SEC Info - Valic Co II - ‘N-CSRS’ for 2/29/20

Page	(sequential)		(alphabetic)	↑Top
		Alternative Formats (Word, et al.) Aggressive Growth Lifestyle Fund Capital Appreciation Fund Conservative Growth Lifestyle Fund Core Bond Fund Expense Example Financial Highlights Government Money Market II Fund High Yield Bond Fund International Opportunities Fund Large Cap Value Fund Mid Cap Growth Fund Mid Cap Value Fund Moderate Growth Lifestyle Fund Notes to Financial Statements President's Letter Small Cap Growth Fund Small Cap Value Fund Statements of Assets and Liabilities Statements of Changes in Net Assets Statements of Operations Strategic Bond Fund Table of Contents Trustee and Officer Information U.S. Socially Responsible Fund
1	1st Page – Filing Submission
"	Table of Contents
"	President's Letter
"	Expense Example
"	Aggressive Growth Lifestyle Fund
"	Capital Appreciation Fund
"	Conservative Growth Lifestyle Fund
"	Core Bond Fund
"	Government Money Market II Fund
"	High Yield Bond Fund
"	International Opportunities Fund
"	Large Cap Value Fund
"	Mid Cap Growth Fund
"	Mid Cap Value Fund
"	Moderate Growth Lifestyle Fund
"	Small Cap Growth Fund
"	Small Cap Value Fund
"	Strategic Bond Fund
"	U.S. Socially Responsible Fund
"	Statements of Assets and Liabilities
"	Statements of Operations
"	Statements of Changes in Net Assets
"	Notes to Financial Statements
"	Financial Highlights
"	Trustee and Officer Information

This disclosure does not apply to investors who own fund shares beneficially through a variable insurance contract. Each applicable insurance company will provide information regarding delivery of fund shareholder reports to its contract owners.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Registrant’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports from the Registrant. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Registrant or VALIC Retirement Services Company (VRSCO), as your retirement plan recordkeeper, electronically by contacting us at 1-800-448-2542 or logging into your account at VALIC Online at www.valic.com.

You may elect to receive all future reports in paper free of charge. You can inform the Registrant or VRSCO that you wish to continue receiving paper copies of your shareholder reports by contacting 1-866-345-5954 or visiting FundReports.com and providing the 20-digit unique ID located above or below your mailing address. Your election to receive reports in paper will apply to all funds held within your employer-sponsored retirement plan account with VRSCO.

We are pleased to provide you with the following Semi-Annual Report for VALIC Company II consisting of investment portfolio information and financial statements for the six-month period ended February 29, 2020. We encourage you to carefully read this report.

We continue to believe that maintaining a well-diversified investment portfolio focused on the long-term can help smooth the inevitable ups-and-downs of market performance. Your financial advisor can assist by reviewing your financial situation and tax considerations to develop a plan that employs appropriate investment strategies and a diversified allocation among asset classes.

Our highest priority is to assist you in improving the likelihood of reaching your long-term investment goals.

Note: All performance figures quoted are for the VALIC Company II Funds. They do not reflect fees and charges associated with the variable annuity. Past performance is no guarantee of future results. Annuities are long-term investment vehicles designed for retirement purposes. Early withdrawal may be subject to withdrawal charges and if taken prior to age 591/2, a 10% federal tax penalty may apply. An investment in a variable annuity involves investment risk, including possible loss of principal. The contract, when redeemed, may be worth more or less than the total amount invested.

Investments in stocks and bonds are subject to risks, including stock market and interest rate fluctuations. Investments in growth stocks as well as small and mid-cap company stocks may be subject to volatile price swings and therefore present a greater potential for loss than other investments. Investments in non-U.S. stocks and bonds are subject to additional risks such as fluctuations in foreign currencies, political and economic instability, differences in securities regulation and accounting standards, foreign tax laws, and limited availability of public information. Income seeking investment strategies may not be realized due to changes in dividend policies or the availability of capital resources.

Investments that concentrate on one economic sector or geographic region are generally subject to greater volatility than more diverse investments. Investments in real estate investment trusts (REITs) involve risks such as refinancing, economic conditions in the real estate industry, changes in property values, dependency on real estate management, and other risks associated with a concentration in one sector or geographic region. Investments in securities related to gold and other precious metals and minerals are speculative and impacted by a host of worldwide economic, financial and political factors.

Investments in debt securities are subject to credit risk (i.e., the risk that an issuer might not pay interest when due or repay principal at maturity of the obligation). Investments in lower-rated bonds and “junk bonds” are considered speculative due to the heightened risk of default and are subject to unpredictable losses as a result of changes in the issuer’s credit worthiness.

Investments in derivatives are subject to heightened risk; gains or losses from non-hedging positions may be substantially greater than the cost of the position. Active trading may result in high portfolio turnover and correspondingly greater transaction costs for the portfolio and underlying portfolios.

There can be no assurance that the Portfolios will meet their investment objectives. A full description of the investment goals, principal strategies, and risks for each Portfolio are provided in the prospectus.

Investments are not guaranteed or endorsed by any bank, are not a deposit or obligation of any bank, and are not federally insured by Federal Deposit Corporation (FDIC), the Federal Reserve Board or any other federal government agency.

As a shareholder of a Fund in VALIC Company II (“VC II”), you incur ongoing costs, including management fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at September 1, 2019 and held until February 29, 2020. Shares of VC II are currently issued and redeemed only in connection with investments in and payments under variable annuity contracts and variable life insurance policies (“Variable Contracts”), qualified retirement plans (the “Plans”) and Individual Retirement Accounts (“IRA”) offered by The Variable Annuity Life Insurance Company (“VALIC”), the investment adviser to VC II and other life insurance companies affiliated with VALIC. The fees and expenses associated with the Variable Contracts, Plans and IRA’s are not included in these Examples, and had such fees and expenses been included, your costs would have been higher. Please see your Variable Contract prospectus or Plan/IRA documents for more details on the fees associated with your Variable Contract, Plan or IRAs.

The “Actual” section of the table provides information about your actual account values and actual expenses. You may use the information in these columns, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Expenses Paid During the Six Months Ended February 29, 2020” to estimate the expenses you paid on your account during this period. The “Expenses Paid During the Six Months Ended February 29, 2020” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, Plans and IRAs, in which the Funds are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended February 29, 2020” column would have been higher and the “Ending Account Value” column would have been lower.

The “Hypothetical” section of the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an annual rate of return of 5% before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The “Expenses Paid During the Six Months Ended February 29, 2020” column and the “Annualized Expense Ratio” column do not include fees and expenses that may be charged by the Variable Contracts, Plans or IRAs in which the Funds are offered. Had these fees and expenses been included, the “Expenses Paid During the Six Months Ended February 29, 2020” column would have been higher and the “Ending Account Value” column would have been lower.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any fees and expenses that may be charged by the Variable Contracts, Plans or IRAs. Please refer to your Variable Contract prospectus or Plan/IRA document for more information. Therefore, the “hypothetical” example is useful in comparing ongoing costs and will not help you determine the relative total costs of owning different funds. In addition, if these fees and expenses were included, your costs would have been higher.



Security Description	Shares		Value (Note 2)

AFFILIATED REGISTERED INVESTMENT COMPANIES#(2) — 100.0%
Domestic Equity Investment Companies — 52.1%
VALIC Co. I Blue Chip Growth Fund		430	$	9,058
VALIC Co. I Dividend Value Fund		2,783,381		30,951,191
VALIC Co. I Large Cap Core Fund		800,788		9,657,500
VALIC Co. I Large Capital Growth Fund		580,842		10,170,544
VALIC Co. I Mid Cap Index Fund		1,019,442		24,252,515
VALIC Co. I Mid Cap Strategic Growth Fund		530,101		8,884,498
VALIC Co. I Nasdaq-100 Index Fund		664,325		11,140,732
VALIC Co. I Science & Technology Fund		610,083		18,436,713
VALIC Co. I Small Cap Index Fund		671,834		12,791,728
VALIC Co. I Small Cap Special Values Fund		545,988		6,071,383
VALIC Co. I Stock Index Fund		1,104,553		47,098,135
VALIC Co. I Value Fund		722,583		13,114,873
VALIC Co. II Capital Appreciation Fund		1,476,808		22,137,354
VALIC Co. II Large Cap Value Fund		1,737,544		33,951,617
VALIC Co. II Mid Cap Growth Fund		783,283		7,981,653
VALIC Co. II Mid Cap Value Fund		1,342,473		22,419,307
VALIC Co. II Small Cap Growth Fund		342,785		6,283,256
VALIC Co. II Small Cap Value Fund		931,708		9,605,909

Total Domestic Equity Investment Companies
(cost $301,022,673)				294,957,966

Domestic Fixed Income Investment Companies — 15.3%
VALIC Co. I Capital Conservation Fund		939,477		10,014,824
VALIC Co. I Government Securities Fund		543,719		6,127,713
VALIC Co. I Inflation Protected Fund		2,406,834		28,159,961
VALIC Co. II High Yield Bond Fund		1,388,462		10,830,007
VALIC Co. II Strategic Bond Fund		2,717,486		31,468,483

Total Domestic Fixed Income Investment Companies
(cost $81,788,530)				86,600,988

Domestic Money Market Investment Companies — 2.3%
VALIC Co. I Government Money Market I Fund
(cost $13,047,634)(3)		13,047,634		13,047,634



Security Description	Shares			Value (Note 2)


International Equity Investment Companies — 23.9%
VALIC Co. I Emerging Economies Fund		4,182,290		$	33,541,964
VALIC Co. I International Equities Index Fund.		5,736,010			39,062,231
VALIC Co. I International Growth Fund		769,682			9,259,273
VALIC Co. I International Value Fund		3,363,073			29,796,828
VALIC Co. II International Opportunities Fund		1,277,238			23,769,394

Total International Equity Investment Companies
(cost $143,999,623)					135,429,690

International Fixed Income Investment Companies — 2.8%
VALIC Co. I International Government Bond Fund
(cost $14,684,744)		1,255,258			15,753,487

Real Estate Investment Companies — 3.6%
VALIC Co. I Global Real Estate Fund
(cost $19,486,631)		2,499,829			20,373,602

TOTAL INVESTMENTS
(cost $574,029,835)(1)		100.0	%		566,163,367
Other assets less liabilities		0.0			70,640

NET ASSETS		100.0	%	$	566,234,007

#	The Aggressive Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information on the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com.

(1)	See Note 5 for cost of investments on a tax basis.

(2)	See Note 3

(3)	The 7-day yield as of February 29, 2020 is 1.06%.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

Industry Allocation*


Applications Software	9.6	%
Finance — Credit Card	7.6
Computers	6.2
Medical — Drugs	5.7
Web Portals/ISP	5.6
Internet Content — Entertainment	4.3
E-Commerce/Products	4.3
Medical — Biomedical/Gene	4.1
Enterprise Software/Service	3.0
Real Estate Investment Trusts	2.2
Retail — Discount	2.1
Computer Data Security	2.1
Semiconductor Equipment	1.9
Insurance — Multi-line	1.9
Electronic Components — Semiconductors	1.6
Entertainment Software	1.6
Food — Confectionery	1.6
E-Commerce/Services	1.6
Medical Products	1.6
Commercial Services — Finance	1.5
Food — Misc./Diversified	1.5
Transport — Rail	1.5
Internet Infrastructure Software	1.4
Building Products — Wood	1.4
Airlines	1.4
Casino Hotels	1.4
Building & Construction Products — Misc.	1.3
Computer Software	1.3
Distribution/Wholesale	1.3
Computer Aided Design	1.3
Auto/Truck Parts & Equipment — Original	1.2
Retail — Restaurants	1.2
Retail — Auto Parts	1.2
Containers — Paper/Plastic	1.1
Internet Security	0.9
Machinery — Pumps	0.9
Wireless Equipment	0.8
Apparel Manufacturers	0.8
Cable/Satellite TV	0.8
Audio/Video Products	0.8
Medical Instruments	0.7
Footwear & Related Apparel	0.6
Lighting Products & Systems	0.6
Electronic Components — Misc.	0.6
Auto — Heavy Duty Trucks	0.5
Cosmetics & Toiletries	0.5
Medical Information Systems	0.5
Computers — Memory Devices	0.4

	98.0	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 98.0%
Airlines — 1.4%
Southwest Airlines Co.		29,748	$	1,374,060

Apparel Manufacturers — 0.8%
Deckers Outdoor Corp.†		4,653		808,691

Applications Software — 9.6%
Intuit, Inc.		1,969		523,459
Microsoft Corp.		46,230		7,489,722
salesforce.com, Inc.†		9,293		1,583,527

				9,596,708

Audio/Video Products — 0.8%
Dolby Laboratories, Inc., Class A		11,706		769,084

Auto - Heavy Duty Trucks — 0.5%
Cummins, Inc.		3,469		524,825

Auto/Truck Parts & Equipment-Original — 1.2%
Allison Transmission Holdings, Inc.		30,814		1,251,048

Building & Construction Products-Misc. — 1.3%
Fortune Brands Home & Security, Inc.		21,897		1,352,140

Building Products-Wood — 1.4%
Masco Corp.		33,436		1,381,576

Cable/Satellite TV — 0.8%
Altice USA, Inc., Class A†		30,563		790,359

Casino Hotels — 1.4%
MGM Resorts International		55,470		1,362,343

Commercial Services-Finance — 1.5%
FleetCor Technologies, Inc.†		5,709		1,517,395

Computer Aided Design — 1.3%
Cadence Design Systems, Inc.†		19,116		1,264,332

Computer Data Security — 2.1%
Fortinet, Inc.†		20,383		2,080,289

Computer Software — 1.3%
Akamai Technologies, Inc.†		15,280		1,321,873

Computers — 6.2%
Apple, Inc.		22,741		6,216,480

Computers - Memory Devices — 0.4%
NetApp, Inc.		8,356		390,392

Containers - Paper/Plastic — 1.1%
Berry Global Group, Inc.†		29,967		1,137,547

Cosmetics & Toiletries — 0.5%
Procter & Gamble Co.		4,528		512,705

Distribution/Wholesale — 1.3%
WW Grainger, Inc.		4,687		1,300,830

E-Commerce/Products — 4.3%
Amazon.com, Inc.†		2,280		4,294,950

E-Commerce/Services — 1.6%
Expedia Group, Inc.		12,792		1,261,547
TripAdvisor, Inc.		13,542		317,560

				1,579,107

Electronic Components - Misc. — 0.6%
Hubbell, Inc.		4,231		563,739

Electronic Components - Semiconductors — 1.6%
Broadcom, Inc.		6,010		1,638,446



Security Description	Shares		Value (Note 2)


Enterprise Software/Service — 3.0%
Oracle Corp.		40,965	$	2,026,129
Veeva Systems, Inc., Class A†		6,662		945,804

				2,971,933

Entertainment Software — 1.6%
Take-Two Interactive Software, Inc.†		15,045		1,617,037

Finance - Credit Card — 7.6%
American Express Co.		13,674		1,503,183
Discover Financial Services		12,219		801,322
Mastercard, Inc., Class A		12,233		3,550,628
Visa, Inc., Class A		9,826		1,785,974

				7,641,107

Food - Confectionery — 1.6%
Hershey Co.		11,228		1,616,720

Food - Misc./Diversified — 1.5%
Post Holdings, Inc.†		14,649		1,483,358

Footwear & Related Apparel — 0.6%
Skechers U.S.A., Inc., Class A†		18,141		600,104

Insurance - Multi-line — 1.9%
Allstate Corp.		17,883		1,882,186

Internet Content - Entertainment — 4.3%
Facebook, Inc., Class A†		22,495		4,329,613

Internet Infrastructure Software — 1.4%
F5 Networks, Inc.†		11,618		1,393,579

Internet Security — 0.9%
Palo Alto Networks, Inc.†		5,102		941,931

Lighting Products & Systems — 0.6%
Acuity Brands, Inc.		5,553		571,182

Machinery - Pumps — 0.9%
Curtiss-Wright Corp.		7,789		934,213

Medical Information Systems — 0.5%
Cerner Corp.		7,168		496,527

Medical Instruments — 0.7%
Edwards Lifesciences Corp.†		3,235		662,657

Medical Products — 1.6%
Hologic, Inc.†		9,814		462,436
Masimo Corp.†		6,785		1,108,194

				1,570,630

Medical - Biomedical/Gene — 4.1%
Alexion Pharmaceuticals, Inc.†		9,571		899,961
Amgen, Inc.		5,926		1,183,600
Exelixis, Inc.†		45,197		840,212
Vertex Pharmaceuticals, Inc.†		5,283		1,183,551

				4,107,324

Medical - Drugs — 5.7%
Bristol-Myers Squibb Co.		16,664		984,176
Horizon Therapeutics PLC†		32,353		1,107,120
Jazz Pharmaceuticals PLC†		6,083		696,990
Merck & Co., Inc.		37,514		2,872,072

				5,660,358

Real Estate Investment Trusts — 2.2%
CyrusOne, Inc.		7,040		426,483
Essex Property Trust, Inc.		4,217		1,194,929
Lamar Advertising Co., Class A		7,452		624,031

				2,245,443

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Retail - Auto Parts — 1.2%
AutoZone, Inc.†		1,130	$	1,166,736

Retail - Discount — 2.1%
Target Corp.		10,336		1,064,608
Walmart, Inc.		9,769		1,051,926

				2,116,534

Retail - Restaurants — 1.2%
Chipotle Mexican Grill, Inc.†		716		553,883
Starbucks Corp.		8,137		638,185

				1,192,068

Semiconductor Equipment — 1.9%
Lam Research Corp.		5,203		1,526,716
Teradyne, Inc.		6,921		406,678

				1,933,394

Transport - Rail — 1.5%
Kansas City Southern		9,749		1,468,979



Security Description	Shares			Value (Note 2)


Web Portals/ISP — 5.6%
Alphabet, Inc., Class A†		935		$	1,252,199
Alphabet, Inc., Class C†		3,212			4,301,928

					5,554,127

Wireless Equipment — 0.8%
Motorola Solutions, Inc.		5,078			841,323

TOTAL INVESTMENTS
(cost $86,385,571)(1)		98.0	%		98,027,982
Other assets less liabilities		2.0			2,005,026

NET ASSETS		100.0	%	$	100,033,008

†	Non-income producing security

(1)	See Note 5 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):



Security Description	Shares		Value (Note 2)

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 26.1%
VALIC Co. I Dividend Value Fund		1,325,036	$	14,734,406
VALIC Co. I Large Cap Core Fund		216,568		2,611,812
VALIC Co. I Large Capital Growth Fund		95,913		1,679,436
VALIC Co. I Mid Cap Index Fund		254,839		6,062,609
VALIC Co. I Mid Cap Strategic Growth Fund		115,494		1,935,673
VALIC Co. I Nasdaq-100 Index Fund		205,771		3,450,779
VALIC Co. I Science & Technology Fund		189,661		5,731,550
VALIC Co. I Small Cap Index Fund		159,879		3,044,105
VALIC Co. I Small Cap Special Values Fund		191,569		2,130,243
VALIC Co. I Stock Index Fund		355,736		15,168,589
VALIC Co. I Value Fund		157,219		2,853,531
VALIC Co. II Capital Appreciation Fund		361,788		5,423,195
VALIC Co. II Large Cap Value Fund		454,980		8,890,315
VALIC Co. II Mid Cap Growth Fund		253,338		2,581,510
VALIC Co. II Mid Cap Value Fund		449,212		7,501,842
VALIC Co. II Small Cap Growth Fund		105,584		1,935,355
VALIC Co. II Small Cap Value Fund		95,931		989,053

Total Domestic Equity Investment Companies
(cost $89,445,627)				86,724,003

Domestic Fixed Income Investment Companies — 50.8%
VALIC Co. I Capital Conservation Fund		1,737,574		18,522,539
VALIC Co. I Government Securities Fund		841,846		9,487,606
VALIC Co. I Inflation Protected Fund		1,799,288		21,051,669
VALIC Co. II Core Bond Fund		4,627,312		55,157,555
VALIC Co. II High Yield Bond Fund		2,768,547		21,594,667
VALIC Co. II Strategic Bond Fund		3,672,820		42,531,256

Total Domestic Fixed Income Investment Companies
(cost $158,299,613)				168,345,292

Domestic Money Market Investment Companies — 3.4%
VALIC Co. I Government Money Market I Fund (cost $11,239,930)(3)		11,239,930		11,239,930



Security Description	Shares			Value (Note 2)


International Equity Investment Companies — 12.2%
VALIC Co. I Emerging Economies Fund		1,131,922		$	9,078,011
VALIC Co. I International Equities Index Fund		2,079,480			14,161,258
VALIC Co. I International Growth Fund		122,680			1,475,846
VALIC Co. I International Value Fund		856,268			7,586,533
VALIC Co. II International Opportunities Fund		444,550			8,273,072

Total International Equity Investment Companies
(cost $43,465,625)					40,574,720

International Fixed Income Investment Companies — 4.8%
VALIC Co. I International Government Bond Fund (cost $14,822,301)		1,266,306			15,892,138

Real Estate Investment Companies — 2.7%
VALIC Co. I Global Real Estate Fund (cost $8,372,885)		1,094,742			8,922,146

TOTAL INVESTMENTS
(cost $325,645,981)(2)		100.0	%		331,698,229
Liabilities in excess of other assets		(0.0	)		(36,715	)

NET ASSETS		100.0	%	$	331,661,514

#	The Conservative Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional Information on the underlying funds including such funds’ prospectuses and shareholder reports is available at our website, www.valic.com.

(1)	See Note 3

(2)	See Note 5 for cost of investments on a tax basis.

(3)	The 7-day yield as of February 29, 2020 is 1.06%.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

Industry Allocation*


Federal National Mtg. Assoc.	24.6	%
Federal Home Loan Mtg. Corp.	9.7
United States Treasury Notes	6.4
United States Treasury Bonds	6.0
Diversified Financial Services	4.8
Diversified Banking Institutions	4.3
Government National Mtg. Assoc.	4.0
Registered Investment Companies	3.5
Banks — Commercial	2.4
Electric — Integrated	1.7
Telephone — Integrated	1.5
Pipelines	1.4
Oil Companies — Exploration & Production	1.3
Cable/Satellite TV	1.2
Real Estate Investment Trusts	1.1
Medical — Drugs	0.9
Banks — Super Regional	0.8
Oil Companies — Integrated	0.8
Cellular Telecom	0.7
Auto — Cars/Light Trucks	0.7
Finance — Consumer Loans	0.7
Machinery — Farming	0.6
Electric — Distribution	0.5
Computers	0.5
Insurance — Life/Health	0.5
Food — Misc./Diversified	0.4
Medical — HMO	0.4
Paper & Related Products	0.4
U.S. Government Treasuries	0.4
SupraNational Banks	0.4
Television	0.4
Computer Services	0.4
Brewery	0.3
Medical Labs & Testing Services	0.3
Diversified Manufacturing Operations	0.3
Insurance — Property/Casualty	0.3
Retail — Restaurants	0.3
Transport — Rail	0.3
Medical — Biomedical/Gene	0.3
Savings & Loans/Thrifts	0.3
Finance — Credit Card	0.3
Chemicals — Specialty	0.3
Chemicals — Diversified	0.3
Containers — Paper/Plastic	0.3
Aerospace/Defense	0.3
Gas — Distribution	0.3
Pharmacy Services	0.3
Food — Meat Products	0.3
Networking Products	0.3
Retail — Discount	0.2
Oil — Field Services	0.2
Containers — Metal/Glass	0.2
Electric — Generation	0.2
Building Products — Air & Heating	0.2
Medical — Hospitals	0.2
Internet Content — Entertainment	0.2
Tools — Hand Held	0.2
Sovereign	0.2
Beverages — Non — alcoholic	0.2
Retail — Mail Order	0.2
Machinery — Construction & Mining	0.2
Advertising Agencies	0.2
Food — Retail	0.2
Trucking/Leasing	0.2
Building & Construction Products — Misc.	0.2
Enterprise Software/Service	0.2
Insurance — Mutual	0.2
Telecom Equipment — Fiber Optics	0.2


Insurance Brokers	0.2
Banks — Special Purpose	0.2
Satellite Telecom	0.2
Energy — Alternate Sources	0.2
Diversified Minerals	0.2
Metal — Copper	0.2
Electronic Measurement Instruments	0.2
Medical — Wholesale Drug Distribution	0.2
Electronic Parts Distribution	0.2
Sovereign Agency	0.2
Finance — Investment Banker/Broker	0.2
Distribution/Wholesale	0.1
Batteries/Battery Systems	0.1
Medical — Generic Drugs	0.1
Steel — Producers	0.1
Transport — Equipment & Leasing	0.1
Independent Power Producers	0.1
Electronic Components — Semiconductors	0.1
Auto/Truck Parts & Equipment — Original	0.1
Radio	0.1
Data Processing/Management	0.1
Commercial Services	0.1
Retail — Regional Department Stores	0.1
Machinery — Electrical	0.1
Diagnostic Equipment	0.1
Applications Software	0.1
Consumer Products — Misc.	0.1
Building — Residential/Commercial	0.1
Computers — Integrated Systems	0.1
Metal — Iron	0.1
Retail — Petroleum Products	0.1
Broadcast Services/Program	0.1
Auto — Heavy Duty Trucks	0.1
Agricultural Chemicals	0.1
Cosmetics & Toiletries	0.1
Banks — Money Center	0.1
Finance — Leasing Companies	0.1
Investment Management/Advisor Services	0.1
Building Products — Cement	0.1
Casino Services	0.1
Non — Hazardous Waste Disposal	0.1
Food — Wholesale/Distribution	0.1
Protection/Safety	0.1
Real Estate Operations & Development	0.1
Finance — Mortgage Loan/Banker	0.1
Dialysis Centers	0.1
Multimedia	0.1
Hotels/Motels	0.1
Commercial Services — Finance	0.1
Retail — Building Products	0.1
E — Commerce/Products	0.1
Transport — Marine	0.1
Finance — Auto Loans	0.1
Insurance — Multi — line	0.1
Petrochemicals	0.1
Aerospace/Defense — Equipment	0.1
Transport — Truck	0.1
Food — Dairy Products	0.1
Rental Auto/Equipment	0.1
Building & Construction — Misc.	0.1
Transport — Air Freight	0.1
Poultry	0.1
Internet Connectivity Services	0.1
Decision Support Software	0.1
Computers — Memory Devices	0.1
Coal	0.1
Auction Houses/Art Dealers	0.1
E — Commerce/Services	0.1

	100.2	%

*	Calculated as a percentage of net assets

PORTFOLIO PROFILE — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

ASSET BACKED SECURITIES — 4.4%
Diversified Financial Services — 4.4%
American Express Credit Account Master Trust Series 2019-2, Class A 2.67% due 11/15/2024	$	2,000,000	$	2,060,880
American Express Credit Account Master Trust Series 2018-4, Class A 2.99% due 12/15/2023		150,000		153,181
American Express Credit Account Master Trust Series 2018-8, Class A 3.18% due 04/15/2024		167,000		172,085
AmeriCredit Automobile Receivables Trust Series 2019-1, Class A3 2.97% due 11/20/2023		1,000,000		1,019,398
BA Credit Card Trust Series 2019-A1, Class A1 1.74% due 01/15/2025		900,000		912,183
BA Credit Card Trust Series 2018-A2, Class A2 3.00% due 09/15/2023		1,332,000		1,359,783
BANK Series 2019-BN19, Class A3 3.18% due 08/15/2061(1)		1,570,000		1,735,214
BANK Series 2019-BN16, Class A2 3.93% due 02/15/2052(1)		2,377,000		2,564,152
Benchmark Mtg. Trust Series 2018-B1, Class A2 3.57% due 01/15/2051(1)		1,233,000		1,295,227
Benchmark Mtg. Trust Series 2019-B9, Class AAB 3.93% due 03/15/2052(1)		2,985,000		3,367,331
BMW Vehicle Lease Trust Series 2019-1, Class A4 2.92% due 08/22/2022		1,050,000		1,072,390
BX Commercial Mtg. Trust FRS Series 2019-IMC, Class A 2.66% (1 ML+1.00%) due 04/15/2034*(1)		2,500,000		2,498,490
CAMB Commercial Mtg. Trust FRS Series 2019-LIFE, Class A 2.73% (1 ML+1.07%) due 12/15/2037*(1)		750,000		751,688
Capital One Multi-Asset Execution Trust Series 2019-A2, Class A2 1.72% due 08/15/2024		1,000,000		1,012,079
Capital One Prime Auto Receivables Trust Series 2019-2, Class A3 1.92% due 05/15/2024		600,000		608,127
CarMax Auto Owner Trust Series 2019-3, Class A3 2.18% due 08/15/2024		1,030,000		1,050,718
CarMax Auto Owner Trust Series 2019-2, Class A3 2.68% due 03/15/2024		1,125,000		1,150,820
CarMax Auto Owner Trust Series 2018-4, Class A3 3.36% due 09/15/2023		1,000,000		1,029,376
Chase Mtg. Finance Corp. VRS Series 2016-SH2, Class M2 3.75% due 12/25/2045*(2)(3)		1,345,027		1,415,849
Citibank Credit Card Issuance Trust Series 2018-A1, Class A1 2.49% due 01/20/2023		150,000		151,410
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7 3.96% due 10/13/2030		250,000		292,106



Security Description	Principal Amount		Value (Note 2)


Diversified Financial Services (continued)
COMM Mtg. Trust VRS Series 2016-787S, Class B 3.83% due 02/10/2036*(1)(3)	$	1,254,000	$	1,380,822
CSAIL Commercial Mtg. Trust Series 2017-C8, Class A2 2.99% due 06/15/2050(1)		1,770,000		1,818,515
CSAIL Commercial Mtg. Trust Series 2019-C17, Class A2 3.00% due 09/15/2052(1)		225,000		238,039
Discover Card Execution Note Trust Series 2019-A1, Class A1 3.04% due 07/15/2024		500,000		516,936
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023*		1,000,000		1,009,965
GM Financial Consumer Automobile Receivables Trust Series 2019-3, Class A3 2.18% due 04/16/2024		1,075,000		1,091,506
GS Mtg. Securities Trust Series 2015-GC28, Class A2 2.90% due 02/10/2048(1)		44,211		44,192
Honda Auto Receivables Owner Trust Series 2019-1, Class A3 2.83% due 03/20/2023		700,000		713,650
ILPT Trust Series 2019-SURF, Class A 4.15% due 02/11/2041*(1)		5,570,000		6,530,997
Jackson Park Trust Series 2019-LIC, Class A 2.77% due 10/14/2039*(1)		1,400,000		1,491,959
JP Morgan Mtg. Trust VRS Series 2017-6, Class A6 3.00% due 12/25/2048*(2)(3)		1,749,935		1,783,753
JP Morgan Mtg. Trust VRS Series 2018-1, Class A5 3.50% due 06/25/2048*(2)(3)		2,311,961		2,363,980
Mercedes-Benz Auto Lease Trust Series 2019-A, Class A4 3.25% due 10/15/2024		188,000		192,300
Morgan Stanley Bank of America Merrill Lynch Trust Series 2015-C23, Class A2 2.98% due 07/15/2050(1)		150,896		151,025
Morgan Stanley Capital Barclays Bank Trust Series 2016-MART, Class A 2.20% due 09/13/2031*(1)		2,397,000		2,412,364
MSDB Trust VRS Series 2017-712F, Class A 3.32% due 07/11/2039*(1)(3)		4,520,000		4,908,387
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class A 2.56% (1 ML+0.90%) due 12/15/2033*(1)		2,950,000		2,947,337
One Bryant Park Trust Series 2019-OBP, Class A 2.52% due 09/15/2054*(1)		3,720,000		3,869,646
Shellpoint Co-Originator Trust VRS Series 2017-2, Class A1 3.50% due 10/25/2047*(2)(3)		1,492,347		1,532,105
Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56% due 11/25/2031*		900,000		942,273
Toyota Auto Receivables Owner Trust Series 2019-B, Class A3 2.57% due 08/15/2023		3,000,000		3,059,554

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024	$	125,000	$	129,821
Verizon Owner Trust Series 2018-1A, Class C 3.20% due 09/20/2022*		300,000		306,226
Volkswagen Auto Loan Enhanced Trust Series 2018-2, Class A4 3.33% due 02/20/2025		500,000		523,073
World Financial Network Credit Card Master Trust Series 2019-C, Class M 2.71% due 07/15/2026		850,000		864,671

Total Asset Backed Securities
(cost $63,690,069)				66,495,583

U.S. CORPORATE BONDS & NOTES — 31.7%
Advertising Agencies — 0.2%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		497,000		547,662
Omnicom Group, Inc. Senior Notes 2.45% due 04/30/2030		2,293,000		2,311,387

				2,859,049

Advertising Sales — 0.0%
National CineMedia LLC Senior Sec. Notes 5.88% due 04/15/2028*		433,000		442,437

Aerospace/Defense — 0.3%
BAE Systems Holdings, Inc. Company Guar. Notes 3.85% due 12/15/2025*		2,357,000		2,591,972
General Dynamics Corp. Company Guar. Notes 2.88% due 05/11/2020		1,463,000		1,466,175

				4,058,147

Aerospace/Defense - Equipment — 0.1%
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029		230,000		244,511
Moog, Inc. Company Guar. Notes 4.25% due 12/15/2027*		679,000		690,882

				935,393

Airlines — 0.0%
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 01/02/2020(4)		3,004		3,021
United Airlines Pass-Through Trust Pass-Through Certs. Series 2014-2, Class B 4.63% due 03/03/2024		419,840		438,167

				441,188

Applications Software — 0.1%
CDK Global, Inc. Senior Notes 5.88% due 06/15/2026		584,000		611,039
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027*		895,000		937,244

				1,548,283



Security Description	Principal Amount		Value (Note 2)


Auction Houses/Art Dealers — 0.1%
Sotheby’s Senior Sec. Notes 7.38% due 10/15/2027*	$	790,000	$	787,717

Auto - Cars/Light Trucks — 0.7%
BMW US Capital LLC Company Guar. Notes 3.10% due 04/12/2021*		989,000		1,007,941
Daimler Finance North America LLC Company Guar. Notes 2.00% due 07/06/2021*		588,000		590,500
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		552,000		552,877
Ford Motor Credit Co. LLC Senior Notes 4.39% due 01/08/2026		1,057,000		1,058,549
Hyundai Capital America Senior Notes 3.40% due 06/20/2024*		1,136,000		1,197,290
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022*		284,000		289,698
Tesla, Inc. Company Guar. Notes 5.30% due 08/15/2025*		800,000		799,000
Toyota Motor Credit Corp. Senior Notes 2.15% due 02/13/2030		1,877,000		1,900,522
Toyota Motor Credit Corp. Senior Notes 3.45% due 09/20/2023		1,576,000		1,690,343
Volkswagen Group of America Finance LLC Company Guar. Notes 2.50% due 09/24/2021*		1,080,000		1,093,921

				10,180,641

Auto - Heavy Duty Trucks — 0.1%
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024*		559,000		565,266
PACCAR Financial Corp. Senior Notes 2.00% due 09/26/2022		860,000		875,709

				1,440,975

Auto/Truck Parts & Equipment - Original — 0.1%
Dana, Inc. Senior Notes 5.38% due 11/15/2027		530,000		535,300
Lear Corp. Senior Notes 5.25% due 05/15/2049		876,000		919,612

				1,454,912

Banks - Commercial — 1.3%
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025		4,849,000		5,540,464
Citizens Financial Group, Inc. Senior Notes 2.50% due 02/06/2030		351,000		356,243
Citizens Financial Group, Inc. Sub. Notes 4.15% due 09/28/2022*		1,272,000		1,348,593

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Banks - Commercial (continued)
Citizens Financial Group, Inc. Sub. Notes 4.30% due 12/03/2025	$	790,000	$	881,999
Discover Bank Senior Notes 2.70% due 02/06/2030		852,000		861,337
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		1,845,000		2,711,470
SunTrust Bank Senior Notes 3.20% due 04/01/2024		2,640,000		2,795,756
SunTrust Bank Senior Notes 3.50% due 08/02/2022		1,107,000		1,137,595
Synovus Bank Senior Notes 2.29% due 02/10/2023		1,222,000		1,236,776
Zions Bancorp NA Sub. Notes 3.25% due 10/29/2029		2,597,000		2,723,612

				19,593,845

Banks - Super Regional — 0.8%
Bank of America NA Senior Notes 3.34% due 01/25/2023		1,922,000		1,986,966
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027		5,391,000		6,046,056
Wells Fargo & Co. Sub. Notes 4.65% due 11/04/2044		550,000		671,233
Wells Fargo Bank NA Senior Notes 2.08% due 09/09/2022		3,153,000		3,176,415

				11,880,670

Batteries/Battery Systems — 0.1%
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026*		1,090,000		1,130,657
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		1,150,000		1,203,671

				2,334,328

Beverages - Non - alcoholic — 0.2%
Keurig Dr Pepper, Inc. Company Guar. Notes 4.06% due 05/25/2023		32,000		34,444
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025		1,757,000		1,970,394
PepsiCo, Inc. Senior Notes 2.88% due 10/15/2049		1,144,000		1,209,761

				3,214,599

Brewery — 0.3%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 3.65% due 02/01/2026		33,000		36,090



Security Description	Principal Amount		Value (Note 2)


Brewery (continued)
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046	$	1,708,000	$	2,105,704
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		2,316,000		2,779,941
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.55% due 01/23/2049		283,000		384,577

				5,306,312

Broadcast Services/Program — 0.1%
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049		1,203,000		1,456,293

Building & Construction Products-Misc. — 0.2%
Owens Corning Senior Notes 4.30% due 07/15/2047		1,874,000		2,083,944
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		700,000		731,500

				2,815,444

Building & Construction-Misc. — 0.1%
Frontdoor, Inc. Senior Notes 6.75% due 08/15/2026*		801,000		876,538

Building Products - Air & Heating — 0.2%
Carrier Global Corp. Company Guar. Notes 3.38% due 04/05/2040*		1,814,000		1,864,649
Carrier Global Corp. Company Guar. Notes 3.58% due 04/05/2050*		1,591,000		1,639,123

				3,503,772

Building Products - Cement — 0.1%
Martin Marietta Materials, Inc. Senior Notes 3.50% due 12/15/2027		1,212,000		1,329,781

Building Products - Doors & Windows — 0.0%
Griffon Corp. Senior Notes 5.75% due 03/01/2028*		633,000		633,234

Building - Heavy Construction — 0.0%
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025*#		786,000		713,295

Building - Residential/Commercial — 0.1%
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028		774,000		816,864

Cable/Satellite TV — 1.1%
Block Communications, Inc. Senior Notes 4.88% due 03/01/2028*		681,000		683,397
Block Communications, Inc. Senior Notes 6.88% due 02/15/2025*		1,027,000		1,061,918

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028*	$	361,000	$	375,440
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 05/01/2025*		295,000		303,142
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 06/01/2029*		295,000		314,087
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.50% due 05/01/2026*		802,000		832,155
Charter Communications Operating LLC/Charter Communications Operating Capital FRS Senior Sec. Notes 3.41% (3 ML+1.65%) due 02/01/2024		821,000		847,231
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050		1,215,000		1,312,879
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.05% due 03/30/2029		630,000		730,264
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038		149,000		172,872
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035		555,000		733,055
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027		1,954,000		2,019,291
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038		370,000		430,770
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038		1,524,000		1,903,648
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		755,000		815,400
CSC Holdings LLC Company Guar. Notes 5.38% due 07/15/2023*		225,000		230,490
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027*		1,795,000		1,889,238
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		1,538,000		2,002,433

				16,657,710

Casino Hotels — 0.0%
Boyd Gaming Corp. Company Guar. Notes 4.75% due 12/01/2027*		542,000		535,295

Casino Services — 0.1%
Eldorado Resorts, Inc. Company Guar. Notes 6.00% due 09/15/2026		1,195,000		1,287,039



Security Description	Principal Amount		Value (Note 2)


Cellular Telecom — 0.3%
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023	$	3,308,000	$	3,779,390
T-Mobile USA, Inc. Company Guar. Notes 6.50% due 01/15/2024		429,000		439,189

				4,218,579

Chemicals - Diversified — 0.1%
LYB International Finance III LLC Company Guar. Notes 4.20% due 10/15/2049		1,627,000		1,724,409

Chemicals - Specialty — 0.2%
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022		1,167,000		1,191,224
Huntsman International LLC Senior Notes 4.50% due 05/01/2029		1,629,000		1,794,670
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		363,000		549,259

				3,535,153

Coal — 0.1%
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025*		886,000		797,400

Commercial Services — 0.1%
Harsco Corp. Company Guar. Notes 5.75% due 07/31/2027*		721,000		710,185
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022*		1,025,000		1,021,659

				1,731,844

Commercial Services - Finance — 0.1%
MPH Acquisition Holdings LLC Company Guar. Notes 7.13% due 06/01/2024*		1,125,000		1,046,498

Computer Services — 0.4%
IBM Credit LLC Senior Notes 3.00% due 02/06/2023		4,450,000		4,651,384
International Business Machines Corp. Senior Notes 2.50% due 01/27/2022		895,000		915,408

				5,566,792

Computer Software — 0.0%
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024*#		775,000		742,063

Computers — 0.5%
Apple, Inc. Senior Notes 2.05% due 09/11/2026		1,063,000		1,090,325
Apple, Inc. Senior Notes 2.85% due 05/06/2021		918,000		933,933

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
Dell International LLC/EMC Corp. Senior Sec. Notes 6.02% due 06/15/2026*	$	1,900,000	$	2,226,840
Dell International LLC/EMC Corp. Senior Sec. Notes 8.10% due 07/15/2036*		1,543,000		2,117,488
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035		1,218,000		1,523,811

				7,892,397

Computers - Integrated Systems — 0.1%
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024#		974,000		876,600
NCR Corp. Company Guar. Notes 6.13% due 09/01/2029*		587,000		637,071

				1,513,671

Consumer Products - Misc. — 0.1%
Central Garden & Pet Co. Company Guar. Notes 5.13% due 02/01/2028		975,000		1,016,438
Prestige Brands, Inc. Company Guar. Notes 5.13% due 01/15/2028*		506,000		528,770

				1,545,208

Containers - Metal/Glass — 0.1%
Crown Americas LLC/Crown Americas Capital Corp. IV Company Guar. Notes 4.50% due 01/15/2023		150,000		152,100
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*#		776,000		814,241
Silgan Holdings, Inc. Senior Notes 4.75% due 03/15/2025		1,025,000		1,036,962

				2,003,303

Containers - Paper/Plastic — 0.1%
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026*		521,000		513,185
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024*		723,000		775,418

				1,288,603

Cosmetics & Toiletries — 0.1%
Coty, Inc. Company Guar. Notes 6.50% due 04/15/2026*#		1,365,000		1,402,538

Data Processing/Management — 0.1%
Fair Isaac Corp. Senior Notes 4.00% due 06/15/2028*		843,000		864,075
Fiserv, Inc. Senior Notes 4.40% due 07/01/2049		728,000		871,078

				1,735,153



Security Description	Principal Amount		Value (Note 2)


Decision Support Software — 0.1%
MSCI, Inc. Company Guar. Notes 4.00% due 11/15/2029*	$	780,000	$	808,314

Diagnostic Equipment — 0.0%
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022*		144,000		142,877

Dialysis Centers — 0.1%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		1,132,000		1,146,150

Distribution/Wholesale — 0.1%
ABC Supply Co., Inc. Senior Sec. Notes 4.00% due 01/15/2028*		775,000		756,594
Anixter, Inc. Company Guar. Notes 6.00% due 12/01/2025		621,000		664,470
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025		882,000		919,114

				2,340,178

Diversified Banking Institutions — 2.6%
Bank of America Corp. Senior Notes 2.46% due 10/22/2025		2,497,000		2,560,215
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		1,670,000		1,823,700
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		1,646,000		1,831,793
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		1,402,000		1,929,249
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028		1,950,000		2,141,826
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		1,408,000		1,590,173
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046		1,580,000		1,983,011
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033		1,011,000		1,355,913
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		541,000		737,899
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		2,613,000		2,627,435
Goldman Sachs Group, Inc. Senior Notes 2.60% due 02/07/2030		3,513,000		3,563,507
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025		1,563,000		1,707,251
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		1,912,000		2,713,420

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
JPMorgan Chase & Co. Senior Notes 3.21% due 04/01/2023	$	3,891,000	$	4,017,759
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		1,980,000		2,162,693
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038		516,000		589,705
Morgan Stanley Senior Notes 3.63% due 01/20/2027		3,344,000		3,658,148
Morgan Stanley Senior Notes 5.50% due 07/24/2020		2,059,000		2,089,256

				39,082,953

Diversified Financial Services — 0.1%
USAA Capital Corp. Senior Notes 2.63% due 06/01/2021*		1,393,000		1,418,238

Diversified Manufacturing Operations — 0.1%
Carlisle Cos., Inc. Senior Notes 2.75% due 03/01/2030		878,000		875,750
Illinois Tool Works, Inc. Senior Notes 3.50% due 03/01/2024		1,135,000		1,229,733

				2,105,483

E-Commerce/Products — 0.1%
Amazon.com, Inc. Senior Notes 4.80% due 12/05/2034		752,000		996,641

E-Commerce/Services — 0.1%
GrubHub Holdings, Inc. Company Guar. Notes 5.50% due 07/01/2027*		848,000		787,622

Electric - Distribution — 0.5%
CenterPoint Energy, Inc. Senior Notes 2.95% due 03/01/2030		2,111,000		2,197,620
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.85% due 01/27/2025		4,232,000		4,498,095
NextEra Energy Operating Partners LP Company Guar. Notes 4.25% due 07/15/2024*		875,000		891,187

				7,586,902

Electric - Generation — 0.1%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		1,203,000		1,478,787
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027*		880,000		888,800

				2,367,587

Electric - Integrated — 1.6%
AEP Texas, Inc. Senior Notes 4.15% due 05/01/2049		578,000		692,815



Security Description	Principal Amount		Value (Note 2)


Electric - Integrated (continued)
Black Hills Corp. Senior Notes 3.88% due 10/15/2049	$	703,000	$	788,367
Consolidated Edison Co. of New York, Inc. Senior Notes 4.45% due 06/15/2020		1,434,000		1,445,603
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065		1,335,000		1,921,708
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		1,300,000		1,633,864
DTE Electric Co. General Refunding Mtg. 3.95% due 03/01/2049		2,264,000		2,755,473
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022		756,000		774,716
Entergy Texas, Inc. 1st Mtg. Notes 4.50% due 03/30/2039		2,485,000		3,099,966
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		3,020,000		4,412,548
Interstate Power & Light Co. Senior Notes 3.50% due 09/30/2049		880,000		977,107
Mississippi Power Co. Senior Notes 4.25% due 03/15/2042		1,380,000		1,600,255
PECO Energy Co. 1st Mtg. Bonds 3.00% due 09/15/2049		965,000		1,008,659
Public Service Co. of Colorado 1st Mtg. Bonds 3.70% due 06/15/2028		1,215,000		1,396,088
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048		921,000		1,161,108
Talen Energy Supply LLC Senior Sec. Notes 6.63% due 01/15/2028*		460,000		440,312
Talen Energy Supply LLC Senior Sec. Notes 7.25% due 05/15/2027*		382,000		384,407

				24,492,996

Electric - Transmission — 0.0%
AEP Transmission Co. LLC Senior Notes 3.15% due 09/15/2049		627,000		663,407

Electronic Components - Semiconductors — 0.1%
Amkor Technology, Inc. Senior Notes 6.63% due 09/15/2027*		286,000		308,880
Intel Corp. Senior Notes 2.45% due 07/29/2020		1,590,000		1,594,549

				1,903,429

Electronic Measurement Instruments — 0.2%
Trimble, Inc. Senior Notes 4.75% due 12/01/2024		133,000		148,357

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Electronic Measurement Instruments (continued)
Trimble, Inc. Senior Notes 4.90% due 06/15/2028	$	1,978,000	$	2,274,076

				2,422,433

Electronic Parts Distribution — 0.2%
Arrow Electronics, Inc. Senior Notes 4.00% due 04/01/2025		797,000		850,534
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024		1,475,000		1,536,721

				2,387,255

Energy - Alternate Sources — 0.2%
Hanwha Energy USA Holdings Corp. Company Guar. Notes 2.38% due 07/30/2022*		1,892,000		1,927,875
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024*		697,000		710,940

				2,638,815

Enterprise Software/Service — 0.2%
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024		747,000		767,318
Oracle Corp. Senior Notes 2.95% due 11/15/2024		1,912,000		2,029,888

				2,797,206

Finance - Auto Loans — 0.1%
Credit Acceptance Corp. Company Guar. Notes 5.13% due 12/31/2024*		134,000		138,020
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026*		770,000		808,515

				946,535

Finance - Consumer Loans — 0.6%
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024*		1,080,000		1,017,004
Navient Corp. Senior Notes 5.00% due 03/15/2027		450,000		435,240
SLM Corp. Senior Notes 5.63% due 08/01/2033		882,000		773,166
Springleaf Finance Corp. Company Guar. Notes 5.38% due 11/15/2029		355,000		362,561
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025		900,000		990,000
Synchrony Financial Senior Notes 4.50% due 07/23/2025		4,999,000		5,495,399

				9,073,370

Finance - Credit Card — 0.3%
Alliance Data Systems Corp. Company Guar. Notes 4.75% due 12/15/2024*		775,000		760,469
American Express Co. Senior Notes 3.40% due 02/22/2024		1,140,000		1,219,764



Security Description	Principal Amount		Value (Note 2)


Finance - Credit Card (continued)
American Express Co. Senior Notes 4.20% due 11/06/2025	$	774,000	$	878,443
Mastercard, Inc. Senior Notes 2.00% due 03/03/2025		1,649,000		1,690,739

				4,549,415

Finance - Investment Banker/Broker — 0.1%
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*		841,000		872,538

Finance - Mortgage Loan/Banker — 0.1%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		1,160,000		1,188,513

Food - Meat Products — 0.2%
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021*		434,000		437,913
Smithfield Foods, Inc. Company Guar. Notes 4.25% due 02/01/2027*		1,063,000		1,142,110
Smithfield Foods, Inc. Senior Notes 5.20% due 04/01/2029*		987,000		1,126,949

				2,706,972

Food - Misc./Diversified — 0.4%
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048		156,000		197,229
Conagra Brands, Inc. Senior Notes 7.00% due 10/01/2028		1,144,000		1,483,266
Dole Food Co., Inc. Senior Sec. Notes 7.25% due 06/15/2025*		780,000		764,400
Kraft Heinz Foods Co. Company Guar. Notes 3.95% due 07/15/2025		993,000		1,035,565
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		783,000		805,527
Lamb Weston Holdings, Inc. Company Guar. Notes 4.63% due 11/01/2024*		585,000		608,412
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025*		1,557,000		1,714,192
Post Holdings, Inc. Company Guar. Notes 5.50% due 03/01/2025*		327,000		340,489

				6,949,080

Food - Retail — 0.2%
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC Company Guar. Notes 4.63% due 01/15/2027*		520,000		511,576
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC Company Guar. Notes 5.75% due 03/15/2025		802,000		831,072

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Food - Retail (continued)
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC Company Guar. Notes 5.88% due 02/15/2028*	$	522,000	$	542,515
Kroger Co. Senior Notes 3.88% due 10/15/2046		886,000		942,938

				2,828,101

Food - Wholesale/Distribution — 0.1%
Sysco Corp. Company Guar. Notes 2.40% due 02/15/2030		1,228,000		1,252,943

Gas - Distribution — 0.3%
NiSource, Inc. Senior Notes 2.95% due 09/01/2029		1,389,000		1,456,899
NiSource, Inc. Senior Notes 5.65% due 02/01/2045		849,000		1,157,495
Washington Gas Light Co. Senior Notes 3.65% due 09/15/2049		1,258,000		1,386,430

				4,000,824

Hazardous Waste Disposal — 0.0%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		572,000		597,568

Hotels/Motels — 0.1%
Wyndham Worldwide Corp. Senior Sec. Notes 5.75% due 04/01/2027		1,039,000		1,098,431

Human Resources — 0.0%
Korn Ferry International Company Guar. Notes 4.63% due 12/15/2027*		545,000		558,625

Independent Power Producers — 0.1%
Calpine Corp. Senior Sec. Notes 4.50% due 02/15/2028*		436,000		418,211
Clearway Energy Operating LLC Company Guar. Notes 5.75% due 10/15/2025		757,000		782,231
NRG Yield Operating LLC Company Guar. Notes 5.00% due 09/15/2026		748,000		766,180

				1,966,622

Insurance Brokers — 0.2%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 12/29/2020		734,000		745,950
Willis North America, Inc. Company Guar. Notes 3.88% due 09/15/2049		875,000		965,623
Willis North America, Inc. Company Guar. Notes 5.05% due 09/15/2048		774,000		997,826

				2,709,399



Security Description	Principal Amount		Value (Note 2)


Insurance - Life/Health — 0.2%
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047	$	1,121,000	$	1,132,836
Prudential Financial, Inc. Senior Notes 3.70% due 03/13/2051		257,000		273,329
Unum Group Senior Notes 4.50% due 12/15/2049		1,255,000		1,351,959

				2,758,124

Insurance - Mutual — 0.2%
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024*		708,000		743,541
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020*		2,024,000		2,028,613

				2,772,154

Insurance - Property/Casualty — 0.1%
ACE INA Holdings, Inc. Company Guar. Notes 2.88% due 11/03/2022		1,170,000		1,216,756
AmWINS Group, Inc. Company Guar. Notes 7.75% due 07/01/2026*		845,000		877,220
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		154,000		202,872

				2,296,848

Internet Connectivity Services — 0.1%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		800,000		820,000

Internet Content - Entertainment — 0.2%
Netflix, Inc. Senior Notes 4.38% due 11/15/2026		1,431,000		1,498,543
Netflix, Inc. Senior Notes 4.88% due 06/15/2030*		1,660,000		1,749,308

				3,247,851

Investment Companies — 0.0%
FS Energy & Power Fund Senior Sec. Notes 7.50% due 08/15/2023*		627,000		646,594

Investment Management/Advisor Services — 0.1%
Ameriprise Financial, Inc. Senior Notes 3.00% due 03/22/2022		1,298,000		1,343,388

Machinery - Construction & Mining — 0.2%
Caterpillar Financial Services Corp. Senior Notes 1.95% due 11/18/2022		861,000		873,159
Caterpillar Financial Services Corp. Senior Notes 2.55% due 11/29/2022		882,000		909,765
Caterpillar Financial Services Corp. Senior Notes 3.45% due 05/15/2023		1,204,000		1,283,009

				3,065,933

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Machinery - Electrical — 0.1%
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023	$	1,601,000	$	1,694,954

Machinery - Farming — 0.5%
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024		1,529,000		1,667,382
John Deere Capital Corp. Senior Notes 2.35% due 01/08/2021		958,000		964,205
John Deere Capital Corp. Senior Notes 2.95% due 04/01/2022		2,407,000		2,490,538
John Deere Capital Corp. Senior Notes 3.45% due 01/10/2024		1,576,000		1,697,544
John Deere Capital Corp. Senior Notes 3.65% due 10/12/2023		698,000		756,637

				7,576,306

Medical Labs & Testing Services — 0.3%
Catalent Pharma Solutions, Inc. Company Guar. Notes 5.00% due 07/15/2027*		446,000		464,398
Laboratory Corp. of America Holdings Senior Notes 2.95% due 12/01/2029		302,000		314,757
Laboratory Corp. of America Holdings Senior Notes 3.25% due 09/01/2024		1,473,000		1,562,376
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045		698,000		841,280
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022*		1,805,000		1,827,443

				5,010,254

Medical Products — 0.0%
Hologic, Inc. Company Guar. Notes 4.38% due 10/15/2025*		625,000		636,531

Medical - Biomedical/Gene — 0.3%
Amgen, Inc. Senior Notes 3.15% due 02/21/2040		2,620,000		2,677,101
Amgen, Inc. Senior Notes 3.38% due 02/21/2050		2,065,000		2,099,434

				4,776,535

Medical - Drugs — 0.5%
AbbVie, Inc. Senior Notes 4.05% due 11/21/2039*		1,071,000		1,186,465
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049*		2,020,000		2,283,865
Bristol-Myers Squibb Co. Senior Notes 3.63% due 05/15/2024*		1,511,000		1,630,600



Security Description	Principal Amount		Value (Note 2)


Medical - Drugs (continued)
Bristol-Myers Squibb Co. Senior Notes 4.63% due 05/15/2044*	$	881,000	$	1,145,857
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023		1,036,000		1,095,779

				7,342,566

Medical - Generic Drugs — 0.1%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028		1,226,000		1,383,012
Par Pharmaceutical, Inc. Senior Sec. Notes 7.50% due 04/01/2027*		738,000		779,328

				2,162,340

Medical - HMO — 0.4%
Centene Corp Senior Notes 4.25% due 12/15/2027*		554,000		569,955
Centene Corp. Senior Notes 4.63% due 12/15/2029*		131,000		140,170
UnitedHealth Group, Inc. Senior Bonds 2.38% due 10/15/2022		4,291,000		4,399,833
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039		865,000		952,991
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		746,000		826,823

				6,889,772

Medical - Hospitals — 0.2%
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		1,012,000		1,157,077
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		2,075,000		2,293,913

				3,450,990

Medical - Wholesale Drug Distribution — 0.2%
Allergan Sales LLC Company Guar. Notes 4.88% due 02/15/2021*		496,000		513,425
Cardinal Health, Inc. Senior Notes 4.60% due 03/15/2043		1,740,000		1,886,571

				2,399,996

Metal - Copper — 0.1%
Freeport-McMoRan Copper & Gold, Inc. Company Guar. Notes 3.88% due 03/15/2023		505,000		507,677
Freeport-McMoRan, Inc. Company Guar. Notes 4.13% due 03/01/2028		367,000		347,769
Freeport-McMoRan, Inc. Company Guar. Notes 4.25% due 03/01/2030		367,000		345,053

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Metal - Copper (continued)
Freeport-McMoRan, Inc. Company Guar. Notes 5.25% due 09/01/2029#	$	527,000	$	529,635

				1,730,134

Metal - Iron — 0.0%
Cleveland-Cliffs, Inc. Company Guar. Notes 5.75% due 03/01/2025		699,000		636,090

Multimedia — 0.1%
E.W. Scripps Co. Company Guar. Notes 5.13% due 05/15/2025*		1,098,000		1,100,745

Networking Products — 0.3%
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		3,927,000		3,952,961

Oil Companies - Exploration & Production — 1.1%
Apache Corp. Senior Notes 5.10% due 09/01/2040		2,752,000		2,800,119
Callon Petroleum Co. Company Guar. Notes 6.38% due 07/01/2026		835,000		649,213
Chaparral Energy, Inc. Senior Notes 8.75% due 07/15/2023*		466,000		107,180
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029		3,523,000		3,687,611
Extraction Oil & Gas, Inc. Company Guar. Notes 5.63% due 02/01/2026*		965,000		337,750
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		1,644,000		1,298,760
Lonestar Resources America, Inc. Company Guar. Notes 11.25% due 01/01/2023*		1,165,000		760,162
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037		724,000		892,796
Marathon Oil Corp. Senior Notes 6.80% due 03/15/2032		906,000		1,136,147
Noble Energy, Inc. Senior Notes 4.95% due 08/15/2047		1,408,000		1,481,741
Noble Energy, Inc. Senior Notes 5.25% due 11/15/2043		1,153,000		1,219,145
Occidental Petroleum Corp. Senior Notes 6.45% due 09/15/2036		1,413,000		1,671,707
Occidental Petroleum Corp. Senior Notes 7.50% due 05/01/2031		541,000		685,308
Southwestern Energy Co. Company Guar. Notes 7.50% due 04/01/2026		326,000		247,760

				16,975,399



Security Description	Principal Amount		Value (Note 2)


Oil Companies - Integrated — 0.4%
BP Capital Markets America, Inc. Company Guar. Notes 3.00% due 02/24/2050	$	1,792,000	$	1,773,712
Chevron Corp. Senior Notes 2.36% due 12/05/2022		1,021,000		1,046,161
Chevron Corp. Senior Notes 2.90% due 03/03/2024		2,962,000		3,107,815

				5,927,688

Oil Field Machinery & Equipment — 0.0%
Hi-Crush Partners LP Company Guar. Notes 9.50% due 08/01/2026*		1,387,000		457,710

Oil Refining & Marketing — 0.0%
PBF Holding Co. LLC/PBF Finance Corp. Company Guar. Notes 6.00% due 02/15/2028*		543,000		536,213

Oil - Field Services — 0.2%
Calfrac Holdings LP Company Guar. Notes 8.50% due 06/15/2026*		155,000		41,075
Calfrac Holdings LP Sec. Notes 10.88% due 03/15/2026*		81,950		73,755
Halliburton Co. Senior Notes 2.92% due 03/01/2030		1,229,000		1,209,595
Nine Energy Service, Inc. Company Guar. Notes 8.75% due 11/01/2023*		385,000		306,075
Pioneer Energy Services Corp. Company Guar. Notes 6.13% due 03/15/2022		1,209,000		265,980
Schlumberger Holdings Corp. Senior Notes 4.00% due 12/21/2025*		1,197,000		1,315,748
SESI LLC Company Guar. Notes 7.75% due 09/15/2024		499,000		240,773
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026		304,000		294,150

				3,747,151

Paper & Related Products — 0.4%
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		2,242,000		2,791,338
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		1,935,000		2,064,726
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		677,000		692,920

				5,548,984

Petrochemicals — 0.1%
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023*		897,000		942,562

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Pharmacy Services — 0.3%
Cigna Corp. Company Guar. Notes 4.80% due 08/15/2038	$	608,000	$	730,655
CVS Health Corp. Senior Notes 4.78% due 03/25/2038		2,764,000		3,251,501

				3,982,156

Pipelines — 1.3%
Buckeye Partners LP Senior Notes 4.13% due 03/01/2025*		443,000		443,044
Buckeye Partners LP Senior Notes 4.50% due 03/01/2028*		607,000		589,173
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 3.70% due 11/15/2029*		857,000		858,465
Cheniere Energy Partners LP Company Guar. Notes 4.50% due 10/01/2029*		361,000		346,062
Cheniere Energy Partners LP Senior Sec. Notes 5.25% due 10/01/2025		617,000		618,350
Enable Midstream Partners LP Senior Notes 4.15% due 09/15/2029		832,000		788,599
Enable Midstream Partners LP Senior Notes 4.95% due 05/15/2028		874,000		871,067
Energy Transfer Operating LP Company Guar. Notes 4.90% due 03/15/2035		1,301,000		1,422,988
Energy Transfer Operating LP Company Guar. Notes 5.50% due 06/01/2027		1,763,000		1,997,227
Energy Transfer Operating LP Company Guar. Notes 6.13% due 12/15/2045		707,000		797,634
EnLink Midstream LLC Company Guar. Notes 5.38% due 06/01/2029		604,000		521,180
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026		709,000		607,081
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045		168,000		122,144
Enterprise Products Operating LLC Company Guar. Notes 3.70% due 01/31/2051		507,000		504,856
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		1,267,000		1,089,620
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.50% due 10/01/2025		475,000		400,045
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 5.00% due 02/01/2028*		925,000		930,781
MPLX LP Senior Notes 5.50% due 02/15/2049		1,823,000		2,070,958



Security Description	Principal Amount		Value (Note 2)


Pipelines (continued)
NGPL PipeCo LLC Senior Notes 4.38% due 08/15/2022*	$	976,000	$	1,020,162
Rockies Express Pipeline LLC Senior Notes 3.60% due 05/15/2025*		1,319,000		1,315,374
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		661,000		565,981
Western Midstream Operating LP Senior Notes 5.50% due 08/15/2048		555,000		516,597
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044		1,715,000		2,031,264

				20,428,652

Poultry — 0.1%
Pilgrim’s Pride Corp. Company Guar. Notes 5.88% due 09/30/2027*		820,000		849,766

Protection/Safety — 0.1%
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.25% due 04/15/2024*		552,000		571,320
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.75% due 04/15/2026*		653,000		672,394

				1,243,714

Radio — 0.1%
Sirius XM Radio, Inc. Company Guar. Notes 4.63% due 07/15/2024*		1,750,000		1,804,163

Real Estate Investment Trusts — 1.1%
Columbia Property Trust Operating Partnership LP Company Guar. Notes 4.15% due 04/01/2025		1,747,000		1,893,461
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025		1,051,000		1,093,040
Duke Realty LP Senior Notes 2.88% due 11/15/2029		391,000		417,057
ESH Hospitality, Inc. Company Guar. Notes 4.63% due 10/01/2027*		685,000		665,340
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		453,000		455,641
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		480,000		541,814
HAT Holdings I LLC/HAT Holdings II LLC Company Guar. Notes 5.25% due 07/15/2024*		896,000		936,320
iStar, Inc. Senior Notes 5.25% due 09/15/2022		564,000		573,870
Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp. Company Guar. Notes 4.25% due 02/01/2027*		494,000		468,682

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Real Estate Investment Trusts (continued)
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.75% due 02/01/2027	$	764,000	$	836,580
MPT Operating Partnership LP/MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027		587,000		612,540
National Retail Properties, Inc. Senior Notes 3.10% due 04/15/2050		2,317,000		2,328,387
Prologis LP Senior Notes 3.00% due 04/15/2050		1,148,000		1,170,980
Sabra Health Care LP Company Guar. Notes 5.13% due 08/15/2026		1,206,000		1,341,235
Sabra Health Care LP/Sabra Capital Corp. Company Guar. Notes 3.90% due 10/15/2029		1,218,000		1,291,933
Sabra Health Care LP/Sabra Capital Corp. Company Guar. Notes 4.80% due 06/01/2024		841,000		909,466
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025		870,000		887,400
VICI Properties L.P. Company Guar. Notes 4.25% due 12/01/2026*		185,000		186,869
VICI Properties L.P. Company Guar. Notes 4.63% due 12/01/2029*		278,000		287,035
VICI Properties LP/VICI Note Co., Inc. Company Guar. Notes 3.75% due 02/15/2027*		455,000		451,587

				17,349,237

Real Estate Operations & Development — 0.1%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		1,200,000		1,219,524

Rental Auto/Equipment — 0.1%
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023*		1,145,000		885,852

Retail - Appliances — 0.0%
Conn’s, Inc. Company Guar. Notes 7.25% due 07/15/2022		301,000		297,238

Retail - Building Products — 0.1%
Lowe’s Cos., Inc. Senior Notes 4.05% due 05/03/2047		904,000		1,017,582

Retail - Discount — 0.2%
Walmart, Inc. Senior Notes 2.55% due 04/11/2023		1,971,000		2,041,393
Walmart, Inc. Senior Notes 3.05% due 07/08/2026		1,712,000		1,857,513

				3,898,906



Security Description	Principal Amount		Value (Note 2)


Retail - Mail Order — 0.2%
QVC, Inc. Senior Sec. Notes 4.75% due 02/15/2027	$	3,202,000	$	3,158,395

Retail - Petroleum Products — 0.0%
Murphy Oil USA, Inc. Company Guar. Notes 4.75% due 09/15/2029		545,000		571,596

Retail - Regional Department Stores — 0.1%
Kohl’s Corp. Senior Notes 5.55% due 07/17/2045		1,592,000		1,704,049

Retail - Restaurants — 0.3%
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024*		1,012,000		1,055,516
Darden Restaurants, Inc. Senior Notes 4.55% due 02/15/2048		2,169,000		2,360,894
McDonald’s Corp. Senior Notes 4.45% due 03/01/2047		1,199,000		1,457,463

				4,873,873

Satellite Telecom — 0.1%
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026		1,024,000		1,126,502

Savings & Loans/Thrifts — 0.3%
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		1,706,000		1,869,238
New York Community Bancorp, Inc. Sub. Notes 5.90% due 11/06/2028		2,652,000		2,832,715

				4,701,953

Steel - Producers — 0.1%
Commercial Metals Co. Senior Notes 5.75% due 04/15/2026		720,000		743,400
Steel Dynamics, Inc. Senior Notes 3.45% due 04/15/2030		1,279,000		1,347,251

				2,090,651

Telecom Equipment - Fiber Optics — 0.2%
Corning, Inc. Senior Notes 5.45% due 11/15/2079		2,434,000		2,716,050

Telecom Services — 0.0%
Front Range BidCo., Inc. Senior Notes 6.13% due 03/01/2028*		547,000		540,272

Telephone - Integrated — 1.2%
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		4,784,000		5,571,599
AT&T, Inc. Senior Notes 4.50% due 03/09/2048		635,000		727,961

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Telephone - Integrated (continued)
AT&T, Inc. Senior Notes 4.80% due 06/15/2044	$	1,313,000	$	1,553,238
AT&T, Inc. Senior Notes 4.85% due 07/15/2045		853,000		995,556
AT&T, Inc. Senior Notes 4.90% due 08/15/2037		2,031,000		2,426,140
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024		1,550,000		1,732,125
Level 3 Financing, Inc. Company Guar. Notes 4.63% due 09/15/2027*		666,000		679,320
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		648,000		778,327
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		386,000		471,539
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		2,074,000		2,770,592

				17,706,397

Television — 0.4%
Belo Corp. Company Guar. Notes 7.25% due 09/15/2027		460,000		522,100
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027		1,110,000		1,287,600
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		3,532,000		3,793,008

				5,602,708

Tools - Hand Held — 0.1%
Stanley Black & Decker, Inc. Senior Notes 3.40% due 03/01/2026		1,072,000		1,171,910

Transport - Air Freight — 0.1%
Cargo Aircraft Management, Inc. Company Guar. Notes 4.75% due 02/01/2028*		881,000		873,291

Transport - Equipment & Leasing — 0.1%
GATX Corp. Senior Notes 4.35% due 02/15/2024		1,810,000		1,967,724

Transport - Marine — 0.1%
Kirby Corp. Senior Notes 4.20% due 03/01/2028		876,000		966,654

Transport - Rail — 0.2%
Kansas City Southern Company Guar. Notes 2.88% due 11/15/2029		942,000		979,067
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048		590,000		769,229



Security Description	Principal Amount		Value (Note 2)


Transport - Rail (continued)
Norfolk Southern Corp. Senior Notes 4.10% due 05/15/2049	$	1,183,000	$	1,420,798

				3,169,094

Transport - Truck — 0.1%
JB Hunt Transport Services, Inc. Company Guar. Notes 3.88% due 03/01/2026		833,000		927,023

Trucking/Leasing — 0.2%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.35% due 11/01/2029*		248,000		263,899
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.95% due 03/10/2025*		1,477,000		1,619,759
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.20% due 04/01/2027*		849,000		942,825

				2,826,483

Total U.S. Corporate Bonds & Notes
(cost $458,222,571)				481,352,982

FOREIGN CORPORATE BONDS & NOTES — 8.2%
Agricultural Chemicals — 0.1%
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025*		540,000		525,420
OCI NV Senior Sec. Notes 5.25% due 11/01/2024*		878,000		895,560

				1,420,980

Auto/Truck Parts & Equipment - Original — 0.0%
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025*		356,000		389,820

Banks - Commercial — 1.1%
Australia & New Zealand Banking Group, Ltd. Sub. Notes 2.95% due 07/22/2030*		1,028,000		1,050,931
Bank of Montreal Senior Notes 2.05% due 11/01/2022		3,329,000		3,378,915
Canadian Imperial Bank of Commerce Senior Notes 2.25% due 01/28/2025		2,109,000		2,146,022
Credit Suisse AG Senior Notes 2.10% due 11/12/2021		1,905,000		1,923,369
Danske Bank A/S Senior Notes 3.24% due 12/20/2025*		968,000		1,017,354
Danske Bank A/S Senior Notes 3.88% due 09/12/2023*		1,302,000		1,385,108
DBS Group Holdings, Ltd. Senior Notes 2.85% due 04/16/2022*		1,274,000		1,307,314
ING Groep NV Senior Notes 4.63% due 01/06/2026*		563,000		646,846

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Banks - Commercial (continued)
National Australia Bank, Ltd. Sub. Notes 3.93% due 08/02/2034*	$	844,000	$	923,073
National Bank of Canada Senior Notes 2.15% due 10/07/2022*		1,709,000		1,732,913
Shinhan Bank Co., Ltd. Sub. Notes 4.00% due 04/23/2029*		1,042,000		1,146,170

				16,658,015

Banks - Special Purpose — 0.2%
Kreditanstalt fuer Wiederaufbau Government Guar. Notes 1.63% due 03/15/2021		2,680,000		2,692,057

Building - Residential/Commercial — 0.0%
Mattamy Group Corp. Senior Notes 5.25% due 12/15/2027*		696,000		725,580

Cable/Satellite TV — 0.1%
Altice Financing SA Senior Sec. Notes 5.00% due 01/15/2028*		1,298,000		1,258,930
Altice Luxembourg SA Company Guar. Notes 7.63% due 02/15/2025*		200,000		207,500

				1,466,430

Cellular Telecom — 0.4%
Altice France SA Senior Sec. Notes 8.13% due 02/01/2027*		215,000		234,303
C&W Senior Financing Designated Activity Co. Senior Notes 6.88% due 09/15/2027*		1,067,000		1,125,685
Numericable-SFR SA Senior Sec. Notes 7.38% due 05/01/2026*		1,434,000		1,503,836
SK Telecom Co., Ltd. Senior Notes 3.75% due 04/16/2023*		590,000		624,429
Vodafone Group PLC Senior Notes 4.88% due 06/19/2049		664,000		796,293
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048		761,000		959,368
Ypso Finance Bis SA Company Guar. Notes 6.00% due 02/15/2028*		1,175,000		1,128,352

				6,372,266

Chemicals - Diversified — 0.2%
Braskem Netherlands Finance BV Company Guar. Notes 4.50% due 01/10/2028*		971,000		951,580
Braskem Netherlands Finance BV Company Guar. Notes 4.50% due 01/31/2030*		1,619,000		1,586,134

				2,537,714

Chemicals - Specialty — 0.1%
Albemarle Wodgina Pty, Ltd. Company Guar. Notes 3.45% due 11/15/2029*		723,000		777,074



Security Description	Principal Amount		Value (Note 2)


Computer Software — 0.0%
Camelot Finance SA Senior Sec. Notes 4.50% due 11/01/2026*	$	454,000	$	456,225

Computers - Memory Devices — 0.1%
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025		760,000		803,585

Containers - Metal/Glass — 0.1%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. Company Guar. Notes 5.25% due 08/15/2027*		825,000		838,448
Trivium Packaging Finance BV Company Guar. Notes 8.50% due 08/15/2027*		825,000		872,784

				1,711,232

Containers - Paper/Plastic — 0.2%
Cascades, Inc./Cascades USA, Inc. Company Guar. Notes 5.13% due 01/15/2026*		111,000		114,885
Intertape Polymer Group, Inc. Company Guar. Notes 7.00% due 10/15/2026*		838,000		883,042
Klabin Austria GmbH Company Guar. Notes 7.00% due 04/03/2049*		1,620,000		1,833,111

				2,831,038

Diagnostic Equipment — 0.1%
DH Europe Finance II SARL Company Guar. Notes 3.25% due 11/15/2039		1,384,000		1,503,574

Diversified Banking Institutions — 1.5%
Banco Santander SA Senior Notes 2.71% due 06/27/2024		1,400,000		1,452,063
BNP Paribas SA Senior Notes 3.05% due 01/13/2031*		2,541,000		2,607,788
BNP Paribas SA Senior Notes 4.71% due 01/10/2025*		2,297,000		2,524,930
Deutsche Bank AG Senior Notes 4.25% due 02/04/2021		782,000		796,720
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		1,883,000		1,915,166
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.19% due 02/25/2025		1,883,000		1,903,440
Mizuho Financial Group, Inc. Senior Notes 2.56% due 09/13/2025		2,833,000		2,905,089
NatWest Markets PLC Senior Notes 3.63% due 09/29/2022*		1,716,000		1,800,876
Royal Bank of Scotland Group PLC Sub. Notes 3.75% due 11/01/2029		1,682,000		1,748,944
Royal Bank of Scotland Group PLC Senior Notes 4.27% due 03/22/2025		531,000		570,004

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Royal Bank of Scotland Group PLC Senior Notes 4.52% due 06/25/2024	$	622,000	$	668,490
UBS Group Funding Switzerland AG Senior Notes 3.49% due 05/23/2023*		816,000		848,333
UBS Group Funding Switzerland AG Senior Notes 4.13% due 09/24/2025*		269,000		299,869
UniCredit SpA Sub. Notes 5.86% due 06/19/2032*		1,439,000		1,512,849
UniCredit SpA Senior Notes 6.57% due 01/14/2022*		1,048,000		1,125,794
UniCredit SpA Sub. Notes 7.30% due 04/02/2034*		895,000		1,039,929

				23,720,284

Diversified Financial Services — 0.3%
Fairstone Financial, Inc. Senior Notes 7.88% due 07/15/2024*		815,000		884,275
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035		2,815,000		3,218,045

				4,102,320

Diversified Manufacturing Operations — 0.2%
Siemens Financieringsmaatschappij NV Company Guar. Notes 3.25% due 05/27/2025*		2,611,000		2,824,976

Diversified Minerals — 0.2%
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 4.50% due 09/15/2027*		1,175,000		1,136,812
Teck Resources, Ltd. Senior Notes 6.13% due 10/01/2035		1,173,000		1,395,211

				2,532,023

Electric - Generation — 0.1%
Electricite de France SA Senior Notes 5.00% due 09/21/2048*		999,000		1,298,678

Electric - Integrated — 0.1%
Enel Finance International NV Company Guar. Notes 4.75% due 05/25/2047*		1,216,000		1,465,867
Engie Energia Chile SA Senior Notes 3.40% due 01/28/2030*		936,000		941,990

				2,407,857

Finance - Consumer Loans — 0.1%
goeasy, Ltd. Company Guar. Notes 5.38% due 12/01/2024*		788,000		811,640

Finance - Investment Banker/Broker — 0.1%
Nomura Holdings, Inc. Senior Notes 3.10% due 01/16/2030		1,267,000		1,317,342



Security Description	Principal Amount		Value (Note 2)


Finance - Leasing Companies — 0.1%
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.13% due 10/01/2023*	$	850,000	$	911,047
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.25% due 05/15/2024*		405,000		441,411

				1,352,458

Food - Baking — 0.0%
Grupo Bimbo SAB de CV Company Guar. Notes 4.00% due 09/06/2049*		638,000		657,414

Food - Meat Products — 0.1%
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.75% due 06/15/2025*		347,000		355,241
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024*		893,000		908,646

				1,263,887

Insurance - Life/Health — 0.1%
Manulife Financial Corp. Sub. Notes 4.06% due 02/24/2032		1,378,000		1,482,246

Insurance - Property/Casualty — 0.2%
Enstar Group, Ltd. Senior Notes 4.95% due 06/01/2029		2,316,000		2,621,178

Machinery - Farming — 0.1%
CNH Industrial NV Senior Notes 3.85% due 11/15/2027		777,000		827,807

Medical - Drugs — 0.4%
Bausch Health Cos., Inc. Company Guar. Notes 5.00% due 01/30/2028*		760,000		751,450
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025*		890,000		907,533
Endo Dac/Endo Finance LLC/Endo Finco, Inc. Senior Sec. Notes 5.88% due 10/15/2024*		227,000		228,135
Endo, Ltd./Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 6.00% due 02/01/2025*		700,000		539,000
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021		1,642,000		1,680,381
Shire Acquisitions Investments Ireland DAC Company Guar. Notes 3.20% due 09/23/2026		2,687,000		2,885,874

				6,992,373

Metal - Copper — 0.1%
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 04/01/2023*		823,000		790,080

Metal - Iron — 0.1%
Mineral Resources, Ltd. Senior Notes 8.13% due 05/01/2027*		824,000		877,560

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Motion Pictures & Services — 0.0%
Banijay Entertainment SASU Senior Sec. Notes 5.38% due 03/01/2025*	$	615,000	$	613,463

Non - Hazardous Waste Disposal — 0.1%
Waste Connections, Inc. Senior Notes 2.60% due 02/01/2030		1,233,000		1,265,242

Oil Companies - Exploration & Production — 0.2%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		1,265,000		1,344,237
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		865,000		852,025
MEG Energy Corp. Senior Notes 7.13% due 02/01/2027*		775,000		731,034

				2,927,296

Oil Companies - Integrated — 0.4%
BP Capital Markets PLC Company Guar. Notes 3.51% due 03/17/2025		3,697,000		4,019,907
Cenovus Energy, Inc. Senior Notes 4.25% due 04/15/2027		267,000		286,360
Petro-Canada Senior Notes 5.95% due 05/15/2035		593,000		818,585
Petroleos Mexicanos Company Guar. Notes 7.69% due 01/23/2050*		358,000		372,936
Total Capital International SA Company Guar. Notes 3.46% due 07/12/2049		567,000		618,381

				6,116,169

Paper & Related Products — 0.0%
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*		679,000		692,580

Retail - Petroleum Products — 0.1%
eG Global Finance PLC Senior Sec. Notes 6.75% due 02/07/2025*		955,000		933,513

Satellite Telecom — 0.1%
Telesat Canada/Telesat LLC Senior Sec. Notes 4.88% due 06/01/2027*		428,000		437,630
Telesat Canada/Telesat LLC Company Guar. Notes 6.50% due 10/15/2027*		1,045,000		1,081,575

				1,519,205

Security Services — 0.0%
GW B-CR Security Corp. Senior Notes 9.50% due 11/01/2027*		709,000		749,768

SupraNational Banks — 0.4%
European Bank for Reconstruction & Development Senior Notes 1.50% due 02/13/2025		2,358,000		2,414,360



Security Description	Principal Amount		Value (Note 2)


SupraNational Banks (continued)
European Investment Bank Senior Notes 1.63% due 08/14/2020	$	1,933,000	$	1,936,235
International Bank for Reconstruction & Development Senior Notes 3.13% due 11/20/2025		1,315,000		1,467,325

				5,817,920

Telephone - Integrated — 0.3%
Deutsche Telekom AG Senior Notes 3.63% due 01/21/2050*		1,914,000		2,024,161
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		986,000		1,271,940
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038		1,785,000		2,068,761

				5,364,862

Transport - Rail — 0.1%
Canadian National Railway Co. Senior Notes 2.85% due 12/15/2021		836,000		855,733
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		492,000		797,184

				1,652,917

Total Foreign Corporate Bonds & Notes
(cost $118,023,255)				123,878,648

FOREIGN GOVERNMENT OBLIGATIONS — 0.4%
Sovereign — 0.2%
Republic of Italy Senior Notes 4.00% due 10/17/2049		729,000		746,380
United Mexican States Senior Notes 4.50% due 04/22/2029		1,303,000		1,473,042
United Mexican States Senior Bonds 4.75% due 03/08/2044		864,000		1,000,080

				3,219,502

Sovereign Agency — 0.2%
Kommunalbanken AS Senior Notes 1.75% due 09/15/2020*		2,296,000		2,300,487

Total Foreign Government Obligations
(cost $5,153,682)				5,519,989

U.S. GOVERNMENT AGENCIES — 38.3%
Federal Home Loan Mtg. Corp. — 9.7%
2.50% due 01/01/2028		499,819		519,772
2.50% due 04/01/2028		1,007,784		1,048,018
2.50% due 03/01/2031		641,800		662,189
2.50% due 10/01/2032		3,524,287		3,636,432
3.00% due 08/01/2027		213,881		221,788
3.00% due 10/01/2042		1,186,132		1,259,976
3.00% due 11/01/2042		999,655		1,046,424
3.00% due 02/01/2043		1,358,255		1,409,432
3.00% due 04/01/2043		1,471,190		1,555,484
3.00% due 05/01/2043		513,016		544,962
3.00% due 08/01/2043		5,045,496		5,286,564
3.00% due 10/01/2045		5,236,431		5,480,588

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. GOVERNMENT AGENCIES (continued)
Federal Home Loan Mtg. Corp. (continued)
3.00% due 08/01/2049	$	4,232,554	$	4,362,488
3.00% due 01/01/2050		16,482,790		16,998,655
3.50% due 01/01/2032		3,709,299		3,901,139
3.50% due 03/01/2042		3,400,415		3,620,004
3.50% due 04/01/2042		1,409,413		1,502,785
3.50% due 08/01/2042		1,144,575		1,234,946
3.50% due 09/01/2043		992,578		1,070,940
3.50% due 03/01/2045		987,151		1,044,591
3.50% due 07/01/2045		6,388,316		6,797,471
3.50% due 08/01/2045		1,885,340		2,014,107
3.50% due 11/01/2045		3,515,796		3,722,013
3.50% due 01/01/2046		2,227,506		2,358,223
3.50% due 03/01/2046		2,092,002		2,213,369
3.50% due 11/01/2047		10,811,722		11,392,455
3.50% due 03/01/2048		8,670,112		9,239,377
3.50% due 08/01/2049		10,905,919		11,323,610
4.00% due 03/01/2023		6,063		6,365
4.00% due 09/01/2040		1,065,978		1,156,570
4.00% due 07/01/2044		79,057		85,588
4.00% due 10/01/2045		2,639,394		2,844,635
4.00% due 01/01/2046		575,285		625,069
4.00% due 12/01/2048		8,828,946		9,314,484
4.00% due 07/01/2049		6,194,567		6,647,224
4.50% due 12/01/2039		412,246		454,073
4.50% due 07/01/2044		1,243,761		1,370,369
4.50% due 05/01/2048		4,864,635		5,223,664
5.00% due 10/01/2033		816		912
5.00% due 07/01/2040		503,158		565,679
5.00% due 11/01/2043		2,428,835		2,746,313
5.50% due 11/01/2032		5,401		6,058
5.50% due 07/01/2034		22,815		25,998
5.50% due 02/01/2035		34,023		37,013
5.50% due 07/01/2035		831		954
5.50% due 01/01/2036		141,280		162,387
5.50% due 05/01/2037		24,099		27,692
6.00% due 07/01/2035		73,985		82,253
6.00% due 03/01/2040		121,937		143,474
6.50% due 02/01/2036		10,201		11,925
6.50% due 09/01/2036		163		182
6.50% due 05/01/2037		30,382		35,654
Federal Home Loan Mtg. Corp. FRS
3.36% (6 ML+1.49%) due 02/01/2037		90,423		93,669
4.64% (12 ML+1.88%) due 11/01/2037		906,749		959,544
Federal Home Loan Mtg. Corp. REMIC
Series 4740, Class BA 3.00% due 09/15/2045(2)		3,178,188		3,295,092
Series 4800, Class KG 3.50% due 11/15/2045(2)		4,000,000		4,156,216
Federal Home Loan Mtg. Corp. REMIC FRS Series 3572, Class JS 5.14% (6.80%-1 ML) due 09/15/2039(2)(5)(6)		626,059		96,614
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS
Series 2017-HQA1, Class M1 2.86% (1 ML+1.20%) due 08/25/2029(2)		154,610		154,683
Series 2015-DNA1, Class M2 3.51% (1 ML+1.85%) due 10/25/2027(2)		396,221		398,654
Series 2014-DN1, Class M2 3.86% (1 ML+2.20%) due 02/25/2024(2)		666,829		673,921



Security Description	Principal Amount		Value (Note 2)


Federal Home Loan Mtg. Corp. (continued)
Series 2014-HQ2, Class M2 3.86% (1 ML+2.20%) due 09/25/2024(2)	$	1,538,003	$	1,556,378
Series 2015-HQA1, Class M2 4.31% (1 ML+2.65%) due 03/25/2028(2)		4,760		4,764
Series 2016-HQA1, Class M2 4.41% (1 ML+2.75%) due 09/25/2028(2)		48,611		48,658
Series 2015-HQA2, Class M2 4.46% (1 ML+2.80%) due 05/25/2028(2)		143,281		143,895

				148,624,425

Federal National Mtg. Assoc. — 24.6%
2.50% due 02/01/2028		1,013,005		1,053,001
2.50% due 04/01/2028		273,893		284,733
2.50% due 08/01/2031		13,250,802		13,666,785
2.50% due 01/01/2032		2,030,596		2,094,399
3.00% due 10/01/2027		121,885		126,447
3.00% due 01/01/2028		1,204,764		1,250,038
3.00% due 10/01/2030		2,055,084		2,133,919
3.00% due 10/01/2032		6,382,801		6,655,866
3.00% due 02/01/2033		10,517,711		10,935,809
3.00% due 07/01/2034		1,866,043		1,932,608
3.00% due 11/01/2039		4,410,400		4,581,303
3.00% due 03/01/2042		2,427,468		2,539,850
3.00% due 12/01/2042		2,084,300		2,192,371
3.00% due 02/01/2043		4,939,887		5,168,663
3.00% due 05/01/2043		2,618,617		2,739,886
3.00% due 05/01/2046		3,127,948		3,272,062
3.00% due 08/01/2046		6,306,211		6,621,413
3.00% due 09/01/2046		1,448,875		1,513,842
3.00% due 04/01/2047		3,306,881		3,451,777
3.00% due 04/01/2048		15,517,026		16,094,524
3.00% due 09/01/2048		6,827,082		7,126,945
3.50% due 08/01/2026		704,254		737,905
3.50% due 09/01/2026		705,018		742,688
3.50% due 08/01/2027		97,080		101,698
3.50% due 10/01/2028		1,646,889		1,733,813
3.50% due 03/01/2033		1,390,319		1,460,555
3.50% due 12/01/2041		380,417		410,262
3.50% due 03/01/2042		499,175		531,154
3.50% due 08/01/2042		3,464,525		3,709,273
3.50% due 09/01/2042		410,356		436,649
3.50% due 02/01/2043		2,285,782		2,499,923
3.50% due 07/01/2045		1,374,534		1,453,943
3.50% due 08/01/2045		1,883,595		2,007,159
3.50% due 09/01/2045		415,712		439,728
3.50% due 10/01/2045		2,646,008		2,842,007
3.50% due 11/01/2045		5,433,886		5,750,107
3.50% due 12/01/2045		10,268,857		10,861,573
3.50% due 02/01/2046		1,698,096		1,796,121
3.50% due 03/01/2046		7,999,134		8,436,286
3.50% due 07/01/2046		5,150,267		5,499,568
3.50% due 01/01/2047		4,695,252		4,948,650
3.50% due 12/01/2047		13,459,825		14,256,722
3.50% due 04/01/2048		9,662,848		10,289,057
3.50% due 04/01/2049		6,203,289		6,455,739
3.50% due 05/01/2049		5,023,452		5,222,087
3.50% due 08/01/2049		14,722,510		15,285,272
4.00% due 11/01/2025		48,063		50,459
4.00% due 03/01/2039		4,292,340		4,530,116
4.00% due 09/01/2040		90,301		98,084
4.00% due 10/01/2040		170,042		184,696

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount		Value (Note 2)

U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
4.00% due 12/01/2040	$	1,382,261	$	1,501,418
4.00% due 10/01/2041		970,427		1,054,082
4.00% due 11/01/2041		984,041		1,068,433
4.00% due 01/01/2043		1,787,678		1,945,767
4.00% due 02/01/2045		3,021,744		3,292,052
4.00% due 02/01/2046		2,122,917		2,282,167
4.00% due 06/01/2046		579,843		622,034
4.00% due 01/01/2047		3,472,263		3,710,481
4.00% due 05/01/2047		3,564,749		3,804,528
4.00% due 06/01/2047		4,459,280		4,841,659
4.00% due 07/01/2047		9,285,077		9,907,987
4.00% due 08/01/2047		5,300,806		5,660,998
4.00% due 06/01/2048		10,838,728		11,689,047
4.00% due 09/01/2048		9,311,352		9,876,265
4.00% due 12/01/2048		3,920,950		4,133,645
4.00% due 01/01/2049		11,203,357		11,823,913
4.00% due 03/01/2049		6,059,544		6,388,869
4.50% due 10/01/2024		228,357		239,613
4.50% due 03/01/2025		329,897		348,419
4.50% due 02/01/2040		944,400		1,060,366
4.50% due 05/01/2040		279,457		313,099
4.50% due 08/01/2045		6,575,790		7,410,507
4.50% due 06/01/2048		9,510,509		10,198,007
4.50% due 10/01/2048		8,382,140		8,985,410
4.50% due 11/01/2048		8,032,146		8,596,258
4.50% due 12/01/2048		15,761,882		16,819,999
5.00% due 06/01/2022		17,100		18,085
5.00% due 10/01/2024		112,633		119,115
5.00% due 09/01/2033		438,461		491,488
5.00% due 04/01/2040		278,153		301,136
5.00% due 05/01/2040		528,449		589,240
5.00% due 06/01/2040		2,083,533		2,342,008
5.00% due 07/01/2040		233,829		257,984
5.00% due 02/01/2045		1,298,766		1,456,238
5.50% due 12/01/2029		107,227		116,931
5.50% due 12/01/2033		22,398		25,612
5.50% due 07/01/2037		24,399		28,034
5.50% due 08/01/2037		1,182,999		1,362,025
5.50% due 06/01/2038		124,223		143,194
5.50% due 09/01/2039		409,661		471,581
6.00% due 08/01/2034		19,436		22,691
6.00% due 11/01/2035		15,508		17,200
6.00% due 06/01/2036		41,996		49,021
6.00% due 12/01/2036		75,658		88,867
6.00% due 07/01/2038		370,449		434,981
6.00% due 09/01/2038		198,613		232,930
6.00% due 11/01/2038		117,139		137,449
Federal National Mtg. Assoc. FRS
3.69% (6 ML+1.54%) due 09/01/2035		812,922		843,024
3.79% (12 ML+1.77%) due 05/01/2040		825,229		872,612
3.79% (12 ML+1.83%) due 10/01/2040		389,335		405,729
4.04% (12 ML+1.57%) due 05/01/2037		170,626		178,634
4.07% (12 ML+1.82%) due 10/01/2040		178,903		189,071
4.34% (12 ML+1.67%) due 07/01/2039		634,223		664,737
4.38% (1 Yr USTYCR+2.22%) due 10/01/2035		659,226		695,812
4.51% (12 ML+1.91%) due 08/01/2035		545,533		576,760
4.68% (1 Yr USTYCR+2.26%) due 11/01/2036		276,115		292,155



Security Description	Principal Amount		Value (Note 2)


Federal National Mtg. Assoc. (continued)
Federal National Mtg. Assoc. REMIC
Series 2017-100, Class NP 3.00% due 12/25/2047(2)	$	4,147,542	$	4,427,575
Series 2018-27, Class EA 3.00% due 05/25/2048(2)		3,668,299		3,889,461
Series 2018-35, Class CD 3.00% due 05/25/2048(2)		5,920,916		6,262,221

				373,786,159

Government National Mtg. Assoc. — 4.0%
3.00% due 02/20/2045		4,735,174		4,982,975
3.00% due 05/20/2045		1,171,379		1,228,074
3.00% due 07/20/2045		298,036		312,282
3.00% due 11/20/2045		2,545,749		2,657,373
3.00% due 12/20/2045		2,022,586		2,111,231
3.00% due 01/20/2046		4,792,043		5,007,991
3.00% due 05/20/2046		12,741,052		13,311,434
3.00% due 09/20/2047		9,360,106		9,733,556
3.50% due 03/20/2045		976,313		1,028,784
3.50% due 07/20/2045		484,147		510,170
3.50% due 03/20/2047		3,151,009		3,301,845
4.00% due 03/20/2044		622,297		667,375
4.00% due 07/20/2045		1,723,511		1,848,367
4.00% due 05/20/2048		5,542,423		5,850,738
4.50% due 05/15/2039		499,315		560,229
4.50% due 04/20/2047		3,761,065		4,033,040
5.00% due 05/15/2034		142,703		160,051
5.00% due 01/15/2040		506,115		569,561
5.50% due 12/15/2039		631,409		717,548
6.00% due 10/15/2039		320,156		355,379
Government National Mtg. Assoc. REMIC VRS Series 2013-118, Class B 2.50% due 10/16/2043(1)(3)		1,700,000		1,744,135

				60,692,138

Total U.S. Government Agencies
(cost $564,574,393)				583,102,722

U.S. GOVERNMENT TREASURIES — 12.4%
United States Treasury Bonds — 6.0%
2.25% due 08/15/2049		5,260,000		5,971,744
2.38% due 11/15/2049		27,010,000		31,493,027
2.50% due 02/15/2045		1,189,000		1,387,089
2.50% due 05/15/2046		1,426,000		1,672,263
2.75% due 08/15/2047#		1,300,000		1,606,465
3.00% due 05/15/2045		595,000		756,696
3.00% due 05/15/2047		13,750,000		17,730,518
3.13% due 11/15/2041		815,000		1,046,161
3.13% due 02/15/2042		1,908,000		2,452,749
3.38% due 11/15/2048		14,400,000		20,043,000
3.63% due 08/15/2043		476,000		660,785
3.75% due 08/15/2041		37,000		51,718
3.88% due 08/15/2040		140,000		198,007
4.25% due 11/15/2040		713,000		1,057,719
4.38% due 05/15/2040		2,990,000		4,491,307
4.38% due 05/15/2041		452,000		683,403
4.63% due 02/15/2040		68,000		105,025
5.25% due 11/15/2028		375,000		504,726

				91,912,402

United States Treasury Notes — 6.4%
1.38% due 01/31/2025#		1,254,000		1,281,529
1.50% due 11/30/2021		8,000,000		8,079,375
1.50% due 11/30/2024		11,800,000		12,120,352
1.50% due 01/31/2027		829,000		854,421
1.50% due 02/15/2030		4,571,700		4,731,174

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount/ Shares		Value (Note 2)

U.S. GOVERNMENT TREASURIES (continued)
United States Treasury Notes (continued)
1.63% due 12/15/2022	$	11,200,000	$	11,429,687
1.63% due 11/30/2026		14,000,000		14,538,672
1.63% due 08/15/2029		9,200,000		9,612,203
1.75% due 12/31/2024		465,000		483,200
1.75% due 11/15/2029		22,300,000		23,561,344
2.63% due 12/31/2025		2,419,000		2,643,324
2.88% due 11/30/2025		3,732,000		4,126,338
2.88% due 08/15/2028		3,000,000		3,432,422

				96,894,041

Total U.S. Government Treasuries
(cost $168,280,639)				188,806,443

COMMON STOCKS — 0.0%
Television — 0.0%
ION Media Networks, Inc.†(4)(8) (cost $1)		79		62,686

PREFERRED SECURITIES — 0.0%
Electric - Distribution — 0.0%
Entergy Louisiana LLC 4.70%		22,600		568,842

Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. Series Z 8.38%†		5,600		59,080

Total Preferred Securities
(cost $651,353)				627,922

PREFERRED SECURITIES/CAPITAL SECURITIES — 0.9%
Banks - Money Center — 0.1%
BBVA Bancomer SA 5.13% due 01/18/2033*	$	1,302,000		1,357,335

Banks - Super Regional — 0.0%
Wells Fargo Capital X 5.95% due 12/01/2086		361,000		471,132

Diversified Banking Institutions — 0.2%
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(7)		1,494,000		1,597,646
Royal Bank of Scotland Group PLC 8.00% due 08/10/2025(7)		425,000		484,500
Societe Generale SA 7.88% due 12/18/2023*(7)		793,000		873,791

				2,955,937

Electric - Distribution — 0.0%
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043		664,000		694,942

Electric - Integrated — 0.0%
Dominion Resources, Inc. 5.75% due 10/01/2054		569,000		612,791

Food - Dairy Products — 0.1%
Land O’ Lakes, Inc. 7.00% due 09/18/2028*(7)		250,000		230,312
Land O’Lakes Capital Trust I 7.45% due 03/15/2028*		603,000		675,360

				905,672

Insurance - Life/Health — 0.2%
Prudential Financial, Inc. 5.63% due 06/15/2043		732,000		770,247



Security Description	Principal Amount			Value (Note 2)


Insurance - Life/Health (continued)
Prudential Financial, Inc. 5.70% due 09/15/2048	$	1,557,000		$	1,760,578

					2,530,825

Insurance - Multi-line — 0.1%
Voya Financial, Inc. 4.70% due 01/23/2048		943,000			943,538

Pipelines — 0.1%
EnLink Midstream Partners LP 6.00% due 12/15/2022(7)		750,000			495,000
Enterprise Products Operating LLC 5.25% due 08/16/2077		588,000			596,820

					1,091,820

Tools - Hand Held — 0.1%
Stanley Black & Decker, Inc. 4.00% due 03/15/2060		2,038,000			2,053,711

Total Preferred Securities/Capital Securities
(cost $12,934,595)					13,617,703

ESCROWS AND LITIGATION TRUSTS — 0.0%
Waterford Gaming LLC/Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014*†(4)		5,022			31
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(4)		179,000			18
Lehman Brothers Holdings, Inc. Escrow Notes 7.50% due 05/11/2038†(4)		230,000			23
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(4)		148,000			15

Total Escrows And Litigation Trusts
(cost $5,022)					87

Total Long-Term Investment Securities
(cost $1,391,535,580)					1,463,464,765

SHORT-TERM INVESTMENT SECURITIES — 3.9%
Registered Investment Companies — 3.5%
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.53%(9)		47,326,104			47,326,104
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(9)(11)		6,236,658			6,236,658

					53,562,762

U.S. Government Treasuries — 0.4%
United States Treasury Bills 1.50% due 12/03/2020		3,000,000			2,976,569
1.53% due 06/18/2020		3,000,000			2,988,817

					5,965,386

Total Short-Term Investment Securities
(cost $59,514,482)					59,528,148

TOTAL INVESTMENTS
(cost $1,451,050,062)		100.2	%		1,522,992,913
Liabilities in excess of other assets		(0.2	)		(2,328,966	)

NET ASSETS		100.0	%	$	1,520,663,947

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)

Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Fund has no right to demand registration of these securities. At February 29, 2020, the aggregate value of these securities was $218,428,168 representing 14.4% of net assets.

#	The security or a portion thereof is out on loan (see Note 2).

†	Non-income producing security

(1)	Commercial Mortgage Backed Security

(2)	Collateralized Mortgage Obligation

(3)	Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(4)	Securities classified as Level 3 (see Note 2).

(5)	Interest Only

(6)	Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at February 29, 2020.

(7)	Perpetual maturity — maturity date reflects the next call date.

(8)

Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Fund may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Fund has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Fund to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of February 29, 2020, the Fund held the following restricted securities:


Description	Acquisition Date		Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks

ION Media Networks, Inc.		03/05/2014		79	$	1	$	62,686	$	793.50		0.00	%

(9)	The rate shown is the 7-day yield as of February 29, 2020.

(10)	See Note 5 for cost of investments on a tax basis.

(11)

At February 29, 2020, the Fund had loaned securities with a total value of $7,678,425. This was secured by collateral of $6,236,658, which was received in cash and subsequently invested in short-term investments currently valued at $6,236,658 as reported in the Portfolio of Investments. Additional collateral of $1,603,560 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
Federal Home Loan Mtg. Corp.	zero coupon to 21.62%	02/25/2023 to 10/15/2058	$518,099
Federal National Mtg. Assoc.	0.73% to 27.69%	01/25/2021 to 05/25/2059	671,312
Government National Mtg. Assoc.	1.92% to 29.66%	06/20/2033 to 06/16/2061	414,149

REMIC—Real Estate Mortgage Investment Conduit

ULC—Unlimited Liability Corp.

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at February 29, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

1 ML—1 Month USD LIBOR

3 ML—3 Month USD LIBOR

6 ML—6 Month USD LIBOR

12 ML—12 Month USD LIBOR

1 Yr USTYCR—1 Year US Treasury Yield Curve Rate

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.



Security Description	Principal Amount		Value (Note 2)

SHORT-TERM INVESTMENT SECURITIES — 96.5%
U.S. Government Agencies — 66.9%
Federal Farm Credit Bank FRS 1.65% (FEDL + 0.07%) due 04/03/2020	$	2,000,000	$	1,999,990
Federal Home Loan Bank 1.34% due 03/02/2020		15,500,000		15,499,432
1.55% due 03/02/2020		2,500,000		2,499,894
1.55% due 03/04/2020		2,000,000		1,999,745
1.55% due 03/09/2020		2,500,000		2,499,150
1.56% due 03/13/2020		3,000,000		2,998,465
1.56% due 03/16/2020		3,000,000		2,998,081
1.57% due 03/18/2020		3,000,000		2,997,804
1.57% due 04/08/2020		2,000,000		1,996,749
1.58% due 03/31/2020		3,000,000		2,996,100
1.59% due 04/08/2020		3,000,000		2,995,060
1.59% due 04/15/2020		3,000,000		2,994,131
Federal Home Loan Bank FRS 1.60% (SOFR + 0.02%) due 05/22/2020		3,000,000		3,000,000
1.66% (SOFR + 0.08%) due 05/11/2020		3,000,000		3,000,000
1.71% (SOFR + 0.13%) due 10/16/2020		3,000,000		3,000,000
Federal Home Loan Mtg. Corp. FRS 1.58% (SOFR + 0.00%) due 04/13/2020		3,000,000		3,000,000
1.59% (SOFR + 0.01%) due 05/20/2020		3,000,000		3,000,000
1.59% (SOFR + 0.01%) due 06/10/2020		2,000,000		2,000,000
1.59% (SOFR + 0.01%) due 08/07/2020		3,000,000		3,000,000
1.59% (SOFR + 0.01%) due 07/22/2020		3,000,000		3,000,000
1.59% (SOFR + 0.01%) due 08/05/2020		3,000,000		3,000,000
1.59% (SOFR + 0.01%) due 08/25/2020		2,000,000		2,000,000
1.60% (SOFR + 0.02%) due 06/05/2020		2,000,000		2,000,000
1.61% (SOFR + 0.03%) due 06/02/2020		2,000,000		2,000,000
1.61% (SOFR + 0.03%) due 06/17/2020		3,000,000		3,000,000
1.61% (SOFR + 0.03%) due 02/24/2021		2,000,000		2,000,000
1.62% (SOFR + 0.04%) due 04/03/2020		2,000,000		2,000,000

Total U.S. Government Agencies
(amortized cost $83,474,601)				83,474,601



Security Description	Principal Amount			Value (Note 2)


U.S. Government Treasuries — 29.6%
United States Treasury Bills 1.38% due 03/31/2020	$	2,500,000		$	2,498,463
1.38% due 03/31/2020		2,500,000			2,497,139
1.51% due 03/03/2020		2,500,000			2,499,791
1.51% due 03/10/2020		2,500,000			2,499,055
1.52% due 03/12/2020		2,000,000			1,999,072
1.53% due 03/24/2020		3,000,000			2,997,077
1.53% due 04/16/2020		3,000,000			2,994,169
1.55% due 03/12/2020		1,000,000			999,527
1.55% due 03/17/2020		2,000,000			1,998,627
1.55% due 04/21/2020		2,000,000			1,995,608
1.56% due 03/31/2020		3,000,000			2,996,119
1.57% due 03/12/2020		1,000,000			999,521
1.57% due 03/17/2020		3,000,000			2,997,903
1.57% due 03/24/2020		2,000,000			1,998,000
United States Treasury Notes 1.13% due 03/31/2020		2,500,000			2,499,195
1.13% due 04/30/2020		2,500,000			2,498,354

Total U.S. Government Treasuries
(amortized cost $36,967,620)					36,967,620

Total Short-Term Investment Securities — 96.5%
(amortized cost $120,442,221)					120,442,221

REPURCHASE AGREEMENTS — 0.1%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.25%, dated 02/28/2020 to be repurchased 03/02/2020 in the amount of $117,002 and collateralized by $120,000 of United States Treasury Notes, bearing interest at 2.75% due 08/15/2021 and having an approximate value of $122,825. (cost $117,000)		117,000			117,000

TOTAL INVESTMENTS
(amortized cost $120,559,221)(1)		96.6	%		120,559,221
Other assets less liabilities		3.4			4,234,803

NET ASSETS		100.0	%	$	124,794,024

(1)	See Note 5 for cost of investments on a tax basis.

FRS—Floating Rate Security

The rates shown on FRS are the current interest rates at February 29, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

FEDL—US Federal Funds Effective Rate

SOFR—Secured Overnight Financing Rate

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

Industry Allocation*


Cable/Satellite TV	6.8	%
Oil Companies — Exploration & Production	5.3
Medical — Hospitals	4.9
Pipelines	4.2
Cellular Telecom	3.7
Medical — Drugs	3.4
Food — Misc./Diversified	2.8
Registered Investment Companies	2.6
Containers — Metal/Glass	2.5
Insurance — Multi — line	2.4
Retail — Restaurants	2.3
Telephone — Integrated	2.3
Containers — Paper/Plastic	2.3
Casino Hotels	2.3
Finance — Consumer Loans	2.1
Real Estate Investment Trusts	2.1
Gambling (Non — Hotel)	2.1
Building — Residential/Commercial	1.9
Electronic Components — Semiconductors	1.8
Rental Auto/Equipment	1.8
Television	1.7
Aerospace/Defense — Equipment	1.5
Computer Services	1.5
Auto/Truck Parts & Equipment — Original	1.5
Metal — Aluminum	1.4
Office Automation & Equipment	1.4
Enterprise Software/Service	1.4
Aerospace/Defense	1.4
Hazardous Waste Disposal	1.4
Applications Software	1.3
Broadcast Services/Program	1.2
Diagnostic Equipment	1.2
Repurchase Agreements	1.1
Data Processing/Management	1.0
Protection/Safety	1.0
Medical Information Systems	0.9
Music	0.9
Diversified Banking Institutions	0.9
Racetracks	0.9
Toys	0.8
Hotels/Motels	0.8
Chemicals — Specialty	0.8
Retail — Propane Distribution	0.7
Commercial Services	0.7
Decision Support Software	0.7
Gas — Distribution	0.7
Semiconductor Equipment	0.7
Distribution/Wholesale	0.7
Banks — Commercial	0.7
Oil & Gas Drilling	0.6
Transport — Equipment & Leasing	0.6
Finance — Auto Loans	0.6
Building — Heavy Construction	0.6
Agricultural Chemicals	0.6
Computers — Memory Devices	0.6
Oil Refining & Marketing	0.5
Insurance — Property/Casualty	0.5
Casino Services	0.5
Medical Labs & Testing Services	0.5
Building & Construction Products — Misc.	0.5
Telecom Services	0.4
Retail — Automobile	0.4
Medical Products	0.4
Medical-HMO	0.4
Electric — Distribution	0.4
Building Products — Wood	0.3
Insurance Brokers	0.3
Funeral Services & Related Items	0.3
Finance-Credit Card	0.3


Electronic Components — Misc.	0.3
Computer Software	0.2
Independent Power Producers	0.2
Medical Instruments	0.2
Retail — Leisure Products	0.1
Advertising Services	0.1
Cosmetics & Toiletries	0.1
Steel Pipe & Tube	0.1

	101.1	%

Credit Quality†#


Baa	2.7	%
Ba	33.6
B	44.4
Caa	14.4
Ca	0.5
C	0.1
Not Rated@	4.3

	100.0	%

*	Calculated as a percentage of net assets

†	Source: Moody’s

#	Calculated as a percentage of total debt issues, excluding short-term securities.

@	Represents debt issues that either have no rating, or the rating is unavailable from the data source.



Security Description	Principal Amount(11)		Value (Note 2)

CONVERTIBLE BONDS & NOTES — 1.5%
Casino Hotels — 0.2%
Caesars Entertainment Corp. Senior Notes 5.00% due 10/01/2024	$	660,000	$	1,193,131

Computer Software — 0.2%
Splunk, Inc. Senior Notes 1.13% due 09/15/2025		1,130,000		1,378,860

Computers - Memory Devices — 0.4%
Western Digital Corp. Company Guar. Notes 1.50% due 02/01/2024		2,015,000		1,972,685

Electronic Components - Semiconductors — 0.2%
Microchip Technology, Inc. Junior Sub. Notes 2.25% due 02/15/2037		1,000,000		1,291,607

Enterprise Software/Service — 0.3%
Workday, Inc. Senior Notes 0.25% due 10/01/2022		1,100,000		1,447,912

Medical Instruments — 0.2%
Integra LifeSciences Holdings Corp. Senior Notes 0.50% due 08/15/2025*		1,012,000		990,956

Total Convertible Bonds & Notes
(cost $8,793,898)				8,275,151

U.S. CORPORATE BONDS & NOTES — 73.8%
Advertising Services — 0.1%
Lamar Media Corp. Company Guar. Notes 3.75% due 02/15/2028*		760,000		762,128

Aerospace/Defense - Equipment — 1.5%
TransDigm, Inc. Company Guar. Notes 5.50% due 11/15/2027*		2,330,000		2,327,088
TransDigm, Inc. Senior Sec. Notes 6.25% due 03/15/2026*		5,685,000		6,019,005

				8,346,093

Agricultural Chemicals — 0.6%
CF Industries, Inc. Company Guar. Notes 4.95% due 06/01/2043		325,000		344,760
CF Industries, Inc. Company Guar. Notes 5.15% due 03/15/2034		1,793,000		2,053,075
CF Industries, Inc. Company Guar. Notes 5.38% due 03/15/2044		515,000		577,423

				2,975,258

Applications Software — 1.3%
CDK Global, Inc. Senior Notes 5.25% due 05/15/2029*		1,620,000		1,727,325
PTC, Inc. Company Guar. Notes 3.63% due 02/15/2025*		355,000		355,887
PTC, Inc. Company Guar. Notes 4.00% due 02/15/2028*		390,000		389,025



Security Description	Principal Amount(11)		Value (Note 2)


Applications Software (continued)
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027*	$	4,215,000	$	4,413,948

				6,886,185

Auto/Truck Parts & Equipment - Original — 0.3%
American Axle & Manufacturing, Inc. Company Guar. Notes 6.25% due 04/01/2025		455,000		440,531
American Axle & Manufacturing, Inc. Company Guar. Notes 6.50% due 04/01/2027		1,220,000		1,170,590

				1,611,121

Broadcast Services/Program — 1.2%
iHeartCommunications, Inc. Senior Sec. Notes 5.25% due 08/15/2027*		1,810,000		1,866,653
Nexstar Escrow, Inc. Company Guar. Notes 5.63% due 07/15/2027*		4,625,000		4,787,106

				6,653,759

Building & Construction Products - Misc. — 0.5%
Builders FirstSource, Inc. Company Guar. Notes 5.00% due 03/01/2030*		510,000		510,245
Standard Industries, Inc. Senior Notes 5.38% due 11/15/2024*		1,940,000		1,964,444

				2,474,689

Building - Heavy Construction — 0.3%
Brand Industrial Services, Inc. Senior Notes 8.50% due 07/15/2025*		1,677,000		1,624,594

Building - Residential/Commercial — 1.9%
Adams Homes, Inc. Company Guar. Notes 7.50% due 02/15/2025*		455,000		464,100
Ashton Woods USA LLC/Ashton Woods Finance Co. Senior Notes 6.63% due 01/15/2028*		2,000,000		2,004,600
KB Home Company Guar. Notes 4.80% due 11/15/2029		755,000		796,525
M/I Homes, Inc. Company Guar. Notes 4.95% due 02/01/2028*		1,145,000		1,165,037
M/I Homes, Inc. Company Guar. Notes 5.63% due 08/01/2025		1,750,000		1,828,750
Taylor Morrison Communities, Inc. Company Guar. Notes 5.75% due 01/15/2028*		3,460,000		3,822,885

				10,081,897

Cable/Satellite TV — 5.5%
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.13% due 02/15/2023		150,000		151,125
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.13% due 05/01/2023*		3,695,000		3,738,231

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount(11)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.75% due 02/15/2026*	$	1,590,000	$	1,653,123
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.88% due 04/01/2024*		1,490,000		1,530,528
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		1,900,000		2,052,000
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027*		825,000		868,313
CSC Holdings LLC Company Guar. Notes 6.50% due 02/01/2029*		7,250,000		8,010,525
CSC Holdings LLC Senior Notes 10.88% due 10/15/2025*		886,000		972,119
DISH DBS Corp. Company Guar. Notes 5.00% due 03/15/2023		2,345,000		2,359,891
DISH DBS Corp. Company Guar. Notes 5.88% due 11/15/2024		1,120,000		1,148,818
DISH DBS Corp. Company Guar. Notes 6.75% due 06/01/2021		5,821,000		6,027,704
DISH DBS Corp. Company Guar. Notes 7.75% due 07/01/2026		990,000		1,063,814

				29,576,191

Casino Hotels — 2.1%
Boyd Gaming Corp. Company Guar. Notes 6.38% due 04/01/2026		4,505,000		4,696,462
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. Senior Sec. Notes 5.88% due 05/15/2025*		3,020,000		2,959,600
Wynn Las Vegas LLC Company Guar. Notes 5.50% due 03/01/2025*		3,650,000		3,581,563

				11,237,625

Casino Services — 0.5%
Eldorado Resorts, Inc. Company Guar. Notes 6.00% due 04/01/2025		2,695,000		2,816,275

Cellular Telecom — 2.3%
Sprint Corp. Company Guar. Notes 7.13% due 06/15/2024		2,964,000		3,362,895
Sprint Corp. Company Guar. Notes 7.25% due 09/15/2021		2,040,000		2,165,154
Sprint Corp. Company Guar. Notes 7.63% due 02/15/2025		1,425,000		1,653,000
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		4,576,000		5,228,080

				12,409,129



Security Description	Principal Amount(11)		Value (Note 2)


Coal — 0.0%
Foresight Energy LLC/Foresight Energy Finance Corp. Sec. Notes 11.50% due 04/01/2023*†(13)	$	3,395,000	$	118,825

Commercial Services - Finance — 0.0%
Cardtronics, Inc./Cardtronics USA, Inc. Company Guar. Notes 5.50% due 05/01/2025*		260,000		266,500

Computer Services — 1.5%
Presidio Holdings, Inc. Senior Sec. Notes 4.88% due 02/01/2027*		1,650,000		1,650,000
Presidio Holdings, Inc. Company Guar. Notes 8.25% due 02/01/2028*		1,300,000		1,340,625
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. Senior Notes 6.75% due 06/01/2025*		5,310,000		5,285,149

				8,275,774

Computers - Memory Devices — 0.2%
Western Digital Corp. Company Guar. Notes 4.75% due 02/15/2026		794,000		819,805

Containers - Metal/Glass — 0.8%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*#		3,090,000		3,242,275
Silgan Holdings, Inc. Senior Notes 2.25% due 06/01/2028*		EUR 1,175,000		1,284,170

				4,526,445

Containers - Paper/Plastic — 2.3%
Berry Global Escrow Corp. Sec. Notes 5.63% due 07/15/2027*		1,010,000		1,050,350
Flex Acquisition Co., Inc. Senior Notes 6.88% due 01/15/2025*		3,945,000		3,866,179
Flex Acquisition Co., Inc. Senior Notes 7.88% due 07/15/2026*		1,340,000		1,360,100
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC Senior Sec. Notes 5.13% due 07/15/2023*		3,080,000		3,110,800
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC Company Guar. Notes 7.00% due 07/15/2024*		3,080,000		3,108,890

				12,496,319

Cosmetics & Toiletries — 0.1%
Revlon Consumer Products Corp. Company Guar. Notes 6.25% due 08/01/2024		1,485,000		579,150

Decision Support Software — 0.7%
MSCI, Inc. Company Guar. Notes 4.00% due 11/15/2029*		3,735,000		3,870,581

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount(11)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Diagnostic Equipment — 1.2%
Avantor, Inc. Senior Sec. Notes 6.00% due 10/01/2024*	$	6,050,000	$	6,349,959

Distribution/Wholesale — 0.7%
ABC Supply Co., Inc. Senior Sec. Notes 4.00% due 01/15/2028*		575,000		561,344
Core & Main Holdings LP Senior Notes 8.63% due 09/15/2024*(1)		1,910,000		1,981,625
Performance Food Group, Inc. Company Guar. Notes 5.50% due 10/15/2027*		1,040,000		1,097,200

				3,640,169

Electric - Distribution — 0.4%
NextEra Energy Operating Partners LP Company Guar. Notes 4.25% due 07/15/2024*		1,865,000		1,899,503

Electronic Components - Semiconductors — 1.6%
Micron Technology, Inc. Senior Notes 4.64% due 02/06/2024		785,000		859,491
Micron Technology, Inc. Senior Notes 4.98% due 02/06/2026		2,050,000		2,291,694
Qorvo, Inc. Company Guar. Notes 4.38% due 10/15/2029*		660,000		685,575
Qorvo, Inc. Company Guar. Notes 5.50% due 07/15/2026		4,870,000		5,030,710

				8,867,470

Enterprise Software/Service — 0.8%
Infor US, Inc. Company Guar. Notes 6.50% due 05/15/2022		2,778,000		2,782,000
Open Text Holdings, Inc. Company Guar. Notes 4.13% due 02/15/2030*		1,525,000		1,517,375

				4,299,375

Finance - Auto Loans — 0.6%
Credit Acceptance Corp. Company Guar. Notes 5.13% due 12/31/2024*		1,470,000		1,514,100
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026*		1,565,000		1,643,281

				3,157,381

Finance - Consumer Loans — 1.7%
Navient Corp. Senior Notes 6.50% due 06/15/2022		2,029,000		2,115,233
Springleaf Finance Corp. Company Guar. Notes 6.13% due 05/15/2022		165,000		173,930
Springleaf Finance Corp. Company Guar. Notes 6.13% due 03/15/2024		485,000		511,112
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025		1,120,000		1,232,000



Security Description	Principal Amount(11)		Value (Note 2)


Finance - Consumer Loans (continued)
Springleaf Finance Corp. Company Guar. Notes 7.13% due 03/15/2026	$	565,000	$	627,150
Springleaf Finance Corp. Company Guar. Notes 7.75% due 10/01/2021		2,585,000		2,754,369
Springleaf Finance Corp. Company Guar. Notes 8.25% due 12/15/2020		1,845,000		1,916,494

				9,330,288

Food - Misc./Diversified — 2.6%
B&G Foods, Inc. Company Guar. Notes 5.25% due 09/15/2027		1,440,000		1,425,600
Kraft Heinz Foods Co. Company Guar. Notes 3.75% due 04/01/2030*		1,360,000		1,385,967
Post Holdings, Inc. Senior Notes 4.63% due 04/15/2030*		845,000		832,824
Post Holdings, Inc. Company Guar. Notes 5.00% due 08/15/2026*		3,545,000		3,614,836
Post Holdings, Inc. Company Guar. Notes 5.50% due 03/01/2025		715,000		744,494
Post Holdings, Inc. Company Guar. Notes 5.63% due 01/15/2028*		2,974,000		3,108,454
Post Holdings, Inc. Company Guar. Notes 5.75% due 03/01/2027*		1,440,000		1,498,529
TreeHouse Foods, Inc. Company Guar. Notes 6.00% due 02/15/2024*		1,230,000		1,269,975

				13,880,679

Funeral Services & Related Items — 0.3%
Service Corp. International Senior Notes 4.63% due 12/15/2027		735,000		769,913
Service Corp. International Senior Notes 5.13% due 06/01/2029		725,000		783,906

				1,553,819

Gambling (Non-Hotel) — 2.1%
Caesars Resort Collection LLC/CRC Finco, Inc. Company Guar. Notes 5.25% due 10/15/2025*		4,875,000		4,787,347
Golden Entertainment, Inc. Senior Notes 7.63% due 04/15/2026*		1,630,000		1,740,025
Jacobs Entertainment, Inc. Sec. Notes 7.88% due 02/01/2024*		4,420,000		4,641,000

				11,168,372

Gas - Distribution — 0.7%
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.50% due 05/20/2025		731,000		743,807
AmeriGas Partners LP/AmeriGas Finance Corp. Senior Notes 5.88% due 08/20/2026		2,904,000		3,012,958

				3,756,765

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount(11)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Hazardous Waste Disposal — 0.4%
Stericycle, Inc. Company Guar. Notes 5.38% due 07/15/2024*	$	1,925,000	$	2,023,175

Hotels/Motels — 0.8%
Hilton Domestic Operating Co., Inc. Company Guar. Notes 4.25% due 09/01/2024		4,416,000		4,430,705

Independent Power Producers — 0.2%
Clearway Energy Operating LLC Company Guar. Notes 4.75% due 03/15/2028*		1,310,000		1,341,113

Insurance - Multi - line — 2.4%
Acrisure LLC/Acrisure Finance, Inc. Senior Notes 7.00% due 11/15/2025*		4,130,000		4,035,836
Acrisure LLC/Acrisure Finance, Inc. Senior Sec. Notes 8.13% due 02/15/2024*		1,684,000		1,796,070
Acrisure LLC/Acrisure Finance, Inc. Senior Notes 10.13% due 08/01/2026*		1,675,000		1,809,000
Genworth Holdings, Inc. Company Guar. Notes 4.80% due 02/15/2024		260,000		252,200
Genworth Holdings, Inc. Company Guar. Notes 4.90% due 08/15/2023		1,215,000		1,178,550
Genworth Holdings, Inc. Company Guar. Notes 6.50% due 06/15/2034		1,120,000		1,108,800
Genworth Holdings, Inc. Company Guar. Notes 7.20% due 02/15/2021#		2,345,000		2,368,450
Genworth Holdings, Inc. Company Guar. Notes 7.63% due 09/24/2021#		539,000		553,456

				13,102,362

Medical Information Systems — 0.9%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. Senior Notes 5.75% due 03/01/2025*		1,890,000		1,911,262
IQVIA, Inc. Company Guar. Notes 2.25% due 01/15/2028*		EUR 1,120,000		1,224,060
IQVIA, Inc. Company Guar. Notes 5.00% due 05/15/2027*		1,840,000		1,902,100

				5,037,422

Medical Labs & Testing Services — 0.5%
Catalent Pharma Solutions, Inc. Company Guar. Notes 4.88% due 01/15/2026*		520,000		533,000
Catalent Pharma Solutions, Inc. Company Guar. Notes 5.00% due 07/15/2027*		545,000		567,481
West Street Merger Sub, Inc. Senior Notes 6.38% due 09/01/2025*		1,715,000		1,682,758

				2,783,239



Security Description	Principal Amount(11)		Value (Note 2)


Medical Products — 0.4%
Hill-Rom Holdings, Inc. Company Guar. Notes 4.38% due 09/15/2027*	$	1,965,000	$	2,033,972

Medical - Drugs — 0.0%
Bausch Health Americas, Inc. Company Guar. Notes 8.50% due 01/31/2027*		20,000		22,000

Medical - HMO — 0.4%
Centene Corp Senior Notes 4.25% due 12/15/2027*		925,000		951,640
Centene Corp. Senior Notes 4.63% due 12/15/2029*		970,000		1,037,900

				1,989,540

Medical - Hospitals — 4.9%
CHS/Community Health Systems, Inc. Senior Sec. Notes 6.63% due 02/15/2025*		3,695,000		3,768,900
CHS/Community Health Systems, Inc. Company Guar. Notes 6.88% due 02/01/2022		590,000		554,600
CHS/Community Health Systems, Inc. Sec. Notes 8.13% due 06/30/2024*		2,760,000		2,525,400
HCA Healthcare, Inc. Senior Notes 6.25% due 02/15/2021		5,000,000		5,194,000
HCA, Inc. Company Guar. Notes 3.50% due 09/01/2030		4,340,000		4,251,549
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		3,520,000		3,891,360
HCA, Inc. Company Guar. Notes 5.38% due 09/01/2026		2,270,000		2,515,614
HCA, Inc. Company Guar. Notes 5.63% due 09/01/2028		105,000		119,005
HCA, Inc. Company Guar. Notes 5.88% due 05/01/2023		1,535,000		1,676,987
HCA, Inc. Company Guar. Notes 5.88% due 02/01/2029		265,000		306,737
HCA, Inc. Company Guar. Notes 7.50% due 11/15/2095		1,470,000		1,822,800

				26,626,952

Metal - Aluminum — 0.8%
Novelis Corp. Company Guar. Notes 4.75% due 01/30/2030*		950,000		936,938
Novelis Corp. Company Guar. Notes 5.88% due 09/30/2026*		3,315,000		3,423,914

				4,360,852

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount(11)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Music — 0.9%
WMG Acquisition Corp. Senior Sec. Notes 5.00% due 08/01/2023*	$	555,000	$	564,712
WMG Acquisition Corp. Company Guar. Notes 5.50% due 04/15/2026*		4,278,000		4,470,510

				5,035,222

Office Automation & Equipment — 1.0%
Xerox Corp. Senior Notes 4.13% due 03/15/2023		4,060,000		4,139,982
Xerox Corp. Senior Notes 4.80% due 03/01/2035		155,000		146,088
Xerox Corp. Senior Notes 6.75% due 12/15/2039		1,096,000		1,167,930

				5,454,000

Oil Companies - Exploration & Production — 5.3%
Centennial Resource Production LLC Company Guar. Notes 5.38% due 01/15/2026*		1,635,000		1,373,400
Chesapeake Energy Corp. Sec. Notes 11.50% due 01/01/2025*		5,893,000		3,359,010
Energen Corp. Senior Notes 4.63% due 09/01/2021		2,170,000		2,238,377
EQT Corp. Senior Notes 3.90% due 10/01/2027		3,040,000		1,953,200
Jagged Peak Energy LLC Company Guar. Notes 5.88% due 05/01/2026		3,615,000		3,604,878
Matador Resources Co. Company Guar. Notes 5.88% due 09/15/2026		2,400,000		2,148,000
QEP Resources, Inc. Senior Notes 5.25% due 05/01/2023		2,516,000		2,211,564
QEP Resources, Inc. Senior Notes 5.38% due 10/01/2022		206,000		187,847
QEP Resources, Inc. Senior Notes 5.63% due 03/01/2026#		2,970,000		2,376,000
SM Energy Co. Senior Notes 5.00% due 01/15/2024		3,860,000		3,008,754
SM Energy Co. Senior Notes 5.63% due 06/01/2025		1,100,000		855,250
SM Energy Co. Senior Notes 6.13% due 11/15/2022		365,000		326,675
SM Energy Co. Senior Notes 6.63% due 01/15/2027#		1,275,000		988,125
Vine Oil & Gas LP/Vine Oil & Gas Finance Corp. Company Guar. Notes 8.75% due 04/15/2023*		3,340,000		1,436,200



Security Description	Principal Amount(11)		Value (Note 2)


Oil Companies - Exploration & Production (continued)
WPX Energy, Inc. Senior Notes 5.25% due 09/15/2024	$	1,400,000	$	1,397,018
WPX Energy, Inc. Senior Notes 8.25% due 08/01/2023		970,000		1,081,550

				28,545,848

Oil Refining & Marketing — 0.5%
Sunoco LP/Sunoco Finance Corp. Company Guar. Notes 5.50% due 02/15/2026		600,000		609,060
Sunoco LP/Sunoco Finance Corp. Company Guar. Notes 5.88% due 03/15/2028		375,000		383,438
Sunoco LP/Sunoco Finance Corp. Company Guar. Notes 6.00% due 04/15/2027		1,900,000		1,947,500

				2,939,998

Pipelines — 4.2%
Antero Midstream Partners LP/Antero Midstream Finance Corp. Company Guar. Notes 5.75% due 01/15/2028*		3,005,000		2,058,425
Buckeye Partners LP Senior Notes 4.13% due 03/01/2025*		945,000		945,094
Buckeye Partners LP Senior Notes 4.50% due 03/01/2028*		960,000		931,805
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 5.13% due 06/30/2027		1,377,000		1,535,892
Cheniere Energy Partners LP Company Guar. Notes 4.50% due 10/01/2029*		1,379,000		1,321,937
DCP Midstream Operating LP Company Guar. Notes 5.38% due 07/15/2025		2,555,000		2,676,414
Energy Transfer Operating LP Company Guar. Notes 5.50% due 06/01/2027		1,940,000		2,197,743
EQM Midstream Partners LP Senior Notes 6.50% due 07/15/2048		1,410,000		1,064,550
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. Company Guar. Notes 4.75% due 10/01/2023*		1,980,000		1,900,840
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. Company Guar. Notes 6.00% due 03/01/2027*		1,800,000		1,719,000
Targa Resources Partners Co. Company Guar. Notes 6.50% due 07/15/2027		4,360,000		4,550,750
Targa Resources Partners LP/Targa Resources Partners Finance Corp. Company Guar. Notes 6.75% due 03/15/2024		1,650,000		1,680,970

				22,583,420

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount(11)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Protection/Safety — 1.0%
APX Group, Inc. Company Guar. Notes 7.63% due 09/01/2023#	$	3,215,000	$	3,054,250
APX Group, Inc. Senior Sec. Notes 7.88% due 12/01/2022		2,065,000		2,095,975

				5,150,225

Racetracks — 0.9%
Penn National Gaming, Inc. Senior Notes 5.63% due 01/15/2027*		4,555,000		4,714,425

Real Estate Investment Trusts — 2.1%
FelCor Lodging LP Company Guar. Notes 6.00% due 06/01/2025		5,360,000		5,547,600
Iron Mountain, Inc. Company Guar. Notes 4.88% due 09/15/2029*		3,245,000		3,215,860
Vici Properties L.P. Company Guar. Notes 4.25% due 12/01/2026*		1,295,000		1,308,079
Vici Properties L.P. Company Guar. Notes 4.63% due 12/01/2029*		1,085,000		1,120,262
VICI Properties LP/VICI Note Co., Inc. Company Guar. Notes 3.50% due 02/15/2025*		250,000		250,388
VICI Properties LP/VICI Note Co., Inc. Company Guar. Notes 3.75% due 02/15/2027*		165,000		163,763

				11,605,952

Rental Auto/Equipment — 1.8%
Ashtead Capital, Inc. Company Guar. Notes 4.00% due 05/01/2028*		2,890,000		2,963,663
Herc Holdings, Inc. Company Guar. Notes 5.50% due 07/15/2027*		3,230,000		3,350,802
United Rentals North America, Inc. Company Guar. Notes 4.63% due 10/15/2025		970,000		982,930
United Rentals North America, Inc. Company Guar. Notes 4.88% due 01/15/2028		1,340,000		1,375,242
United Rentals North America, Inc. Company Guar. Notes 5.88% due 09/15/2026		1,025,000		1,078,761

				9,751,398

Retail - Automobile — 0.4%
Asbury Automotive Group, Inc. Company Guar. Notes 4.50% due 03/01/2028*		290,000		290,580
Asbury Automotive Group, Inc. Company Guar. Notes 4.75% due 03/01/2030*		295,000		300,162
Lithia Motors, Inc. Company Guar. Notes 4.63% due 12/15/2027*		1,510,000		1,545,757

				2,136,499



Security Description	Principal Amount(11)		Value (Note 2)


Retail - Leisure Products — 0.1%
Party City Holdings, Inc. Company Guar. Notes 6.63% due 08/01/2026*	$	1,390,000	$	806,200

Retail - Propane Distribution — 0.7%
Ferrellgas LP/Ferrellgas Finance Corp. Senior Notes 6.50% due 05/01/2021		1,323,000		1,137,780
Ferrellgas LP/Ferrellgas Finance Corp. Senior Notes 6.75% due 01/15/2022		2,181,000		1,832,040
Ferrellgas LP/Ferrellgas Finance Corp. Company Guar. Notes 6.75% due 06/15/2023		1,242,000		1,036,039

				4,005,859

Retail - Restaurants — 0.9%
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 4.75% due 06/01/2027*		1,830,000		1,871,175
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC Company Guar. Notes 5.25% due 06/01/2026*		2,225,000		2,275,085
Yum! Brands, Inc. Senior Notes 4.75% due 01/15/2030*		770,000		798,959

				4,945,219

Semiconductor Equipment — 0.7%
Entegris, Inc. Company Guar. Notes 4.63% due 02/10/2026*		3,550,000		3,660,938

Steel Pipe & Tube — 0.1%
Advanced Drainage Systems, Inc. Company Guar. Notes 5.00% due 09/30/2027*		545,000		563,394

Telecom Services — 0.4%
Embarq Corp. Senior Notes 8.00% due 06/01/2036		2,240,000		2,385,600

Telephone - Integrated — 2.3%
CenturyLink, Inc. Senior Sec. Notes 4.00% due 02/15/2027*		3,710,000		3,728,179
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024		890,000		994,575
Frontier Communications Corp. Senior Notes 6.88% due 01/15/2025		2,690,000		1,284,475
Frontier Communications Corp. Sec. Notes 8.50% due 04/01/2026*		3,685,000		3,731,062
Frontier Communications Corp. Senior Notes 10.50% due 09/15/2022		1,800,000		816,750
Sprint Capital Corp. Company Guar. Notes 8.75% due 03/15/2032		1,425,000		1,979,040

				12,534,081

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount(11)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Television — 1.2%
Gray Television, Inc. Company Guar. Notes 5.13% due 10/15/2024*	$	2,490,000	$	2,552,250
Gray Television, Inc. Company Guar. Notes 5.88% due 07/15/2026*		1,060,000		1,090,157
Scripps Escrow, Inc. Company Guar. Notes 5.88% due 07/15/2027*		2,585,000		2,681,937

				6,324,344

Toys — 0.8%
Mattel, Inc. Company Guar. Notes 5.88% due 12/15/2027*		1,035,000		1,081,575
Mattel, Inc. Company Guar. Notes 6.75% due 12/31/2025*		3,220,000		3,384,059

				4,465,634

Transport - Equipment & Leasing — 0.4%
DAE Funding LLC Company Guar. Notes 4.50% due 08/01/2022*		675,000		683,437
DAE Funding LLC Company Guar. Notes 5.00% due 08/01/2024*		1,345,000		1,389,614

				2,073,051

Total U.S. Corporate Bonds & Notes
(cost $402,692,562)				399,744,762

FOREIGN CORPORATE BONDS & NOTES — 16.3%
Aerospace/Defense — 1.4%
Bombardier, Inc. Senior Notes 6.13% due 01/15/2023*		5,155,000		5,166,341
Bombardier, Inc. Senior Notes 7.88% due 04/15/2027*		2,230,000		2,213,275

				7,379,616

Auto/Truck Parts & Equipment - Original — 0.9%
Adient Global Holdings, Ltd. Company Guar. Notes 3.50% due 08/15/2024		EUR 2,360,000		2,212,362
Adient Global Holdings, Ltd. Company Guar. Notes 4.88% due 08/15/2026*		855,000		737,437
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. Company Guar. Notes 8.50% due 05/15/2027*		1,630,000		1,656,569

				4,606,368

Building Products - Wood — 0.3%
Norbord, Inc. Senior Sec. Notes 5.75% due 07/15/2027*		1,620,000		1,704,888

Cable/Satellite TV — 1.3%
Altice Financing SA Senior Sec. Notes 5.00% due 01/15/2028*		1,420,000		1,377,258
Altice Financing SA Senior Sec. Notes 7.50% due 05/15/2026*		2,210,000		2,331,550



Security Description	Principal Amount(11)		Value (Note 2)


Cable/Satellite TV (continued)
Altice Luxembourg SA Company Guar. Notes 7.63% due 02/15/2025*	$	200,000	$	207,500
Quebecor Media, Inc. Senior Notes 5.75% due 01/15/2023		1,415,000		1,500,607
Ziggo BV Senior Sec. Notes 5.50% due 01/15/2027*		1,425,000		1,467,807

				6,884,722

Cellular Telecom — 1.4%
Altice France SA Senior Sec. Notes 8.13% due 02/01/2027*		4,775,000		5,203,699
Altice France SA Senior Sec. Notes 5.50% due 01/15/2028*		525,000		525,000
Ypso Finance Bis SA Senior Sec. Notes 8.00% due 05/15/2027*		EUR 1,680,000		2,053,435

				7,782,134

Chemicals - Specialty — 0.6%
Diamond BC BV Senior Notes 5.63% due 08/15/2025		EUR 3,045,000		3,163,010

Containers - Metal/Glass — 1.7%
ARD Finance SA Senior Sec. Notes 6.50% due 06/30/2027*(1)		3,265,000		3,285,569
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. Senior Sec. Notes 4.13% due 08/15/2026*		650,000		647,564
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. Company Guar. Notes 6.00% due 02/15/2025*		1,315,000		1,370,888
OI European Group BV Company Guar. Notes 4.00% due 03/15/2023*		3,579,000		3,619,264
Trivium Packaging Finance BV Senior Sec. Notes 5.50% due 08/15/2026*		520,000		538,851

				9,462,136

Electronic Components - Misc. — 0.3%
Sensata Technologies BV Company Guar. Notes 5.00% due 10/01/2025*		1,435,000		1,510,481

Enterprise Software/Service — 0.3%
Open Text Corp. Company Guar. Notes 3.88% due 02/15/2028*		1,790,000		1,768,162

Finance - Consumer Loans — 0.4%
goeasy, Ltd. Company Guar. Notes 5.38% due 12/01/2024*		2,300,000		2,369,000

Hazardous Waste Disposal — 1.0%
Tervita Escrow Corp. Sec. Notes 7.63% due 12/01/2021*		5,195,000		5,246,950

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Principal Amount(11)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Medical - Drugs — 3.4%
Bausch Health Cos., Inc. Company Guar. Notes 5.00% due 01/30/2028*	$	4,180,000	$	4,132,975
Bausch Health Cos., Inc. Company Guar. Notes 5.88% due 05/15/2023*		655,000		657,456
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025*		2,035,000		2,075,090
Bausch Health Cos., Inc. Senior Sec. Notes 7.00% due 03/15/2024*		455,000		468,459
Bausch Health Cos., Inc. Company Guar. Notes 9.00% due 12/15/2025*		445,000		495,490
Endo, Ltd./Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 6.00% due 07/15/2023*		3,711,000		2,913,506
Endo, Ltd./Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 6.00% due 02/01/2025*		2,825,000		2,175,250
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 3.15% due 10/01/2026		2,270,000		1,979,894
Teva Pharmaceutical Finance Netherlands III BV Company Guar. Notes 6.75% due 03/01/2028#		2,050,000		2,175,562
Valeant Pharmaceuticals International, Inc. Company Guar. Notes 5.50% due 03/01/2023*		1,236,000		1,234,455

				18,308,137

Metal - Aluminum — 0.6%
Constellium NV Company Guar. Notes 5.88% due 02/15/2026*		3,240,000		3,292,650

Oil & Gas Drilling — 0.6%
Noble Holding International, Ltd. Company Guar. Notes 7.88% due 02/01/2026*		272,000		167,620
Transocean, Inc. Company Guar. Notes 6.80% due 03/15/2038		5,715,000		3,114,675

				3,282,295

Retail - Restaurants — 1.4%
1011778 BC ULC/New Red Finance, Inc. Senior Sec. Notes 3.88% due 01/15/2028*		440,000		437,250
1011778 BC ULC/New Red Finance, Inc. Sec. Notes 5.00% due 10/15/2025*		7,185,000		7,239,606

				7,676,856

Television — 0.5%
Videotron, Ltd. Company Guar. Notes 5.00% due 07/15/2022		2,720,000		2,808,427

Transport - Equipment & Leasing — 0.2%
Fly Leasing, Ltd. Senior Notes 5.25% due 10/15/2024		1,140,000		1,168,500

Total Foreign Corporate Bonds & Notes
(cost $87,118,148)				88,414,332



Security Description	Principal Amount(11)		Value (Note 2)

FOREIGN CONVERTIBLE BONDS & NOTES — 0.3%
Building - Heavy Construction — 0.3%
Cellnex Telecom SA Senior Notes 1.50% due 01/16/2026 (cost $1,418,088)	EUR	900,000		1,460,625

LOANS(2)(3)(4) — 3.9%
Auto/Truck Parts & Equipment - Original — 0.3%
Panther BF Aggregator 2 LP FRS BTL-B 5.10% (1 ML+3.50%) due 04/30/2026	$	1,855,350	$	1,825,201

Chemicals - Specialty — 0.2%
Diamond BC BV FRS BTL 4.86% (1 ML+3.00%) due 09/06/2024		2,162		2,067
Diamond BC BV FRS BTL 4.93% (3 ML+3.00%) due 09/06/2024		845,538		808,546

				810,613

Commercial Services — 0.7%
AVSC Holding Corp. FRS 1st Lien 4.91% (1 ML+3.25%) due 03/03/2025		1,967,997		1,889,277
AVSC Holding Corp. FRS 1st Lien 4.95%-5.21% (3 ML+3.25%) due 03/03/2025		2,077,571		1,994,468

				3,883,745

Data Processing/Management — 1.0%
Dun & Bradstreet Corp. FRS BTL 5.61% (1 ML+5.00%) due 02/06/2026		5,610,000		5,592,469

Finance - Credit Card — 0.3%
Blackhawk Network Holdings, Inc. FRS 1st Lien 4.60% (1 ML+3.00%) due 06/15/2025		1,551,375		1,532,952

Food - Misc./Diversified — 0.2%
Froneri US, Inc. FRS BTL 3.85% (1 ML+2.25%) due 01/29/2027		900,000		884,813
Froneri International PLC FRS 2nd Lien 7.35% (6 ML+5.75%) due 01/31/2028		125,000		125,625

				1,010,438

Insurance Brokers — 0.3%
HUB International, Ltd. FRS BTL-B 4.39%-4.55% (2 ML+2.75%) due 04/25/2025		1,680,269		1,629,860
HUB International, Ltd. FRS BTL-B 4.52% (3 ML+2.75%) due 04/25/2025		4,081		3,959

				1,633,819

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares/ Principal Amount(11)			Value (Note 2)

LOANS(2)(3)(4) (continued)
Insurance - Property/Casualty — 0.5%
Asurion LLC FRS BTL-B7 4.60% (1 ML+3.00%) due 11/03/2024	$	2,844,500		$	2,824,054

Office Automation & Equipment — 0.4%
Pitney Bowes, Inc. FRS BTL-B coupon TBD due 01/17/2025		2,165,000			2,137,937

Total Loans
(cost $21,490,298)					21,251,228

COMMON STOCKS — 0.0%
Television — 0.0%
ION Media Networks, Inc.(8)(14) (cost $6)		616			164,792

PREFERRED SECURITIES/CAPITAL SECURITIES — 1.6%
Banks - Commercial — 0.7%
Banco de Sabadell SA 6.50% due 05/18/2022(5)	EUR	3,200,000			3,638,620

Diversified Banking Institutions — 0.9%
Credit Suisse Group AG 6.25% due 12/18/2024(5)	$	4,435,000			4,772,548

Total Preferred Securities/Capital Securities
(cost $8,237,903)					8,411,168

ESCROWS AND LITIGATION TRUSTS — 0.0%
Venture Holdings Co. LLC Company Guar. Notes 11.00% due 06/01/2007†(6)(7)(8)		50,000			0
Hellas Telecommunications Luxembourg II SCA Sub. Notes 8.46% due 01/15/2015*†(6)(7)(8)		925,000			0
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. Escrow Notes 11.50% due 10/01/2020*†		3,873,748			5,811

Total Escrows And Litigation Trusts
(cost $956,000)					5,811

Total Long-Term Investment Securities
(cost $530,706,903)					527,727,869

SHORT-TERM INVESTMENT SECURITIES — 2.6%
Registered Investment Companies — 2.6%
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(9)(10) (cost $14,070,873)		14,070,873			14,070,873

REPURCHASE AGREEMENTS — 1.1%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.25%, dated 02/28/2020, to be repurchased 03/02/2020 in the amount of $5,734,119 and collateralized by $5,670,000 of United States Treasury Notes, bearing interest at 2.63% due 12/15/2021 and having an approximate value of $5,849,013 (cost $5,734,000)	$	5,734,000			5,734,000

TOTAL INVESTMENTS
(cost $550,511,776)(12)		101.1	%		547,532,742
Liabilities in excess of other assets		(1.1	)		(6,011,527	)

NET ASSETS		100.0	%	$	541,521,215

#	The security or a portion thereof is out on loan (see Note 2).

†	Non-income producing security

(1)	PIK (“Payment-in-Kind”) security — Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at the coupon rate listed.

(2)

The Fund invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

(3)	All loans in the Fund were purchased through assignment agreements unless otherwise indicated.

(4)

Senior loans in the Fund are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown.

(5)	Perpetual maturity — maturity date reflects the next call date.

(6)	Company has filed for bankruptcy protection.

(7)	Security in default of interest and principal at maturity.

(8)	Securities classified as Level 3 (see Note 2).

(9)	The rate shown is the 7-day yield as of February 29, 2020.

(10)	At February 29, 2020, the Fund had loaned securities with a total value of $13,711,518. This was secured by collateral of $14,070,873 which was received in cash and subsequently invested in short-term investments currently valued at $14,070,873 as reported in the Portfolio of Investments.

(11)	Denominated in United States dollars unless otherwise indicated.

(12)	See Note 5 for cost of investments on a tax basis.

(13)	Security in default of interest.

(14)


Description	Acquisition Date		Shares		Acquisition Cost		Value		Value Per Share		% of Net Assets
Common Stocks

ION Media Networks, Inc.		12/21/2016		616	$	6	$	164,792	$	267.52		0.03	%

BTL—Bank Term Loan

TBD—Senior loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, senior loans typically trade without accrued interest and therefore a coupon rate is not available prior to the settlement.

FRS—Floating Rate Security

The rates shown on FRS are the current interest rates at February 29, 2020 and unless noted otherwise, the dates shown are the original maturity dates.

Currency Legend

EUR—Euro Currency

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.

Industry Allocation*


Real Estate Operations & Development	5.3	%
Banks — Commercial	3.3
Commercial Services	3.0
Real Estate Investment Trusts	2.6
Applications Software	2.3
Computer Services	2.3
Electronic Components — Misc.	2.2
Machinery — General Industrial	2.2
Gambling (Non — Hotel)	2.2
E-Commerce/Services	2.0
Repurchase Agreements	1.8
Computers — Integrated Systems	1.8
Chemicals — Diversified	1.7
Cosmetics & Toiletries	1.7
Food — Retail	1.7
Finance — Other Services	1.7
Energy — Alternate Sources	1.5
Medical — Drugs	1.5
Building — Residential/Commercial	1.4
Engineering/R&D Services	1.3
Apparel Manufacturers	1.3
Brewery	1.3
Machinery — Material Handling	1.3
Retail — Apparel/Shoe	1.3
Fisheries	1.3
Building & Construction Products — Misc.	1.2
Precious Metals	1.2
Registered Investment Companies	1.2
Retail — Drug Store	1.1
Recycling	1.1
Chemicals — Specialty	1.0
Building Products — Cement	1.0
Gold Mining	1.0
Electric — Generation	1.0
Auto/Truck Parts & Equipment — Original	1.0
Medical — Nursing Homes	0.9
Semiconductor Equipment	0.9
Insurance — Property/Casualty	0.9
Food — Misc./Diversified	0.9
Electric Products — Misc.	0.8
Real Estate Management/Services	0.8
E-Services/Consulting	0.8
Medical Products	0.8
Computer Software	0.8
Consulting Services	0.8
Retail — Discount	0.8
Oil Companies — Exploration & Production	0.7
U.S. Government Agencies	0.7
Medical Labs & Testing Services	0.7
Retail — Misc./Diversified	0.7
Leisure Products	0.7
Computers — Periphery Equipment	0.7
Airport Development/Maintenance	0.7
Multimedia	0.7
Investment Management/Advisor Services	0.6
Athletic Equipment	0.6
Building — Heavy Construction	0.6
Food — Meat Products	0.6
Food — Catering	0.6
Hotels/Motels	0.6
Internet Content — Information/News	0.6
Transport — Services	0.5
Food — Confectionery	0.5
Toys	0.5
Television	0.5
Optical Supplies	0.5
Instruments — Controls	0.5
Veterinary Products	0.5
Transport — Marine	0.5


Medical — Biomedical/Gene			0.5
Distribution/Wholesale			0.5
Electronic Components — Semiconductors			0.5
Rubber/Plastic Products			0.4
Machinery — Construction & Mining			0.4
Power Converter/Supply Equipment			0.4
Containers — Paper/Plastic			0.4
Coatings/Paint			0.4
Insurance — Multi-line			0.4
Beverages — Non-alcoholic			0.4
Internet Financial Services			0.4
Aerospace/Defense			0.4
Beverages — Wine/Spirits			0.3
Transport — Truck			0.3
Enterprise Software/Service			0.3
Medical Instruments			0.3
Tobacco			0.3
Retail — Automobile			0.3
Food — Flour & Grain			0.3
Retail — Restaurants			0.3
Textile — Products			0.3
Diversified Manufacturing Operations			0.3
Containers — Metal/Glass			0.3
Audio/Video Products			0.3
Gas — Distribution			0.3
Aerospace/Defense — Equipment			0.3
Insurance Brokers			0.2
Metal Processors & Fabrication			0.2
Diversified Financial Services			0.2
Appliances			0.2
Finance — Commercial			0.2
Machine Tools & Related Products			0.2
Industrial Automated/Robotic			0.2
Oil Refining & Marketing			0.2
Telephone — Integrated			0.2
Electronic Measurement Instruments			0.2
Schools			0.2
E-Marketing/Info			0.2
Auto — Heavy Duty Trucks			0.2
Silver Mining			0.2
Insurance — Life/Health			0.2
Electronic Parts Distribution			0.2
Human Resources			0.2
Home Furnishings			0.2
Dental Supplies & Equipment			0.2
Theaters			0.2
Motorcycle/Motor Scooter			0.2
Hazardous Waste Disposal			0.2
Electric — Integrated			0.2
E-Commerce/Products			0.2
Building — Maintenance & Services			0.2
Electronic Connectors			0.2
MRI/Medical Diagnostic Imaging			0.1
Rental Auto/Equipment			0.1
Diversified Operations			0.1
Web Portals/ISP			0.1
Computers			0.1
Explosives			0.1
Medical — Hospitals			0.1
Casino Hotels			0.1
Publishing — Periodicals			0.1
Diversified Minerals			0.1
Water			0.1
Finance — Consumer Loans			0.1
Paper & Related Products			0.1
Cable/Satellite TV			0.1
Security Services			0.1
Chemicals — Plastics			0.1
Consumer Products — Misc.			0.1

Industry Allocation* (continued)


Medical — HMO	0.1	%
Agricultural Operations	0.1
Metal — Iron	0.1
Finance — Investment Banker/Broker	0.1
Instruments — Scientific	0.1
Medical — Wholesale Drug Distribution	0.1
Electric — Distribution	0.1
Circuit Boards	0.1
Medical Information Systems	0.1
Office Automation & Equipment	0.1
Retail — Auto Parts	0.1
Steel — Producers	0.1
Electronic Security Devices	0.1

	101.3	%

Country Allocation*


Japan	18.8	%
United Kingdom	12.7
Canada	6.9
Germany	5.9
United States	4.5
Brazil	3.9
Australia	3.8
France	3.7
Cayman Islands	3.6
Sweden	3.6
Norway	2.8
South Korea	2.8
Bermuda	2.6
Italy	2.2
Switzerland	2.0
Netherlands	1.9
India	1.8
Spain	1.7
Israel	1.6
Denmark	1.6
Austria	1.6
Ireland	1.4
Jersey	1.3
Finland	1.0
Taiwan	0.9
Singapore	0.9
Belgium	0.8
Indonesia	0.6
South Africa	0.6
Luxembourg	0.6
Mexico	0.6
Philippines	0.4
Faroe Islands	0.4
Hong Kong	0.3
Poland	0.3
Greece	0.2
Mauritius	0.2
Thailand	0.1
Portugal	0.1
Malaysia	0.1
Chile	0.1
New Zealand	0.1
Czech Republic	0.1
Colombia	0.1
China	0.1

	101.3	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 97.6%
Argentina — 0.0%
Banco Macro SA ADR		1,286	$	37,268

Australia — 3.8%
Afterpay, Ltd.†		280,384		6,158,474
Ansell, Ltd.		56,826		1,085,171
ARB Corp, Ltd.		33,077		364,727
ASX, Ltd.		11,684		556,202
AUB Group, Ltd.		104,389		946,887
Bapcor, Ltd.		81,710		306,850
Bingo Industries, Ltd.#		136,952		251,158
Iluka Resources, Ltd.		113,145		606,716
IMF Bentham, Ltd.		76,365		212,678
IPH, Ltd.		293,700		1,587,964
Orica, Ltd.		53,388		678,167
Ramsay Health Care, Ltd.		15,233		665,004
Reliance Worldwide Corp., Ltd.#		418,092		902,474
Ridley Corp., Ltd.		624,996		348,902
SEEK, Ltd.		27,662		366,649
Sonic Healthcare, Ltd.		53,818		997,548
Steadfast Group, Ltd.		299,297		717,292
Tabcorp Holdings, Ltd.		163,038		398,826
Technology One, Ltd.		441,173		2,234,921
Tyro Payments, Ltd.†		80,305		181,710
Webjet, Ltd.#		48,662		301,111
Westgold Resources, Ltd.†		1,262,972		1,689,196
WiseTech Global, Ltd.#		39,868		396,602

				21,955,229

Austria — 1.6%
CA Immobilien Anlagen AG		145,627		5,939,351
Mayr-Melnhof Karton AG		6,316		838,396
Vienna Insurance Group AG Wiener Versicherung Gruppe		88,172		2,147,759

				8,925,506

Belgium — 0.8%
Fagron		207,175		4,374,848

Bermuda — 2.6%
BW Offshore, Ltd.†		647,101		2,478,585
Cafe de Coral Holdings, Ltd.		680,000		1,488,217
Credicorp, Ltd.		4,923		892,392
Dairy Farm International Holdings, Ltd.		226,000		1,084,559
Esprit Holdings, Ltd.†		263,750		44,254
Geopark, Ltd.#		234,352		3,904,299
Hiscox, Ltd.		123,733		1,964,697
Midland Holdings, Ltd.†		1,838,000		259,227
Peace Mark Holdings, Ltd.†(1)		686,000		0
Shangri-La Asia, Ltd.		1,264,000		1,101,137
VTech Holdings, Ltd.		163,149		1,433,761

				14,651,128

Brazil — 3.9%
Anima Holding SA		117,730		947,758
Arezzo Industria e Comercio SA		219,655		2,952,048
BRF SA†		32,700		197,725
Cia Brasileira de Distribuicao (Preference Shares)		29,300		472,466
Cia de Saneamento Basico do Estado de Sao Paulo		20,900		274,576
Cogna Educacao		99,088		223,573
Construtora Tenda SA		526,204		4,126,652
Cyrela Brazil Realty SA Empreendimentos e Participacoes		513,054		3,422,349
Embraer SA ADR†		13,031		198,592
Engie Brasil Energia SA		31,200		331,612
Equatorial Energia SA		69,000		380,496
Fleury SA		54,865		365,121
Gerdau SA (Preference Shares)		76,900		291,133



Security Description	Shares		Value (Note 2)


Brazil (continued)
Linx SA		101,100	$	709,434
Localiza Rent a Car SA		58,749		650,825
Lojas Americanas SA (Preference Shares)		101,612		604,414
Lojas Renner SA		64,210		765,311
Magazine Luiza SA		40,700		459,797
Minerva SA†		1,065,980		2,769,894
Multiplan Empreendimentos Imobiliarios SA		138,644		946,223
Notre Dame Intermedica Participacoes SA		31,957		451,853
Odontoprev SA		104,000		383,497
Suzano SA		59,300		505,759

				22,431,108

Canada — 6.9%
Agnico Eagle Mines, Ltd.#		23,542		1,117,072
Aritzia, Inc.†		189,410		3,121,437
ATS Automation Tooling Systems, Inc.†		115,382		1,541,292
Capital Power Corp.		210,103		5,251,597
Descartes Systems Group, Inc.†		124,806		5,181,925
Dollarama, Inc.		76,927		2,261,531
Fortuna Silver Mines, Inc.†#		382,627		1,120,301
Granite Real Estate Investment Trust		72,190		3,676,056
Kinaxis, Inc.†		40,690		3,421,022
Quebecor, Inc., Class B		164,880		3,852,216
Seven Generations Energy, Ltd., Class A†		30,334		124,748
SSR Mining, Inc.†		439,989		6,883,791
TMX Group, Ltd.		21,298		1,772,546
TORC Oil & Gas, Ltd.#		32,789		79,881

				39,405,415

Cayman Islands — 3.6%
51job, Inc. ADR†		21,156		1,581,834
ASM Pacific Technology, Ltd.		67,600		815,692
China Literature, Ltd.†#*		66,000		300,616
China Resources Cement Holdings, Ltd.		3,310,000		4,195,137
Endeavour Mining Corp.†		167,492		2,957,393
Greentown Service Group Co., Ltd.		2,970,000		3,725,485
Haitian International Holdings, Ltd.		576,000		1,138,041
Lonking Holdings, Ltd.		3,139,000		881,556
Midland IC&I, Ltd.†		906,000		12,759
Pacific Textiles Holdings, Ltd.		1,655,000		1,036,137
Shenguan Holdings Group, Ltd.		552,000		20,837
Silicon Motion Technology Corp. ADR		26,818		998,166
Times China Holdings, Ltd.		874,000		1,633,104
Tingyi Cayman Islands Holding Corp.		828,000		1,505,377

				20,802,134

Chile — 0.1%
Aguas Andinas SA, Class A		888,887		304,313
Compania Cervecerias Unidas SA ADR		19,033		303,386

				607,699

China — 0.1%
Yunnan Baiyao Group Co., Ltd.		27,000		302,315

Colombia — 0.1%
Bancolombia SA ADR		8,111		385,110

Czech Republic — 0.1%
Komercni banka AS		14,282		438,404

Denmark — 1.6%
Carlsberg A/S, Class B		5,794		768,235
Demant A/S†		12,838		395,150
Dfds A/S		8,566		297,611
Jyske Bank A/S†#		25,643		884,170
Royal Unibrew A/S		74,179		6,384,343
Sydbank A/S		13,832		257,646

				8,987,155

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Faroe Islands — 0.4%
Bakkafrost P/F		35,526	$	2,243,716

Finland — 1.0%
Kojamo Oyj		154,287		2,913,405
Tikkurila Oyj		6,208		93,646
Valmet Oyj		111,373		2,665,505

				5,672,556

France — 3.7%
Alten SA		36,873		4,151,946
Cie Plastic Omnium SA		21,874		490,867
Elior Group SA*		32,606		410,117
Gaztransport Et Technigaz SA		32,917		2,933,913
Korian SA		112,628		5,152,273
Legrand SA		23,072		1,781,194
LISI		26,946		837,565
SEB SA		9,182		1,230,091
Sodexo SA#		7,273		705,697
SOITEC†		18,399		1,528,367
Somfy SA		2,759		258,613
Verallia SASU†*		7,877		276,028
Virbac SA†		5,402		1,229,109

				20,985,780

Germany — 5.9%
Amadeus Fire AG		7,812		1,091,642
Brenntag AG		18,926		845,201
CANCOM SE		14,856		726,872
CTS Eventim AG & Co. KGaA		62,515		3,306,519
Deutsche Wohnen SE		23,859		963,102
Evotec SE†#		155,999		3,745,136
Fuchs Petrolub SE (Preference Shares)		25,883		993,595
GEA Group AG		72,794		1,927,110
Gerresheimer AG		16,090		1,162,579
Hella GmbH & Co. KGaA		22,494		929,537
LEG Immobilien AG		39,071		4,668,654
MTU Aero Engines AG		6,136		1,499,541
Scout24 AG*		27,601		1,810,329
Symrise AG		40,540		3,948,555
TAG Immobilien AG		251,915		6,099,902

				33,718,274

Greece — 0.2%
Hellenic Telecommunications Organization SA		74,496		1,057,145

Hong Kong — 0.3%
China Resources Beer Holdings Co., Ltd.		130,000		605,869
Techtronic Industries Co., Ltd.		167,500		1,369,226

				1,975,095

India — 1.8%
Bharat Heavy Electricals, Ltd.		616,146		262,641
CESC, Ltd.		101,962		913,909
Dabur India, Ltd.		146,728		1,008,692
Embassy Office Parks REIT		105,200		640,551
Federal Bank, Ltd.		1,128,872		1,347,390
Hero MotoCorp, Ltd.		36,279		1,027,546
Mahindra & Mahindra, Ltd.		177,266		1,123,138
MOIL, Ltd.		259,642		433,245
PVR, Ltd.		38,854		1,035,754
Shriram Transport Finance Co., Ltd.		82,350		1,393,506
Spencer’s Retail, Ltd.†		30,842		39,855
Tata Consumer Products, Ltd.		277,120		1,337,298

				10,563,525



Security Description	Shares		Value (Note 2)


Indonesia — 0.6%
Astra Agro Lestari Tbk PT		654,500	$	448,313
Indocement Tunggal Prakarsa Tbk PT		859,200		902,177
Kalbe Farma Tbk PT		14,235,600		1,221,729
United Tractors Tbk PT		899,400		1,040,422

				3,612,641

Ireland — 1.4%
C&C Group PLC		250,416		1,051,805
DCC PLC		17,409		1,252,177
Flutter Entertainment PLC		21,223		2,264,877
Greencore Group PLC		55,932		150,842
Hibernia REIT PLC		1,770,829		2,383,676
Kerry Group PLC, Class A		9,041		1,138,600

				8,241,977

Israel — 1.6%
Bezeq The Israeli Telecommunication Corp., Ltd.†		258,258		188,922
Israel Discount Bank, Ltd., Class A		2,202,208		9,183,481

				9,372,403

Italy — 2.2%
Cembre SpA#		22,257		545,527
Cerved Group SpA		218,951		2,080,320
Davide Campari-Milano SpA		88,091		734,012
Enav SpA*		185,081		1,114,395
FinecoBank Banca Fineco SpA		106,410		1,125,455
Infrastrutture Wireless Italiane SpA*		59,012		607,166
Italgas SpA		233,405		1,427,622
Reply SpA		62,267		4,726,262

				12,360,759

Japan — 18.8%
ABC-Mart, Inc.#		7,700		443,612
Aeon Delight Co., Ltd.#		12,500		380,017
AEON Financial Service Co., Ltd.#		87,800		1,268,167
Air Water, Inc.		15,700		210,842
Amano Corp.		9,941		245,556
Anritsu Corp.#		385,600		6,295,742
Ariake Japan Co., Ltd.		6,000		385,968
As One Corp.#		6,600		494,996
Asante, Inc.		7,100		115,427
Bank of Kyoto, Ltd.		7,800		263,707
Chiba Bank, Ltd.		106,500		522,433
Comture Corp.		26,900		525,203
Cosmos Pharmaceutical Corp.		2,300		498,940
Daifuku Co., Ltd.#		129,700		7,667,510
Daikyonishikawa Corp.		13,987		78,119
Daiseki Co., Ltd.#		38,800		922,606
Daiwa Securities Group, Inc.		100,300		425,041
Doshisha Co., Ltd.		6,000		76,801
Eiken Chemical Co., Ltd.		30,000		534,561
Ezaki Glico Co., Ltd.		19,000		780,555
Fancl Corp.#		214,800		5,395,405
Fuji Seal International, Inc.		69,700		1,254,065
Fuji Soft, Inc.		13,600		454,663
Fujitec Co., Ltd.		21,600		299,089
Fujitsu General, Ltd.		22,000		436,554
Fukuda Denshi Co., Ltd.		400		25,005
Fukushima Galilei Co., Ltd.		7,900		251,191
Hamakyorex Co., Ltd.		5,900		153,355
Heian Ceremony Service Co., Ltd.#		15,300		120,445
Hirose Electric Co., Ltd.		3,700		391,548
Hogy Medical Co., Ltd.		3,400		97,308
Iriso Electronics Co., Ltd.#		9,200		319,304

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Japan (continued)
Japan Elevator Service Holdings Co., Ltd.		180,000	$	3,449,462
Japan Exchange Group, Inc.		6,100		102,193
Japan Pure Chemical Co., Ltd.		1,700		40,291
Jeol, Ltd.		15,800		413,936
JGC Holdings Corp.		10,760		131,349
JM Holdings Co., Ltd.		10,600		210,076
Kakaku.com, Inc.		12,200		260,662
Kansai Paint Co., Ltd.		43,600		949,260
Katitas Co., Ltd.		83,200		2,820,608
Kikkoman Corp.#		11,100		512,593
Kintetsu World Express, Inc.		11,600		181,014
Kobayashi Pharmaceutical Co., Ltd.		11,500		834,065
Koito Manufacturing Co., Ltd.		27,100		1,092,128
Lion Corp.		45,400		758,272
Matsumotokiyoshi Holdings Co., Ltd.		153,100		5,002,074
Meitec Corp.		15,600		734,354
Menicon Co., Ltd.		69,000		2,811,698
Milbon Co., Ltd.		6,900		336,993
Miraca Holdings, Inc.		4,200		105,443
MISUMI Group, Inc.		9,600		201,251
Mitsubishi Pencil Co., Ltd.		9,800		134,628
MonotaRO Co., Ltd.#		24,400		541,140
Morinaga & Co., Ltd.		18,500		733,043
Nabtesco Corp.		20,300		543,285
Nakanishi, Inc.		70,300		1,068,827
NGK Spark Plug Co., Ltd.		35,200		575,008
Nihon Kohden Corp.		21,900		661,029
Nihon Parkerizing Co., Ltd.		44,000		402,265
Nippon Television Holdings, Inc.		25,600		308,454
Nissei ASB Machine Co., Ltd.		6,400		203,055
Nitto Denko Corp.		6,000		299,167
NOF Corp.		7,500		239,441
Nohmi Bosai, Ltd.		15,200		284,241
Nomura Research Institute, Ltd.		96,000		2,131,744
NS Solutions Corp.		42,900		1,215,421
Obara Group, Inc.		5,400		144,013
OBIC Business Consultants Co., Ltd.		15,400		542,187
OBIC Co., Ltd.		67,400		8,284,239
Omron Corp.		8,700		467,818
Oracle Corp. Japan		10,200		795,515
Park24 Co., Ltd.		15,100		293,991
Proto Corp.		47,700		482,049
Rakuten, Inc.		5,000		41,695
Rinnai Corp.		3,800		256,967
Ryohin Keikaku Co., Ltd.#		60,900		827,114
S Foods, Inc.#		26,600		550,788
Sagami Rubber Industries Co., Ltd.		11,800		166,264
San-A Co, Ltd.		3,700		133,703
San-Ai Oil Co., Ltd.		41,700		362,703
Sankyu, Inc.		17,600		747,074
Santen Pharmaceutical Co., Ltd.		85,800		1,377,076
SCSK Corp.		14,700		776,452
Seino Holdings Co., Ltd.		125,100		1,350,575
Senko Group Holdings Co., Ltd.		28,100		205,412
Seria Co., Ltd.		11,000		291,999
SG Holdings Co., Ltd.		77,100		1,505,400
Shima Seiki Manufacturing, Ltd.#		8,000		124,990
Shimadzu Corp.		25,100		607,568
Shimamura Co., Ltd.		2,200		145,719
Shizuoka Bank, Ltd.		43,000		270,318
SK Kaken Co., Ltd.		2,900		1,202,339
SMS Co., Ltd.		172,300		3,383,728
Sohgo Security Services Co., Ltd.		10,300		481,170
Sony Financial Holdings, Inc.		36,800		732,560



Security Description	Shares		Value (Note 2)


Japan (continued)
Stanley Electric Co., Ltd.		36,600	$	889,277
Sundrug Co., Ltd.		23,500		732,495
T Hasegawa Co., Ltd.		59,700		1,113,199
Taisei Lamick Co, Ltd.		9,300		215,463
Taiyo Yuden Co., Ltd.#		102,500		2,846,468
Takasago International Corp.		6,900		131,145
TechnoPro Holdings, Inc.		130,500		7,739,186
Terumo Corp.		30,800		986,694
THK Co., Ltd.		9,600		217,987
Toshiba TEC Corp.		8,300		310,144
TOTO, Ltd.		6,100		229,990
Trancom Co., Ltd.		3,900		247,849
Unicharm Corp.		37,200		1,207,033
USS Co., Ltd.		95,700		1,508,456
Yamato Holdings Co., Ltd.		39,700		623,106
Zojirushi Corp.		13,600		209,203
Zuken, Inc.		12,900		258,466

				107,639,792

Jersey — 1.3%
boohoo Group PLC†		1,937,977		7,250,865
Breedon Group PLC†		372,593		412,524

				7,663,389

Luxembourg — 0.6%
B&M European Value Retail SA		144,612		622,278
Globant SA†		2,109		238,338
Solutions 30 SE†#		227,916		2,543,549

				3,404,165

Malaysia — 0.1%
Genting Bhd		557,100		654,143

Mauritius — 0.2%
MakeMyTrip, Ltd.†		45,594		1,049,118

Mexico — 0.6%
Arca Continental SAB de CV		80,088		441,475
Concentradora Fibra Danhos SA de CV		250,141		349,483
Genomma Lab Internacional SAB de CV, Class B†		420,047		431,080
Grupo Aeroportuario del Centro Norte SAB de CV		29,154		190,850
Grupo Aeroportuario del Pacifico SAB de CV, Class B		23,572		255,085
Grupo Aeroportuario del Sureste SAB de CV ADR		1,999		333,833
Grupo Financiero Inbursa SAB de CV, Class O		227,748		247,036
Grupo Lala SAB de CV#		220,759		163,974
Orbia Advance Corp SAB de CV		242,851		478,102
Prologis Property Mexico SA de CV		169,842		358,270

				3,249,188

Netherlands — 1.9%
Aalberts NV		24,147		914,824
ASM International NV		12,729		1,492,590
Euronext NV*		5,735		478,782
IMCD NV		36,115		2,961,515
Just Eat Takeaway (Euronext Amsterdam)†#*		25,047		2,201,447
Just Eat Takeaway (LSE)†*		23,079		2,016,609
Wolters Kluwer NV		8,468		622,375

				10,688,142

New Zealand — 0.1%
Freightways, Ltd.		49,848		226,113
Mainfreight, Ltd.		11,550		271,386

				497,499

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Norway — 2.8%
Aker Solutions ASA†		186,922	$	259,802
Leroy Seafood Group ASA		373,867		2,328,603
Mowi ASA		19,220		407,357
Norway Royal Salmon ASA		100,754		2,339,977
Scatec Solar ASA*		267,872		4,614,344
Tomra Systems ASA		191,670		6,099,780

				16,049,863

Philippines — 0.4%
Metropolitan Bank & Trust Co.		1,160,672		1,279,097
Universal Robina Corp.		347,830		974,220

				2,253,317

Poland — 0.3%
Dino Polska SA†*		40,509		1,486,939

Portugal — 0.1%
Galp Energia SGPS SA		17,247		236,747
NOS SGPS SA		124,900		497,142

				733,889

Singapore — 0.9%
Ascendas India Trust		683,500		811,539
City Developments, Ltd.		207,900		1,457,600
Singapore Technologies Engineering, Ltd.		527,700		1,595,387
Venture Corp., Ltd.		116,363		1,394,195

				5,258,721

South Africa — 0.6%
AVI, Ltd.		171,175		803,314
Clicks Group, Ltd.		180,781		2,790,181

				3,593,495

South Korea — 2.8%
Doosan Bobcat, Inc.		47,012		1,113,019
Douzone Bizon Co., Ltd.		62,397		4,448,132
LG Innotek Co., Ltd.		27,940		3,068,651
Lock&Lock Co., Ltd.†#		45,516		453,500
LS Industrial Systems Co., Ltd.		28,268		1,020,403
Orion Corp.		18,679		1,464,120
Samsung Fire & Marine Insurance Co., Ltd.		7,184		1,170,165
TK Corp.		35,312		255,238
WONIK IPS Co., Ltd.†		108,492		2,823,656

				15,816,884

Spain — 1.7%
Aena SME SA*		2,571		413,849
Amadeus IT Group SA		71,176		5,043,014
Cellnex Telecom SA*		64,000		3,131,377
CEMEX Latam Holdings SA†		81,877		83,292
Viscofan SA		18,200		980,756

				9,652,288

Sweden — 3.6%
Embracer Group AB†		295,125		2,881,088
Essity AB, Class B		45,769		1,372,514
Evolution Gaming Group AB*		262,728		9,624,207
Karnov Group AB†		53,165		288,337
MIPS AB		169,859		3,868,305
Saab AB, Series B		10,601		290,100
Swedish Match AB		27,594		1,615,235
Thule Group AB*		29,382		641,262

				20,581,048



Security Description	Shares		Value (Note 2)


Switzerland — 2.0%
DKSH Holding AG		2,167	$	123,288
Dufry AG		4,928		360,452
Julius Baer Group, Ltd.		18,426		774,060
Kardex AG		3,817		600,821
Logitech International SA		99,721		3,906,771
SIG Combibloc Group AG		17,145		255,706
Sika AG		16,196		2,893,649
Sonova Holding AG		5,415		1,296,775
Temenos AG		4,577		658,764
VAT Group AG*		3,550		487,098

				11,357,384

Taiwan — 0.9%
Advantech Co., Ltd.		72,256		685,927
E.Sun Financial Holding Co., Ltd.		1,562,013		1,475,160
Kindom Development Co., Ltd.		1,246,000		1,049,877
PChome Online, Inc.†		208,932		724,481
Tripod Technology Corp.		105,000		361,419
Voltronic Power Technology Corp.		50,547		1,159,238

				5,456,102

Thailand — 0.1%
AEON Thana Sinsap Thailand PCL		117,600		516,165
PTT Global Chemical PCL		261,100		341,321

				857,486

Turkey — 0.0%
Selcuk Ecza Deposu Ticaret ve Sanayi AS		90,111		95,765

United Kingdom — 12.7%
Abcam PLC		148,331		2,209,369
Admiral Group PLC		15,091		412,147
Ashtead Group PLC		8,492		265,811
Auto Trader Group PLC*		228,660		1,543,017
Babcock International Group PLC		65,861		381,835
Beazley PLC		226,739		1,560,341
Bellway PLC		18,091		872,490
Big Yellow Group PLC		36,180		496,228
Britvic PLC		30,971		339,738
Bunzl PLC		45,822		1,113,782
Burberry Group PLC		26,542		579,839
Cairn Energy PLC†		113,936		206,651
Coats Group PLC		569,504		434,614
Compass Group PLC		109,899		2,412,899
Countryside Properties PLC*		678,623		4,137,800
Croda International PLC		80,072		4,695,474
Dechra Pharmaceuticals PLC		45,488		1,562,798
Electrocomponents PLC		140,273		1,104,947
Elementis PLC		40,688		53,742
EMIS Group PLC		23,113		339,650
Essentra PLC		271,244		1,257,410
Forterra PLC*		170,054		720,785
Future PLC		169,907		2,543,778
GB Group PLC		395,214		3,323,851
Greggs PLC		66,004		1,779,763
Halma PLC		48,914		1,219,861
Hargreaves Lansdown PLC		36,395		728,920
Howden Joinery Group PLC		130,290		1,080,397
Ibstock PLC*		136,876		486,899
IG Group Holdings PLC		58,678		508,742
IMI PLC		41,384		542,855
Intertek Group PLC		29,121		1,987,988
Keywords Studios PLC		162,304		3,261,889
Meggitt PLC		70,058		491,155
Moneysupermarket.com Group PLC		287,233		1,152,074
PZ Cussons PLC		17,218		39,373

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares/ Principal Amount		Value (Note 2)

COMMON STOCKS (continued)
United Kingdom (continued)
QinetiQ Group PLC		894,292	$	3,996,686
Rathbone Brothers PLC		40,148		859,454
Rightmove PLC		346,577		2,772,377
Rotork PLC		761,647		2,801,057
Schroders PLC		48,342		1,777,682
Shaftesbury PLC		55,904		571,972
Smith & Nephew PLC		78,484		1,757,335
Spectris PLC		14,449		508,875
Spirax-Sarco Engineering PLC		10,703		1,165,213
SSP Group PLC		61,206		398,675
Stagecoach Group PLC		111,285		185,156
Tate & Lyle PLC		20,780		189,656
TechnipFMC PLC		6,371		96,315
UNITE Group PLC		375,155		5,484,141
Vistry Group PLC		187,234		3,085,254
Weir Group PLC		27,706		469,693
Whitbread PLC		13,279		669,377

				72,637,830

United States — 0.8%
Autoliv, Inc. SDR		3,432		236,393
Gran Tierra Energy, Inc.†#		106,006		81,346
SolarEdge Technologies, Inc.†		32,735		4,082,709

				4,400,448

Total Long-Term Investment Securities
(cost $494,907,796)				558,184,085

SHORT-TERM INVESTMENT SECURITIES — 1.9%
Registered Investment Companies — 1.2%
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(2)(3)		6,782,915		6,782,915

U.S. Government Agencies — 0.7%
Federal Home Loan Bank Disc. Notes 1.34% due 03/02/2020	$	4,259,000		4,259,000

Total Short-Term Investment Securities
(cost $11,041,759)				11,041,915



Security Description	Shares/ Principal Amount			Value (Note 2)

REPURCHASE AGREEMENTS — 1.8%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.25%, dated 02/28/2020, to be repurchased 03/02/2020 in the amount of $10,431,217 and collateralized by $10,420,000 of United States Treasury Notes, bearing interest at 2.13% due 12/31/2021 and having an approximate value of $10,640,216 (cost $10,431,000)	$	10,431,000		$	10,431,000

TOTAL INVESTMENTS
(cost $516,380,555)(4)		101.3	%		579,657,000
Liabilities in excess of other assets		(1.3	)		(7,337,554	)

NET ASSETS		100.0	%	$	572,319,446

†	Non-income producing security

#	The security or a portion thereof is out on loan (see Note 2).

(1)	Securities classified as Level 3 (see Note 2).

(2)

At February 29, 2020, the Fund had loaned securities with a total value of $29,002,770. This was secured by collateral of $6,782,915, which was received in cash and subsequently invested in short-term investments currently valued at $6,782,915 as reported in the Portfolio of Investments. Additional collateral of $23,787,782 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
United States Treasury Bills	0.00%	03/12/2020 to 07/30/2020	$	67,586
United States Treasury Notes/Bonds	0.13% to 8.75%	03/31/2020 to 05/15/2049		23,720,196

(3)	The rate shown is the 7-day yield as of February 29, 2020.

(4)	See Note 5 for cost of investments on a tax basis.

ADR—American Depositary Receipt

Euronext Amsterdam—Euronext Stock Exchange, Amsterdam

LSE—London Stock Exchange

SDR—Swedish Depositary Receipt

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

At the beginning and the end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.

Industry Allocation*


Diversified Banking Institutions	10.8	%
Insurance — Property/Casualty	5.6
Insurance — Multi-line	4.8
Electric — Integrated	4.7
Medical — Drugs	3.9
Oil Companies — Exploration & Production	3.2
Electronic Components — Semiconductors	3.0
Agricultural Chemicals	3.0
Oil Refining & Marketing	3.0
Aerospace/Defense — Equipment	3.0
Medical Instruments	2.6
Building Products — Cement	2.6
Real Estate Investment Trusts	2.4
Web Portals/ISP	2.4
Banks — Super Regional	2.2
Cosmetics & Toiletries	2.0
Finance — Investment Banker/Broker	1.9
Diversified Manufacturing Operations	1.8
Medical — Biomedical/Gene	1.6
Drug Delivery Systems	1.6
Finance — Credit Card	1.3
Medical — HMO	1.3
Aerospace/Defense	1.2
Banks — Commercial	1.1
Insurance Brokers	1.0
Oil — Field Services	1.0
Medical Labs & Testing Services	1.0
Transport — Rail	0.9
Airlines	0.9
Auto — Cars/Light Trucks	0.9
Semiconductor Equipment	0.9
Food — Misc./Diversified	0.9
Metal — Copper	0.8
Beverages — Non-alcoholic	0.8
Casino Hotels	0.8
Agricultural Operations	0.8
Tobacco	0.8
Enterprise Software/Service	0.7
Commercial Services	0.7
Computer Services	0.7
Semiconductor Components — Integrated Circuits	0.7
Building — Residential/Commercial	0.7
Gold Mining	0.7
Pharmacy Services	0.7
Telecom Equipment — Fiber Optics	0.7
Investment Management/Advisor Services	0.7
Broadcast Services/Program	0.6
Computer Software	0.6
Oil Companies — Integrated	0.6
Apparel Manufacturers	0.6
Machinery — Pumps	0.6
Internet Security	0.5
Computers	0.5
Banks — Fiduciary	0.5
Computers — Memory Devices	0.5
Agricultural Biotech	0.5
Instruments — Controls	0.5
Building & Construction Products — Misc.	0.5
Chemicals — Diversified	0.4
Advertising Agencies	0.4
Entertainment Software	0.4
Exchange-Traded Funds	0.4
Office Automation & Equipment	0.4
Insurance — Reinsurance	0.4
Chemicals — Specialty	0.3
Internet Infrastructure Software	0.3
Computer Data Security	0.3
Commercial Services — Finance	0.3
Non-Hazardous Waste Disposal	0.3


Networking Products	0.2
Retail — Drug Store	0.2
Auto/Truck Parts & Equipment — Original	0.2
Electronic Measurement Instruments	0.2
Transport-Services	0.1

	100.1	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 98.7%
Advertising Agencies — 0.4%
Omnicom Group, Inc.		13,860	$	960,221

Aerospace/Defense — 1.2%
Northrop Grumman Corp.		5,249		1,726,081
Raytheon Co.		6,854		1,292,390

				3,018,471

Aerospace/Defense - Equipment — 3.0%
L3Harris Technologies, Inc.		10,962		2,167,516
United Technologies Corp.		41,696		5,445,081

				7,612,597

Agricultural Biotech — 0.5%
Corteva, Inc.		46,855		1,274,456

Agricultural Chemicals — 3.0%
CF Industries Holdings, Inc.		132,012		4,865,962
Mosaic Co.		106,538		1,814,342
Nutrien, Ltd.		25,315		1,023,486

				7,703,790

Agricultural Operations — 0.8%
Archer-Daniels-Midland Co.		53,199		2,002,942

Airlines — 0.9%
Delta Air Lines, Inc.		52,655		2,428,975

Apparel Manufacturers — 0.6%
PVH Corp.		20,108		1,490,204

Auto - Cars/Light Trucks — 0.9%
General Motors Co.		78,998		2,409,439

Auto/Truck Parts & Equipment - Original — 0.2%
Aptiv PLC		6,051		472,644

Banks - Commercial — 1.1%
Citizens Financial Group, Inc.		39,988		1,267,220
M&T Bank Corp.		10,891		1,528,878

				2,796,098

Banks - Fiduciary — 0.5%
State Street Corp.		19,666		1,339,451

Banks - Super Regional — 2.2%
Fifth Third Bancorp		28,808		702,915
PNC Financial Services Group, Inc.		12,108		1,530,451
US Bancorp		45,187		2,098,484
Wells Fargo & Co.		30,244		1,235,468

				5,567,318

Beverages - Non-alcoholic — 0.8%
PepsiCo, Inc.		15,570		2,055,707

Broadcast Services/Program — 0.6%
Fox Corp., Class B		54,125		1,648,106

Building & Construction Products - Misc. — 0.5%
Louisiana-Pacific Corp.		40,625		1,155,781

Building Products - Cement — 2.6%
Martin Marietta Materials, Inc.		14,442		3,285,988
Vulcan Materials Co.		28,001		3,367,400

				6,653,388

Building - Residential/Commercial — 0.7%
Lennar Corp., Class A		30,682		1,851,352

Casino Hotels — 0.8%
Las Vegas Sands Corp.		34,937		2,037,176



Security Description	Shares		Value (Note 2)


Chemicals - Diversified — 0.4%
DuPont de Nemours, Inc.		26,198	$	1,123,894

Chemicals - Specialty — 0.3%
W.R. Grace & Co.		15,436		873,060

Commercial Services — 0.7%
Quanta Services, Inc.		50,101		1,910,351

Commercial Services - Finance — 0.3%
Global Payments, Inc.		3,797		698,534

Computer Data Security — 0.3%
Check Point Software Technologies, Ltd.†		7,942		824,380

Computer Services — 0.7%
International Business Machines Corp.		14,646		1,906,177

Computer Software — 0.6%
Citrix Systems, Inc.		15,376		1,589,725

Computers — 0.5%
Apple, Inc.		4,977		1,360,513

Computers - Memory Devices — 0.5%
Western Digital Corp.		23,626		1,312,661

Cosmetics & Toiletries — 2.0%
Colgate-Palmolive Co.		38,386		2,593,742
Procter & Gamble Co.		5,481		620,614
Unilever PLC ADR#		33,866		1,826,393

				5,040,749

Diversified Banking Institutions — 9.8%
Bank of America Corp.		125,885		3,587,723
Citigroup, Inc.		65,244		4,140,384
Goldman Sachs Group, Inc.		22,172		4,451,472
JPMorgan Chase & Co.		75,711		8,790,804
Morgan Stanley		96,555		4,347,872

				25,318,255

Diversified Manufacturing Operations — 1.8%
3M Co.		1,849		274,607
Carlisle Cos., Inc.		5,369		780,062
Eaton Corp. PLC		21,089		1,913,194
Trane Technologies PLC		12,056		1,555,707

				4,523,570

Drug Delivery Systems — 1.6%
Becton Dickinson and Co.		16,888		4,016,304

Electric - Integrated — 4.7%
Edison International		26,756		1,797,735
Entergy Corp.		13,791		1,612,306
Evergy, Inc.		29,782		1,946,254
PPL Corp.		223,929		6,720,109

				12,076,404

Electronic Components - Semiconductors — 3.0%
Broadcom, Inc.		5,071		1,382,456
Intel Corp.		63,574		3,529,629
Microchip Technology, Inc.#		15,513		1,407,184
Micron Technology, Inc.†		27,477		1,444,191

				7,763,460

Electronic Measurement Instruments — 0.2%
Agilent Technologies, Inc.		5,235		403,461

Enterprise Software/Service — 0.7%
Oracle Corp.		38,860		1,922,016

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Entertainment Software — 0.4%
Electronic Arts, Inc.†		9,419	$	954,804

Finance - Credit Card — 1.3%
Capital One Financial Corp.		24,944		2,201,558
Discover Financial Services		18,428		1,208,508

				3,410,066

Finance - Investment Banker/Broker — 1.9%
Charles Schwab Corp.		72,211		2,942,598
E*TRADE Financial Corp.		41,442		1,897,215

				4,839,813

Food - Misc./Diversified — 0.9%
Conagra Brands, Inc.		42,521		1,134,886
Kellogg Co.		18,628		1,126,435

				2,261,321

Gold Mining — 0.7%
Newmont Corp.		40,921		1,826,304

Instruments - Controls — 0.5%
Honeywell International, Inc.		7,213		1,169,732

Insurance Brokers — 1.0%
Willis Towers Watson PLC		14,126		2,673,345

Insurance - Multi-line — 4.8%
Chubb, Ltd.		32,162		4,664,455
Hartford Financial Services Group, Inc.		80,015		3,996,749
Voya Financial, Inc.#		67,767		3,567,255

				12,228,459

Insurance - Property/Casualty — 5.6%
Assurant, Inc.		22,104		2,665,521
Berkshire Hathaway, Inc., Class B†		56,957		11,752,508

				14,418,029

Insurance - Reinsurance — 0.4%
RenaissanceRe Holdings, Ltd.		5,354		912,322

Internet Infrastructure Software — 0.3%
F5 Networks, Inc.†		7,249		869,518

Internet Security — 0.5%
Proofpoint, Inc.†		13,060		1,392,849

Investment Management/Advisor Services — 0.7%
LPL Financial Holdings, Inc.		21,969		1,746,096

Machinery - Pumps — 0.6%
Ingersoll Rand, Inc.†#		43,687		1,432,497

Medical Instruments — 2.6%
Alcon, Inc.†		17,112		1,048,966
Medtronic PLC		57,085		5,746,747

				6,795,713

Medical Labs & Testing Services — 1.0%
Laboratory Corp. of America Holdings†		14,018		2,462,822

Medical - Biomedical/Gene — 1.6%
Biogen, Inc.†		4,759		1,467,628
Gilead Sciences, Inc.		37,190		2,579,498

				4,047,126

Medical - Drugs — 3.9%
AbbVie, Inc.		23,359		2,002,100
Bristol-Myers Squibb Co.		24,253		1,432,382
Eli Lilly & Co.		7,501		946,101
Johnson & Johnson		16,452		2,212,465



Security Description	Shares		Value (Note 2)


Medical - Drugs (continued)
Merck & Co., Inc.		20,037	$	1,534,033
Pfizer, Inc.		59,771		1,997,547

				10,124,628

Medical - HMO — 1.3%
Anthem, Inc.		7,359		1,891,925
Humana, Inc.		4,385		1,401,797

				3,293,722

Metal - Copper — 0.8%
Freeport-McMoRan, Inc.		212,008		2,111,600

Networking Products — 0.2%
Cisco Systems, Inc.		13,174		526,038

Non-Hazardous Waste Disposal — 0.3%
Republic Services, Inc.		7,551		681,553

Office Automation & Equipment — 0.4%
Zebra Technologies Corp., Class A†		4,476		944,302

Oil Companies - Exploration & Production — 3.2%
Concho Resources, Inc.		11,758		799,779
ConocoPhillips		18,473		894,463
Hess Corp.		81,781		4,594,457
Pioneer Natural Resources Co.		15,871		1,948,641

				8,237,340

Oil Companies - Integrated — 0.6%
Chevron Corp.		16,834		1,571,286

Oil Refining & Marketing — 3.0%
Marathon Petroleum Corp.		107,026		5,075,173
Phillips 66		34,309		2,568,372

				7,643,545

Oil - Field Services — 1.0%
Apergy Corp.†		48,237		897,208
Schlumberger, Ltd.		61,960		1,678,497

				2,575,705

Pharmacy Services — 0.7%
Cigna Corp.		5,051		924,030
CVS Health Corp.		14,716		870,893

				1,794,923

Real Estate Investment Trusts — 2.4%
Camden Property Trust		6,796		720,240
Equity Residential		19,435		1,459,568
Public Storage		8,718		1,823,108
Weyerhaeuser Co.		87,269		2,267,249

				6,270,165

Retail - Drug Store — 0.2%
Walgreens Boots Alliance, Inc.		10,621		486,017

Semiconductor Components - Integrated Circuits — 0.7%
QUALCOMM, Inc.		24,284		1,901,437

Semiconductor Equipment — 0.9%
Applied Materials, Inc.		41,125		2,390,185

Telecom Equipment - Fiber Optics — 0.7%
Corning, Inc.		74,027		1,766,284

Tobacco — 0.8%
Philip Morris International, Inc.		24,051		1,969,055

Transport - Rail — 0.9%
Union Pacific Corp.		15,225		2,433,107

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares/ Principal Amount			Value (Note 2)

COMMON STOCKS (continued)
Transport - Services — 0.1%
United Parcel Service, Inc., Class B		3,791		$	343,199

Web Portals/ISP — 2.4%
Alphabet, Inc., Class A†		4,533			6,070,820

Total Common Stocks
(cost $263,410,595)					253,717,357

EXCHANGE-TRADED FUNDS — 0.4%
iShares Russell 1000 Value ETF (cost $1,063,795)		7,768			941,093

Total Long-Term Investment Securities
(cost $264,474,390)					254,658,450

SHORT-TERM INVESTMENT SECURITIES — 1.0%
Commercial Paper — 1.0%
Credit Agricole Corporate and Investment Bank 1.58% due 03/02/2020 (cost $2,599,888)	$	2,600,000			2,599,651

TOTAL INVESTMENTS
(cost $267,074,278)(1)		100.1	%		257,258,101
Liabilities in excess of other assets		(0.1	)		(148,122	)

NET ASSETS		100.0	%	$	257,109,979

†	Non-income producing security

#	The security or a portion thereof is out on loan (see Note 2).

At February 29, 2020, the Fund had loaned securities with a total value of $6,278,846. This was secured by collateral of $6,709,975 received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
United States Treasury Bills	0.00%	03/12/2020 to 05/21/2020	$	118,937
United States Treasury Notes/Bonds	0.13% to 8.00%	03/31/2020 to 11/15/2049		6,591,038

(1)	See Note 5 for cost of investments on a tax basis.

ADR—American Depositary Receipt

ETF—Exchange-Traded Funds

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 100.2%
Aerospace/Defense - Equipment — 0.6%
HEICO Corp., Class A		15,356	$	1,356,396

Apparel Manufacturers — 2.5%
Carter’s, Inc.		27,806		2,543,415
PVH Corp.		29,082		2,155,267
Under Armour, Inc., Class C†		78,331		977,571

				5,676,253

Applications Software — 1.1%
PTC, Inc.†		32,351		2,444,118

Athletic Equipment — 1.0%
YETI Holdings, Inc.†#		71,893		2,174,763

Auto - Heavy Duty Trucks — 0.8%
PACCAR, Inc.		26,993		1,805,832

Banks - Commercial — 5.3%
Cullen/Frost Bankers, Inc.#		24,078		1,887,474
First Citizens BancShares, Inc., Class A		3,936		1,784,228
First Republic Bank		26,103		2,625,179
M&T Bank Corp.		14,788		2,075,939
Prosperity Bancshares, Inc.		32,103		2,073,854
South State Corp.		21,706		1,478,613

				11,925,287

Banks - Fiduciary — 0.9%
Northern Trust Corp.		22,394		1,965,297

Building Products-Air & Heating — 1.5%
Lennox International, Inc.		14,849		3,387,502

Building - Residential/Commercial — 1.8%
NVR, Inc.†		1,112		4,077,904

Cable/Satellite TV — 1.3%
Cable One, Inc.		1,874		2,947,840

Commercial Services — 1.7%
Cintas Corp.		263		70,153
CoStar Group, Inc.†		3,780		2,523,490
Healthcare Services Group, Inc.		48,395		1,332,798

				3,926,441

Commercial Services-Finance — 3.3%
TransUnion		25,013		2,224,156
WEX, Inc.†		27,934		5,230,362

				7,454,518

Computer Aided Design — 0.8%
Aspen Technology, Inc.†		17,293		1,841,877

Computer Services — 3.5%
EPAM Systems, Inc.†		10,306		2,300,299
Genpact, Ltd.		146,092		5,618,699

				7,918,998

Computer Software — 1.9%
Akamai Technologies, Inc.†		25,177		2,178,063
Teradata Corp.†		110,246		2,198,305

				4,376,368

Computers - Other — 1.7%
Lumentum Holdings, Inc.†		47,843		3,723,142

Containers - Metal/Glass — 2.0%
Ball Corp.		44,110		3,107,990
Silgan Holdings, Inc.		48,879		1,399,406

				4,507,396



Security Description	Shares		Value (Note 2)


Containers - Paper/Plastic — 0.7%
Packaging Corp. of America		17,481	$	1,584,128

Data Processing/Management — 1.2%
Fair Isaac Corp.†		7,242		2,723,209

Diagnostic Equipment — 0.7%
Repligen Corp.†		18,946		1,621,778

Disposable Medical Products — 1.1%
Teleflex, Inc.		7,163		2,399,748

Distribution/Wholesale — 3.8%
Fastenal Co.		67,610		2,313,614
IAA, Inc.†		56,039		2,393,986
KAR Auction Services, Inc.#		115,744		2,228,072
Watsco, Inc.		10,627		1,668,227

				8,603,899

E-Commerce/Products — 1.5%
Etsy, Inc.†		40,264		2,327,662
Wayfair, Inc., Class A†#		16,429		1,038,477

				3,366,139

E-Commerce/Services — 1.0%
Cargurus, Inc.†#		54,614		1,392,111
GrubHub, Inc.†#		15,868		763,409

				2,155,520

E-Services/Consulting — 0.9%
CDW Corp.		17,274		1,973,036

Electric - Integrated — 0.6%
Black Hills Corp.		17,233		1,244,223

Electronic Components-Semiconductors — 2.1%
Monolithic Power Systems, Inc.		17,512		2,778,104
Silicon Laboratories, Inc.†		22,672		2,010,553

				4,788,657

Electronic Measurement Instruments — 1.1%
National Instruments Corp.		58,708		2,364,758

Enterprise Software/Service — 5.6%
Alteryx, Inc., Class A†#		13,030		1,819,249
Black Knight, Inc.†		45,595		3,041,642
Blackbaud, Inc.		34,428		2,334,218
Guidewire Software, Inc.†		26,934		2,952,236
Veeva Systems, Inc., Class A†		16,581		2,354,005

				12,501,350

Finance - Auto Loans — 1.2%
Credit Acceptance Corp.†#		6,502		2,621,606

Firearms & Ammunition — 1.4%
Axon Enterprise, Inc.†		40,556		3,137,818

Food - Wholesale/Distribution — 0.8%
Performance Food Group Co.†		43,941		1,863,098

Funeral Services & Related Items — 1.8%
Service Corp. International		83,669		3,998,542

Gas - Distribution — 1.6%
NiSource, Inc.		34,503		932,271
UGI Corp.		73,818		2,660,401

				3,592,672

Healthcare Safety Devices — 1.0%
Tandem Diabetes Care, Inc.†		30,324		2,263,990

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Hotels/Motels — 2.3%
Choice Hotels International, Inc.		39,672	$	3,621,260
Hyatt Hotels Corp., Class A		19,940		1,527,404

				5,148,664

Instruments - Controls — 0.7%
Mettler-Toledo International, Inc.†		2,323		1,630,049

Insurance - Property/Casualty — 5.1%
Alleghany Corp.		2,427		1,631,551
Erie Indemnity Co., Class A		5,069		724,462
Fidelity National Financial, Inc.		41,182		1,596,214
Markel Corp.†		3,384		3,998,534
White Mountains Insurance Group, Ltd.		1,918		1,899,012
WR Berkley Corp.		25,589		1,718,045

				11,567,818

Internet Content - Entertainment — 0.5%
Roku, Inc.†#		10,049		1,142,270

Internet Infrastructure Software — 1.1%
F5 Networks, Inc.†		20,656		2,477,687

Lasers - System/Components — 2.6%
Coherent, Inc.†		20,890		2,688,752
II-VI, Inc.†#		105,367		3,128,346

				5,817,098

Machine Tools & Related Products — 1.0%
Lincoln Electric Holdings, Inc.		27,734		2,271,137

Machinery - General Industrial — 1.6%
IDEX Corp.		24,104		3,567,392

Machinery - Pumps — 1.3%
Ingersoll Rand, Inc.†#		92,263		3,025,304

Medical Instruments — 3.6%
Bio-Techne Corp.		13,947		2,634,449
Integra LifeSciences Holdings Corp.†		49,967		2,603,281
NuVasive, Inc.†		44,836		2,950,657

				8,188,387

Medical Products — 4.9%
Hill-Rom Holdings, Inc.		27,581		2,649,155
Masimo Corp.†		19,651		3,209,598
STERIS PLC		13,910		2,206,404
Varian Medical Systems, Inc.†		23,755		2,921,152

				10,986,309

Medical-Biomedical/Gene — 3.0%
Alnylam Pharmaceuticals, Inc.†		19,220		2,261,425
Apellis Pharmaceuticals, Inc.†		30,935		1,070,970
Ionis Pharmaceuticals, Inc.†		39,807		2,021,399
PTC Therapeutics, Inc.†		24,228		1,328,664

				6,682,458

Medical - Drugs — 2.6%
Aerie Pharmaceuticals, Inc.†#		51,577		902,598
PRA Health Sciences, Inc.†		29,244		2,754,785
Reata Pharmaceuticals, Inc., Class A†		11,699		2,278,380

				5,935,763

Multimedia — 0.5%
FactSet Research Systems, Inc.		4,291		1,141,363

Oil Companies - Exploration & Production — 0.3%
WPX Energy, Inc.†		64,377		600,637

Physical Therapy/Rehabilitation Centers — 1.2%
Encompass Health Corp.		35,291		2,641,178



Security Description	Shares/ Principal Amount			Value (Note 2)


Real Estate Investment Trusts — 1.5%
Douglas Emmett, Inc.		41,607		$	1,588,555
Equity Commonwealth		56,005			1,761,918

					3,350,473

Real Estate Management/Services — 1.0%
Redfin Corp.†		80,548			2,179,629

Rental Auto/Equipment — 0.9%
AMERCO		6,105			1,968,924

Retail-Automobile — 0.9%
CarMax, Inc.†		23,836			2,081,121

Semiconductor Equipment — 1.3%
MKS Instruments, Inc.		29,927			2,998,386

Telecommunication Equipment — 0.7%
CommScope Holding Co., Inc.†		143,715			1,582,302

Web Hosting/Design — 1.8%
Q2 Holdings, Inc.†#		23,161			1,745,645
VeriSign, Inc.†		11,664			2,213,244

					3,958,889

Total Long-Term Investment Securities
(cost $213,014,156)					225,257,341

SHORT-TERM INVESTMENT SECURITIES — 0.7%
Registered Investment Companies — 0.7%
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(1)(3) (cost $1,695,826)		1,695,826			1,695,826

REPURCHASE AGREEMENTS — 0.1%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.25%, dated 02/28/2020, to be repurchased 03/02/2020 in the amount of $197,004 and collateralized by $200,000 of United States Treasury Notes, bearing interest at 2.13%, due 12/31/2021 and having an approximate value of $204,227 (cost $197,000)	$	197,000			197,000

TOTAL INVESTMENTS
(cost $214,906,982)(2)		101.0	%		227,150,167
Liabilities in excess of other assets		(1.0	)		(2,245,408	)

NET ASSETS		100.0	%	$	224,904,759

†	Non-income producing security

#	The security or a portion thereof is out on loan (see Note 2).

(1)

At February 29, 2020, the Fund had loaned securities with a total value of $18,158,150. This was secured by collateral of $1,695,826, which was received in cash and subsequently invested in short-term investments currently valued at $1,695,826 as reported in the Portfolio of Investments. Additional collateral of $16,867,938 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
United States Treasury Bills	0.00%	03/12/2020 to 06/18/2020	$	326,086
United States Treasury Notes/Bonds	0.13% to 8.75%	03/31/2020 to 11/15/2049		16,541,852

(2)	See Note 5 for cost of investments on a tax basis.

(3)	The rate shown is the 7-day yield as of February 29, 2020.

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

Industry Allocation*


Real Estate Investment Trusts	10.4	%
Banks — Commercial	5.8
Electric — Integrated	4.9
Insurance — Property/Casualty	3.6
Computer Services	2.8
Machinery — Pumps	2.5
Chemicals — Diversified	2.3
Oil Companies — Exploration & Production	2.2
Banks — Super Regional	2.2
Insurance — Multi-line	2.1
Medical Products	2.0
Diversified Manufacturing Operations	2.0
Semiconductor Equipment	1.9
Medical — HMO	1.7
Medical Labs & Testing Services	1.6
Steel — Producers	1.5
Aerospace/Defense — Equipment	1.4
Oil Refining & Marketing	1.3
Machine Tools & Related Products	1.3
Hotels/Motels	1.3
Insurance — Reinsurance	1.2
Finance — Consumer Loans	1.2
Insurance Brokers	1.1
Airlines	1.1
Insurance — Life/Health	1.1
Building & Construction Products — Misc.	1.1
Entertainment Software	1.0
Electronic Components — Semiconductors	1.0
Building — Residential/Commercial	1.0
Computers — Other	1.0
Repurchase Agreements	0.9
Investment Management/Advisor Services	0.9
Medical — Hospitals	0.9
Physical Therapy/Rehabilitation Centers	0.9
Food — Misc./Diversified	0.9
Finance — Credit Card	0.8
Electric Products — Misc.	0.8
Electronic Components — Misc.	0.8
Containers — Metal/Glass	0.7
Medical — Wholesale Drug Distribution	0.7
Hazardous Waste Disposal	0.7
Food — Wholesale/Distribution	0.7
Casino Hotels	0.7
Commercial Services — Finance	0.7
Registered Investment Companies	0.7
Electronic Connectors	0.7
Chemicals — Specialty	0.6
Data Processing/Management	0.6
Savings & Loans/Thrifts	0.6
Footwear & Related Apparel	0.6
Transport — Rail	0.6
Auto/Truck Parts & Equipment — Original	0.6
Lasers — System/Components	0.6
Agricultural Biotech	0.6
Cellular Telecom	0.6
Retail — Auto Parts	0.6
Diagnostic Kits	0.6
Retail — Apparel/Shoe	0.6
Distribution/Wholesale	0.6
E-Commerce/Products	0.5
Batteries/Battery Systems	0.5
Semiconductor Components — Integrated Circuits	0.5
Building Products — Cement	0.5
Transport — Truck	0.5
Auto — Heavy Duty Trucks	0.5
Agricultural Chemicals	0.5
Human Resources	0.5
Food — Meat Products	0.4


Shipbuilding	0.4
Publishing — Newspapers	0.4
Textile — Home Furnishings	0.4
Theaters	0.4
Building Products — Doors & Windows	0.4
Gas — Distribution	0.4
Applications Software	0.4
Aerospace/Defense	0.3
Appliances	0.3
Motion Pictures & Services	0.3
Cable/Satellite TV	0.3
Computers — Memory Devices	0.3
Transport — Services	0.3
Beverages — Non-alcoholic	0.3
Medical — Drugs	0.3
Independent Power Producers	0.3
E-Commerce/Services	0.3
Building Products — Wood	0.3
Medical Information Systems	0.2
Banks — Fiduciary	0.2
Medical Instruments	0.2
Computers	0.2
Retail — Gardening Products	0.2
Diagnostic Equipment	0.2
Dialysis Centers	0.2
Office Supplies & Forms	0.2
Finance — Leasing Companies	0.2
Machinery — Construction & Mining	0.2
Advertising Agencies	0.2
Finance — Investment Banker/Broker	0.2
Electronic Parts Distribution	0.2
Retail — Discount	0.2
Containers — Paper/Plastic	0.2
Oil — Field Services	0.2
Office Automation & Equipment	0.1
Computer Software	0.1
Gambling (Non-Hotel)	0.1
Internet Content — Information/News	0.1

	100.0	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 98.4%
Advertising Agencies — 0.2%
Omnicom Group, Inc.#		17,961	$	1,244,338

Aerospace/Defense — 0.3%
Spirit AeroSystems Holdings, Inc., Class A		46,764		2,471,010

Aerospace/Defense - Equipment — 1.4%
L3Harris Technologies, Inc.		27,193		5,376,872
Moog, Inc., Class A		55,655		4,292,113

				9,668,985

Agricultural Biotech — 0.6%
Corteva, Inc.		148,979		4,052,229

Agricultural Chemicals — 0.5%
Mosaic Co.		95,262		1,622,312
Nutrien, Ltd.		41,518		1,678,573

				3,300,885

Airlines — 1.1%
JetBlue Airways Corp.†		217,160		3,426,785
Southwest Airlines Co.		94,829		4,380,151

				7,806,936

Appliances — 0.3%
Whirlpool Corp.#		18,881		2,414,125

Applications Software — 0.4%
CDK Global, Inc.		54,515		2,508,780

Auto-Heavy Duty Trucks — 0.5%
Cummins, Inc.		10,907		1,650,120
PACCAR, Inc.		27,104		1,813,258

				3,463,378

Auto/Truck Parts & Equipment - Original — 0.6%
Lear Corp.		12,777		1,420,802
WABCO Holdings, Inc.†		19,618		2,650,392

				4,071,194

Banks - Commercial — 5.8%
Atlantic Union Bankshares Corp.		125,245		3,724,786
BancorpSouth Bank		101,016		2,471,862
East West Bancorp, Inc.		83,642		3,240,291
First Midwest Bancorp, Inc.		163,035		2,959,085
IBERIABANK Corp.		59,610		3,587,926
Regions Financial Corp.		274,590		3,712,457
South State Corp.		51,925		3,537,131
Synovus Financial Corp.		141,283		4,100,033
Truist Financial Corp.		116,980		5,397,457
Western Alliance Bancorp		89,367		4,114,457
Zions Bancorp NA		96,692		3,862,845

				40,708,330

Banks - Fiduciary — 0.2%
State Street Corp.		24,306		1,655,482

Banks - Super Regional — 2.2%
Fifth Third Bancorp		194,674		4,750,045
Huntington Bancshares, Inc.		461,351		5,660,777
KeyCorp		292,546		4,783,127

				15,193,949

Batteries/Battery Systems — 0.5%
EnerSys		60,492		3,725,097

Beverages - Non-alcoholic — 0.3%
Coca-Cola European Partners PLC		41,424		2,110,967



Security Description	Shares		Value (Note 2)


Building & Construction Products - Misc. — 1.1%
Fortune Brands Home & Security, Inc.		80,908	$	4,996,069
Owens Corning		46,893		2,648,986

				7,645,055

Building Products - Cement — 0.5%
Buzzi Unicem SpA		86,281		1,897,597
Eagle Materials, Inc.		20,594		1,625,484

				3,523,081

Building Products - Doors & Windows — 0.4%
JELD-WEN Holding, Inc.†		136,659		2,569,189

Building Products - Wood — 0.3%
Masco Corp.		43,195		1,784,817

Building - Residential/Commercial — 1.0%
Lennar Corp., Class A		117,595		7,095,682

Cable/Satellite TV — 0.3%
Altice USA, Inc., Class A†		88,140		2,279,300

Casino Hotels — 0.7%
Las Vegas Sands Corp.		46,806		2,729,258
Wynn Resorts, Ltd.		19,369		2,091,464

				4,820,722

Cellular Telecom — 0.6%
Millicom International Cellular SA SDR		87,570		4,048,216

Chemicals - Diversified — 2.3%
Celanese Corp.		57,072		5,349,929
DuPont de Nemours, Inc.		33,720		1,446,588
FMC Corp.		103,649		9,649,722

				16,446,239

Chemicals - Specialty — 0.6%
Cabot Corp.		76,033		2,842,114
Rogers Corp.†		14,796		1,716,336

				4,558,450

Commercial Services - Finance — 0.7%
EVERTEC, Inc.		37,382		1,109,498
Global Payments, Inc.		13,072		2,404,856
Moody’s Corp.		5,117		1,228,233

				4,742,587

Computer Services — 2.8%
Amdocs, Ltd.		106,427		6,784,722
Leidos Holdings, Inc.		99,108		10,173,436
Science Applications International Corp.		36,271		2,906,395

				19,864,553

Computer Software — 0.1%
SS&C Technologies Holdings, Inc.		18,746		1,040,403

Computers — 0.2%
Hewlett Packard Enterprise Co.		124,125		1,587,559

Computers - Memory Devices — 0.3%
Western Digital Corp.		40,464		2,248,180

Computers - Other — 1.0%
Lumentum Holdings, Inc.†		87,320		6,795,242

Containers - Metal/Glass — 0.7%
Crown Holdings, Inc.†		72,825		5,134,163

Containers - Paper/Plastic — 0.2%
Graphic Packaging Holding Co.		83,304		1,126,270

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Data Processing/Management — 0.6%
Fidelity National Information Services, Inc.		31,229	$	4,363,316

Diagnostic Equipment — 0.2%
Avantor, Inc.†		93,946		1,479,650

Diagnostic Kits — 0.6%
QIAGEN NV†		110,805		3,977,900

Dialysis Centers — 0.2%
DaVita, Inc.†		18,700		1,451,494

Distribution/Wholesale — 0.6%
HD Supply Holdings, Inc.†		84,408		3,209,192
KAR Auction Services, Inc.#		37,081		713,809

				3,923,001

Diversified Manufacturing Operations — 2.0%
Eaton Corp. PLC		39,891		3,618,911
ITT, Inc.		51,287		3,084,913
Parker-Hannifin Corp.		16,758		3,096,376
Textron, Inc.		61,770		2,507,862
Trane Technologies PLC		13,090		1,689,134

				13,997,196

E-Commerce/Products — 0.5%
eBay, Inc.		110,933		3,842,719

E-Commerce/Services — 0.3%
Expedia Group, Inc.		19,176		1,891,137

Electric Products - Misc. — 0.8%
AMETEK, Inc.		65,338		5,619,068

Electric - Integrated — 4.9%
Alliant Energy Corp.		97,348		5,073,778
American Electric Power Co., Inc.		25,342		2,262,027
DTE Energy Co.		30,722		3,430,726
Edison International		49,118		3,300,238
Entergy Corp.		41,045		4,798,571
Evergy, Inc.		95,875		6,265,431
FirstEnergy Corp.		76,569		3,409,618
Xcel Energy, Inc.		96,516		6,014,877

				34,555,266

Electronic Components - Misc. — 0.8%
Flex, Ltd.†		106,578		1,184,081
Gentex Corp.		49,693		1,326,803
Hubbell, Inc.		11,886		1,583,691
Sensata Technologies Holding PLC†		31,007		1,265,086

				5,359,661

Electronic Components - Semiconductors — 1.0%
Marvell Technology Group, Ltd.		63,025		1,342,432
ON Semiconductor Corp.†		86,669		1,617,244
Qorvo, Inc.†		41,262		4,150,132

				7,109,808

Electronic Connectors — 0.7%
TE Connectivity, Ltd.		55,972		4,638,400

Electronic Parts Distribution — 0.2%
Arrow Electronics, Inc.†		18,530		1,242,622

Entertainment Software — 1.0%
Activision Blizzard, Inc.		50,822		2,954,283
Electronic Arts, Inc.†		22,845		2,315,797
NetEase, Inc. ADR		5,969		1,902,380

				7,172,460



Security Description	Shares		Value (Note 2)


Finance - Consumer Loans — 1.2%
SLM Corp.		646,099	$	6,700,047
Synchrony Financial		54,795		1,594,534

				8,294,581

Finance - Credit Card — 0.8%
Discover Financial Services		89,335		5,858,589

Finance - Investment Banker/Broker — 0.2%
TD Ameritrade Holding Corp.		29,430		1,242,829

Finance - Leasing Companies — 0.2%
Air Lease Corp.		34,761		1,333,432

Food - Meat Products — 0.4%
Tyson Foods, Inc., Class A		46,535		3,156,469

Food - Misc./Diversified — 0.9%
Nomad Foods, Ltd.†		147,367		2,720,395
Post Holdings, Inc.†		32,955		3,337,023

				6,057,418

Food - Wholesale/Distribution — 0.7%
US Foods Holding Corp.†		146,020		4,912,113

Footwear & Related Apparel — 0.6%
Steven Madden, Ltd.		129,009		4,218,594

Gambling (Non-Hotel) — 0.1%
International Game Technology PLC#		97,453		1,036,900

Gas - Distribution — 0.4%
UGI Corp.		69,827		2,516,565

Hazardous Waste Disposal — 0.7%
Clean Harbors, Inc.†		70,849		4,925,422

Hotels/Motels — 1.3%
Wyndham Destinations, Inc.		43,090		1,719,291
Wyndham Hotels & Resorts, Inc.		139,995		7,132,745

				8,852,036

Human Resources — 0.5%
ManpowerGroup, Inc.		22,308		1,694,070
Robert Half International, Inc.		30,393		1,532,111

				3,226,181

Independent Power Producers — 0.3%
Vistra Energy Corp.		102,373		1,968,633

Insurance Brokers — 1.1%
Aon PLC		27,334		5,685,472
Marsh & McLennan Cos., Inc.		22,628		2,365,984

				8,051,456

Insurance - Life/Health — 1.1%
CNO Financial Group, Inc.		342,308		5,483,774
Globe Life, Inc.		23,591		2,185,942

				7,669,716

Insurance - Multi-line — 2.1%
Allstate Corp.		20,225		2,128,681
Kemper Corp.		71,337		4,910,839
Loews Corp.		54,006		2,464,294
Voya Financial, Inc.#		96,426		5,075,865

				14,579,679

Insurance-Property/Casualty — 3.6%
Alleghany Corp.		12,347		8,300,271
Assurant, Inc.		42,479		5,122,543
Hanover Insurance Group, Inc.		41,154		4,878,395
Lancashire Holdings, Ltd.		243,451		2,255,184

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Insurance - Property/Casualty (continued)
Progressive Corp.		31,595	$	2,311,490
Travelers Cos., Inc.		13,235		1,585,685
WR Berkley Corp.		16,524		1,109,421

				25,562,989

Insurance - Reinsurance — 1.2%
Everest Re Group, Ltd.		7,226		1,791,181
Reinsurance Group of America, Inc.		55,855		6,815,986

				8,607,167

Internet Content - Information/News — 0.1%
Yelp, Inc.†		32,010		1,000,953

Investment Management/Advisor Services — 0.9%
Ameriprise Financial, Inc.		34,770		4,913,001
Raymond James Financial, Inc.		18,609		1,556,271

				6,469,272

Lasers - System/Components — 0.6%
Coherent, Inc.†		31,551		4,060,929

Machine Tools & Related Products — 1.3%
Colfax Corp.†		129,702		4,341,126
Kennametal, Inc.		167,235		4,649,133

				8,990,259

Machinery - Construction & Mining — 0.2%
Oshkosh Corp.		18,017		1,299,927

Machinery - Pumps — 2.5%
Curtiss-Wright Corp.		18,973		2,275,622
Dover Corp.		56,689		5,824,228
Ingersoll Rand, Inc.†#		163,352		5,356,312
SPX FLOW, Inc.†		112,120		4,123,773

				17,579,935

Medical Information Systems — 0.2%
Change Healthcare, Inc.†#		126,543		1,719,719

Medical Instruments — 0.2%
Boston Scientific Corp.†		43,342		1,620,557

Medical Labs & Testing Services — 1.6%
ICON PLC†		18,512		2,888,983
IQVIA Holdings, Inc.†		22,337		3,115,788
Laboratory Corp. of America Holdings†		21,753		3,821,784
PPD, Inc.†		53,086		1,480,038

				11,306,593

Medical Products — 2.0%
Avanos Medical, Inc.†		64,512		2,090,834
Hill-Rom Holdings, Inc.		53,272		5,116,775
STERIS PLC		17,666		2,802,181
Zimmer Biomet Holdings, Inc.		31,611		4,303,838

				14,313,628

Medical - Drugs — 0.3%
Jazz Pharmaceuticals PLC†		17,257		1,977,307

Medical - HMO — 1.7%
Centene Corp.†		51,767		2,744,686
Humana, Inc.		12,543		4,009,746
Molina Healthcare, Inc.†		44,172		5,413,279

				12,167,711

Medical - Hospitals — 0.9%
Acadia Healthcare Co., Inc.†		107,986		3,196,386
Universal Health Services, Inc., Class B		25,075		3,102,780

				6,299,166



Security Description	Shares		Value (Note 2)


Medical - Wholesale Drug Distribution — 0.7%
AmerisourceBergen Corp.		38,760	$	3,268,243
McKesson Corp.		12,955		1,811,887

				5,080,130

Motion Pictures & Services — 0.3%
IMAX Corp.†		150,271		2,341,222

Office Automation & Equipment — 0.1%
Xerox Holdings Corp.		32,842		1,057,512

Office Supplies & Forms — 0.2%
Avery Dennison Corp.		12,028		1,377,086

Oil Companies - Exploration & Production — 2.2%
Cimarex Energy Co.		25,019		826,878
Diamondback Energy, Inc.		91,779		5,690,298
Marathon Oil Corp.		102,087		845,280
Noble Energy, Inc.		384,721		6,090,133
Viper Energy Partners LP		102,102		1,820,479

				15,273,068

Oil Refining & Marketing — 1.3%
Delek US Holdings, Inc.		108,912		2,328,538
Marathon Petroleum Corp.		75,933		3,600,743
Valero Energy Corp.		47,304		3,133,890

				9,063,171

Oil-Field Services — 0.2%
Apergy Corp.†		59,551		1,107,649

Physical Therapy/Rehabilitation Centers — 0.9%
Encompass Health Corp.		83,319		6,235,594

Publishing - Newspapers — 0.4%
TEGNA, Inc.		196,690		2,816,601

Real Estate Investment Trusts — 10.4%
American Assets Trust, Inc.		92,845		3,848,425
American Homes 4 Rent, Class A		95,996		2,485,336
Boston Properties, Inc.		48,125		6,205,238
Brixmor Property Group, Inc.		196,369		3,575,879
Corporate Office Properties Trust		171,312		4,341,046
Douglas Emmett, Inc.		88,771		3,389,277
Duke Realty Corp.		84,809		2,753,748
Equity Residential		71,046		5,335,555
First Industrial Realty Trust, Inc.		109,139		4,201,852
Gaming and Leisure Properties, Inc.		151,853		6,783,274
Highwoods Properties, Inc.		125,747		5,643,525
Kilroy Realty Corp.		37,954		2,758,876
Life Storage, Inc.		45,804		4,942,710
Physicians Realty Trust		271,534		5,121,131
Prologis, Inc.		26,421		2,226,762
Regency Centers Corp.		65,137		3,741,469
Retail Properties of America, Inc., Class A		116,449		1,219,221
STORE Capital Corp.		129,822		4,265,951

				72,839,275

Retail - Apparel/Shoe — 0.6%
Foot Locker, Inc.		47,169		1,709,876
Ross Stores, Inc.		20,845		2,267,519

				3,977,395

Retail - Auto Parts — 0.6%
AutoZone, Inc.†		3,886		4,012,334

Retail - Discount — 0.2%
Dollar Tree, Inc.†		13,853		1,150,215

Retail - Gardening Products — 0.2%
Tractor Supply Co.		17,138		1,516,884

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Savings & Loans/Thrifts — 0.6%
Sterling Bancorp		256,407	$	4,251,228

Semiconductor Components - Integrated Circuits — 0.5%
NXP Semiconductors NV		32,090		3,648,312

Semiconductor Equipment — 1.9%
Axcelis Technologies, Inc.†		98,219		2,356,274
KLA Corp.		19,518		3,000,112
MKS Instruments, Inc.		49,297		4,939,066
Onto Innovation, Inc.†		107,214		3,277,532

				13,572,984

Shipbuilding — 0.4%
Huntington Ingalls Industries, Inc.		14,402		2,960,043

Steel - Producers — 1.5%
Carpenter Technology Corp.		115,803		4,255,760
Reliance Steel & Aluminum Co.		48,059		4,915,955
Steel Dynamics, Inc.		62,296		1,658,943

				10,830,658

Textile - Home Furnishings — 0.4%
Mohawk Industries, Inc.†		22,464		2,721,514

Theaters — 0.4%
Cinemark Holdings, Inc.#		99,628		2,586,343

Transport - Rail — 0.6%
Kansas City Southern		27,985		4,216,780

Transport - Services — 0.3%
Expeditors International of Washington, Inc.		31,678		2,230,765

Transport - Truck — 0.5%
Knight-Swift Transportation Holdings, Inc.#		108,928		3,479,160

Total Long-Term Investment Securities
(cost $694,657,870)				691,551,739



Security Description	Shares/ Principal Amount			Value (Note 2)

SHORT-TERM INVESTMENT SECURITIES — 0.7%
Registered Investment Companies — 0.7%
State Street Institutional Liquid Reserves Fund, Administration Class 1.46%(3)		2,828,603		$	2,829,734
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(1)(3)		1,834,874			1,834,874

Total Short-Term Investment Securities
(cost $4,664,180)					4,664,608

REPURCHASE AGREEMENTS — 0.9%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.25%, dated 02/28/2020, to be repurchased 03/02/2020 in the amount of $6,617,138 collateralized by $6,610,000 of United States Treasury Notes, bearing interest at 2.63% due 12/15/2021 and having an approximate value of $6,818,691
(cost $6,617,000)	$	6,617,000			6,617,000

TOTAL INVESTMENTS
(cost $705,939,050)(2)		100.0	%		702,833,347
Other assets less liabilities		0.0			320,009

NET ASSETS		100.0	%	$	703,153,356

#	The security or a portion thereof is out on loan (see Note 2).

†	Non-income producing security

(1)

At February 29, 2020 the Fund had loaned securities with a total value of $18,807,707. This was secured by collateral of $1,834,874, which was received in cash and subsequently invested in short-term investments currently valued at $1,834,874 as reported in the Portfolio of Investments. Additional collateral of $18,032,122 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
United States Treasury Bills	0.00%	03/12/2020 to 06/18/2020	$	316,044
United States Treasury Notes/Bonds	0.13% to 8.75%	03/31/2020 to 11/15/2049		17,716,078

(2)	See Note 5 for cost of investments on a tax basis.

(3)	The rate shown is the 7-day yield as of February 29, 2020.

ADR—American Depositary Receipt

SDR—Swedish Depositary Receipt

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):



Security Description	Shares		Value (Note 2)

AFFILIATED REGISTERED INVESTMENT COMPANIES#(1) — 100.0%
Domestic Equity Investment Companies — 44.3%
VALIC Co. I Blue Chip Growth Fund		1,517	$	31,957
VALIC Co. I Dividend Value Fund		5,515,841		61,336,150
VALIC Co. I Large Cap Core Fund		840,846		10,140,602
VALIC Co. I Large Capital Growth Fund		911,232		15,955,676
VALIC Co. I Mid Cap Index Fund		1,333,556		31,725,306
VALIC Co. I Mid Cap Strategic Growth Fund		709,533		11,891,781
VALIC Co. I Nasdaq-100 Index Fund		858,176		14,391,613
VALIC Co. I Science & Technology Fund		907,528		27,425,507
VALIC Co. I Small Cap Index Fund		926,398		17,638,627
VALIC Co. I Small Cap Special Values Fund		707,660		7,869,179
VALIC Co. I Stock Index Fund		1,648,180		70,278,384
VALIC Co. I Value Fund		980,365		17,793,616
VALIC Co. II Capital Appreciation Fund		1,781,353		26,702,475
VALIC Co. II Large Cap Value Fund		2,623,905		51,271,097
VALIC Co. II Mid Cap Growth Fund		1,047,249		10,671,463
VALIC Co. II Mid Cap Value Fund		2,047,578		34,194,559
VALIC Co. II Small Cap Growth Fund		451,146		8,269,510
VALIC Co. II Small Cap Value Fund		817,519		8,428,618

Total Domestic Equity Investment Companies
(cost $435,407,966)				426,016,120

Domestic Fixed Income Investment Companies — 33.2%
VALIC Co. I Capital Conservation Fund		3,155,937		33,642,291
VALIC Co. I Government Securities Fund		1,332,004		15,011,685
VALIC Co. I Inflation Protected Fund		4,452,308		52,092,009
VALIC Co. II Core Bond Fund		9,565,959		114,026,231
VALIC Co. II High Yield Bond Fund		3,164,692		24,684,597
VALIC Co. II Strategic Bond Fund		6,919,272		80,125,164

Total Domestic Fixed Income Investment Companies
(cost $299,442,108)				319,581,977

Domestic Money Market Investment Companies — 2.3%
VALIC Co. I Government Money Market I Fund
(cost $22,014,752)(2)		22,014,752		22,014,752



Security Description	Shares			Value (Note 2)


International Equity Investment Companies — 14.4%
VALIC Co. I Emerging Economies Fund		3,920,106		$	31,439,248
VALIC Co. I International Equities Index Fund		7,032,872			47,893,860
VALIC Co. I International Growth Fund		483,346			5,814,657
VALIC Co. I International Value Fund		3,330,902			29,511,795
VALIC Co. II International Opportunities Fund		1,275,107			23,729,743

Total International Equity Investment Companies
(cost $146,964,259)					138,389,303

International Fixed Income Investment Companies — 3.4%
VALIC Co. I International Government Bond Fund
(cost $31,021,544)		2,640,727			33,141,122

Real Estate Investment Companies — 2.4%
VALIC Co. I Global Real Estate Fund
(cost $21,725,351)		2,812,106			22,918,664

TOTAL INVESTMENTS
(cost $956,575,980)(3)		100.0	%		962,061,938
Liabilities in excess of other assets		(0.0	)		(189,850	)

NET ASSETS		100.0	%	$	961,872,088

#	The Moderate Growth Lifestyle Fund invests in various VALIC Company I or VALIC Company II Funds, some of which are not presented in this report. Additional information of the underlying funds including such fund’s prospectuses and shareholder reports is available at our website, www.valic.com

(1)	See Note 3

(2)	The 7-day yield as of February 29, 2020 is 1.06%.

(3)	See Note 5 for cost of investments on a tax basis.

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

Industry Allocation*


Medical — Biomedical/Gene	9.9	%
Medical — Drugs	4.1
Computer Software	3.9
Medical Products	3.6
Applications Software	3.5
Building & Construction Products — Misc.	3.2
Distribution/Wholesale	3.0
Electronic Components — Semiconductors	3.0
Real Estate Investment Trusts	2.8
Semiconductor Equipment	2.8
Enterprise Software/Service	2.5
Medical Labs & Testing Services	2.4
Food — Wholesale/Distribution	2.3
Retail — Automobile	2.3
Power Converter/Supply Equipment	1.9
Retail — Vision Service Center	1.9
Tools — Hand Held	1.8
Medical — Outpatient/Home Medical	1.8
Banks — Commercial	1.8
Computer Data Security	1.7
Steel Pipe & Tube	1.6
Machinery — General Industrial	1.6
Drug Delivery Systems	1.5
Internet Application Software	1.5
Miscellaneous Manufacturing	1.5
Publishing — Newspapers	1.4
Retail — Pet Food & Supplies	1.4
Transport — Truck	1.4
Retail — Restaurants	1.4
Casino Hotels	1.4
Building — Mobile Home/Manufactured Housing	1.2
Recreational Centers	1.2
Web Hosting/Design	1.2
Energy — Alternate Sources	1.1
Diagnostic Kits	1.1
Security Services	1.0
Diversified Manufacturing Operations	1.0
Insurance Brokers	0.9
Schools	0.9
Internet Security	0.9
Gambling (Non-Hotel)	0.9
Registered Investment Companies	0.8
Finance — Investment Banker/Broker	0.8
Machinery — Pumps	0.8
Electric Products — Misc.	0.8
Building — Residential/Commercial	0.8
Telecom Equipment — Fiber Optics	0.7
Entertainment Software	0.7
Medical — Hospitals	0.7
Patient Monitoring Equipment	0.6
Athletic Equipment	0.6
E-Commerce/Products	0.6
Footwear & Related Apparel	0.6
Retail — Misc./Diversified	0.6
Aerospace/Defense — Equipment	0.6
Consulting Services	0.5
Diagnostic Equipment	0.5
Transport — Marine	0.5
Investment Management/Advisor Services	0.5
Retail — Discount	0.4
Therapeutics	0.4
Finance — Credit Card	0.4
Machinery — Construction & Mining	0.3
Rental Auto/Equipment	0.3
Computer Services	0.2

	100.0	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 99.2%
Aerospace/Defense - Equipment — 0.6%
Hexcel Corp.		15,814	$	1,022,059

Applications Software — 3.5%
Elastic NV†		23,360		1,725,370
HubSpot, Inc.†		10,460		1,877,047
Medallia, Inc.†		43,056		1,068,219
Smartsheet, Inc., Class A†		37,522		1,737,269

				6,407,905

Athletic Equipment — 0.6%
Fox Factory Holding Corp.†		18,718		1,186,721

Banks - Commercial — 1.8%
First Financial Bankshares, Inc.#		50,204		1,442,863
Signature Bank		8,609		1,076,986
Webster Financial Corp.		18,561		704,761

				3,224,610

Building & Construction Products - Misc. — 3.2%
Simpson Manufacturing Co., Inc.		35,455		2,816,191
Trex Co., Inc.†#		32,003		3,061,087

				5,877,278

Building - Mobile Home/Manufactured Housing — 1.2%
Winnebago Industries, Inc.#		43,427		2,253,427

Building - Residential/Commercial — 0.8%
TRI Pointe Group, Inc.†#		90,859		1,392,868

Casino Hotels — 1.4%
Boyd Gaming Corp.		93,520		2,497,919

Computer Data Security — 1.7%
CyberArk Software, Ltd.†		16,428		1,720,012
Zscaler, Inc.†#		27,605		1,435,184

				3,155,196

Computer Services — 0.2%
Globant SA†		3,583		404,915

Computer Software — 3.9%
Bill.com Holdings, Inc.†		15,907		902,881
Dynatrace, Inc.†		58,834		1,900,338
Envestnet, Inc.†		37,607		2,838,576
MongoDB, Inc.†#		9,503		1,449,208

				7,091,003

Consulting Services — 0.5%
FTI Consulting, Inc.†		8,747		984,825

Diagnostic Equipment — 0.5%
10X Genomics, Inc., Class A†		7,839		624,768
Adaptive Biotechnologies Corp.†		10,790		303,199

				927,967

Diagnostic Kits — 1.1%
Natera, Inc.†		51,121		1,937,742

Distribution/Wholesale — 3.0%
H&E Equipment Services, Inc.		40,516		962,660
Pool Corp.		10,753		2,268,453
SiteOne Landscape Supply, Inc.†#		23,771		2,359,272

				5,590,385

Diversified Manufacturing Operations — 1.0%
ITT, Inc.		30,138		1,812,801

Drug Delivery Systems — 1.5%
Heron Therapeutics, Inc.†#		57,709		1,076,273
Revance Therapeutics, Inc.†		75,615		1,748,219

				2,824,492



Security Description	Shares		Value (Note 2)


E-Commerce/Products — 0.6%
Farfetch, Ltd., Class A†#		74,714	$	834,555
RealReal, Inc.†#		25,021		350,044

				1,184,599

Electric Products - Misc. — 0.8%
Littelfuse, Inc.		9,083		1,450,373

Electronic Components - Semiconductors — 3.0%
Inphi Corp.†		33,377		2,491,927
Monolithic Power Systems, Inc.		10,914		1,731,397
Semtech Corp.†		31,558		1,246,225

				5,469,549

Energy - Alternate Sources — 1.1%
Enphase Energy, Inc.†		40,004		1,958,996

Enterprise Software/Service — 2.5%
Coupa Software, Inc.†		7,083		1,060,679
Evolent Health, Inc., Class A†		86,297		797,384
ManTech International Corp., Class A		37,302		2,793,920

				4,651,983

Entertainment Software — 0.7%
Glu Mobile, Inc.†		118,132		841,100
Sciplay Corp., Class A†		47,440		428,857

				1,269,957

Finance - Credit Card — 0.4%
I3 Verticals, Inc., Class A†		22,287		645,877

Finance - Investment Banker/Broker — 0.8%
Evercore, Inc., Class A		22,667		1,510,076

Food - Wholesale/Distribution — 2.3%
Grocery Outlet Holding Corp.†		42,512		1,345,505
Performance Food Group Co.†		69,636		2,952,566

				4,298,071

Footwear & Related Apparel — 0.6%
Wolverine World Wide, Inc.		40,408		1,062,326

Gambling (Non-Hotel) — 0.9%
Red Rock Resorts, Inc., Class A		76,510		1,576,871

Insurance Brokers — 0.9%
eHealth, Inc.†		14,615		1,715,070

Internet Application Software — 1.5%
Anaplan, Inc.†		38,966		1,751,132
Zendesk, Inc.†		12,633		1,001,923

				2,753,055

Internet Security — 0.9%
Proofpoint, Inc.†		15,918		1,697,655

Investment Management/Advisor Services — 0.5%
Focus Financial Partners, Inc., Class A†		30,826		838,159

Machinery - Construction & Mining — 0.3%
Oshkosh Corp.		7,926		571,861

Machinery - General Industrial — 1.6%
Applied Industrial Technologies, Inc.		24,918		1,469,913
Chart Industries, Inc.†		26,522		1,509,632

				2,979,545

Machinery - Pumps — 0.8%
Graco, Inc.		30,547		1,506,578

Medical Labs & Testing Services — 2.4%
Personalis, Inc.†#		30,551		266,710
Teladoc Health, Inc.†#		33,072		4,132,677

				4,399,387

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCK (continued)
Medical Products — 3.6%
iRhythm Technologies, Inc.†#		28,616	$	2,488,734
Nevro Corp.†		24,063		3,131,799
Shockwave Medical, Inc.†#		23,547		945,177

				6,565,710

Medical - Biomedical/Gene — 9.9%
ACADIA Pharmaceuticals, Inc.†		30,648		1,309,895
Amicus Therapeutics, Inc.†		126,430		1,206,774
Atara Biotherapeutics, Inc.†#		53,700		652,455
Avrobio, Inc.†		48,954		944,812
Biohaven Pharmaceutical Holding Co., Ltd.†		32,074		1,416,388
Blueprint Medicines Corp.†		22,004		1,191,077
Bridgebio Pharma, Inc.†#		19,345		616,719
FibroGen, Inc.†		38,756		1,620,001
Halozyme Therapeutics, Inc.†		108,161		2,116,711
Homology Medicines, Inc.†#		50,640		810,240
Intercept Pharmaceuticals, Inc.†		15,315		1,408,061
REGENXBIO, Inc.†		26,770		1,070,800
REVOLUTION Medicines, Inc.†		15,006		469,238
Rubius Therapeutics, Inc.†#		26,097		218,432
Sage Therapeutics, Inc.†#		11,148		523,956
Twist Bioscience Corp.†		53,825		1,648,121
Viela Bio, Inc.†		22,371		976,270

				18,199,950

Medical - Drugs — 4.1%
Alector, Inc.†		28,541		784,307
Clementia Pharmaceuticals, Inc., CVR†(1)		70,624		0
Coherus Biosciences, Inc.†		85,851		1,661,217
Global Blood Therapeutics, Inc.†#		9,994		639,216
Horizon Therapeutics PLC†		71,309		2,440,194
Optinose, Inc.†#		64,578		390,697
TherapeuticsMD, Inc.†#		273,322		461,914
Tricida, Inc.†#		37,386		1,188,127

				7,565,672

Medical - Hospitals — 0.7%
Acadia Healthcare Co., Inc.†		41,212		1,219,875

Medical - Outpatient/Home Medical — 1.8%
Amedisys, Inc.†		19,334		3,364,309

Miscellaneous Manufacturing — 1.5%
John Bean Technologies Corp.		28,188		2,730,290

Patient Monitoring Equipment — 0.6%
Insulet Corp.†		6,294		1,195,671

Power Converter/Supply Equipment — 1.9%
Generac Holdings, Inc.†		34,637		3,567,265

Publishing - Newspapers — 1.4%
New York Times Co., Class A		70,955		2,657,974

Real Estate Investment Trusts — 2.8%
CubeSmart		35,592		1,077,370
EastGroup Properties, Inc.		12,101		1,521,458
National Health Investors, Inc.		14,133		1,155,090
Terreno Realty Corp.		26,786		1,469,748

				5,223,666

Recreational Centers — 1.2%
OneSpaWorld Holdings, Ltd.#		40,153		490,670
Planet Fitness, Inc., Class A†		25,251		1,704,190

				2,194,860

Rental Auto/Equipment — 0.3%
Aaron’s, Inc.		13,059		513,610



Security Description	Shares			Value (Note 2)


Retail - Automobile — 2.3%
Lithia Motors, Inc., Class A		19,101		$	2,276,075
Rush Enterprises, Inc., Class A		47,964			2,010,651

					4,286,726

Retail - Discount — 0.4%
Ollie’s Bargain Outlet Holdings, Inc.†#		14,364			730,697

Retail - Misc./Diversified — 0.6%
Hudson, Ltd., Class A†		112,376			1,046,221

Retail - Pet Food & Supplies — 1.4%
Freshpet, Inc.†		39,952			2,655,210

Retail - Restaurants — 1.4%
Texas Roadhouse, Inc.		44,930			2,525,965

Retail - Vision Service Center — 1.9%
National Vision Holdings, Inc.†		97,901			3,408,913

Schools — 0.9%
Bright Horizons Family Solutions, Inc.†		10,845			1,704,292

Security Services — 1.0%
Brink’s Co.		24,049			1,882,796

Semiconductor Equipment — 2.8%
Entegris, Inc.		50,080			2,670,266
MKS Instruments, Inc.		24,637			2,468,381

					5,138,647

Steel Pipe & Tube — 1.6%
Advanced Drainage Systems, Inc.		72,075			3,017,059

Telecom Equipment - Fiber Optics — 0.7%
Ciena Corp.†		33,611			1,292,343

Therapeutics — 0.4%
G1 Therapeutics, Inc.†#		38,207			685,434

Tools - Hand Held — 1.8%
MSA Safety, Inc.		27,751			3,376,464

Transport - Marine — 0.5%
Kirby Corp.†		13,313			848,704

Transport - Truck — 1.4%
Saia, Inc.†		29,102			2,540,896

Web Hosting/Design — 1.2%
Wix.com, Ltd.†		16,216			2,173,430

Total Long-Term Investment Securities
(cost $164,853,857)					182,444,750

SHORT-TERM INVESTMENT SECURITIES — 0.8%
Registered Investment Companies — 0.8%
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(3)(4) (cost $1,570,708)		1,570,708			1,570,708

TOTAL INVESTMENTS
(cost $166,424,565)(2)		100.0	%		184,015,458
Liabilities in excess of other assets		(0.0	)		(35,767	)

NET ASSETS		100.0	%	$	183,979,691

†	Non-income producing security

#	The security or a portion thereof is out on loan (see Note 2).

(1)	Securities classified as Level 3 (see Note 2).

(2)	See Note 5 for cost of investments on a tax basis.

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)

(3)

At February 29, 2020, the Fund had loaned securities with a total value of $21,121,094. This was secured by collateral of $1,570,708, which was received in cash and subsequently invested in short-term investments currently valued at $1,570,708 as reported in the Portfolio of Investments. Additional collateral of $20,097,939 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
United States Treasury Bills	0.00%	03/12/2020 to 05/21/2020	$	141,753
United States Treasury Notes/Bonds	0.13% to 8.75%	03/31/2020 to 11/15/2049		19,956,186

(4)	The rate shown is the 7-day yield as of February 29, 2020.

CVR—Contingent Value Rights

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.

Industry Allocation*


Banks — Commercial	15.5	%
Real Estate Investment Trusts	13.4
Savings & Loans/Thrifts	3.4
Electronic Components — Semiconductors	2.6
Repurchase Agreements	2.5
Electric — Integrated	2.4
Consulting Services	1.9
Gas — Distribution	1.9
Oil — Field Services	1.7
Building — Residential/Commercial	1.7
Electronic Components — Misc.	1.6
Independent Power Producers	1.5
Financial Guarantee Insurance	1.3
Distribution/Wholesale	1.3
Medical — Biomedical/Gene	1.3
Building & Construction — Misc.	1.2
Registered Investment Companies	1.2
Medical — Drugs	1.1
Oil Companies — Exploration & Production	1.1
Building & Construction Products — Misc.	1.0
Human Resources	1.0
E-Commerce/Services	1.0
Engineering/R&D Services	1.0
Retail — Building Products	0.9
Insurance — Life/Health	0.9
Oil Refining & Marketing	0.9
Medical — HMO	0.9
Auto/Truck Parts & Equipment — Original	0.9
Paper & Related Products	0.9
Coal	0.8
Energy — Alternate Sources	0.8
Investment Management/Advisor Services	0.8
Retail — Apparel/Shoe	0.8
Consumer Products — Misc.	0.8
Insurance — Reinsurance	0.7
Retail — Sporting Goods	0.7
Cable/Satellite TV	0.7
Banks — Mortgage	0.7
Transport — Marine	0.7
Medical — Wholesale Drug Distribution	0.6
Insurance — Property/Casualty	0.6
Steel — Producers	0.6
Poultry	0.6
Medical Information Systems	0.6
Building — Heavy Construction	0.6
Office Supplies & Forms	0.6
Building — Maintenance & Services	0.5
Enterprise Software/Service	0.5
Building Products — Wood	0.5
Computer Services	0.5
Schools	0.5
Apparel Manufacturers	0.5
Television	0.5
Transport — Truck	0.5
Racetracks	0.5
Auto — Truck Trailers	0.5
Medical — Generic Drugs	0.5
Metal Products — Distribution	0.4
Transport — Services	0.4
Finance — Mortgage Loan/Banker	0.4
Rental Auto/Equipment	0.4
Food — Wholesale/Distribution	0.4
Telecom Services	0.4
Computer Software	0.4
Printing — Commercial	0.4
Diversified Manufacturing Operations	0.4
Retail — Office Supplies	0.3
Airlines	0.3
Electronic Parts Distribution	0.3


Networking Products	0.3
Auto/Truck Parts & Equipment — Replacement	0.3
Chemicals — Specialty	0.3
Office Furnishings — Original	0.3
Semiconductor Components — Integrated Circuits	0.3
Electric — Distribution	0.3
Semiconductor Equipment	0.3
Communications Software	0.3
Aerospace/Defense — Equipment	0.3
Finance — Leasing Companies	0.3
Rubber/Plastic Products	0.2
Machinery — Farming	0.2
Water	0.2
Publishing — Newspapers	0.2
Electric — Generation	0.2
Retail — Drug Store	0.2
Computers — Other	0.2
Machinery — Construction & Mining	0.2
Finance — Consumer Loans	0.2
Data Processing/Management	0.2
Retail — Home Furnishings	0.2
Commercial Services — Finance	0.2
Chemicals — Diversified	0.2
Commercial Services	0.2
Radio	0.2
Medical — Hospitals	0.2
Retail — Automobile	0.2
Machinery — General Industrial	0.2
Audio/Video Products	0.2
Circuit Boards	0.2
Metal Processors & Fabrication	0.2
Publishing — Books	0.2
E-Services/Consulting	0.2
Power Converter/Supply Equipment	0.2
Broadcast Services/Program	0.1
Real Estate Management/Services	0.1
X-Ray Equipment	0.1
Motion Pictures & Services	0.1
Finance — Commercial	0.1
Retail — Jewelry	0.1
Linen Supply & Related Items	0.1
Computers — Integrated Systems	0.1
Retail — Restaurants	0.1
Retail — Bookstores	0.1
Resorts/Theme Parks	0.1
Metal — Aluminum	0.1
Multimedia	0.1
Retail — Misc./Diversified	0.1
Building Products — Doors & Windows	0.1
Pastoral & Agricultural	0.1
Funeral Services & Related Items	0.1
Electronic Measurement Instruments	0.1
Tobacco	0.1
Oil Field Machinery & Equipment	0.1
Casino Hotels	0.1
Drug Delivery Systems	0.1
Superconductor Product & Systems	0.1
Machine Tools & Related Products	0.1
Internet Content — Information/News	0.1
Finance — Investment Banker/Broker	0.1
Dental Supplies & Equipment	0.1
Retail — Discount	0.1
Dialysis Centers	0.1
Computer Data Security	0.1
Wire & Cable Products	0.1

	100.6	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 96.9%
Advertising Sales — 0.0%
National CineMedia, Inc.		11,800	$	90,742

Aerospace/Defense - Equipment — 0.3%
Moog, Inc., Class A		10,200		786,624

Airlines — 0.3%
Hawaiian Holdings, Inc.		29,500		615,960
SkyWest, Inc.		7,600		345,040

				961,000

Apparel Manufacturers — 0.5%
Deckers Outdoor Corp.†		8,425		1,464,265

Appliances — 0.0%
Hamilton Beach Brands Holding Co., Class A		2,700		31,320

Audio/Video Products — 0.2%
Sonos, Inc.†#		44,000		507,760

Auto - Heavy Duty Trucks — 0.0%
Navistar International Corp.†		2,000		72,620

Auto-Truck Trailers — 0.5%
Wabash National Corp.		125,800		1,381,284

Auto/Truck Parts & Equipment-Original — 0.9%
Adient PLC†		24,300		581,499
Cooper-Standard Holdings, Inc.†		900		15,552
Dana, Inc.		32,500		467,350
Gentherm, Inc.†		14,400		587,232
Meritor, Inc.†		28,000		635,320
Methode Electronics, Inc.		8,600		263,676
Modine Manufacturing Co.†		4,400		32,824

				2,583,453

Auto/Truck Parts & Equipment-Replacement — 0.3%
Commercial Vehicle Group, Inc.†		40,600		177,016
Douglas Dynamics, Inc.		17,200		748,716

				925,732

Banks - Commercial — 15.5%
1st Source Corp.		13,520		568,516
Amalgamated Bank, Class A		19,200		307,392
American National Bankshares, Inc.		700		21,623
Ameris Bancorp		21,400		731,452
Atlantic Capital Bancshares, Inc.†		8,700		157,731
Atlantic Union Bankshares Corp.		1,000		29,740
BancFirst Corp.		14,280		732,564
Bancorp, Inc.†		66,700		811,739
BancorpSouth Bank		8,800		215,336
Bank of Commerce Holdings		2,700		28,229
Bank of N.T. Butterfield & Son, Ltd.		12,000		332,160
Banner Corp.		9,300		424,452
Bridgewater Bancshares, Inc.†		35,100		438,750
Bryn Mawr Bank Corp.		3,500		116,340
Cathay General Bancorp		29,590		910,780
Central Pacific Financial Corp.		50,800		1,215,136
Central Valley Community Bancorp		5,700		98,040
Century Bancorp, Inc., Class A		418		30,221
Chemung Financial Corp.		700		25,130
Citizens & Northern Corp.		1,500		34,035
City Holding Co.		7,300		510,416
Columbia Banking System, Inc.		22,600		750,320
Community Bank System, Inc.		15,380		935,258
Community Trust Bancorp, Inc.		18,618		720,144
ConnectOne Bancorp, Inc.		24,900		523,149
Customers Bancorp, Inc.†		54,700		1,109,863
East West Bancorp, Inc.		5,573		215,898
Enterprise Financial Services Corp.		24,000		918,480



Security Description	Shares		Value (Note 2)


Banks - Commercial (continued)
Farmers National Banc Corp.		10,200	$	153,306
Financial Institutions, Inc.		23,600		635,076
First Bancorp/North Carolina		7,800		250,380
First BanCorp/Puerto Rico		289,500		2,298,630
First Business Financial Services, Inc.		6,200		148,800
First Citizens BancShares, Inc., Class A		940		426,111
First Commonwealth Financial Corp.		120,400		1,420,720
First Community Bankshares, Inc.		6,900		180,504
First Financial Corp.		5,100		203,745
First Hawaiian, Inc.		15,900		380,805
First Interstate BancSystem, Inc., Class A		3,970		135,218
Franklin Financial Network, Inc.		1,700		56,933
Glacier Bancorp, Inc.		24,100		898,689
Great Southern Bancorp, Inc.		10,800		554,148
Great Western Bancorp, Inc.		11,600		311,692
Hancock Whitney Corp.		42,621		1,427,803
Hanmi Financial Corp.		46,000		717,600
Heritage Commerce Corp.		6,200		63,612
Hilltop Holdings, Inc.		70,700		1,472,681
Home BancShares, Inc.		43,700		732,412
HomeStreet, Inc.		7,300		197,757
Hope Bancorp, Inc.		72,827		889,218
IBERIABANK Corp.		22,900		1,378,351
Independent Bank Corp.		22,000		430,540
Lakeland Financial Corp.		4,770		194,950
LCNB Corp.		5,700		90,231
Luther Burbank Corp.		23,700		247,191
Mercantile Bank Corp.		2,200		63,118
Meta Financial Group, Inc.		2,200		72,270
Midland States Bancorp, Inc.		3,400		80,988
Northrim BanCorp, Inc.		2,800		97,860
OFG Bancorp		17,100		286,254
Old Second Bancorp, Inc.		11,400		121,296
Orrstown Financial Services, Inc.		6,000		106,800
Pacific Mercantile Bancorp†		7,100		46,363
PacWest Bancorp		5,335		168,799
Peoples Bancorp, Inc.		13,400		382,570
Preferred Bank		2,000		102,260
Premier Financial Bancorp, Inc.		2,125		35,381
Republic Bancorp, Inc., Class A		4,600		164,404
S&T Bancorp, Inc.		2,580		84,805
SB One Bancorp		7,000		153,440
Shore Bancshares, Inc.		2,700		42,012
Sierra Bancorp		3,900		92,898
Simmons First National Corp., Class A		4,078		87,188
South State Corp.		18,770		1,278,612
Stock Yards Bancorp, Inc.		2,150		75,121
Tompkins Financial Corp.		2,548		202,515
TriCo Bancshares		14,800		500,536
TriState Capital Holdings, Inc.†		5,600		111,272
Trustmark Corp.		65,300		1,756,570
UMB Financial Corp.		25,260		1,468,869
Umpqua Holdings Corp.		101,314		1,559,222
United Bankshares, Inc.		59,500		1,718,360
United Community Banks, Inc.		48,400		1,198,868
Valley National Bancorp		5,120		47,616
Veritex Holdings, Inc.		30,922		744,293
Washington Trust Bancorp, Inc.		4,280		183,698
Webster Financial Corp.		12,700		482,219
West Bancorporation, Inc.		4,430		90,594
Westamerica Bancorporation		31,524		1,822,718
Wintrust Financial Corp.		16,800		897,288

				45,137,074

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Banks - Mortgage — 0.7%
Flagstar Bancorp, Inc.		38,300	$	1,221,004
Walker & Dunlop, Inc.		12,300		797,655

				2,018,659

Broadcast Services/Program — 0.1%
Hemisphere Media Group, Inc.†		34,000		429,420

Building & Construction Products-Misc. — 1.0%
Armstrong Flooring, Inc.†		5,000		13,200
Builders FirstSource, Inc.†		97,700		2,218,767
Caesarstone, Ltd.		5,700		61,617
Louisiana-Pacific Corp.		23,800		677,110

				2,970,694

Building & Construction-Misc. — 1.2%
EMCOR Group, Inc.		39,348		3,026,648
MYR Group, Inc.†		19,700		502,547

				3,529,195

Building Products-Doors & Windows — 0.1%
JELD-WEN Holding, Inc.†		4,700		88,360
Masonite International Corp.†		3,000		220,500

				308,860

Building Products-Wood — 0.5%
Boise Cascade Co.		45,000		1,596,600

Building - Heavy Construction — 0.6%
Great Lakes Dredge & Dock Corp.†		55,100		534,470
Sterling Construction Co., Inc.†		33,200		453,512
Tutor Perini Corp.†		45,200		655,400

				1,643,382

Building - Maintenance & Services — 0.5%
ABM Industries, Inc.		49,000		1,613,080

Building - Residential/Commercial — 1.7%
KB Home		12,700		413,893
Meritage Homes Corp.†		28,100		1,783,226
Taylor Morrison Home Corp., Class A†		31,600		711,632
TRI Pointe Group, Inc.†#		126,200		1,934,646

				4,843,397

Cable/Satellite TV — 0.7%
Liberty Latin America, Ltd., Class A†		81,901		1,240,800
Liberty Latin America, Ltd., Class C†		28,500		432,915
WideOpenWest, Inc.†		55,800		350,982

				2,024,697

Casino Hotels — 0.1%
Boyd Gaming Corp.		9,900		264,429

Chemicals - Diversified — 0.2%
Koppers Holdings, Inc.†		24,300		531,198

Chemicals - Plastics — 0.0%
PolyOne Corp.		2,400		59,424

Chemicals - Specialty — 0.3%
H.B. Fuller Co.		1,100		43,153
Kraton Corp.†		11,400		115,368
Minerals Technologies, Inc.		15,360		689,203
Stepan Co.		650		57,090
Valhi, Inc.		5,700		7,923

				912,737

Circuit Boards — 0.2%
TTM Technologies, Inc.†		36,800		478,032

Coal — 0.8%
Arch Coal, Inc., Class A		20,100		1,012,035



Security Description	Shares		Value (Note 2)


Coal (continued)
Peabody Energy Corp.		11,900	$	69,496
Warrior Met Coal, Inc.		76,400		1,353,808

				2,435,339

Commercial Services — 0.2%
Acacia Research Corp.†		80,772		185,776
Harsco Corp.†		3,700		44,363
WW International, Inc.†		9,800		294,000

				524,139

Commercial Services - Finance — 0.2%
CBIZ, Inc.†		20,500		533,820

Communications Software — 0.3%
Avaya Holdings Corp.†		62,500		807,167

Computer Data Security — 0.1%
SecureWorks Corp., Class A†		12,800		177,792

Computer Services — 0.5%
CACI International, Inc., Class A†		900		220,518
Perspecta, Inc.		30,100		751,597
Unisys Corp.†		32,200		500,066

				1,472,181

Computer Software — 0.4%
TiVo Corp.		139,500		1,056,015

Computers - Integrated Systems — 0.1%
NetScout Systems, Inc.†		14,100		362,370

Computers - Other — 0.2%
Lumentum Holdings, Inc.†		7,500		583,650

Consulting Services — 1.9%
CRA International, Inc.		3,900		181,389
FTI Consulting, Inc.†		16,300		1,835,217
Hackett Group, Inc.		23,500		361,900
Huron Consulting Group, Inc.†		21,100		1,252,074
Kelly Services, Inc., Class A		66,100		1,097,921
Vectrus, Inc.†		14,300		744,887

				5,473,388

Consumer Products - Misc. — 0.8%
Central Garden & Pet Co., Class A†		29,600		749,176
Helen of Troy, Ltd.†		5,900		971,140
Quanex Building Products Corp.		34,300		576,240

				2,296,556

Containers - Metal/Glass — 0.0%
Greif, Inc., Class A		3,700		130,758

Data Processing/Management — 0.2%
Fair Isaac Corp.†		1,445		543,363

Dental Supplies & Equipment — 0.1%
Patterson Cos., Inc.		8,100		192,699

Dialysis Centers — 0.1%
American Renal Associates Holdings, Inc.†		22,200		178,710

Distribution/Wholesale — 1.3%
Anixter International, Inc.†		4,300		419,293
Core-Mark Holding Co., Inc.		24,600		566,046
Fossil Group, Inc.†#		10,900		50,031
G-III Apparel Group, Ltd.†		3,300		73,788
ScanSource, Inc.†		44,200		1,256,606
Titan Machinery, Inc.†		21,800		220,398
Triton International, Ltd.		27,500		945,175
Veritiv Corp.†		21,100		254,044

				3,785,381

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Diversified Manufacturing Operations — 0.4%
EnPro Industries, Inc.		2,300	$	124,085
Fabrinet†		16,500		909,480

				1,033,565

Drug Delivery Systems — 0.1%
Revance Therapeutics, Inc.†		11,300		261,256

E-Commerce/Services — 1.0%
Cars.com, Inc.†		54,700		496,676
Stamps.com, Inc.†		16,700		2,356,537

				2,853,213

E-Services/Consulting — 0.2%
Perficient, Inc.†		11,400		467,058

Electric Products - Misc. — 0.0%
Graham Corp.		2,900		48,082

Electric-Distribution — 0.3%
Spark Energy, Inc., Class A		33,900		290,184
Unitil Corp.		10,000		563,400

				853,584

Electric - Generation — 0.2%
Atlantic Power Corp.†		271,700		616,759

Electric - Integrated — 2.4%
Avista Corp.		15,280		720,452
Black Hills Corp.		21,900		1,581,180
IDACORP, Inc.		8,600		831,104
NorthWestern Corp.		4,600		323,564
PNM Resources, Inc.		4,900		230,692
Portland General Electric Co.		62,800		3,416,948

				7,103,940

Electronic Components - Misc. — 1.6%
Bel Fuse, Inc., Class B		9,300		106,392
Benchmark Electronics, Inc.		71,021		1,930,351
Comtech Telecommunications Corp.		4,000		112,080
OSI Systems, Inc.†		1,300		105,651
Sanmina Corp.†		49,200		1,293,468
SMART Global Holdings, Inc.†		31,300		840,092
Vishay Intertechnology, Inc.		9,500		177,650
Vishay Precision Group, Inc.†		800		21,976

				4,587,660

Electronic Components - Semiconductors — 2.6%
Alpha & Omega Semiconductor, Ltd.†		54,639		592,287
Amkor Technology, Inc.†		111,500		1,163,502
Rambus, Inc.†		218,200		3,050,436
Synaptics, Inc.†		27,000		1,783,350
Xperi Corp.		55,900		960,921

				7,550,496

Electronic Measurement Instruments — 0.1%
Stoneridge, Inc.†		13,100		289,510

Electronic Parts Distribution — 0.3%
Tech Data Corp.†		6,600		939,774

Energy - Alternate Sources — 0.8%
FutureFuel Corp.		36,500		371,205
Green Plains, Inc.		33,400		400,466
Renewable Energy Group, Inc.†#		10,400		275,080
REX American Resources Corp.†		12,400		868,124
SunPower Corp.†		16,500		140,172
TerraForm Power, Inc., Class A		19,000		357,010

				2,412,057



Security Description	Shares		Value (Note 2)


Engineering/R&D Services — 1.0%
KBR, Inc.		95,800	$	2,486,968
VSE Corp.		12,300		362,235

				2,849,203

Enterprise Software/Service — 0.5%
ACI Worldwide, Inc.†		28,500		794,295
Donnelley Financial Solutions, Inc.†		20,600		179,220
MicroStrategy, Inc., Class A†		2,500		337,900
Verint Systems, Inc.†		5,400		296,352

				1,607,767

Finance - Commercial — 0.1%
Hannon Armstrong Sustainable Infrastructure Capital, Inc.		6,700		227,465
Marlin Business Services Corp.		8,300		163,178

				390,643

Finance - Consumer Loans — 0.2%
Nelnet, Inc., Class A		10,300		546,930

Finance - Investment Banker/Broker — 0.1%
Houlihan Lokey, Inc.		1,700		87,074
Moelis & Co., Class A		2,800		89,488
Oppenheimer Holdings, Inc., Class A		1,700		40,341

				216,903

Finance - Leasing Companies — 0.3%
Aircastle, Ltd.		24,200		770,770

Finance - Mortgage Loan/Banker — 0.4%
PennyMac Financial Services, Inc.		33,300		1,174,158

Finance - Other Services — 0.0%
BGC Partners, Inc., Class A		12,000		55,920

Financial Guarantee Insurance — 1.3%
MBIA, Inc.†		28,000		218,400
MGIC Investment Corp.		119,000		1,431,570
Radian Group, Inc.		102,500		2,177,100

				3,827,070

Food - Wholesale/Distribution — 0.4%
Grocery Outlet Holding Corp.†		4,800		151,920
SpartanNash Co.		74,500		926,035

				1,077,955

Funeral Services & Related Items — 0.1%
Carriage Services, Inc.		14,200		300,330

Gas - Distribution — 1.9%
New Jersey Resources Corp.		3,300		116,523
Northwest Natural Holding Co.		11,000		723,470
ONE Gas, Inc.		17,100		1,404,594
Southwest Gas Holdings, Inc.		30,140		1,949,455
Spire, Inc.		16,600		1,245,830

				5,439,872

Hotels/Motels — 0.0%
Red Lion Hotels Corp.†		21,900		56,283

Housewares — 0.0%
Lifetime Brands, Inc.		15,078		95,896

Human Resources — 1.0%
Barrett Business Services, Inc.		12,700		760,730
Cross Country Healthcare, Inc.†		65,000		616,200
Heidrick & Struggles International, Inc.		25,700		573,110
Korn Ferry		3,500		122,430
TrueBlue, Inc.†		57,900		861,552

				2,934,022

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Independent Power Producers — 1.5%
Clearway Energy, Inc., Class A		78,900	$	1,600,881
Clearway Energy, Inc., Class C		83,800		1,763,152
Vistra Energy Corp.		46,029		885,138

				4,249,171

Insurance - Life/Health — 0.9%
American Equity Investment Life Holding Co.		60,100		1,519,328
CNO Financial Group, Inc.		70,020		1,121,720
Primerica, Inc.		700		77,938

				2,718,986

Insurance - Multi-line — 0.0%
Horace Mann Educators Corp.		1,380		53,723

Insurance - Property/Casualty — 0.6%
AMERISAFE, Inc.		9,100		593,047
FedNat Holding Co.		14,000		182,560
First American Financial Corp.		11,475		655,223
Hallmark Financial Services, Inc.†		5,200		73,736
Heritage Insurance Holdings, Inc.		17,100		190,836
National General Holdings Corp.		6,900		134,343
ProSight Global, Inc.†		5,000		67,000

				1,896,745

Insurance - Reinsurance — 0.7%
Argo Group International Holdings, Ltd.		1,775		99,862
Essent Group, Ltd.		42,700		1,863,428
Global Indemnity, Ltd.		1,300		41,288
Third Point Reinsurance, Ltd.†		16,200		144,504

				2,149,082

Internet Content - Information/News — 0.1%
HealthStream, Inc.†		9,700		235,904

Investment Management/Advisor Services — 0.8%
Artisan Partners Asset Management, Inc., Class A		15,000		428,700
Boston Private Financial Holdings, Inc.		53,400		520,917
BrightSphere Investment Group, Inc.		15,200		142,120
Stifel Financial Corp.		24,100		1,312,004

				2,403,741

Linen Supply & Related Items — 0.1%
UniFirst Corp.		2,000		371,620

Machine Tools & Related Products — 0.1%
Hurco Cos., Inc.		8,885		250,379

Machinery - Construction & Mining — 0.2%
Astec Industries, Inc.		14,600		548,230

Machinery - Electrical — 0.0%
Bloom Energy Corp. Class A†#		1,600		14,512

Machinery - Farming — 0.2%
AGCO Corp.		10,760		650,227

Machinery - General Industrial — 0.2%
Applied Industrial Technologies, Inc.		900		53,091
DXP Enterprises, Inc.†		16,100		457,079

				510,170

Medical Information Systems — 0.6%
Allscripts Healthcare Solutions, Inc.†		170,100		1,282,554
Computer Programs & Systems, Inc.		14,000		374,920

				1,657,474

Medical - Biomedical/Gene — 1.3%
Acceleron Pharma, Inc.†#		5,000		429,650
Acorda Therapeutics, Inc.†#		7,000		10,080
Akero Therapeutics, Inc.†#		10,900		237,293



Security Description	Shares		Value (Note 2)


Medical - Biomedical/Gene (continued)
AMAG Pharmaceuticals, Inc.†#		3,800	$	29,450
Arcus Biosciences, Inc.†		30,830		469,233
BioCryst Pharmaceuticals, Inc.†		23,800		71,400
Epizyme, Inc.†#		21,900		469,317
Fate Therapeutics, Inc.†#		16,200		473,040
Five Prime Therapeutics, Inc.†		15,100		57,833
Iovance Biotherapeutics, Inc.†		22,200		730,602
Karyopharm Therapeutics, Inc.†		14,200		232,028
Scholar Rock Holding Corp.†#		13,200		186,252
WaVe Life Sciences, Ltd.†#		36,200		305,528

				3,701,706

Medical - Drugs — 1.1%
Enanta Pharmaceuticals, Inc.†		3,300		167,904
Intra-Cellular Therapies, Inc.†		12,300		259,530
Kala Pharmaceuticals, Inc.†		17,400		93,090
Lannett Co., Inc.†#		134,600		1,171,020
Minerva Neurosciences, Inc.†		23,500		171,080
Prestige Consumer Healthcare, Inc.†#		18,400		687,424
Protagonist Therapeutics, Inc.†		50,425		393,315
Spero Therapeutics, Inc.†		16,200		154,548
Zogenix, Inc.†#		3,400		85,272

				3,183,183

Medical - Generic Drugs — 0.5%
Endo International PLC†		248,300		1,370,616

Medical - HMO — 0.9%
Magellan Health, Inc.†		43,300		2,598,433

Medical - Hospitals — 0.2%
Tenet Healthcare Corp.†		19,600		515,088

Medical - Wholesale Drug Distribution — 0.6%
Owens & Minor, Inc.		278,350		1,901,131

Metal Processors & Fabrication — 0.2%
LB Foster Co., Class A†		6,700		105,592
Mueller Industries, Inc.		13,200		369,336

				474,928

Metal Products - Distribution — 0.4%
Ryerson Holding Corp.†		7,800		64,974
Worthington Industries, Inc.		38,540		1,225,572

				1,290,546

Metal - Aluminum — 0.1%
Century Aluminum Co.†		60,700		352,060

Metal - Iron — 0.0%
Cleveland-Cliffs, Inc.#		3,400		19,754

Motion Pictures & Services — 0.1%
Eros International PLC†#		171,500		396,165

Multimedia — 0.1%
E.W. Scripps Co., Class A		28,700		341,530

Networking Products — 0.3%
NeoPhotonics Corp.†		140,800		930,688

Office Furnishings-Original — 0.3%
HNI Corp.		9,800		321,734
Kimball International, Inc., Class B		19,000		307,420
Knoll, Inc.		16,000		282,240

				911,394

Office Supplies & Forms — 0.6%
ACCO Brands Corp.		202,700		1,623,627

Oil Companies -Exploration & Production — 1.1%
Amplify Energy Corp.		77,100		322,278
Berry Corp.		75,100		478,387
CNX Resources Corp.†		71,900		381,789

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Oil Companies - Exploration & Production (continued)
Denbury Resources, Inc.†#		528,100	$	397,342
Evolution Petroleum Corp.		19,500		91,845
PDC Energy, Inc.†		28,000		532,840
Talos Energy, Inc.†		15,700		222,940
W&T Offshore, Inc.†		271,600		706,160

				3,133,581

Oil Field Machinery & Equipment — 0.1%
Dril-Quip, Inc.†		6,500		231,530
Forum Energy Technologies, Inc.†		53,500		41,730

				273,260

Oil Refining & Marketing — 0.9%
CVR Energy, Inc.#		9,300		264,306
Delek US Holdings, Inc.		86,600		1,851,508
Murphy USA, Inc.†		3,800		370,500
Par Pacific Holdings, Inc.†		9,600		159,264

				2,645,578

Oil - Field Services — 1.7%
Era Group, Inc.†		9,500		93,100
Matrix Service Co.†		68,600		828,688
MRC Global, Inc.†		139,100		1,210,170
NexTier Oilfield Solutions, Inc.†		108,466		505,452
Nine Energy Service, Inc.†#		22,900		92,974
NOW, Inc.†		195,000		1,721,850
Select Energy Services, Inc., Class A†		97,900		636,350

				5,088,584

Paper & Related Products — 0.9%
Domtar Corp.		9,640		277,343
Schweitzer-Mauduit International, Inc.		54,600		1,841,112
Verso Corp., Class A†		26,200		427,322

				2,545,777

Pastoral & Agricultural — 0.1%
Darling Ingredients, Inc.†		12,000		308,400

Poultry — 0.6%
Sanderson Farms, Inc.		13,525		1,671,149

Power Converter/Supply Equipment — 0.2%
Powell Industries, Inc.		13,600		454,648

Printing - Commercial — 0.4%
Deluxe Corp.		13,200		439,560
Ennis, Inc.		9,500		190,950
Quad/Graphics, Inc.#		76,000		364,800
RR Donnelley & Sons Co.		22,200		42,180

				1,037,490

Publishing - Books — 0.2%
Gannett Co, Inc.		30,900		129,780
Houghton Mifflin Harcourt Co.†		62,300		340,781

				470,561

Publishing - Newspapers — 0.2%
TEGNA, Inc.		43,300		620,056

Publishing - Periodicals — 0.0%
Meredith Corp.#		5,200		137,020

Racetracks — 0.5%
Penn National Gaming, Inc.†		47,500		1,404,575

Radio — 0.2%
Cumulus Media, Inc., Class A†		42,900		516,945



Security Description	Shares		Value (Note 2)


Real Estate Investment Trusts — 13.4%
Acadia Realty Trust		19,000	$	433,960
AG Mortgage Investment Trust, Inc.		34,500		516,465
Agree Realty Corp.		5,000		359,100
Alexander & Baldwin, Inc.		28,675		539,090
American Assets Trust, Inc.		33,800		1,401,010
Armada Hoffler Properties, Inc.		47,300		792,748
ARMOUR Residential REIT, Inc.		43,500		786,480
Ashford Hospitality Trust, Inc.		188,380		406,901
Blackstone Mtg. Trust, Inc., Class A#		43,900		1,583,034
Braemar Hotels & Resorts, Inc.		61,100		449,696
CatchMark Timber Trust, Inc., Class A		27,500		252,725
Cedar Realty Trust, Inc.		43,800		113,442
Cherry Hill Mtg. Investment Corp.		14,300		203,918
City Office REIT, Inc.		65,100		755,160
Community Healthcare Trust, Inc.		1,000		47,630
CoreCivic, Inc.		8,900		131,809
CorEnergy Infrastructure Trust, Inc.#		10,108		352,769
CorePoint Lodging, Inc.		5,200		41,392
CoreSite Realty Corp.		4,000		414,920
Cousins Properties, Inc.		33,049		1,179,519
DiamondRock Hospitality Co.		200,434		1,827,958
Easterly Government Properties, Inc.		30,900		734,493
Essential Properties Realty Trust, Inc.		10,100		231,391
Exantas Capital Corp.		6,400		73,344
First Industrial Realty Trust, Inc.		53,600		2,063,600
Franklin Street Properties Corp.		6,800		48,484
GEO Group, Inc.		45,500		666,120
Getty Realty Corp.		49,946		1,415,470
Gladstone Commercial Corp.		44,500		839,715
Healthcare Realty Trust, Inc.		7,400		253,820
Hersha Hospitality Trust		7,000		80,710
Highwoods Properties, Inc.		11,200		502,656
Hudson Pacific Properties, Inc.		5,300		171,084
Invesco Mtg. Capital, Inc.		52,500		844,200
Investors Real Estate Trust		8,500		598,825
Jernigan Capital, Inc.		6,100		109,312
Kite Realty Group Trust		17,100		276,165
KKR Real Estate Finance Trust, Inc.		24,500		481,180
Ladder Capital Corp.		77,400		1,180,350
Lexington Realty Trust		74,900		776,713
Mack-Cali Realty Corp.		30,100		571,298
Monmouth Real Estate Investment Corp.		17,100		242,820
New Senior Investment Group, Inc.		79,700		483,779
Office Properties Income Trust		19,400		565,122
Pebblebrook Hotel Trust		27,393		553,613
PennyMac Mtg. Investment Trust		14,100		291,870
Physicians Realty Trust		61,000		1,150,460
Piedmont Office Realty Trust, Inc., Class A		34,100		736,219
PotlatchDeltic Corp.		1,300		47,762
PS Business Parks, Inc.		2,700		401,085
Redwood Trust, Inc.		39,100		667,828
Retail Opportunity Investments Corp.		41,900		628,500
Rexford Industrial Realty, Inc.		5,300		247,881
RLJ Lodging Trust		13,726		181,320
Sabra Health Care REIT, Inc.		32,700		639,285
Saul Centers, Inc.		2,800		120,428
Service Properties Trust		3,640		65,811
STAG Industrial, Inc.		56,400		1,578,072
Sun Communities, Inc.		2,700		412,776
Sunstone Hotel Investors, Inc.		192,872		2,111,948
Terreno Realty Corp.		6,600		362,142
TPG RE Finance Trust, Inc.		37,000		711,140
Two Harbors Investment Corp.		53,605		726,348
UMH Properties, Inc.		4,000		58,040
Urban Edge Properties		33,400		541,080

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Real Estate Investment Trusts (continued)
Urstadt Biddle Properties, Inc., Class A		13,400	$	276,174
Xenia Hotels & Resorts, Inc.		56,900		851,224

				39,161,383

Real Estate Management/Services — 0.1%
Newmark Group, Inc., Class A		13,129		125,382
Realogy Holdings Corp.#		32,600		302,202

				427,584

Rental Auto/Equipment — 0.4%
Rent-A-Center, Inc.		50,800		1,081,532

Resort/Theme Parks — 0.1%
Marriott Vacations Worldwide Corp.		3,700		358,086

Retail - Apparel/Shoe — 0.8%
Abercrombie & Fitch Co., Class A		46,900		615,797
Cato Corp., Class A		48,897		790,664
Express, Inc.†		62,600		231,620
Genesco, Inc.†		9,600		330,336
Tilly’s, Inc., Class A		47,600		309,400
Winmark Corp.		325		65,000

				2,342,817

Retail - Automobile — 0.2%
Lithia Motors, Inc., Class A		1,300		154,908
Rush Enterprises, Inc., Class A		8,500		356,320

				511,228

Retail - Bookstores — 0.1%
Barnes & Noble Education, Inc.†		108,600		359,466

Retail - Building Products — 0.9%
BMC Stock Holdings, Inc.†		61,300		1,503,689
Foundation Building Materials, Inc.†		13,500		210,600
GMS, Inc.†		45,800		1,046,530

				2,760,819

Retail - Discount — 0.1%
Citi Trends, Inc.		9,600		189,792

Retail - Drug Store — 0.2%
Rite Aid Corp.†#		43,204		588,438

Retail - Home Furnishings — 0.2%
Bassett Furniture Industries, Inc.		6,500		64,155
Haverty Furniture Cos., Inc.		9,600		161,472
RH†		1,700		308,380

				534,007

Retail - Jewelry — 0.1%
Movado Group, Inc.		13,700		201,390
Signet Jewelers, Ltd.		7,800		181,896

				383,286

Retail - Misc./Diversified — 0.1%
Sally Beauty Holdings, Inc.†		27,000		335,880

Retail - Office Supplies — 0.3%
Office Depot, Inc.		414,400		973,840

Retail - Restaurants — 0.1%
Brinker International, Inc.		10,500		360,675

Retail - Sporting Goods — 0.7%
Hibbett Sports, Inc.†		57,200		1,116,544
Sportsman’s Warehouse Holdings, Inc.†		91,100		546,600
Zumiez, Inc.†		15,600		413,868

				2,077,012



Security Description	Shares		Value (Note 2)


Rubber/Plastic Products — 0.2%
Myers Industries, Inc.		6,258	$	84,921
Trinseo SA		26,300		575,444

				660,365

Savings & Loans/Thrifts — 3.4%
BankFinancial Corp.		25,600		290,304
Berkshire Hills Bancorp, Inc.		48,200		1,176,562
Brookline Bancorp, Inc.		26,300		364,781
Dime Community Bancshares, Inc.		16,500		276,870
First Defiance Financial Corp.		16,420		392,684
Flushing Financial Corp.		21,300		386,701
FS Bancorp, Inc.		1,500		71,685
HomeTrust Bancshares, Inc.		3,500		83,160
Investors Bancorp, Inc.		254,700		2,684,538
Meridian Bancorp, Inc.		35,200		581,152
Northfield Bancorp, Inc.		70,600		997,578
People’s United Financial, Inc.		9,625		134,654
Riverview Bancorp, Inc.		3,100		19,995
Territorial Bancorp, Inc.		2,900		73,718
Washington Federal, Inc.		65,700		1,970,343
Waterstone Financial, Inc.		10,000		166,300
WSFS Financial Corp.		10,656		367,206

				10,038,231

Schools — 0.5%
American Public Education, Inc.†		9,600		213,696
K12, Inc.†		63,200		1,256,416

				1,470,112

Semiconductor Components - Integrated Circuits — 0.3%
Cirrus Logic, Inc.†		13,000		892,320

Semiconductor Equipment — 0.3%
Ultra Clean Holdings, Inc.†		13,800		288,558
Veeco Instruments, Inc.†		40,500		542,295

				830,853

Steel-Producers — 0.6%
Commercial Metals Co.		100,300		1,831,478

Storage/Warehousing — 0.0%
Mobile Mini, Inc.		2,300		89,677

Superconductor Product & Systems — 0.1%
American Superconductor Corp.†#		37,300		255,505

Telecom Services — 0.4%
Consolidated Communications Holdings, Inc.		168,600		1,048,692
Spok Holdings, Inc.		2,500		24,900

				1,073,592

Television — 0.5%
Gray Television, Inc.†		30,400		575,168
Sinclair Broadcast Group, Inc., Class A		37,100		861,091

				1,436,259

Textile - Products — 0.0%
Culp, Inc.		4,000		36,480

Tobacco — 0.1%
Vector Group, Ltd.		24,690		286,898

Transactional Software — 0.0%
Synchronoss Technologies, Inc.†#		17,700		87,084

Transport - Marine — 0.7%
Costamare, Inc.		77,400		505,422
Dorian LPG, Ltd.†		63,000		700,560
SEACOR Holdings, Inc.†		19,700		734,810

				1,940,792

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Transport - Services — 0.4%
Echo Global Logistics, Inc.†		64,590	$	1,191,686

Transport -Truck — 0.5%
ArcBest Corp.		69,020		1,367,286
Covenant Transportation Group, Inc., Class A†		5,000		60,500

				1,427,786

Water — 0.2%
American States Water Co.		5,100		390,609
Artesian Resources Corp., Class A		1,300		44,629
Consolidated Water Co., Ltd.		12,100		195,536

				630,774

Wire & Cable Products — 0.1%
Encore Wire Corp.		3,000		146,910

X-Ray Equipment — 0.1%
Varex Imaging Corp.†		18,400		427,248

Total Common Stocks
(cost $295,214,261)				282,908,014

RIGHTS — 0.0%
Medical - Drugs — 0.0%
Spero Therapeutics, Inc. (strike price $9.00) Expires 03/02/2020 (cost $0)		2,462		1,329

Total Long-Term Investment Securities
(cost $295,214,261)				282,909,343

SHORT-TERM INVESTMENT SECURITIES — 1.2%
Registered Investment Companies — 1.2%
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(1)(2) (cost $3,438,239)		3,438,239		3,438,239



Security Description	Principal Amount			Value (Note 2)

REPURCHASE AGREEMENTS — 2.5%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.25%, dated 02/28/2020, to be repurchased 03/02/2020 in the amount of $7,191,150 and collateralized by $1,380,000 of United States Treasury Notes, bearing interest at 2.13% due 12/31/2021 and by $5,750,000 of United States Treasury Bonds, bearing interest at 2.63% due 12/15/2021 and having an approximate aggregate value of $7,340,704 (cost $7,191,000)	$	7,191,000		$	7,191,000

TOTAL INVESTMENTS
(cost $305,843,500)(3)		100.6	%		293,538,582
Liabilities in excess of other assets		(0.6	)		(1,702,809	)

NET ASSETS		100.0	%	$	291,835,773

†	Non-income producing security

#	The security or a portion thereof is out on loan (see Note 2).

(1)	The rate shown is the 7-day yield as of February 29, 2020.

(2)

At February 29, 2020, the Fund had loaned securities with a total value of $8,290,027. This was secured by collateral of $3,438,239, which was received in cash and subsequently invested in short-term investments currently valued at $3,438,239 as reported in the Portfolio of Investments. Additional collateral of $5,162,405 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
Federal Home Loan Mtg. Corp.	3.00% to 3.50%	12/01/2047 to 07/01/2049	$	800
Federal National Mtg. Assoc.	2.50% to 3.50%	11/01/2046 to 12/25/2049		743
Government National Mtg. Assoc.	2.50%	09/20/2046		247
United States Treasury Bills	0.00%	03/12/2020 to 05/21/2020		52,245
United States Treasury Notes/Bonds	0.13% to 8.75%	03/31/2020 to 11/15/2049		5,108,370

(3)	See Note 5 for cost of investments on a tax basis.

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

Industry Allocation*


Federal National Mtg. Assoc.	19.5	%
Sovereign	10.1
Federal Home Loan Mtg. Corp.	7.0
Registered Investment Companies	4.4
Diversified Banking Institutions	3.6
Diversified Financial Services	3.2
Banks — Commercial	3.1
Cable/Satellite TV	1.9
Real Estate Investment Trusts	1.8
Government National Mtg. Assoc.	1.8
Cellular Telecom	1.7
Pipelines	1.6
Oil Companies-Exploration & Production	1.5
United States Treasury Bonds	1.2
Electric — Integrated	1.2
Medical — Drugs	1.0
Auto — Cars/Light Trucks	0.9
Finance — Consumer Loans	0.8
Oil Companies — Integrated	0.8
United States Treasury Notes	0.8
Chemicals — Diversified	0.7
Containers — Metal/Glass	0.6
Banks — Super Regional	0.6
Electric — Generation	0.6
Enterprise Software/Service	0.6
Satellite Telecom	0.5
Internet Content — Entertainment	0.5
Containers — Paper/Plastic	0.5
Computers	0.5
Metal — Copper	0.5
Distribution/Wholesale	0.5
Electric — Distribution	0.4
Television	0.4
Medical — Hospitals	0.4
Food — Misc./Diversified	0.4
Independent Power Producers	0.4
Batteries/Battery Systems	0.4
Diversified Manufacturing Operations	0.4
Transport-Rail	0.4
Airport Development/Maintenance	0.4
Real Estate Operations & Development	0.4
Insurance — Property/Casualty	0.4
Finance — Credit Card	0.3
Food — Retail	0.3
Diversified Minerals	0.3
Computer Software	0.3
Cosmetics & Toiletries	0.3
Retail — Restaurants	0.3
Telecom Services	0.3
Food — Meat Products	0.3
Protection/Safety	0.3
Radio	0.3
Energy — Alternate Sources	0.3
Oil — Field Services	0.3
Medical Labs & Testing Services	0.3
Electronic Parts Distribution	0.3
Theaters	0.3
Commercial Services	0.3
Machinery — Farming	0.3
Insurance — Mutual	0.3
Retail — Petroleum Products	0.3
Computers — Integrated Systems	0.3
Building & Construction Products-Misc.	0.3
Metal — Iron	0.3
Federal Home Loan Bank	0.3
Commercial Services — Finance	0.3
Insurance — Life/Health	0.3
Medical — HMO	0.3
Consumer Products-Misc.	0.3


Aerospace/Defense — Equipment			0.3
Building & Construction — Misc.			0.3
Medical — Generic Drugs			0.3
Applications Software			0.2
Diagnostic Equipment			0.2
Paper & Related Products			0.2
Multimedia			0.2
Finance — Leasing Companies			0.2
Agricultural Chemicals			0.2
Medical Products			0.2
Finance — Investment Banker/Broker			0.2
Metal — Diversified			0.2
Data Processing/Management			0.2
Chemicals — Specialty			0.2
Casino Services			0.2
Insurance — Multi-line			0.2
Auction Houses/Art Dealers			0.2
Investment Companies			0.2
Casino Hotels			0.2
Steel — Producers			0.2
Pharmacy Services			0.2
Hotels/Motels			0.2
Banks — Export/Import			0.2
Dialysis Centers			0.2
Advertising Agencies			0.2
Machinery — Construction & Mining			0.2
Internet Connectivity Services			0.2
Insurance Brokers			0.2
Auto/Truck Parts & Equipment — Original			0.2
Food — Dairy Products			0.2
Finance — Mortgage Loan/Banker			0.2
Oil Refining & Marketing			0.2
Finance — Commercial			0.2
Building Products — Doors & Windows			0.2
Computer Services			0.2
E-Commerce/Services			0.2
Building — Heavy Construction			0.2
Building Products — Air & Heating			0.2
Finance — Auto Loans			0.1
Auto — Heavy Duty Trucks			0.1
Building — Residential/Commercial			0.1
Transport — Air Freight			0.1
Brewery			0.1
Rental Auto/Equipment			0.1
Coal			0.1
Metal Processors & Fabrication			0.1
Decision Support Software			0.1
Human Resources			0.1
Savings & Loans/Thrifts			0.1
Medical — Biomedical/Gene			0.1
Electronic Components — Semiconductors			0.1
Security Services			0.1
Banks — Money Center			0.1
Machinery — Pumps			0.1
Pastoral & Agricultural			0.1
Poultry			0.1
Banks — Special Purpose			0.1
Central Bank			0.1
Computers — Memory Devices			0.1
Hazardous Waste Disposal			0.1
Gas — Distribution			0.1
SupraNational Banks			0.1
Retail — Discount			0.1
Motion Pictures & Services			0.1
Beverages — Non-alcoholic			0.1
Gambling (Non-Hotel)			0.1
Transport — Marine			0.1
Disposable Medical Products			0.1
Aerospace/Defense			0.1

Industry Allocation* (continued)


Publishing — Periodicals	0.1	%
Broadcast Services/Program	0.1
Trucking/Leasing	0.1
Investment Management/Advisor Services	0.1
Petrochemicals	0.1
Tools — Hand Held	0.1
Retail — Mail Order	0.1
Non-Hazardous Waste Disposal	0.1
Auto Repair Centers	0.1
Food — Confectionery	0.1
Transport — Truck	0.1
Machinery — General Industrial	0.1
Oil Field Machinery & Equipment	0.1
Advertising Sales	0.1
Telecom Equipment — Fiber Optics	0.1
Electronic Measurement Instruments	0.1
Resorts/Theme Parks	0.1
Platinum	0.1
Sovereign Agency	0.1
Medical — Wholesale Drug Distribution	0.1
Internet Financial Services	0.1
Transport — Equipment & Leasing	0.1
Direct Marketing	0.1
Computer Graphics	0.1
Building Societies	0.1
Research & Development	0.1
Athletic Equipment	0.1
Real Estate Management/Services	0.1
Quarrying	0.1
Computer Data Security	0.1

	100.5	%

*	Calculated as a percentage of net assets

Credit Quality†#


Aaa	32.3	%
Aa	1.9
A	7.6
Baa	14.9
Ba	15.6
B	16.5
Caa	2.5
Not Rated@	8.7

	100.0	%

*	Calculated as a percentage of net assets.

†	Source: Moody’s

#	Calculated as percentage of total debt issues, excluding short-term securities.

@	Represent debt issues that either have no rating, or the rating is unavailable from the data source.



Security Description	Principal Amount(7)		Value (Note 2)

ASSET BACKED SECURITIES — 3.0%
Diversified Financial Services — 3.0%
American Express Credit Account Master Trust Series 2019-2, Class A 2.67% due 11/15/2024	$	500,000	$	515,220
American Express Credit Account Master Trust Series 2018-4, Class A 2.99% due 12/15/2023		225,000		229,771
American Express Credit Account Master Trust Series 2018-8, Class A 3.18% due 04/15/2024		303,000		312,226
AmeriCredit Automobile Receivables Trust Series 2019-1, Class A3 2.97% due 11/20/2023		500,000		509,699
BA Credit Card Trust Series 2019-A1, Class A1 1.74% due 01/15/2025		500,000		506,768
BA Credit Card Trust Series 2018-A2, Class A2 3.00% due 09/15/2023		318,000		324,633
BANK Series 2019-BN19, Class A3 3.18% due 08/15/2061(1)		1,250,000		1,381,540
BANK Series 2019-BN16, Class A2 3.93% due 02/15/2052(1)		680,000		733,539
Benchmark Mtg. Trust Series 2019-B9, Class AAB 3.93% due 03/15/2052(1)		850,000		958,872
BMW Vehicle Lease Trust Series 2019-1, Class A4 2.92% due 08/22/2022		350,000		357,463
BX Commercial Mtg. Trust FRS Series 2019-IMC, Class A 2.66% (1 ML+1.00%) due 04/15/2034*(1)		700,000		699,577
Capital One Multi-Asset Execution Trust Series 2019-A2, Class A2 1.72% due 08/15/2024		500,000		506,039
Capital One Prime Auto Receivables Trust Series 2019-2, Class A3 1.92% due 05/15/2024		100,000		101,355
CarMax Auto Owner Trust Series 2019-3, Class A3 2.18% due 08/15/2024		200,000		204,023
CarMax Auto Owner Trust Series 2019-2, Class A3 2.68% due 03/15/2024		250,000		255,738
CarMax Auto Owner Trust Series 2018-4, Class A3 3.36% due 09/15/2023		400,000		411,751
Chase Mtg. Finance Corp. VRS Series 2016-SH2, Class M2 3.75% due 12/25/2045*(2)(3)		658,740		693,426
Citibank Credit Card Issuance Trust Series 2018-A1, Class A1 2.49% due 01/20/2023		100,000		100,940
Citibank Credit Card Issuance Trust Series 2018-A7, Class A7 3.96% due 10/13/2030		100,000		116,842
Citigroup Commercial Mtg. Trust VRS Series 2018-C5, Class A4 4.23% due 06/10/2051(1)(2)		1,000,000		1,168,866
COMM Mtg. Trust VRS Series 2015-CR22, Class XA 0.91% due 03/10/2048(1)(2)(4)		4,213,798		147,577



Security Description	Principal Amount(7)		Value (Note 2)


Diversified Financial Services (continued)
COMM Mtg. Trust VRS Series 2016-787S, Class B 3.83% due 02/10/2036*(1)(2)	$	250,000	$	275,283
CSAIL Commercial Mtg. Trust Series 2017-C8, Class A2 2.99% due 06/15/2050(1)		150,000		154,111
CSAIL Commercial Mtg. Trust Series 2019-C17, Class A2 3.00% due 09/15/2052(1)		1,675,000		1,772,071
CSAIL Commercial Mtg. Trust Series 2015-C1, Class A4 3.51% due 04/15/2050(1)		490,000		531,814
Discover Card Execution Note Trust Series 2019-A1, Class A1 3.04% due 07/15/2024		470,000		485,920
Ford Credit Auto Owner Trust Series 2016-C, Class B 1.73% due 03/15/2022		115,000		115,092
Ford Credit Floorplan Master Owner Trust Series 2017-3, Class A 2.48% due 09/15/2024		250,000		257,645
GM Financial Consumer Automobile Receivables Trust Series 2017-3A, Class 4A 2.13% due 03/16/2023*		200,000		201,993
GM Financial Consumer Automobile Receivables Trust Series 2019-3, Class A3 2.18% due 04/16/2024		132,000		134,027
GS Mtg. Securities Trust Series 2015-GC28, Class A2 2.90% due 02/10/2048(1)		45,314		45,295
Hertz Vehicle Financing II LP Series 2019-3A, Class A 2.67% due 12/26/2025*		100,000		103,375
Honda Auto Receivables Owner Trust Series 2019-1, Class A3 2.83% due 03/20/2023		233,000		237,544
ILPT Trust Series 2019-SURF, Class A 4.15% due 02/11/2041*(1)		960,000		1,125,630
Jackson Park Trust Series 2019-LIC, Class A 2.77% due 10/14/2039*(1)		2,500,000		2,664,213
JP Morgan Mtg. Trust VRS Series 2017-6, Class A6 3.00% due 12/25/2048*(2)(3)		1,855,055		1,890,904
JP Morgan Mtg. Trust VRS Series 2018-1, Class A5 3.50% due 06/25/2048*(2)(3)		1,311,751		1,341,265
Mercedes-Benz Auto Lease Trust Series 2019-A, Class A4 3.25% due 10/15/2024		62,000		63,418
Mercedes-Benz Auto Lease Trust Series 2018-B, Class A4 3.31% due 07/15/2024		367,000		374,132
MTRO Commercial Mtg. Trust FRS Series 2019-TECH, Class A 2.56% (1 ML+0.90%) due 12/15/2033*(1)		550,000		549,503
One Bryant Park Trust Series 2019-OBP, Class A 2.52% due 09/15/2054*(1)		640,000		665,746
Shellpoint Co-Originator Trust VRS Series 2017-2, Class A1 3.50% due 10/25/2047*(2)(3)		715,754		734,822
Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A 2.56% due 11/25/2031*		425,000		444,962

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

ASSET BACKED SECURITIES (continued)
Diversified Financial Services (continued)
Toyota Auto Receivables Owner Trust Series 2018-C, Class A4 3.13% due 02/15/2024	$	200,000	$	207,714
Verizon Owner Trust Series 2018-1A, Class C 3.20% due 09/20/2022*		100,000		102,075
Volkswagen Auto Loan Enhanced Trust Series 2018-2, Class A4 3.33% due 02/20/2025		150,000		156,922
World Financial Network Credit Card Master Trust Series 2019-C, Class M 2.71% due 07/15/2026		250,000		254,315

Total Asset Backed Securities
(cost $23,955,858)				25,125,656

U.S. CORPORATE BONDS & NOTES — 31.4%
Advertising Agencies — 0.1%
Interpublic Group of Cos., Inc. Senior Notes 4.20% due 04/15/2024		101,000		111,296
Omnicom Group, Inc. Senior Notes 2.45% due 04/30/2030		488,000		491,913

				603,209

Advertising Sales — 0.1%
National CineMedia LLC Senior Sec. Notes 5.88% due 04/15/2028*		580,000		592,641

Aerospace/Defense — 0.1%
BAE Systems Holdings, Inc. Company Guar. Notes 3.85% due 12/15/2025*		494,000		543,247
General Dynamics Corp. Company Guar. Notes 2.88% due 05/11/2020		233,000		233,506

				776,753

Aerospace/Defense-Equipment — 0.3%
L3Harris Technologies, Inc. Senior Notes 2.90% due 12/15/2029		50,000		53,154
Moog, Inc. Company Guar. Notes 4.25% due 12/15/2027*		916,000		932,030
United Technologies Corp. Senior Notes 1.15% due 05/18/2024	EUR	950,000		1,090,084

				2,075,268

Airlines — 0.0%
Atlas Air, Inc. Pass-Through Certs. Series 1999-1, Class B 7.63% due 04/02/2020(5)		3,811		3,833

Applications Software — 0.2%
CDK Global, Inc. Senior Notes 5.88% due 06/15/2026		716,000		749,151
SS&C Technologies, Inc. Company Guar. Notes 5.50% due 09/30/2027*		1,195,000		1,251,404

				2,000,555



Security Description	Principal Amount(7)		Value (Note 2)


Auction Houses/Art Dealers — 0.2%
Sotheby’s Senior Sec. Notes 7.38% due 10/15/2027*	$	1,265,000	$	1,261,344

Auto-Cars/Light Trucks — 0.7%
BMW US Capital LLC Company Guar. Notes 3.10% due 04/12/2021*		150,000		152,873
Daimler Finance North America LLC FRS Company Guar. Notes 2.41% (3 ML + 0.67%) due 11/05/2021*		855,000		857,733
Daimler Finance North America LLC Company Guar. Notes 2.45% due 05/18/2020*		368,000		368,584
Ford Motor Credit Co. LLC Senior Notes 4.39% due 01/08/2026		204,000		204,299
Ford Motor Credit Co. LLC Senior Notes 4.54% due 03/06/2025	GBP	400,000		542,406
Hyundai Capital America Senior Notes 3.40% due 06/20/2024*		252,000		265,596
Nissan Motor Acceptance Corp. Senior Notes 2.65% due 07/13/2022*		189,000		192,792
Nissan Motor Acceptance Corp. FRS Senior Notes 2.74% (3 ML+0.89%) due 01/13/2022*		850,000		855,558
Tesla, Inc. Company Guar. Notes 5.30% due 08/15/2025*		1,050,000		1,048,687
Toyota Motor Credit Corp. Senior Notes 2.15% due 02/13/2030		400,000		405,013
Toyota Motor Credit Corp. Senior Notes 3.45% due 09/20/2023		340,000		364,668
Volkswagen Group of America Finance LLC Company Guar. Notes 2.50% due 09/24/2021*		235,000		238,029

				5,496,238

Auto-Heavy Duty Trucks — 0.1%
Allison Transmission, Inc. Senior Notes 5.00% due 10/01/2024*		1,004,000		1,015,255
PACCAR Financial Corp. Senior Notes 2.00% due 09/26/2022		190,000		193,470

				1,208,725

Auto/Truck Parts & Equipment-Original — 0.1%
Dana, Inc. Senior Notes 5.38% due 11/15/2027		720,000		727,200
Lear Corp. Senior Notes 5.25% due 05/15/2049		188,000		197,360

				924,560

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Banks-Commercial — 0.5%
BankUnited, Inc. Senior Notes 4.88% due 11/17/2025	$	993,000	$	1,134,601
Citizens Financial Group, Inc. Senior Notes 2.50% due 02/06/2030		75,000		76,120
Citizens Financial Group, Inc. Sub. Notes 4.30% due 12/03/2025		178,000		198,729
Discover Bank Senior Notes 2.70% due 02/06/2030		250,000		252,739
Regions Financial Corp. Sub. Notes 7.38% due 12/10/2037		405,000		595,201
SunTrust Bank Senior Notes 3.20% due 04/01/2024		498,000		527,381
SunTrust Bank Senior Notes 3.50% due 08/02/2022		288,000		295,960
Synovus Bank Senior Notes 2.29% due 02/10/2023		250,000		253,023
Zions Bancorp NA Sub. Notes 3.25% due 10/29/2029		479,000		502,353

				3,836,107

Banks-Super Regional — 0.6%
Bank of America NA FRS Senior Notes 2.03% (3 ML + 0.35%) due 05/24/2021		860,000		860,522
Bank of America NA Senior Notes 3.34% due 01/25/2023		426,000		440,399
Wells Fargo & Co. Senior Notes 1.00% due 02/02/2027	EUR	800,000		907,343
Wells Fargo & Co. Sub. Notes 4.30% due 07/22/2027		1,187,000		1,331,232
Wells Fargo Bank NA Senior Notes 2.08% due 09/09/2022		697,000		702,176
Wells Fargo Bank NA Sub. Notes 5.25% due 08/01/2023	GBP	400,000		577,111

				4,818,783

Batteries/Battery Systems — 0.4%
Energizer Holdings, Inc. Company Guar. Notes 6.38% due 07/15/2026*		1,430,000		1,483,339
EnerSys Company Guar. Notes 5.00% due 04/30/2023*		1,858,000		1,944,713

				3,428,052

Beverages-Non-alcoholic — 0.1%
Keurig Dr Pepper, Inc. Company Guar. Notes 4.42% due 05/25/2025		480,000		538,298



Security Description	Principal Amount(7)		Value (Note 2)


Beverages-Non-alcoholic (continued)
PepsiCo, Inc. Senior Notes 2.88% due 10/15/2049	$	250,000	$	264,371

				802,669

Brewery — 0.1%
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.90% due 02/01/2046		346,000		426,565
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 4.60% due 04/15/2048		511,000		613,364
Anheuser-Busch InBev Worldwide, Inc. Company Guar. Notes 5.55% due 01/23/2049		72,000		97,843

				1,137,772

Broadcast Services/Program — 0.0%
Discovery Communications LLC Company Guar. Notes 5.30% due 05/15/2049		256,000		309,901

Building & Construction Products-Misc. — 0.2%
Owens Corning Senior Notes 4.30% due 07/15/2047		452,000		502,637
Standard Industries, Inc. Senior Notes 6.00% due 10/15/2025*		1,200,000		1,254,000

				1,756,637

Building & Construction-Misc. — 0.2%
Frontdoor, Inc. Senior Notes 6.75% due 08/15/2026*		1,258,000		1,376,636

Building Products-Air & Heating — 0.1%
Carrier Global Corp. Company Guar. Notes 3.38% due 04/05/2040*		387,000		397,805
Carrier Global Corp. Company Guar. Notes 3.58% due 04/05/2050*		340,000		350,284

				748,089

Building Products-Cement — 0.0%
Martin Marietta Materials, Inc. Senior Notes 3.50% due 12/15/2027		273,000		299,530

Building Products-Doors & Windows — 0.1%
Griffon Corp. Senior Notes 5.75% due 03/01/2028*		839,000		839,310

Building-Heavy Construction — 0.1%
Tutor Perini Corp. Company Guar. Notes 6.88% due 05/01/2025*#		1,164,000		1,056,330

Building-Residential/Commercial — 0.0%
Toll Brothers Finance Corp. Company Guar. Notes 4.35% due 02/15/2028		211,000		222,685

Cable/Satellite TV — 1.4%
Block Communications, Inc. Senior Notes 4.88% due 03/01/2028*		909,000		912,200

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Cable/Satellite TV (continued)
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.00% due 02/01/2028*	$	556,000	$	578,240
CCO Holdings LLC/CCO Holdings Capital Corp. Senior Notes 5.38% due 06/01/2029*		685,000		729,320
Charter Communications Operating LLC/Charter Communications Operating Capital FRS Senior Sec. Notes 3.41% (3 ML+1.65%) due 02/01/2024		1,290,000		1,331,215
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 4.80% due 03/01/2050		301,000		325,248
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.05% due 03/30/2029		1,025,000		1,188,128
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 5.38% due 04/01/2038		29,000		33,646
Charter Communications Operating LLC/Charter Communications Operating Capital Senior Sec. Notes 6.38% due 10/23/2035		94,000		124,157
Comcast Corp. Company Guar. Notes 0.25% due 05/20/2027	EUR	580,000		642,299
Comcast Corp. Company Guar. Notes 2.35% due 01/15/2027		427,000		441,268
Comcast Corp. Company Guar. Notes 3.90% due 03/01/2038		56,000		65,198
Comcast Corp. Company Guar. Notes 4.60% due 10/15/2038		329,000		410,958
CSC Holdings LLC Senior Notes 5.25% due 06/01/2024		785,000		847,800
CSC Holdings LLC Company Guar. Notes 5.50% due 04/15/2027*		3,337,000		3,512,192
Time Warner Cable LLC Senior Sec. Notes 6.55% due 05/01/2037		364,000		473,918

				11,615,787

Casino Hotels — 0.1%
Boyd Gaming Corp. Company Guar. Notes 4.75% due 12/01/2027*		720,000		711,094

Casino Services — 0.2%
Eldorado Resorts, Inc. Company Guar. Notes 6.00% due 09/15/2026		1,185,000		1,276,269

Cellular Telecom — 0.7%
Sprint Corp. Company Guar. Notes 7.88% due 09/15/2023		4,397,000		5,023,573



Security Description	Principal Amount(7)		Value (Note 2)


Cellular Telecom (continued)
T-Mobile USA, Inc. Company Guar. Notes 6.38% due 03/01/2025	$	555,000	$	570,029

				5,593,602

Chemicals-Diversified — 0.3%
Dow Chemical Co. Senior Notes 1.13% due 03/15/2032	EUR	1,050,000		1,131,525
LYB International Finance III LLC Company Guar. Notes 4.20% due 10/15/2049		356,000		377,314
Westlake Chemical Corp. Senior Notes 1.63% due 07/17/2029	EUR	500,000		560,024

				2,068,863

Chemicals-Specialty — 0.1%
Ecolab, Inc. Senior Notes 2.38% due 08/10/2022		213,000		217,421
Huntsman International LLC Senior Notes 4.50% due 05/01/2029		345,000		380,087
Lubrizol Corp. Company Guar. Notes 6.50% due 10/01/2034		144,000		217,888

				815,396

Coal — 0.1%
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. Company Guar. Notes 7.50% due 06/15/2025*		1,235,000		1,111,500

Commercial Services — 0.3%
Harsco Corp. Company Guar. Notes 5.75% due 07/31/2027*		944,000		929,840
Nielsen Finance LLC/Nielsen Finance Co. Company Guar. Notes 5.00% due 04/15/2022*		1,525,000		1,520,028

				2,449,868

Commercial Services-Finance — 0.2%
MPH Acquisition Holdings LLC Company Guar. Notes 7.13% due 06/01/2024*		1,350,000		1,255,797

Computer Services — 0.1%
IBM Credit LLC Senior Notes 3.00% due 02/06/2023		696,000		727,497
International Business Machines Corp. Senior Notes 2.50% due 01/27/2022		329,000		336,502

				1,063,999

Computer Software — 0.1%
Rackspace Hosting, Inc. Company Guar. Notes 8.63% due 11/15/2024*#		1,050,000		1,005,375

Computers — 0.5%
Apple, Inc. Senior Notes 2.05% due 09/11/2026		232,000		237,964

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Computers (continued)
Apple, Inc. Senior Notes 2.85% due 05/06/2021	$	177,000	$	180,072
Dell International LLC/EMC Corp. Senior Sec. Notes 6.02% due 06/15/2026*		2,515,000		2,947,633
Dell International LLC/EMC Corp. Senior Sec. Notes 8.10% due 07/15/2036*		333,000		456,982
Hewlett Packard Enterprise Co. Senior Notes 6.20% due 10/15/2035		249,000		311,518

				4,134,169

Computers-Integrated Systems — 0.3%
Diebold Nixdorf, Inc. Company Guar. Notes 8.50% due 04/15/2024#		1,580,000		1,422,000
NCR Corp. Company Guar. Notes 6.13% due 09/01/2029*		901,000		977,855

				2,399,855

Consumer Products-Misc. — 0.3%
Central Garden & Pet Co. Company Guar. Notes 5.13% due 02/01/2028		1,350,000		1,407,375
Prestige Brands, Inc. Company Guar. Notes 5.13% due 01/15/2028*		692,000		723,140

				2,130,515

Containers-Metal/Glass — 0.3%
Owens-Brockway Glass Container, Inc. Company Guar. Notes 5.38% due 01/15/2025*#		1,034,000		1,084,956
Silgan Holdings, Inc. Senior Notes 4.75% due 03/15/2025		1,300,000		1,315,171

				2,400,127

Containers-Paper/Plastic — 0.2%
Berry Global, Inc. Sec. Notes 4.50% due 02/15/2026*		689,000		678,665
Sealed Air Corp. Company Guar. Notes 5.13% due 12/01/2024*		971,000		1,041,398

				1,720,063

Cosmetics & Toiletries — 0.2%
Coty, Inc. Company Guar. Notes 6.50% due 04/15/2026*#		1,875,000		1,926,562

Data Processing/Management — 0.2%
Fair Isaac Corp. Senior Notes 4.00% due 06/15/2028*		1,139,000		1,167,475
Fiserv, Inc. Senior Notes 4.40% due 07/01/2049		160,000		191,446

				1,358,921



Security Description	Principal Amount(7)		Value (Note 2)


Decision Support Software — 0.1%
MSCI, Inc. Company Guar. Notes 4.00% due 11/15/2029*	$	1,025,000	$	1,062,208

Diagnostic Equipment — 0.1%
Ortho-Clinical Diagnostics, Inc. Senior Notes 6.63% due 05/15/2022*		190,000		188,518
Thermo Fisher Scientific, Inc. Senior Notes 1.88% due 10/01/2049	EUR	650,000		691,745

				880,263

Dialysis Centers — 0.2%
DaVita HealthCare Partners, Inc. Company Guar. Notes 5.13% due 07/15/2024		1,400,000		1,417,500

Distribution/Wholesale — 0.4%
ABC Supply Co., Inc. Senior Sec. Notes 4.00% due 01/15/2028*		1,050,000		1,025,063
Anixter, Inc. Company Guar. Notes 6.00% due 12/01/2025		941,000		1,006,870
H&E Equipment Services, Inc. Company Guar. Notes 5.63% due 09/01/2025		1,166,000		1,215,065

				3,246,998

Diversified Banking Institutions — 1.7%
Bank of America Corp. Senior Notes 0.75% due 07/26/2023	EUR	700,000		788,197
Bank of America Corp. Senior Notes 2.38% due 06/19/2024	EUR	900,000		1,086,237
Bank of America Corp. Senior Notes 2.46% due 10/22/2025		377,000		386,544
Bank of America Corp. Senior Notes 3.71% due 04/24/2028		354,000		386,581
Bank of America Corp. Sub. Notes 4.18% due 11/25/2027		610,000		678,854
Bank of America Corp. Sub. Notes 6.11% due 01/29/2037		296,000		407,317
Citigroup, Inc. Senior Notes 2.75% due 01/24/2024	GBP	300,000		404,028
Citigroup, Inc. FRS Senior Notes 2.96% (3 ML + 1.07%) due 12/08/2021		850,000		861,398
Citigroup, Inc. Senior Notes 3.67% due 07/24/2028		615,000		675,499
Citigroup, Inc. Sub. Notes 4.45% due 09/29/2027		334,000		377,214
Citigroup, Inc. Sub. Notes 4.75% due 05/18/2046		358,000		449,315

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Diversified Banking Institutions (continued)
Citigroup, Inc. Sub. Notes 5.88% due 02/22/2033	$	251,000	$	336,631
Citigroup, Inc. Sub. Notes 6.00% due 10/31/2033		100,000		136,395
Goldman Sachs Group, Inc. Senior Notes 2.35% due 11/15/2021		552,000		555,049
Goldman Sachs Group, Inc. Senior Notes 2.60% due 02/07/2030		748,000		758,754
Goldman Sachs Group, Inc. FRS Senior Notes 2.86% (3 ML+1.17%) due 11/15/2021		1,000,000		1,007,300
Goldman Sachs Group, Inc. Senior Notes 3.13% due 07/25/2029	GBP	400,000		557,227
Goldman Sachs Group, Inc. Sub. Notes 4.25% due 10/21/2025		319,000		348,441
Goldman Sachs Group, Inc. Sub. Notes 6.75% due 10/01/2037		517,000		733,702
JPMorgan Chase & Co. Senior Notes 3.21% due 04/01/2023		437,000		451,236
JPMorgan Chase & Co. Senior Notes 3.51% due 01/23/2029		421,000		459,845
JPMorgan Chase & Co. Senior Notes 3.88% due 07/24/2038		207,000		236,568
Morgan Stanley FRS Senior Notes 3.00% (3 ML+1.18%) due 01/20/2022		855,000		860,915
Morgan Stanley Senior Notes 3.63% due 01/20/2027		787,000		860,934
Morgan Stanley Senior Notes 5.50% due 07/24/2020		395,000		400,804

				14,204,985

Diversified Financial Services — 0.0%
USAA Capital Corp. Senior Notes 2.63% due 06/01/2021*		311,000		316,635

Diversified Manufacturing Operations — 0.2%
Carlisle Cos., Inc. Senior Notes 2.75% due 03/01/2030		188,000		187,518
General Electric Co. Senior Notes 1.25% due 05/26/2023	EUR	500,000		568,190
Illinois Tool Works, Inc. Senior Notes 0.63% due 12/05/2027	EUR	585,000		667,445
Illinois Tool Works, Inc. Senior Notes 3.50% due 03/01/2024		229,000		248,114

				1,671,267



Security Description	Principal Amount(7)		Value (Note 2)


E-Commerce/Products — 0.0%
Amazon.com, Inc. Senior Notes 4.80% due 12/05/2034	$	150,000	$	198,798

E-Commerce/Services — 0.1%
GrubHub Holdings, Inc. Company Guar. Notes 5.50% due 07/01/2027*		1,249,000		1,160,071

Electric-Distribution — 0.3%
CenterPoint Energy, Inc. Senior Notes 2.95% due 03/01/2030		449,000		467,424
National Rural Utilities Cooperative Finance Corp. Collateral Trust Bonds 2.85% due 01/27/2025		739,000		785,466
NextEra Energy Operating Partners LP Company Guar. Notes 4.25% due 07/15/2024*		1,275,000		1,298,587

				2,551,477

Electric-Generation — 0.2%
Emera US Finance LP Company Guar. Notes 4.75% due 06/15/2046		268,000		329,439
Vistra Operations Co. LLC Company Guar. Notes 5.00% due 07/31/2027*		1,280,000		1,292,800

				1,622,239

Electric-Integrated — 0.9%
AEP Texas, Inc. Senior Notes 4.15% due 05/01/2049		121,000		145,036
Black Hills Corp. Senior Notes 3.88% due 10/15/2049		153,000		171,579
Consolidated Edison Co. of New York, Inc. FRS Senior Notes 2.35% (3 ML + 0.40%) due 06/25/2021		860,000		863,613
Consolidated Edison Co. of New York, Inc. Senior Notes 4.45% due 06/15/2020		323,000		325,614
Dominion Energy South Carolina, Inc. 1st Mtg. Bonds 5.10% due 06/01/2065		371,000		534,048
Dominion Resources, Inc. Senior Notes 5.25% due 08/01/2033		262,000		329,286
DTE Electric Co. General Refunding Mtg. 3.95% due 03/01/2049		490,000		596,370
Duke Energy Progress LLC 1st Mtg. Notes 2.80% due 05/15/2022		154,000		157,812
Entergy Texas, Inc. 1st Mtg. Notes 4.50% due 03/30/2039		555,000		692,347
FirstEnergy Corp. Senior Notes 7.38% due 11/15/2031		587,000		857,671
Interstate Power & Light Co. Senior Notes 3.50% due 09/30/2049		192,000		213,187

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Electric-Integrated (continued)
Mississippi Power Co. Senior Notes 4.25% due 03/15/2042	$	310,000	$	359,477
PECO Energy Co. 1st Mtg. Bonds 3.00% due 09/15/2049		210,000		219,501
Public Service Co. of Colorado 1st Mtg. Bonds 3.70% due 06/15/2028		342,000		392,973
Public Service Co. of Colorado 1st Mtg. Bonds 4.10% due 06/15/2048		249,000		313,915
Talen Energy Supply LLC Senior Sec. Notes 6.63% due 01/15/2028*		603,000		577,192
Talen Energy Supply LLC Senior Sec. Notes 7.25% due 05/15/2027*		568,000		571,578

				7,321,199

Electric-Transmission — 0.0%
AEP Transmission Co. LLC Senior Notes 3.15% due 09/15/2049		137,000		144,955

Electronic Components-Semiconductors — 0.1%
Amkor Technology, Inc. Senior Notes 6.63% due 09/15/2027*		382,000		412,560
Intel Corp. Senior Notes 2.45% due 07/29/2020		311,000		311,890

				724,450

Electronic Measurement Instruments — 0.1%
Trimble, Inc. Senior Notes 4.75% due 12/01/2024		32,000		35,695
Trimble, Inc. Senior Notes 4.90% due 06/15/2028		476,000		547,250

				582,945

Electronic Parts Distribution — 0.3%
Arrow Electronics, Inc. Senior Notes 4.00% due 04/01/2025		172,000		183,553
Ingram Micro, Inc. Senior Notes 5.45% due 12/15/2024		2,199,000		2,291,017

				2,474,570

Energy-Alternate Sources — 0.2%
Hanwha Energy USA Holdings Corp. Company Guar. Notes 2.38% due 07/30/2022*		420,000		427,964
Pattern Energy Group, Inc. Company Guar. Notes 5.88% due 02/01/2024*		1,494,000		1,523,880

				1,951,844

Enterprise Software/Service — 0.2%
Donnelley Financial Solutions, Inc. Company Guar. Notes 8.25% due 10/15/2024		985,000		1,011,792



Security Description	Principal Amount(7)		Value (Note 2)


Enterprise Software/Service (continued)
Oracle Corp. Senior Notes 2.95% due 11/15/2024	$	500,000	$	530,828

				1,542,620

Finance-Auto Loans — 0.1%
Credit Acceptance Corp. Company Guar. Notes 5.13% due 12/31/2024*		225,000		231,750
Credit Acceptance Corp. Company Guar. Notes 6.63% due 03/15/2026*		954,000		1,001,719

				1,233,469

Finance-Consumer Loans — 0.7%
Enova International, Inc. Company Guar. Notes 8.50% due 09/01/2024*		1,753,000		1,650,748
Navient Corp. Senior Notes 5.00% due 03/15/2027		600,000		580,320
SLM Corp. Senior Notes 5.63% due 08/01/2033		1,156,000		1,013,355
Springleaf Finance Corp. Company Guar. Notes 5.38% due 11/15/2029		464,000		473,883
Springleaf Finance Corp. Company Guar. Notes 6.88% due 03/15/2025		1,150,000		1,265,000
Synchrony Financial Senior Notes 4.50% due 07/23/2025		1,073,000		1,179,549

				6,162,855

Finance-Credit Card — 0.3%
Alliance Data Systems Corp. Company Guar. Notes 4.75% due 12/15/2024*		1,050,000		1,030,313
American Express Co. Senior Notes 3.40% due 02/22/2024		223,000		238,603
American Express Co. Senior Notes 4.20% due 11/06/2025		165,000		187,265
Capital One Financial Corp. FRS Senior Notes 2.84% (3 ML+0.95%) due 03/09/2022		1,000,000		1,008,825
Mastercard, Inc. Senior Notes 2.00% due 03/03/2025		363,000		372,188

				2,837,194

Finance-Investment Banker/Broker — 0.1%
LPL Holdings, Inc. Company Guar. Notes 5.75% due 09/15/2025*		1,087,000		1,127,763

Finance-Mortgage Loan/Banker — 0.2%
Quicken Loans, Inc. Company Guar. Notes 5.75% due 05/01/2025*		1,275,000		1,306,340

Food-Confectionery — 0.1%
Mondelez International, Inc. Senior Notes 1.63% due 03/08/2027	EUR	550,000		657,137

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Food-Meat Products — 0.1%
Smithfield Foods, Inc. Senior Notes 2.65% due 10/03/2021*	$	131,000	$	132,181
Smithfield Foods, Inc. Company Guar. Notes 4.25% due 02/01/2027*		194,000		208,438
Smithfield Foods, Inc. Senior Notes 5.20% due 04/01/2029*		212,000		242,060

				582,679

Food-Misc./Diversified — 0.4%
Conagra Brands, Inc. Senior Notes 5.40% due 11/01/2048		25,000		31,607
Conagra Brands, Inc. Senior Notes 7.00% due 10/01/2028		262,000		339,699
Dole Food Co., Inc. Senior Sec. Notes 7.25% due 06/15/2025*		1,020,000		999,600
Kraft Heinz Foods Co. Company Guar. Notes 3.95% due 07/15/2025		215,000		224,216
Kraft Heinz Foods Co. Sec. Notes 4.88% due 02/15/2025*		231,000		237,646
Lamb Weston Holdings, Inc. Company Guar. Notes 4.63% due 11/01/2024*		865,000		899,617
Nestle Holdings, Inc. Company Guar. Notes 3.50% due 09/24/2025*		335,000		368,821
Post Holdings, Inc. Company Guar. Notes 5.50% due 03/01/2025*		295,000		307,169

				3,408,375

Food-Retail — 0.3%
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC Company Guar. Notes 4.63% due 01/15/2027*		780,000		767,364
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC Company Guar. Notes 5.75% due 03/15/2025		1,000,000		1,036,250
Albertsons Cos, Inc./Safeway, Inc./New Albertsons LP/Albertsons LLC Company Guar. Notes 5.88% due 02/15/2028*		709,000		736,864
Kroger Co. Senior Notes 3.88% due 10/15/2046		195,000		207,531

				2,748,009

Food-Wholesale/Distribution — 0.0%
Sysco Corp. Company Guar. Notes 2.40% due 02/15/2030		262,000		267,322

Gas-Distribution — 0.1%
NiSource, Inc. Senior Notes 2.95% due 09/01/2029		313,000		328,300



Security Description	Principal Amount(7)		Value (Note 2)


Gas-Distribution (continued)
NiSource, Inc. Senior Notes 5.65% due 02/01/2045	$	174,000	$	237,225
Washington Gas Light Co. Senior Notes 3.65% due 09/15/2049		273,000		300,871

				866,396

Hazardous Waste Disposal — 0.1%
Clean Harbors, Inc. Company Guar. Notes 4.88% due 07/15/2027*		833,000		870,235

Hotels/Motels — 0.2%
Wyndham Worldwide Corp. Senior Sec. Notes 5.75% due 04/01/2027		1,400,000		1,480,080

Human Resources — 0.1%
Korn Ferry International Company Guar. Notes 4.63% due 12/15/2027*		720,000		738,000

Independent Power Producers — 0.3%
Calpine Corp. Senior Sec. Notes 4.50% due 02/15/2028*		577,000		553,458
Clearway Energy Operating LLC Company Guar. Notes 5.75% due 10/15/2025		1,130,000		1,167,663
NRG Yield Operating LLC Company Guar. Notes 5.00% due 09/15/2026		721,000		738,524

				2,459,645

Insurance Brokers — 0.1%
Marsh & McLennan Cos., Inc. Senior Notes 3.50% due 12/29/2020		161,000		163,621
Willis North America, Inc. Company Guar. Notes 3.88% due 09/15/2049		191,000		210,782
Willis North America, Inc. Company Guar. Notes 5.05% due 09/15/2048		174,000		224,317

				598,720

Insurance-Life/Health — 0.1%
Brighthouse Financial, Inc. Senior Notes 4.70% due 06/22/2047		254,000		256,682
Prudential Financial, Inc. Senior Notes 3.70% due 03/13/2051		77,000		81,893
Unum Group Senior Notes 4.50% due 12/15/2049		273,000		294,091

				632,666

Insurance-Mutual — 0.2%
MassMutual Global Funding II Senior Sec. Notes 2.75% due 06/22/2024*		287,000		301,407
New York Life Global Funding Sec. Notes 1.95% due 09/28/2020*		605,000		606,379

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Insurance-Mutual (continued)
New York Life Global Funding FRS Senior Sec. Notes 2.10% (3 ML+0.28%) due 01/21/2022*	$	850,000	$	852,798

				1,760,584

Insurance-Property/Casualty — 0.2%
ACE INA Holdings, Inc. Company Guar. Notes 2.88% due 11/03/2022		224,000		232,952
AmWINS Group, Inc. Company Guar. Notes 7.75% due 07/01/2026*		1,045,000		1,084,846
Assurant, Inc. Senior Notes 6.75% due 02/15/2034		24,000		31,616

				1,349,414

Internet Connectivity Services — 0.2%
Cogent Communications Group, Inc. Senior Sec. Notes 5.38% due 03/01/2022*		1,359,000		1,392,975

Internet Content-Entertainment — 0.5%
Netflix, Inc. Senior Notes 4.38% due 11/15/2026		1,507,000		1,578,130
Netflix, Inc. Senior Notes 4.88% due 06/15/2030*		2,640,000		2,782,032

				4,360,162

Investment Companies — 0.1%
FS Energy & Power Fund Senior Sec. Notes 7.50% due 08/15/2023*		960,000		990,000

Investment Management/Advisor Services — 0.0%
Ameriprise Financial, Inc. Senior Notes 3.00% due 03/22/2022		279,000		288,756

Machinery-Construction & Mining — 0.2%
Caterpillar Financial Services Corp. Senior Notes 1.95% due 11/18/2022		189,000		191,669
Caterpillar Financial Services Corp. FRS Senior Notes 2.17% (3 ML+0.28%) due 09/07/2021		840,000		841,886
Caterpillar Financial Services Corp. Senior Notes 2.55% due 11/29/2022		140,000		144,407
Caterpillar Financial Services Corp. Senior Notes 3.45% due 05/15/2023		213,000		226,977

				1,404,939

Machinery-Electrical — 0.0%
ABB Finance USA, Inc. Company Guar. Notes 3.38% due 04/03/2023		266,000		281,610

Machinery-Farming — 0.2%
CNH Industrial Capital LLC Company Guar. Notes 4.20% due 01/15/2024		355,000		387,129



Security Description	Principal Amount(7)		Value (Note 2)


Machinery-Farming (continued)
John Deere Capital Corp. Senior Notes 2.35% due 01/08/2021	$	169,000	$	170,095
John Deere Capital Corp. Senior Notes 2.95% due 04/01/2022		517,000		534,943
John Deere Capital Corp. Senior Notes 3.45% due 01/10/2024		322,000		346,833
John Deere Capital Corp. Senior Notes 3.65% due 10/12/2023		148,000		160,433

				1,599,433

Machinery-Pumps — 0.1%
Dover Corp. Senior Notes 0.75% due 11/04/2027	EUR	570,000		642,764

Medical Labs & Testing Services — 0.2%
Catalent Pharma Solutions, Inc. Company Guar. Notes 5.00% due 07/15/2027*		650,000		676,813
Laboratory Corp. of America Holdings Senior Notes 3.25% due 09/01/2024		391,000		414,724
Laboratory Corp. of America Holdings Senior Notes 4.70% due 02/01/2045		140,000		168,738
Roche Holdings, Inc. Company Guar. Notes 1.75% due 01/28/2022*		226,000		228,810

				1,489,085

Medical Products — 0.2%
Hologic, Inc. Company Guar. Notes 4.38% due 10/15/2025*		1,025,000		1,043,911
Stryker Corp. Senior Notes 1.00% due 12/03/2031	EUR	750,000		841,368

				1,885,279

Medical-Biomedical/Gene — 0.1%
Amgen, Inc. Senior Notes 3.15% due 02/21/2040		559,000		571,183
Amgen, Inc. Senior Notes 3.38% due 02/21/2050		427,000		434,120

				1,005,303

Medical-Drugs — 0.4%
AbbVie, Inc. FRS Senior Notes 2.15% (3 ML+0.46%) due 11/19/2021*		654,000		655,665
AbbVie, Inc. Senior Notes 4.05% due 11/21/2039*		246,000		272,521
AbbVie, Inc. Senior Notes 4.25% due 11/21/2049*		442,000		499,737
Bristol-Myers Squibb Co. FRS Senior Notes 2.07% (3 ML + 0.38%) due 05/16/2022*		855,000		859,188

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Medical-Drugs (continued)
Bristol-Myers Squibb Co. Senior Notes 3.63% due 05/15/2024*	$	274,000	$	295,688
Bristol-Myers Squibb Co. Senior Notes 4.63% due 05/15/2044*		128,000		166,481
GlaxoSmithKline Capital, Inc. Company Guar. Notes 3.38% due 05/15/2023		164,000		173,463
Johnson & Johnson Senior Notes 5.50% due 11/06/2024	GBP	400,000		620,084

				3,542,827

Medical-Generic Drugs — 0.2%
Mylan, Inc. Company Guar. Notes 4.55% due 04/15/2028		253,000		285,401
Par Pharmaceutical, Inc. Senior Sec. Notes 7.50% due 04/01/2027*		979,000		1,033,824

				1,319,225

Medical-HMO — 0.3%
Centene Corp Senior Notes 4.25% due 12/15/2027*		733,000		754,110
Centene Corp. Senior Notes 4.63% due 12/15/2029*		173,000		185,110
UnitedHealth Group, Inc. Senior Bonds 2.38% due 10/15/2022		797,000		817,215
UnitedHealth Group, Inc. Senior Notes 3.50% due 08/15/2039		195,000		214,836
UnitedHealth Group, Inc. Senior Notes 3.75% due 07/15/2025		216,000		239,402

				2,210,673

Medical-Hospitals — 0.4%
HCA, Inc. Senior Sec. Notes 5.25% due 06/15/2026		212,000		242,392
HCA, Inc. Company Guar. Notes 5.38% due 02/01/2025		2,750,000		3,040,125

				3,282,517

Medical-Wholesale Drug Distribution — 0.1%
Allergan Sales LLC Company Guar. Notes 4.88% due 02/15/2021*		97,000		100,408
Cardinal Health, Inc. Senior Notes 4.60% due 03/15/2043		354,000		383,819

				484,227

Metal-Copper — 0.4%
Freeport-McMoRan Copper & Gold, Inc. Company Guar. Notes 3.88% due 03/15/2023		1,558,000		1,566,257
Freeport-McMoRan, Inc. Company Guar. Notes 4.13% due 03/01/2028		486,000		460,534



Security Description	Principal Amount(7)		Value (Note 2)


Metal-Copper (continued)
Freeport-McMoRan, Inc. Company Guar. Notes 4.25% due 03/01/2030	$	486,000	$	456,937
Southern Copper Corp. Senior Notes 3.88% due 04/23/2025		500,000		533,520

				3,017,248

Metal-Iron — 0.1%
Cleveland-Cliffs, Inc. Company Guar. Notes 5.75% due 03/01/2025		1,022,000		930,020

Multimedia — 0.2%
E.W. Scripps Co. Company Guar. Notes 5.13% due 05/15/2025*		1,510,000		1,513,775

Networking Products — 0.0%
Cisco Systems, Inc. Senior Notes 2.20% due 02/28/2021		357,000		359,360

Oil Companies-Exploration & Production — 0.9%
Apache Corp. Senior Notes 5.10% due 09/01/2040		599,000		609,474
Callon Petroleum Co. Company Guar. Notes 6.38% due 07/01/2026		1,035,000		804,712
Chaparral Energy, Inc. Senior Notes 8.75% due 07/15/2023*		623,000		143,290
Cimarex Energy Co. Senior Notes 4.38% due 03/15/2029		780,000		816,445
Extraction Oil & Gas, Inc. Company Guar. Notes 5.63% due 02/01/2026*		1,700,000		595,000
Hilcorp Energy I LP/Hilcorp Finance Co. Senior Notes 5.00% due 12/01/2024*		2,214,000		1,749,060
Lonestar Resources America, Inc. Company Guar. Notes 11.25% due 01/01/2023*		1,498,000		977,445
Marathon Oil Corp. Senior Notes 6.60% due 10/01/2037		137,000		168,941
Marathon Oil Corp. Senior Notes 6.80% due 03/15/2032		205,000		257,075
Noble Energy, Inc. Senior Notes 4.95% due 08/15/2047		284,000		298,874
Noble Energy, Inc. Senior Notes 5.25% due 11/15/2043		264,000		279,145
Occidental Petroleum Corp. Senior Notes 6.45% due 09/15/2036		216,000		255,548
Occidental Petroleum Corp. Senior Notes 7.50% due 05/01/2031		181,000		229,280
Southwestern Energy Co. Company Guar. Notes 7.50% due 04/01/2026		627,000		476,520

				7,660,809

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Oil Companies-Integrated — 0.1%
BP Capital Markets America, Inc. Company Guar. Notes 3.00% due 02/24/2050	$	383,000	$	379,092
Chevron Corp. Senior Notes 2.90% due 03/03/2024		343,000		359,885

				738,977

Oil Field Machinery & Equipment — 0.1%
Hi-Crush Partners LP Company Guar. Notes 9.50% due 08/01/2026*		1,816,000		599,280

Oil Refining & Marketing — 0.1%
PBF Holding Co. LLC/PBF Finance Corp. Company Guar. Notes 6.00% due 02/15/2028*		736,000		726,800

Oil-Field Services — 0.3%
Calfrac Holdings LP Company Guar. Notes 8.50% due 06/15/2026*		205,000		54,325
Calfrac Holdings LP Sec. Notes 10.88% due 03/15/2026*		108,350		97,515
Halliburton Co. Senior Notes 2.92% due 03/01/2030		262,000		257,863
Nine Energy Service, Inc. Company Guar. Notes 8.75% due 11/01/2023*		745,000		592,275
Pioneer Energy Services Corp. Company Guar. Notes 6.13% due 03/15/2022		1,588,000		349,360
Schlumberger Holdings Corp. Senior Notes 4.00% due 12/21/2025*		260,000		285,793
SESI LLC Company Guar. Notes 7.75% due 09/15/2024		635,000		306,394
USA Compression Partners LP/USA Compression Finance Corp. Company Guar. Notes 6.88% due 04/01/2026		567,000		548,629

				2,492,154

Paper & Related Products — 0.1%
Domtar Corp. Company Guar. Notes 6.75% due 02/15/2044		482,000		600,100
Georgia-Pacific LLC Senior Notes 3.73% due 07/15/2023*		442,000		471,633
Georgia-Pacific LLC Company Guar. Notes 5.40% due 11/01/2020*		132,000		135,104

				1,206,837

Petrochemicals — 0.0%
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP Senior Notes 3.30% due 05/01/2023*		146,000		153,416

Pharmacy Services — 0.1%
Cigna Corp. Company Guar. Notes 4.80% due 08/15/2038		126,000		151,419



Security Description	Principal Amount(7)		Value (Note 2)


Pharmacy Services (continued)
CVS Health Corp. Senior Notes 4.78% due 03/25/2038	$	460,000	$	541,132
CVS Health Corp. Senior Notes 5.05% due 03/25/2048		134,000		164,771

				857,322

Pipelines — 1.4%
Buckeye Partners LP Senior Notes 4.13% due 03/01/2025*		588,000		588,059
Buckeye Partners LP Senior Notes 4.50% due 03/01/2028*		806,000		782,328
Cheniere Corpus Christi Holdings LLC Senior Sec. Notes 3.70% due 11/15/2029*		186,000		186,318
Cheniere Energy Partners LP Company Guar. Notes 4.50% due 10/01/2029*		570,000		546,413
Cheniere Energy Partners LP Senior Sec. Notes 5.25% due 10/01/2025		1,007,000		1,009,203
Enable Midstream Partners LP Senior Notes 4.15% due 09/15/2029		181,000		171,558
Enable Midstream Partners LP Senior Notes 4.95% due 05/15/2028		215,000		214,278
Energy Transfer Operating LP Company Guar. Notes 4.90% due 03/15/2035		350,000		382,818
Energy Transfer Operating LP Company Guar. Notes 5.50% due 06/01/2027		370,000		419,157
Energy Transfer Operating LP Company Guar. Notes 6.13% due 12/15/2045		154,000		173,742
EnLink Midstream LLC Company Guar. Notes 5.38% due 06/01/2029		199,000		171,713
EnLink Midstream Partners LP Senior Notes 4.85% due 07/15/2026		103,000		88,194
EnLink Midstream Partners LP Senior Notes 5.05% due 04/01/2045		18,000		13,087
Enterprise Products Operating LLC Company Guar. Notes 3.70% due 01/31/2051		110,000		109,535
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 5.63% due 06/15/2024		1,710,000		1,470,600
Genesis Energy LP/Genesis Energy Finance Corp. Company Guar. Notes 6.50% due 10/01/2025		625,000		526,375
Holly Energy Partners LP/Holly Energy Finance Corp. Company Guar. Notes 5.00% due 02/01/2028*		1,225,000		1,232,656
Kinder Morgan, Inc. Company Guar. Notes 1.50% due 03/16/2022	EUR	700,000		795,832
MPLX LP Senior Notes 5.50% due 02/15/2049		411,000		466,903

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Pipelines (continued)
NGPL PipeCo LLC Senior Notes 4.38% due 08/15/2022*	$	278,000	$	290,579
Rockies Express Pipeline LLC Senior Notes 3.60% due 05/15/2025*		287,000		286,211
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. Company Guar. Notes 5.50% due 08/15/2022		860,000		736,375
Western Midstream Operating LP Senior Notes 5.50% due 08/15/2048		118,000		109,835
Williams Cos., Inc. Senior Notes 5.75% due 06/24/2044		424,000		502,190

				11,273,959

Platinum — 0.1%
Stillwater Mining Co. Company Guar. Notes 7.13% due 06/27/2025		530,000		564,450

Poultry — 0.1%
Pilgrim’s Pride Corp. Company Guar. Notes 5.88% due 09/30/2027*		935,000		968,941

Protection/Safety — 0.3%
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.25% due 04/15/2024*		1,512,000		1,564,920
Prime Security Services Borrower LLC/Prime Finance, Inc. Senior Sec. Notes 5.75% due 04/15/2026*		640,000		659,008

				2,223,928

Radio — 0.3%
Sirius XM Radio, Inc. Company Guar. Notes 4.63% due 07/15/2024*		2,460,000		2,536,137

Real Estate Investment Trusts — 1.7%
Columbia Property Trust Operating Partnership LP Company Guar. Notes 4.15% due 04/01/2025		369,000		399,935
CTR Partnership LP/CareTrust Capital Corp. Company Guar. Notes 5.25% due 06/01/2025		1,362,000		1,416,480
Duke Realty LP Senior Notes 2.88% due 11/15/2029		84,000		89,598
ESH Hospitality, Inc. Company Guar. Notes 4.63% due 10/01/2027*		705,000		684,766
ESH Hospitality, Inc. Company Guar. Notes 5.25% due 05/01/2025*		800,000		804,664
GLP Capital LP/GLP Financing II, Inc. Company Guar. Notes 5.38% due 04/15/2026		638,000		720,162
HAT Holdings I LLC/HAT Holdings II LLC Company Guar. Notes 5.25% due 07/15/2024*		984,000		1,028,280
iStar, Inc. Senior Notes 5.25% due 09/15/2022		785,000		798,737



Security Description	Principal Amount(7)		Value (Note 2)


Real Estate Investment Trusts (continued)
Ladder Capital Finance Holdings LLLP/ Ladder Capital Finance Corp. Company Guar. Notes 4.25% due 02/01/2027*	$	670,000	$	635,662
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. Company Guar. Notes 5.75% due 02/01/2027		926,000		1,013,970
MPT Operating Partnership LP/MPT Finance Corp. Company Guar. Notes 5.00% due 10/15/2027		764,000		797,242
National Retail Properties, Inc. Senior Notes 3.10% due 04/15/2050		494,000		496,428
Prologis LP Senior Notes 3.00% due 04/15/2050		244,000		248,884
Sabra Health Care LP Company Guar. Notes 5.13% due 08/15/2026		1,945,000		2,163,103
Sabra Health Care LP/Sabra Capital Corp. Company Guar. Notes 3.90% due 10/15/2029		267,000		283,207
Sabra Health Care LP/Sabra Capital Corp. Company Guar. Notes 4.80% due 06/01/2024		180,000		194,654
Starwood Property Trust, Inc. Senior Notes 4.75% due 03/15/2025		1,275,000		1,300,500
Vici Properties L.P. Company Guar. Notes 4.25% due 12/01/2026*		249,000		251,515
Vici Properties L.P. Company Guar. Notes 4.63% due 12/01/2029*		373,000		385,123
VICI Properties LP/VICI Note Co., Inc. Company Guar. Notes 3.75% due 02/15/2027*		605,000		600,462

				14,313,372

Real Estate Operations & Development — 0.2%
Kennedy-Wilson, Inc. Company Guar. Notes 5.88% due 04/01/2024		1,281,000		1,301,842

Rental Auto/Equipment — 0.1%
Ahern Rentals, Inc. Sec. Notes 7.38% due 05/15/2023*		1,469,000		1,136,521

Retail-Appliances — 0.0%
Conn’s, Inc. Company Guar. Notes 7.25% due 07/15/2022		350,000		345,625

Retail-Building Products — 0.0%
Lowe’s Cos., Inc. Senior Notes 4.05% due 05/03/2047		199,000		224,003

Retail-Discount — 0.1%
Walmart, Inc. Senior Notes 2.55% due 04/11/2023		412,000		426,714

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Retail-Discount (continued)
Walmart, Inc. Senior Notes 3.05% due 07/08/2026	$	363,000	$	393,854

				820,568

Retail-Mail Order — 0.1%
QVC, Inc. Senior Sec. Notes 4.75% due 02/15/2027		683,000		673,699

Retail-Petroleum Products — 0.1%
Murphy Oil USA, Inc. Company Guar. Notes 4.75% due 09/15/2029		870,000		912,456

Retail-Regional Department Stores — 0.0%
Kohl’s Corp. Senior Notes 5.55% due 07/17/2045		321,000		343,593

Retail-Restaurants — 0.2%
Brinker International, Inc. Company Guar. Notes 5.00% due 10/01/2024*		1,450,000		1,512,350
Darden Restaurants, Inc. Senior Notes 4.55% due 02/15/2048		452,000		491,989

				2,004,339

Satellite Telecom — 0.2%
Hughes Satellite Systems Corp. Company Guar. Notes 6.63% due 08/01/2026		1,615,000		1,776,661

Savings & Loans/Thrifts — 0.1%
First Niagara Financial Group, Inc. Sub. Notes 7.25% due 12/15/2021		444,000		486,484
New York Community Bancorp, Inc. Sub. Notes 5.90% due 11/06/2028		506,000		540,480

				1,026,964

Steel-Producers — 0.2%
Commercial Metals Co. Senior Notes 5.75% due 04/15/2026		1,169,000		1,206,992
Steel Dynamics, Inc. Senior Notes 3.45% due 04/15/2030		278,000		292,835

				1,499,827

Telecom Equipment-Fiber Optics — 0.1%
Corning, Inc. Senior Notes 5.45% due 11/15/2079		529,000		590,300

Telecom Services — 0.1%
Front Range BidCo., Inc. Senior Notes 6.13% due 03/01/2028*		730,000		721,021

Telephone-Integrated — 0.9%
AT&T, Inc. Senior Notes 4.50% due 05/15/2035		1,170,000		1,362,619



Security Description	Principal Amount(7)		Value (Note 2)


Telephone-Integrated (continued)
AT&T, Inc. Senior Notes 4.80% due 06/15/2044	$	285,000	$	337,146
AT&T, Inc. Senior Notes 4.85% due 07/15/2045		221,000		257,934
AT&T, Inc. Senior Notes 4.90% due 08/15/2037		354,000		422,872
CenturyLink, Inc. Senior Notes 7.50% due 04/01/2024		1,760,000		1,966,800
Level 3 Financing, Inc. Company Guar. Notes 4.63% due 09/15/2027*		1,062,000		1,083,240
Verizon Communications, Inc. Senior Notes 1.50% due 09/19/2039	EUR	440,000		487,577
Verizon Communications, Inc. Senior Notes 2.50% due 04/08/2031	GBP	300,000		407,747
Verizon Communications, Inc. Senior Notes 4.27% due 01/15/2036		141,000		169,358
Verizon Communications, Inc. Senior Notes 4.40% due 11/01/2034		146,000		178,355
Verizon Communications, Inc. Senior Notes 5.25% due 03/16/2037		391,000		522,325

				7,195,973

Television — 0.4%
Belo Corp. Company Guar. Notes 7.25% due 09/15/2027		830,000		942,050
Belo Corp. Company Guar. Notes 7.75% due 06/01/2027		1,105,000		1,281,800
Viacom, Inc. Senior Notes 4.38% due 03/15/2043		754,000		809,719

				3,033,569

Tools-Hand Held — 0.0%
Stanley Black & Decker, Inc. Senior Notes 3.40% due 03/01/2026		221,000		241,597

Transport-Air Freight — 0.1%
Cargo Aircraft Management, Inc. Company Guar. Notes 4.75% due 02/01/2028*		1,191,000		1,180,579

Transport-Equipment & Leasing — 0.1%
GATX Corp. Senior Notes 4.35% due 02/15/2024		381,000		414,201

Transport-Marine — 0.0%
Kirby Corp. Senior Notes 4.20% due 03/01/2028		244,000		269,251

Transport-Rail — 0.1%
Kansas City Southern Company Guar. Notes 2.88% due 11/15/2029		208,000		216,185

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. CORPORATE BONDS & NOTES (continued)
Transport-Rail — 0.1%
Kansas City Southern Company Guar. Notes 4.70% due 05/01/2048	$	205,000	$	267,274
Norfolk Southern Corp. Senior Notes 4.10% due 05/15/2049		326,000		391,530

				874,989

Transport-Truck — 0.0%
JB Hunt Transport Services, Inc. Company Guar. Notes 3.88% due 03/01/2026		179,000		199,204

Trucking/Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.35% due 11/01/2029*		55,000		58,526
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 3.95% due 03/10/2025*		407,000		446,338
Penske Truck Leasing Co. LP/PTL Finance Corp. Senior Notes 4.20% due 04/01/2027*		184,000		204,335

				709,199

Total U.S. Corporate Bonds & Notes
(cost $257,522,402)				260,587,837

FOREIGN CORPORATE BONDS & NOTES — 14.1%
Advertising Agencies — 0.1%
WPP Finance 2016 Company Guar. Notes 1.38% due 03/20/2025	EUR	700,000		807,145

Agricultural Chemicals — 0.2%
Consolidated Energy Finance SA Senior Notes 6.88% due 06/15/2025*		715,000		695,695
OCI NV Senior Sec. Notes 5.25% due 11/01/2024*		1,176,000		1,199,520

				1,895,215

Airport Development/Maintenance — 0.4%
Heathrow Funding, Ltd. Senior Sec. Notes 1.50% due 02/11/2030	EUR	800,000		924,100
Heathrow Funding, Ltd. Senior Sec. Notes 6.75% due 12/03/2028	GBP	400,000		677,825
Mexico City Airport Trust Senior Sec. Notes 4.25% due 10/31/2026		1,300,000		1,391,000

				2,992,925

Auto-Cars/Light Trucks — 0.2%
FCE Bank PLC Senior Notes 1.11% due 05/13/2020	EUR	700,000		774,210
Volkswagen International Finance NV Company Guar. Notes 1.88% due 03/30/2027	EUR	600,000		706,047

				1,480,257

Auto/Truck Parts & Equipment-Original — 0.1%
Delphi Jersey Holdings PLC Company Guar. Notes 5.00% due 10/01/2025*		411,000		450,045



Security Description	Principal Amount(7)		Value (Note 2)


Banks-Commercial — 1.6%
Australia & New Zealand Banking Group, Ltd. Sub. Notes 2.95% due 07/22/2030*	$	212,000	$	216,729
Banco de Credito e Inversiones SA Senior Notes 3.50% due 10/12/2027		970,000		1,004,042
Banco do Brasil SA Senior Notes 4.75% due 03/20/2024*		1,330,000		1,404,161
Bank of Montreal Senior Notes 2.05% due 11/01/2022		378,000		383,668
BPCE SA Sub. Notes 4.63% due 07/18/2023	EUR	900,000		1,132,915
Canadian Imperial Bank of Commerce Senior Notes 2.25% due 01/28/2025		448,000		455,864
CBQ Finance, Ltd. Company Guar. Notes 3.25% due 06/13/2021		500,000		504,360
Credit Suisse AG Senior Notes 2.10% due 11/12/2021		420,000		424,050
Credit Suisse AG Sub. Notes 5.75% due 09/18/2025	EUR	1,100,000		1,247,011
Danske Bank A/S Sub. Notes 1.38% due 02/12/2030	EUR	1,200,000		1,336,586
Danske Bank A/S Senior Notes 3.24% due 12/20/2025*		522,000		548,615
DBS Group Holdings, Ltd. Senior Notes 2.85% due 04/16/2022*		277,000		284,243
Grupo Aval, Ltd. Company Guar. Notes 4.38% due 02/04/2030*		710,000		709,112
ING Groep NV Senior Notes 4.63% due 01/06/2026*		220,000		252,764
Malayan Banking Bhd Sub. Notes 3.91% due 10/29/2026		550,000		565,950
National Australia Bank, Ltd. Sub. Notes 3.93% due 08/02/2034*		200,000		218,738
National Bank of Canada Senior Notes 2.15% due 10/07/2022*		464,000		470,492
Philippine National Bank Senior Notes 3.28% due 09/27/2024		500,000		521,164
Royal Bank of Canada FRS Senior Notes 2.49% (3 ML+0.73%) due 02/01/2022		855,000		862,467
Shinhan Bank Co., Ltd. Sub. Notes 4.00% due 04/23/2029*		210,000		230,994

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Banks-Commercial (continued)
Skandinaviska Enskilda Banken AB Sub. Notes 2.50% due 05/28/2026	EUR	500,000	$	566,067

				13,339,992

Banks-Export/Import — 0.2%
Export-Import Bank of India Senior Notes 3.38% due 08/05/2026		1,400,000		1,459,531

Banks-Special Purpose — 0.1%
Kreditanstalt fuer Wiederaufbau Government Guar. Notes 1.63% due 03/15/2021		567,000		569,551
Landwirtschaftliche Rentenbank Government Guar. Notes 0.63% due 10/31/2036	EUR	300,000		366,887

				936,438

Building & Construction Products-Misc. — 0.1%
Whirlpool EMEA Finance SARL Company Guar. Notes 0.50% due 02/20/2028	EUR	525,000		578,543

Building Societies — 0.1%
Nationwide Building Society Senior Notes 1.50% due 03/08/2026	EUR	350,000		402,008

Building-Residential/Commercial — 0.1%
Mattamy Group Corp. Senior Notes 5.25% due 12/15/2027*		940,000		979,950

Cable/Satellite TV — 0.4%
Altice Financing SA Senior Sec. Notes 5.00% due 01/15/2028*		1,631,000		1,581,907
Altice Luxembourg SA Company Guar. Notes 7.63% due 02/15/2025*		200,000		207,500
Sky, Ltd. Company Guar. Notes 2.50% due 09/15/2026	EUR	1,000,000		1,270,461

				3,059,868

Cellular Telecom — 0.9%
C&W Senior Financing Designated Activity Co. Senior Notes 6.88% due 09/15/2027*		1,479,000		1,560,345
Millicom International Cellular SA Senior Notes 6.63% due 10/15/2026*		200,000		214,060
Numericable-SFR SA Senior Sec. Notes 7.38% due 05/01/2026*		2,176,000		2,281,971
Orange SA Senior Notes 1.88% due 09/12/2030	EUR	600,000		753,453
SK Telecom Co., Ltd. Senior Notes 3.75% due 04/16/2023*		200,000		211,671
Vodafone Group PLC Senior Notes 2.88% due 11/20/2037	EUR	380,000		507,699



Security Description	Principal Amount(7)		Value (Note 2)


Cellular Telecom (continued)
Vodafone Group PLC Senior Notes 4.88% due 06/19/2049	$	143,000	$	171,491
Vodafone Group PLC Senior Notes 5.25% due 05/30/2048		176,000		221,877
Ypso Finance Bis SA Company Guar. Notes 6.00% due 02/15/2028*		1,555,000		1,493,266

				7,415,833

Chemicals-Diversified — 0.3%
Braskem Netherlands Finance BV Company Guar. Notes 4.50% due 01/10/2028*		290,000		284,200
Braskem Netherlands Finance BV Company Guar. Notes 4.50% due 01/31/2030*		860,000		842,542
CNAC HK Finbridge Co., Ltd. Company Guar. Notes 4.13% due 07/19/2027		500,000		548,063
Petkim Petrokimya Holding AS Senior Notes 5.88% due 01/26/2023*		930,000		925,942

				2,600,747

Chemicals-Specialty — 0.0%
Albemarle Wodgina Pty, Ltd. Company Guar. Notes 3.45% due 11/15/2029*		157,000		168,742

Computer Software — 0.1%
Camelot Finance SA Senior Sec. Notes 4.50% due 11/01/2026*		599,000		601,935

Computers-Memory Devices — 0.1%
Seagate HDD Cayman Company Guar. Notes 4.75% due 01/01/2025		860,000		909,320

Containers-Metal/Glass — 0.3%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. Company Guar. Notes 5.25% due 08/15/2027*		1,275,000		1,295,782
Trivium Packaging Finance BV Company Guar. Notes 8.50% due 08/15/2027*		1,250,000		1,322,400

				2,618,182

Containers-Paper/Plastic — 0.2%
Cascades, Inc./Cascades USA, Inc. Company Guar. Notes 5.13% due 01/15/2026*		144,000		149,040
Intertape Polymer Group, Inc. Company Guar. Notes 7.00% due 10/15/2026*		1,238,000		1,304,543
Klabin Austria GmbH Company Guar. Notes 7.00% due 04/03/2049*		379,000		428,857

				1,882,440

Cosmetics & Toiletries — 0.1%
Unilever PLC Company Guar. Notes 1.38% due 09/15/2024	GBP	300,000		392,376

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Diagnostic Equipment — 0.1%
DH Europe Finance II SARL Company Guar. Notes 0.45% due 03/18/2028	EUR	590,000	$	647,085
DH Europe Finance II SARL Company Guar. Notes 3.25% due 11/15/2039		300,000		325,919

				973,004

Diamonds/Precious Stones — 0.0%
Petra Diamonds US Treasury PLC Sec. Notes 7.25% due 05/01/2022		520,000		309,400

Disposable Medical Products — 0.1%
Becton Dickinson Euro Finance SARL Company Guar. Notes 1.21% due 06/04/2026	EUR	680,000		777,082

Diversified Banking Institutions — 1.7%
Banco Santander SA Senior Notes 2.71% due 06/27/2024		200,000		207,438
Barclays PLC Sub. Notes 2.00% due 02/07/2028	EUR	600,000		670,762
BNP Paribas SA Senior Notes 3.05% due 01/13/2031*		557,000		571,640
BNP Paribas SA Senior Notes 3.38% due 01/23/2026	GBP	300,000		418,706
BNP Paribas SA Senior Notes 4.71% due 01/10/2025*		476,000		523,233
Credit Suisse Group AG Senior Notes 1.25% due 07/17/2025	EUR	550,000		625,236
Deutsche Bank AG Senior Notes 4.25% due 02/04/2021		201,000		204,783
HSBC Holdings PLC FRS Senior Notes 2.54% (3 ML+0.65%) due 09/11/2021		850,000		850,783
HSBC Holdings PLC Senior Notes 3.00% due 07/22/2028	GBP	450,000		615,870
HSBC Holdings PLC Senior Notes 3.40% due 03/08/2021		406,000		412,935
Lloyds Banking Group PLC Senior Notes 0.63% due 01/15/2024	EUR	850,000		942,999
Mitsubishi UFJ Financial Group, Inc. Senior Notes 2.19% due 02/25/2025		405,000		409,396
Mitsubishi UFJ Financial Group, Inc. FRS Senior Notes 2.58% (3 ML+0.79%) due 07/25/2022		855,000		860,805
Mizuho Financial Group, Inc. Senior Notes 2.56% due 09/13/2025		643,000		659,362
NatWest Markets PLC Senior Notes 3.63% due 09/29/2022*		383,000		401,944



Security Description	Principal Amount(7)		Value (Note 2)


Diversified Banking Institutions (continued)
Royal Bank of Scotland Group PLC Senior Notes 1.75% due 03/02/2026	EUR	800,000	$	919,972
Royal Bank of Scotland Group PLC Sub. Notes 3.75% due 11/01/2029		438,000		455,433
Sumitomo Mitsui Financial Group, Inc. FRS Senior Notes 2.62% (3 ML+0.78%) due 07/12/2022		860,000		867,085
UBS AG Sub. Notes 4.75% due 02/12/2026	EUR	750,000		859,922
UBS Group Funding Switzerland AG Senior Notes 1.25% due 09/01/2026	EUR	650,000		753,313
UBS Group Funding Switzerland AG Senior Notes 3.49% due 05/23/2023*		293,000		304,610
UniCredit SpA Senior Notes 1.00% due 07/03/2025	EUR	300,000		337,560
UniCredit SpA Sub. Notes 5.86% due 06/19/2032*		200,000		210,264
UniCredit SpA Senior Notes 6.57% due 01/14/2022*		377,000		404,985
UniCredit SpA Sub. Notes 7.30% due 04/02/2034*		200,000		232,387

				13,721,423

Diversified Financial Services — 0.2%
Fairstone Financial, Inc. Senior Notes 7.88% due 07/15/2024*		1,161,000		1,259,685
GE Capital International Funding Co. ULC Company Guar. Notes 4.42% due 11/15/2035		600,000		685,907

				1,945,592

Diversified Manufacturing Operations — 0.2%
Siemens Financieringsmaatschappij NV FRS Company Guar. Notes 2.50% (3 ML+0.61%) due 03/16/2022*		855,000		862,078
Siemens Financieringsmaatschappij NV Company Guar. Notes 3.25% due 05/27/2025*		518,000		560,451

				1,422,529

Diversified Minerals — 0.3%
Anglo American Capital PLC Company Guar. Notes 1.63% due 03/11/2026	EUR	675,000		767,083
FMG Resources August 2006 Pty, Ltd. Company Guar. Notes 4.50% due 09/15/2027*		1,575,000		1,523,813

				2,290,896

Electric-Distribution — 0.1%
Energuate Trust Company Guar. Notes 5.88% due 05/03/2027		500,000		522,500

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Electric-Distribution (continued)
OmGrid Funding, Ltd. Company Guar. Notes 5.20% due 05/16/2027	$	500,000	$	512,875

				1,035,375

Electric-Generation — 0.3%
Centrais Eletricas Brasileiras SA Senior Notes 3.63% due 02/04/2025*#		250,000		248,750
Electricite de France SA Senior Notes 5.00% due 09/21/2048*		200,000		259,995
Electricite de France SA Senior Notes 6.25% due 05/30/2028	GBP	700,000		1,213,741
SPIC Luxembourg Latin America Renewable Energy Investment Co. SARL Company Guar. Notes 4.65% due 10/30/2023		650,000		699,772

				2,422,258

Electric-Integrated — 0.2%
EDP Finance BV Senior Notes 2.00% due 04/22/2025	EUR	800,000		963,861
Enel Finance International NV Company Guar. Notes 4.75% due 05/25/2047*		278,000		335,124
Engie Energia Chile SA Senior Notes 3.40% due 01/28/2030*		209,000		210,338
Perusahaan Listrik Negara PT Senior Notes 4.13% due 05/15/2027		200,000		214,940

				1,724,263

Energy-Alternate Sources — 0.1%
Adani Green Energy UP, Ltd./Prayatna Developers Pvt, Ltd./Parampujya Solar Energy Senior Sec. Notes 6.25% due 12/10/2024*		510,000		546,941

Finance-Commercial — 0.2%
Unifin Financiera SAB de CV Company Guar. Notes 7.38% due 02/12/2026		720,000		717,700
Unifin Financiera SAB de CV Company Guar. Notes 7.25% due 09/27/2023		520,000		526,505

				1,244,205

Finance-Consumer Loans — 0.1%
goeasy, Ltd. Company Guar. Notes 5.38% due 12/01/2024*		1,045,000		1,076,350

Finance-Investment Banker/Broker — 0.0%
Nomura Holdings, Inc. Senior Notes 3.10% due 01/16/2030		255,000		265,132

Finance-Leasing Companies — 0.2%
Avolon Holdings Funding, Ltd. Company Guar. Notes 5.13% due 10/01/2023*		1,775,000		1,902,480



Security Description	Principal Amount(7)		Value (Note 2)


Food-Baking — 0.0%
Grupo Bimbo SAB de CV Company Guar. Notes 4.00% due 09/06/2049*	$	206,000	$	212,269

Food-Meat Products — 0.2%
BRF SA Senior Notes 4.88% due 01/24/2030*		500,000		506,250
JBS USA LUX SA/JBS USA Finance, Inc. Company Guar. Notes 5.88% due 07/15/2024*		1,484,000		1,510,000

				2,016,250

Independent Power Producers — 0.1%
Termocandelaria Power, Ltd. Company Guar. Notes 7.88% due 01/30/2029		1,000,000		1,080,010

Insurance-Life/Health — 0.0%
Manulife Financial Corp. Sub. Notes 4.06% due 02/24/2032		301,000		323,771

Insurance-Multi-line — 0.1%
Ageas 3.25% due 07/02/2049	EUR	400,000		484,413

Insurance-Property/Casualty — 0.1%
Enstar Group, Ltd. Senior Notes 4.95% due 06/01/2029		508,000		574,939

Investment Companies — 0.1%
Huarong Finance II Co., Ltd. Company Guar. Notes 4.63% due 06/03/2026		500,000		551,465

Machinery-Farming — 0.1%
CNH Industrial Finance Europe SA Company Guar. Notes 1.75% due 03/25/2027	EUR	600,000		687,871
CNH Industrial NV Senior Notes 3.85% due 11/15/2027		151,000		160,874

				848,745

Medical-Drugs — 0.5%
Bausch Health Cos., Inc. Company Guar. Notes 5.00% due 01/30/2028*		1,009,000		997,649
Bausch Health Cos., Inc. Company Guar. Notes 6.13% due 04/15/2025*		1,170,000		1,193,049
Endo Dac/Endo Finance LLC/Endo Finco, Inc. Senior Sec. Notes 5.88% due 10/15/2024*		435,000		437,175
Endo, Ltd./Endo Finance LLC/Endo Finco, Inc. Company Guar. Notes 6.00% due 02/01/2025*		900,000		693,000
GlaxoSmithKline Capital PLC FRS Company Guar. Notes 2.05% (3 ML+0.35%) due 05/14/2021		660,000		662,023
GlaxoSmithKline Capital PLC Company Guar. Notes 3.13% due 05/14/2021		348,000		356,134

				4,339,030

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
Metal-Copper — 0.1%
First Quantum Minerals, Ltd. Company Guar. Notes 7.25% due 04/01/2023*	$	1,012,000	$	971,520

Metal-Diversified — 0.2%
Chinalco Capital Holdings, Ltd. Company Guar. Notes 4.25% due 04/21/2022		800,000		816,016
Glencore Finance Europe, Ltd. Company Guar. Notes 1.50% due 10/15/2026	EUR	850,000		946,793

				1,762,809

Metal-Iron — 0.2%
Mineral Resources, Ltd. Senior Notes 8.13% due 05/01/2027*		1,299,000		1,383,435

Motion Pictures & Services — 0.1%
Banijay Entertainment SASU Senior Sec. Notes 5.38% due 03/01/2025*		815,000		812,963

Multimedia — 0.0%
Globo Comunicacao e Participacoes SA Senior Notes 4.88% due 01/22/2030*#		200,000		200,000

Non-Hazardous Waste Disposal — 0.0%
Waste Connections, Inc. Senior Notes 2.60% due 02/01/2030		262,000		268,851

Oil Companies-Exploration & Production — 0.5%
Canadian Natural Resources, Ltd. Senior Notes 3.85% due 06/01/2027		270,000		286,912
MEG Energy Corp. Sec. Notes 6.50% due 01/15/2025*		1,023,000		1,007,655
MEG Energy Corp. Senior Notes 7.13% due 02/01/2027*		1,050,000		990,434
Saka Energi Indonesia PT Senior Notes 4.45% due 05/05/2024		1,000,000		1,011,374
Tullow Oil PLC Company Guar. Notes 6.25% due 04/15/2022#		500,000		372,500
Wintershall Dea Finance B.V. Company Guar. Notes 1.33% due 09/25/2028	EUR	700,000		779,167

				4,448,042

Oil Companies-Integrated — 0.7%
BP Capital Markets PLC Company Guar. Notes 2.27% due 07/03/2026	GBP	700,000		951,804
BP Capital Markets PLC Company Guar. Notes 2.97% due 02/27/2026	EUR	300,000		385,403
BP Capital Markets PLC Company Guar. Notes 3.51% due 03/17/2025		790,000		859,001



Security Description	Principal Amount(7)		Value (Note 2)


Oil Companies-Integrated (continued)
Ecopetrol SA Senior Notes 5.88% due 05/28/2045	$	500,000	$	597,500
Pertamina Persero PT Senior Notes 6.50% due 05/27/2041		500,000		653,228
Petro-Canada Senior Notes 5.95% due 05/15/2035		143,000		197,399
Petroleos Mexicanos Company Guar. Notes 6.63% due 06/15/2035		1,100,000		1,100,550
Petroleos Mexicanos Company Guar. Notes 6.75% due 09/21/2047		1,000,000		954,280
Petroleos Mexicanos Company Guar. Notes 7.69% due 01/23/2050*		73,000		76,046
Total Capital International SA Company Guar. Notes 3.46% due 07/12/2049		133,000		145,052

				5,920,263

Oil Refining & Marketing — 0.1%
Empresa Nacional del Petroleo Senior Notes 5.25% due 11/06/2029		500,000		564,872

Paper & Related Products — 0.1%
Cascades, Inc. Company Guar. Notes 5.75% due 07/15/2023*		868,000		885,360

Pastoral & Agricultural — 0.1%
ESAL GmbH Company Guar. Notes 6.25% due 02/05/2023		970,000		973,647

Petrochemicals — 0.1%
Equate Petrochemical BV Company Guar. Notes 4.25% due 11/03/2026		500,000		538,859

Real Estate Operations & Development — 0.1%
Aroundtown SA Senior Notes 1.45% due 07/09/2028	EUR	600,000		685,844

Retail-Petroleum Products — 0.1%
eG Global Finance PLC Senior Sec. Notes 6.75% due 02/07/2025*		1,157,000		1,130,968

Satellite Telecom — 0.2%
Telesat Canada/Telesat LLC Senior Sec. Notes 4.88% due 06/01/2027*		571,000		583,848
Telesat Canada/Telesat LLC Company Guar. Notes 6.50% due 10/15/2027*		1,395,000		1,443,825

				2,027,673

Security Services — 0.1%
GW B-CR Security Corp. Senior Notes 9.50% due 11/01/2027*		941,000		995,108

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

FOREIGN CORPORATE BONDS & NOTES (continued)
SupraNational Banks — 0.1%
European Bank for Reconstruction & Development Senior Notes 1.50% due 02/13/2025	$	503,000	$	515,023
International Bank for Reconstruction & Development Senior Notes 3.13% due 11/20/2025		310,000		345,909

				860,932

Telecom Services — 0.1%
Optus Finance Pty, Ltd. Company Guar. Notes 1.00% due 06/20/2029	EUR	750,000		871,720

Telephone-Integrated — 0.3%
Deutsche Telekom AG Senior Notes 1.75% due 12/09/2049	EUR	500,000		564,756
Deutsche Telekom AG Senior Notes 3.63% due 01/21/2050*		418,000		442,058
Telecom Italia Capital SA Company Guar. Notes 7.72% due 06/04/2038		216,000		278,640
Telefonica Emisiones SA Company Guar. Notes 5.45% due 10/08/2029	GBP	400,000		669,744
Telefonica Emisiones SAU Company Guar. Notes 4.67% due 03/06/2038		562,000		651,341

				2,606,539

Transport-Marine — 0.1%
PT Pelabuhan Indonesia II Senior Notes 4.25% due 05/05/2025*		475,000		508,701

Transport-Rail — 0.2%
Canadian National Railway Co. Senior Notes 2.85% due 12/15/2021		162,000		165,824
Canadian Pacific Railway Co. Senior Notes 6.13% due 09/15/2115		166,000		268,969
Kazakhstan Temir Zholy Finance BV Company Guar. Notes 6.95% due 07/10/2042		850,000		1,181,500

				1,616,293

Total Foreign Corporate Bonds & Notes
(cost $114,535,801)				117,093,713

FOREIGN GOVERNMENT OBLIGATIONS — 10.3%
Central Bank — 0.1%
Central Bank of Tunisia Senior Notes 5.75% due 01/30/2025		1,000,000		934,450

Sovereign — 10.1%
Arab Republic of Egypt Senior Notes 7.05% due 01/15/2032*		930,000		944,413
Arab Republic of Egypt Senior Notes 7.60% due 03/01/2029		2,750,000		2,946,317
Arab Republic of Egypt Senior Notes 8.50% due 01/31/2047		1,024,000		1,095,803



Security Description	Principal Amount(7)		Value (Note 2)


Sovereign (continued)
Dominican Republic Senior Notes 5.88% due 01/30/2060*#	$	900,000	$	893,250
Dominican Republic Senior Notes 6.60% due 01/28/2024		1,600,000		1,778,016
Dominican Republic Senior Bonds 6.85% due 01/27/2045		1,900,000		2,118,500
Emirate of Abu Dhabi Senior Notes 2.50% due 10/11/2022		1,050,000		1,067,999
Emirate of Abu Dhabi Senior Notes 3.13% due 10/11/2027		2,450,000		2,623,783
Federal Republic of Nigeria Senior Notes 6.50% due 11/28/2027		700,000		695,188
Federal Republic of Nigeria Senior Notes 7.63% due 11/28/2047		530,000		493,494
Federative Republic of Brazil Senior Notes 4.75% due 01/14/2050		700,000		740,089
Federative Republic of Brazil Senior Notes 5.63% due 01/07/2041		1,100,000		1,293,886
Government of Ukraine Senior Notes 7.38% due 09/25/2032		750,000		802,989
Government of Ukraine Senior Notes 7.75% due 09/01/2023		800,000		866,000
Government of Ukraine Senior Notes 7.75% due 09/01/2024		550,000		595,946
Government of Ukraine Senior Notes 9.75% due 11/01/2028		1,400,000		1,681,050
Kingdom of Bahrain Senior Bonds 5.63% due 09/30/2031*		350,000		362,698
Kingdom of Bahrain Senior Notes 5.63% due 09/30/2031		850,000		880,838
Kingdom of Bahrain Senior Notes 7.00% due 10/12/2028		820,000		948,166
Kingdom of Bahrain Senior Notes 7.50% due 09/20/2047		1,520,000		1,771,165
Kingdom of Saudi Arabia Senior Notes 2.75% due 02/03/2032*		1,800,000		1,791,000
Kingdom of Saudi Arabia Senior Notes 4.38% due 04/16/2029		1,050,000		1,195,906
Kingdom of Saudi Arabia Senior Notes 5.00% due 04/17/2049		750,000		926,610
Oriental Republic of Uruguay Senior Notes 4.98% due 04/20/2055		700,000		868,007
Oriental Republic of Uruguay Senior Notes 5.10% due 06/18/2050		850,000		1,069,946

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Republic of Angola Senior Notes 8.00% due 11/26/2029	$	1,700,000	$	1,702,985
Republic of Angola Senior Notes 9.50% due 11/12/2025		820,000		917,580
Republic of Chile Senior Notes 3.24% due 02/06/2028		850,000		913,758
Republic of Chile Senior Notes 3.50% due 01/25/2050		710,000		776,030
Republic of Colombia Senior Notes 3.88% due 04/25/2027		200,000		214,900
Republic of Colombia Senior Notes 5.00% due 06/15/2045		600,000		725,100
Republic of Colombia Senior Notes 10.38% due 01/28/2033		1,200,000		1,981,512
Republic of Ecuador Senior Notes 10.75% due 01/31/2029		2,640,000		2,003,126
Republic of Ghana Senior Notes 8.95% due 03/26/2051		1,000,000		1,010,000
Republic of Ghana Bank Guar. Notes 10.75% due 10/14/2030		730,000		922,796
Republic of Guatemala Senior Notes 4.50% due 05/03/2026		1,300,000		1,374,763
Republic of Guatemala Senior Notes 4.88% due 02/13/2028		1,195,000		1,290,612
Republic of Guatemala Senior Notes 4.90% due 06/01/2030*		700,000		757,750
Republic of Honduras Senior Notes 6.25% due 01/19/2027		1,670,000		1,859,979
Republic of Indonesia Senior Notes 3.50% due 02/14/2050		1,250,000		1,253,781
Republic of Indonesia Senior Notes 3.70% due 01/08/2022		2,200,000		2,264,152
Republic of Indonesia Senior Notes 4.35% due 01/08/2027		500,000		551,963
Republic of Indonesia Senior Notes 7.75% due 01/17/2038		550,000		851,768
Republic of Indonesia Senior Notes 8.50% due 10/12/2035		500,000		807,893
Republic of Italy Senior Notes 4.00% due 10/17/2049		279,000		285,652
Republic of Ivory Coast Senior Notes 5.75% due 12/31/2032		2,864,250		2,767,066
Republic of Ivory Coast Senior Notes 6.13% due 06/15/2033*		900,000		919,746



Security Description	Principal Amount(7)		Value (Note 2)


Sovereign (continued)
Republic of Kenya Senior Notes 6.88% due 06/24/2024	$	900,000	$	960,737
Republic of Kenya Senior Notes 7.00% due 05/22/2027		850,000		896,415
Republic of Panama Senior Notes 3.87% due 07/23/2060		750,000		858,008
Republic of Panama Senior Notes 3.88% due 03/17/2028		650,000		719,882
Republic of Panama Senior Notes 4.50% due 05/15/2047		500,000		623,130
Republic of Panama Senior Notes 6.70% due 01/26/2036		1,180,000		1,709,537
Republic of Panama Senior Notes 7.13% due 01/29/2026		830,000		1,052,033
Republic of South Africa Senior Bonds 4.88% due 04/14/2026		660,000		689,291
Republic of Sri Lanka Senior Notes 5.75% due 04/18/2023		1,060,000		1,044,142
Republic of Sri Lanka Senior Notes 6.75% due 04/18/2028		1,000,000		912,750
Republic of Sri Lanka Senior Notes 7.55% due 03/28/2030*		2,310,000		2,154,075
Republic of the Philippines Senior Notes 3.75% due 01/14/2029		500,000		566,529
Republic of the Philippines Senior Notes 7.75% due 01/14/2031		1,080,000		1,636,180
Republic of Turkey Senior Notes 5.13% due 02/17/2028		1,200,000		1,121,690
Republic of Turkey Senior Notes 5.75% due 05/11/2047		2,000,000		1,700,000
Republic of Turkey Senior Notes 6.88% due 03/17/2036		1,340,000		1,326,600
State of Qatar Senior Notes 2.38% due 06/02/2021		1,830,000		1,837,829
State of Qatar Senior Notes 4.50% due 04/23/2028		1,400,000		1,620,500
State of Qatar Senior Notes 4.82% due 03/14/2049		850,000		1,084,240
State of Qatar Senior Notes 5.10% due 04/23/2048		780,000		1,035,033
Sultanate of Oman Senior Notes 4.75% due 06/15/2026		900,000		876,312
Sultanate of Oman Senior Notes 4.88% due 02/01/2025		900,000		904,500

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

FOREIGN GOVERNMENT OBLIGATIONS (continued)
Sovereign (continued)
Sultanate of Oman Senior Notes 6.00% due 08/01/2029	$	680,000	$	683,400
Sultanate of Oman Senior Notes 6.75% due 01/17/2048		900,000		849,224
United Kingdom Gilt Treasury Bonds 4.50% due 09/07/2034	GBP	300,000		588,978
United Mexican States Senior Notes 4.50% due 04/22/2029		255,000		288,278
United Mexican States Senior Bonds 4.75% due 03/08/2044		204,000		236,130

				84,579,394

Sovereign Agency — 0.1%
Kommunalbanken AS Senior Notes 1.75% due 09/15/2020*		468,000		468,915

Total Foreign Government Obligations
(cost $84,694,758)				85,982,759

U.S. GOVERNMENT AGENCIES — 28.6%
Federal Home Loan Bank — 0.3%
Federal Home Loan Bank 3.25% due 11/16/2028		2,000,000		2,313,415

Federal Home Loan Mtg. Corp. — 7.0%
2.50% due 01/01/2028		155,203		161,399
2.50% due 04/01/2028		324,576		337,534
2.50% due 03/01/2031		220,862		227,879
2.50% due 10/01/2032		3,048,403		3,145,405
2.50% due 11/01/2032		1,407,756		1,466,089
3.00% due 04/01/2043		394,374		416,970
3.00% due 11/01/2046		8,743,157		9,184,417
3.00% due 08/01/2049		2,116,277		2,181,244
3.00% due 01/01/2050		5,262,577		5,427,282
3.50% due 03/01/2042		243,151		258,853
3.50% due 04/01/2042		448,986		478,731
3.50% due 08/01/2042		408,923		441,210
3.50% due 09/01/2043		34,743		37,486
3.50% due 07/01/2045		4,155,785		4,430,486
3.50% due 01/01/2046		421,519		446,255
3.50% due 03/01/2046		836,801		885,348
3.50% due 11/01/2047		1,877,378		1,978,219
3.50% due 03/01/2048		10,960,331		11,679,968
3.50% due 08/01/2049		6,919,001		7,183,996
4.00% due 01/01/2046		252,318		274,153
4.00% due 01/01/2047		63,262		69,104
4.00% due 12/01/2048		3,371,699		3,557,121
4.00% due 07/01/2049		2,812,086		3,017,573
4.50% due 03/01/2023		12,007		12,471
5.00% due 05/01/2034		50,146		56,333
5.00% due 11/01/2043		39,560		44,731
5.50% due 06/01/2022		6,409		6,596
5.50% due 07/01/2035		14,055		16,142
6.00% due 03/01/2040		39,074		45,975
6.50% due 02/01/2036		7,552		8,829
Federal Home Loan Mtg. Corp. FRS
3.36% (6 ML+1.49%) due 02/01/2037		9,915		10,270
4.64% (12 ML+1.88%) due 11/01/2037		97,204		102,864



Security Description	Principal Amount(7)		Value (Note 2)


Federal Home Loan Mtg. Corp. (continued)
Federal Home Loan Mtg. Corp. REMIC
Series 4740, Class BA 3.00% due 09/15/2045(3)	$	413,258	$	428,459
Series 4800, Class KG 3.50% due 11/15/2045(3)		200,000		207,811
Federal Home Loan Mtg. Corp. REMIC FRS Series 3572, Class JS 5.14% (6.80%-1 ML) due 09/15/2039(3)(4)(8)		104,054		16,058
Federal Home Loan Mtg. Corp. Structured Agency Credit Risk FRS Series 2015-HQA2, Class M2 4.46% (1 ML+2.80%) due 05/25/2028(3)		27,554		27,672

				58,270,933

Federal National Mtg. Assoc. — 19.5%
2.50% due 12/01/2026		478,697		493,561
2.50% due 08/01/2031		2,764,838		2,851,635
2.50% due 02/01/2032		1,036,226		1,070,103
3.00% due 10/01/2027		139,991		145,190
3.00% due 12/01/2027		196,442		203,819
3.00% due 10/01/2030		275,051		285,602
3.00% due 02/01/2033		4,162,202		4,329,503
3.00% due 07/01/2034		4,749,929		4,919,365
3.00% due 11/01/2039		2,205,200		2,290,651
3.00% due 12/01/2042		118,529		124,969
3.00% due 08/01/2046		8,786,182		9,225,340
3.00% due 12/01/2046		574,763		600,299
3.00% due 01/01/2047		2,808,414		2,932,033
3.00% due 04/01/2047		3,070,675		3,205,221
3.00% due 04/01/2048		7,146,412		7,412,380
3.00% due 09/01/2048		4,726,441		4,934,039
3.50% due 09/01/2026		141,004		148,538
3.50% due 08/01/2027		41,720		43,704
3.50% due 10/01/2028		149,607		158,503
3.50% due 03/01/2033		1,417,430		1,489,035
3.50% due 08/01/2033		2,756,270		2,887,245
3.50% due 08/01/2042		249,949		259,974
3.50% due 10/01/2045		420,035		451,149
3.50% due 11/01/2045		310,126		328,174
3.50% due 02/01/2046		402,995		426,258
3.50% due 07/01/2046		4,176,053		4,459,281
3.50% due 01/01/2047		700,784		738,604
3.50% due 12/01/2047		19,582,768		20,805,776
3.50% due 04/01/2048		3,569,550		3,800,877
3.50% due 08/01/2049		6,906,857		7,170,869
4.00% due 11/01/2025		62,420		65,532
4.00% due 03/01/2039		2,955,382		3,119,097
4.00% due 12/01/2040		24,574		26,692
4.00% due 01/01/2043		1,699,225		1,849,492
4.00% due 02/01/2045		2,320,570		2,534,450
4.00% due 06/01/2046		480,798		515,783
4.00% due 01/01/2047		19,475		20,811
4.00% due 05/01/2047		506,836		540,928
4.00% due 07/01/2047		3,326,762		3,549,945
4.00% due 08/01/2047		6,269,714		6,695,744
4.00% due 06/01/2048		3,430,735		3,699,882
4.00% due 07/01/2048		3,407,421		3,590,386
4.00% due 09/01/2048		787,950		839,540
4.00% due 10/01/2048		6,184,972		6,536,331
4.00% due 01/01/2049		6,897,259		7,279,583
4.00% due 03/01/2049		2,849,315		3,004,170
4.50% due 08/01/2045		3,324,838		3,746,885
4.50% due 10/01/2048		1,492,010		1,599,392
4.50% due 11/01/2048		3,435,810		3,677,113

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

U.S. GOVERNMENT AGENCIES (continued)
Federal National Mtg. Assoc. (continued)
4.50% due 12/01/2048	$	6,299,410	$	6,722,298
4.50% due 03/01/2049		6,633,143		7,087,261
5.00% due 01/01/2023		13,525		14,303
5.00% due 04/01/2023		14,218		15,037
5.00% due 03/01/2037		6,775		7,333
5.00% due 05/01/2040		161,406		179,825
5.00% due 06/01/2040		45,661		51,326
5.00% due 02/01/2045		445,291		499,282
5.50% due 08/01/2037		202,556		233,210
5.50% due 06/01/2038		23,171		26,710
6.00% due 02/01/2032		2,862		3,172
6.00% due 10/01/2034		109		121
6.00% due 09/01/2038		42,523		49,921
6.00% due 11/01/2038		12,732		14,940
6.00% due 06/01/2040		11,055		12,954
6.50% due 11/01/2037		37,616		43,259
Federal National Mtg. Assoc. FRS 3.53% (6 ML+1.54%) due 09/01/2035		85,296		88,454
3.79% (12 ML+1.77%) due 05/01/2040		88,467		93,547
3.79% (12 ML+1.83%) due 10/01/2040		42,849		44,654
3.95% (12 ML+1.57%) due 05/01/2037		18,744		19,624
4.07% (12 ML+1.82%) due 10/01/2040		19,588		20,701
4.24% (12 ML+1.67%) due 07/01/2039		73,663		77,207
4.35% (1 Yr USTYCR+2.22%) due 10/01/2035		68,970		72,798
4.49% (12 ML+1.91%) due 08/01/2035		61,960		65,507
4.65% (1 Yr USTYCR+2.26%) due 11/01/2036		32,435		34,319
Federal National Mtg. Assoc. REMIC
Series 2017-100, Class NP 3.00% due 12/25/2047(3)		1,017,322		1,086,009
Series 2018-27, Class EA 3.00% due 05/25/2048(3)		2,473,011		2,622,108
Series 2018-35, Class CD 3.00% due 05/25/2048(3)		2,081,897		2,201,906

				162,471,239

Government National Mtg. Assoc. — 1.8%
3.00% due 03/20/2046		314,130		327,830
3.00% due 05/20/2046		4,530,152		4,732,954
3.00% due 09/20/2047		1,525,853		1,586,731
3.50% due 07/20/2046		559,830		589,594
3.50% due 03/20/2047		343,769		360,225
4.00% due 03/20/2049		642,885		672,567
4.50% due 10/20/2045		3,442,966		3,726,841
4.50% due 04/20/2047		2,459,633		2,637,497

				14,634,239

Total U.S. Government Agencies
(cost $228,963,847)				237,689,826

U.S. GOVERNMENT TREASURIES — 2.0%
United States Treasury Bonds — 1.2%
2.25% due 08/15/2049		886,000		1,005,887
2.38% due 11/15/2049		1,062,000		1,238,267
2.88% due 05/15/2049		6,000,000		7,681,406

				9,925,560



Security Description	Principal Amount(7)		Value (Note 2)


United States Treasury Notes — 0.8%
1.38% due 08/31/2020	$	135,000	$	135,106
1.38% due 01/31/2025#		1,193,000		1,219,190
1.50% due 01/31/2027		179,000		184,034
1.50% due 02/15/2030		868,200		898,485
1.63% due 12/15/2022		425,000		433,716
1.75% due 07/31/2021		114,000		115,216
1.75% due 12/31/2024		320,000		332,525
1.75% due 11/15/2029		1,800,000		1,901,813
2.88% due 10/31/2020		1,100,000		1,112,117

				6,332,202

Total U.S. Government Treasuries
(cost $15,089,021)				16,257,762

LOANS(9)(10)(11) — 5.0%
Applications Software — 0.0%
Project Boost Purchaser LLC FRS BTL-B 5.10% (1 ML+3.50%) due 06/01/2026		235,579		230,573

Athletic Equipment — 0.1%
Varsity Brands Holding Co., Inc. FRS 1st Lien 5.10% (1 ML+3.50%) due 12/15/2024		399,797		385,304

Auction Houses/Art Dealers — 0.0%
Sotheby’s FRS BTL-B 7.16% (1 ML+5.50%) due 01/15/2027		290,551		289,824

Auto Repair Centers — 0.1%
Mavis Tire Express Services Corp. FRS 1st Lien 4.85% (1 ML+3.25%) due 03/20/2025		385,863		364,641
Mavis Tire Express Services Corp. FRS Delayed Draw 4.85% (1ML+3.25%)		11,045		10,437
Mavis Tire Express Services Corp. FRS Delayed Draw 4.86% (1ML+3.25%)		38,131		36,034
Wand NewCo. 3, Inc. FRS BTL 4.60% (1 ML+3.00%) due 02/05/2026		250,322		246,567

				657,679

Broadcast Services/Program — 0.1%
NEP Group, Inc. FRS BTL 4.85% (1 ML+3.25%) due 10/20/2025		440,575		405,329

Building Products-Air & Heating — 0.0%
API Heat Transfer ThermaSys Corp. FRS 1st Lien 7.94% (3 ML+6.00%) due 12/31/2023(12)		378,403		340,562

Building Products-Doors & Windows — 0.1%
CHI Doors Holdings Corp. FRS 1st Lien 4.85% (1 ML+3.25%) due 07/29/2022		387,964		386,994

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

LOANS(9)(10)(11) (continued)
Building-Heavy Construction — 0.0%
USIC Holdings, Inc. FRS BTL 4.85% (1 ML+3.25%) due 12/08/2023	$	298,411	$	293,189

Cable/Satellite TV — 0.1%
CSC Holdings LLC FRS BTL-B5 4.16% (1 ML+2.50%) due 04/15/2027		834,438		822,964

Casino Hotels — 0.1%
Caesars Resort Collection LLC FRS BTL-B 4.35% (1 ML+2.75%) due 12/23/2024		442,485		425,671
CityCenter Holdings LLC FRS BTL-B 3.85% (1 ML+2.25%) due 04/18/2024		385,585		379,801

				805,472

Casino Services — 0.0%
Stars Group Holdings FRS BTL 5.44% (3 ML+3.50%) due 07/10/2025		296,285		294,248

Cellular Telecom — 0.1%
Altice France SA FRS BTL-B13 5.66% (1 ML+4.00%) due 08/14/2026		439,438		429,733
Numericable Group SA FRS BTL-B 5.35% (1 ML+3.69%) due 01/31/2026		136,044		132,189
Sprint Communications, Inc. FRS BTL-B 4.63% (1 ML+3.00%) due 02/02/2024		351,323		348,689

				910,611

Chemicals-Diversified — 0.1%
Hexion, Inc. FRS BTL 5.41% (3 ML+3.50%) due 07/01/2026		447,599		442,004

Chemicals-Specialty — 0.1%
Diamond BC BV FRS BTL 4.60% (1 ML+3.00%) due 09/06/2024		1,002		958
Diamond BC BV FRS BTL 4.78% (3 ML+3.00%) due 09/06/2024		391,889		374,744
Starfruit US HoldCo. LLC FRS BTL-B 4.67% (1 ML+3.00%) due 10/01/2025		319,514		313,124

				688,826

Commercial Services-Finance — 0.1%
Financial & Risk US Holdings, Inc. FRS BTL 4.85% (1 ML+3.25%) due 10/01/2025		372,901		371,735



Security Description	Principal Amount(7)		Value (Note 2)


Commercial Services-Finance (continued)
MoneyGram International, Inc. FRS BTL 7.00% (1 ML+6.00%) due 06/30/2023	$	347,236	$	324,376
MPH Acquisition Holdings LLC FRS BTL-B 4.69% (3 ML+2.75%) due 06/07/2023		354,574		340,037

				1,036,148

Computer Data Security — 0.1%
McAfee LLC FRS BTL-B1 5.35% (1 ML+3.75%) due 09/30/2024		379,678		376,989

Computer Graphics — 0.1%
Corel, Inc. FRS BTL 6.61% (3 ML+5.00%) due 07/02/2026		418,498		405,944

Computer Services — 0.0%
Tempo Acquisition LLC FRS BTL-B 4.40% (1 ML+2.75%) due 05/01/2024		322,661		316,612
Tempo Acquisition LLC FRS BTL-B coupon TBD due 5/01/2024		54,000		52,987

				369,599

Computer Software — 0.1%
Camelot Finance SA FRS BTL-B coupon TBD due 10/31/2026		291,636		290,725
Rackspace Hosting, Inc. FRS 1st Lien 4.74% (2 ML+3.00%) due 11/03/2023		415,904		390,950
Vertafore, Inc. FRS 1st Lein 4.85% (1 ML+3.25%) due 07/02/2025		147,939		144,721
Vertafore, Inc. FRS 2nd Lien 8.85% (1 ML+7.25%) due 07/02/2026		216,071		215,963

				1,042,359

Consulting Services — 0.0%
AlixPartners LLP FRS BTL 4.10% (1 ML+2.50%) due 04/04/2024		217,208		211,778

Containers-Metal/Glass — 0.0%
BWAY Corp. FRS BTL 5.08% (3 ML+3.25%) due 04/03/2024		386,552		368,513

Containers-Paper/Plastic — 0.1%
Charter NEX US, Inc. FRS 1st Lien 4.60% (1 ML+3.00%) due 05/16/2024		440,482		430,571

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

LOANS(9)(10)(11) (continued)
Containers-Paper/Plastic (continued)
Patriot Container Corp. FRS 1st Lein coupon TBD due 03/20/2025	$	309,868	$	306,770

				737,341

Cosmetics & Toiletries — 0.0%
Sunshine Luxembourg VII SARL FRS BTL 6.19% (3 ML+4.25%) due 10/01/2026		335,596		330,562

Data Processing/Management — 0.0%
CCC Information Services, Inc. FRS 1st Lien 4.36% (1 ML+2.75%) due 04/29/2024		380,628		375,870

Diagnostic Equipment — 0.0%
Immucor, Inc. FRS BTL-B3 6.94% (3 ML+5.00%) due 06/15/2021		312,000		310,050

Direct Marketing — 0.1%
Terrier Media Buyer, Inc. FRS BTL-B 6.15% (3 ML+4.25%) due 12/17/2026		413,449		409,315

Distribution/Wholesale — 0.1%
Fastlane Parent Co., Inc. FRS 1st Lien 6.45% (3 ML+4.50%) due 02/04/2026		341,281		334,455
Univar USA, Inc. FRS BTL-B3 3.85% (1 ML+2.25%) due 07/01/2024		270,463		266,406

				600,861

Diversified Operations — 0.0%
Travelport Finance Luxembourg SARL FRS BTL 6.94% (3 ML+5.00%) due 05/29/2026		477,340		365,165

E-Commerce/Services — 0.0%
RentPath LLC FRS 2nd Lien 10.61% (3 ML+9.00%) due 12/17/2022(12)		2,178,597		252,717

Electronic Components-Misc. — 0.0%
AI Ladder Luxembourg Subco SARL FRS BTL 6.44% (3 ML+4.50%) due 07/09/2025		368,572		362,582

Electronic Components-Semiconductors — 0.0%
Bright Bidco BV FRS BTL-B 5.10% (1 ML+3.50%) due 06/30/2024		187,701		89,158
Bright Bidco BV FRS BTL-B 5.44% (3 ML+3.50%) due 06/30/2024		385,829		183,269

				272,427



Security Description	Principal Amount(7)		Value (Note 2)


Enterprise Software/Service — 0.4%
Applied Systems, Inc. FRS 1st Lein 5.19% (3 ML+3.25%) due 09/19/2024	$	364,904	$	359,887
Dcert Buyer, Inc. FRS BTL-B 5.60% (1 ML+4.00%) due 10/16/2026		277,610		276,048
Epicor Software Corp. FRS 1st Lien 4.86% (1 ML+3.25%) due 06/01/2022		366,977		363,613
Finastra USA, Inc. FRS BTL-B 5.28% (2 ML+3.50%) due 06/13/2024		51,400		48,765
Finastra USA, Inc. FRS BTL-B 5.28% (6 ML+3.50%) due 06/13/2024		332,929		315,866
Greeneden US Holdings II LLC FRS BTL 4.85% (1 ML+3.25%) due 12/01/2023		380,643		378,502
Kronos, Inc. FRS 1st Lien 4.76% (3 ML+3.00%) due 11/01/2023		386,877		385,288
MYOB US Borrower LLC FRS BTL 5.60% (1 ML+4.00%) due 05/06/2026		330,419		327,941
Sophia LP FRS BTL-B 5.19% (3 ML+3.25%) due 09/30/2022		338,359		334,553
Ultimate Software Group, Inc. FRS 1st Lien 5.35% (1 ML+3.75%) due 05/04/2026		266,423		264,647

				3,055,110

Finance-Credit Card — 0.0%
Pi US Mergerco, Inc. FRS BTL 4.85% (1 ML+3.25%) due 01/03/2025		371,314		366,827

Finance-Investment Banker/Broker — 0.1%
Deerfield Dakota Holding LLC FRS BTL-B 4.85% (1 ML+3.25%) due 02/13/2025		443,471		441,670

Food-Misc./Diversified — 0.0%
Froneri US, Inc. FRS BTL 3.85% (1 ML+2.25%) due 01/29/2027		161,988		159,254

Gambling (Non-Hotel) — 0.1%
Mohegan Tribal Gaming Authority FRS BTL-B 5.60% (1 ML+4.00%) due 10/13/2023		417,284		404,349
Scientific Games International, Inc. FRS BTL-B5 4.35% (1 ML+2.75%) due 08/14/2024		77,818		75,600

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

LOANS(9)(10)(11) (continued)
Gambling (Non-Hotel) (continued)
Scientific Games International, Inc. FRS BTL-B5 4.37% (2 ML+2.75%) due 08/14/2024	$	316,008	$	307,002

				786,951

Human Resources — 0.0%
Creative Artists Agency LLC FRS BTL-B 5.35% (1 ML+3.75%) due 11/27/2026		307,134		304,830

Insurance Brokers — 0.1%
Alliant Holdings Intermediate LLC FRS BTL-B1 4.60% (1 ML+3.00%) due 05/09/2025		404,581		396,110
HUB International, Ltd. FRS BTL-B 4.39% (2 ML+2.75%) due 04/25/2025		18,151		17,606
HUB International, Ltd. FRS BTL-B 4.52% (3 ML+2.75%) due 04/25/2025		971		942
HUB International, Ltd. FRS BTL-B 4.55% (2 ML+2.75%) due 04/25/2025		381,625		370,177

				784,835

Insurance-Property/Casualty — 0.1%
Asurion LLC FRS BTL-B6 4.60% (1 ML+3.00%) due 11/03/2023		373,733		370,930
Asurion LLC FRS 2nd Lien 8.10% (1 ML+6.50%) due 08/04/2025		16,737		16,695
Sedgwick Claims Management Services, Inc. FRS BTL 4.85% (1 ML+3.25%) due 12/31/2025		321,290		310,848

				698,473

Internet Content-Information/News — 0.0%
Pug LLC FRS BTL 5.17% (3 ML+3.50%) due 01/29/2027		311,354		295,786

Internet Financial Services — 0.1%
ION Trading Finance, Ltd. FRS BTL 6.06% (3 ML+4.00%) due 11/21/2024		450,180		423,544

Investment Management/Advisor Services — 0.1%
Advisor Group, Inc. FRS BTL-B coupon TBD due 08/01/2026		417,000		411,266

Machinery-Electrical — 0.0%
Brookfield WEC Holdings, Inc. FRS BTL 4.60% (1 ML+3.00%) due 08/01/2025		263,859		259,406



Security Description	Principal Amount(7)		Value (Note 2)


Machinery-General Industrial — 0.1%
Shape Technologies Group, Inc. FRS BTL 4.81% (3 ML+3.00%) due 04/21/2025	$	328,792	$	299,201
Shape Technologies Group, Inc. FRS BTL coupon TBD due 04/21/2025		13,476		12,263
Welbilt, Inc. FRS BTL-B 4.10% (1 ML+2.50%) due 10/23/2025		298,000		292,040

				603,504

Machinery-Pumps — 0.0%
STS Operating, Inc. FRS BTL 5.85% (1 ML+4.25%) due 12/11/2024		356,558		345,862

Medical Labs & Testing Services — 0.1%
Envision Healthcare Corp. FRS 1st Lien 5.35% (1 ML+3.75%) due 10/10/2025		251,546		200,451
Envision Healthcare Corp. FRS 1st Lien coupon TBD due 10/10/2025		492,454		392,424
Sound Inpatient Physicians, Inc. FRS 1st Lien 4.35% (1 ML+2.75%) due 06/27/2025		404,111		402,764

				995,639

Medical-Drugs — 0.1%
Akorn, Inc. FRS BTL-B 11.69% (1 ML+10.00%) due 04/16/2021(18)		365,451		351,975
Alphabet Holding Co., Inc. FRS 1st Lien 5.10% (1 ML+3.50%) due 09/26/2024		443,199		422,701
Bausch Health Americas, Inc. FRS BTL 4.41% (1 ML+2.75%) due 11/27/2025		248,248		248,015
Bausch Health Americas, Inc. FRS BTL 4.66% (1 ML+3.00%) due 06/02/2025		48,772		48,447

				1,071,138

Medical-Generic Drugs — 0.1%
Amneal Pharmaceuticals LLC FRS BTL-B 5.13% (1 ML+3.50%) due 05/04/2025		549,333		491,196

Medical-Hospitals — 0.0%
RegionalCare Hospital Partners Holdings, Inc. FRS BTL-B 5.35% (1 ML+3.75%) due 11/17/2025		300,671		299,042

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

LOANS(9)(10)(11) (continued)
Medical-Hospitals (continued)
RegionalCare Hospital Partners Holdings, Inc. FRS BTL-B coupon TBD due 11/17/2025	$	34,948	$	34,759

				333,801

Metal Processors & Fabrication — 0.1%
Crosby US Acquisition Corp. FRS BTL-B 6.38% (1 ML+4.75%) due 06/26/2026		290,102		285,751
Form Technologies LLC FRS BTL 5.19% (3 ML+3.25%) due 01/28/2022		382,552		360,555
SEI Holdings I Corp. FRS 1st Lien 5.60% (1 ML+4.00%) due 03/27/2021		450,223		442,344

				1,088,650

Miscellaneous Manufacturing — 0.0%
Excelitas Technologies Corp. FRS 2nd Lien 9.41% (3 ML+7.50%) due 12/01/2025		338,000		324,480

Multimedia — 0.0%
EW Scripps Co. FRS BTL-B2 4.10% (1 ML+2.50%) due 05/01/2026		250,547		247,885

Non-Hazardous Waste Disposal — 0.1%
GFL Environmental, Inc. FRS BTL 4.60% (1 ML+3.00%) due 05/30/2025		270,902		265,348
GFL Environmental, Inc. FRS BTL 6.75% (3 ML+2.00%) due 05/30/2025		129,667		127,009

				392,357

Oil Companies-Exploration & Production — 0.1%
Osum Production Corp. FRS BTL 11.44% (3 ML+9.50%) due 07/31/2022		438,080		407,415

Pharmacy Services — 0.1%
Change Healthcare Holdings LLC FRS BTL 4.10% (1 ML+2.50%) due 03/01/2024		265,156		261,400
HC Group Holdings II, Inc. FRS BTL-B 6.10% (1 ML+4.50%) due 08/06/2026		368,932		368,778

				630,178

Pipelines — 0.2%
Blackstone CQP Holdco LP FRS BTL-B 5.41% (3 ML+3.50%) due 09/30/2024		413,367		403,722



Security Description	Principal Amount(7)		Value (Note 2)


Pipelines (continued)
Hercules Merger Sub LLC FRS BTL-B 4.41% (1 ML+2.75%) due 11/01/2026	$	447,571	$	442,984
Lucid Energy Group II Borrower LLC FRS 1st Lien 4.60% (1 ML+3.00%) due 02/17/2025		371,533		322,305
Medallion Midland Acquisition LLC FRS BTL 4.85% (1 ML+3.25%) due 10/30/2024		354,248		334,174

				1,503,185

Protection/Safety — 0.0%
Prime Security Services Borrower, LLC FRS BTL-B1 4.91% (1 ML+3.25%) due 09/23/2026		365,286		356,154

Publishing-Periodicals — 0.1%
Meredith Corp. FRS BTL-B1 4.35% (1 ML+2.75%) due 01/31/2025		373,385		368,718
Nielsen Finance LLC FRS BTL-B4 3.67% (1 ML+2.00%) due 10/04/2023		385,687		381,348

				750,066

Quarrying — 0.1%
US Silica Co. FRS BTL-B 5.63% (1 ML+4.00%) due 05/01/2025		472,589		382,797

Real Estate Management/Services — 0.1%
Cushman & Wakefield FRS BTL 4.35% (1 ML+2.75%) due 08/21/2025		390,471		383,313

Research & Development — 0.1%
PAREXEL International Corp. FRS BTL 4.35% (1 ML+2.75%) due 09/27/2024		411,267		397,130

Resorts/Theme Parks — 0.1%
Merlin Entertainments PLC FRS Delayed Draw 4.90%-4.94% (1 ML+3.25%) due 11/04/2026		113,778		109,512
Merlin Entertainments PLC FRS Delayed Draw coupon TBD due 11/04/2026		109,000		104,913
SeaWorld Parks & Entertainment, Inc. FRS BTL-B5 4.60% (1 ML+3.00%) due 03/31/2024		365,261		357,727

				572,152

Retail-Misc./Diversified — 0.0%
VS Buyer LLC BTL coupon TBD due 02/28/2027		43,718		43,390

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

LOANS(9)(10)(11) (continued)
Retail-Petroleum Products — 0.1%
EG America LLC FRS BTL 5.96% (3 ML+4.00%) due 02/07/2025	$	390,324	$	379,102

Retail-Restaurants — 0.1%
IRB Holding Corp. FRS BTL-B 4.38% (1 ML+2.75%) due 02/05/2025		359,722		351,028
Wok Holdings, Inc. FRS BTL 8.17% (6 ML+6.25%) due 03/01/2026		354,216		286,915

				637,943

Retail-Sporting Goods — 0.0%
Bass Pro Group LLC FRS BTL 6.60% (1 ML+5.00%) due 09/25/2024		381,231		365,982

Rubber/Plastic Products — 0.0%
Gates Global LLC FRS BTL-B2 4.35% (1 ML+2.75%) due 04/01/2024		298,377		291,663

Satellite Telecom — 0.1%
Intelsat Jackson Holdings SA FRS BTL-B3 5.68% (6 ML+3.75%) due 11/27/2023		355,000		351,524
Iridium Satellite LLC FRS BTL-B 5.35% (1 ML+3.75%) due 11/04/2026		384,401		383,440

				734,964

Software Tools — 0.0%
RP Crown Parent LLC FRS BTL 4.35% (1 ML+2.75%) due 10/12/2023		278,411		277,947

Telecom Services — 0.1%
Front Range BidCo., Inc. FRS BTL coupon TBD due 02/19/2027		310,010		302,517
Verra Mobility Corp. FRS 4.85% (1 ML+3.25%) due 02/28/2025		413,670		408,499
West Corp. FRS BTL-B1 5.10% (1 ML+3.50%) due 10/10/2024		392,606		305,906

				1,016,922

Telecommunication Equipment — 0.0%
CommScope, Inc. FRS BTL-B 4.85% (1 ML+3.25%) due 04/06/2026		277,080		274,482



Security Description	Shares/ Principal Amount(7)		Value (Note 2)


Telephone-Integrated — 0.1%
CenturyLink, Inc. FRS BTL-B 3.85% (1 ML+2.25%) due 03/15/2027	$	304,130	$	295,894
Level 3 Financing, Inc. FRS BTL-B 3.35% (1 ML+1.75%) due 03/01/2027		293,475		287,361

				583,255

Television — 0.0%
Ion Media Networks, Inc. FRS BTL-B1 4.63% (1 ML+3.00%) due 12/18/2024		369,457		365,762

Theaters — 0.3%
AMC Entertainment Holdings, Inc. FRS BTL-B 4.61% (1 ML+3.00%) due 04/22/2026		437,113		424,546
Cineworld, Ltd. FRS BTL 3.85% (1 ML+2.25%) due 02/28/2025		388,021		358,273
William Morris Endeavor Entertainment LLC FRS BTL-B1 4.36% (1 ML+2.75%) due 05/18/2025		919,822		892,611
William Morris Endeavor Entertainment LLC FRS BTL-B1 4.37% (3 ML+2.75%) due 05/18/2025		816,857		792,692

				2,468,122

Transport-Truck — 0.1%
Pods LLC FRS 1st Lien 4.41% (1 ML+2.75%) due 12/06/2024		419,108		411,075

Total Loans
(cost $45,053,353)				41,897,262

COMMON STOCKS — 0.0%
Building Products-Air & Heating — 0.0%
API Heat Transfer, Inc.†(12)		407,576		112,083

Television — 0.0%
ION Media Networks, Inc.†(5)(12)		316		250,746

Total Common Stocks
(cost $134,503)				362,829

PREFERRED SECURITIES — 0.0%
Building Products-Air & Heating — 0.0%
API Heat Transfer, Inc. Class A(12)		86,869		64,283

Electric-Distribution — 0.0%
Entergy Louisiana LLC 4.70%		7,075		178,078

Sovereign Agency — 0.0%
Federal Home Loan Mtg. Corp. Series Z 8.38%		2,592		27,346

Total Preferred Securities
(cost $303,765)				269,707

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Principal Amount(7)		Value (Note 2)

PREFERRED SECURITIES/CAPITAL SECURITIES — 1.7%
Banks-Money Center — 0.1%
National Westminster Bank PLC FRS 1.77% (3 ME + 2.15%) due 04/05/2020(13)	EUR	900,000	$	988,838

Banks-Super Regional — 0.0%
Wells Fargo Capital X 5.95% due 12/01/2086		133,000		173,575

Building & Construction-Misc. — 0.1%
China Minmetals Corp. 3.75% due 11/13/2022(13)		485,000		490,514

Diversified Banking Institutions — 0.2%
Banco Santander SA 6.25% due 09/11/2021(13)	EUR	300,000		349,271
JPMorgan Chase & Co. Series U 6.13% due 04/30/2024(13)		469,000		501,537
Lloyds Banking Group PLC 5.13% due 12/27/2024(13)	GBP	300,000		389,453
Royal Bank of Scotland Group PLC 8.00% due 08/10/2025(13)		245,000		279,300
Societe Generale SA 7.88% due 12/18/2023*(13)		551,000		607,136

				2,126,697

Diversified Minerals — 0.0%
BHP Billiton Finance, Ltd. 5.63% due 10/22/2079	EUR	300,000		395,766

Electric-Distribution — 0.0%
National Rural Utilities Cooperative Finance Corp. 4.75% due 04/30/2043		319,000		333,865

Electric-Generation — 0.1%
Electricite de France SA 5.00% due 01/22/2026(13)	EUR	500,000		629,749

Electric-Integrated — 0.1%
Dominion Resources, Inc. 5.75% due 10/01/2054		130,000		140,005
Vattenfall AB 3.00% due 03/19/2077	EUR	550,000		648,157

				788,162

Food-Dairy Products — 0.2%
Land O’ Lakes, Inc. 7.00% due 09/18/2028*(13)		110,000		101,337
Land O’Lakes Capital Trust I 7.45% due 03/15/2028*		1,115,000		1,248,800

				1,350,137

Insurance-Life/Health — 0.2%
Credit Agricole Assurances SA 2.63% due 01/29/2048	EUR	700,000		803,676
Prudential Financial, Inc. 5.63% due 06/15/2043		334,000		351,451
Prudential Financial, Inc. 5.70% due 09/15/2048		139,000		157,174

				1,312,301

Insurance-Multi-line — 0.1%
Allianz SE 4.75% due 10/24/2023(13)	EUR	700,000		872,066
Voya Financial, Inc. 4.70% due 01/23/2048		213,000		213,121

				1,085,187



Security Description	Principal Amount(7)		Value (Note 2)


Insurance-Mutual — 0.1%
Liberty Mutual Group, Inc. 3.63% due 05/23/2059	EUR	600,000	$	678,929

Pipelines — 0.0%
EnLink Midstream Partners LP 6.00% due 12/15/2022(13)		146,000		96,360
Enterprise Products Operating LLC 5.25% due 08/16/2077		103,000		104,545

				200,905

Real Estate Investment Trusts — 0.1%
Unibail-Rodamco-Westfield SE 2.13% due 07/25/2023(13)	EUR	900,000		1,000,397

Real Estate Operations & Development — 0.1%
Aroundtown SA 2.88% due 01/12/2025(13)	EUR	700,000		790,152

Telephone-Intergrated — 0.1%
AT&T, Inc. 2.88% 03/02/2025(13)		500,000		544,799

Tools-Hand Held — 0.1%
Stanley Black & Decker, Inc. 4.00% due 03/15/2060		434,000		437,346

Transport-Rail — 0.1%
CRCC Chengan, Ltd. 3.97% due 06/27/2024(13)		500,000		508,571

Total Preferred Securities/Capital Securities
(cost $13,603,550)				13,835,890

ESCROWS AND LITIGATION TRUSTS — 0.0%
Waterford Gaming LLC/Waterford Gaming Financial Corp. Escrow Notes 8.63% due 09/15/2014†*(5)		262,396		1,653
Venture Holdings Co. LLC Company Guar. Notes 11.00% due 06/01/2007†(5)(14)(15)		25,000		0
Hellas Telecommunications Luxembourg II SCA Sub. Notes 8.46% due 01/15/2015†*(5)(14)(15)		560,000		0
Lehman Brothers Holdings Capital Trust VII Escrow Security 0.00%†(5)		101,000		10
Lehman Brothers Holdings, Inc. Escrow Notes 5.50 due 04/04/2016†		97,000		1,213
Lehman Brothers Holdings, Inc. Escrow Notes 6.75% due 12/28/2017†(5)		111,000		11
Lehman Brothers Holdings, Inc. Escrow Notes 7.50 due 05/11/2038†(5)		143,000		14

Total Escrows and Litigation Trusts
(cost $844,260)				2,901

Total Long-Term Investment Securities
(cost $784,701,118)				799,106,142

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)



Security Description	Shares			Value (Note 2)

SHORT-TERM INVESTMENT SECURITIES — 4.4%
Registered Investment Companies — 4.4%
State Street Institutional U.S. Government Money Market Fund, Premier Class 1.53%(16)		27,458,469		$	27,458,469
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(6)(16)		9,261,199			9,261,199

Total Short-Term Investment Securities
(cost $36,719,668)					36,719,668

TOTAL INVESTMENTS
(cost $821,420,786)(17)		100.5	%		835,825,810
Liabilities in excess of other assets		(0.5	)		(4,611,300	)

NET ASSETS		100.0	%	$	831,214,510

#	The security or a portion thereof is out on loan (see Note 2).

†	Non-income producing security

(1)	Commercial Mortgage Backed Security

(2)	Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above.

(3)	Collateralized Mortgage Obligation

(4)	Interest Only

(5)	Securities classified as Level 3 (see Note 2).

(6)	At February 29, 2020, the Fund had loaned securities with a total value of $9,004,534. This was secured by collateral of $9,261,199, which was received in cash and subsequently invested in short-term investments currently valued at $9,261,199 as reported in the Portfolio of Investments.

(7)	Denominated in United States Dollars unless otherwise indicated.

(8)	Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at February 29, 2020.

(9)

(10)

(11)	All loans in the Fund were purchased through assignment agreements unless otherwise indicated.

(12)


Name	Acquisition Date		Shares		Acquisition Cost		Value		Value per Share		% of Net Assets
Loans

API Heat Transfer ThermaSys Corp. 7.94 due 12/31/2023		2/28/2019		378,403	$	378,403	$	340,562	$	90.00		0.04%
RentPath LLC 10.61% due 12/17/2022		6/4/2015		802,597		789,946
		7/20/2015		400,000		393,965
		2/14/2017		41,000		39,037
		7/13/2017		935,000		918,151

				2,178,597	$	2,141,099		252,717		11.60		0.03	%

Common Stocks

API Heat Transfer, Inc.		12/31/2018		407,576		134,500		112,083		0.27		0.01%
ION Media Networks, Inc.		03/05/2014		316		3		250,746		793.50		0.03%

Preferred Securities

API Heat Transfer, Inc. Class A		12/31/2018		86,869		86,869		64,283		0.74		0.01%

								$1,020,391				0.12%

(13)	Perpetual maturity — maturity date reflects the next call date.

(14)	Company has filed for bankruptcy protection.

(15)	Security in default of interest and principal at maturity.

(16)	The rate shown is the 7-day yield as of February 29, 2020.

(17)	See Note 5 for cost of investments on a tax basis.

(18)	PIK (“Payment-in-Kind”) security—Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in cash at 10.94%. The security is also currently paying interest in the form of additional loans at 0.75%.

BTL—Bank Term Loan

REMIC—Real Estate Mortgage Investment Conduit

ULC—Unlimited Liability Corp.

FRS—Floating Rate Security

VRS—Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at February 29, 2020 and unless noted otherwise, the dates are the original maturity dates.

Currency Legend

EUR—Euro Currency

GBP—British Pound

Index Legend

3 ME—3 Month Euribor

1 ML—1 Month USD LIBOR

2 ML—2 Month USD LIBOR

3 ML—3 Month USD LIBOR

6 ML—6 Month USD LIBOR

12 ML—12 Month USD LIBOR

1 Yr USTYCR—1 Year US Treasury Yield Curve Rate

PORTFOLIO OF INVESTMENTS — February 29, 2020 — (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 transfers during the reporting period.

Industry Allocation*


Applications Software	7.2	%
Computers	5.5
Finance — Credit Card	4.9
Web Portals/ISP	4.2
Real Estate Investment Trusts	3.4
Electric — Integrated	3.2
Medical — Biomedical/Gene	2.9
Cosmetics & Toiletries	2.9
Electronic Components — Semiconductors	2.8
Commercial Services — Finance	2.7
Banks — Super Regional	2.4
Medical — Drugs	2.0
Beverages — Non-alcoholic	1.9
Retail — Building Products	1.8
Telephone — Integrated	1.7
Diagnostic Equipment	1.7
Oil Companies — Exploration & Production	1.6
Banks — Commercial	1.6
Repurchase Agreements	1.6
Medical Products	1.6
Diversified Manufacturing Operations	1.5
Insurance — Multi-line	1.4
Finance — Other Services	1.3
Pipelines	1.3
Retail — Restaurants	1.3
Multimedia	1.3
Investment Management/Advisor Services	1.2
Internet Content — Entertainment	1.1
E-Commerce/Services	1.1
Insurance — Life/Health	1.1
Food — Misc./Diversified	1.1
Electronic Forms	1.1
Data Processing/Management	1.1
Networking Products	1.0
Industrial Gases	1.0
Electronic Measurement Instruments	1.0
Medical Labs & Testing Services	1.0
Medical — HMO	0.9
Banks — Fiduciary	0.9
Retail — Discount	0.8
Insurance Brokers	0.8
Transport — Rail	0.7
Semiconductor Components — Integrated Circuits	0.7
Water	0.7
Electric Products — Misc.	0.7
Retail — Major Department Stores	0.6
Insurance — Property/Casualty	0.6
Non-Hazardous Waste Disposal	0.6
Airlines	0.5
Semiconductor Equipment	0.5
Machinery — Construction & Mining	0.5
Medical — Hospitals	0.5
Chemicals — Specialty	0.5
Transport — Services	0.5
E-Commerce/Products	0.5
Auto — Heavy Duty Trucks	0.5
Advertising Agencies	0.4
Oil — Field Services	0.4
Retail — Drug Store	0.4
Entertainment Software	0.4
Consumer Products — Misc.	0.4
Finance — Investment Banker/Broker	0.4
Machinery — Farming	0.4
U.S. Government Treasuries	0.4
Registered Investment Companies	0.3
Chemicals — Diversified	0.3
Oil Refining & Marketing	0.3
Retail — Auto Parts	0.3
Containers — Paper/Plastic	0.3


Computer Aided Design	0.3
Building Products — Cement	0.3
Steel — Producers	0.3
Building Products — Air & Heating	0.2
Distribution/Wholesale	0.2
Food — Retail	0.2
Apparel Manufacturers	0.2
Retail — Apparel/Shoe	0.2
Medical — Generic Drugs	0.2
Wireless Equipment	0.2
Containers — Metal/Glass	0.2
Paper & Related Products	0.2
Computers — Memory Devices	0.2
Food — Meat Products	0.2
Consulting Services	0.2
Dental Supplies & Equipment	0.2
Decision Support Software	0.2
Broadcast Services/Program	0.2
Disposable Medical Products	0.1
Medical Information Systems	0.1
Instruments — Scientific	0.1
Industrial Automated/Robotic	0.1
Respiratory Products	0.1
Building — Residential/Commercial	0.1
Tools — Hand Held	0.1
Food — Confectionery	0.1
Dialysis Centers	0.1
Finance — Consumer Loans	0.1
Diagnostic Kits	0.1
Coatings/Paint	0.1
Web Hosting/Design	0.1
Electric — Distribution	0.1
Computer Software	0.1
Cable/Satellite TV	0.1
Instruments — Controls	0.1
Theaters	0.1
Electronic Connectors	0.1
Commercial Services	0.1
Machinery — General Industrial	0.1
Retail — Consumer Electronics	0.1
Oil Field Machinery & Equipment	0.1
Retail — Automobile	0.1

	100.5	%

*	Calculated as a percentage of net assets



Security Description	Shares		Value (Note 2)

COMMON STOCKS — 98.2%
Advertising Agencies — 0.4%
Interpublic Group of Cos., Inc.		36,599	$	781,755
Omnicom Group, Inc.#		32,308		2,238,298

				3,020,053

Agricultural Chemicals — 0.0%
CF Industries Holdings, Inc.		2,726		100,480
Mosaic Co.		10,460		178,134

				278,614

Airlines — 0.5%
American Airlines Group, Inc.		7,532		143,485
Delta Air Lines, Inc.		37,348		1,722,863
Southwest Airlines Co.		23,848		1,101,539
United Airlines Holdings, Inc.†		11,783		725,715

				3,693,602

Apparel Manufacturers — 0.2%
Capri Holdings, Ltd.†		1,246		32,172
Hanesbrands, Inc.		11,970		158,483
PVH Corp.		6,293		466,374
Ralph Lauren Corp.		3,701		390,492
Tapestry, Inc.		14,993		351,586
Under Armour, Inc., Class C†		13,824		172,524

				1,571,631

Applications Software — 7.2%
Intuit, Inc.		11,025		2,930,996
Microsoft Corp.		245,107		39,709,785
salesforce.com, Inc.†		32,472		5,533,229
ServiceNow, Inc.†		5,464		1,781,756

				49,955,766

Auto - Heavy Duty Trucks — 0.5%
Cummins, Inc.		10,280		1,555,261
PACCAR, Inc.		23,182		1,550,876

				3,106,137

Banks - Commercial — 1.6%
Citizens Financial Group, Inc.		57,379		1,818,341
First Republic Bank		5,200		522,964
M&T Bank Corp.		11,350		1,593,313
Regions Financial Corp.		105,393		1,424,913
Truist Financial Corp.		119,632		5,519,820
Zions Bancorp NA		3,779		150,971

				11,030,322

Banks - Fiduciary — 0.9%
Bank of New York Mellon Corp.		78,546		3,133,985
Northern Trust Corp.		15,678		1,375,901
State Street Corp.		23,569		1,605,285

				6,115,171

Banks - Super Regional — 2.4%
Comerica, Inc.		5,656		297,732
Fifth Third Bancorp		73,408		1,791,155
Huntington Bancshares, Inc.		76,405		937,489
KeyCorp		75,485		1,234,180
PNC Financial Services Group, Inc.		45,872		5,798,221
US Bancorp		138,276		6,421,537

				16,480,314

Beverages - Non-alcoholic — 1.9%
Monster Beverage Corp.†		18,884		1,178,550
PepsiCo, Inc.		91,886		12,131,709

				13,310,259



Security Description	Shares		Value (Note 2)


Broadcast Services/Program — 0.2%
Discovery, Inc., Class A†#		40,186	$	1,032,780

Building Products - Air & Heating — 0.2%
Johnson Controls International PLC		45,988		1,681,781

Building Products - Cement — 0.3%
Martin Marietta Materials, Inc.		3,842		874,170
Vulcan Materials Co.		7,568		910,128

				1,784,298

Building - Residential/Commercial — 0.1%
D.R. Horton, Inc.		8,380		446,402
Lennar Corp., Class A		7,876		475,238

				921,640

Cable/Satellite TV — 0.1%
DISH Network Corp., Class A†		20,024		671,204

Chemicals - Diversified — 0.3%
Eastman Chemical Co.		4,887		300,599
LyondellBasell Industries NV, Class A		11,674		834,224
PPG Industries, Inc.		11,277		1,177,883

				2,312,706

Chemicals - Specialty — 0.5%
Ecolab, Inc.		16,521		2,981,214
International Flavors & Fragrances, Inc.#		3,427		410,486

				3,391,700

Coatings/Paint — 0.1%
Sherwin-Williams Co.		1,602		827,833

Commercial Services — 0.1%
Cintas Corp.		1,335		356,098
Nielsen Holdings PLC		7,541		137,322

				493,420

Commercial Services - Finance — 2.7%
Automatic Data Processing, Inc.		26,191		4,052,795
FleetCor Technologies, Inc.†		3,186		846,807
IHS Markit, Ltd.		21,641		1,541,705
Moody’s Corp.		12,713		3,051,501
PayPal Holdings, Inc.†		45,357		4,898,103
S&P Global, Inc.		16,575		4,407,458

				18,798,369

Computer Aided Design — 0.3%
Autodesk, Inc.†		8,651		1,651,303
Synopsys, Inc.†		2,329		321,239

				1,972,542

Computer Data Security — 0.0%
Fortinet, Inc.†		2,528		258,008

Computer Services — 0.0%
DXC Technology Co.		13,055		314,756

Computer Software — 0.1%
Akamai Technologies, Inc.†		2,705		234,010
Citrix Systems, Inc.		4,413		456,260

				690,270

Computers — 5.5%
Apple, Inc.		128,705		35,182,799
Hewlett Packard Enterprise Co.		93,259		1,192,783
HP, Inc.		65,285		1,357,275

				37,732,857

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Computers - Memory Devices — 0.2%
NetApp, Inc.		5,154	$	240,795
Seagate Technology PLC		6,229		298,681
Western Digital Corp.		10,547		585,991

				1,125,467

Consulting Services — 0.2%
Verisk Analytics, Inc.		7,041		1,092,129

Consumer Products - Misc. — 0.4%
Clorox Co.		3,229		514,767
Kimberly-Clark Corp.		15,588		2,044,990

				2,559,757

Containers - Metal/Glass — 0.2%
Ball Corp.		17,251		1,215,505

Containers - Paper/Plastic — 0.3%
Amcor PLC		73,019		680,537
Packaging Corp. of America		4,437		402,081
WestRock Co.		27,050		899,413

				1,982,031

Cosmetics & Toiletries — 2.9%
Colgate-Palmolive Co.		51,982		3,512,424
Coty, Inc., Class A		19,988		184,489
Estee Lauder Cos., Inc., Class A		12,927		2,373,397
Procter & Gamble Co.		120,084		13,597,111

				19,667,421

Data Processing/Management — 1.1%
Fidelity National Information Services, Inc.		25,793		3,603,798
Fiserv, Inc.†		20,920		2,287,811
Paychex, Inc.		17,745		1,374,883

				7,266,492

Decision Support Software — 0.2%
MSCI, Inc.		3,568		1,054,130

Dental Supplies & Equipment — 0.2%
Align Technology, Inc.†		2,114		461,592
DENTSPLY SIRONA, Inc.		12,432		612,152

				1,073,744

Diagnostic Equipment — 1.7%
Danaher Corp.		34,694		5,016,059
Thermo Fisher Scientific, Inc.		23,618		6,868,114

				11,884,173

Diagnostic Kits — 0.1%
IDEXX Laboratories, Inc.†		3,364		856,172

Dialysis Centers — 0.1%
DaVita, Inc.†		11,345		880,599

Disposable Medical Products — 0.1%
Teleflex, Inc.		3,006		1,007,070

Distribution/Wholesale — 0.2%
Fastenal Co.		21,358		730,871
LKQ Corp.†		14,972		442,872
WW Grainger, Inc.		1,749		485,417

				1,659,160

Diversified Manufacturing Operations — 1.5%
Eaton Corp. PLC		40,239		3,650,482
Illinois Tool Works, Inc.		22,564		3,785,788
Parker-Hannifin Corp.		8,013		1,480,562
Trane Technologies PLC		11,309		1,459,313

				10,376,145



Security Description	Shares		Value (Note 2)


E-Commerce/Products — 0.5%
eBay, Inc.		92,972	$	3,220,550

E-Commerce/Services — 1.1%
Booking Holdings, Inc.†		3,110		5,273,503
Expedia Group, Inc.		24,442		2,410,470

				7,683,973

Electric Products - Misc. — 0.7%
AMETEK, Inc.		13,887		1,194,282
Emerson Electric Co.		51,448		3,298,331

				4,492,613

Electric - Distribution — 0.1%
CenterPoint Energy, Inc.		33,728		776,419

Electric - Integrated — 3.2%
AES Corp.		79,632		1,332,243
Alliant Energy Corp.		19,139		997,525
CMS Energy Corp.		30,437		1,839,004
Consolidated Edison, Inc.		67,546		5,323,976
Eversource Energy		43,425		3,754,526
FirstEnergy Corp.		45,365		2,020,103
PPL Corp.		51,826		1,555,298
WEC Energy Group, Inc.		57,656		5,323,378

				22,146,053

Electronic Components - Misc. — 0.0%
Garmin, Ltd.		2,025		178,990

Electronic Components - Semiconductors — 2.8%
Advanced Micro Devices, Inc.†		29,219		1,328,880
Broadcom, Inc.		13,987		3,813,136
Microchip Technology, Inc.#		5,842		529,928
Micron Technology, Inc.†		46,050		2,420,388
NVIDIA Corp.		19,578		5,287,430
Texas Instruments, Inc.		45,718		5,218,253
Xilinx, Inc.		7,443		621,416

				19,219,431

Electronic Connectors — 0.1%
TE Connectivity, Ltd.		6,980		578,433

Electronic Forms — 1.1%
Adobe, Inc.†		21,351		7,368,657

Electronic Measurement Instruments — 1.0%
Agilent Technologies, Inc.		23,582		1,817,465
Fortive Corp.		17,623		1,218,807
Roper Technologies, Inc.		10,855		3,817,703

				6,853,975

Entertainment Software — 0.4%
Activision Blizzard, Inc.		25,373		1,474,933
Electronic Arts, Inc.†		9,558		968,894
Take-Two Interactive Software, Inc.†		2,015		216,572

				2,660,399

Finance - Consumer Loans — 0.1%
Synchrony Financial		30,072		875,095

Finance - Credit Card — 4.9%
American Express Co.		47,208		5,189,576
Discover Financial Services		15,933		1,044,886
Mastercard, Inc., Class A		41,397		12,015,479
Visa, Inc., Class A		84,065		15,279,654

				33,529,595

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Finance - Investment Banker/Broker — 0.4%
Charles Schwab Corp.		52,510	$	2,139,783
E*TRADE Financial Corp.		9,004		412,203

				2,551,986

Finance - Other Services — 1.3%
Cboe Global Markets, Inc.		5,423		618,222
CME Group, Inc.		18,529		3,683,936
Intercontinental Exchange, Inc.		42,606		3,801,307
Nasdaq, Inc.		8,369		858,241

				8,961,706

Food - Confectionery — 0.1%
J.M. Smucker Co.		8,910		917,641

Food - Meat Products — 0.2%
Hormel Foods Corp.#		26,725		1,111,760

Food - Misc./Diversified — 1.1%
Campbell Soup Co.		9,621		434,099
General Mills, Inc.		43,236		2,118,564
Kellogg Co.		21,216		1,282,931
Kraft Heinz Co.		78,328		1,940,185
Lamb Weston Holdings, Inc.		4,731		411,077
McCormick & Co., Inc.		8,178		1,195,542

				7,382,398

Food - Retail — 0.2%
Kroger Co.		57,715		1,623,523

Gas - Distribution — 0.0%
NiSource, Inc.		11,502		310,784

Industrial Automated/Robotic — 0.1%
Rockwell Automation, Inc.		5,355		982,642

Industrial Gases — 1.0%
Air Products & Chemicals, Inc.		12,730		2,795,635
Linde PLC†		22,258		4,251,501

				7,047,136

Instruments - Controls — 0.1%
Mettler-Toledo International, Inc.†		860		603,462

Instruments - Scientific — 0.1%
PerkinElmer, Inc.		2,761		238,661
Waters Corp.†		3,823		745,064

				983,725

Insurance Brokers — 0.8%
Aon PLC		9,773		2,032,784
Marsh & McLennan Cos., Inc.		24,830		2,596,225
Willis Towers Watson PLC		4,071		770,437

				5,399,446

Insurance - Life/Health — 1.1%
Aflac, Inc.		73,809		3,162,715
Lincoln National Corp.		14,184		643,812
Principal Financial Group, Inc.		7,911		351,169
Prudential Financial, Inc.		42,975		3,242,464

				7,400,160

Insurance - Multi-line — 1.4%
Allstate Corp.		26,877		2,828,804
Chubb, Ltd.		34,738		5,038,052
Hartford Financial Services Group, Inc.		4,962		247,852
Loews Corp.		37,143		1,694,835

				9,809,543



Security Description	Shares		Value (Note 2)


Insurance - Property/Casualty — 0.6%
Progressive Corp.		21,133	$	1,546,090
Travelers Cos., Inc.		21,868		2,620,005

				4,166,095

Internet Content - Entertainment — 1.1%
Netflix, Inc.†		18,045		6,659,146
Twitter, Inc.†		37,419		1,242,311

				7,901,457

Internet Security — 0.0%
NortonLifeLock, Inc.		11,828		225,087

Investment Management/Advisor Services — 1.2%
Ameriprise Financial, Inc.		7,397		1,045,196
BlackRock, Inc.		10,169		4,708,349
Franklin Resources, Inc.		23,895		519,955
Invesco, Ltd.		34,146		491,702
T. Rowe Price Group, Inc.		14,879		1,755,871

				8,521,073

Machinery - Construction & Mining — 0.5%
Caterpillar, Inc.		29,098		3,615,136

Machinery - Farming — 0.4%
Deere & Co.		15,738		2,462,682

Machinery - General Industrial — 0.1%
Westinghouse Air Brake Technologies Corp.		6,717		461,458

Medical Information Systems — 0.1%
Cerner Corp.		14,269		988,414

Medical Labs & Testing Services — 1.0%
IQVIA Holdings, Inc.†		10,304		1,437,305
Laboratory Corp. of America Holdings†		15,339		2,694,909
Quest Diagnostics, Inc.		25,527		2,707,393

				6,839,607

Medical Products — 1.6%
ABIOMED, Inc.†		866		130,125
Baxter International, Inc.		31,832		2,657,017
Cooper Cos., Inc.		3,350		1,087,309
Henry Schein, Inc.†		24,376		1,485,473
Hologic, Inc.†		20,565		969,023
STERIS PLC		4,509		715,218
Stryker Corp.		18,737		3,571,085
Varian Medical Systems, Inc.†		3,114		382,929

				10,998,179

Medical - Biomedical/Gene — 2.9%
Alexion Pharmaceuticals, Inc.†		11,556		1,086,611
Amgen, Inc.		28,381		5,668,537
Biogen, Inc.†		7,820		2,411,610
Gilead Sciences, Inc.		60,594		4,202,800
Illumina, Inc.†		5,811		1,543,808
Incyte Corp.†		9,210		694,526
Regeneron Pharmaceuticals, Inc.†		4,038		1,795,174
Vertex Pharmaceuticals, Inc.†		11,817		2,647,362

				20,050,428

Medical - Drugs — 2.0%
AbbVie, Inc.		56,346		4,829,416
Bristol-Myers Squibb Co. CVR†		29,832		99,937
Zoetis, Inc.		66,336		8,837,945

				13,767,298

Medical - Generic Drugs — 0.2%
Perrigo Co. PLC		27,196		1,378,565

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares		Value (Note 2)

COMMON STOCKS (continued)
Medical - HMO — 0.9%
Centene Corp.†		45,302	$	2,401,912
Humana, Inc.		11,832		3,782,454

				6,184,366

Medical - Hospitals — 0.5%
HCA Healthcare, Inc.		28,338		3,599,209

Multimedia — 1.3%
Walt Disney Co.		74,174		8,726,571

Networking Products — 1.0%
Cisco Systems, Inc.		181,070		7,230,125

Non-Hazardous Waste Disposal — 0.6%
Republic Services, Inc.		13,841		1,249,289
Waste Management, Inc.		25,979		2,878,733

				4,128,022

Office Automation & Equipment — 0.0%
Xerox Holdings Corp.		1,856		59,763

Oil Companies - Exploration & Production — 1.6%
Apache Corp.		21,971		547,517
Cabot Oil & Gas Corp.		23,072		321,393
Concho Resources, Inc.		11,438		778,013
Devon Energy Corp.		37,818		614,164
Diamondback Energy, Inc.		11,259		698,058
EOG Resources, Inc.		37,827		2,392,936
Hess Corp.		22,443		1,260,848
Marathon Oil Corp.		87,271		722,604
Noble Energy, Inc.		40,121		635,115
Occidental Petroleum Corp.		55,030		1,801,682
Pioneer Natural Resources Co.		11,137		1,367,401

				11,139,731

Oil Field Machinery & Equipment — 0.1%
National Oilwell Varco, Inc.		23,125		432,669

Oil Refining & Marketing — 0.3%
HollyFrontier Corp.		15,614		525,880
Valero Energy Corp.		25,324		1,677,715

				2,203,595

Oil - Field Services — 0.4%
Baker Hughes Co.		23,595		379,644
Schlumberger, Ltd.		84,189		2,280,680
TechnipFMC PLC		13,548		201,052

				2,861,376

Paper & Related Products — 0.2%
International Paper Co.		30,908		1,142,360

Pipelines — 1.3%
Kinder Morgan, Inc.		199,493		3,824,281
ONEOK, Inc.		41,170		2,746,862
Williams Cos., Inc.		124,620		2,374,011

				8,945,154

Real Estate Investment Trusts — 3.4%
American Tower Corp.		20,575		4,666,410
AvalonBay Communities, Inc.		8,202		1,645,239
Crown Castle International Corp.		21,917		3,140,487
Digital Realty Trust, Inc.#		6,018		722,822
Equinix, Inc.		2,750		1,575,200
Equity Residential		22,094		1,659,259
Host Hotels & Resorts, Inc.		10,957		158,657
Prologis, Inc.		38,909		3,279,251
Public Storage		5,782		1,209,132
Realty Income Corp.		3,948		285,796



Security Description	Shares		Value (Note 2)


Real Estate Investment Trusts (continued)
SBA Communications Corp.		1,762	$	467,089
Simon Property Group, Inc.		18,038		2,220,117
Ventas, Inc.		10,965		589,588
Welltower, Inc.		19,038		1,424,423
Weyerhaeuser Co.		20,645		536,357

				23,579,827

Rental Auto/Equipment — 0.0%
United Rentals, Inc.†		827		109,561

Respiratory Products — 0.1%
ResMed, Inc.		5,798		921,650

Retail - Apparel/Shoe — 0.2%
Ross Stores, Inc.		13,305		1,447,318

Retail - Auto Parts — 0.3%
AutoZone, Inc.†		122		125,966
Genuine Parts Co.		9,801		855,039
O’Reilly Automotive, Inc.†		3,012		1,110,585

				2,091,590

Retail - Automobile — 0.1%
CarMax, Inc.†		3,763		328,548

Retail - Building Products — 1.8%
Home Depot, Inc.		41,107		8,954,749
Lowe’s Cos., Inc.		30,845		3,287,152

				12,241,901

Retail - Consumer Electronics — 0.1%
Best Buy Co., Inc.		5,858		443,158

Retail - Discount — 0.8%
Dollar General Corp.		14,060		2,113,218
Dollar Tree, Inc.†		15,271		1,267,951
Target Corp.		19,966		2,056,498

				5,437,667

Retail - Drug Store — 0.4%
Walgreens Boots Alliance, Inc.		61,264		2,803,441

Retail - Jewelry — 0.0%
Tiffany & Co.		1,583		211,473

Retail - Major Department Stores — 0.6%
Nordstrom, Inc.#		10,376		360,047
TJX Cos., Inc.		64,835		3,877,133

				4,237,180

Retail - Perfume & Cosmetics — 0.0%
Ulta Beauty, Inc.†		1,019		261,975

Retail - Restaurants — 1.3%
Darden Restaurants, Inc.		10,503		1,024,043
Starbucks Corp.		65,140		5,108,930
Yum! Brands, Inc.		30,242		2,699,098

				8,832,071

Semiconductor Components - Integrated Circuits — 0.7%
Analog Devices, Inc.		16,100		1,755,705
QUALCOMM, Inc.		38,023		2,977,201

				4,732,906

Semiconductor Equipment — 0.5%
Applied Materials, Inc.		33,167		1,927,666
KLA Corp.		2,402		369,211
Lam Research Corp.		4,599		1,349,485

				3,646,362

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)



Security Description	Shares/ Principal Amount		Value (Note 2)

COMMON STOCKS (continued)
Steel - Producers — 0.3%
Nucor Corp.		42,868	$	1,772,592

Telecom Equipment - Fiber Optics — 0.0%
Corning, Inc.		10,702		255,350

Telephone - Integrated — 1.7%
Verizon Communications, Inc.		221,088		11,974,126

Theaters — 0.1%
Live Nation Entertainment, Inc.†		9,618		584,486

Tools - Hand Held — 0.1%
Stanley Black & Decker, Inc.		6,411		921,261

Transport - Rail — 0.7%
CSX Corp.		37,275		2,626,024
Norfolk Southern Corp.		12,079		2,202,605

				4,828,629

Transport - Services — 0.5%
United Parcel Service, Inc., Class B		37,252		3,370,933

Water — 0.7%
American Water Works Co., Inc.		37,827		4,677,687

Web Hosting/Design — 0.1%
VeriSign, Inc.†		4,340		823,515

Web Portals/ISP — 4.2%
Alphabet, Inc., Class A†		21,429		28,698,788

Wireless Equipment — 0.2%
Motorola Solutions, Inc.		8,056		1,334,718

Total Long-Term Investment Securities
(cost $500,613,865)				678,413,256

SHORT-TERM INVESTMENT SECURITIES — 0.7%
Registered Investment Companies — 0.3%
State Street Navigator Securities Lending Government Money Market Portfolio 1.61%(1)(2)		2,356,520		2,356,520

U.S. Government Treasuries — 0.4%
United States Treasury Bills 1.55% due 05/07/2020(4)	$	2,400,000		2,394,279

Total Short-Term Investment Securities
(cost $4,749,664)				4,750,799



Security Description	Principal Amount			Value (Note 2)

REPURCHASE AGREEMENTS — 1.6%
Agreement with Fixed Income Clearing Corp., bearing interest at 0.25%, dated 02/28/2020, to be repurchased 03/02/2020 in the amount of $11,025,230 collateralized by $9,845,000 of United States Treasury Notes, bearing interest at 2.88% due 01/15/2022 and having an approximate value of $11,246,967 (cost $11,025,000)	$	11,025,000		$	11,025,000

TOTAL INVESTMENTS
(cost $516,388,529)(3)		100.5	%		694,189,055
Liabilities in excess of other assets		(0.5	)		(3,518,751	)

NET ASSETS		100.0	%	$	690,670,304

#	The security or a portion thereof is out on loan (see Note 2).

†	Non-income producing security

(1)	The rate shown is the 7-day yield as of February 29, 2020.

(2)

At February 29, 2020, the Fund had loaned securities with a total value of $4,090,057. This was secured by collateral of $2,356,520, which was received in cash and subsequently invested in short-term investments currently valued at $2,356,520 as reported in the Portfolio of Investments. Additional collateral of $1,875,586 was received in the form of fixed income pooled securities, which the Fund cannot sell or repledge and accordingly, are not reflected in the Fund’s assets and liabilities.

The components of the fixed income pooled securities referenced above are as follows:


Securities	Coupon Range	Maturity Date Range	Value as of February 29, 2020
Federal Home Loan Mtg. Corp.	3.00% to 3.50%	12/01/2047 to 07/01/2049	$	297,336
Federal National Mtg. Assoc.	2.50% to 3.50%	11/01/2046 to 12/25/2049		276,292
Government National Mtg. Assoc.	2.50%	09/20/2046		91,769
United States Treasury Notes/Bonds	0.13% to 8.75%	03/31/2020 to 05/15/2049		1,210,189

(3)	See Note 5 for cost of investments on a tax basis.

(4)	The security or a portion thereof was pledged as collateral to cover margin requirements.

CVR—Contingent Value Rights

PORTFOLIO OF INVESTMENTS — February 29, 2020 (unaudited) — (continued)

The following is a summary of the inputs used to value the Fund’s net assets as of February 29, 2020 (see Note 2):

STATEMENTS OF ASSETS AND LIABILITIES — February 29, 2020 (unaudited)

STATEMENTS OF ASSETS AND LIABILITIES — February 29, 2020 (unaudited) — (continued)

STATEMENTS OF OPERATIONS — For the Six Months Ended February 29, 2020 (unaudited)

STATEMENTS OF OPERATIONS — For the Six Months Ended February 29, 2020 (unaudited) — (continued)

VALIC Company II (the “Series” or “VC II”) was organized as a Delaware statutory trust on May 6, 1998, by The Variable Annuity Life Insurance Company (“VALIC” or the “Adviser”). VALIC, the investment adviser to VC II, is an indirect wholly-owned subsidiary of American International Group, Inc. (“AIG”). VC II is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end, management investment company. The Series consists of 15 separate mutual funds (collectively, the “Funds,” or each, a “Fund”), each of which issues its own class of shares of beneficial interest:

Indemnifications. Under VC II’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. In addition, in the normal course of business, VC II enters into contracts that contain the obligation to indemnify others. The Funds’ maximum exposure under these arrangements is unknown. Currently, however, VC II expects the risk of loss to be remote.

The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates and those differences could be significant. The Funds are considered investment companies under GAAP and follow the accounting and reporting guidance applicable to investment companies. The following is a summary of significant accounting policies consistently followed by the Series in the preparation of its financial statements:

In accordance with the authoritative guidance on fair value measurements and disclosures under GAAP, the Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Funds would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:

Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the “Board”) , etc.)

Level 3 — Significant unobservable inputs (includes inputs that reflect the Funds’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is recently issued and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The summary of the Funds’ assets and liabilities classified in the fair value hierarchy as of February 29, 2020, is reported on a schedule at the end of each Fund’s Portfolio of Investments.

Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the

reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.

As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Funds use the exchange that is the primary market for the security. Such securities are generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Fund’s shares, and a Fund may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on the review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Fund determines that closing prices do not reflect the fair value of the securities, the Fund will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Funds may also fair value securities in other situations, for example, when a particular foreign market is closed but a Fund is open. For foreign equity securities and foreign equity futures contracts, the Funds use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.

Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.

Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.

Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Investments in registered investment companies are generally categorized as Level 1.

Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Swap contracts traded on national securities exchanges are valued at the closing price of the exchange on which they are traded or if a closing price of the exchange is not available, the swap will be valued using a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Swap contracts traded in the over-the-counter (“OTC”) market are valued at a mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.

For the Government Money Market II Fund, securities are valued at amortized cost, which approximates market value and are generally categorized as Level 2. The amortized cost method involves valuing a security at its cost on the date of purchase and thereafter assuming a constant amortization to maturity of any discount or premium. In accordance with Rule 2a-7 under the 1940 Act, the Board has adopted procedures intended to stabilize the Government Money Market II Fund’s net asset value per share at $1.00. These procedures include the determination, at such intervals as the Board deems appropriate and reasonable in light of current market conditions, of the extent, if any, to which the Government Money Market II Fund market-based net asset value per share deviates from the Fund’s amortized cost per share. The calculation of such deviation is referred to as “shadow pricing.” For purposes of these market-based valuations, securities for which market quotations are not readily available are fair valued, as determined pursuant to procedures adopted in good faith by the Board.

Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) which is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or OTC market, and are generally categorized as Level 1 or Level 2.

The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC Procedures”) for valuing the securities and other assets held by the Funds, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Series’ fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.

Forward Foreign Currency Contracts: During the period, the High Yield Bond Fund and Strategic Bond Fund used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates.

A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by a Fund as unrealized appreciation or depreciation. On the settlement date, a Fund records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

Risks to the Funds of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Fund’s loss will generally consist of the net amount of contractual

payments that the Fund has not yet received though the Fund’s maximum exposure due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported on the Statements of Assets and Liabilities. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.

Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Fund’s Portfolio of Investments.

Futures: During the period, the Small Cap Value Fund and U.S. Socially Responsible Fund used equity futures contracts to equitize cash, providing exposure to equity markets.

A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Fund will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Fund as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. Such receipts or payments are recorded in the Statements of Assets and Liabilities as variation margin for changes in the value of the contracts and as cash collateral for futures contracts for the changes in the value of the initial margin requirement. When a contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.

The primary risk to the Funds of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security or securities. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statements of Assets and Liabilities. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Funds will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Fund may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Fund has insufficient cash to meet margin requirements, the Fund may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Funds since the futures contracts are generally exchange-traded.

Futures contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Fund’s Portfolio of Investments.

Swap Contracts: Certain Funds may enter into credit default, interest rate, equity and/or total return swap contracts. Swap contracts are privately negotiated in the OTC market and may be entered into as a bilateral contract or a centrally cleared contract (“centrally cleared swaps”). In a centrally cleared swap, immediately following execution of the swap contract, the swap contract is novated to a central counterparty (the “CCP”) and a Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are designated on the Portfolio of Investments and cash deposited is recorded on the Statement of Assets and Liabilities as cash collateral for centrally cleared swap contracts. Unlike a bilateral swap contract, for centrally cleared swaps, a Fund has no credit exposure to the counterparty as the CCP stands between the Funds and the counterparty. Swaps are marked-to-market daily and the changes in value are recorded as an unrealized gain (loss). The daily change in valuation of swap contracts, if any, is recorded as unrealized appreciation (depreciation) on swap contracts. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid. Upfront payments and receipts on swap contracts are amortized on a daily basis. Net periodic payments made or received by a Fund are included as part of realized gain (loss).

Credit Default Swap Agreements: During the period, the High Yield Bond Fund used credit default swaps to manage credit risk and to express active credit views to enhance return.

Credit default swaps are generally contracts in which one party makes periodic fixed-rate payments or a one time premium payment (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified payment in the event of a default or other credit event for the referenced entity, obligation or index. As a seller of protection on credit default swaps, a Fund will generally receive from the buyer of protection a fixed rate of income throughout the term of the swap provided that there is no credit event. As the seller, a Fund would effectively add leverage to its portfolio because, in addition to its total net assets, the Fund would be subject to investment exposure on the notional amount of the swap. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. As a buyer of protection on credit default swaps, a Fund will make periodic payments, similar to an insurance premium and the seller of protection agrees to compensate the Fund for future potential losses as a result of a credit event on the reference bond or other asset. A Fund effectively transfers the credit event risk of the reference bond or asset from it to the seller of protection. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.

Credit default swaps on corporate issues or sovereign issues of an emerging market country are contracts in which the buyer of protection makes periodic fixed payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations

may result in a cheapest-to deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event). A Fund may use credit default swaps on corporate issues or sovereign issues of an emerging market country to provide a measure of protection against defaults of the issuers (i.e., to reduce credit risk where the Fund owns or has exposure to the referenced obligation) or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular issuer’s default.

Credit default swaps on asset-backed securities are contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a default or other credit event. Unlike credit default swaps on corporate issues or sovereign issues of an emerging market country, deliverable obligations in most instances would be limited to the specific referenced obligation as performance for asset-backed securities can vary across deals. Prepayments, principal paydowns, and other writedown or loss events on the underlying mortgage loans will reduce the outstanding principal balance of the referenced obligation. These reductions may be temporary or permanent as defined under the terms of the swap agreement and the notional amount for the swap agreement will be adjusted by corresponding amounts. A Fund may use credit default swaps on asset-backed securities to provide a measure of protection against defaults of the referenced obligation or to take a speculative credit position with an active long or short position with respect to the likelihood of a particular referenced obligation’s default.

Credit default swaps on credit indices are generally contracts in which the buyer of protection makes periodic fixed-rate payments or a one time premium payment to the seller of protection in exchange for the right to receive a specified payment in the event of a write-down, principal shortfall, interest shortfall or default of all or part of the referenced entities comprising the credit index. A credit index is a list of a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. These indices are made up of reference credits that are judged by a poll of dealers to be the most liquid entities in the credit default swap market based on the sector of the index. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset backed securities, emerging markets, and/or various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the names in the index, and if there is a default, the credit event is settled based on that name’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each name has an equal weight in the index. A Fund may use credit default swaps on credit indices to hedge a portfolio of credit default swaps or bonds which is less expensive than it would be to enter into many credit default swaps to achieve a similar effect. Credit-default swaps on indices are used for protecting investors owning bonds against default, and also to speculate on changes in credit quality.

Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swaps on corporate issues or sovereign issues of an emerging market country as of period end are reported on a schedule at the end of each Fund’s Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-based securities and credit indices, the quoted market prices and resulting values serve as the indicator of the current status of the payment/ performance risk. Wider credit spreads and increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swaps outstanding at the end of the period, for which a Fund is the seller of protection, if any, are disclosed on a schedule following each Fund’s Portfolio of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swaps entered into by a Fund for the same referenced entity or entities.

Credit default swap contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Fund’s Portfolio of Investments.

Risks of Entering into Swap Agreements: Risks to a Fund of entering into credit default swaps, equity swaps and interest rate swaps, include credit risk, market risk, counterparty risk, liquidity risk and documentation risk. By entering into swap agreements, a Fund may be exposed to risk of potential loss due to unfavorable changes in interest rates, the price of the underlying security or index, or the underlying referenced asset’s perceived or actual credit, that the counterparty may default on its obligation to perform or the possibility that there is no liquid market for these agreements. There is also the risk that the parties may disagree as to the meaning of contractual terms in the swap agreement. In addition, to the extent that a subadviser does not accurately analyze and predict the underlying economic factors influencing the value of the swap, a Fund may suffer a loss, which may be in excess of the amount reflected on the statement of assets and liabilities.

Master Agreements: Certain Funds that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by a Fund and applicable counterparty. Collateral requirements are generally determined based on a Fund’s net position with each counterparty. Master Agreements may also include certain provisions that require a Fund to post additional collateral upon the occurrence of certain events, such as when a Fund’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Fund may also occur upon a decline in a Fund’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Fund’s counterparties to elect early termination could cause a Fund to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Fund’s financial statements. See additional information on specific types of derivative instruments and other financial instruments as disclosed in the Notes to Financial Statements. The Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The following tables represent the value of derivatives held as of February 29, 2020, by their primary underlying risk exposure and the respective location on the Statement of Assets and Liabilities and the effect of derivatives on the Statement of Operations for the six months ended February 29, 2020. The derivative contracts held during the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of February 29, 2020, please refer to the schedule at the end of each Fund’s Portfolio of Investments.

The following table represents the average monthly balances of derivatives held during the six months ended February 29, 2020.

The following tables set forth the Funds’ derivative assets and liabilities by counterparty, net of amounts available for offset under Master Agreements and net of the related collateral pledged/(received) as of February 29, 2020. The repurchase agreements held by the Funds and securities on loan as of February 29, 2020, are also subject to Master Agreements but are not included in the following tables. See the Portfolio of Investments of each Fund and the Notes to the Financial Statements for more information about the Funds’ holdings in repurchase agreements and securities on loan.

Stripped Mortgage-Backed Securities (“SMBS”) are multiple-class mortgage-backed securities. SMBS are often structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. SMBS have greater market volatility than other types of U.S. government securities in which a Fund invests. A common type of SMBS has one class receiving some of the interest and all or most of the principal (the “principal only” class) from the mortgage pool, while the other class will receive all or most of the interest (the “interest only” class). The yield to maturity on an interest only class is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments, including principal prepayments, on the underlying pool of mortgage assets, and a rapid rate of principal payment may have a material adverse effect on a Fund‘s yield.

Certain Funds may enter into dollar rolls using “to be announced” (“TBA”) mortgage-backed securities (“TBA Rolls”). TBA Roll transactions involve the sale of mortgage or other asset backed securities with the commitment to purchase substantially similar securities on a specified future date. The Funds’ policy is to record the components of TBA Rolls as purchase/sale transactions. Any difference between the purchase and sale price is recorded as a realized gain or loss on the date the transaction is entered into. TBA Roll transactions involve the risk that the market value of the securities held by a Fund may decline below the price of the securities that the Fund has sold but is obligated to repurchase under the agreement. In the event that the buyer of securities in a TBA Roll transaction files bankruptcy or becomes insolvent, a Fund‘s use of the proceeds from the sale of the securities may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund‘s obligation to repurchase the securities. Mortgage-Backed Dollar Rolls outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Certain Funds may purchase or sell when-issued securities, including TBA securities that have been authorized, but not yet issued in the market. In addition, a Fund may purchase or sell securities on a forward commitment basis. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The Funds may engage in when-issued or forward commitment transactions in order to secure what is considered to be an advantageous price and yield at the time of entering into the obligation. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a when-issued or forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Securities purchased or sold on a when-issued or forward commitment basis outstanding at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Certain Funds invests in senior loans which generally consist of direct debt obligations of companies (collectively, “Borrowers”), primarily U.S. companies and their affiliates, undertaken to finance the growth of the Borrower’s business internally and externally, or to finance a capital restructuring. Transactions in senior loans may settle on a delayed basis. Unsettled loans at the end of the period, if any, are included in investments purchased/sold on an extended settlement basis in the Statement of Assets and Liabilities.

Certain Funds may purchase inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is adjusted periodically according to the rate of inflation. Two structures are common. The U.S. Treasury and certain other issuers use a structure that reflects inflation in the principal value of the bond. Other issuers pay out any inflation related accruals as part of a semiannual coupon. The value of inflation-indexed bonds is expected to change in response to changes in real interest rates. Real interest rates, in turn, are tied to the relationship between nominal interest rates (i.e., stated interest rates) and the rate of inflation. Therefore, if the rate of inflation rises at a faster rate than nominal interest rates, real interest rates (i.e., nominal interest rates minus inflation) might decline, leading to an increase in value of inflation-indexed bonds. In contrast, if nominal interest rates increase at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. There can be no assurance, however, that the value of inflation-indexed bonds will be directly correlated to changes in nominal interest rates, and short-term increases in inflation may lead to a decline in their value. Coupon payments received from inflation-indexed bonds are recorded in the Statements of Operations as interest income. In addition, any increase or decrease in the principal amount of an inflation-indexed bond will be recorded in the Statements of Operations as an increase or decrease to interest income, even though principal is not paid until maturity.

The Funds, along with other affiliated registered investment companies, pursuant to procedures adopted by the Board and applicable guidance from the Securities and Exchange Commission (“SEC”), may transfer uninvested cash balances into a single joint account, the daily aggregate balance of which is invested in one or more repurchase agreements collateralized by U.S. Treasury or federal agency obligations.

In a repurchase agreement, the seller of a security agrees to repurchase the security at a mutually agreed-upon time and price, which reflects the effective rate of return for the term of the agreement. For repurchase agreements and joint repurchase agreements, the Series’ custodian takes possession of the collateral pledged for investments in such repurchase agreements (“repo” or collectively “repos”). The underlying collateral is valued daily on a mark to market basis, plus accrued interest to ensure that the value, at the time the agreement is entered into, is equal to at least 102% of the repurchase price, including accrued interest. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. If the seller defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by a Fund may be delayed or limited.

To realize additional income, the Funds, except for Aggressive Growth Lifestyle Fund, Conservative Growth Lifestyle Fund, Moderate Growth Lifestyle Fund, and the Government Money Market II Fund, may lend portfolio securities with a value of up to 30% of its total assets. Securities lending arrangements are generally governed by master securities lending authorization agreements which typically provide the securities lending agent with the right to make loans of a Fund’s available securities to an approved list of borrowers. These master securities lending agreements are considered to be Master Agreements as discussed in the Notes to the Financial Statements. Loans made pursuant to these agreements will be continuously secured by collateral in an amount at least equal to the market value of the securities loaned. Such collateral will be cash, U.S. government securities, or other collateral as deemed appropriate. A Fund may use the cash collateral received to invest in short-term investments. The description of the short-term investments made with cash collateral from securities lending is included in the applicable Fund’s Portfolio of Investments. Loans by a Fund will only be made to broker-dealers deemed by the

securities lending agent to be creditworthy and will not be made unless, in the judgment of VALIC, the consideration to be earned from such loans would justify the risk. It is the Series’ policy to obtain additional collateral from or return excess collateral to the borrower by the end of the next business day. Therefore, the value of the collateral may be temporarily more or less than the value of the securities on loan. Each Fund receives income from the investment of cash collateral, in addition to lending fees and rebates paid by the borrower, less expenses associated with the loan. In the event of a borrower default, including if the borrower fails to maintain the requisite amount of collateral, the securities lending agent will terminate all outstanding loans to that particular borrower and the lending Fund is permitted to use the collateral to replace the securities while holding the borrower liable for any excess of replacement cost over collateral. The securities lending agent is also required to indemnify a Fund against certain losses resulting from a borrower default. Although risk is mitigated by the collateral and indemnification, the risks in lending fund securities, as with other extensions of secured credit, include possible delays in receiving additional collateral or in the recovery of the securities or possible loss of rights in the collateral should the borrower fail financially as well as risk of loss in the value of collateral or the value of the investments made with the collateral. Income and fees are recorded in the Statements of Operations as securities lending income. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.

J. Securities Transactions, Investment Income, Expenses, Dividends and Distributions to Shareholders

Security transactions are recorded on a trade date basis. Realized gains and losses on the sale of investments are calculated on the identified cost basis. For financial statement purposes, the Funds amortize all premiums and accrete all discounts on fixed income securities.

Interest income is accrued daily from settlement date except when collection is not expected. Dividend income is recorded on the ex-dividend date except for certain dividends from foreign securities, which are recorded as soon as a Fund is informed after the ex-dividend date. Paydown gains and losses on mortgage and asset-backed securities are recorded as components of interest income on the Statement of Operations. For the Lifestyle Funds, distributions from income from the Underlying Funds, if any, are recorded to income on the ex-dividend date. Distributions from net realized capital gains from the Underlying Funds, if any, are recorded to realized gains on the ex-dividend date.

Funds which earn foreign income and capital gains may be subject to foreign withholding taxes and capital gains taxes at various rates. Under applicable foreign law, a withholding of tax may be imposed on interest, dividends, and capital gains from the sale of foreign securities at various rates. India, Thailand, and certain other countries’ tax regulations require that taxes be paid on capital gains realized by a Fund.

Distributions received from Real Estate Investment Trusts (“REIT”) investments are recharacterized based on information provided by the REIT into the following categories: ordinary income, long-term and short-term capital gains, and return of capital. If information is not available on a timely basis from the REIT, the recharacterization will be based on available information which may include the previous year’s allocation. If new or additional information becomes available from the REIT at a later date, a recharacterization will be made in the following year. The amount recharacterized as ordinary income is recorded as dividend income and the amount recharacterized as capital gain is recorded as realized gain in the Statement of Operations. The amount recharacterized as return of capital is recorded as a reduction to the cost of investments in the Statement of Assets and Liabilities. These recharacterizations are reflected in the accompanying financial statements.

Expenses common to all Funds are allocated among the Funds based upon relative net assets or other appropriate allocation methods. In all other respects, expenses are charged to each Fund as incurred on a specific identification basis. For the Lifestyle Funds, the expenses included in the accompanying financial statements reflect the expenses of the Lifestyle Funds and do not include any expenses associated with the Underlying Funds.

Dividends from net investment income, if any, are normally paid annually, except for the Government Money Market II Fund, which declares daily and pays monthly. Distributions from net realized capital gains, if any, are normally declared and paid annually. The Funds record dividends and distributions to their shareholders on the ex-dividend date.

The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the capital accounts at fiscal year end based on their federal tax-basis treatment; temporary differences do not require reclassification. Net assets are not affected by these reclassifications.

Each Fund is considered a separate entity for tax purposes and intends to comply with the requirements of the Internal Revenue Code, as amended, applicable to regulated investment companies and distribute all of its taxable income, including any net capital gains on investments, to its shareholders. Each Fund also intends to distribute sufficient net investment income and net capital gains, if any, so that it will not be subject to excise tax on undistributed income and gains. Therefore, no federal income tax or excise tax provision is required.

The Funds recognize the tax benefits of uncertain tax positions only when the position is more likely than not to be sustained, assuming examination by tax authorities. Management has analyzed each Fund’s tax positions and concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years 2016 — 2018 or expected to be taken in each Fund’s 2019 tax return. The Funds are not aware of any tax provisions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months. The Funds file U.S. federal and certain state income tax returns. With few exceptions, the Funds are no longer subject to U.S. federal and state tax examinations by tax authorities for tax returns ending before 2016.

The books and records of the Funds are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies and commitments under forward foreign currency contracts are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation.

The Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the changes in the market prices of securities held at the end of the period. Similarly, the Funds do not isolate the effect of changes in foreign exchange rates from the changes in the market prices of portfolio securities sold during the period.

Realized foreign exchange gains and losses on other assets and liabilities and change in unrealized foreign exchange gains and losses on other assets and liabilities located in the Statements of Operations include realized foreign exchange gains and losses from currency gains or losses between the trade and the settlement dates of securities transactions, the difference between the amounts of interest, dividends and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent amounts actually received or paid and changes in the unrealized foreign exchange gains and losses relating to the other assets and liabilities arising as a result of changes in the exchange rates.

A fund’s investments, payment obligations and financing terms may be based on floating rates, such as London Interbank Offer Rate (“LIBOR”), Euro Interbank Offered Rate and other similar types of reference rates (each, a “Reference Rate”). On July 27, 2017, the Chief Executive of the UK Financial Conduct Authority (“FCA”), which regulates LIBOR,

announced that the FCA will no longer persuade nor require banks to submit rates for the calculation of LIBOR and certain other Reference Rates after 2021. Such announcement indicates that the continuation of LIBOR and other Reference Rates on the current basis cannot and will not be guaranteed after 2021. This announcement and any additional regulatory or market changes may have an adverse impact on a fund or its investments.

In advance of 2021, regulators and market participants will work together to identify or develop successor Reference Rates. Additionally, prior to 2021, it is expected that market participants will focus on the transition mechanisms by which the Reference Rates in existing contracts or instruments may be amended, whether through market wide protocols, fallback contractual provisions, bespoke negotiations or amendments or otherwise. Nonetheless, the termination of certain Reference Rates presents risks to a fund. At this time, it is not possible to completely identify or predict the effect of any such changes, any establishment of alternative Reference Rates or any other reforms to Reference Rates that may be enacted in the UK or elsewhere. The elimination of a Reference Rate or any other changes or reforms to the determination or supervision of Reference Rates could have an adverse impact on the market for or value of any securities or payments linked to those Reference Rates and other financial obligations held by a fund or on its overall financial condition or results of operations. In addition, any substitute Reference Rate and any pricing adjustments imposed by a regulator or by counterparties or otherwise may adversely affect a fund’s performance and/or NAV.

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13 “Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement”. The ASU eliminates, modifies, and adds disclosure requirements for fair value measurements and is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2019. The ASU allows for early adoption of either the entire standard or only the provisions that eliminate or modify the requirements. Management has elected to early adopt the provisions that eliminate disclosure requirements and is still evaluating the impact of applying the rest of the ASU.

Effective September 1, 2019, the Funds are subject to ASU 2017-08, “Premium Amortization on Purchased Callable Debt Securities”, which requires the premiums on certain purchased debt securities with non-contingent call features to be amortized to the earliest call date. The amortization period for callable debt securities purchased at a discount is not impacted. Adoption of the ASU had no material impact on the Funds.

VALIC serves as investment adviser to VC II. Certain officers and trustees of VC II are officers and directors of VALIC or affiliates of VALIC. VALIC receives from VC II a monthly fee based on each Fund’s average daily net asset value at the following annual rates:

For the six months ended February 29, 2020, the amount of investment advisory fees waived was $10,114 for the Small Cap Growth Fund.

BMO Asset Management Corp. (“BMO AM”)—subadviser for the Capital Appreciation Fund.

Delaware Investments Fund Advisers (“Delaware Investments”)—subadviser for a portion of the International Opportunities Fund.

J.P. Morgan Investment Management Inc. (“JPMIM”)—subadviser for the Small Cap Growth Fund and the Small Cap Value Fund.

Janus Capital Management, LLC (“Janus”)—subadviser for a portion of the Large Cap Value Fund.

Massachusetts Financial Services Company (“MFS”)—subadviser for a portion of the International Opportunities Fund.

PineBridge Investments, LLC (“PineBridge”)—subadviser for the Strategic Bond Fund, Core Bond Fund, Aggressive, Moderate and Conservative Growth Lifestyle Funds.

Boston Partners Global Investors, Inc. d/b/a Boston Partners (“Boston Partners”)—subadviser for a portion of the Mid Cap Value Fund.

SunAmerica Asset Management, LLC (“SunAmerica”)—subadviser for the Government Money Market II Fund and the U.S. Socially Responsible Fund.

BNY Mellon Asset Management North America Corporation (“BNY AM”)—subadviser for a portion of the Large Cap Value Fund.

Wellington Management Company LLP—subadviser for the High Yield Bond Fund, Mid Cap Growth Fund and a portion of the Mid Cap Value Fund.

VALIC has contractually agreed to waive fees and/or reimburse expenses, if necessary, to keep annual operating expenses at or below the following percentages of each Fund’s average daily net assets through December 31, 2020. For the purposes of waived fee and/or reimbursed expense calculations, annual fund operating expenses shall not include extraordinary expenses (i.e., expenses that are unusual in nature and infrequent in occurrence, such as litigation), or acquired fund fees and expenses, brokerage commissions and other transactional expenses relating to the purchase and sale of portfolio securities, interest, taxes and governmental fees, and other expenses not incurred in the ordinary course of the Fund’s business. The contractual expense waivers and fee reimbursements will continue until December 31, 2020, subject to termination by the Board, including a majority of the Trustees who are not interested persons of the Fund or VALIC as defined by Section 2(a)(19) of the 1940 Act (the “Disinterested Trustees”).

For the six months ended February 29, 2020, pursuant to the contractual expense limitations in the above table, VALIC waived fees and/or reimbursed expenses as follows:

VALIC may also voluntarily waive fees and/or reimburse expenses to avoid a negative yield on the Government Money Market II Fund. The voluntary waivers and/or reimbursements may be terminated at any time at the option of VALIC. The exact amount of the voluntary waivers and/or reimbursements may change on a day-to-day basis. There is no guarantee that the Government Money Market II Fund will be able to avoid a negative yield. For the six months ended February 29, 2020, VALIC did not voluntarily waive expenses to avoid a negative yield for the Government Money Market II Fund.

VC II, on behalf of each Fund, other than the Lifestyle Funds, has entered into an Administrative Services Agreement with SunAmerica (“Administrator”), an affiliate of VALIC. SunAmerica receives from each Fund in the Series, other than the Lifestyle Funds, an annual fee of 0.06% based upon each Fund’s average daily net assets, plus the following Accounting Basis Point Fee†: 0.0061% on the first $25 billion; 0.0070% on the next $75 billion; and 0.0050% in excess of $100 billion. Pursuant to the Administrative Services Agreement, SunAmerica provides administrative services to the Funds, regulatory reporting, internal legal and compliance services, fund accounting and related portfolio accounting services, all necessary office space, equipment, personnel, compensation and facilities for handling the affairs of the Funds and other services. Without limiting the generality of the foregoing, the Administrator (or its appointed service provider): assists with the preparation of prospectuses, statements of additional information, registration statements, and proxy materials; develops and prepares communications to shareholders, including the annual and semi-annual reports to shareholders; coordinates and supervises the preparation and filing of Fund tax returns; assists with the design, development, and operation of the Funds; prepares the Funds’ financial statements; determines the net asset value of the Funds’ shares; supervises the Funds’ transfer agent with respect to the payment of dividends and other distributions to shareholders; and calculates performance data of the Funds. For the six months ended February 29, 2020, the Administrator earned fees as reflected in the Statements of Operations based upon the aforementioned rate.

VC II, on behalf of each Fund, entered into a Master Transfer Agency and Services Agreement with VALIC Retirement Services Company (“VRSCO”), an affiliate of VALIC. VRSCO receives from the Series and VC I an annual fee of $132,510, which is allocated to each Fund in the Series and VC I based on shareholder accounts. Under this agreement, VRSCO provides services which include the issuance and redemption of shares, acting as dividend disbursing agent, and certain shareholder reporting services including confirmation of transactions, statements of account and tax reporting. In addition to the above, VRSCO provides “Blue Sky” registration and reporting in applicable states for each Fund that is sold outside of a variable annuity or variable life contract in order to effect and maintain, as the case may be, including but not limited to, the qualification of shares for sale under the applicable securities laws of such jurisdictions to qualified plans. For the six months ended February 29, 2020, VRSCO earned fees as reflected in the Statement of Operations based upon the aforementioned rate.

VC II, on behalf of each Fund, other than the Lifestyle Funds, has entered into a Shareholder Services Agreement with VALIC. Under the agreement, VALIC provides record keeping, account maintenance, and other administrative and shareholder services for contract owners and participants. VALIC receives from each Fund, other than the Lifestyle Funds, an annual fee of 0.25% based on average daily net assets of the Fund. For the six months ended February 29, 2020, VALIC earned fees as reflected in the Statements of Operations based upon the aforementioned rate.

On January 23, 2001, the Board ratified a Deferred Compensation Plan for its independent trustees who are not officers, directors, or employees of VALIC, or an affiliate of VALIC. The effective date of the plan was January 1, 2001. The first deferred payment was made in March of 2001. Under the deferred compensation plan, Trustees may elect to defer all or a portion of their compensation. Amounts deferred may be invested in affiliated mutual funds that are specified in the plan as selected by the trustees. Obligations under the deferred compensation plan represents unsecured claims against the general assets of the Funds. For the six months ended February 29, 2020, VC II has deferred $18,024 of trustee compensation.

During the six months ended February 29, 2020, the following Fund incurred brokerage commissions with brokers which are affiliates of a sub-advisor:

At February 29, 2020, the following affiliates owned outstanding shares of the following Funds:

The VC I Dynamic Allocation Fund and the VC II Lifestyle Funds do not invest in the underlying funds for the purpose of exercising management or control; however, investments by the VC I Dynamic Allocation Fund and the VC II Lifestyle Funds within the set limits across their asset allocations may represent a significant portion of net assets of the underlying funds.

As disclosed in the Portfolio of Investments, certain Funds own shares of various VC I or VC II Funds and securities issued by AIG or an affiliate thereof. During the six months ended February 29, 2020, transactions in these securities were as follows:

The cost of purchases and proceeds from sales and maturities of long-term investments during the six months ended February 29, 2020 were as follows:

The following details the tax basis of distributions as well as the components of distributable earnings. The tax basis components of distributable earnings differ from the amounts reflected in the Statements of Assets and Liabilities by temporary book/tax differences primarily arising from wash sales, post October losses, investments in passive foreign investment companies, treatment of deferred compensation, late year ordinary losses, straddles, treatment of defaulted securities and derivative transactions.

The information in the following table is presented on the basis of cost for Federal Income Tax purposes at February 29, 2020.

The tax character of distributions paid may differ from the Statement of Changes in Net Assets due to partnership adjustments and short-term gains treated as ordinary income distributions for tax purposes.

The tax basis distributable earnings at August 31, 2019 and the tax character of distributions paid during the year ended August 31, 2019 were as follows:

As of August 31, 2019, for Federal income tax purposes, the Funds indicated below have capital loss carryforwards, which are available to offset future capital gains, if any:

Under the current tax law, capital losses realized after October 31 and late year ordinary losses may be deferred and treated as occurring on the first day of the following year. For the fiscal year ended August 31, 2019, the Funds elected to defer late year ordinary losses and post October capital losses as follows:

Through expense offset arrangements resulting from broker commission recapture, a portion of the expenses of certain Funds have been reduced. For the six months ended February 29, 2020, the amount of expense reductions received by each Fund used to offset non-affiliated expenses are reflected as Fees paid indirectly in the Statement of Operations.

The High Yield Bond Fund’s investment in high yield securities, whether rated or unrated, may be considered speculative and subject to greater market fluctuations and risk of loss of income and principal than lower-yielding, higher-rated, fixed-income securities. The risk of loss due to default by the issuer may be significantly greater for the holders of high yield securities, because such securities are generally unsecured and are often subordinated to other creditors of the issuer.

The Funds may invest in obligations issued by agencies and instrumentalities of the U.S. Government that may vary in the level of support they receive from the government. The government may choose not to provide financial support to government sponsored agencies or instrumentalities if it is not legally obligated to do so, and if the issuer defaults, a fund holding securities of such issuer might not be able to recover its investments from the U.S. Government. As a result of the Core Bond Fund, Government Money Market II Fund and Strategic Bond Fund’s concentration in such investments, these funds may be subject to risks associated with the U.S. Government agencies or instrumentalities.

The International Opportunities Fund invests internationally, including in “emerging market” countries. Emerging market securities involve risks not typically associated with investing in securities of issuers in more developed markets. The markets of emerging market countries are typically more volatile and potentially less liquid than more developed countries. These securities may be denominated in currencies other than U.S. dollars. While investing internationally may reduce portfolio risk by increasing the diversification of portfolio investments, the value of the investment may be affected by fluctuating currency values, changing local and regional economic, political and social conditions, and greater market volatility.

Each Fund, except the Government Money Market II Fund, the Lifestyle Funds and the Small Cap Value Fund, may invest in international bonds, which include U.S. dollar-denominated bonds issued by foreign corporations for which the primary trading market is in the United States (“Yankee Bonds”), or for which the primary trading market is abroad (“Euro Bonds”). International bonds may involve special risks and considerations not typically associated with investing in U.S. companies, including differences in accounting, auditing and financial reporting standards; generally higher commission rates on foreign portfolio transactions; the possibility of nationalization, expropriation or confiscatory taxation; adverse changes in investment or exchange control regulations (which may include suspension of the ability to transfer currency from a country); and political instability which could affect U.S. investments in foreign countries. As a result of the Strategic Bond Fund’s concentration in such investments, it may be subject to risks associated with the international bonds.

The Series, along with certain other funds managed by the Adviser, has access to a $85 million committed unsecured line of credit and a $40 million uncommitted unsecured line of credit. The committed and uncommitted lines of credit are renewable on an annual basis with State Street Bank and Trust Company (“State Street”), the Series’ custodian. Interest is currently payable under the committed line of credit at the higher of the Federal Funds Rate (but not less than zero) plus 125 basis points or the One-Month London Interbank Offered Rate (but not less than zero) plus 125 basis points and State Street’s discretionary bid rate on the uncommitted line of credit. The Series, on behalf of each of the Funds, has paid State Street for its own account, such Fund’s ratable portion of an upfront fee in an amount equal to $25,000 in the aggregate for the uncommitted lines of credit made available by State Street to the Series and certain other funds managed by the Adviser, which are also party to the uncommitted lines of credit. There is also a commitment fee of 25 basis points per annum on the daily unused portion of the committed line of credit. For the six months ended February 29, 2020, the following Funds had borrowings:

Pursuant to the exemptive relief granted by the SEC, the Funds are permitted to participate in an interfund lending program among investment companies advised by VALIC or an affiliate. The interfund lending program allows the participating Funds to borrow money from and lend money to each other for temporary or emergency purposes. An interfund loan will be made under this facility only if the participating Funds receive a more favorable interest rate than would otherwise be available from a typical bank for a comparable transaction.

For the six months ended February 29, 2020, none of the Funds participated in this program.

The Funds are permitted to transfer securities by purchasing from and/or selling to other affiliated funds under certain conditions approved by the Board. The affiliated funds involved in such transactions must have a common investment adviser or investment advisers which are affiliated persons of each other, common Trustees, and/or common officers in compliance with Rule 17a-7 of the 1940 Act. Pursuant to the Act, such a transaction must be either a purchase or a sale, for no consideration other than cash payment against prompt delivery of the security at the current market price. No brokerage commission or fee (except for customary transfer fees), or other remuneration is paid in connection with such transactions.

For the six months ended February 29, 2020, the following Funds engaged in security transactions with affiliated Funds:

An outbreak of respiratory disease caused by a novel coronavirus was first detected in China and subsequently spread internationally. This coronavirus has resulted in closing borders, enhanced health screenings, healthcare service preparation and delivery, quarantines, cancellations, disruptions to supply chains and customer activity, as well as general concern and uncertainty. The impact of this coronavirus may last for an extended period of time including through the issue date of these financial statements and has resulted in substantial market volatility and may result in a significant economic downturn.

BOARD OF TRUSTEES

Thomas J. Brown

Judith L. Craven

Timothy J. Ebner

Gustavo E. Gonzales, Jr.

Peter A. Harbeck

Kenneth J. Lavery

Eric S. Levy

John E. Maupin, Jr.

CUSTODIAN

State Street Bank and Trust Company

One Lincoln Street

Boston, Massachusetts 02111

INVESTMENT ADVISER

The Variable Annuity

Life Insurance Company (VALIC)

2929 Allen Parkway

Houston, Texas 77019

INVESTMENT SUBADVISERS

BMO Asset Management Corp.

115 S. LaSalle Street

Chicago, Illinois 60603

BNY Mellon Asset Management North America Corporation

One Boston Place

Boston, Massachusetts 02108

Delaware Investments Fund Advisers

2005 Market Street

Philadelphia, PA 19103

J.P. Morgan Investment Management Inc.

270 Park Avenue

New York, New York 10017

Janus Capital Management, LLC

151 Detroit Street

Denver, Colorado 80206

Massachusetts Financial Services Company

111 Huntington Avenue

Boston, MA 02199

PineBridge Investments, LLC

399 Park Avenue

New York, New York 10022

Boston Partners Global Investors, Inc. d/b/a Boston Partners

909 Third Avenue, 32nd Floor

New York, New York 10022

SunAmerica Asset Management, LLC

Haborside 5

185 Hudson Street, Suite 3300

Jersey City, New Jersey 07311

Wellington Management Company LLP

280 Congress Street

Boston, Massachusetts 02210

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

PricewaterhouseCoopers LLP

1000 Louisiana Street, Suite 5800

Houston, Texas 77002

TRANSFER AND SHAREHOLDER SERVICE AGENT

VALIC Retirement

Services Company (VRSCO)

2929 Allen Parkway

Houston, Texas 77019

OFFICERS

John T. Genoy,

President and Principal Executive Officer

Sharon French,

Executive Vice President

John Packs,

Vice President and Senior Investment Officer

Gregory R. Kingston,

Treasurer and Principal Financial Officer

Kathleen Fuentes,

Vice President, Chief Legal Officer and Secretary

Kevin J. Adamson

Vice President

Gregory N. Bressler,

Vice President

Thomas M. Ward,

Vice President

Shawn Parry,

Vice President and Assistant Treasurer

Donna McManus,

Vice President and Assistant Treasurer

Christopher C. Joe,

Vice President and Chief Compliance Officer

Matthew J. Hackethal,

Anti-Money Laundering Compliance Officer

DISCLOSURE OF QUARTERLY FUND PORTFOLIO HOLDINGS

The Series is required to file its complete schedule of portfolio holdings with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Forms N-PORT are available on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.

VOTING PROXIES ON VALIC COMPANY II PORTFOLIO SECURITIES

A description of the policies and procedures that VC II uses to determine how to vote proxies related to securities held in the Fund’s portfolios, which is available in VC II’s Statement of Additional Information, may be obtained without charge upon request, by calling 800-448-2542. This information is also available from the EDGAR database on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.

PROXY VOTING RECORD ON VALIC COMPANY II PORTFOLIO SECURITIES

Information regarding how VC II voted proxies relating to securities held in the VC II Funds portfolios during the most recent twelve month period ended June 30, is available, once filed with the U.S. Securities and Exchange Commission without charge, upon request, by calling 800-448-2542 or on the U.S. Securities and Exchange Commission’s website at http://www.sec.gov.

This report is for the information of the shareholders and variable contract owners participating in VC II. It is authorized for distribution to other persons only when preceded or accompanied by an effective prospectus which contains information on how to purchase shares and other pertinent information.

If you would like further information about this material or products issued by VALIC or American General Life Insurance Company, please contact your financial professional.

The accompanying report has not been audited by Independent accountants and accordingly no opinion has been expressed thereon.

You will need to create an online security profile with a unique user ID and password.

With your PIN, you can also access your account via the 24-hour VALIC automated phone line at 1-800-448-2542.

We know privacy is important to you, so please be assured that your email address and other information you share with us is kept private and never sold. Review our Privacy Policy online for more information.

CLICK aig.com/RetirementServices CALL 1-800-448-2542 VISIT your financial advisor

Securities and investment advisory services offered through VALIC Financial Advisors, Inc. (VFA), member FINRA, SIPC and an SEC-registered investment adviser.

Annuities are issued by The Variable Annuity Life Insurance Company (VALIC), Houston, TX. Variable annuities are distributed by its affiliate, AIG Capital Services, Inc. (ACS), member FINRA.

AIG Retirement Services represents AIG member companies — The Variable Annuity Life Insurance Company (VALIC) and its subsidiaries, VALIC Financial Advisors, Inc. (VFA) and VALIC Retirement Services Company (VRSCO). All are members of American International Group, Inc. (AIG).

There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407)(as required by 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 10.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

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


	Actual						Hypothetical
Fund	Beginning Account Value at September 1, 2019		Ending Account Value Using Actual Return at February 29, 2020		Expenses Paid During the Six Months Ended February 29, 2020*		Beginning Account Value at September 1, 2019		Ending Account Value Using a Hypothetical 5% Annual Return at February 29, 2020		Expenses Paid During the Six Months Ended February 29, 2020*		Annualized Expense Ratio
Aggressive Growth Lifestyle#	$	1,000.00	$	1,002.97	$	0.50	$	1,000.00	$	1,024.37	$	0.50		0.10	%
Capital Appreciation#	$	1,000.00	$	1,006.72	$	4.24	$	1,000.00	$	1,020.64	$	4.27		0.85	%
Conservative Growth Lifestyle#	$	1,000.00	$	1,012.66	$	0.50	$	1,000.00	$	1,024.37	$	0.50		0.10	%
Core Bond#	$	1,000.00	$	1,033.83	$	3.89	$	1,000.00	$	1,021.03	$	3.87		0.77	%
Government Money Market II#	$	1,000.00	$	1,005.84	$	2.74	$	1,000.00	$	1,022.13	$	2.77		0.55	%
High Yield Bond#	$	1,000.00	$	1,018.28	$	4.77	$	1,000.00	$	1,020.14	$	4.77		0.95	%
International Opportunities#	$	1,000.00	$	1,009.22	$	5.35	$	1,000.00	$	1,019.54	$	5.37		1.07	%
Large Cap Value#	$	1,000.00	$	971.66	$	4.17	$	1,000.00	$	1,020.64	$	4.27		0.85	%
Mid Cap Growth#	$	1,000.00	$	968.63	$	4.55	$	1,000.00	$	1,020.24	$	4.67		0.93	%
Mid Cap Value#	$	1,000.00	$	971.50	$	5.15	$	1,000.00	$	1,019.64	$	5.27		1.05	%
Moderate Growth Lifestyle#	$	1,000.00	$	1,007.20	$	0.50	$	1,000.00	$	1,024.37	$	0.50		0.10	%
Small Cap Growth#	$	1,000.00	$	1,085.26	$	5.91	$	1,000.00	$	1,019.19	$	5.72		1.14	%
Small Cap Value#	$	1,000.00	$	958.18	$	4.72	$	1,000.00	$	1,020.04	$	4.87		0.97	%
Strategic Bond	$	1,000.00	$	1,020.26	$	4.42	$	1,000.00	$	1,020.49	$	4.42		0.88	%
U.S. Socially Responsible#	$	1,000.00	$	1,011.80	$	2.90	$	1,000.00	$	1,021.98	$	2.92		0.58	%


	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*

Affiliated Registered Investment Companies	$	566,163,367	$	—	$	—	$	566,163,367


	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*

Common Stocks	$	98,027,982	$	—	$	—	$	98,027,982


	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*

Affiliated Registered Investment Companies	$	331,698,229	$	—	$	—	$	331,698,229



President’s Letter			1

Expense Example			2

Portfolios of Investments:

Aggressive Growth Lifestyle Fund			4
Capital Appreciation Fund			6
Conservative Growth Lifestyle Fund			9
Core Bond Fund			11
Government Money Market II Fund			33
High Yield Bond Fund			35
International Opportunities Fund			46
Large Cap Value Fund			53
Mid Cap Growth Fund			57
Mid Cap Value Fund			61
Moderate Growth Lifestyle Fund			66
Small Cap Growth Fund			68
Small Cap Value Fund			72
Strategic Bond Fund			81
U.S. Socially Responsible Fund			113

Statements of Assets and Liabilities			120

Statements of Operations			122

Statements of Changes in Net Assets			124

Notes to Financial Statements			128

Financial Highlights			148

Trustee and Officer Information			156


Domestic Equity Investment Companies	52.1	%
International Equity Investment Companies	23.9
Domestic Fixed Income Investment Companies	15.3
Real Estate Investment Companies	3.6
International Fixed Income Investment Companies	2.8
Domestic Money Market Investment Companies	2.3

	100.0	%


Domestic Fixed Income Investment Companies	50.8	%
Domestic Equity Investment Companies	26.1
International Equity Investment Companies	12.2
International Fixed Income Investment Companies	4.8
Domestic Money Market Investment Companies	3.4
Real Estate Investment Companies	2.7

	100.0	%


U.S. Government Agencies	66.9	%
U.S. Government Treasuries	29.6
Repurchase Agreements	0.1

	96.6	%


Domestic Equity Investment Companies	44.3	%
Domestic Fixed Income Investment Companies	33.2
International Equity Investment Companies	14.4
International Fixed Income Investment Companies	3.4
Real Estate Investment Companies	2.4
Domestic Money Market Investment Companies	2.3

	100.0	%


Futures Contracts
Number of Contracts		Type	Description	Expiration Month		Notional Basis*		Notional Value*		Unrealized Appreciation (Depreciation)
	117	Long	Russell 2000 E-Mini Index		March 2020	$	9,385,893	$	8,628,165	$	(757,728	)


Forward Foreign Currency Contracts
Counterparty	Contract to Deliver			In Exchange For			Delivery Date		Unrealized Appreciation		Unrealized Depreciation
JPMorgan Chase Bank N.A		EUR	32,769,600		USD	36,513,405		03/05/2020	$	332,721	$	–
		EUR	9,961,000		USD	11,027,386		05/14/2020		–		(15,208	)
		GBP	7,031,000		USD	9,201,712		03/05/2020		186,393		–
		USD	1,819,910		EUR	1,631,000		03/05/2020		–		(19,134	)

Net Unrealized Appreciation/(Depreciation)									$	519,114	$	(34,342	)


	Level 1 - Unadjusted Quoted Prices		Level 2 - Other Observable Inputs		Level 3 - Significant Unobservable Inputs		Total
ASSETS:
Investments at Value:*
Asset Backed Securities	$	—	$	25,125,656	$	—	$	25,125,656
U.S. Corporate Bonds & Notes:
Airlines.		—		—		3,833		3,833
Other Industries . . . . . . . . . . . . . . . . . . . . . . . . . .		—		260,584,004		—		260,584,004
Foreign Corporate Bonds & Notes		—		117,093,713		—		117,093,713
Foreign Government Obligations . . . . . . . . . . . . . . . .		—		85,982,759		—		85,982,759
U.S. Government Agencies . . . . . . . . . . . . . . . . . . . . .		—		237,689,826		—		237,689,826
U.S. Government Treasuries . . . . . . . . . . . . . . . . . . . .		—		16,257,762		—		16,257,762
Loans		—		41,897,262		—		41,897,262
Common Stocks :
Building Products - Air & Heating		—		112,083		—		112,083
Television . . . . . . . . . . . . . . . . . . . . . . . . . .		—		—		250,746		250,746
Preferred Securities:
Building Products - Air & Heating		—		64,283		—		64,283
Other Industries.		205,424		—		—		205,424
Preferred Securities/Capital Securities				13,835,890		—		13,835,890
Escrows and Litigation Trusts		—		1,213		1,688		2,901
Short-Term Investment Securities		36,719,668		—		—		36,719,668

Total Investments at Value . . . . . . . . . . . . . . . . . . . .	$	36,925,092	$	798,644,451	$	256,267	$	835,825,810

Other Financial Instruments:+

Forward Foreign Currency Contracts . . . . . . . . . . . . . .	$	—	$	519,114	$	—	$	519,114

LIABILITIES:
Other Financial Instruments:+

Forward Foreign Currency Contracts . . . . . . . . . . . . . .	$	—	$	34,342	$	—	$	34,342


	AGGRESSIVE GROWTH LIFESTYLE FUND		CAPITAL APPRECIATION FUND		CONSERVATIVE GROWTH LIFESTYLE FUND		CORE BOND FUND		GOVERNMENT MONEY MARKET II FUND			HIGH YIELD BOND FUND		INTERNATIONAL OPPORTUNITIES FUND
ASSETS:
Investment at value (unaffiliated)*†	$	–	$	98,027,982	$	–	$	1,522,992,913	$	120,442,221		$	541,798,742	$	569,226,000
Investment at value (affiliated)*†		566,163,367		–		331,698,229		–		–			–		–
Repurchase agreements (cost equals market value)		–		–		–		–		117,000			5,734,000		10,431,000
Cash		207,242		1,970,116		62,302		982,244		2,500,949			278		12,084
Foreign cash*		–		–		–		–		–			1,521,303		97,570
Cash collateral for futures contracts		–		–		–		–		–			–		–
Due from broker		–		–		–		–		–			–		–
Receivable for:
Fund shares sold		69,853		68,670		30,614		640,556		1,770,074			238,112		32,942
Dividends and interest		–		87,719		–		9,633,740		106,232			7,753,291		1,021,924
Investments sold		328,791		–		244,398		5,927,135		–			1,638,668		502,019
Investments sold on an extended settlement basis		–		–		–		5,322,539		–			3,862,808		–
Securities lending income		–		–		–		2,303		–			9,633		58,114
Prepaid expenses and other assets		26,790		13,788		18,530		58,295		28,547			35,041		58,448
Due from investment adviser for expense reimbursements/fee waivers		37,797		23,020		18,431		61,405		12,512			31,864		33,928
Unrealized appreciation on forward foreign currency contracts		–		–		–		–		–			–		–

TOTAL ASSETS		566,833,840		100,191,295		332,072,504		1,545,621,130		124,977,535			562,623,740		581,474,029

LIABILITIES:
Payable for:
Fund shares reacquired		398,553		8,440		274,961		703,805		41,116			175,505		211,938
Investments purchased		740		–		637		5,422,794		–			507,477		1,182,892
Investments purchased on an extended settlement basis		–		–		–		11,407,518		–			5,515,032		37,613
Investment advisory and management fees		48,703		48,479		27,398		508,840		23,806			269,676		402,366
Administrative service fees		–		5,882		–		80,261		6,353			29,595		32,902
Shareholder services		–		22,035		–		300,692		23,806			110,875		123,263
Transfer agent fees and expenses		497		994		497		994		373			994		868
Trustees’ fees and expenses		28,688		10,307		18,273		63,343		24,043			34,334		56,765
Other accrued expenses		122,652		62,150		89,224		232,278		64,014			127,416		296,295
Accrued foreign tax on capital gains		–		–		–		–		–			–		26,766
Collateral upon return of securities loaned		–		–		–		6,236,658		–			14,070,873		6,782,915
Variation margin on futures contracts		–		–		–		–		–			–		–
Due to custodian		–		–		–		–		–			–		–
Due to broker		–		–		–		–		–			–		–
Unrealized depreciation on forward foreign currency contracts		–		–		–		–		–			260,748		–

TOTAL LIABILITIES		599,833		158,287		410,990		24,957,183		183,511			21,102,525		9,154,583

NET ASSETS	$	566,234,007	$	100,033,008	$	331,661,514	$	1,520,663,947	$	124,794,024		$	541,521,215	$	572,319,446

NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share	$	559,683	$	66,749	$	276,379	$	1,276,094	$	1,247,723		$	694,061	$	307,463
Additional paid in capital		528,653,198		81,862,227		315,286,870		1,356,297,032		123,553,793			505,307,277		484,468,070
Total accumulated earnings (loss)		37,021,126		18,104,032		16,098,265		163,090,821		(7,492	)		35,519,877		87,543,913

NET ASSETS	$	566,234,007	$	100,033,008	$	331,661,514	$	1,520,663,947	$	124,794,024		$	541,521,215	$	572,319,446

SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)		1,000,000,000		1,000,000,000		1,000,000,000		1,000,000,000		1,000,000,000			1,000,000,000		1,000,000,000
Outstanding		55,968,293		6,674,919		27,637,891		127,609,442		124,772,295			69,406,105		30,746,343
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	10.12	$	14.99	$	12.00	$	11.92	$	1.00		$	7.80	$	18.61

* Cost
Investments (unaffiliated)	$	–	$	86,385,571	$	–	$	1,451,050,062	$	120,442,221		$	544,777,776	$	505,949,555

Investments (affiliated)	$	574,029,835	$	–	$	325,645,981	$	–	$	–		$	–	$	–

Foreign cash	$	–	$	–	$	–	$	–	$	–		$	1,493,532	$	96,556

† Including securities on loan	$	–	$	–	$	–	$	7,678,425	$	–		$	13,711,518	$	29,002,770


	LARGE CAP VALUE FUND		MID CAP GROWTH FUND		MID CAP VALUE FUND		MODERATE GROWTH LIFESTYLE FUND		SMALL CAP GROWTH FUND		SMALL CAP VALUE FUND			STRATEGIC BOND FUND		U.S. SOCIALLY RESPONSIBLE FUND
ASSETS:
Investment at value (unaffiliated)*†	$	257,258,101	$	226,953,167	$	696,216,347	$	–	$	184,015,458		286,347,582			835,825,810	$	683,164,055
Investment at value (affiliated)*†		–		–		–		962,061,938		–		–			–		–
Repurchase agreements (cost equals market value)		–		197,000		6,617,000		–		–		7,191,000			–		11,025,000
Cash		427,181		662		210		1,448		2,181,164		524			–		7
Foreign cash*		–		149		49		–		–		–			715,097		–
Cash collateral for futures contracts		–		–		–		–		–		601,000			–		–
Due from broker		–		–		–		–		–		7,766			–		–
Receivable for:
Fund shares sold		5,723		81,422		45,264		130,369		48,030		26,959			244,088		82,979
Dividends and interest		614,929		119,298		836,817		–		62,108		306,813			7,379,914		1,003,719
Investments sold		1,119,228		473,808		5,854,414		985,174		442,750		5,026,933			5,087,518		33,158,193
Investments sold on an extended settlement basis		–		–		–		–		–		–			3,508,461		–
Securities lending income		392		2,710		19,760		–		4,742		4,650			3,091		589
Prepaid expenses and other assets		29,623		20,833		72,474		39,676		19,733		47,457			52,210		63,922
Due from investment adviser for expense reimbursements/fee waivers		–		8,040		52,970		57,211		34,280		37,271			–		–
Unrealized appreciation on forward foreign currency contracts		–		–		–		–		–		–			519,114		–

TOTAL ASSETS		259,455,177		227,857,089		709,715,305		963,275,816		186,808,265		299,597,955			853,335,303		728,498,464

LIABILITIES:
Payable for:
Fund shares reacquired		150,716		267,769		276,340		1,115,394		716,263		236,620			446,615		984,701
Investments purchased		1,879,465		683,282		3,525,327		1,248		265,919		3,619,742			3,345,729		33,889,321
Investments purchased on an extended settlement basis		–		–		–		–		–		–			7,460,501		–
Investment advisory and management fees		115,014		146,484		446,004		81,298		134,190		173,368			332,673		154,483
Administrative service fees		15,350		13,422		42,540		–		10,863		17,392			44,044		41,235
Shareholder services		57,507		50,284		159,370		–		40,695		65,156			165,010		154,483
Transfer agent fees and expenses		993		868		1,117		497		994		868			1,365		497
Trustees’ fees and expenses		23,618		17,869		71,577		44,852		12,295		38,240			53,879		63,614
Other accrued expenses		102,535		76,526		204,800		160,439		76,647		151,627			200,986		153,999
Accrued foreign tax on capital gains		–		–		–		–		–		–			–		–
Collateral upon return of securities loaned		–		1,695,826		1,834,874		–		1,570,708		3,438,239			9,261,199		2,356,520
Variation margin on futures contracts		–		–		–		–		–		20,930			–		29,290
Due to custodian		–		–		–		–		–		–			774,450		–
Due to broker		–		–		–		–		–		–			–		17
Unrealized depreciation on forward foreign currency contracts		–		–		–		–		–		–			34,342		–

TOTAL LIABILITIES		2,345,198		2,952,330		6,561,949		1,403,728		2,828,574		7,762,182			22,120,793		37,828,160

NET ASSETS	$	257,109,979	$	224,904,759	$	703,153,356	$	961,872,088	$	183,979,691	$	291,835,773		$	831,214,510	$	690,670,304

NET ASSETS REPRESENTED BY:
Trust shares at par value of $0.01 per share	$	131,581	$	220,770	$	421,163	$	687,943	$	100,379	$	283,078		$	717,601	$	309,863
Additional paid in capital		243,864,956		191,614,329		639,124,345		892,177,745		134,222,438		293,706,212			790,592,568		361,052,038
Total accumulated earnings (loss)		13,113,442		33,069,660		63,607,848		69,006,400		49,656,874		(2,153,517	)		39,904,341		329,308,403

NET ASSETS	$	257,109,979	$	224,904,759	$	703,153,356	$	961,872,088	$	183,979,691	$	291,835,773		$	831,214,510	$	690,670,304

SHARES OF BENEFICIAL INTEREST:
Authorized (Par value $0.01 per share)		1,000,000,000		1,000,000,000		1,000,000,000		1,000,000,000		1,000,000,000		1,000,000,000			1,000,000,000		1,000,000,000
Outstanding		13,158,103		22,077,038		42,116,322		68,794,293		10,037,865		28,307,805			71,760,080		30,986,279
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE	$	19.54	$	10.19	$	16.70	$	13.98	$	18.33	$	10.31		$	11.58	$	22.29

* Cost
Investments (unaffiliated)	$	267,074,278	$	214,709,982	$	699,322,050	$	–	$	166,424,565	$	298,652,500		$	821,420,786	$	505,363,529

Investments (affiliated)	$	–	$	–	$	–	$	956,575,980	$	–	$	–		$	–	$	–

Foreign cash	$	–	$	151	$	48	$	–	$	–	$	–		$	705,908	$	–

† Including securities on loan	$	6,278,846	$	18,158,150	$	18,807,707	$	–	$	21,121,094	$	8,290,027		$	9,004,534	$	4,090,057


	AGGRESSIVE GROWTH LIFESTYLE FUND						CAPITAL APPRECIATION FUND						CONSERVATIVE GROWTH LIFESTYLE FUND					CORE BOND FUND
	For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)		For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net investment income (loss)	$	(222,338	)	$	9,005,521		$	70,342		$	391,658		$	(119,969)	$	6,664,782		$	19,829,432		$	45,640,119
Net realized gain (loss) on investments and foreign currencies		5,534,493			32,839,874			3,521,016			2,487,981			2,017,099		2,901,278			25,716,312			12,493,622
Net unrealized gain (loss) on investments and foreign currencies		(3,330,966	)		(45,659,943	)		(2,717,312	)		(3,423,426	)		2,224,819		1,160,266			3,832,399			92,159,031

Net increase (decrease) in net assets resulting from operations		1,981,189			(3,814,548	)		874,046			(543,787	)		4,121,949		10,726,326			49,378,143			150,292,772

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings		–			(61,562,142	)		–			(26,547,942	)		–		(22,740,565	)		–			(36,081,103	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		(14,795,793	)		35,716,300			(3,921,349	)		20,475,333			3,103,208		(2,342,303	)		(117,931,748	)		192,420,128

TOTAL INCREASE (DECREASE) IN NET ASSETS		(12,814,604	)		(29,660,390	)		(3,047,303	)		(6,616,396	)		7,225,157		(14,356,542	)		(68,553,605	)		306,631,797
NET ASSETS:
Beginning of period		579,048,611			608,709,001			103,080,311			109,696,707			324,436,357		338,792,899			1,589,217,552			1,282,585,755

End of period	$	566,234,007		$	579,048,611		$	100,033,008		$	103,080,311		$	331,661,514	$	324,436,357		$	1,520,663,947		$	1,589,217,552


	GOVERNMENT MONEY MARKET II FUND						HIGH YIELD BOND FUND						INTERNATIONAL OPPORTUNITIES FUND						LARGE CAP VALUE FUND
	For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net investment income (loss)	$	701,234		$	2,078,495		$	14,573,222		$	31,897,325		$	831,283		$	4,960,161		$	2,003,753		$	4,564,916
Net realized gain (loss) on investments and foreign currencies		3			837			7,567,238			(3,687,817	)		17,453,518			5,101,277			11,871,354			6,299,785
Net unrealized gain (loss) on investments and foreign currencies		–			–			(9,886,756	)		11,460,683			(12,123,670	)		(75,002,115	)		(20,919,787	)		(17,482,270	)

Net increase (decrease) in net assets resulting from operations		701,237			2,079,332			12,253,704			39,670,191			6,161,131			(64,940,677	)		(7,044,680	)		(6,617,569	)

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings		(701,234	)		(2,078,495	)		–			(29,483,669	)		–			(28,408,612	)		–			(26,283,225	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		5,427,599			(17,621,285	)		(128,096,901	)		70,624,814			(10,038,740	)		(54,481,040	)		(7,331,928	)		20,300,914

TOTAL INCREASE (DECREASE) IN NET ASSETS		5,427,602			(17,620,448	)		(115,843,197	)		80,811,336			(3,877,609	)		(147,830,329	)		(14,376,608	)		(12,599,880	)
NET ASSETS:
Beginning of period		119,366,422			136,986,870			657,364,412			576,553,076			576,197,055			724,027,384			271,486,587			284,086,467

End of period	$	124,794,024		$	119,366,422		$	541,521,215		$	657,364,412		$	572,319,446		$	576,197,055		$	257,109,979		$	271,486,587


	MID CAP GROWTH FUND						MID CAP VALUE FUND						MODERATE GROWTH LIFESTYLE FUND						SMALL CAP GROWTH FUND
	For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net investment income (loss)	$	144,556		$	(177,166	)	$	3,066,529		$	5,556,166		$	(408,475)		$	15,665,123		$	(507,036)		$	(1,032,672	)
Net realized gain (loss) on investments and foreign currencies		13,009,111			8,236,771			28,542,263			35,118,528			11,344,392			41,222,152			11,724,835			23,908,552
Net unrealized gain (loss) on investments and foreign currencies		(19,707,749	)		(1,837,506	)		(50,641,028	)		(81,851,249	)		(3,899,238	)		(42,101,179	)		5,583,454			(35,001,546	)

Net increase (decrease) in net assets resulting from operations		(6,554,082	)		6,222,099			(19,032,236	)		(41,176,555	)		7,036,679			14,786,096			16,801,253			(12,125,666	)

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings		–			(8,190,342	)		–			(142,088,963	)		–			(84,768,759	)		–			(45,173,634	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		(11,053,305	)		24,036,574			(21,274,602	)		10,441,435			11,524,103			48,686,494			(25,162,785	)		34,256,786

TOTAL INCREASE (DECREASE) IN NET ASSETS		(17,607,387	)		22,068,331			(40,306,838	)		(172,824,083	)		18,560,782			(21,296,169	)		(8,361,532	)		(23,042,514	)
NET ASSETS:
Beginning of period		242,512,146			220,443,815			743,460,194			916,284,277			943,311,306			964,607,475			192,341,223			215,383,737

End of period	$	224,904,759		$	242,512,146		$	703,153,356		$	743,460,194		$	961,872,088		$	943,311,306		$	183,979,691		$	192,341,223


	SMALL CAP VALUE FUND						STRATEGIC BOND FUND						U.S. SOCIALLY RESPONSIBLE FUND
	For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019			For the Six Months Ended February 29, 2020 (Unaudited)			For the Year Ended August 31, 2019
INCREASE (DECREASE) IN NET ASSETS OPERATIONS:
Net investment income (loss)	$	2,144,314		$	4,248,674		$	13,289,032		$	33,534,474		$	4,834,545		$	8,690,921
Net realized gain (loss) on investments and foreign currencies		884,796			7,467,945			6,046,392			(3,565,009	)		14,955,481			125,854,486
Net unrealized gain (loss) on investments and foreign currencies		(14,767,423	)		(94,914,658	)		(2,186,623	)		37,544,146			(8,883,116	)		(105,358,614	)

Net increase (decrease) in net assets resulting from operations		(11,738,313	)		(83,198,039	)		17,148,801			67,513,611			10,906,910			29,186,793

DISTRIBUTIONS TO SHAREHOLDERS FROM:
Distributable earnings		–			(58,976,644	)		–			(29,934,832	)		–			(62,490,729	)

Net increase (decrease) in net assets resulting from capital share transactions (Note 6)		(12,467,784	)		(76,331,392	)		(24,493,116	)		(52,421,528	)		(40,020,879	)		(36,029,931	)

TOTAL INCREASE (DECREASE) IN NET ASSETS		(24,206,097	)		(218,506,075	)		(7,344,315	)		(14,842,749	)		(29,113,969	)		(69,333,867	)
NET ASSETS:
Beginning of period		316,041,870			534,547,945			838,558,825			853,401,574			719,784,273			789,118,140

End of period	$	291,835,773		$	316,041,870		$	831,214,510		$	838,558,825		$	690,670,304		$	719,784,273


Aggressive Growth Lifestyle Fund*		Mid Cap Growth Fund
Capital Appreciation Fund		Mid Cap Value Fund
Conservative Growth Lifestyle Fund*		Moderate Growth Lifestyle Fund*
Core Bond Fund		Small Cap Growth Fund
Government Money Market II Fund		Small Cap Value Fund
High Yield Bond Fund		Strategic Bond Fund
International Opportunities Fund		U.S. Socially Responsible Fund
Large Cap Value Fund


	Asset Derivatives						Liability Derivatives
Fund	Futures Contracts(1)(6)		Swap Contracts(2)		Foreign Forward Exchange Contracts(3)		Futures Contracts(1)(6)		Swap Contracts(4)		Foreign Forward Exchange Contracts(5)
	Equity Contracts						Equity Contracts
Small Cap Value	$	—	$	—	$	—	$	20,930	$	—	$	—
U.S. Socially Responsible		—		—		—		29,290		—		—

	Credit Contracts						Credit Contracts
High Yield Bond		—		—		—		—		—		—

	Foreign Exchange Contracts						Foreign Exchange Contracts
High Yield Bond		—		—		—		—		—		260,748
Strategic Bond		—		—		519,114		—		—		34,342


Fund	Cumulative Appreciation (Depreciation)
Small Cap Value	$	(757,728	)
U.S. Socially Responsible		(1,306,739	)


	Realized Gain (Loss) on Derivatives Recognized in Statement of Operations
Fund	Futures Contracts(1)		Swap Contracts(2)		Foreign Forward Exchange Contracts(3)
	Equity Contracts
Small Cap Value	$	625,614	$	—	$	—
U.S. Socially Responsible		2,164,813		—		—

	Credit Contracts
High Yield Bond		—		682,534		—

	Foreign Exchange Contracts
High Yield Bond		—		—		442,719
Strategic Bond		—		—		1,102,913



	Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations
Fund	Futures Contracts(4)			Swap Contracts(5)		Foreign Forward Exchange Contracts(6)
	Equity Contracts
Small Cap Value	$	(618,513	)	$	—	$	—
U.S. Socially Responsible		(1,643,963	)		—		—

	Credit Contracts
High Yield Bond		—			59,214		—

	Foreign Exchange Contracts
High Yield Bond		—			—		(371,007	)
Strategic Bond		—			—		(1,195,514	)


	Average Amount Outstanding During the Year
Fund	Futures Contracts(1)		Swap Contracts(1)		Foreign Exchange Contracts(1)
High Yield Bond	$	—	$	5,050,500	$	14,845,943
Small Cap Value		10,194,911		—		—
Strategic Bond		—		—		54,912,083
U.S. Socially Responsible		23,201,101		—		—

Valic Co II – ‘N-CSRS’ for 2/29/20

On: Friday, 5/8/20, at 2:03pm ET · Effective: 5/8/20 · For: 2/29/20 · Accession #: 1193125-20-137379 · File #: 811-08789

Previous ‘N-CSRS’: ‘N-CSRS’ on 5/8/19 for 2/28/19 · Next & Latest: ‘N-CSRS’ on 5/7/21 for 2/28/21

Certified Semi-Annual Shareholder Report by an Investment Company — Form N-CSRFiling Table of Contents

‘N-CSRS’ — Certified Semi-Annual Shareholder Report by an Investment CompanyDocument Table of Contents

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

Certified Semi-Annual Shareholder Report by an Investment Company — Form N-CSR
Filing Table of Contents

‘N-CSRS’ — Certified Semi-Annual Shareholder Report by an Investment Company
Document Table of Contents


	High Yield Bond Fund
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
BNP Paribas SA	$	—	$	—	$	—	$	—	$	260,748	$	—	$	—	$	260,748	$	(260,748	)	$	—	$	(260,748	)


	Strategic Bond Fund
	Derivative Assets(1)								Derivative Liabilities(1)
Counterparty	Forward Foreign Currency Contracts		OTC Swaps		Options Purchased		Total		Forward Foreign Currency Contracts		OTC Swaps		Options Written		Total		Net Derivative Assets (Liabilities)			Collateral Pledged/ (Received)(2)		Net Amount(3)
JPMorgan Chase Bank N.A.	$	519,114	$	—	$	—	$	519,114	$	34,342	$	—	$	—	$	34,342	$	484,772		$	—	$	484,772


Aggressive Growth Lifestyle Fund		0.10%
Capital Appreciation Fund		0.55% on first $1 billion
		0.525% on assets over $1 billion
Conservative Growth Lifestyle Fund		0.10%
Core Bond Fund		0.50% on the first $200 million
		0.45% on the next $300 million
		0.40% on assets over $500 million
Government Money Market II Fund		0.25%
High Yield Bond Fund		0.65% on the first $150 million
		0.60% on the next $350 million
		0.55% on assets over $500 million
International Opportunities Fund		0.90% on the first $100 million
		0.80% on the next $650 million
		0.75% on assets over $750 million
Large Cap Value Fund		0.50% on the first $500 million
		0.475% on assets over $500 million
Mid Cap Growth Fund		0.80% on the first $50 million
		0.75% on the next $50 million
		0.70% on the next $150 million
		0.65% on the next $250 million
		0.60% on assets over $500 million
Mid Cap Value Fund		0.75% on the first $100 million
		0.725% on the next $150 million
		0.70% on the next $250 million
		0.675% on the next $250 million
		0.65% on assets over $750 million
Moderate Growth Lifestyle Fund		0.10%
Small Cap Growth Fund(1)		0.85% on the first $100 million
		0.80% on assets over $100 million
Small Cap Value Fund		0.75% on the first $50 million
		0.65% on assets over $50 million
Strategic Bond Fund		0.60% on the first $200 million
		0.50% on the next $300 million
		0.45% on assets over $500 million
U.S. Socially Responsible Fund		0.25% on the first $1 billion
		0.24% on assets over $1 billion


Fund	Expense Limitation
Aggressive Growth Lifestyle		0.10	%
Capital Appreciation		0.85	%
Conservative Growth Lifestyle		0.10	%
Core Bond		0.77	%
Government Money Market II		0.55	%
High Yield Bond		0.93	%
International Opportunities		1.20	%
Mid Cap Growth		1.09	%
Mid Cap Value		1.05	%
Moderate Growth Lifestyle		0.10	%
Small Cap Growth		1.13	%
Small Cap Value		1.02	%
Strategic Bond		0.89	%


Fund	Amount
Aggressive Growth Lifestyle	$	128,561
Capital Appreciation		82,626
Conservative Growth Lifestyle		84,835
Core Bond		84,249
Government Money Market II		74,150
High Yield Bond⁽¹⁾		64,539
International Opportunities⁽²⁾		487,938
Large Cap Value⁽³⁾		66,972
Mid Cap Growth⁽⁴⁾		226,986
Mid Cap Value		93,908
Moderate Growth Lifestyle		180,076
Small Cap Growth⁽⁵⁾		87,014
Small Cap Value⁽⁶⁾		185,202
U.S. Socially Responsible⁽⁷⁾		113,168


	Holder
Fund	American General Life Insurance Co.			The United States Life Insurance Co.			VALIC			VALIC Co. I Dynamic Allocation Fund			VCII Aggressive Growth Lifestyle			VCII Conservative Growth Lifestyle			VCII Moderate Growth Lifestyle
Aggressive Growth Lifestyle . . . . . . . . . . . . .		0.00	%		0.00	%		100.00	%		0.00	%		0.00	%		0.00	%		0.00	%
Capital Appreciation . . . . . . . . . . . .		—			—			40.38			5.39			22.12			5.42			26.69
Conservative Growth Lifestyle . . . . . . .		—			—			100.00			—			—			—			—
Core Bond . . . . . . . . . .		—			—			88.18			0.70			—			3.62			7.50
Government Money Market II. . . . . . . . . . . . . . . .		—			—			100.00			—			—			—			—
High Yield Bond . . . . . . . . . . . . . . . . .		0.01			—			89.16			0.28			2.00			3.99			4.56
International Opportunities . . . . . . . . . . . . . .		—			—			90.23			0.02			4.15			1.45			4.15
Large Cap Value . . . . . . . . . . . . . . .		—			—			62.31			1.09			13.20			3.46			19.94
Mid Cap Growth . . . . . . . . . . . . . . . .		—			—			89.59			0.97			3.55			1.15			4.74
Mid Cap Value . . . . . . . . . . . . . . .		0.27			—			90.31			0.30			3.19			1.07			4.86
Moderate Growth Lifestyle . . . . . . . . . . . .		—			—			100.00			—			—			—			—
Small Cap Growth. . . . . . . . . . . . . .		—			—			90.80			0.24			3.42			1.05			4.49
Small Cap Value . . . . . . . . .		—			—			93.35			0.13			3.29			0.34			2.89
Strategic Bond . . . . . . . . . . . . . . . . .		0.06			0.01			81.06			0.32			3.79			5.12			9.64
U.S. Socially Responsible . . . . . . . . . . . . . . . . . . . .		0.01			—			99.88			0.11			—			—			—


Security	Income		Capital Gain Distribution Received		Value at 08/31/2019		Cost of Purchases†		Proceeds from Sales		Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Value at 02/29/2020
VALIC Co. I Blue Chip Growth Fund	$	—	$	—	$	8,736	$	—	$	—	$	—		$	322		$	9,058
VALIC Co. I Capital Conservation Fund		—		—		9,667,217		—		—		—			347,607			10,014,824
VALIC Co. I Dividend Value Fund		—		—		28,578,366		2,921,625		—		—			(548,800	)		30,951,191
VALIC Co. I Emerging Economies Fund		—		—		30,886,401		1,493,019		—		—			1,162,544			33,541,964
VALIC Co. I Global Real Estate Fund		—		—		20,898,566		—		—		—			(524,964	)		20,373,602
VALIC Co. I Government Money Market I Fund		76,618		—		24,726,765		7,229,147		18,908,278		—			—			13,047,634
VALIC Co. I Government Securities Fund		—		—		5,948,285		—		—		—			179,428			6,127,713
VALIC Co. I Inflation Protected Fund		—		—		24,440,615		3,074,767		—		—			644,579			28,159,961
VALIC Co. I International Equities Index Fund		—		—		11,232,950		34,735,467		4,672,858		(359,642	)		(1,873,686	)		39,062,231
VALIC Co. I International Government Bond Fund		—		—		16,463,683		—		896,331		29,754			156,381			15,753,487
VALIC Co. I International Growth Fund		—		—		9,012,975		—		—		—			246,298			9,259,273
VALIC Co. I International Value Fund		—		—		25,859,475		4,780,430		—		—			(843,077	)		29,796,828
VALIC Co. I Large Cap Core Fund		—		—		9,433,280		—		—		—			224,220			9,657,500
VALIC Co. I Large Capital Growth Fund		—		—		7,008,381		2,921,625		—		—			240,538			10,170,544


Fund	Purchases of Investment Securities (Excluding U.S. Government Securities)		Sales of Investment Securities (Excluding U.S. Government Securities)		Purchase of U.S. Government Securities		Sales of U.S. Government Securities
Aggressive Growth Lifestyle	$	103,213,513	$	118,303,150	$	—	$	—
Capital Appreciation		27,838,360		32,438,961		—		—
Conservative Growth Lifestyle		60,247,874		57,307,863		—		—
Core Bond		347,111,067		491,312,907		267,648,612		238,938,592
Government Money Market II		—		—		—		—
High Yield Bond		128,615,728		225,779,543		—		—
International Opportunities		121,479,726		124,977,024		—		—
Large Cap Value		123,806,336		127,882,280		—		—
Mid Cap Growth		45,462,925		54,111,984		—		—
Mid Cap Value		186,992,904		204,841,450		—		—
Moderate Growth Lifestyle		217,013,437		205,977,199		—		—
Small Cap Growth		30,764,302		56,799,043		—		—
Small Cap Value		83,977,556		93,647,156		—		—
Strategic Bond		292,202,883		298,770,142		81,277,371		78,904,921
U.S. Socially Responsible		33,889,321		46,099,313		—		—


Fund	Identified Cost of Investments Owned		Gross Unrealized Appreciation@		Gross Unrealized Depreciation@			Net Unrealized Appreciation (Depreciation)@
Aggressive Growth Lifestyle	$	577,994,267	$	18,524,814	$	(30,355,714	)	$	(11,830,900	)
Capital Appreciation		86,419,780		17,426,245		(5,818,043	)		11,608,202
Conservative Growth Lifestyle		327,777,480		13,812,670		(9,891,921	)		3,920,749
Core Bond		1,451,415,922		78,487,045		(6,910,054	)		71,576,991
Government Money Market II		120,559,221		—		—			—
High Yield Bond		550,622,966		16,249,800		(19,651,816	)		(3,402,016	)
International Opportunities		519,430,679		98,916,360		(38,690,039	)		60,226,321
Large Cap Value		269,488,113		11,027,811		(23,257,823	)		(12,230,012	)
Mid Cap Growth		215,187,978		29,642,871		(17,680,682	)		11,962,189
Mid Cap Value		711,846,480		53,334,019		(62,347,152	)		(9,013,133	)
Moderate Growth Lifestyle		962,561,970		37,276,857		(37,776,889	)		(500,032	)
Small Cap Growth		168,084,829		33,034,894		(17,104,265	)		15,930,629
Small Cap Value		309,436,637		27,184,217		(43,700,785	)		(16,516,568	)
Strategic Bond		821,680,597		27,210,038		(14,260,339	)		12,949,699
U.S. Socially Responsible		517,156,612		213,278,569		(36,246,126	)		177,032,443


	Distributable Earnings								Tax Distributions
	For the year ended August 31, 2019
Fund	Ordinary Income		Long- term Capital Gains and Other Losses			Unrealized Appreciation (Depreciation)@			Ordinary Income		Long-Term Capital Gains
Aggressive Growth Lifestyle	$	14,400,845	$	31,582,812		$	(8,499,934	)	$	11,408,394	$	50,153,748
Capital Appreciation		391,903		3,362,489			14,325,514			4,246,215		22,301,727
Conservative Growth Lifestyle		8,185,706		4,727,595			1,695,930			10,490,382		12,250,183
Core Bond		48,241,701		—			67,744,592			36,081,103		—
Government Money Market II		8,290		(6,655	)		—			2,078,495		—
High Yield Bond		32,918,358		(11,157,153	)		6,484,193			29,483,669		—
International Opportunities		3,889,011		9,589,309			72,306,034			5,797,758		22,610,854
Large Cap Value		5,706,876		11,741,047			8,689,775			7,371,579		18,911,646
Mid Cap Growth		77,627		9,498,511			31,669,936			2,608,627		5,581,715
Mid Cap Value		6,164,408		42,658,754			41,627,829			9,993,849		132,095,114
Moderate Growth Lifestyle		22,793,531		41,673,422			3,399,206			20,315,546		64,453,213
Small Cap Growth		1,685,214		21,485,041			10,347,175			6,684,170		38,489,464
Small Cap Value		4,533,901		8,997,808			(1,749,145	)		11,730,674		47,245,970
Strategic Bond		37,301,485		(27,049,113	)		15,146,025			29,934,832		—
U.S. Socially Responsible		12,085,797		122,069,476			184,271,597			12,183,211		50,307,518


	Unlimited
Fund	ST		LT
Aggressive Growth Lifestyle	$	—	$	—
Capital Appreciation		—		—
Conservative Growth Lifestyle		—		—
Core Bond		—		—
Government Money Market II		6,655		—
High Yield Bond		2,191,954		8,965,199
International Opportunities		—		—
Large Cap Value		—		—
Mid Cap Growth		—		—
Mid Cap Value		—		—
Moderate Growth Lifestyle		—		—
Small Cap Growth		—		—
Small Cap Value		—		—
Strategic Bond		11,916,922		15,132,191
U.S. Socially Responsible		—		—