD LIBOR + 5.45%, (7.19%), due 10/20/27
 
409
(d)(h)
   
445
 
Webster Park CLO Ltd., Ser. 2015-1A, Class D, 3 month USD LIBOR + 6.10%, (7.84%), due 1/20/27
 
446
(d)(h)
   
 
Total Asset-Backed Securities (Cost $7,698)
 
8,279
 
   
NUMBER OF
SHARES
     
       
Short-Term Investments 7.9%
 
   
Investment Companies 7.9%
 
   
28,925,891
 
State Street Institutional U.S. Government Money Market Fund Premier
Class, 1.25%(l) (Cost  $28,926)
 
28,926
(k)
               
 
Total Investments 102.0% (Cost $371,373)
372,559
 
       
 
Other Assets Less Liabilities (2.0)%
(7,394)
(m)#
       
 
Net Assets 100.0%
$365,165
 
 
 
(a)
 
Value determined using significant unobservable inputs.
 
(b)
 
Security fair valued as of January 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at January 31, 2018 amounted to approximately $688,000, which represents 0.2% of net assets of the Fund.
 
(c)
 
Illiquid security.
 
(d)
 
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2018 and changes periodically.
 
Benchmarks for Variable/Floating Rates:
 
LIBOR (USD)= London Interbank Offered Rate
 
(e)
 
All or a portion of this security has not settled as of January 31, 2018 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement.
 
(f)
 
All or a portion of this security was purchased on a delayed delivery basis.
 
(g)
 
Represents less than 0.05% of net assets.
 
(h)
 
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2018, these securities amounted to approximately $23,987,000, which represents 6.6% of net assets of the Fund. Securities denoted with (h) but without (c) have been deemed by the investment manager to be liquid.
 
(i)
 
Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at January 31, 2018 amounted to approximately $132,000, which represents 0.0% of net assets of the Fund.
 
(j)
 
Fixed coupon.
 
(k)
 
All or a portion of this security is segregated in connection with obligations for delayed delivery securities with a total value of approximately $28,926,000.
 
(l)
 
Rate represents 7-day effective yield as of January 31, 2018.
 
(m)
 
As of January 31, 2018, the value of unfunded loan commitments was approximately $79,000 (see Notes to Schedule of Investments).
 
 
See Notes to Schedule of Investments

Schedule of Investments Floating Rate Income Fund
(Unaudited) (cont’d)

The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2018:
 
Asset Valuation Inputs
(000's omitted)
 
Level 1
   
Level 2
   
Level 3(b)
   
Total
Investments:
 
Common Stocks
 
$
—
   
$
—
   
$
436
   
$
436
 
Loan Assignments
                                 
Automotive
   
—
     
4,116
     
492
     
4,608
 
Building & Development
   
—
     
12,051
     
420
     
12,471
 
Business Equipment & Services
   
—
     
33,917
     
1,385
     
35,302
 
Cable & Satellite Television
   
—
     
11,654
     
907
     
12,561
 
Electronics - Electrical
   
—
     
31,246
     
138
     
31,384
 
Financial Intermediaries
   
—
     
4,519
     
364
     
4,883
 
Health Care
   
—
     
22,102
     
395
     
22,497
 
Leisure Goods - Activities - Movies
   
—
     
9,957
     
793
     
10,750
 
Lodging & Casinos
   
—
     
21,267
     
3,454
     
24,721
 
Retailers (except food & drug)
   
—
     
8,908
     
370
     
9,278
 
Steel
   
—
     
1,676
     
1,390
     
3,066
 
Other Loan Assignments(a)
   
—
     
142,385
     
—
     
142,385
 
Total Loan Assignments
   
—
     
303,798
     
10,108
     
313,906
 
Corporate Bonds
                                 
Business Equipment & Services
   
—
     
—
     
252
     
252
 
Other Corporate Bonds(a)
   
—
     
20,760
     
—
     
20,760
 
Total Corporate Bonds
   
—
     
20,760
     
252
     
21,012
 
Asset-Backed Securities
   
—
     
8,279
     
—
     
8,279
 
Short-Term Investments
   
—
     
28,926
     
—
     
28,926
 
Total Investments
 
$
—
   
$
361,763
   
$
10,796
   
$
372,559
 
 
(a)
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
 
(b)
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
 
(000's
omitted)
Beginning
balance,
as of
11/1/2017
 
Accrued
discounts/
(premiums)
Realized
gain/(loss)
 
Change in
unrealized
appreciation/
(depreciation)
Purchases
Sales
Transfers
into
Level 3
Transfers
out of
Level 3
Balance,
as of
1/31/2018
Net change
in
unrealized
appreciation/
(depreciation)
from
investments
still held
as of
1/31/2018
Investments
in securities:
                   
Common Stocks(c)
                   
Business Equipment & Services
$ 436
$0(e)
$(12)
$1,397
$ 1,821
$(12)
Loan Assignments(d)
                   
Automotive
—
—
—
8
485
(1)
—
—
492
8
Building & Development
1,039
0(e)
0(e)
2
—
(1)
419
(1,039)
420
2
Cable & Satellite Television
—
0(e)
0(e)
9
242
(22)
678
—
907
9
Containers & Glass Products
862
(0) (e)
1
(5)
—
(858)
—
—
—
—
Electronics - Electrical
—
0(e)
—
0(e)
—
—
138
—
138
—
Financial Intermediaries
946
(0) (e)
(4)
(3)
—
(575)
—
—
364
(3)
Health Care
2,467
—
—
8
387
—
—
(2,467)
395
8
Leisure Goods - Activities - Movies
3,518
0(e)
—
(1)
—
—
—
(2,724)
793
(1)
Lodging & Casinos
2,313
(1)
(3)
(19)
81
(40)
1,123
—
3,454
(19)
Retailers (except food & drug)
—
—
0(e)
6
200
(1)
165
—
370
6
Steel
3,069
0(e)
0(e)
(0) (e)
—
(3)
—
(1,676)
1,390
—
Corporate Bonds(c)
                   
Business Equipment & Services
252
—
—
—
—
—
—
—
252
—
Total
$ 14,902
$ (1)
$ (6)
$ (7)
$ 1,395
($ 1,501)
$ 3,920
($ 7,906)
$ 10,796
$(2)
 
(c)    As of the period ended January  31, 2018, these securities were valued using methods the Board of Trustees has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security.  These investments did not have a material impact on the Fund’s net assets and, therefore, disclosure of unobservable inputs used in formulating valuations in not presented.

(d)     Securities categorized as Level 3 were valued based on a single quotation obtained from a dealer.  The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs in formulating such quotation.

(e) Amount less than one thousand.
 
As of the period ended January 31, 2018, certain securities were transferred from one level (as of October 31, 2017) to another. Based on beginning of period market values as of November 1, 2017, approximately $11,361,000 was transferred from Level 3 to Level 2. Also, approximately $2,523,000 was transferred from Level 2 to Level 3.  Transfers of loan assignments into or out of Level 3 were primarily due to the pricing methodology using a single broker quote (Level 3) or a single observable input (Level 3) by the independent pricing service. As of the period ended January 31, 2018, the Fund had no transfers between Levels 1 and 2.
 
 
See Notes to Schedule of Investments

Schedule of Investments High Income Bond Fund
(Unaudited) January 31, 2018
 
 
 
PRINCIPAL
AMOUNT
 
VALUE†
 
(000's omitted)
 
(000's omitted)
 
 
Loan Assignments(a) 3.6%
 
Business Equipment & Services 1.2%
 
$
11,718
 
Advantage Sales and Marketing, Second Lien Term Loan, 3 month USD LIBOR + 6.50%, (8.27%), due 7/25/22
$
10,932
 
   
13,718
 
First Data Corporation, First Lien Term Loan, 3 month USD LIBOR + 2.25%, (3.81%), due 7/10/22
 
13,809
 
   
4,128
 
Presidio, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.44%), due 2/2/24
 
4,149
 
   
5,918
 
Servicemaster Company, First Lien Term Loan B, 3 month USD LIBOR + 2.50%, (4.07%), due 11/8/23
 
5,953
 
 
34,843
 
 
Containers & Glass Products 0.2%
   
5,689
 
Reynolds Group, First Lien Term Loan, 3 month USD LIBOR + 2.75%, (4.32%), due 2/5/23
 
5,730
 
 
Electronics - Electrical 0.1%
   
2,239
 
Rackspace Hosting, Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.38%), due 11/3/23
 
2,258
 
 
Food & Drug Retailers 0.2%
   
6,980
 
General Nutrition Centers, First Lien Term Loan, 3 month USD LIBOR + 2.50%, (4.07%), due 3/4/19
 
6,228
 
 
Health Care 0.5%
   
4,427
 
Envision Healthcare, First Lien Term Loan B, 3 month USD LIBOR + 3.00%, (4.58%), due 12/1/23
 
4,442
 
   
8,579
 
Team Health, Inc., First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 2/6/24
 
8,407
 
 
12,849
 
 
Leisure Goods - Activities - Movies 0.1%
   
4,079
 
Seaworld, First Lien Term Loan B5, 3 month USD LIBOR + 3.00%, (4.69%), due 3/31/24
 
4,072
 
 
Lodging & Casinos 0.3%
   
7,278
 
Cowlitz Tribal Gaming, First Lien Term Loan B, 3 month USD LIBOR + 10.50%, (12.07%), due 12/6/21
 
8,078
(b)(c)
 
Publishing 0.1%
   
2,972
 
Harland Clarke Holdings Corp., First Lien Term Loan B7, 3 month USD LIBOR + 4.75%, (6.44%), due 10/31/23
 
3,004
 
 
Radio & Television 0.2%
   
6,735
 
Univision Communications Inc., First Lien Term Loan C5, 3 month USD LIBOR + 2.75%, (4.32%), due 3/15/24
 
6,738
 
 
Retailers (except food & drug) 0.2%
   
3,337
 
Bass Pro Shops, First Lien Term Loan B, 3 month USD LIBOR + 5.00%, (6.57%), due 9/25/24
 
3,353
 
   
1,019
 
BJS Wholesale Club Inc., First Lien Term Loan B, 3 month USD LIBOR + 3.50%, (4.95%), due 1/27/24
 
1,018
 
 
4,371
 
 
Telecommunications 0.2%
   
5,600
 
Centurylink, First Lien Term Loan B, 3 month USD LIBOR + 2.75%, (4.32%), due 1/31/25
 
5,513
 
 
Utilities 0.3%
   
5,760
 
Calpine Corp., First Lien Term Loan B6, 3 month USD LIBOR + 2.50%, (4.20%), due 1/15/23
 
5,790
 
 
 
2,139
 
Texas Competitive, First Lien Term Loan B2, 3 month USD LIBOR + 2.75%, (4.31%), due 12/14/23
 
2,151
 
 
7,941
 
 
 
Total Loan Assignments (Cost $100,752)
 
101,625
 
 
Corporate Bonds 91.0%
 
Advertising 1.8%
       
Lamar Media Corp.
     
   
3,075
 
5.00%, due 5/1/23
 
3,144
 
   
3,685
 
5.75%, due 2/1/26
 
3,888
 
   
12,360
 
MDC Partners, Inc., 6.50%, due 5/1/24
 
12,453
(d)
   
2,285
 
Nielsen Co. Luxembourg SARL, 5.50%, due 10/1/21
 
2,342
(d)
       
Nielsen Finance LLC/Nielsen Finance Co.
     
   
7,805
 
4.50%, due 10/1/20
 
7,864
 
   
18,000
 
5.00%, due 4/15/22
 
18,292
(d)
   
3,070
 
Outfront Media Capital LLC/Outfront Media Capital Corp., 5.88%, due 3/15/25
 
3,195
 
 
51,178
 
 
Auto Parts & Equipment 0.5%
   
7,915
 
IHO Verwaltungs GmbH, 4.50% Cash/5.25% PIK, due 9/15/23
 
8,054
(d)(e)
   
5,637
 
ZF N.A. Capital, Inc., 4.00%, due 4/29/20
 
5,738
(d)
 
13,792
 
Banking 2.3%
       
Ally Financial, Inc.
     
   
20,975
 
3.60%, due 5/21/18
 
21,012
 
   
6,295
 
3.25%, due 11/5/18
 
6,311
 
   
24,840
 
8.00%, due 3/15/20
 
27,088
 
   
10,155
 
CIT Group, Inc., 3.88%, due 2/19/19
 
10,244
 
 
64,655
 
 
Brokerage 0.3%
   
9,010
 
LPL Holdings, Inc., 5.75%, due 9/15/25
 
9,193
(d)
 
Building & Construction 2.1%
   
4,945
 
CalAtlantic Group, Inc., 5.25%, due 6/1/26
 
5,180
 
       
Lennar Corp.
     
   
1,140
 
6.95%, due 6/1/18
 
1,154
 
   
6,690
 
4.75%, due 11/15/22
 
6,935
 
   
6,765
 
4.88%, due 12/15/23
 
6,986
 
   
2,330
 
4.75%, due 5/30/25
 
2,388
 
   
3,192
 
Meritage Homes Corp., 6.00%, due 6/1/25
 
3,439
 
   
7,810
 
PulteGroup, Inc., 4.25%, due 3/1/21
 
7,996
 
   
3,565
 
Ryland Group, Inc., 5.38%, due 10/1/22
 
3,779
 
       
Standard Pacific Corp.
     
   
2,225
 
8.38%, due 5/15/18
 
2,263
 
   
3,065
 
8.38%, due 1/15/21
 
3,494
 
   
6,458
 
Taylor Morrison Communities, Inc./Taylor Morrison Holdings II, Inc., 5.63%, due 3/1/24
 
6,789
(d)
       
Toll Brothers Finance Corp.
     
   
4,735
 
4.38%, due 4/15/23
 
4,871
 
   
685
 
4.88%, due 11/15/25
 
713
 
   
3,320
 
4.35%, due 2/15/28
 
3,287
 
 
59,274
 
 
Building Materials 0.5%
   
5,830
 
HD Supply, Inc., 5.75%, due 4/15/24
 
6,238
(d)
       
Jeld-Wen, Inc.
     
 
 
1,365
 
4.63%, due 12/15/25
 
1,365
(d)
   
1,365
 
4.88%, due 12/15/27
 
1,367
(d)
   
4,050
 
USG Corp., 5.50%, due 3/1/25
 
4,262
(d)
 
13,232
 
 
Cable & Satellite Television 8.9%
       
Altice Luxembourg SA
     
   
16,515
 
7.75%, due 5/15/22
 
15,854
(d)
   
6,520
 
7.63%, due 2/15/25
 
5,974
(d)
       
Altice US Finance I Corp.
     
   
2,050
 
5.38%, due 7/15/23
 
2,099
(d)
   
6,345
 
5.50%, due 5/15/26
 
6,488
(d)
   
4,640
 
Altice US Finance II Corp., 7.75%, due 7/15/25
 
5,046
(d)
       
CCO Holdings LLC/CCO Holdings Capital Corp.
     
   
10,700
 
5.25%, due 9/30/22
 
10,954
 
   
14,970
 
5.13%, due 5/1/23
 
15,260
(d)
   
15,945
 
5.75%, due 2/15/26
 
16,503
(d)
   
6,045
 
5.13%, due 5/1/27
 
5,888
(d)
   
8,785
 
5.88%, due 5/1/27
 
9,048
(d)
   
13,480
 
5.00%, due 2/1/28
 
13,042
(d)
       
Cequel Communications Holdings I LLC/Cequel Capital Corp.
     
   
5,901
 
6.38%, due 9/15/20
 
5,975
(d)
   
11,442
 
5.13%, due 12/15/21
 
11,485
(d)
       
CSC Holdings LLC
     
   
15,428
 
10.88%, due 10/15/25
 
18,374
(d)
   
3,085
 
5.50%, due 4/15/27
 
3,124
(d)
   
6,715
 
CSC Holdings, Inc., 7.63%, due 7/15/18
 
6,858
 
       
DISH DBS Corp.
     
   
9,765
 
5.88%, due 11/15/24
 
9,258
 
   
3,760
 
7.75%, due 7/1/26
 
3,863
 
       
Numericable-SFR SA
     
   
24,840
 
6.00%, due 5/15/22
 
24,296
(d)
   
2,800
 
6.25%, due 5/15/24
 
2,674
(d)
   
19,715
 
7.38%, due 5/1/26
 
19,432
(d)
   
5,900
 
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 5.00%, due 1/15/25
 
6,047
(d)
   
3,365
 
UPCB Finance IV Ltd., 5.38%, due 1/15/25
 
3,424
(d)
   
2,890
 
Virgin Media Finance PLC, 6.00%, due 10/15/24
 
2,955
(d)
   
12,550
 
Virgin Media Secured Finance PLC, 5.50%, due 8/15/26
 
12,868
(d)
   
17,060
 
Ziggo Secured Finance B.V., 5.50%, due 1/15/27
 
16,932
(d)
 
253,721
 
 
Chemicals 1.5%
   
3,820
 
CF Industries, Inc., 5.38%, due 3/15/44
 
3,734
 
       
NOVA Chemicals Corp.
     
   
5,175
 
5.25%, due 8/1/23
 
5,319
(d)
   
11,200
 
4.88%, due 6/1/24
 
11,270
(d)
   
7,985
 
5.00%, due 5/1/25
 
8,065
(d)
   
7,605
 
5.25%, due 6/1/27
 
7,586
(d)
       
WR Grace & Co-Conn
     
   
2,430
 
5.13%, due 10/1/21
 
2,545
(d)
   
2,990
 
5.63%, due 10/1/24
 
3,222
(d)
 
41,741
 
 
Consumer - Commercial Lease Financing 6.3%
       
Aircastle Ltd.
     
 
 
14,230
 
4.63%, due 12/15/18
 
14,426
 
   
2,140
 
6.25%, due 12/1/19
 
2,244
 
   
13,235
 
5.13%, due 3/15/21
 
13,884
 
   
3,385
 
5.50%, due 2/15/22
 
3,594
 
   
4,740
 
5.00%, due 4/1/23
 
4,965
 
       
Navient Corp.
     
   
3,715
 
5.50%, due 1/15/19
 
3,776
 
   
21,970
 
4.88%, due 6/17/19
 
22,256
 
   
5,145
 
8.00%, due 3/25/20
 
5,562
 
   
5,670
 
5.88%, due 3/25/21
 
5,869
 
   
3,115
 
6.63%, due 7/26/21
 
3,310
 
   
10,260
 
5.88%, due 10/25/24
 
10,301
 
   
2,640
 
6.75%, due 6/25/25
 
2,765
 
   
10,850
 
OneMain Financial Holdings LLC, 7.25%, due 12/15/21
 
11,230
(d)
       
Park Aerospace Holdings Ltd.
     
   
25,980
 
5.25%, due 8/15/22
 
25,623
(d)
   
15,890
 
5.50%, due 2/15/24
 
15,721
(d)
   
10,570
 
SLM Corp., 6.13%, due 3/25/24
 
10,781
 
       
Springleaf Finance Corp.
     
   
4,185
 
8.25%, due 12/15/20
 
4,614
 
   
6,025
 
7.75%, due 10/1/21
 
6,650
 
   
10,265
 
6.13%, due 5/15/22
 
10,602
 
 
178,173
 
 
Discount Stores 0.3%
   
7,235
 
Dollar Tree, Inc., 5.75%, due 3/1/23
 
7,547
 
 
Electric - Generation 3.6%
       
Calpine Corp.
     
   
9,370
 
6.00%, due 1/15/22
 
9,666
(d)
   
16,400
 
5.38%, due 1/15/23
 
16,195
 
       
Dynegy, Inc.
     
   
7,835
 
5.88%, due 6/1/23
 
8,011
 
   
13,725
 
7.63%, due 11/1/24
 
14,829
 
   
2,880
 
8.00%, due 1/15/25
 
3,132
(d)
   
8,465
 
8.13%, due 1/30/26
 
9,335
(d)
       
NRG Energy, Inc.
     
   
4,060
 
6.25%, due 7/15/22
 
4,207
 
   
15,580
 
7.25%, due 5/15/26
 
16,968
 
   
20,335
 
6.63%, due 1/15/27
 
21,454
 
 
103,797
 
 
Electric - Integrated 1.1%
   
17,830
 
PPL Energy Supply LLC, 4.60%, due 12/15/21
 
16,858
 
       
Talen Energy Supply LLC
     
   
9,295
 
9.50%, due 7/15/22
 
9,718
(d)
   
4,760
 
6.50%, due 6/1/25
 
3,963
 
 
30,539
 
 
Electronics 1.0%
   
6,120
 
Amkor Technology, Inc., 6.38%, due 10/1/22
 
6,296
 
   
3,630
 
Flex Ltd., 5.00%, due 2/15/23
 
3,855
 
       
Micron Technology, Inc.
     
   
3,390
 
5.50%, due 2/1/25
 
3,555
 
   
2,925
 
5.63%, due 1/15/26
 
3,079
(d)
   
4,700
 
NXP BV/NXP Funding LLC, 4.13%, due 6/1/21
 
4,797
(d)
 
 
7,260
 
Sensata Technologies UK Financing Co. PLC, 6.25%, due 2/15/26
 
7,804
(d)
 
29,386
 
 
Energy - Exploration & Production 5.5%
       
Antero Resources Corp.
     
   
7,540
 
5.38%, due 11/1/21
 
7,719
 
   
9,260
 
5.13%, due 12/1/22
 
9,459
 
   
365
 
5.00%, due 3/1/25
 
372
 
   
7,480
 
Ascent Resources Utica Holdings LLC/ARU Finance Corp., 10.00%, due 4/1/22
 
8,237
(d)
       
Chesapeake Energy Corp.
     
   
4,760
 
6.13%, due 2/15/21
 
4,879
 
   
8,425
 
8.00%, due 6/15/27
 
8,341
(d)
       
Continental Resources, Inc.
     
   
2,578
 
4.50%, due 4/15/23
 
2,610
 
   
7,290
 
3.80%, due 6/1/24
 
7,144
 
   
3,560
 
4.90%, due 6/1/44
 
3,551
 
       
EP Energy LLC/Everest Acquisition Finance, Inc.
     
   
5,489
 
7.75%, due 9/1/22
 
4,034
 
   
20,050
 
6.38%, due 6/15/23
 
13,383
 
   
15,170
 
9.38%, due 5/1/24
 
12,857
(d)
   
5,415
 
Newfield Exploration Co., 5.38%, due 1/1/26
 
5,720
 
       
Oasis Petroleum, Inc.
     
   
3,625
 
6.50%, due 11/1/21
 
3,702
 
   
5,175
 
6.88%, due 3/15/22
 
5,330
 
   
3,540
 
PDC Energy, Inc., 6.13%, due 9/15/24
 
3,682
 
       
Range Resources Corp.
     
   
5,555
 
5.00%, due 8/15/22
 
5,597
 
   
7,365
 
5.00%, due 3/15/23
 
7,347
 
   
11,160
 
Sanchez Energy Corp., 6.13%, due 1/15/23
 
9,765
 
       
SM Energy Co.
     
   
6,735
 
6.13%, due 11/15/22
 
6,996
 
   
3,880
 
5.00%, due 1/15/24
 
3,783
 
       
Whiting Petroleum Corp.
     
   
4,735
 
5.75%, due 3/15/21
 
4,901
 
   
7,385
 
6.25%, due 4/1/23
 
7,600
 
   
2,750
 
6.63%, due 1/15/26
 
2,815
(d)
   
5,860
 
WPX Energy, Inc., 5.25%, due 9/15/24
 
5,933
 
 
155,757
 
 
Food & Drug Retail 0.9%
       
Albertsons Cos. LLC/Safeway, Inc./New Albertson's, Inc./Albertson's LLC
     
   
14,100
 
6.63%, due 6/15/24
 
13,395
 
   
13,175
 
5.75%, due 3/15/25
 
11,759
 
 
25,154
 
 
Food - Wholesale 0.6%
       
Post Holdings, Inc.
     
   
5,585
 
5.50%, due 3/1/25
 
5,752
(d)
   
5,225
 
5.75%, due 3/1/27
 
5,258
(d)
   
7,580
 
5.63%, due 1/15/28
 
7,554
(d)
 
18,564
 
 
Gaming 2.5%
       
Boyd Gaming Corp.
     
 
 
6,600
 
6.88%, due 5/15/23
 
6,980
 
   
7,055
 
6.38%, due 4/1/26
 
7,566
 
       
GLP Capital L.P./GLP Financing II, Inc.
     
   
17,390
 
4.88%, due 11/1/20
 
17,972
 
   
6,265
 
5.38%, due 11/1/23
 
6,735
 
   
3,950
 
Int'l Game Technology PLC, 5.63%, due 2/15/20
 
4,098
(d)
       
MGM Resorts Int'l
     
   
10,710
 
8.63%, due 2/1/19
 
11,272
 
   
2,225
 
5.25%, due 3/31/20
 
2,303
 
   
3,360
 
6.63%, due 12/15/21
 
3,661
 
   
5,405
 
Scientific Games Int'l, Inc., 10.00%, due 12/1/22
 
5,912
 
   
5,425
 
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 5.50%, due 3/1/25
 
5,476
(d)
 
71,975
 
 
Gas Distribution 6.4%
   
7,565
 
Antero Midstream Partners L.P./Antero Midstream Finance Corp., 5.38%, due 9/15/24
 
7,792
 
       
Cheniere Corpus Christi Holdings LLC
     
   
8,120
 
5.88%, due 3/31/25
 
8,749
 
   
3,490
 
5.13%, due 6/30/27
 
3,603
 
   
15,010
 
Cheniere Energy Partners L.P., 5.25%, due 10/1/25
 
15,291
(d)
       
Crestwood Midstream Partners L.P./Crestwood Midstream Finance Corp.
     
   
2,655
 
6.25%, due 4/1/23
 
2,768
 
   
3,075
 
5.75%, due 4/1/25
 
3,175
 
       
DCP Midstream LLC
     
   
2,490
 
9.75%, due 3/15/19
 
2,667
(d)
   
6,660
 
6.75%, due 9/15/37
 
7,542
(d)
   
7,210
 
3 month USD LIBOR + 3.85%, (5.85%), due 5/21/43
 
6,949
(a)(d)
   
6,805
 
DCP Midstream Operating L.P., 5.60%, due 4/1/44
 
7,069
 
       
Duke Energy Corp.
     
   
1,610
 
8.13%, due 8/16/30
 
1,940
 
   
3,600
 
6.45%, due 11/3/36
 
3,969
(d)
       
Energy Transfer Equity L.P.
     
   
9,185
 
7.50%, due 10/15/20
 
10,095
 
   
4,605
 
5.88%, due 1/15/24
 
4,985
 
       
NuStar Logistics L.P.
     
   
955
 
8.40%, due 4/15/18
 
965
 
   
4,615
 
4.80%, due 9/1/20
 
4,707
 
   
1,500
 
6.75%, due 2/1/21
 
1,614
 
   
1,600
 
4.75%, due 2/1/22
 
1,632
 
       
Rockies Express Pipeline LLC
     
   
2,265
 
6.85%, due 7/15/18
 
2,308
(d)
   
2,265
 
6.00%, due 1/15/19
 
2,322
(d)
   
7,551
 
5.63%, due 4/15/20
 
7,929
(d)
   
1,505
 
7.50%, due 7/15/38
 
1,798
(d)
   
2,025
 
6.88%, due 4/15/40
 
2,372
(d)
   
2,830
 
SemGroup Corp., 7.25%, due 3/15/26
 
2,929
(d)
   
12,690
 
SemGroup Corp./Rose Rock Finance Corp., 5.63%, due 11/15/23
 
12,516
 
   
11,020
 
Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.75%, due 4/15/25
 
11,103
 
       
Targa Resources Partners L.P./Targa Resources Partners Finance Corp.
     
 
 
2,225
 
4.13%, due 11/15/19
 
2,231
 
   
4,770
 
4.25%, due 11/15/23
 
4,710
 
   
8,040
 
6.75%, due 3/15/24
 
8,583
 
   
5,290
 
5.13%, due 2/1/25
 
5,330
 
   
8,265
 
5.00%, due 1/15/28
 
8,182
(d)
       
Williams Cos., Inc.
     
   
6,430
 
Ser. A, 7.50%, due 1/15/31
 
8,037
 
   
5,275
 
5.75%, due 6/24/44
 
5,816
 
 
181,678
 
 
Health Facilities 4.6%
   
1,375
 
Amsurg Corp., 5.63%, due 7/15/22
 
1,399
 
       
CHS/Community Health Systems, Inc.
     
   
2,966
 
8.00%, due 11/15/19
 
2,781
 
   
3,505
 
7.13%, due 7/15/20
 
3,049
 
   
6,650
 
6.88%, due 2/1/22
 
4,742
 
   
6,620
 
Columbia/HCA Corp., 7.69%, due 6/15/25
 
7,491
 
   
1,430
 
Envision Healthcare Corp., 5.13%, due 7/1/22
 
1,419
(d)
       
HCA, Inc.
     
   
5,050
 
5.88%, due 3/15/22
 
5,435
 
   
9,495
 
4.75%, due 5/1/23
 
9,865
 
   
11,310
 
5.00%, due 3/15/24
 
11,791
 
   
8,285
 
5.25%, due 4/15/25
 
8,692
 
   
3,945
 
LifePoint Health, Inc., 5.88%, due 12/1/23
 
3,955
 
       
MPT Operating Partnership L.P./MPT Finance Corp.
     
   
9,995
 
6.38%, due 3/1/24
 
10,655
 
   
11,053
 
5.50%, due 5/1/24
 
11,385
 
   
10,875
 
5.25%, due 8/1/26
 
11,201
 
   
13,905
 
5.00%, due 10/15/27
 
13,769
 
       
Tenet Healthcare Corp.
     
   
4,485
 
7.50%, due 1/1/22
 
4,746
(d)
   
1,010
 
8.13%, due 4/1/22
 
1,042
 
   
4,965
 
6.75%, due 6/15/23
 
4,897
 
   
6,076
 
4.63%, due 7/15/24
 
5,970
(d)
   
2,328
 
6.88%, due 11/15/31
 
2,037
 
   
3,255
 
THC Escrow Corp., 7.00%, due 8/1/25
 
3,182
(d)
 
129,503
 
 
Health Services 1.5%
       
DaVita HealthCare Partners, Inc.
     
   
7,020
 
5.13%, due 7/15/24
 
7,073
 
   
2,950
 
5.00%, due 5/1/25
 
2,939
 
   
9,330
 
DaVita, Inc., 5.75%, due 8/15/22
 
9,616
 
   
5,950
 
IMS Health, Inc., 5.00%, due 10/15/26
 
6,061
(d)
       
Service Corp. Int'l
     
   
7,125
 
5.38%, due 1/15/22
 
7,286
 
   
9,025
 
5.38%, due 5/15/24
 
9,476
 
 
42,451
 
 
Hotels 0.3%
   
10,028
 
ESH Hospitality, Inc., 5.25%, due 5/1/25
 
10,103
(d)
 
Investments & Misc. Financial Services 0.6%
       
MSCI, Inc.
     
   
8,205
 
5.25%, due 11/15/24
 
8,541
(d)
   
8,045
 
5.75%, due 8/15/25
 
8,528
(d)
 
17,069
 
 
Machinery 0.7%
       
CNH Industrial Capital LLC
     
 
 
3,360
 
3.38%, due 7/15/19
 
3,387
 
   
3,620
 
4.88%, due 4/1/21
 
3,796
 
   
5,475
 
4.38%, due 4/5/22
 
5,655
 
   
3,750
 
CNH Industrial NV, 4.50%, due 8/15/23
 
3,905
 
   
2,435
 
Manitowoc Foodservice, Inc., 9.50%, due 2/15/24
 
2,751
 
 
19,494
 
 
Managed Care 0.4%
       
Centene Corp.
     
   
4,500
 
4.75%, due 5/15/22
 
4,680
 
   
1,330
 
6.13%, due 2/15/24
 
1,413
 
   
5,010
 
MPH Acquisition Holdings LLC, 7.13%, due 6/1/24
 
5,380
(d)
 
11,473
 
 
Media Content 3.3%
   
4,290
 
AMC Networks, Inc., 4.75%, due 8/1/25
 
4,285
 
       
Gannett Co., Inc.
     
   
6,247
 
5.13%, due 10/15/19
 
6,326
 
   
1,570
 
5.13%, due 7/15/20
 
1,599
 
       
Gray Television, Inc.
     
   
5,215
 
5.13%, due 10/15/24
 
5,241
(d)
   
2,655
 
5.88%, due 7/15/26
 
2,735
(d)
       
Netflix, Inc.
     
   
8,295
 
5.50%, due 2/15/22
 
8,772
 
   
3,375
 
4.38%, due 11/15/26
 
3,298
 
   
4,270
 
4.88%, due 4/15/28
 
4,238
(d)
   
5,410
 
Sinclair Television Group, Inc., 5.13%, due 2/15/27
 
5,369
(d)
       
Sirius XM Radio, Inc.
     
   
1,140
 
4.63%, due 5/15/23
 
1,154
(d)
   
10,533
 
6.00%, due 7/15/24
 
11,007
(d)
   
9,345
 
5.38%, due 7/15/26
 
9,544
(d)
   
7,120
 
5.00%, due 8/1/27
 
7,067
(d)
   
6,412
 
Tribune Media Co., 5.88%, due 7/15/22
 
6,596
 
       
Univision Communications, Inc.
     
   
1,760
 
6.75%, due 9/15/22
 
1,826
(d)
   
15,565
 
5.13%, due 5/15/23
 
15,495
(d)
 
94,552
 
 
Medical Products 0.4%
       
Hologic, Inc.
     
   
3,765
 
5.25%, due 7/15/22
 
3,908
(d)
   
6,020
 
4.38%, due 10/15/25
 
6,020
(d)
   
2,610
 
4.63%, due 2/1/28
 
2,610
(d)
 
12,538
 
 
Metals - Mining Excluding Steel 4.0%
   
2,405
 
Alcoa, Inc., 5.13%, due 10/1/24
 
2,543
 
       
First Quantum Minerals Ltd.
     
 
 
7,035
 
7.00%, due 2/15/21
 
7,281
(d)
   
7,815
 
7.25%, due 5/15/22
 
8,108
(d)
       
FMG Resources (August 2006) Pty Ltd.
     
   
10,830
 
9.75%, due 3/1/22
 
11,943
(d)
   
4,310
 
4.75%, due 5/15/22
 
4,375
(d)
   
2,580
 
5.13%, due 5/15/24
 
2,611
(d)
       
Freeport-McMoRan, Inc.
     
   
7,220
 
2.38%, due 3/15/18
 
7,218
 
   
1,815
 
4.00%, due 11/14/21
 
1,834
 
   
3,260
 
3.55%, due 3/1/22
 
3,236
 
   
11,270
 
3.88%, due 3/15/23
 
11,200
 
   
13,555
 
5.40%, due 11/14/34
 
14,138
 
   
8,830
 
5.45%, due 3/15/43
 
9,073
 
   
5,725
 
Hudbay Minerals, Inc., 7.63%, due 1/15/25
 
6,297
(d)
   
6,330
 
Novelis Corp., 5.88%, due 9/30/26
 
6,520
(d)
       
Teck Resources Ltd.
     
   
4,145
 
4.75%, due 1/15/22
 
4,290
 
   
11,410
 
6.25%, due 7/15/41
 
13,221
 
 
113,888
 
 
Oil Field Equipment & Services 0.5%
       
Precision Drilling Corp.
     
   
3,288
 
6.50%, due 12/15/21
 
3,354
 
   
2,750
 
7.75%, due 12/15/23
 
2,949
 
   
9,175
 
5.25%, due 11/15/24
 
8,946
 
 
15,249
 
 
Packaging 2.3%
       
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc.
     
   
3,285
 
4.25%, due 9/15/22
 
3,304
(d)
   
9,285
 
6.00%, due 2/15/25
 
9,587
(d)
       
Ball Corp.
     
   
3,010
 
4.38%, due 12/15/20
 
3,085
 
   
6,580
 
5.00%, due 3/15/22
 
6,942
 
   
7,275
 
Berry Plastics Corp., 5.13%, due 7/15/23
 
7,552
 
   
6,175
 
BWAY Holding Co., 5.50%, due 4/15/24
 
6,399
(d)
   
5,365
 
Crown Americas LLC/Crown Americas Capital Corp. VI, 4.75%, due 2/1/26
 
5,405
(d)
       
Reynolds Group Issuer, Inc.
     
   
1,507
 
5.75%, due 10/15/20
 
1,531
 
   
3,257
 
6.88%, due 2/15/21
 
3,306
 
   
13,490
 
5.13%, due 7/15/23
 
13,895
(d)
   
3,985
 
Sealed Air Corp., 5.50%, due 9/15/25
 
4,294
(d)
 
65,300
 
 
Personal & Household Products 0.5%
   
8,340
 
Energizer Holdings, Inc., 4.70%, due 5/24/22
 
8,486
 
   
2,525
 
Kronos Acquisition Holdings, Inc., 9.00%, due 8/15/23
 
2,481
(d)
   
4,195
 
Spectrum Brands, Inc., 5.75%, due 7/15/25
 
4,415
 
 
15,382
 
 
Pharmaceuticals 1.8%
   
8,710
 
Endo Finance LLC & Endo Finco, Inc., 5.38%, due 1/15/23
 
6,794
(d)
       
Endo Ltd./Endo Finance LLC/Endo Finco, Inc.
     
   
9,290
 
6.00%, due 7/15/23
 
7,281
(d)
   
6,175
 
6.00%, due 2/1/25
 
4,643
(d)
   
2,910
 
Mallinckrodt Int'l Finance SA/Mallinckrodt CB LLC, 5.50%, due 4/15/25
 
2,365
(d)
       
Valeant Pharmaceuticals Int'l, Inc.
     
 
 
12,325
 
5.50%, due 3/1/23
 
11,066
(d)
   
8,780
 
5.88%, due 5/15/23
 
7,928
(d)
   
10,415
 
5.50%, due 11/1/25
 
10,524
(d)
 
50,601
 
 
Printing & Publishing 1.2%
   
8,039
 
Harland Clarke Holdings Corp., 8.38%, due 8/15/22
 
8,381
(d)
       
R.R. Donnelley & Sons Co.
     
   
10,312
 
7.63%, due 6/15/20
 
11,034
 
   
8,620
 
7.88%, due 3/15/21
 
8,986
 
   
2,708
 
6.50%, due 11/15/23
 
2,664
 
   
3,330
 
6.00%, due 4/1/24
 
3,180
 
 
34,245
 
 
Real Estate Dev. & Mgt. 0.2%
   
4,405
 
Realogy Group LLC/Realogy Co-Issuer Corp., 4.50%, due 4/15/19
 
4,449
(d)
 
Recreation & Travel 0.6%
   
2,170
 
Cedar Fair L.P./Canada's Wonderland Co./Magnum Management Corp., 5.38%, due 4/15/27
 
2,262
(d)
   
8,595
 
NCL Corp. Ltd., 4.75%, due 12/15/21
 
8,864
(d)
   
5,155
 
Six Flags Entertainment Corp., 4.88%, due 7/31/24
 
5,226
(d)
 
16,352
 
 
REITs 0.7%
   
14,235
 
Sabra Health Care L.P./Sabra Capital Corp., 5.50%, due 2/1/21
 
14,609
 
   
4,110
 
Starwood Property Trust, Inc., 3.63%, due 2/1/21
 
4,115
(d)
 
18,724
 
 
Restaurants 0.9%
       
1011778 BC ULC/New Red Finance, Inc.
     
   
4,231
 
4.63%, due 1/15/22
 
4,321
(d)
   
6,460
 
4.25%, due 5/15/24
 
6,347
(d)
   
4,715
 
5.00%, due 10/15/25
 
4,721
(d)
   
9,700
 
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, 5.25%, due 6/1/26
 
9,894
(d)
 
25,283
 
 
Software - Services 2.7%
       
First Data Corp.
     
   
7,415
 
7.00%, due 12/1/23
 
7,809
(d)
   
10,285
 
5.00%, due 1/15/24
 
10,555
(d)
   
8,115
 
Infor Software Parent LLC/Infor Software Parent, Inc., 7.13% Cash/7.88% PIK, due 5/1/21
 
8,277
(d)(e)
   
7,535
 
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc., 6.00%, due 7/15/25
 
7,968
(d)
       
Nuance Communications, Inc.
     
   
3,324
 
5.38%, due 8/15/20
 
3,349
(d)
   
10,980
 
6.00%, due 7/1/24
 
11,628
 
   
10,170
 
Open Text Corp., 5.88%, due 6/1/26
 
10,704
(d)
   
11,770
 
Rackspace Hosting, Inc., 8.63%, due 11/15/24
 
12,521
(d)
   
5,255
 
Symantec Corp., 5.00%, due 4/15/25
 
5,359
(d)
 
78,170
 
 
Specialty Retail 0.5%
   
2,745
 
Hanesbrands, Inc., 4.88%, due 5/15/26
 
2,771
(d)
   
5,445
 
Liberty Media Corp., 8.50%, due 7/15/29
 
6,071
 
   
2,310
 
PetSmart, Inc., 5.88%, due 6/1/25
 
1,782
(d)
   
3,820
 
QVC, Inc., 5.45%, due 8/15/34
 
3,777
 
 
14,401
 
 
Steel Producers - Products 0.5%
 
 
2,350
 
ArcelorMittal, 7.25%, due 3/1/41
 
2,985
 
   
5,186
 
Big River Steel LLC/BRS Finance Corp., 7.25%, due 9/1/25
 
5,562
(d)
   
4,400
 
Steel Dynamics, Inc., 5.50%, due 10/1/24
 
4,576
 
 
13,123
 
 
Support - Services 4.7%
   
10,175
 
ADT Corp., 4.88%, due 7/15/32
 
9,641
(d)
   
19,080
 
Anna Merger Sub, Inc., 7.75%, due 10/1/22
 
13,165
(d)
       
Aramark Services, Inc.
     
   
6,040
 
5.13%, due 1/15/24
 
6,229
 
   
4,580
 
5.00%, due 2/1/28
 
4,646
(d)
   
4,285
 
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.25%, due 3/15/25
 
4,210
(d)
       
Hertz Corp.
     
   
4,535
 
5.88%, due 10/15/20
 
4,535
 
   
1,435
 
7.63%, due 6/1/22
 
1,500
(d)
   
22,775
 
5.50%, due 10/15/24
 
20,398
(d)
   
14,738
 
IHS Markit Ltd., 5.00%, due 11/1/22
 
15,585
(d)
   
2,205
 
Iron Mountain U.S. Holdings, Inc., 5.38%, due 6/1/26
 
2,205
(d)
       
Iron Mountain, Inc.
     
   
9,380
 
6.00%, due 8/15/23
 
9,790
 
   
13,879
 
5.75%, due 8/15/24
 
13,931
 
   
4,080
 
5.25%, due 3/15/28
 
3,968
(d)
   
14,420
 
Olympus Merger Sub, Inc., 8.50%, due 10/15/25
 
14,204
(d)
       
United Rental N.A., Inc.
     
   
1,545
 
4.63%, due 7/15/23
 
1,599
 
   
6,530
 
5.75%, due 11/15/24
 
6,873
 
 
132,479
 
 
Technology Hardware & Equipment 2.4%
       
CDW LLC/CDW Finance Corp.
     
   
6,230
 
5.00%, due 9/1/23
 
6,401
 
   
2,885
 
5.00%, due 9/1/25
 
2,932
 
   
6,260
 
CommScope Technologies LLC, 6.00%, due 6/15/25
 
6,587
(d)
       
Diamond 1 Finance Corp./Diamond 2 Finance Corp.
     
   
10,540
 
5.88%, due 6/15/21
 
10,915
(d)
   
4,105
 
6.02%, due 6/15/26
 
4,494
(d)
   
16,975
 
EMC Corp., 1.88%, due 6/1/18
 
16,904
 
   
5,060
 
Project Homestake Merger Corp., 8.88%, due 3/1/23
 
4,845
(d)
   
13,145
 
Western Digital Corp., 10.50%, due 4/1/24
 
15,370
 
 
68,448
 
 
Telecom - Satellite 0.5%
   
3,944
 
Hughes Satellite Systems Corp., 6.50%, due 6/15/19
 
4,117
 
   
8,395
 
Intelsat Jackson Holdings SA, 5.50%, due 8/1/23
 
6,590
 
   
5,277
 
Intelsat Luxembourg SA, 8.13%, due 6/1/23
 
2,243
 
 
12,950
 
 
Telecom - Wireless 2.6%
       
Sprint Corp.
     
 
 
8,550
 
7.88%, due 9/15/23
 
9,031
 
   
19,375
 
7.13%, due 6/15/24
 
19,642
 
       
Sprint Nextel Corp.
     
   
4,310
 
9.00%, due 11/15/18
 
4,507
(d)
   
3,500
 
6.00%, due 11/15/22
 
3,491
 
       
T-Mobile USA, Inc.
     
   
11,795
 
6.00%, due 3/1/23
 
12,345
 
   
3,460
 
6.00%, due 4/15/24
 
3,672
 
   
2,840
 
4.50%, due 2/1/26
 
2,855
 
   
2,985
 
4.75%, due 2/1/28
 
2,996
 
   
15,670
 
Wind Tre SpA, 5.00%, due 1/20/26
 
14,222
(d)
 
72,761
 
 
Telecom - Wireline Integrated & Services 5.6%
   
19,537
 
Citizens Communications Co., 9.00%, due 8/15/31
 
12,748
 
   
28,965
 
Embarq Corp., 8.00%, due 6/1/36
 
28,020
 
   
5,350
 
Equinix, Inc., 5.88%, due 1/15/26
 
5,684
 
       
Frontier Communications Corp.
     
   
2,600
 
8.13%, due 10/1/18
 
2,652
 
   
2,119
 
6.25%, due 9/15/21
 
1,732
 
   
3,195
 
7.13%, due 1/15/23
 
2,173
 
   
3,895
 
7.63%, due 4/15/24
 
2,571
 
   
39,785
 
11.00%, due 9/15/25
 
31,132
 
       
Level 3 Financing, Inc.
     
   
4,920
 
5.38%, due 8/15/22
 
4,994
 
   
8,320
 
5.13%, due 5/1/23
 
8,341
 
   
3,655
 
5.38%, due 1/15/24
 
3,637
 
   
9,520
 
SoftBank Group Corp., 4.50%, due 4/15/20
 
9,675
(d)
   
9,445
 
Telecom Italia Capital SA, 6.00%, due 9/30/34
 
10,531
 
   
11,554
 
U.S. West Communications Group, 6.88%, due 9/15/33
 
11,252
 
       
Zayo Group LLC/Zayo Capital, Inc.
     
   
4,660
 
6.00%, due 4/1/23
 
4,875
 
   
5,430
 
6.38%, due 5/15/25
 
5,695
 
   
12,570
 
5.75%, due 1/15/27
 
12,775
(d)
 
158,487
 
 
Theaters & Entertainment 0.9%
       
AMC Entertainment Holdings, Inc.
     
   
8,742
 
5.75%, due 6/15/25
 
8,523
 
   
11,195
 
6.13%, due 5/15/27
 
10,935
 
   
7,341
 
Regal Entertainment Group, 5.75%, due 3/15/22
 
7,561
 
 
27,019
 
 
 
Total Corporate Bonds (Cost $2,513,154)
 
2,583,850
 
 
Convertible Bonds 0.2%
 
Energy - Exploration & Production 0.2%
   
7,425
 
Chesapeake Energy Corp., 5.50%, due 9/15/26 (Cost  $7,232)
 
6,784
 
 
Asset-Backed Securities 0.9%
   
500
 
Apidos CLO XXVIII, Ser. 2017-28A, Class D, 3 month USD LIBOR + 5.50%, (7.19%), due 1/20/31
 
500
(a)(d)
   
1,250
 
Ares XLV CLO Ltd., Ser. 2017-45A, Class E, 3 month USD LIBOR + 6.10%, (7.46%), due 10/15/30
 
1,282
(a)(d)
   
2,350
 
Assurant CLO I Ltd., Ser. 2017-1A, Class E, 3 month USD LIBOR + 6.46%, (8.20%), due 10/20/29
 
2,421
(a)(d)
 
 
1,000
 
Babson CLO Ltd., Ser. 2015-2A, Class ER, 3 month USD LIBOR + 6.45%, (8.19%), due 10/20/30
 
1,032
(a)(d)
   
2,000
 
Benefit Street Partners CLO XII Ltd., Ser. 2017-12A, Class D, 3 month USD LIBOR + 6.41%, (7.76%), due 10/15/30
 
2,058
(a)(d)
   
450
 
Canyon Capital CLO Ltd., Ser. 2014-1A, Class DR, 3 month USD LIBOR + 5.50%, (7.27%), due 1/30/31
 
450
(a)(b)(d)(f)
   
1,000
 
Carbone CLO Ltd., Ser. 2017-1A, Class D, 3 month USD LIBOR + 5.90%, (7.57%), due 1/20/31
 
999
(a)(d)
   
760
 
Carlyle U.S. CLO Ltd., Ser. 2017-5A, Class D, 3 month USD LIBOR + 5.30%, (7.03%), due 1/20/30
 
760
(a)(b)(d)(f)
   
3,500
 
Dewolf Park CLO Ltd., Ser. 2017-1A, Class E, 3 month USD LIBOR + 6.20%, (7.92%), due 10/15/30
 
3,596
(a)(d)
   
750
 
Dryden 53 CLO Ltd., Ser. 2017-53A, Class E, 3 month USD LIBOR + 5.30%, (7.00%), due 1/15/31
 
750
(a)(d)
   
1,600
 
Dryden 54 Senior Loan Fund, Ser. 2017-54A, Class E, 3 month USD LIBOR + 6.20%, (7.55%), due 10/19/29
 
1,644
(a)(d)
   
600
 
Eaton Vance CLO Ltd., Ser. 2015-1A, Class ER, 3 month USD LIBOR + 5.60%, (7.08%), due 1/20/30
 
611
(a)(d)
   
1,200
 
Gilbert Park CLO Ltd., Ser. 2017-1A, Class E, 3 month USD LIBOR + 6.40%, (7.76%), due 10/15/30
 
1,241
(a)(d)
   
1,000
 
HPS Investment Partners, Ser. 2013-2A, Class DR, 3 month USD LIBOR + 6.60%, (8.34%), due 10/20/29
 
1,033
(a)(d)
   
1,250
 
Marble Point CLO X Ltd., Ser. 2017-1A, Class E, 3 month USD LIBOR + 6.40%, (8.12%), due 10/15/30
 
1,268
(a)(d)
   
2,750
 
Milos CLO Ltd., Ser. 2017-1A, Class E, 3 month USD LIBOR + 6.30%, (8.04%), due 10/20/30
 
2,826
(a)(d)
       
OCP CLO Ltd.
     
   
1,100
 
Ser. 2015-10A, Class DR, 3 month USD LIBOR + 5.50%, (7.25%), due 10/26/27
 
1,098
(a)(d)
   
1,200
 
Ser. 2017-14A, Class D, 3 month USD LIBOR + 5.80%, (7.34%), due 11/20/30
 
1,201
(a)(d)
   
450
 
Palmer Square CLO Ltd., Ser. 2014-1A, Class DR2, 3 month USD LIBOR + 5.70%, (7.43%), due 1/17/31
 
453
(a)(d)
 
 
Total Asset-Backed Securities (Cost $24,386)
 
25,223
 
 
NUMBER OF
SHARES
     
     
Exchange-Traded Funds 2.4%
   
801
 
iShares iBoxx $ High Yield Corporate Bond ETF (Cost  $70,083)
 
69,927
 
 
Short-Term Investments 0.7%
 
Investment Companies 0.7%
   
20,117,451
 
State Street Institutional U.S. Government Money Market Fund Premier Class, 1.25%(g) (Cost  $20,117)
 
20,117
 
       
 
Total Investments 98.8% (Cost $2,735,724)
2,807,526
 
       
 
Other Assets Less Liabilities 1.2%
32,771
 
       
 
Net Assets 100.0%
$2,840,297
 
 
(a)
 
Variable or floating rate security. The interest rate shown was the current rate as of January 31, 2018 and changes periodically.
  
Benchmarks for Variable/Floating Rates:
LIBOR (USD)—London Interbank Offered Rate
 
       
(b)
 
Value determined using significant unobservable inputs.
 
(c)
 
Illiquid security.
 
(d)
 
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the "1933 Act"), or are otherwise restricted and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At January 31, 2018, these securities amounted to approximately $1,152,886,000, which represents 40.6% of net assets of the Fund. Securities denoted with (d) but without (c) have been deemed by the investment manager to be liquid.
 
(e)
 
Payment-in-kind (PIK) security.
 
(f)
 
Security fair valued as of January 31, 2018 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at January 31, 2018 amounted to approximately $1,210,000, which represents approximately 0.0% of net assets of the Fund.
 
(g)
 
Represents 7-day effective yield as of January 31, 2018.
 
 
 
See Notes to Schedule of Investments

Schedule of Investments High Income Bond Fund
(Unaudited) (cont’d)
 
 
The following is a summary, categorized by Level (see Notes to Schedule of Investments), of inputs used to value the Fund's investments as of January 31, 2018:
 
Asset Valuation Inputs
 
(000's omitted)
 
Level 1
   
Level 2
   
Level 3(b)
   
Total
 
Investments:
       
Loan Assignments
                       
Lodging & Casinos
 
$
—
   
$
—
   
$
8,078
   
$
8,078
 
Other Loan Assignments(a)
   
—
     
93,547
     
—
     
93,547
 
Total Loan Assignments
   
—
     
93,547
     
8,078
     
101,625
 
Corporate Bonds(a)
   
—
     
2,583,850
     
—
     
2,583,850
 
Convertible Bonds(a)
   
—
     
6,784
     
—
     
6,784
 
Asset-Backed Securities
   
—
     
24,013
     
1,210
     
25,223
 
Exchange-Traded Funds
   
69,927
     
—
     
—
     
69,927
 
Short-Term Investments
   
—
     
20,117
     
—
     
20,117
 
Total Investments
 
$
69,927
   
$
2,728,311
   
$
9,288
   
$
2,807,526
 
 
(a)
The Schedule of Investments provides information on the industry or sector categorization for the portfolio.
   
(b)
The following is a reconciliation between the beginning and ending balances of investments in which unobservable inputs (Level 3) were used in determining value:
 

 
 
 
 
 
Beginning
balance, as
of
11/1/2017
 
 
 
 
 
Accrued
discounts/
(premiums)
 
 
 
 
 
 
Realized
gain/(loss)
 
 
 
 
Change in
unrealized
appreciation/
(depreciation)
 
 
 
 
 
 
 
Purchases
 
 
 
 
 
 
 
Sales
 
 
 
 
 
Transfers
into
Level 3
 
 
 
 
 
Transfers
out of
Level 3
 
 
 
 
 
Balance,
as of
1/31/2018
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
1/31/2018
Investments in Securities:
                 
(000’s omitted)
                   
Loan Assignments(c)
                   
Health Care
$11,796
$(11,796)
Leisure Goods – Activities – Movies
3,104
0(e)
33
(48)
—
(3,089)
—
—
—
—
Lodging & Casinos
12,902
18
493
(595)
—
(4,740)
—
—
8,078
(595)
Corporate Bonds(d)
                   
    Chemicals
1
—
0(e)
(1)
—
(0)(e)
—
—
—
—
Asset-Backed Securities(d)
—
—
—
—
1,210
—
—
—
1,210
—
Total
$27,803
$18
$526
$(644)
$1,210
$(7,829)
$(11,796)
$9,288
$(595)

(c)
Securities categorized as Level 3 were valued using a single quotation obtained from a dealer. The Fund does not have access to unobservable inputs and therefore cannot disclose such inputs used in formulating such quotation.

(d)
Securities categorized as Level 3 were valued using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of these securities.

(e)
Amount less than one thousand.

As of the period ended January 31, 2018, certain securities were transferred from one level (as of October 31, 2017) to another. Based on beginning of period market values as of November 1, 2017, approximately $11,796,000 was transferred from Level 3 to Level 2. Transfers of loan assignments into or out of Level 3 were primarily due to the pricing methodology using methods the Board has approved in the good-faith belief that the resulting valuation will reflect the fair value of these securities (Level 3) or a single observable input (Level 3) by the independent pricing service. As of the period ended January 31, 2018, the Fund had no transfers between Levels 1 and 2.
 
 
 
See Notes to Schedule of Investments

Schedule of Investments Municipal High Income Fund
(Unaudited) January 31, 2018
 
 

PRINCIPAL
AMOUNT
     
VALUE
†
(000's omitted)
   
(000's omitted)
   
   
Municipal Notes 97.2%
 
   
Alabama 0.9%
 
 
$
300
 
Birmingham Spec. Care Facs. Fin. Au. Rev. (Methodist Home for The Aging), Ser. 2016-2015-1, 5.75%, due 6/1/45
$
338
   
   
500
 
Phenix City IDB Env. Imp. Rev. Ref. (Meadwestvaco Coated Board Proj.), Ser. 2012-A, 4.13%, due 5/15/35
 
496
   
 
834
   
Alaska 0.8%
 
   
800
 
Valdez Marine Term. Ref. Rev. (Exxon Pipeline Co. Proj.), Ser. 1993-A, 0.94%, due 12/1/33
 
800
(a)
 
   
American Samoa 0.2%
 
   
200
 
American Samoa Econ. Dev. Au. Gen. Rev. Ref., Ser. 2015-A, 6.25%, due 9/1/29
 
197
   
   
Arizona 5.3%
 
   
500
 
Maricopa Co. Ind. Dev. Au. Ed. Ref. Rev. (Paradise Sch. Proj. Paragon Management, Inc.), Ser. 2016, 5.00%, due 7/1/36
 
505
(b)
 
   
800
 
Maricopa Co. Ind. Dev. Au. Solid Waste Disp. Rev. (Waste Management, Inc. Proj.), Ser. 2001, 3.38%, due 12/1/31 Putable 6/3/24
 
814
(a)
 
   
1,230
 
Maricopa Co. Ind. Dev. Au. Sr. Living Fac. Ref. Rev. (Christian Care Retirement Apts. Inc. Proj.), Ser. 2016-A, 5.00%, due 1/1/25
 
1,414
   
   
500
 
Maricopa Co. Ind. Dev. Au. Sr. Living Fac. Rev. (Christian Care Surprise, Inc. Proj.), Ser. 2016, 5.00%, due 1/1/26
 
495
(b)(c)
 
   
250
 
Navajo Nation Ref. Rev., Ser. 2015-A, 5.00%, due 12/1/25
 
271
(b)
 
   
500
 
Phoenix Ind. Dev. Au. Ed. Ref. Rev. (Great Hearts Academies), Ser. 2016-A, 5.00%, due 7/1/46
 
534
   
   
600
 
Phoenix Ind. Dev. Au. Rev. (Deer Valley Veterans Assisted Living  Proj.), Ser. 2016-A, 5.13%, due 7/1/36
 
605
   
   
500
 
Pima Co. Ind. Dev. Au. Ed. Ref. Rev. (American Leadership Academy Proj.), Ser. 2015, 5.38%, due 6/15/35
 
511
(b)
 
 
5,149
   
California 8.6%
 
   
250
 
California Muni. Fin. Au. Charter Sch. Lease Rev. (Santa Rosa Academy Proj.), Ser. 2015, 5.13%, due 7/1/35
 
259
(b)
 
   
500
 
California Muni. Fin. Au. Charter Sch. Rev. (John Adams Academics Proj.), Ser. 2015-A, 4.50%, due 10/1/25
 
509
   
   
500
 
California Muni. Fin. Au. Charter Sch. Rev. (Palmdale Aerospace Academy Proj.), Ser. 2016, 5.00%, due 7/1/31
 
514
(b)
 
   
400
 
California Muni. Fin. Au. Rev. (Baptist Univ.), Ser. 2015-A, 5.00%, due 11/1/30
 
435
(b)
 
   
1,130
 
California St. Dept. of Veterans Affairs Home Purchase Ref. Rev., Ser. 2016-A, 2.85%, due 12/1/27
 
1,089
   
   
200
 
California St. G.O. Ref., Ser. 2015, 5.00%, due 8/1/29
 
234
   
   
500
 
California St. Poll. Ctrl. Fin. Au. Solid Waste Disp. Rev. (Aemerge Redpak Svcs. So. California LLC Proj.), Ser. 2016, 7.00%, due 12/1/27
 
483
(b)(c)
 
   
500
 
California St. Sch. Fin. Au. Charter Sch. Rev. (Downtown College Prep-Oblig. Group), Ser. 2016, 4.75%, due 6/1/36
 
506
(b)
 
   
600
 
California St. Sch. Fin. Au. Charter Sch. Rev. (Rocketship Ed.), Ser. 2016-A, 5.00%, due 6/1/31
 
626
(b)
 
   
400
 
California Statewide CDA Rev. Ref. (Lancer Ed. Std. Hsg. Proj.), Ser. 2016-A, 5.00%, due 6/1/36
 
417
(b)
 
       
California Statewide CDA Spec. Tax Rev. Ref. (Comm. Facs. Dist. Number 2007-01 Orinda Wilder Proj.)
       
   
130
 
Ser. 2015, 4.25%, due 9/1/21
 
137
   
   
145
 
Ser. 2015, 4.50%, due 9/1/25
 
158
   
   
400
 
Del Mar Race Track Au. Ref. Rev., Ser. 2015, 5.00%, due 10/1/38
 
400
   
 
 
1,000
 
Deutsche Bank Spears/Lifers Trust Rev. (Floaters) (Deutsche Bank AG), Ser. 2017-7007, 1.66%, due 3/1/42
 
1,000
(a)(b)
 
   
1,000
 
Deutsche Bank Spears/Lifers Trust Rev. (Starwood Comm. Dev. Au.) (Deutsche Bank AG), Ser. 2017-DBE-7006, 1.00%, due 4/1/52
 
1,000
(a)(b)
 
   
500
 
Palomar Hlth. Ref. Rev., Ser. 2016, 5.00%, due 11/1/36
 
560
   
 
8,327
   
Colorado 3.3%
 
   
471
 
Crystal Crossing Metro. Dist. Ref. G.O., Ser. 2016, 4.50%, due 12/1/26
 
461
   
   
1,000
 
Denver Convention Ctr. Hotel Au. Ref. Rev., Ser. 2016, 5.00%, due 12/1/27
 
1,146
   
   
500
 
Littleton Village Metro. Dist. Number 2 Ref. G.O., Ser. 2015, 5.38%, due 12/1/45
 
501
   
       
Park Creek Metro. Dist. Ref. Tax Allocation Rev. (Sr. Ltd. Prop. Tax Supported)
       
   
250
 
Ser. 2015-A, 5.00%, due 12/1/34
 
280
   
   
250
 
Ser. 2015-A, 5.00%, due 12/1/35
 
280
   
   
500
 
Ser. 2015-A, 5.00%, due 12/1/45
 
555
   
 
3,223
   
Connecticut 1.7%
 
   
725
 
City of Bridgeport, Ser. 2017-A, 5.00%, due 11/1/28
 
809
   
   
465
 
Hartford Co. Metro. Dist. G.O., Ser. 2016-C, (AGM Insured), 5.00%, due 11/1/27
 
543
   
   
290
 
Mohegan Tribe of Indians Gaming Au. Ref. Rev. (Priority Dist.), Ser. 2015-C, 4.75%, due 2/1/20
 
294
(b)
 
 
1,646
   
Florida 7.7%
 
   
400
 
Cap. Trust Agcy. Rev. (Tuscan Garden Palm Coast Proj.), Ser. 2017-A, 7.00%, due 10/1/49
 
383
(b)(c)
 
   
200
 
Escambia Co. Solid Waste Disp. Rev. (Gulf Pwr. Co. Proj.), Ser. 2009, 1.16%, due 4/1/39
 
200
(a)
 
   
650
 
Florida Dev. Fin. Corp. Ed. Facs. Rev. Ref. (Pepin Academies, Inc.), Ser. 2016-A, 5.00%, due 7/1/36
 
611
   
   
500
 
Florida Dev. Fin. Corp. Surface Trans. Fac. Rev. (Brightline Passenger Rail Proj.), Ser. 2017, 5.63%, due 1/1/47 Putable 1/1/28
 
518
(a)(b)
 
   
450
 
Florida St. Dev. Fin. Corp. Ed. Facs. Rev. (Renaissance Charter Sch., Inc. Proj.), Ser. 2015-A, 6.00%, due 6/15/35
 
463
(b)
 
   
350
 
Florida St. Dev. Fin. Corp. Sr. Living Rev. (Tuscan Isle Champions Gate Proj.), Ser. 2016-A, 6.38%, due 6/1/46
 
344
(b)(c)
 
   
500
 
Florida St. Dev. Fin. Corp. Sr. Living Rev. (Tuscan Isle Obligated Group), Ser. 2015-A, 7.00%, due 6/1/45
 
400
(b)
 
   
455
 
Florida St. Hsg. Fin. Corp. Rev., Ser. 2015-1, 3.75%, due 7/1/35
 
464
   
   
400
 
Greater Orlando Aviation Au. Arpt. Facs. Spec. Purp. Rev. (JetBlue Airways Corp. Proj.), Ser. 2013, 5.00%, due 11/15/36
 
414
   
   
525
 
Lee Co. Ind. Dev. Au. Rev. (Cypress Cove Hlth. Park, Inc. Memory Care Proj.), Ser. 2014, 4.50%, due 10/1/32
 
531
   
   
700
 
Manatee Co. Poll Ctrl. Rev. Ref. (Florida Pwr. & Lt. Co. Proj.), Ser. 1994, 0.99%, due 9/1/24
 
700
(a)
 
   
2,500
 
Miami-Dade Co. Ind. Dev. Au. Rev. Ref. (Florida Pwr. & Lt. Co. Proj.), Ser. 1993, 1.02%, due 6/1/21
 
2,500
(a)
 
 
7,528
   
Georgia 0.5%
 
   
250
 
Cobb Co. Dev. Au. Sr. Living Ref. Rev. (Provident Village Creekside Proj.), Ser. 2016-A, 6.00%, due 7/1/36
 
222
(b)(c)
 
   
300
 
Greene Co. Dev. Au. Swr. Fac. Rev., Ser. 2015, 6.13%, due 1/1/25
 
299
(b)(c)
 
 
521
   
Hawaii 0.8%
 
       
Hawaii St. Dept. of Budget & Fin. Spec. Purp. Rev. Ref.
       
 
 
250
 
Ser. 2015, 5.00%, due 1/1/35
 
252
(b)
 
   
500
 
Ser. 2015, 5.00%, due 1/1/45
 
502
(b)
 
 
754
   
Illinois 9.6%
 
       
Chicago G.O.
       
   
250
 
Ser. 2002-2002B, 5.13%, due 1/1/27
 
268
   
   
1,000
 
Ser. 2009-C, 5.00%, due 1/1/27
 
1,012
   
       
Chicago O'Hare Int'l Arpt. Rev. Ref.
       
   
200
 
Ser. 2015-A, 5.00%, due 1/1/28
 
226
   
   
100
 
Ser. 2015-A, 5.00%, due 1/1/34
 
110
   
       
Chicago Ref. G.O.
       
   
500
 
Ser. 2002-B, 5.25%, due 1/1/28
 
538
   
   
1,000
 
Ser. 2012-C, 5.00%, due 1/1/20
 
1,038
   
   
500
 
Ser. 2012-C, 5.00%, due 1/1/24
 
528
   
   
155
 
Chicago Wastewater Rev. (Second Lien Proj.), Ser. 2014, 5.00%, due 11/1/27
 
174
   
   
500
 
Chicago Wastewater Transmission Rev. Ref. (Second Lien), Ser. 2008-C, 5.00%, due 1/1/39
 
537
   
   
400
 
Illinois Fin. Au. Charter Sch. Rev. (Intrinsic Sch.-Belmont Sch. Proj.), Ser. 2015-A, 5.75%, due 12/1/35
 
408
(b)
 
   
425
 
Illinois Fin. Au. Rev. Ref. (Rosalind Franklin Univ. of Medicine & Science), Ser. 2017-A, 5.00%, due 8/1/47
 
451
   
       
Illinois St. G.O.
       
   
225
 
Ser. 2006, 5.50%, due 1/1/30
 
245
   
   
250
 
Ser. 2009, 5.25%, due 4/1/28
 
251
   
   
40
 
Ser. 2013, 5.00%, due 7/1/23
 
42
   
       
Illinois St. G.O. Ref.
       
   
750
 
Ser. 2016, 5.00%, due 2/1/24
 
799
   
   
635
 
Ser. 2016, 5.00%, due 2/1/26
 
677
   
   
620
 
Illinois St. Sales Tax Rev., Ser. 1992-P, 6.50%, due 6/15/22
 
678
   
   
750
 
Railsplitter Tobacco Settlement Au. Rev., Ser. 2017, 5.00%, due 6/1/27
 
858
   
   
500
 
Upper Illinois River Valley Dev. Au. Rev. Ref. (Cambridge Lakes Learning Ctr.), Ser. 2017-A, 5.25%, due 12/1/47
 
506
(b)
 
 
9,346
   
Indiana 0.8%
 
   
725
 
Indianapolis Econ. Dev. Rev. Ref. (Brookhaven Co. Line Apts. Proj.), Ser. 2013-A, 6.25%, due 7/1/43
 
747
   
Iowa 0.9%
 
   
400
 
Iowa Higher Ed. Loan Au. Ref. Rev. (Wartburg College Proj.), Ser. 2015, 5.00%, due 10/1/32
 
397
   
   
500
 
People's Mem. Hosp. Buchanan Co. Hosp. Rev., Ser. 2016, 1.50%, due 12/1/18
 
500
   
 
897
   
Kansas 0.3%
 
   
300
 
Wichita City Sales Tax. Spec. Oblig. Rev. Ref. (Greenwich Star Bond), Ser. 2017-K-96, 4.20%, due 9/1/27
 
301