SEC Info - MML Series Investment Fund II


	Number of Shares		Value
EQUITIES — 38.4%

COMMON STOCK — 38.4%
Basic Materials — 0.8%
Chemicals — 0.8%
Air Products & Chemicals, Inc.		1,400	$	189,407

Communications — 1.4%
Telecommunications — 1.4%
Drillisch AG		3,800		193,095
NTT DOCOMO, Inc.		5,600		130,512

				323,607

Consumer, Cyclical — 12.1%
Distribution & Wholesale — 2.5%
Pool Corp.		5,100		608,583

Home Builders — 5.3%
NVR, Inc. (a)		600		1,264,128

Retail — 3.5%
Fielmann AG		1,400		108,208
The TJX Cos., Inc.		9,200		727,536

				835,744

Textiles — 0.8%
Mohawk Industries, Inc. (a)		800		183,592

				2,892,047

Consumer, Non-cyclical — 7.5%
Agriculture — 0.8%
Reynolds American, Inc.		3,000		189,060

Biotechnology — 1.1%
CSL Ltd.		2,800		267,366

Foods — 1.1%
Nestle SA		1,300		99,727
Saputo, Inc.		4,500		155,284

				255,011

Health Care – Products — 0.7%
Advanced Medical Solutions Group PLC		54,300		164,643

Health Care – Services — 2.6%
Fresenius SE & Co. KGaA		5,900		473,886
Ramsay Health Care Ltd.		3,000		160,122

				634,008

Household Products — 1.2%
Henkel AG & Co. KGaA		2,000		222,214
Portmeirion Group PLC		5,600		66,136

				288,350

				1,798,438

Financial — 2.3%
Diversified Financial Services — 1.8%
Mastercard, Inc. Class A		3,800		427,386


	Number of Shares		Value
Private Equity — 0.5%
Onex Corp.		1,700	$	122,017

				549,403

Industrial — 11.5%
Aerospace & Defense — 3.6%
General Dynamics Corp.		1,200		224,640
Lockheed Martin Corp.		800		214,080
Northrop Grumman Corp.		900		214,056
Raytheon Co.		1,400		213,500

				866,276

Building Materials — 2.0%
Breedon Group PLC (a)		88,100		84,109
Martin Marietta Materials, Inc.		900		196,425
Vulcan Materials Co.		1,600		192,768

				473,302

Electronics — 1.0%
Halma PLC		17,600		225,807

Hand & Machine Tools — 1.4%
Schindler Holding AG		700		135,230
Snap-on, Inc.		1,200		202,404

				337,634

Machinery – Diversified — 1.7%
Cummins, Inc.		1,500		226,800
Wabtec Corp.		2,400		187,200

				414,000

Miscellaneous – Manufacturing — 1.8%
A.O. Smith Corp.		4,200		214,872
Illinois Tool Works, Inc.		1,700		225,199

				440,071

				2,757,090

Technology — 2.8%
Computers — 1.3%
Amdocs Ltd.		5,200		317,148

Software — 1.5%
EMIS Group PLC		11,800		131,306
Nexus AG		3,400		73,294
Open Text Corp.		4,200		142,753

				347,353

				664,501


TOTAL COMMON STOCK (Cost $8,433,583)				9,174,493


TOTAL EQUITIES (Cost $8,433,583)				9,174,493


	Principal Amount		Value
BONDS & NOTES — 16.7%

CORPORATE DEBT — 12.5%
Diversified Financial Services — 12.5%
Federal Home Loan Mortgage Corp. 1.000% 7/28/17	$	3,000,000	$	3,001,065


TOTAL CORPORATE DEBT (Cost $3,010,500)				3,001,065


U.S. TREASURY OBLIGATIONS — 4.2%
U.S. Treasury Bonds & Notes — 4.2%
U.S. Treasury Note (b) 0.750% 4/30/18		1,000,000		996,133


TOTAL U.S. TREASURY OBLIGATIONS (Cost $998,125)				996,133


TOTAL BONDS & NOTES (Cost $4,008,625)				3,997,198


	Number of Shares
MUTUAL FUNDS — 32.2%
Diversified Financial Services — 32.2%
iShares MSCI Canada ETF		24,100		647,808
iShares MSCI India ETF		6,600		207,801
VanEck Vectors Russia ETF		52,400		1,083,108
Vanguard Total Stock Market ETF		47,500		5,762,700

				7,701,417


TOTAL MUTUAL FUNDS (Cost $7,167,780)				7,701,417


TOTAL LONG-TERM INVESTMENTS (Cost $19,609,988)				20,873,108


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 11.4%
Repurchase Agreement — 11.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (c)	$	2,735,887	$	2,735,887


TOTAL SHORT-TERM INVESTMENTS (Cost $2,735,887)				2,735,887


TOTAL INVESTMENTS — 98.7% (Cost $22,345,875) (d)				23,608,995

Other Assets/(Liabilities) — 1.3%				313,144


NET ASSETS — 100.0%			$	23,922,139

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ETF	Exchange-Traded Fund

(a)	Non-income producing security.

(b)	A portion of this security is pledged/held as collateral for open futures contracts. (Note 2).

(c)	Maturity value of $2,735,898. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $2,791,559.

(d)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value
EQUITIES — 72.2%

COMMON STOCK — 72.1%
Basic Materials — 1.8%
Chemicals — 1.5%
Air Products & Chemicals, Inc.		5	$	676
CF Industries Holdings, Inc.		27,190		798,027
The Dow Chemical Co.		30,573		1,942,608
E.I. du Pont de Nemours & Co.		15,560		1,249,935
Eastman Chemical Co.		25,770		2,082,216
FMC Corp.		27,400		1,906,766
LyondellBasell Industries NV Class A		8,600		784,234
Monsanto Co.		6,694		757,761
The Mosaic Co.		5,900		172,162
PPG Industries, Inc.		18		1,891
Praxair, Inc.		6		712
The Sherwin-Williams Co.		3		931

				9,697,919

Forest Products & Paper — 0.0%
International Paper Co.		3,587		182,148

Iron & Steel — 0.2%
Nucor Corp.		14,956		893,172

Mining — 0.1%
Freeport-McMoRan, Inc. (a)		64		855
Newmont Mining Corp.		23,670		780,163

				781,018

				11,554,257

Communications — 8.0%
Advertising — 0.1%
The Interpublic Group of Cos., Inc.		6,922		170,074
Omnicom Group, Inc.		3,747		323,029

				493,103

Internet — 3.0%
Alphabet, Inc. Class A (a)		6,710		5,688,738
Alphabet, Inc. Class C (a)		731		606,408
Amazon.com, Inc. (a)		3,830		3,395,448
eBay, Inc. (a)		49,277		1,654,229
Expedia, Inc.		5,157		650,659
F5 Networks, Inc. (a)		12,990		1,851,984
Facebook, Inc. Class A (a)		21,460		3,048,393
Netflix, Inc. (a)		233		34,440
The Priceline Group, Inc. (a)		1		1,780
Symantec Corp.		68,555		2,103,267
TripAdvisor, Inc. (a)		37		1,597
VeriSign, Inc. (a)		1,291		112,459
Yahoo!, Inc. (a)		15,529		720,701

				19,870,103

Media — 2.3%
CBS Corp. Class B		11,457		794,658


	Number of Shares		Value
Charter Communications, Inc. Class A (a)		2,321	$	759,710
Comcast Corp. Class A		50,424		1,895,438
Discovery Communications, Inc. Class A (a)		61,800		1,797,762
Discovery Communications, Inc. Class C (a)		6,900		195,339
News Corp. Class A		6,866		89,258
Scripps Networks Interactive Class A		25,372		1,988,404
TEGNA, Inc.		48,712		1,248,001
Time Warner, Inc.		27,015		2,639,636
Twenty-First Century Fox, Inc. Class A		19,567		633,775
Twenty-First Century Fox, Inc. Class B		42,500		1,350,650
Viacom, Inc. Class B		26,310		1,226,572
The Walt Disney Co.		2,582		292,773

				14,911,976

Telecommunications — 2.6%
AT&T, Inc.		70,453		2,927,322
CenturyLink, Inc.		61,128		1,440,787
Cisco Systems, Inc.		147,542		4,986,920
Frontier Communications Corp.		295,756		632,918
Juniper Networks, Inc.		1,389		38,656
LogMeIn, Inc.		1,319		128,602
Motorola Solutions, Inc.		26,237		2,262,154
Verizon Communications, Inc.		101,755		4,960,556

				17,377,915

				52,653,097

Consumer, Cyclical — 8.3%
Airlines — 1.1%
Alaska Air Group, Inc.		27,300		2,517,606
American Airlines Group, Inc.		28,200		1,192,860
Delta Air Lines, Inc.		23,200		1,066,272
Southwest Airlines Co.		10,383		558,190
United Continental Holdings, Inc. (a)		32,000		2,260,480

				7,595,408

Apparel — 0.5%
Michael Kors Holdings Ltd. (a)		29,700		1,131,867
NIKE, Inc. Class B		9,084		506,251
Ralph Lauren Corp.		18,450		1,505,889

				3,144,007

Auto Manufacturers — 0.5%
Ford Motor Co.		128,513		1,495,891
General Motors Co.		53,200		1,881,152
PACCAR, Inc.		5,322		357,639

				3,734,682

Auto Parts & Equipment — 0.5%
BorgWarner, Inc.		22,100		923,559
Delphi Automotive PLC		9,300		748,557


	Number of Shares		Value
The Goodyear Tire & Rubber Co.		42,151	$	1,517,436

				3,189,552

Distribution & Wholesale — 0.0%
Fastenal Co.		82		4,223
W.W. Grainger, Inc.		2		465

				4,688

Home Builders — 0.0%
D.R. Horton, Inc.		1,947		64,855
PulteGroup, Inc.		73		1,719

				66,574

Home Furnishing — 0.1%
Leggett & Platt, Inc.		1,686		84,840
Whirlpool Corp.		1,573		269,502

				354,342

Leisure Time — 0.1%
Harley-Davidson, Inc.		8,702		526,471
Royal Caribbean Cruises Ltd.		100		9,811

				536,282

Lodging — 0.6%
Marriott International, Inc. Class A		7,321		689,492
Wyndham Worldwide Corp.		13,209		1,113,386
Wynn Resorts Ltd.		19,908		2,281,656

				4,084,534

Retail — 4.8%
AutoNation, Inc. (a)		10,799		456,690
AutoZone, Inc. (a)		494		357,187
Bed Bath & Beyond, Inc.		18,164		716,751
Best Buy Co., Inc.		41,392		2,034,417
Coach, Inc.		6,220		257,073
Costco Wholesale Corp.		1,460		244,827
CVS Health Corp.		28,994		2,276,029
Darden Restaurants, Inc.		9,854		824,484
Dollar General Corp.		3,200		223,136
Dollar Tree, Inc. (a)		48		3,766
The Gap, Inc.		70,590		1,714,631
Genuine Parts Co.		2,834		261,890
The Home Depot, Inc.		10,327		1,516,313
Kohl’s Corp.		29,230		1,163,646
L Brands, Inc.		2,200		103,620
Lowe’s Cos., Inc.		14,295		1,175,192
Macy’s, Inc.		24,751		733,620
McDonald’s Corp.		25,900		3,356,899
Nordstrom, Inc.		24,308		1,132,024
O’Reilly Automotive, Inc. (a)		3,343		902,075
PVH Corp.		16,520		1,709,324
Ross Stores, Inc.		14,044		925,078
Staples, Inc.		184,065		1,614,250
Starbucks Corp.		8,654		505,307
Target Corp.		15,086		832,596
Tiffany & Co.		802		76,431


	Number of Shares		Value
The TJX Cos., Inc.		14,106	$	1,115,502
Urban Outfitters, Inc. (a)		22,700		539,352
Wal-Mart Stores, Inc.		34,922		2,517,178
Walgreens Boots Alliance, Inc.		16,557		1,375,059
Yum! Brands, Inc.		14,435		922,397

				31,586,744

Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		3,861		385,405
Mattel, Inc.		2,090		53,525

				438,930

				54,735,743

Consumer, Non-cyclical — 14.3%
Agriculture — 0.8%
Altria Group, Inc.		18,259		1,304,058
Archer-Daniels-Midland Co.		48,892		2,250,988
Philip Morris International, Inc.		13,276		1,498,860
Reynolds American, Inc.		3,576		225,359

				5,279,265

Beverages — 1.1%
Brown-Forman Corp. Class B		12		554
The Coca-Cola Co.		85,830		3,642,625
Coca-Cola European Partners PLC		10,178		383,609
Constellation Brands, Inc. Class A		262		42,462
Dr. Pepper Snapple Group, Inc.		4,404		431,240
PepsiCo, Inc.		23,400		2,617,524

				7,118,014

Biotechnology — 1.6%
Amgen, Inc.		24,721		4,055,975
Biogen, Inc. (a)		3,662		1,001,264
Bioverativ, Inc. (a)		1,831		99,716
Celgene Corp. (a)		11,216		1,395,607
Gilead Sciences, Inc.		54,610		3,709,111

				10,261,673

Commercial Services — 1.1%
Automatic Data Processing, Inc.		4,809		492,393
Cintas Corp.		1,878		237,642
Ecolab, Inc.		2		251
Equifax, Inc.		6,042		826,183
Global Payments, Inc.		2,300		185,564
H&R Block, Inc.		26,763		622,240
Moody’s Corp.		3,330		373,093
Nielsen Holdings PLC		10,600		437,886
PayPal Holdings, Inc. (a)		77		3,313
Quanta Services, Inc. (a)		13,913		516,311
Robert Half International, Inc.		26		1,270
S&P Global, Inc.		48		6,275
Total System Services, Inc.		2,707		144,716
United Rentals, Inc. (a)		13,880		1,735,694
The Western Union Co.		85,588		1,741,716

				7,324,547


	Number of Shares		Value
Cosmetics & Personal Care — 0.8%
Colgate-Palmolive Co.		17,906	$	1,310,540
The Estee Lauder Cos., Inc. Class A		7,910		670,689
The Procter & Gamble Co.		38,329		3,443,861

				5,425,090

Foods — 1.4%
Campbell Soup Co.		14,924		854,250
Conagra Brands, Inc.		28,474		1,148,641
General Mills, Inc.		12,462		735,383
The Hershey Co.		1,647		179,935
Hormel Foods Corp.		15,732		544,799
The J.M. Smucker Co.		6,735		882,824
Kellogg Co.		8,428		611,957
The Kraft Heinz Co.		4,958		450,236
The Kroger Co.		6,058		178,650
McCormick & Co., Inc.		161		15,705
Mondelez International, Inc. Class A		31,775		1,368,867
Sysco Corp.		21,534		1,118,045
Tyson Foods, Inc. Class A		4,301		265,415
Whole Foods Market, Inc.		17,250		512,670

				8,867,377

Health Care – Products — 1.6%
Abbott Laboratories		29,601		1,314,580
Baxter International, Inc.		47,461		2,461,327
Becton, Dickinson & Co.		1,470		269,657
Boston Scientific Corp. (a)		30,900		768,483
C.R. Bard, Inc.		202		50,205
Danaher Corp.		11,756		1,005,491
DENTSPLY SIRONA, Inc.		10,656		665,361
Edwards Lifesciences Corp. (a)		980		92,189
Hologic, Inc. (a)		7,400		314,870
Intuitive Surgical, Inc. (a)		96		73,581
Medtronic PLC		23,600		1,901,216
Patterson Cos., Inc.		86		3,890
Stryker Corp.		4,680		616,122
Thermo Fisher Scientific, Inc.		3,971		609,945
Varex Imaging Corp. (a)		838		28,157
Varian Medical Systems, Inc. (a)		2,097		191,100
Zimmer Biomet Holdings, Inc.		2,455		299,780

				10,665,954

Health Care – Services — 1.7%
Aetna, Inc.		6,227		794,254
Anthem, Inc.		5,796		958,542
Centene Corp. (a)		700		49,882
Cigna Corp.		712		104,301
DaVita, Inc. (a)		13,930		946,822
Envision Healthcare Corp. (a)		9,600		588,672
HCA Holdings, Inc. (a)		29,600		2,634,104
Humana, Inc.		1,084		223,456
Laboratory Corp. of America Holdings (a)		2		287


	Number of Shares		Value
Quest Diagnostics, Inc.		3,309	$	324,911
UnitedHealth Group, Inc.		22,424		3,677,760
Universal Health Services, Inc. Class B		6,440		801,458

				11,104,449

Household Products & Wares — 0.1%
Avery Dennison Corp.		1,915		154,349
The Clorox Co.		5,043		679,948
Kimberly-Clark Corp.		665		87,534

				921,831

Pharmaceuticals — 4.1%
AbbVie, Inc.		47,922		3,122,597
Allergan PLC		7,890		1,885,079
AmerisourceBergen Corp.		3,907		345,769
Bristol-Myers Squibb Co.		11,567		629,013
Cardinal Health, Inc.		6,678		544,591
Eli Lilly & Co.		3,614		303,974
Endo International PLC (a)		83,100		927,396
Express Scripts Holding Co. (a)		28,501		1,878,501
Johnson & Johnson		69,112		8,607,900
Mallinckrodt PLC (a)		27,700		1,234,589
McKesson Corp.		7,525		1,115,656
Mead Johnson Nutrition Co.		7,212		642,445
Merck & Co., Inc.		51,583		3,277,584
Mylan NV (a)		10,147		395,632
Pfizer, Inc.		62,241		2,129,265

				27,039,991

				94,008,191

Diversified — 0.0%
Holding Company – Diversified — 0.0%
Leucadia National Corp.		37		962

Energy — 3.9%
Energy – Alternate Sources — 0.2%
First Solar, Inc. (a)		52,700		1,428,170

Oil & Gas — 3.1%
Anadarko Petroleum Corp.		48		2,976
Apache Corp.		3,821		196,361
Cabot Oil & Gas Corp.		48		1,148
Chesapeake Energy Corp. (a)		90		535
Chevron Corp.		40,508		4,349,344
ConocoPhillips		12,739		635,294
Devon Energy Corp.		447		18,649
EOG Resources, Inc.		8		780
EQT Corp.		97		5,927
Exxon Mobil Corp.		73,797		6,052,092
Helmerich & Payne, Inc.		60		3,994
Hess Corp.		9,032		435,433
Marathon Oil Corp.		9,427		148,947
Marathon Petroleum Corp.		22,806		1,152,615
Murphy Oil Corp.		11		314


	Number of Shares		Value
Newfield Exploration Co. (a)		14,500	$	535,195
Noble Energy, Inc.		56		1,923
Occidental Petroleum Corp.		15		950
Phillips 66		11,669		924,418
Pioneer Natural Resources Co.		3,021		562,601
Range Resources Corp.		99		2,881
Southwestern Energy Co. (a)		6,000		49,020
Tesoro Corp.		16,987		1,376,966
Transocean Ltd. (a)		122,500		1,525,125
Valero Energy Corp.		33,500		2,220,715

				20,204,203

Oil & Gas Services — 0.6%
Baker Hughes, Inc.		13,131		785,496
Halliburton Co.		14,467		711,921
National Oilwell Varco, Inc.		5,594		224,264
Schlumberger Ltd.		5,131		400,731
TechnipFMC PLC (a)		53,540		1,740,050

				3,862,462

Pipelines — 0.0%
Enbridge, Inc.		62		2,594
Kinder Morgan, Inc.		38		826
The Williams Cos., Inc.		48		1,421

				4,841

				25,499,676

Financial — 14.1%
Banks — 7.3%
Bank of America Corp.		270,598		6,383,407
The Bank of New York Mellon Corp.		29,707		1,403,062
BB&T Corp.		18,566		829,900
Capital One Financial Corp.		9,142		792,246
Citigroup, Inc.		104,951		6,278,169
Citizens Financial Group, Inc.		34,500		1,191,975
Comerica, Inc.		4,421		303,192
Fifth Third Bancorp		59,421		1,509,293
The Goldman Sachs Group, Inc.		13,520		3,105,814
Huntington Bancshares, Inc.		6,800		91,052
JP Morgan Chase & Co.		114,222		10,033,261
KeyCorp		9,164		162,936
M&T Bank Corp.		1,355		209,659
Morgan Stanley		54,097		2,317,515
Northern Trust Corp.		5,059		438,008
The PNC Financial Services Group, Inc.		12,918		1,553,260
Regions Financial Corp.		140,515		2,041,683
State Street Corp.		8,176		650,891
SunTrust Banks, Inc.		12,100		669,130
US Bancorp		29,202		1,503,903
Wells Fargo & Co.		95,916		5,338,685
Zions Bancorp		27,141		1,139,922

				47,946,963


	Number of Shares		Value
Diversified Financial Services — 1.9%
Alliance Data Systems Corp.		3,460	$	861,540
American Express Co.		22,449		1,775,940
Ameriprise Financial, Inc.		1,736		225,125
BlackRock, Inc.		880		337,489
The Charles Schwab Corp.		312		12,733
Discover Financial Services		17,783		1,216,179
E*TRADE Financial Corp. (a)		54,061		1,886,188
Franklin Resources, Inc.		38,387		1,617,628
Intercontinental Exchange, Inc.		15		898
Invesco Ltd.		8,012		245,408
Mastercard, Inc. Class A		9,020		1,014,479
Nasdaq, Inc.		45		3,125
Navient Corp.		121,491		1,793,207
Synchrony Financial		20,100		689,430
T. Rowe Price Group, Inc.		8,406		572,869
Visa, Inc. Class A		2,112		187,694

				12,439,932

Insurance — 3.6%
Aflac, Inc.		26,072		1,888,134
The Allstate Corp.		12,035		980,732
American International Group, Inc.		13,046		814,462
Aon PLC		3,445		408,887
Assurant, Inc.		396		37,885
Berkshire Hathaway, Inc. Class B (a)		15,386		2,564,538
Chubb Ltd.		18,748		2,554,415
Cincinnati Financial Corp.		4,419		319,361
The Hartford Financial Services Group, Inc.		8,152		391,867
Lincoln National Corp.		30,851		2,019,198
Loews Corp.		30,283		1,416,336
Marsh & McLennan Cos., Inc.		5,813		429,523
MetLife, Inc.		42,490		2,244,322
Principal Financial Group, Inc.		22,229		1,402,872
The Progressive Corp.		18,114		709,707
Prudential Financial, Inc.		16,827		1,795,104
Torchmark Corp.		2,582		198,917
The Travelers Cos., Inc.		7,167		863,910
Unum Group		49,331		2,313,131
XL Group Ltd.		5,188		206,794

				23,560,095

Real Estate Investment Trusts (REITS) — 1.2%
American Tower Corp.		589		71,587
Apartment Investment & Management Co. Class A		685		30,380
AvalonBay Communities, Inc.		2,081		382,072
Boston Properties, Inc.		3		397
CBRE Group, Inc. Class A (a)		6,287		218,725
Equity Residential		12,756		793,678
Essex Property Trust, Inc.		1,500		347,295
Extra Space Storage, Inc.		7,000		520,730
GGP, Inc.		19,700		456,646


	Number of Shares		Value
HCP, Inc.		21,335	$	667,359
Host Hotels & Resorts, Inc.		27,837		519,438
Iron Mountain, Inc.		48		1,712
Kimco Realty Corp.		2,767		61,123
The Macerich Co.		13,200		850,080
Prologis, Inc.		15,338		795,735
Public Storage		203		44,439
Simon Property Group, Inc.		645		110,959
SL Green Realty Corp.		2,300		245,226
Ventas, Inc.		8,825		573,978
Vornado Realty Trust		1,373		137,726
Welltower, Inc.		15,800		1,118,956
Weyerhaeuser Co.		26		884

				7,949,125

Savings & Loans — 0.1%
People’s United Financial, Inc.		25,351		461,388

				92,357,503

Industrial — 7.6%
Aerospace & Defense — 2.0%
Arconic, Inc.		31,208		822,019
The Boeing Co.		23,342		4,128,266
General Dynamics Corp.		602		112,694
Harris Corp.		770		85,678
L3 Technologies, Inc.		5,290		874,384
Lockheed Martin Corp.		6,610		1,768,836
Northrop Grumman Corp.		3,968		943,749
Raytheon Co.		5,149		785,223
Rockwell Collins, Inc.		68		6,607
United Technologies Corp.		29,320		3,289,997

				12,817,453

Building Materials — 0.1%
Johnson Controls International PLC		13,765		579,782
Martin Marietta Materials, Inc.		490		106,942
Masco Corp.		25		850
Vulcan Materials Co.		65		7,831

				695,405

Electrical Components & Equipment — 0.1%
Emerson Electric Co.		15,169		908,016

Electronics — 0.9%
Agilent Technologies, Inc.		7,963		421,004
Allegion PLC		33		2,498
Amphenol Corp. Class A		64		4,555
Corning, Inc.		63,267		1,708,209
FLIR Systems, Inc.		2,852		103,470
Fortive Corp.		5,878		353,973
Garmin Ltd.		2,100		107,331
Honeywell International, Inc.		14,722		1,838,336
PerkinElmer, Inc.		2,720		157,923
TE Connectivity Ltd.		3,200		238,560
Waters Corp. (a)		5,060		790,929

				5,726,788


	Number of Shares		Value
Engineering & Construction — 0.4%
Fluor Corp.		17,109	$	900,275
Jacobs Engineering Group, Inc.		32,420		1,792,178

				2,692,453

Environmental Controls — 0.0%
Republic Services, Inc.		337		21,167
Stericycle, Inc. (a)		97		8,041
Waste Management, Inc.		3,073		224,083

				253,291

Hand & Machine Tools — 0.1%
Snap-on, Inc.		1,671		281,848
Stanley Black & Decker, Inc.		4,499		597,782

				879,630

Machinery – Construction & Mining — 0.2%
Caterpillar, Inc.		17,475		1,620,981

Machinery – Diversified — 0.9%
Cummins, Inc.		12,485		1,887,732
Deere & Co.		16,800		1,828,848
Flowserve Corp.		2,170		105,071
Rockwell Automation, Inc.		9,233		1,437,671
Roper Technologies, Inc.		663		136,903
Xylem, Inc.		3,355		168,488

				5,564,713

Miscellaneous – Manufacturing — 1.8%
3M Co.		1,042		199,366
Dover Corp.		3,873		311,196
Eaton Corp. PLC		12,566		931,769
General Electric Co.		165,686		4,937,443
Illinois Tool Works, Inc.		5,425		718,650
Ingersoll-Rand PLC		26,300		2,138,716
Parker-Hannifin Corp.		12,948		2,075,823
Pentair PLC		23		1,444
Textron, Inc.		6,372		303,243

				11,617,650

Packaging & Containers — 0.2%
Ball Corp.		2		148
Sealed Air Corp.		53		2,310
WestRock Co.		19,567		1,018,071

				1,020,529

Transportation — 0.9%
C.H. Robinson Worldwide, Inc.		7,720		596,679
CSX Corp.		38,007		1,769,226
Expeditors International of Washington, Inc.		126		7,118
FedEx Corp.		4,220		823,533
Norfolk Southern Corp.		7,813		874,821
Ryder System, Inc.		9,138		689,371
Union Pacific Corp.		7,032		744,829


	Number of Shares		Value
United Parcel Service, Inc. Class B		4,880	$	523,624

				6,029,201

				49,826,110

Technology — 11.6%
Computers — 5.2%
Accenture PLC Class A		11,530		1,382,217
Apple, Inc.		109,467		15,726,029
Cognizant Technology Solutions Corp. Class A (a)		9,256		550,917
Conduent, Inc. (a)		38,069		638,798
CSRA, Inc.		1,926		56,413
Hewlett Packard Enterprise Co.		67,274		1,594,394
HP, Inc.		138,574		2,477,703
International Business Machines Corp.		24,380		4,245,533
NetApp, Inc.		52,398		2,192,856
Seagate Technology PLC		49,200		2,259,756
Teradata Corp. (a)		53,286		1,658,260
Western Digital Corp.		18,647		1,538,937

				34,321,813

Office & Business Equipment — 0.3%
Pitney Bowes, Inc.		57,689		756,303
Xerox Corp.		190,345		1,397,132

				2,153,435

Semiconductors — 2.4%
Analog Devices, Inc.		472		38,680
Applied Materials, Inc.		34,239		1,331,897
Broadcom Ltd.		1,959		428,943
Intel Corp.		114,523		4,130,845
KLA-Tencor Corp.		7,689		730,993
Lam Research Corp.		10,423		1,337,896
Microchip Technology, Inc.		21		1,549
Micron Technology, Inc. (a)		65,717		1,899,221
NVIDIA Corp.		8,126		885,165
QUALCOMM, Inc.		41,100		2,356,674
Skyworks Solutions, Inc.		90		8,818
Texas Instruments, Inc.		23,574		1,899,122
Xilinx, Inc.		6,356		367,949

				15,417,752

Software — 3.7%
Activision Blizzard, Inc.		15,400		767,844
Adobe Systems, Inc. (a)		2,790		363,063
Akamai Technologies, Inc. (a)		19,026		1,135,852
Autodesk, Inc. (a)		37		3,199
CA, Inc.		45,773		1,451,919
Citrix Systems, Inc. (a)		7,677		640,185
The Dun & Bradstreet Corp.		2,226		240,274
Electronic Arts, Inc. (a)		9,037		808,992
Fidelity National Information Services, Inc.		1,200		95,544
Fiserv, Inc. (a)		1,676		193,260
Intuit, Inc.		6,430		745,816


	Number of Shares		Value
Microsoft Corp.		198,195	$	13,053,123
Oracle Corp.		70,657		3,152,009
Paychex, Inc.		5,164		304,160
Red Hat, Inc. (a)		3,721		321,866
salesforce.com, Inc. (a)		11,244		927,518

				24,204,624

				76,097,624

Utilities — 2.5%
Electric — 2.4%
The AES Corp.		123,087		1,376,113
Ameren Corp.		660		36,029
American Electric Power Co., Inc.		8,385		562,885
CMS Energy Corp.		7,903		353,580
Consolidated Edison, Inc.		2,182		169,454
Dominion Resources, Inc.		1,716		133,110
DTE Energy Co.		8,860		904,695
Duke Energy Corp.		15,190		1,245,732
Edison International		8,226		654,872
Entergy Corp.		23,998		1,822,888
Eversource Energy		812		47,729
Exelon Corp.		47,340		1,703,293
FirstEnergy Corp.		2,880		91,642
NextEra Energy, Inc.		8,540		1,096,280
NRG Energy, Inc.		125,800		2,352,460
PG&E Corp.		1,316		87,330
Pinnacle West Capital Corp.		1,396		116,399
PPL Corp.		11,618		434,397
Public Service Enterprise Group, Inc.		17,624		781,624
SCANA Corp.		3,647		238,331
The Southern Co.		20,122		1,001,673
WEC Energy Group, Inc.		4,542		275,382
Xcel Energy, Inc.		5,472		243,230

				15,729,128

Gas — 0.1%
CenterPoint Energy, Inc.		6,431		177,303
NiSource, Inc.		713		16,962
Sempra Energy		4,261		470,841

				665,106

				16,394,234


TOTAL COMMON STOCK (Cost $332,181,983)				473,127,397


PREFERRED STOCK — 0.1%
Financial — 0.1%
Insurance — 0.1%
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN		20,000		531,600


TOTAL PREFERRED STOCK (Cost $500,000)				531,600


TOTAL EQUITIES (Cost $332,681,983)				473,658,997


	Principal Amount		Value
BONDS & NOTES — 27.2%

CORPORATE DEBT — 10.5%
Advertising — 0.0%
WPP Finance 2010 5.625% 11/15/43	$	204,000	$	216,652

Aerospace & Defense — 0.0%
United Technologies Corp. 6.125% 7/15/38		80,000		101,550

Agriculture — 0.1%
Altria Group, Inc. 4.250% 8/09/42		105,000		102,366
Bunge Ltd. Finance Corp. 3.250% 8/15/26		165,000		159,473
Bunge Ltd. Finance Corp. 3.500% 11/24/20		160,000		164,171
Philip Morris International, Inc. 6.375% 5/16/38		35,000		44,463
Reynolds American, Inc. 5.850% 8/15/45		120,000		140,929

				611,402

Airlines — 0.3%
American Airlines Group, Inc. (b) 5.500% 10/01/19		454,000		472,160
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		36,961		37,146
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700% 4/01/28		92,966		93,431
Delta Air Lines, Inc. 2.875% 3/13/20		230,000		231,862
Delta Air Lines, Inc. 3.625% 3/15/22		290,000		296,034
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A 4.100% 10/01/29		328,458		335,027
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000% 10/11/27		118,978		123,291
WestJet Airlines Ltd. (b) 3.500% 6/16/21		117,000		116,222

				1,705,173

Auto Manufacturers — 0.1%
Ford Motor Co. 5.291% 12/08/46		80,000		79,816
General Motors Financial Co., Inc. 3.100% 1/15/19		289,000		293,662
General Motors Financial Co., Inc. 3.200% 7/13/20		330,000		335,683
Hyundai Capital America (b) 2.550% 2/06/19		170,000		170,898


	Principal Amount		Value
Hyundai Capital America (b) 2.875% 8/09/18	$	135,000	$	136,427

				1,016,486

Auto Parts & Equipment — 0.0%
Lear Corp. 4.750% 1/15/23		198,000		205,100
Lear Corp. 5.375% 3/15/24		85,000		89,693

				294,793

Banks — 1.4%
Associated Banc-Corp. 2.750% 11/15/19		460,000		464,591
Associated Banc-Corp. 4.250% 1/15/25		494,000		501,299
Bancolombia SA 5.950% 6/03/21		205,000		224,731
Bank of America Corp. 4.183% 11/25/27		465,000		466,690
Bank of America Corp. 4.750% 4/21/45		220,000		221,066
Bank of America Corp. 7.750% 5/14/38		95,000		130,699
The Bank of Nova Scotia 4.500% 12/16/25		200,000		208,947
Barclays PLC 4.337% 1/10/28		260,000		259,487
BNP Paribas SA (b) 3.800% 1/10/24		215,000		213,952
Citigroup, Inc. 3.875% 3/26/25		562,000		558,325
Citigroup, Inc. 8.125% 7/15/39		90,000		132,090
First Horizon National Corp. 3.500% 12/15/20		625,000		642,196
First Republic Bank 4.375% 8/01/46		685,000		659,078
Fulton Financial Corp. 3.600% 3/16/22		230,000		232,151
The Goldman Sachs Group, Inc. 3.500% 11/16/26		245,000		239,516
The Goldman Sachs Group, Inc. 5.375% 3/15/20		225,000		243,917
The Goldman Sachs Group, Inc. 5.950% 1/15/27		400,000		456,460
The Goldman Sachs Group, Inc. 6.250% 2/01/41		60,000		75,350
The Goldman Sachs Group, Inc. 6.750% 10/01/37		75,000		92,545
HSBC Holdings PLC 3 mo. USD LIBOR + 1.055%, VRN 3.262% 3/13/23		255,000		256,420


	Principal Amount		Value
ICICI Bank Ltd. (b) 4.700% 2/21/18	$	395,000	$	403,833
JP Morgan Chase & Co. 3.375% 5/01/23		140,000		140,229
JP Morgan Chase & Co. 3.625% 12/01/27		380,000		368,665
JP Morgan Chase & Co. 3.875% 9/10/24		220,000		222,988
JP Morgan Chase & Co. 4.500% 1/24/22		200,000		215,539
JP Morgan Chase & Co. 4.950% 3/25/20		50,000		53,991
JP Morgan Chase & Co. 5.600% 7/15/41		195,000		232,566
Morgan Stanley 4.875% 11/01/22		345,000		373,030
Regions Bank 7.500% 5/15/18		130,000		137,643
SVB Financial Group 3.500% 1/29/25		460,000		449,596
SVB Financial Group 5.375% 9/15/20		75,000		81,170
Turkiye Garanti Bankasi AS (b) 4.750% 10/17/19		210,000		213,258
Valley National Bancorp 5.125% 9/27/23		245,000		256,730

				9,428,748

Beverages — 0.1%
Anheuser-Busch Cos, Inc. 6.500% 2/01/43		25,000		33,469
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		675,000		729,489
Molson Coors Brewing Co. 4.200% 7/15/46		175,000		163,872

				926,830

Biotechnology — 0.1%
Amgen, Inc. 5.150% 11/15/41		115,000		123,103
Baxalta, Inc. 3.600% 6/23/22		105,000		107,334
Baxalta, Inc. 4.000% 6/23/25		290,000		295,481
Baxalta, Inc. 5.250% 6/23/45		140,000		152,906

				678,824

Building Materials — 0.2%
James Hardie International Finance Ltd. (b) 5.875% 2/15/23		375,000		387,188
Martin Marietta Material, Inc. 3 mo. USD LIBOR + 1.100%, FRN 2.252% 6/30/17		220,000		220,360


	Principal Amount		Value
Owens Corning 9.000% 6/15/19	$	55,000	$	62,155
Standard Industries, Inc. (b) 5.000% 2/15/27		471,000		461,580

				1,131,283

Chemicals — 0.3%
Celanese US Holdings LLC 4.625% 11/15/22		175,000		185,450
CF Industries, Inc. 6.875% 5/01/18		450,000		469,125
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP (b) 3.400% 12/01/26		270,000		270,271
The Dow Chemical Co. 8.550% 5/15/19		65,000		73,685
Incitec Pivot Finance LLC (b) 6.000% 12/10/19		110,000		118,294
Monsanto Co. 4.400% 7/15/44		100,000		97,193
RPM International, Inc. 3.750% 3/15/27		110,000		109,945
RPM International, Inc. 6.125% 10/15/19		100,000		109,094
RPM International, Inc. 6.500% 2/15/18		205,000		213,326
The Valspar Corp. 7.250% 6/15/19		125,000		137,750

				1,784,133

Commercial Services — 0.1%
The ADT Corp. 6.250% 10/15/21		440,000		478,236
ERAC USA Finance LLC (b) 6.700% 6/01/34		78,000		94,668

				572,904

Computers — 0.3%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b) 3.480% 6/01/19		450,000		461,120
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b) 4.420% 6/15/21		380,000		397,383
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b) 6.020% 6/15/26		76,000		82,854
Everett Spinco, Inc. (b) 2.875% 3/27/20		90,000		90,754
Everett Spinco, Inc. (b) 4.250% 4/15/24		140,000		142,356
Everett Spinco, Inc. (b) 4.750% 4/15/27		275,000		280,469


	Principal Amount		Value
Leidos Holdings, Inc. 4.450% 12/01/20	$	835,000	$	868,400

				2,323,336

Diversified Financial Services — 1.1%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		765,000		801,915
Affiliated Managers Group, Inc. 3.500% 8/01/25		290,000		284,930
Air Lease Corp. 3.000% 9/15/23		465,000		454,403
Air Lease Corp. 3.375% 1/15/19		375,000		383,694
Air Lease Corp. 3.375% 6/01/21		355,000		361,886
Air Lease Corp. STEP 5.625% 4/01/17		80,000		80,000
Ally Financial, Inc. 3.250% 11/05/18		485,000		488,337
Ally Financial, Inc. 3.600% 5/21/18		129,000		130,612
Ally Financial, Inc. 4.750% 9/10/18		260,000		267,150
Ares Finance Co. LLC (b) 4.000% 10/08/24		355,000		332,452
Brookfield Finance LLC 4.000% 4/01/24		455,000		457,695
CIT Group, Inc. 3.875% 2/19/19		287,000		293,816
CIT Group, Inc. (b) 5.500% 2/15/19		160,000		168,200
Discover Financial Services 4.100% 2/09/27		265,000		265,089
Genpact Luxembourg Sarl (b) 3.700% 4/01/22		360,000		362,087
International Lease Finance Corp. 3.875% 4/15/18		270,000		275,272
International Lease Finance Corp. 6.250% 5/15/19		15,000		16,162
Lazard Group LLC 3.625% 3/01/27		355,000		346,172
Lazard Group LLC 4.250% 11/14/20		600,000		631,052
Legg Mason, Inc. 5.625% 1/15/44		165,000		168,380
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (b) 4.500% 3/15/27		170,000		172,729
UBS Group Funding Switzerland AG (b) 3.491% 5/23/23		260,000		261,678

				7,003,711


	Principal Amount		Value
Electric — 0.6%
Duke Energy Corp. 3.750% 9/01/46	$	195,000	$	175,065
Entergy Arkansas, Inc. 3.500% 4/01/26		70,000		71,665
Entergy Louisiana LLC 4.950% 1/15/45		165,000		169,214
Florida Power & Light Co. 4.950% 6/01/35		125,000		142,485
IPALCO Enterprises, Inc. 3.450% 7/15/20		615,000		621,919
Israel Electric Corp. Ltd. (b) 7.250% 1/15/19		200,000		216,492
Majapahit Holding BV (b) 7.750% 1/20/20		195,000		219,999
Metropolitan Edison Co. (b) 4.000% 4/15/25		215,000		216,800
Nevada Power Co., Series N 6.650% 4/01/36		135,000		178,131
Oncor Electric Delivery Co. 7.500% 9/01/38		40,000		57,819
Pacific Gas & Electric Co. 5.800% 3/01/37		120,000		148,165
Pennsylvania Electric Co. (b) 4.150% 4/15/25		295,000		296,571
Progress Energy, Inc. 7.000% 10/30/31		25,000		32,925
Puget Energy, Inc. 3.650% 5/15/25		350,000		346,934
Puget Energy, Inc. 6.500% 12/15/20		271,000		303,506
Transelec SA (b) 4.625% 7/26/23		175,000		183,437
Tri-State Pass-Through Trust, Series 2003, Class A (b) 6.040% 1/31/18		16,620		16,886
Virginia Electric and Power Co. 6.350% 11/30/37		150,000		192,825
Wisconsin Public Service Corp. 5.650% 11/01/17		225,000		229,811

				3,820,649

Electronics — 0.2%
Arrow Electronics, Inc. 3.500% 4/01/22		255,000		257,025
Arrow Electronics, Inc. 4.500% 3/01/23		80,000		83,153
Avnet, Inc. 3.750% 12/01/21		30,000		30,340
Avnet, Inc. 4.875% 12/01/22		123,000		129,200
FLIR Systems, Inc. 3.125% 6/15/21		195,000		196,080


	Principal Amount		Value
Ingram Micro, Inc. STEP 5.450% 12/15/24	$	203,000	$	199,746
Tech Data Corp. 3.700% 2/15/22		130,000		130,451

				1,025,995

Engineering & Construction — 0.1%
SBA Tower Trust (b) 2.877% 7/15/21		200,000		198,822
SBA Tower Trust (b) 3.156% 10/15/45		210,000		211,071

				409,893

Environmental Controls — 0.1%
Clean Harbors, Inc. 5.250% 8/01/20		395,000		402,023

Foods — 0.1%
Kraft Foods, Inc. 6.500% 2/09/40		63,000		77,879
Kraft Heinz Foods Co. 3.000% 6/01/26		515,000		483,968
Tyson Foods, Inc. 4.875% 8/15/34		105,000		107,393

				669,240

Forest Products & Paper — 0.1%
Sappi Papier Holding GmbH (b) 7.750% 7/15/17		635,000		636,334

Gas — 0.1%
NiSource Finance Corp. 5.800% 2/01/42		175,000		203,620
Spire, Inc. 4.700% 8/15/44		290,000		290,142

				493,762

Hand & Machine Tools — 0.0%
Kennametal, Inc. 2.650% 11/01/19		150,000		150,008

Health Care – Products — 0.1%
Abbott Laboratories 2.900% 11/30/21		205,000		205,897
Abbott Laboratories 3.750% 11/30/26		125,000		124,843
Abbott Laboratories 4.900% 11/30/46		115,000		119,125
Becton Dickinson & Co. 4.685% 12/15/44		125,000		130,481

				580,346

Health Care – Services — 0.1%
Humana, Inc. 3.950% 3/15/27		250,000		255,621
Humana, Inc. 4.800% 3/15/47		125,000		130,674


	Principal Amount		Value
Kaiser Foundation Hospitals 3.500% 4/01/22	$	75,000	$	77,542
UnitedHealth Group, Inc. 3.950% 10/15/42		55,000		53,475
UnitedHealth Group, Inc. 6.875% 2/15/38		110,000		149,515

				666,827

Home Builders — 0.1%
Lennar Corp. 4.500% 11/15/19		516,000		530,835

Housewares — 0.1%
Newell Brands, Inc. 3.850% 4/01/23		335,000		346,247

Insurance — 0.9%
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN 5.750% 8/15/53		345,000		370,219
Arch Capital Finance LLC 4.011% 12/15/26		155,000		158,935
Arch Capital Group US, Inc. 5.144% 11/01/43		170,000		181,933
AXIS Specialty Finance PLC 2.650% 4/01/19		95,000		95,788
Brown & Brown, Inc. 4.200% 9/15/24		272,000		278,868
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN 6.375% 4/15/37		50,000		48,375
CNA Financial Corp. 7.350% 11/15/19		180,000		203,023
CNO Financial Group, Inc. 5.250% 5/30/25		465,000		476,918
Enstar Group Ltd. 4.500% 3/10/22		140,000		141,762
Five Corners Funding Trust (b) 4.419% 11/15/23		215,000		228,570
MetLife Capital Trust IV (b) 7.875% 12/15/37		345,000		424,350
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.040%, VRN 5.200% 3/15/44		134,000		137,584
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920%, VRN 5.625% 6/15/43		245,000		262,517
QBE Insurance Group Ltd. (b) 2.400% 5/01/18		115,000		115,218
Reinsurance Group of America, Inc. 3.950% 9/15/26		360,000		363,057
Reinsurance Group of America, Inc. 4.700% 9/15/23		225,000		242,215
Reinsurance Group of America, Inc. 6.450% 11/15/19		220,000		242,794


	Principal Amount		Value
Trinity Acquisition PLC 3.500% 9/15/21	$	270,000	$	274,493
Trinity Acquisition PLC 4.400% 3/15/26		70,000		71,751
Unum Group 3.000% 5/15/21		150,000		150,170
USF&G Capital I (b) 8.500% 12/15/45		150,000		193,321
Willis North America, Inc. 7.000% 9/29/19		97,000		107,481
Willis Towers Watson PLC 5.750% 3/15/21		230,000		252,722
XLIT Ltd. 4.450% 3/31/25		170,000		172,034
XLIT Ltd. 5.750% 10/01/21		115,000		127,725
XLIT Ltd. 6.375% 11/15/24		325,000		379,241

				5,701,064

Internet — 0.1%
Expedia, Inc. 7.456% 8/15/18		425,000		455,106

Investment Companies — 0.1%
Ares Capital Corp. 3.875% 1/15/20		505,000		515,088
FS Investment Corp. 4.000% 7/15/19		390,000		393,404

				908,492

Iron & Steel — 0.1%
ArcelorMittal 5.125% 6/01/20		320,000		332,800
ArcelorMittal STEP 6.000% 8/05/20		285,000		307,087
Reliance Steel & Aluminum Co. 4.500% 4/15/23		145,000		151,318
Vale Overseas Ltd. 6.875% 11/21/36		95,000		102,135

				893,340

Lodging — 0.0%
Marriott International, Inc. 6.750% 5/15/18		40,000		42,134

Machinery – Diversified — 0.1%
CNH Industrial Capital LLC 3.375% 7/15/19		230,000		232,013
CNH Industrial Capital LLC 3.625% 4/15/18		116,000		117,305
CNH Industrial Capital LLC 3.875% 10/15/21		500,000		500,255

				849,573

Media — 0.2%
21st Century Fox America, Co. 6.900% 8/15/39		100,000		127,661


	Principal Amount		Value
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20	$	270,000	$	277,732
Charter Communications Operating LLC/Charter Communications Operating Capital 6.484% 10/23/45		225,000		259,051
Comcast Corp. 3.400% 7/15/46		220,000		188,239
Time Warner Cable, Inc. 6.750% 6/15/39		110,000		127,061
Time Warner Cable, Inc. 8.250% 4/01/19		45,000		50,169
Time Warner Cable, Inc. 8.750% 2/14/19		65,000		72,658
Time Warner, Inc. 4.700% 1/15/21		125,000		134,007
Time Warner, Inc. 6.250% 3/29/41		25,000		28,709

				1,265,287

Mining — 0.0%
Glencore Canada Corp. 5.500% 6/15/17		175,000		176,279
Glencore Funding LLC (b) 4.625% 4/29/24		55,000		57,120

				233,399

Miscellaneous – Manufacturing — 0.1%
General Electric Co. 4.125% 10/09/42		270,000		275,022
Textron, Inc. 3.650% 3/15/27		105,000		104,276

				379,298

Office & Business Equipment — 0.1%
Pitney Bowes, Inc. 5.750% 9/15/17		31,000		31,580
Pitney Bowes, Inc. 4.750% 5/15/18		20,000		20,555
Pitney Bowes, Inc. 3.375% 10/01/21		485,000		476,630

				528,765

Office Furnishings — 0.0%
Steelcase, Inc. 6.375% 2/15/21		100,000		111,401

Oil & Gas — 0.4%
Anadarko Petroleum Corp. 5.550% 3/15/26		165,000		183,114
ConocoPhillips Co. 2.400% 12/15/22		140,000		136,747
Encana Corp. 3.900% 11/15/21		205,000		209,434


	Principal Amount		Value
Encana Corp. 6.500% 5/15/19	$	125,000	$	135,013
Encana Corp. 6.500% 2/01/38		80,000		89,331
Helmerich & Payne International Drilling Co. 4.650% 3/15/25		190,000		197,528
Marathon Petroleum Corp. 6.500% 3/01/41		170,000		188,154
Nabors Industries, Inc. (b) 5.500% 1/15/23		215,000		219,434
PBF Holding Co. LLC/PBF Finance Corp. STEP 7.000% 11/15/23		175,000		175,437
Petroleos Mexicanos 6.625% 6/15/38		37,000		37,647
Petroleos Mexicanos 3.125% 1/23/19		50,000		50,200
Petroleos Mexicanos 5.500% 1/21/21		285,000		301,672
Petroleos Mexicanos 6.375% 1/23/45		80,000		78,018
Petroleos Mexicanos (b) 6.500% 3/13/27		60,000		64,545
Phillips 66 5.875% 5/01/42		60,000		68,670
Pioneer Natural Resources Co. 4.450% 1/15/26		320,000		336,804
QEP Resources, Inc. 6.875% 3/01/21		100,000		106,250
Tesoro Corp. (b) 5.125% 12/15/26		285,000		298,965

				2,876,963

Oil & Gas Services — 0.1%
National Oilwell Varco, Inc. 2.600% 12/01/22		199,000		190,459
National Oilwell Varco, Inc. 3.950% 12/01/42		171,000		137,635
Weatherford International Ltd. 6.000% 3/15/18		75,000		76,125

				404,219

Packaging & Containers — 0.2%
Amcor Finance USA, Inc. (b) 3.625% 4/28/26		490,000		485,354
Brambles USA, Inc. (b) 4.125% 10/23/25		134,000		137,310
Brambles USA, Inc. (b) 5.350% 4/01/20		90,000		96,654
Crown Americas LLC/Crown Americas Capital Corp. IV 4.500% 1/15/23		460,000		470,350


	Principal Amount		Value
Graphic Packaging International, Inc. 4.750% 4/15/21	$	100,000	$	104,250
Graphic Packaging International, Inc. 4.875% 11/15/22		60,000		62,850

				1,356,768

Pharmaceuticals — 0.3%
AbbVie, Inc. 4.700% 5/14/45		285,000		284,245
Actavis Funding SCS 3.000% 3/12/20		300,000		305,120
Actavis Funding SCS 4.750% 3/15/45		190,000		190,813
Express Scripts Holding Co. 4.500% 2/25/26		180,000		184,636
Johnson & Johnson 5.850% 7/15/38		40,000		52,253
McKesson Corp. 2.284% 3/15/19		95,000		95,684
McKesson Corp. 4.883% 3/15/44		60,000		61,939
McKesson Corp. 6.000% 3/01/41		125,000		145,190
Merck Sharp & Dohme Corp. 5.850% 6/30/39		45,000		56,427
Mylan NV 3.150% 6/15/21		275,000		276,011
Mylan NV 3.950% 6/15/26		155,000		151,718
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		95,000		92,181
Teva Pharmaceutical Finance Netherlands III BV 4.100% 10/01/46		75,000		64,605

				1,960,822

Pipelines — 0.5%
Energy Transfer Partners LP 4.200% 4/15/27		165,000		163,018
EnLink Midstream Partners LP 4.850% 7/15/26		75,000		77,391
Enterprise Products Operating LLC 5.700% 2/15/42		5,000		5,585
Enterprise Products Operating LLC 5.950% 2/01/41		150,000		171,475
Enterprise Products Operating LLC 6.125% 10/15/39		4,000		4,647
Kinder Morgan Energy Partners LP 6.375% 3/01/41		65,000		70,624
Kinder Morgan Energy Partners LP 6.500% 2/01/37		120,000		130,438
Kinder Morgan Energy Partners LP 6.550% 9/15/40		90,000		99,109


	Principal Amount		Value
Kinder Morgan Energy Partners LP 6.950% 1/15/38	$	10,000	$	11,603
Kinder Morgan Finance Co. LLC (b) 6.000% 1/15/18		150,000		154,686
Kinder Morgan, Inc. 4.300% 6/01/25		165,000		168,565
Magellan Midstream Partners LP 5.150% 10/15/43		170,000		178,329
MPLX LP 4.125% 3/01/27		105,000		104,545
MPLX LP 4.875% 12/01/24		502,000		528,072
MPLX LP 4.875% 6/01/25		372,000		389,663
MPLX LP 5.200% 3/01/47		35,000		35,219
MPLX LP 5.500% 2/15/23		136,000		140,216
Plains All American Pipeline LP/PAA Finance Corp. 4.500% 12/15/26		210,000		214,148
Sabine Pass Liquefaction LLC (b) 4.200% 3/15/28		240,000		237,075
Southern Natural Gas Co. LLC STEP (b) 5.900% 4/01/17		250,000		250,000
Western Gas Partners LP 4.000% 7/01/22		181,000		185,875

				3,320,283

Real Estate Investment Trusts (REITS) — 0.3%
American Tower Corp. 3.450% 9/15/21		425,000		432,666
American Tower Corp. 4.400% 2/15/26		140,000		144,826
Brandywine Operating Partners LP 4.950% 4/15/18		200,000		205,466
Crown Castle International Corp. 4.000% 3/01/27		120,000		120,752
DDR Corp. 4.750% 4/15/18		60,000		61,360
Duke Realty LP 3.250% 6/30/26		120,000		116,323
Federal Realty Investment Trust 5.900% 4/01/20		55,000		60,337
Healthcare Trust of America Holdings LP 3.500% 8/01/26		200,000		192,335
Highwoods Realty LP 7.500% 4/15/18		265,000		279,848
Host Hotels & Resorts LP 3.750% 10/15/23		40,000		40,311
Host Hotels & Resorts LP 3.875% 4/01/24		245,000		246,860
Tanger Properties LP 3.125% 9/01/26		323,000		300,448


	Principal Amount		Value
Weingarten Realty Investors 3.250% 8/15/26	$	85,000	$	81,009

				2,282,541

Retail — 0.4%
AutoNation, Inc. 4.500% 10/01/25		120,000		123,996
Bed Bath & Beyond, Inc. 5.165% 8/01/44		101,000		90,290
CVS Health Corp. 6.125% 9/15/39		175,000		214,013
CVS Pass-Through Trust (b) 5.926% 1/10/34		281,500		321,526
Dollar Tree, Inc. 5.750% 3/01/23		470,000		500,550
El Puerto de Liverpool SAB de CV (b) 3.950% 10/02/24		445,000		434,987
The Home Depot, Inc. 5.950% 4/01/41		150,000		191,911
QVC, Inc. 3.125% 4/01/19		155,000		157,396
QVC, Inc. 4.375% 3/15/23		150,000		150,432
QVC, Inc. 4.450% 2/15/25		245,000		237,930
QVC, Inc. 5.125% 7/02/22		30,000		31,492
Tiffany & Co. 4.900% 10/01/44		165,000		154,904
Walgreens Boots Alliance, Inc. 2.700% 11/18/19		110,000		111,470

				2,720,897

Semiconductors — 0.1%
Broadcom Corp./Broadcom Cayman Finance Ltd. (b) 3.875% 1/15/27		240,000		241,265
Lam Research Corp. 2.750% 3/15/20		215,000		217,498

				458,763

Software — 0.1%
Broadridge Financial Solutions, Inc. 3.400% 6/27/26		165,000		160,843
Broadridge Financial Solutions, Inc. 3.950% 9/01/20		110,000		115,175
CA, Inc. 3.600% 8/15/22		125,000		126,838
Microsoft Corp. 4.450% 11/03/45		330,000		348,282
Oracle Corp. 4.000% 7/15/46		270,000		257,585

				1,008,723


	Principal Amount		Value
Telecommunications — 0.3%
AT&T, Inc. 3.800% 3/01/24	$	255,000	$	258,919
AT&T, Inc. 4.750% 5/15/46		260,000		242,603
AT&T, Inc. 5.250% 3/01/37		320,000		326,225
AT&T, Inc. 6.550% 2/15/39		25,000		29,493
CenturyLink, Inc. 6.150% 9/15/19		140,000		149,100
Cisco Systems, Inc. 5.500% 1/15/40		55,000		67,108
Crown Castle Towers LLC (b) 6.113% 1/15/40		170,000		184,070
Hughes Satellite Systems Corp. 6.500% 6/15/19		175,000		189,420
Verizon Communications, Inc. 4.862% 8/21/46		207,000		199,010
Verizon Communications, Inc. 5.012% 8/21/54		181,000		171,711
Verizon Communications, Inc. 6.550% 9/15/43		182,000		223,319

				2,040,978

Transportation — 0.1%
Asciano Finance Ltd. (b) 4.625% 9/23/20		105,000		109,154
Asciano Finance Ltd. (b) 5.000% 4/07/18		250,000		255,961
Autoridad del Canal de Panama (b) 4.950% 7/29/35		210,000		229,425

				594,540

Trucking & Leasing — 0.2%
Aviation Capital Group Corp. (b) 2.875% 9/17/18		905,000		914,074
GATX Corp. 4.750% 6/15/22		150,000		162,024

				1,076,098


TOTAL CORPORATE DEBT (Cost $67,754,958)				68,997,438


MUNICIPAL OBLIGATIONS — 0.2%
JobsOhio Beverage System Series B 4.532% 1/01/35		325,000		350,009
Orange County Local Transportation Authority BAB 6.908% 2/15/41		230,000		312,110
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN 2.290% 12/01/31		299,968		288,162


	Principal Amount		Value
State of California BAB 7.550% 4/01/39	$	120,000	$	175,991
State of California BAB 7.600% 11/01/40		105,000		156,513

				1,282,785


TOTAL MUNICIPAL OBLIGATIONS (Cost $1,241,254)				1,282,785


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.3%
Auto Floor Plan ABS — 0.0%
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (b) 2.478% 10/20/20		230,000		230,000

Automobile ABS — 0.4%
CPS Auto Trust, Series 2016-C, Class A (b) 1.620% 1/15/20		108,366		108,200
Drive Auto Receivables Trust, Series 2016-BA, Class B (b) 2.560% 6/15/20		160,000		160,862
First Investors Auto Owner Trust, Series 2016-2A, Class B (b) 2.210% 7/15/22		450,000		445,100
GLS Auto Receivables Trust, Series 2015-1A, Class A (b) 2.250% 12/15/20		53,479		53,392
Oscar US Funding Trust II, Series 2015-1A, Class A4 (b) 2.440% 6/15/22		350,000		344,910
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (b) 2.612% 7/15/20		186,094		186,176
Oscar US Funding Trust V, Series 2016-2A, Class A4 (b) 2.990% 12/15/23		630,000		618,716
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (b) 3.300% 5/10/24		150,000		149,864
Santander Drive Auto Receivables Trust, Series 2015-4, Class C 2.970% 3/15/21		250,000		253,583

				2,320,803

Commercial MBS — 0.7%
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4, VRN 5.894% 2/10/51		85,957		86,946
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM, VRN 5.961% 2/10/51		220,000		224,370


	Principal Amount		Value
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN 6.231% 2/10/51	$	240,482	$	244,368
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN 6.274% 2/10/51		215,000		219,662
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, VRN 5.694% 6/11/50		183,756		185,525
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 5.700% 6/11/50		233,161		236,273
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (b) 3.703% 10/15/45		195,000		197,199
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5 3.961% 3/10/47		319,000		335,141
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN 4.255% 5/10/48		140,000		126,940
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class A4, VRN 5.808% 12/10/49		127,479		128,372
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (b) 4.238% 1/10/34		165,000		172,857
DBRR Trust, Series 2013-EZ3, Class A, VRN (b) 1.636% 12/18/49		11,782		11,773
DBUBS Mortgage Trust, Series 2011-LC1A, Class B, VRN (b) 5.471% 11/10/46		110,000		120,413
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.728% 7/10/38		188,691		188,779
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (b) 4.948% 1/10/45		100,000		109,140
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN 5.466% 6/12/47		123,991		124,252
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN 5.856% 9/12/49		260,000		265,177
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (b) 5.200% 6/15/44		250,000		266,962


	Principal Amount		Value
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN 5.474% 8/15/39	$	29,653	$	29,632
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN 2.997% 10/25/46		314,700		311,410
VNO Mortgage Trust, Series 2013-PENN, Class A (b) 3.808% 12/13/29		240,000		251,574
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AM, VRN 5.591% 4/15/47		173,667		175,212
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, VRN 6.053% 2/15/51		37,032		37,169
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN 6.053% 2/15/51		235,000		236,015
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) 3.349% 11/15/43		28,089		28,713
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B 4.311% 8/15/45		190,000		197,865

				4,511,739

Home Equity ABS — 0.0%
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN 1.702% 3/25/35		174,672		174,662
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .740%, FRN 1.352% 1/25/36		81,439		81,293
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + ..430%, FRN 1.412% 11/25/35		39,432		39,486

				295,441

Other ABS — 4.3%
321 Henderson Receivables I LLC, Series 2015-1A, Class A (b) 3.260% 9/15/72		54,403		50,582
321 Henderson Receivables LLC, Series 2005-1A, Class A1, 1 mo. USD LIBOR + .230%, FRN (b) 1.142% 11/15/40		92,904		88,216
Aames Mortgage Investment Trust, Series 2005-1, Class M4, 1 mo. USD LIBOR + 1.125%, FRN 2.107% 6/25/35		84,207		83,975


	Principal Amount		Value
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN 2.707% 1/25/35	$	159,304	$	158,837
AIMCO CLO Ltd., Series 2014-AA, Class A, 3 mo. USD LIBOR + 1.540%, FRN (b) 2.570% 7/20/26		360,000		360,127
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (b) 2.503% 10/15/28		410,000		413,046
ALM XIV Ltd., Series 2014-14A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (b) 2.469% 7/28/26		660,000		660,597
Alterna Funding I LLC, Series 2014-1A, Class NOTE (b) 1.639% 2/15/21		70,868		69,451
Alterna Funding II LLC, Series 2015-1A, Class A (b) 2.500% 2/15/24		152,554		152,173
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (b) 2.203% 10/20/28		250,000		250,680
Applebee’s Funding LLC/IHOP Funding LLC, Series 2014-1, Class A2 (b) 4.277% 9/05/44		72,000		70,527
Arbys Funding LLC, Series 2015-1A, Class A2 (b) 4.969% 10/30/45		316,000		317,581
ARL Second LLC, Series 2014-1A, Class A1 (b) 2.920% 6/15/44		148,989		144,285
Avery Point III CLO Ltd., Series 2013-3A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (b) 2.424% 1/18/25		250,000		250,013
Avery Point V CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.460%, FRN (b) 2.483% 7/17/26		350,000		350,012
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.484% 8/05/27		570,000		571,888
BCC Funding VIII LLC, Series 2014-1A, Class A (b) 1.794% 6/20/20		13,204		13,188
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (b) 2.203% 7/15/26		345,000		345,007


	Principal Amount		Value
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (b) 2.487% 12/16/41	$	283,958	$	280,485
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (b) 2.241% 1/22/25		250,000		249,999
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (b) 2.454% 7/18/27		380,000		380,774
BlueVirgo Trust, Series 2015-1A, Class NOTE (b) 3.000% 12/15/22		347,377		349,854
CAN Capital Funding LLC, Series 2014-1A, Class A, (Acquired 10/15/14, Cost $249,997) (b) (c) 3.117% 4/15/20		82,554		82,027
Capital Automotive REIT, Series 2014-1A, Class A (b) 3.660% 10/15/44		160,000		156,469
Capital Automotive REIT, Series 2017-1A, Class A2 ( (d) (b) 4.180% 4/15/47		140,000		139,980
Capital Automotive REIT, Series 2012-1A, Class A (b) 4.700% 7/15/42		222,574		222,956
Carlyle Global Market Strategies, Series 2014-4A, Class A1R, 3 mo. USD LIBOR + 1.200%, FRN (b) 2.223% 10/15/26		250,000		250,144
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (b) 2.000% 12/10/23		87,924		87,319
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1, 1 mo. USD LIBOR + .200%, FRN (b) 1.182% 11/25/45		22,822		22,833
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (b) 4.474% 3/20/43		162,962		161,392
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.442% 9/25/34		42,294		42,202
Cronos Containers Program I Ltd., Series 2014-2A, Class A (b) 3.270% 11/18/29		222,222		217,043
DB Master Finance LLC, Series 2015-1A, Class A2I (b) 3.262% 2/20/45		343,000		344,872


	Principal Amount		Value
Diamond Resorts Owner Trust, Series 2013-2, Class A (b) 2.270% 5/20/26	$	429,852	$	427,628
Diamond Resorts Owner Trust, Series 2014-1, Class A (b) 2.540% 5/20/27		63,167		63,162
Diamond Resorts Owner Trust, Series 2016-1, Class A (b) 3.080% 11/20/28		766,931		759,725
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (b) 3.484% 10/25/45		503,625		503,616
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (b) 4.474% 10/25/45		533,250		504,847
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (b) 5.800% 7/15/24		23,333		23,486
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class A, 3 mo. USD LIBOR + 1.350%, FRN (b) 2.374% 4/18/26		475,000		475,020
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (b) 2.707% 2/19/45		77,077		74,124
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (b) 3.968% 3/19/46		205,812		206,532
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		101,695		102,320
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) 4.212% 10/15/42		389,241		391,497
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.612% 5/25/36		29,948		29,911
First Franklin Mortgage Loan Trust, Series 2004-FFH4, Class M6, 1 mo. USD LIBOR + 1.725%, FRN 2.707% 1/25/35		420,000		422,399
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 1.222% 1/25/36		21,504		21,451
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.480% 7/20/27		425,000		425,122
Global SC Finance II SRL, Series 2014-1A, Class A1 (b) 3.190% 7/17/29		183,333		177,148


	Principal Amount		Value
Global SC Finance II SRL, Series 2013-2A, Class A (b) 3.670% 11/17/28	$	174,370	$	171,758
Global SC Funding One Ltd., Series 2015-1, Class B1 (b) 2.740% 1/18/30		43,722		43,722
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (b) 2.188% 4/25/25		565,000		564,614
Goodgreen Trust, Series 2016-1A, Class A (b) 3.230% 10/15/52		461,279		462,641
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.627% 4/25/35		39,992		40,191
HERO Funding Trust, Series 2016-3A, Class A1 (b) 3.080% 9/20/42		296,841		293,130
HERO Funding Trust, Series 2016-4A, Class A1 (b) 3.570% 9/20/47		292,464		288,087
Hilton Grand Vacations Trust, Series 2013-A, Class A (b) 2.280% 1/25/26		60,296		59,855
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 1.152% 8/25/36		9,571		9,579
ING Investment Management CLO Ltd., Series 2013-3A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.474% 1/18/26		260,000		260,038
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (b) 3.870% 3/15/58		97,486		95,514
LCM LP, Series 16A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (b) 2.523% 7/15/26		460,000		462,546
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN 1.777% 2/25/35		101,221		100,858
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.807% 6/25/35		141,553		141,355
Marlette Funding Trust, Series 2016-1A, Class A (b) 3.060% 1/17/23		283,782		283,236
Miramax LLC, Series 2014-1A, Class A2 (b) 3.340% 7/20/26		167,104		166,016


	Principal Amount		Value
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M2, 1 mo. USD LIBOR + ..750%, FRN 1.732% 7/25/35	$	19,155	$	19,515
Mosaic Solar Loans LLC, Series 2017-1A, Class A (b) 4.450% 6/20/42		105,955		106,426
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (b) 1.558% 7/20/18		30,938		30,908
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (b) 2.833% 10/16/51		1,650,000		1,621,125
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (b) 3.107% 12/15/50		450,000		447,592
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (b) 2.150% 4/20/25		355,000		355,059
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (b) 4.210% 5/17/20		130,000		129,240
Orange Lake Timeshare Trust, Series 2014-AA, Class A (b) 2.290% 7/09/29		50,132		49,261
Orange Lake Timeshare Trust, Series 2016-A, Class B (b) 2.910% 3/08/29		229,388		226,053
Oxford Finance Funding Trust, Series 2016-1A, Class A (b) 3.968% 6/17/24		220,000		217,801
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 1.242% 9/25/35		20,543		20,582
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (b) 2.392% 2/20/30		250,000		250,646
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (b) 3.080% 9/20/32		49,264		49,380
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (b) 3.050% 12/26/25		345,932		346,295
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (b) 3.060% 9/25/28		1,625,634		1,623,605
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (b) 3.090% 10/27/25		532,458		532,036


	Principal Amount		Value
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (b) 3.260% 8/25/25	$	682,045	$	682,715
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (b) 3.280% 2/25/26		600,000		597,315
Spirit Master Funding LLC, Series 2014-4A, Class A1 (b) 3.501% 1/20/45		160,000		158,078
SpringCastle America Funding LLC, Series 2016-AA, Class A (b) 3.050% 4/25/29		252,056		253,602
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (b) 2.750% 11/15/49		670,000		665,394
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (b) 2.920% 7/15/47		200,000		200,307
Structured Receivables Finance LLC, Series 2010-B, Class A (b) 3.730% 8/15/36		101,455		101,335
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (b) 4.190% 1/15/71		349,290		349,360
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (b) 2.203% 10/17/26		430,000		430,198
Taco Bell Funding LLC, Series 2016-1A, Class A2I (b) 3.832% 5/25/46		388,050		389,751
TAL Advantage VI LLC, Series 2017-1A, Class A (b) 4.500% 4/21/42		410,000		414,974
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (b) 2.399% 10/13/29		340,000		342,602
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (b) 2.530% 4/20/27		490,000		490,032
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (b) 4.370% 7/15/41		76,073		75,505
VSE VOI Mortgage LLC, Series 2016-A, Class A (b) 2.540% 7/20/33		375,348		370,356
Welk Resorts LLC, Series 2015-AA, Class A (b) 2.790% 6/16/31		148,340		146,665


	Principal Amount		Value
Wendys Funding LLC, Series 2015-1A, Class A2I (b) 3.371% 6/15/45	$	467,875	$	469,903
Wendys Funding LLC, Series 2015-1A, Class A2II (b) 4.080% 6/15/45		305,350		309,498
Wendys Funding LLC, Series 2015-1A, Class A23 (b) 4.497% 6/15/45		418,625		407,630

				28,270,406

Student Loans ABS — 2.8%
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (b) 2.082% 12/27/44		495,000		493,075
Access Group, Inc., Series 2004-A, Class A3, 28 Day ARS, FRN 1.699% 7/01/39		400,000		392,044
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.743% 7/01/38		181,600		174,944
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 Day ARS, FRN 2.224% 1/25/47		130,000		99,388
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) 2.480% 10/25/44		860,257		862,838
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) 2.882% 10/27/31		62,851		64,024
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (b) 2.890% 6/25/40		310,262		309,317
DRB Prime Student Loan Trust, Series 2016-R, Class A2 (b) 3.070% 10/25/44		860,257		862,838
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (b) 3.170% 7/25/31		211,159		213,460
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (b) 2.720% 1/25/41		362,003		354,922
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (b) 2.832% 10/27/36		625,569		625,568
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (b) 3.020% 5/25/34		253,239		253,159


	Principal Amount		Value
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (b) 2.093% 12/27/66	$	450,000	$	449,946
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (b) 2.332% 7/26/66		663,157		662,726
EdLinc Student Loan Funding Trust, Series 2012-1, Class B, 1 mo. USD LIBOR + 4.240%, FRN (b) 5.222% 11/26/40		270,000		310,566
Goal Capital Funding Trust, Series 2006-1, Class B, 3 mo. USD LIBOR + .450%, FRN 1.502% 8/25/42		177,014		163,428
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2, 3 mo. USD LIBOR + .300%, FRN 1.337% 10/28/41		9,514		9,507
KnowledgeWorks Foundation, Series 2010-1, Class A, 3 mo. USD LIBOR + .950%, FRN 2.002% 2/25/42		190,925		191,183
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 1.222% 11/27/28		34,744		34,582
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (b) 1.682% 2/25/70		518,931		510,339
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (b) 1.920% 7/26/66		750,000		749,910
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (b) 2.232% 6/25/65		520,273		527,980
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (b) 2.282% 3/25/66		2,150,000		2,182,268
Navient Student Loan Trust, Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 6/25/48		220,000		191,570
Navient Student Loan Trust, Series 2014-8, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 7/26/49		155,000		152,232
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 10/25/58		150,000		126,749


	Principal Amount		Value
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (b) 3.600% 12/26/40	$	255,138	$	253,988
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN 1.256% 3/23/37		331,885		324,002
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.403% 6/25/41		124,473		106,823
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (b) 1.612% 1/25/37		208,958		208,256
Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 28 Day ARS, FRN 1.768% 3/22/32		200,000		183,304
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (b) 2.482% 6/25/54		150,000		133,684
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + .800%, FRN 1.838% 7/25/36		250,000		246,608
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (b) 1.932% 11/25/65		587,070		588,171
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 1.193% 7/15/36		41,379		41,379
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN 1.473% 7/15/36		230,000		209,433
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN 1.323% 7/15/36		125,000		122,464
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 1.178% 10/25/28		330,000		325,573
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN 1.188% 4/25/40		194,954		162,577
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN 1.788% 10/25/40		300,000		293,584


	Principal Amount		Value
SLM Student Loan Trust, Series 2002-7, Class A10, 28 Day ARS, FRN 3.250% 3/15/28	$	136,000	$	136,000
SLM Student Loan Trust, Series 2002-7, Class A11, 28 Day ARS, FRN 3.270% 3/15/28		160,000		160,000
SLM Student Loan Trust, Series 2002-7, Class B, 28 Day ARS, FRN 3.284% 12/15/39		550,000		544,654
SLM Student Loan Trust, Series 2003-5, Class A9, 28 Day ARS, FRN 4.250% 6/17/30		350,000		350,000
SLM Student Loan Trust, Series 2003-5, Class A7, 28 Day ARS, FRN 4.260% 6/17/30		50,000		50,000
SMB Private Education Loan Trust, Series 2015-B, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (b) 2.112% 7/15/27		200,000		201,870
SMB Private Education Loan Trust, Series 2016-B, Class A2A (b) 2.430% 2/17/32		245,000		241,891
SMB Private Education Loan Trust, Series 2016-A, Class A2A (b) 2.700% 5/15/31		450,000		449,944
SMB Private Education Loan Trust, Series 2017-A, Class B (b) 3.500% 6/17/41		300,000		289,246
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (b) 1.932% 1/25/39		149,418		150,623
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (b) 2.182% 6/25/33		355,549		359,401
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (b) 2.740% 10/25/32		300,000		298,286
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (b) 3.440% 3/26/40		180,000		176,595
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN 1.784% 1/03/33		290,000		286,836
South Carolina Student Loan Corp., Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050%, FRN 2.088% 10/27/36		170,000		169,747

				18,033,502


	Principal Amount		Value
WL Collateral CMO — 0.1%
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN 3.478% 2/25/34	$	19,777	$	19,757
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN 3.728% 9/25/33		7,632		7,511
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN 3.285% 8/25/34		11,631		11,792
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN 3.038% 8/25/34		56,158		51,684
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (b) 3.500% 1/25/47		548,509		547,267
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN 3.176% 7/25/33		3,793		3,904
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN 3.315% 2/25/34		7,613		7,364
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN 3.250% 2/25/34		245		259
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN 3.397% 3/25/34		37,156		38,261
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 2.038% 4/25/44		83,389		83,512

				771,311

WL Collateral PAC — 0.0%
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, VRN 3.378% 6/25/32		23,353		23,209


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $54,490,377)				54,456,411


SOVEREIGN DEBT OBLIGATIONS — 0.3%
Colombia Government International Bond 6.125% 1/18/41		620,000		706,800
Mexico Government International Bond 5.125% 1/15/20		200,000		216,200
Mexico Government International Bond 6.750% 9/27/34		160,000		199,891


	Principal Amount		Value
Mexico Government International Bond 4.750% 3/08/44	$	590,000	$	573,775
Peruvian Government International Bond 6.550% 3/14/37		95,000		122,669
Poland Government International Bond 6.375% 7/15/19		230,000		252,310

				2,071,645


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,974,001)				2,071,645


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 6.5%
Collateralized Mortgage Obligations — 0.5%
Federal Home Loan Mortgage Corp.
Series 4303, Class AP 3.000% 8/15/43		522,091		530,972
Series 4290, Class CA 3.500% 12/15/38		344,805		353,657
Series 2617, Class Z 5.500% 5/15/33		267,292		298,167
Series 2693, Class Z 5.500% 10/15/33		482,143		527,712
Series 3423, Class PB 5.500% 3/15/38		104,503		115,210
Federal National Mortgage Association
Series 2014-7, Class VA 3.500% 5/25/25		230,465		239,677
Series 2014-48, Class AB 4.000% 10/25/40		475,187		493,709
Series 2007-32, Class Z 5.500% 4/25/37		156,618		171,642
Series 2010-60, Class HJ 5.500% 5/25/40		103,251		111,773
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA 5.500% 6/25/37		131,028		142,501
U.S. Department of Veteran Affairs Series 1992-1, Class 2Z 7.750% 5/15/22		104,098		114,411

				3,099,431

Pass-Through Securities — 6.0%
Federal Home Loan Mortgage Corp.
Pool #Q37467 3.500% 11/01/45		1,077,608		1,106,779
Pool #Q37468 3.500% 11/01/45		817,904		840,684
Pool #Q41916 3.500% 7/01/46		331,928		341,691
Pool #Q42045 3.500% 7/01/46		134,989		138,960


	Principal Amount		Value
Pool #Q44275 3.500% 11/01/46	$	256,007	$	263,617
Pool #Q44277 3.500% 11/01/46		119,091		122,463
Pool #Q46465 3.500% 3/01/47		1,296,308		1,326,741
Pool #C03537 4.500% 8/01/40		268,004		289,842
Pool #G06057 4.500% 10/01/40		188,959		203,884
Pool #G60485 4.500% 10/01/41		240,633		259,715
Pool #G60469 4.500% 1/01/42		157,210		169,578
Pool #G60342 4.500% 5/01/42		829,985		895,152
Pool #G60172 4.500% 9/01/43		252,905		273,592
Pool #G11431 6.000% 2/01/18		178		178
Pool #C55867 7.500% 2/01/30		55,459		63,765
Pool #C01079 7.500% 10/01/30		8,253		9,705
Pool #C01135 7.500% 2/01/31		23,440		27,525
Pool #C00470 8.000% 8/01/26		17,580		20,541
Pool #G00924 8.000% 3/01/28		18,577		21,686
Federal Home Loan Mortgage Corp. TBA Pool #2865 4.000% 4/01/43(d)		2,000,000		2,093,438
Federal National Mortgage Association
Pool #725692 2.707% 10/01/33 1 year CMT + 2.145%, FRN		66,692		70,015
Pool #888586 2.755% 10/01/34 1 year CMT + 2.203%, FRN		94,434		99,278
Pool #AS1304 3.500% 12/01/28		337,525		352,490
Pool #AV1897 3.500% 12/01/28		50,632		52,876
Pool #AV2325 3.500% 12/01/28		192,621		201,161
Pool #AS6187 3.500% 11/01/45		2,509,997		2,578,336
Pool #AS6306 3.500% 12/01/45		852,552		876,297
Pool #AS6475 3.500% 1/01/46		682,992		702,121


	Principal Amount		Value
Pool #AS6476 3.500% 1/01/46	$	732,170	$	752,334
Pool #AS6477 3.500% 1/01/46		857,974		881,065
Pool #BD6601 3.500% 12/01/46		246,418		252,241
Pool #BE4046 3.500% 12/01/46		743,550		761,123
Pool #BE5162 3.500% 2/01/47		748,781		766,594
Pool #AZ7917 4.000% 3/01/41		88,406		93,372
Pool #AL2441 4.000% 9/01/42		572,561		606,423
Pool #AL8422 4.000% 1/01/43		83,118		87,839
Pool #BC5984 4.000% 4/01/46		183,297		192,362
Pool #BF0094 4.000% 5/01/56		1,159,908		1,214,188
Pool #AB1466 4.500% 9/01/40		106,947		115,348
Pool #AH6787 4.500% 3/01/41		202,597		219,082
Pool #AL7566 4.500% 10/01/42		200,575		216,394
Pool #AL6997 4.500% 11/01/42		412,196		445,736
Pool #AL6608 4.500% 6/01/44		152,692		165,307
Pool #AD6437 5.000% 6/01/40		112,986		123,892
Pool #AD6996 5.000% 7/01/40		778,411		853,059
Pool #AL8173 5.000% 2/01/44		303,452		332,648
Pool #564594 7.000% 1/01/31		10,932		12,668
Pool #572844 7.000% 4/01/31		24,197		28,413
Pool #253795 7.000% 5/01/31		69,060		80,796
Pool #499386 7.500% 9/01/29		1,727		2,043
Pool #521006 7.500% 12/01/29		668		788
Pool #522769 7.500% 12/01/29		67		80
Pool #252981 7.500% 1/01/30		8,744		10,315
Pool #524874 7.500% 2/01/30		174		178
Pool #531196 7.500% 2/01/30		1,015		1,202


	Principal Amount		Value
Pool #524317 7.500% 3/01/30	$	1,105	$	1,313
Pool #530299 7.500% 3/01/30		277		319
Pool #530520 7.500% 3/01/30		11,805		13,863
Pool #253183 7.500% 4/01/30		3,484		4,112
Pool #253265 7.500% 5/01/30		2,163		2,526
Pool #526380 8.000% 5/01/30		6,060		7,258
Pool #536949 8.000% 5/01/30		1,507		1,812
Pool #535351 8.000% 6/01/30		3,698		4,403
Pool #253481 8.000% 10/01/30		2,609		3,125
Pool #190317 8.000% 8/01/31		1,032		1,232
Pool #596656 8.000% 8/01/31		941		1,015
Pool #602008 8.000% 8/01/31		3,541		4,219
Federal National Mortgage Association TBA
Pool #6237 3.000% 6/01/44 (d)		400,000		396,625
Pool #1058 3.500% 2/01/44 (d)		5,875,000		6,009,942
Pool #11192 4.000% 3/01/43 (d)		1,675,000		1,757,049
Pool #20567 4.500% 10/01/40 (d)		825,000		884,748
Government National Mortgage Association
Pool #783896 3.500% 5/15/44		829,941		863,657
Pool #359587 7.000% 6/15/23		187		197
Pool #337539 7.000% 7/15/23		611		677
Pool #363066 7.000% 8/15/23		9,140		10,200
Pool #354674 7.000% 10/15/23		5,150		5,676
Pool #362651 7.000% 10/15/23		6,127		6,530
Pool #368814 7.000% 10/15/23		1,336		1,426
Pool #352021 7.000% 11/15/23		2,587		2,867


	Principal Amount		Value
Government National Mortgage Association II
Pool #82462 2.000% 1/20/40 1 year CMT + 1.500%, FRN	$	93,233	$	96,408
Pool #82488 2.000% 3/20/40 1 year CMT + 1.500%, FRN		126,658		130,403
Pool #784026 3.500% 12/20/44		232,200		240,680
Government National Mortgage Association II TBA
Pool #2543 3.500% 9/01/44 (d)		5,150,000		5,330,855
Pool #1572 4.000% 1/01/44 (d)		1,800,000		1,897,945

				39,298,682

Whole Loans — 0.0%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2016-DNA1, Class M1 1 mo. USD LIBOR + 1.450%, FRN 2.432% 7/25/28		138,860		139,478


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $42,693,108)				42,537,591


U.S. TREASURY OBLIGATIONS — 1.4%
U.S. Treasury Bonds & Notes — 1.4%
U.S. Treasury Bond 2.500% 5/15/46		2,190,000		1,961,419
U.S. Treasury Bond (e) 3.500% 2/15/39		1,900,000		2,091,217
U.S. Treasury Inflation Index 0.125% 7/15/26		1,924,510		1,877,598
U.S. Treasury Note 1.125% 9/30/21		1,660,000		1,606,245
U.S. Treasury Note 2.000% 11/15/26		1,750,000		1,690,568

				9,227,047


TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,381,643)				9,227,047


TOTAL BONDS & NOTES (Cost $177,535,341)				178,572,917


	Notional Amount		Value
PURCHASED OPTIONS — 0.1%
Financial — 0.1%
Diversified Financial Services — 0.1%
3-Month USD LIBOR BBA 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52	$	1,116,000	$	114,085
3-Month USD LIBOR BBA 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52		1,860,000		258,602

				372,687


TOTAL PURCHASED OPTIONS (Cost $387,922)				372,687


	Number of Shares

RIGHTS — 0.0%
Consumer, Cyclical — 0.0%
Retail — 0.0%
Safeway Casa Ley Contingent Value, (a) (f)		18,800		18,988
Safeway PDC LLC Contingent Value, (a) (f)		18,800		940

				19,928


TOTAL RIGHTS (Cost $19,928)				19,928


TOTAL LONG-TERM INVESTMENTS (Cost $510,625,174)				652,624,529


	Principal Amount
SHORT-TERM INVESTMENTS — 2.9%
Commercial Paper — 2.9%
Bell Canada (b) 1.350% 6/28/17	$	1,800,000		1,794,401
FMC Corp. (b) 1.110% 4/03/17		1,800,000		1,799,835
FMC Technologies, Inc. (b) 1.300% 4/11/17		3,000,000		2,998,957
HP, Inc. (b) 1.190% 4/17/17		2,000,000		1,999,232
Molex Electronic Technologies (b) 1.200% 4/11/17		1,630,000		1,629,433
ONEOK Partners LP (b) 1.500% 4/13/17		1,800,000		1,799,254
Spectra Energy Capital LLC (b) 1.320% 4/25/17		4,000,000		3,996,647
Sysco Corp. (b) 1.130% 4/03/17		1,255,000		1,254,885
WPP CP LLC (b) 1.170% 4/05/17		1,800,000		1,799,722

				19,072,366


	Principal Amount		Value
Repurchase Agreement — 0.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (g)	$	149,001	$	149,001

Time Deposit — 0.0%
Euro Time Deposit 0.090% 4/03/17		2,919		2,919


TOTAL SHORT-TERM INVESTMENTS (Cost $19,223,451)				19,224,286


TOTAL INVESTMENTS — 102.4% (Cost $529,848,625) (h)				671,848,815

Other Assets/(Liabilities) — (2.4)%				(15,999,059	)


NET ASSETS — 100.0%			$	655,849,756

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

BAB	Build America Bonds

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

MTA	Monthly Treasury Average Index

PAC	Planned Amortization Class

STEP	Step Up Bond

TBA	To Be Announced

VRN	Variable Rate Note

WL	Whole Loan

(a)	Non-income producing security.

(b)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to a value of $76,597,915 or 11.68% of net assets.

(c)	Restricted security. Certain securities are restricted as to resale. At March 31, 2017, these securities amounted to a value of $82,027 or 0.01% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(d)	A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(e)	A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2).

(f)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2017, these securities amounted to a value of $19,928 or 0.00% of net assets.

(g)	Maturity value of $149,001. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 8/31/21, and an aggregate market value, including accrued interest, of $155,924.

(h)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value
EQUITIES — 0.0%

COMMON STOCK — 0.0%
Energy — 0.0%
Oil & Gas — 0.0%
SandRidge Energy, Inc. (a)		648	$	11,981


TOTAL COMMON STOCK (Cost $18,804)				11,981


TOTAL EQUITIES (Cost $18,804)				11,981


	Principal Amount
BONDS & NOTES — 94.9%

CORPORATE DEBT — 24.0%
Advertising — 0.1%
Omnicom Group, Inc. 3.600% 4/15/26	$	510,000		509,741

Aerospace & Defense — 0.2%
The Boeing Co. 6.875% 3/15/39		405,000		571,798
Lockheed Martin Corp. 4.700% 5/15/46		440,000		476,588

				1,048,386

Agriculture — 0.1%
Reynolds American, Inc. 4.000% 6/12/22		545,000		572,015

Airlines — 0.1%
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd. (b) 8.375% 5/10/20		300,000		298,050
Delta Air Lines, Inc. 3.625% 3/15/22		240,000		244,993

				543,043

Apparel — 0.0%
Levi Strauss & Co. 5.000% 5/01/25		50,000		51,260

Auto Manufacturers — 0.3%
Ford Motor Co. 7.450% 7/16/31		425,000		536,060
General Motors Financial Co., Inc. 2.400% 5/09/19		475,000		476,022
General Motors Financial Co., Inc. 3.200% 7/13/20		325,000		330,597
General Motors Financial Co., Inc. 3.200% 7/06/21		135,000		135,512

				1,478,191


	Principal Amount		Value
Auto Parts & Equipment — 0.2%
Allison Transmission, Inc. (c) 5.000% 10/01/24	$	45,000	$	45,450
American Axle & Manufacturing Inc 6.625% 10/15/22		120,000		123,600
Delphi Automotive PLC 4.250% 1/15/26		104,000		108,568
Delphi Corp. 4.150% 3/15/24		455,000		475,121
The Goodyear Tire & Rubber Co. 5.125% 11/15/23		85,000		88,613

				841,352

Banks — 3.6%
Australia & New Zealand Banking Group Ltd. (c) 4.875% 1/12/21		540,000		585,245
Banco de Reservas de la Republica Dominicana (c) 7.000% 2/01/23		200,000		203,132
Banco GNB Sudameris SA (c) 6.500% 4/03/27		200,000		199,352
Banco Macro SA USD 5 year swap rate + 5.463%, VRN (b) 6.750% 11/04/26		400,000		400,272
Banco Mercantil del Norte SA 5 year CMT + 4.447%, VRN (b) 5.750% 10/04/31		500,000		489,375
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 year CMT + 4.580%, VRN (b) 5.950% 1/30/24		500,000		516,250
Bank of America Corp. 2.000% 1/11/18		410,000		411,048
Bank of America Corp. 2.503% 10/21/22		425,000		414,288
Bank of Montreal 1.900% 8/27/21		565,000		550,345
BBVA Bancomer SA VRN (b) 6.008% 5/17/22		500,000		498,750
Citigroup, Inc. 2.700% 3/30/21		825,000		825,983
Commonwealth Bank of Australia (c) 2.750% 3/10/22		835,000		836,670
Corp Group Banking SA (b) 6.750% 3/15/23		750,000		718,740
The Goldman Sachs Group, Inc. 2.350% 11/15/21		340,000		332,990
The Goldman Sachs Group, Inc. 3.000% 4/26/22		225,000		225,551
Industrial Senior Trust (b) 5.500% 11/01/22		500,000		498,750


	Principal Amount		Value
JP Morgan Chase & Co. 2.972% 1/15/23	$	555,000	$	554,559
JP Morgan Chase & Co. 4.250% 10/01/27		530,000		542,997
Morgan Stanley 2.500% 4/21/21		155,000		154,163
Morgan Stanley 2.625% 11/17/21		400,000		397,364
Morgan Stanley 3.625% 1/20/27		560,000		555,910
MUFG Americas Holdings Corp. 1.625% 2/09/18		560,000		560,084
The PNC Financial Services Group, Inc. 3.300% 3/08/22		530,000		545,801
Royal Bank of Canada 2.125% 3/02/20		275,000		275,012
Royal Bank of Canada 2.500% 1/19/21		135,000		135,927
State Street Corp. 2.650% 5/19/26		375,000		359,254
State Street Corp. 3.550% 8/18/25		190,000		195,258
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		385,000		374,774
Sumitomo Mitsui Financial Group, Inc. 2.934% 3/09/21		445,000		448,733
The Toronto-Dominion Bank 1.800% 7/13/21		850,000		828,240
Wells Fargo & Co. 3.000% 4/22/26		180,000		172,750
Wells Fargo & Co. 3.000% 10/23/26		555,000		531,386
Wells Fargo & Co. 3.069% 1/24/23		530,000		533,224
Westpac Banking Corp. 2.000% 8/19/21		70,000		68,339
Westpac Banking Corp. 2.600% 11/23/20		480,000		483,584

				15,424,100

Beverages — 0.3%
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		250,000		270,181
The Coca-Cola Co. 1.550% 9/01/21		285,000		277,975
PepsiCo, Inc. 3.450% 10/06/46		600,000		542,863

				1,091,019

Biotechnology — 0.1%
Celgene Corp. 3.875% 8/15/25		270,000		275,968


	Principal Amount		Value
Building Materials — 0.1%
Builders FirstSource, Inc. (c) 5.625% 9/01/24	$	45,000	$	45,675
CIMPOR Financial Operations BV (b) 5.750% 7/17/24		400,000		353,000

				398,675

Chemicals — 0.3%
Ashland LLC STEP 4.750% 8/15/22		60,000		62,100
Grupo Idesa SA de CV (b) 7.875% 12/18/20		850,000		749,062
Hexion, Inc. (c) 10.375% 2/01/22		85,000		84,788
Olin Corp. 5.125% 9/15/27		50,000		50,845
Potash Corp. of Saskatchewan, Inc. 4.000% 12/15/26		125,000		127,970
PQ Corp. (c) 6.750% 11/15/22		60,000		63,900

				1,138,665

Coal — 0.0%
Foresight Energy LLC/Foresight Energy Finance Corp. (c) 11.500% 4/01/23		15,000		14,025
Peabody Securities Finance Corp. (c) 6.000% 3/31/22		45,000		44,747

				58,772

Commercial Services — 0.2%
ENA Norte Trust (b) 4.950% 4/25/28		158,398		163,150
Gartner, Inc. (c) 5.125% 4/01/25		25,000		25,469
Live Nation Entertainment, Inc. (c) 4.875% 11/01/24		85,000		85,000
Prime Security Services Borrower LLC/Prime Finance, Inc. (c) 9.250% 5/15/23		80,000		87,700
S&P Global, Inc. 4.400% 2/15/26		285,000		302,473
The ServiceMaster Co. LLC (c) 5.125% 11/15/24		45,000		46,125
Team Health Holdings, Inc. (c) 6.375% 2/01/25		90,000		88,200
United Rentals North America, Inc. 5.500% 5/15/27		35,000		35,350

				833,467

Computers — 0.1%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (c) 7.125% 6/15/24		90,000		99,493


	Principal Amount		Value
Hewlett Packard Enterprise Co. STEP 3.600% 10/15/20	$	405,000	$	416,493
Western Digital Corp. (c) 7.375% 4/01/23		35,000		38,369

				554,355

Cosmetics & Personal Care — 0.0%
Revlon Consumer Products Corp. STEP 5.750% 2/15/21		86,000		85,892
Revlon Consumer Products Corp. 6.250% 8/01/24		15,000		14,963

				100,855

Diversified Financial Services — 1.5%
Air Lease Corp. 3.750% 2/01/22		585,000		602,530
Ally Financial, Inc. 4.125% 3/30/20		555,000		566,100
Ally Financial, Inc. 4.250% 4/15/21		30,000		30,600
American Express Credit Corp. 2.250% 8/15/19		65,000		65,512
American Express Credit Corp. 2.250% 5/05/21		600,000		594,631
American Express Credit Corp. 2.700% 3/03/22		520,000		519,376
Bantrab Senior Trust (b) 9.000% 11/14/20		300,000		279,000
CK Hutchison International Ltd. (c) 3.500% 4/05/27		600,000		598,244
Dana Financing Luxembourg Sarl (c) (d) 5.750% 4/15/25		55,000		55,481
Guanay Finance Ltd. (b) 6.000% 12/15/20		583,057		598,362
Interoceanica IV Finance Ltd. (b) 0.000% 11/30/25		1,070,600		872,539
National Rural Utilities Cooperative Finance Corp. 2.000% 1/27/20		360,000		358,667
Nationstar Mortgage LLC/Nationstar Capital Corp. 6.500% 7/01/21		65,000		65,813
Navient Corp. 6.500% 6/15/22		70,000		70,613
Pontis IV Ltd. (c) 5.125% 3/31/27		400,000		400,200
SUAM Finance BV (b) 4.875% 4/17/24		200,000		207,640
Synchrony Financial 3.000% 8/15/19		555,000		563,657

				6,448,965

Electric — 3.2%
Abengoa Transmision Sur SA (b) 6.875% 4/30/43		299,370		320,326


	Principal Amount		Value
AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It (c) 7.950% 5/11/26	$	500,000	$	535,810
AES Gener SA (b) 5.000% 7/14/25		400,000		405,932
American Electric Power Co., Inc. 2.950% 12/15/22		313,000		314,591
Berkshire Hathaway Energy Co. 6.500% 9/15/37		594,000		772,720
Calpine Corp. 5.750% 1/15/25		45,000		44,719
Comision Federal de Electricidad (b) 4.750% 2/23/27		600,000		601,500
DTE Energy Co. 3.800% 3/15/27		500,000		507,047
Duke Energy Corp. 3.750% 9/01/46		215,000		193,020
Duke Energy Florida LLC 3.200% 1/15/27		1,000,000		1,006,383
Duke Energy Progress, Inc. 4.150% 12/01/44		470,000		477,272
Empresa Electrica Guacolda SA (b) 4.560% 4/30/25		400,000		385,962
Engie Energia Chile SA (b) 4.500% 1/29/25		335,000		342,205
Eversource Energy 2.750% 3/15/22		1,000,000		1,002,703
Exelon Corp. 3.400% 4/15/26		1,040,000		1,022,867
Fortis, Inc. (c) 2.100% 10/04/21		565,000		547,450
Great Plains Energy, Inc. 3.900% 4/01/27		1,000,000		1,009,735
Israel Electric Corp. Ltd. (b) (c) 5.000% 11/12/24		900,000		945,450
NRG Energy, Inc. 7.250% 5/15/26		85,000		87,550
Pampa Energia SA (c) 7.500% 1/24/27		350,000		354,462
Sierra Pacific Power Co. 2.600% 5/01/26		1,000,000		958,335
The Southern Co. 2.450% 9/01/18		820,000		826,881
Xcel Energy, Inc. 3.300% 6/01/25		1,000,000		1,001,521

				13,664,441

Engineering & Construction — 0.6%
AECOM (c) 5.125% 3/15/27		65,000		65,163
Aeropuerto Internacional de Tocumen SA 5.750% 10/09/23		796,308		850,058


	Principal Amount		Value
Aeropuertos Argentina SA (c) 6.875% 2/01/27	$	150,000	$	154,875
Mexico City Airport Trust (c) 4.250% 10/31/26		700,000		709,625
Sydney Airport Finance Co. Pty Ltd. (c) 3.375% 4/30/25		300,000		294,016
Sydney Airport Finance Co. Pty Ltd. (c) 3.625% 4/28/26		300,000		298,615

				2,372,352

Entertainment — 0.2%
AMC Entertainment Holdings, Inc. (c) 5.875% 11/15/26		40,000		40,450
AMC Entertainment Holdings, Inc. (c) 6.125% 5/15/27		40,000		40,350
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26		40,000		41,300
Pinnacle Entertainment, Inc. (c) 5.625% 5/01/24		85,000		86,063
Scientific Games International, Inc. (c) 7.000% 1/01/22		60,000		64,050
Six Flags Entertainment Corp. (c) (d) 4.875% 7/31/24		125,000		123,750
Six Flags Entertainment Corp. (c) (d) 5.500% 4/15/27		130,000		129,675
WMG Acquisition Corp. (c) 6.750% 4/15/22		105,000		110,381

				636,019

Environmental Controls — 0.1%
Waste Management, Inc. 4.100% 3/01/45		410,000		410,355

Food Services — 0.0%
Aramark Services, Inc. (c) 5.000% 4/01/25		65,000		66,950

Foods — 1.1%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (c) 5.750% 3/15/25		115,000		111,550
B&G Foods, Inc. 5.250% 4/01/25		105,000		105,919
Cencosud SA (b) 5.150% 2/12/25		600,000		624,799
Cosan Overseas Ltd. (b) 8.250% 11/29/49		700,000		701,750
JBS USA LLC/JBS USA Finance, Inc. (c) 5.750% 6/15/25		65,000		65,650
Kraft Heinz Foods Co. 1.600% 6/30/17		315,000		315,096
Kraft Heinz Foods Co. 2.000% 7/02/18		235,000		235,584
The Kroger Co. 3.400% 4/15/22		670,000		684,590


	Principal Amount		Value
MARB BondCo PLC (c) 7.000% 3/15/24	$	300,000	$	297,750
Marfrig Holdings Europe BV (c) 8.000% 6/08/23		200,000		208,960
Minerva Luxembourg SA 5 year CMT + 7.046%, VRN (b) 8.750% 12/29/49		300,000		313,500
Pilgrim’s Pride Corp. (c) 5.750% 3/15/25		85,000		85,637
Post Holdings, Inc. (c) 5.500% 3/01/25		45,000		45,225
Smithfield Foods, Inc. (c) 4.250% 2/01/27		550,000		556,468
TreeHouse Foods, Inc. (c) 6.000% 2/15/24		40,000		41,900
Tyson Foods, Inc. 3.950% 8/15/24		535,000		545,576

				4,939,954

Forest Products & Paper — 0.4%
Georgia-Pacific LLC (c) 3.600% 3/01/25		1,125,000		1,149,014
International Paper Co. 3.000% 2/15/27		270,000		252,423
Inversiones CMPC SA (c) 4.375% 4/04/27		400,000		398,459

				1,799,896

Gas — 0.4%
National Gas Co., of Trinidad & Tobago Ltd. (b) 6.050% 1/15/36		800,000		828,000
NGL Energy Partners LP/NGL Energy Finance Corp. (c) 6.125% 3/01/25		70,000		67,900
NGL Energy Partners LP/NGL Energy Finance Corp. (c) 7.500% 11/01/23		40,000		41,300
Transportadora de Gas del Peru SA (b) 4.250% 4/30/28		800,000		806,000

				1,743,200

Health Care – Products — 0.3%
DJO Finco, Inc./DJO Finance LLC/DJO Finance Corp. (c) 8.125% 6/15/21		25,000		21,812
Thermo Fisher Scientific, Inc. 3.300% 2/15/22		805,000		820,813
Universal Hospital Services, Inc. 7.625% 8/15/20		65,000		64,675
Zimmer Biomet Holdings, Inc. 1.450% 4/01/17		565,000		565,000

				1,472,300


	Principal Amount		Value
Health Care – Services — 0.6%
Acadia Healthcare Co., Inc. 5.625% 2/15/23	$	85,000	$	88,028
Air Medical Group Holdings, Inc. (c) 6.375% 5/15/23		135,000		130,612
Anthem, Inc. 2.300% 7/15/18		550,000		552,446
Centene Corp. 4.750% 1/15/25		95,000		95,535
Centene Corp. 5.625% 2/15/21		45,000		47,097
CHS/Community Health Systems, Inc. 6.250% 3/31/23		55,000		55,963
CHS/Community Health Systems, Inc. 8.000% 11/15/19		45,000		44,156
Envision Healthcare Corp. (c) 6.250% 12/01/24		105,000		110,250
Laboratory Corp. of America Holdings 2.500% 11/01/18		545,000		549,743
LifePoint Health, Inc. (c) 5.375% 5/01/24		45,000		45,765
MPH Acquisition Holdings LLC (c) 7.125% 6/01/24		150,000		161,269
RegionalCare Hospital Partners Holdings, Inc. (c) 8.250% 5/01/23		40,000		42,680
Select Medical Corp. 6.375% 6/01/21		85,000		85,850
Tenet Healthcare Corp. 6.750% 6/15/23		90,000		88,425
UnitedHealth Group, Inc. 4.200% 1/15/47		545,000		553,415
WellCare Health Plans, Inc. 5.250% 4/01/25		70,000		71,631

				2,722,865

Home Furnishing — 0.0%
Tempur Sealy International, Inc. 5.625% 10/15/23		45,000		45,225

Household Products & Wares — 0.0%
Kronos Acquisition Holdings, Inc. (c) 9.000% 8/15/23		20,000		20,350
Spectrum Brands, Inc. 5.750% 7/15/25		65,000		68,738

				89,088

Housewares — 0.0%
Newell Brands, Inc. 3.150% 4/01/21		135,000		137,908

Insurance — 0.4%
Liberty Mutual Group, Inc. (c) 6.500% 5/01/42		730,000		908,829
New York Life Global Funding (c) 2.900% 1/17/24		355,000		355,977


	Principal Amount		Value
TIAA Asset Management Finance Co. LLC (c) 2.950% 11/01/19	$	540,000	$	548,887

				1,813,693

Investment Companies — 0.1%
GrupoSura Finance SA (b) 5.500% 4/29/26		300,000		316,500

Iron & Steel — 0.1%
Cliffs Natural Resources, Inc. (c) 5.750% 3/01/25		15,000		14,550
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. (c) 6.375% 5/01/22		85,000		87,178
Vale Overseas Ltd. 5.875% 6/10/21		380,000		407,215

				508,943

Leisure Time — 0.1%
NCL Corp. Ltd. (c) 4.750% 12/15/21		90,000		91,350
Sabre GLBL, Inc. (c) 5.250% 11/15/23		85,000		86,913
Viking Cruises Ltd. (c) 8.500% 10/15/22		125,000		129,687

				307,950

Lodging — 0.2%
Gohl Capital Ltd. (b) 4.250% 1/24/27		600,000		606,002
Hilton Domestic Operating Co., Inc. (c) 4.250% 9/01/24		165,000		162,937
Jack Ohio Finance LLC/Jack Ohio Finance Corp. (c) 6.750% 11/15/21		85,000		87,975
Station Casinos LLC 7.500% 3/01/21		80,000		83,200

				940,114

Machinery – Construction & Mining — 0.0%
BlueLine Rental Finance Corp./BlueLine Rental LLC (c) 9.250% 3/15/24		45,000		46,069

Machinery – Diversified — 0.1%
John Deere Capital Corp. 2.650% 1/06/22		250,000		250,903

Media — 0.6%
CCO Holdings LLC/CCO Holdings Capital Corp. (c) 5.125% 5/01/23		30,000		30,900
CCO Holdings LLC/CCO Holdings Capital Corp. (c) 5.125% 5/01/27		10,000		10,050


	Principal Amount		Value
CCO Holdings LLC/CCO Holdings Capital Corp. 5.250% 9/30/22	$	20,000	$	20,750
Cengage Learning, Inc. (c) 9.500% 6/15/24		80,000		71,600
Cequel Communications Holdings I LLC/Cequel Capital Corp. (c) 6.375% 9/15/20		125,000		128,750
Charter Communications Operating LLC/Charter Communications Operating Capital 4.908% 7/23/25		520,000		549,467
Comcast Corp. 4.400% 8/15/35		525,000		544,173
CSC Holdings LLC 5.250% 6/01/24		45,000		44,831
Gray Television, Inc. (c) 5.125% 10/15/24		45,000		44,437
Gray Television, Inc. (c) 5.875% 7/15/26		70,000		71,225
Nexstar Broadcasting, Inc. (c) 5.625% 8/01/24		65,000		65,975
Sinclair Television Group, Inc. (c) 5.625% 8/01/24		25,000		25,313
Sirius XM Radio, Inc. (c) 5.375% 7/15/26		90,000		92,025
TEGNA, Inc. (c) 4.875% 9/15/21		130,000		131,950
TV Azteca SAB de CV (b) 7.500% 5/25/18		550,000		547,250
Videotron Ltd./Videotron Ltee (c) (d) 5.125% 4/15/27		25,000		25,219

				2,403,915

Metal Fabricate & Hardware — 0.0%
Grinding Media, Inc./MC Grinding Media Canada, Inc. (c) 7.375% 12/15/23		40,000		42,000
Novelis Corp. (c) 5.875% 9/30/26		25,000		25,531
Novelis Corp. (c) 6.250% 8/15/24		60,000		62,550

				130,081

Miscellaneous – Manufacturing — 0.0%
Gates Global LLC/Gates Global Co. (c) 6.000% 7/15/22		90,000		91,575

Oil & Gas — 1.9%
Apache Corp. 4.750% 4/15/43		265,000		264,531
Bharat Petroleum Corp. Ltd. (b) 4.625% 10/25/22		200,000		212,860
BP Capital Markets PLC 3.588% 4/14/27		48,000		48,323


	Principal Amount		Value
BP Capital Markets PLC 3.723% 11/28/28	$	440,000	$	445,262
BPRL International Singapore Pte Ltd. (b) 4.375% 1/18/27		500,000		509,164
Chevron Corp. 1.365% 3/02/18		353,000		352,796
Chevron Corp. 1.561% 5/16/19		95,000		94,687
Chevron Corp. 2.498% 3/03/22		175,000		175,348
CNOOC Finance Ltd. (b) 4.250% 1/26/21		200,000		209,503
CNOOC Finance USA LLC 3.500% 5/05/25		600,000		593,795
Delek & Avner Tamar Bond Ltd. (c) 4.435% 12/30/20		200,000		207,000
EP Energy LLC/Everest Acquisition Finance, Inc. 9.375% 5/01/20		15,000		14,141
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp. (c) 7.875% 7/15/21		40,000		42,200
Halcon Resources Corp. (c) 6.750% 2/15/25		25,000		24,550
MEG Energy Corp. (c) 7.000% 3/31/24		20,000		17,900
Memorial Production Partners LP/Memorial Production Finance Corp. (e) 6.875% 8/01/22		150,000		54,000
Noble Holding International Ltd. 7.750% 1/15/24		25,000		24,000
Occidental Petroleum Corp. 3.400% 4/15/26		95,000		94,817
ONGC Videsh Vankorneft Pte Ltd. (b) 3.750% 7/27/26		650,000		637,109
PDC Energy, Inc. (c) 6.125% 9/15/24		30,000		30,750
Pertamina Persero PT (b) 5.625% 5/20/43		400,000		410,808
Petrobras Global Finance BV 7.250% 3/17/44		650,000		641,875
Petrobras Global Finance BV 7.375% 1/17/27		200,000		211,440
Petroleos Mexicanos 6.750% 9/21/47		290,000		294,176
Petronas Capital Ltd. (b) 3.500% 3/18/25		800,000		812,769
Phillips 66 5.875% 5/01/42		235,000		268,956
Sanchez Energy Corp. 6.125% 1/15/23		50,000		46,375
Shell International Finance BV 1.375% 5/10/19		500,000		495,566


	Principal Amount		Value
Sinopec Group Overseas Development Ltd. (b) 2.750% 9/29/26	$	900,000	$	834,777
SM Energy Co. 5.000% 1/15/24		50,000		47,250

				8,116,728

Oil & Gas Services — 0.1%
FTS International, Inc. 6.250% 5/01/22		22,000		19,250
Schlumberger Holding Corp. (c) 2.350% 12/21/18		270,000		271,788

				291,038

Packaging & Containers — 0.1%
Berry Plastics Corp. 5.500% 5/15/22		90,000		93,488
BWAY Holding Co. (c) (d) 5.500% 4/15/24		80,000		80,650
Flex Acquisition Co., Inc. (c) 6.875% 1/15/25		65,000		66,404
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu (c) 7.000% 7/15/24		55,000		58,884

				299,426

Pharmaceuticals — 1.0%
AbbVie, Inc. 4.700% 5/14/45		550,000		548,543
Actavis Funding SCS 2.350% 3/12/18		551,000		553,402
AstraZeneca PLC 2.375% 11/16/20		275,000		275,390
Cardinal Health, Inc. 1.950% 6/15/18		555,000		556,699
Express Scripts Holding Co. 3.400% 3/01/27		135,000		127,140
Express Scripts Holding Co. 4.500% 2/25/26		285,000		292,340
inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (c) 7.500% 10/01/24		85,000		87,444
Mylan NV 3.150% 6/15/21		605,000		607,225
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		580,000		562,787
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22		485,000		473,604
Teva Pharmaceutical Finance Netherlands III BV 2.800% 7/21/23		245,000		232,703


	Principal Amount		Value
Valeant Pharmaceuticals International, Inc. (c) 7.000% 3/15/24	$	45,000	$	46,181
Vizient, Inc. (c) 10.375% 3/01/24		80,000		91,300

				4,454,758

Pipelines — 0.7%
Enable Midstream Partners LP 4.400% 3/15/27		565,000		560,782
Energy Transfer Equity LP 5.500% 6/01/27		65,000		67,925
Energy Transfer Partners LP 4.200% 4/15/27		70,000		69,159
Energy Transfer Partners LP 4.750% 1/15/26		470,000		484,152
Fermaca Enterprises S de RL de CV (c) 6.375% 3/30/38		235,504		241,391
GNL Quintero SA (b) 4.634% 7/31/29		200,000		204,500
Kinder Morgan Energy Partners LP 6.950% 1/15/38		470,000		545,331
Sunoco Logistics Partners Operations LP 3.900% 7/15/26		750,000		724,647
Targa Resources Partners LP/Targa Resources Partners Finance Corp. (c) 5.375% 2/01/27		50,000		51,750
Williams Partners LP/ACMP Finance Corp. 4.875% 3/15/24		85,000		87,436

				3,037,073

Private Equity — 0.0%
Icahn Enterprises LP/Icahn Enterprises Finance Corp. (c) 6.250% 2/01/22		65,000		65,975

Real Estate Investment Trusts (REITS) — 0.8%
American Tower Corp. 4.400% 2/15/26		950,000		982,751
Boston Properties LP 4.125% 5/15/21		520,000		546,797
Crown Castle International Corp 3.700% 6/15/26		700,000		686,942
Crown Castle International Corp. 4.000% 3/01/27		225,000		226,409
CyrusOne LP/CyrusOne Finance Corp. (c) 5.000% 3/15/24		30,000		30,825
Equinix, Inc. 5.875% 1/15/26		80,000		85,100
ESH Hospitality, Inc. (c) 5.250% 5/01/25		90,000		90,731
MGM Growth Properties Operating Partnership LP/MGP Finance Co-Issuer, Inc. 5.625% 5/01/24		25,000		26,375


	Principal Amount		Value
Simon Property Group LP 3.300% 1/15/26	$	560,000	$	552,149

				3,228,079

Retail — 0.2%
Asbury Automotive Group, Inc. 6.000% 12/15/24		65,000		67,112
The Home Depot, Inc. 3.000% 4/01/26		380,000		379,337
The Home Depot, Inc. 3.350% 9/15/25		165,000		169,692
PetSmart, Inc. (c) 7.125% 3/15/23		145,000		137,750
Rite Aid Corp. (c) 6.125% 4/01/23		85,000		84,256
Sally Holdings LLC/Sally Capital, Inc. 5.750% 6/01/22		125,000		128,594

				966,741

Semiconductors — 0.3%
Analog Devices, Inc. 2.500% 12/05/21		560,000		554,633
Applied Materials, Inc. 4.350% 4/01/47		280,000		283,465
Broadcom Corp./Broadcom Cayman Finance Ltd. (c) 3.625% 1/15/24		250,000		251,843
Micron Technology, Inc. (c) 5.250% 8/01/23		65,000		66,625

				1,156,566

Software — 0.6%
Camelot Finance SA (c) 7.875% 10/15/24		60,000		63,150
Fidelity National Information Services, Inc. 3.625% 10/15/20		420,000		436,451
First Data Corp. (c) 5.750% 1/15/24		60,000		61,890
First Data Corp. (c) 7.000% 12/01/23		60,000		64,350
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho (c) 10.000% 11/30/24		95,000		103,312
Infor US, Inc. 6.500% 5/15/22		85,000		87,346
Informatica LLC (c) 7.125% 7/15/23		110,000		106,975
Microsoft Corp. 4.450% 11/03/45		520,000		548,809
Open Text Corp. (c) 5.875% 6/01/26		100,000		104,750
Oracle Corp. 1.900% 9/15/21		485,000		476,571


	Principal Amount		Value
Oracle Corp. 4.125% 5/15/45	$	445,000	$	432,524
Quintiles IMS, Inc. (c) 4.875% 5/15/23		85,000		86,169
Solera LLC/ Solera Finance, Inc. (c) 10.500% 3/01/24		60,000		68,550
Sophia LP/Sophia Finance, Inc. (c) 9.000% 9/30/23		125,000		131,250

				2,772,097

Telecommunications — 1.4%
AT&T, Inc. 3.800% 3/01/24		550,000		558,453
Bharti Airtel Ltd. (b) 4.375% 6/10/25		500,000		499,640
British Telecommunications PLC 5.950% 1/15/18		1,025,000		1,058,704
Cincinnati Bell, Inc. (c) 7.000% 7/15/24		85,000		89,144
Cisco Systems, Inc. 1.850% 9/20/21		510,000		500,156
CommScope, Inc. (c) 5.000% 6/15/21		85,000		87,338
Digicel Group Ltd. (b) 7.125% 4/01/22		700,000		544,250
Embarq Corp. 7.995% 6/01/36		75,000		74,625
Empresa Nacional de Telecomunicaciones SA (b) 4.750% 8/01/26		400,000		409,894
Empresa Nacional de Telecomunicaciones SA (b) 4.875% 10/30/24		200,000		206,726
Frontier Communications Corp. 8.500% 4/15/20		65,000		68,575
Intelsat Jackson Holdings SA 5.500% 8/01/23		70,000		57,750
Intelsat Jackson Holdings SA (c) 8.000% 2/15/24		40,000		42,400
Level 3 Communications, Inc. 5.750% 12/01/22		155,000		160,425
Ooredoo International Finance Ltd. (b) 3.875% 1/31/28		600,000		589,200
Orange SA 2.750% 2/06/19		564,000		570,615
Telesat Canada/Telesat LLC (c) 8.875% 11/15/24		65,000		71,175
Verizon Communications, Inc. 4.400% 11/01/34		565,000		534,655

				6,123,725

Textiles — 0.1%
Cintas Corp. No 2 3.700% 4/01/27		190,000		194,146


	Principal Amount		Value
Transportation — 0.9%
Autoridad del Canal de Panama (b) 4.950% 7/29/35	$	200,000	$	218,500
Burlington Northern Santa Fe LLC 4.550% 9/01/44		505,000		532,567
CSX Corp. 3.800% 11/01/46		600,000		547,351
Empresa de Transporte de Pasajeros Metro SA (c) 5.000% 1/25/47		750,000		784,987
FedEx Corp. 4.750% 11/15/45		525,000		537,683
The Kenan Advantage Group, Inc. (c) 7.875% 7/31/23		45,000		46,013
Lima Metro Line 2 Finance Ltd. (b) 5.875% 7/05/34		750,000		796,875
Union Pacific Corp. 3.000% 4/15/27		250,000		247,204

				3,711,180

Trucking & Leasing — 0.1%
Penske Truck Leasing Co. LP/PTL Finance Corp. (c) 4.200% 4/01/27		275,000		279,997

Water — 0.1%
American Water Capital Corp. 3.400% 3/01/25		500,000		512,951


TOTAL CORPORATE DEBT (Cost $103,116,844)				103,489,605


MUNICIPAL OBLIGATIONS — 0.3%
City of Houston TX Combined Utility System Revenue 5.000% 11/15/35		390,000		446,632
Los Angeles County Metropolitan Transportation Authority 5.000% 6/01/33		105,000		123,168
Massachusetts School Building Authority 5.000% 11/15/34		270,000		312,835
North Texas Municipal Water District Water System Revenue 5.000% 9/01/35		280,000		322,367
State of California 5.000% 8/01/33		90,000		102,396

				1,307,398


TOTAL MUNICIPAL OBLIGATIONS (Cost $1,299,372)				1,307,398


	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.7%
Commercial MBS — 8.3%
BBCMS Mortgage Trust, Series 2017-C1, Class XA, VRN 1.531% 2/15/50	$	4,604,973	$	510,341
BXHTL Mortgage Trust, Series 2015-JWRZ, 1 mo. LIBOR + 1.230%, FRN (c) 2.142% 5/15/29		700,000		702,156
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class XA, VRN 1.087% 1/10/48		5,825,585		423,741
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3 3.839% 12/10/54		545,000		561,054
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class XA, VRN 0.900% 11/10/48		5,338,716		280,200
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class XA, VRN 2.015% 7/10/49		3,767,311		504,478
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 2.902% 7/10/49		547,000		529,443
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5 3.137% 2/10/48		276,000		275,096
Citigroup Commercial Mortgage Trust, Series 2016-SMPL, Class D, VRN (c) 3.520% 9/10/31		534,000		529,450
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5, VRN 3.720% 12/10/49		435,000		449,344
Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class C, VRN 4.064% 6/10/48		700,000		639,234
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class C, VRN 4.501% 11/10/48		413,000		410,255
COMM Mortgage Trust, Series 2016-DC2, Class XA, VRN 1.074% 2/10/49		992,527		67,913
COMM Mortgage Trust, Series 2016-GCT, Class E, VRN (c) 3.461% 8/10/29		210,000		202,210
COMM Mortgage Trust, Series 2015-CR22, Class D, VRN (c) 4.126% 3/10/48		650,000		531,228
COMM Mortgage Trust, Series 2012-CR4, Class D, VRN (c) 4.571% 10/15/45		738,000		694,430
COMM Mortgage Trust, Series 2015-LC23, Class C, VRN 4.646% 10/10/48		470,000		458,012


	Principal Amount		Value
Commercial Mortgage Trust, Series 2016-CR28, Class C, VRN 4.647% 2/10/49	$	517,000	$	508,800
Commercial Mortgage Trust, Series 2007-GG11, Class AM, VRN 5.867% 12/10/49		650,000		661,919
Cosmopolitan Hotel Trust, Series 2016-CSMO, Class C, 1 mo. LIBOR + 2.650%, FRN (c) 3.562% 11/15/33		370,000		374,598
Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A1AM, VRN 5.958% 9/15/39		800,000		808,445
Credit Suisse Commercial Mortgage Trust, Series 2008-C1, Class AM, VRN (c) 6.062% 2/15/41		700,000		713,990
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class XA, VRN 0.955% 4/15/50		9,266,911		501,884
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class C, VRN 4.585% 11/15/48		427,000		423,551
GS Mortgage Securities Corp. II, Series 2013-GC10, Class XA, VRN 1.591% 2/10/46		5,603,263		392,358
GS Mortgage Securities Trust, Series 2015-GS1, Class XA, VRN 0.834% 11/10/48		8,182,477		465,991
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, VRN 1.148% 4/10/47		7,000,604		383,490
GS Mortgage Securities Trust, Series 2014-GC26, Class D, VRN (c) 4.511% 11/10/47		940,000		778,528
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class XA, VRN 1.148% 1/15/49		5,398,238		318,165
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class XA, VRN 1.864% 8/15/49		3,225,255		425,014
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, VRN 3.460% 8/15/49		174,000		170,940
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class C, VRN 3.795% 8/15/49		134,000		129,827


	Principal Amount		Value
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, VRN 5.464% 1/15/49	$	1,045,752	$	1,045,426
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AM, VRN 6.066% 2/15/51		540,000		545,781
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class AJ, VRN 6.178% 2/12/51		510,000		519,495
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class XA, VRN 0.700% 7/15/48		11,089,823		398,832
JPMBB Commercial Mortgage Securities Trust, Series 2015-C29, Class XA, VRN 0.943% 5/15/48		12,310,378		488,337
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class XA, VRN 0.994% 11/15/47		5,178,928		274,812
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class XA, VRN 1.192% 10/15/48		8,900,523		529,691
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class D, VRN (c) 3.845% 2/15/48		704,000		559,119
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class B, VRN 4.310% 7/15/48		610,000		595,562
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class C, VRN 4.619% 12/15/48		527,000		526,390
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class C, VRN 4.669% 11/15/48		100,000		94,423
JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class C, VRN 4.747% 3/15/49		466,000		478,931
LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class AM, VRN 5.493% 2/15/40		368,538		368,593


	Principal Amount		Value
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D (c) 3.060% 10/15/48	$	650,000	$	493,014
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class D, VRN (c) 3.237% 12/15/47		504,000		334,354
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4 3.249% 2/15/48		175,000		175,904
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class A4 3.720% 12/15/49		454,000		469,855
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class C 4.000% 12/15/47		650,000		605,260
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class C, VRN 4.135% 7/15/50		650,000		616,392
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class C, VRN 4.536% 12/15/47		351,000		327,406
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, VRN 4.753% 5/15/49		475,000		470,787
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN 5.508% 2/12/44		258,994		259,006
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class XA, VRN 0.971% 12/15/48		6,630,743		419,912
Morgan Stanley Capital I Trust, Series 2016-UB11, Class XA, VRN 1.679% 8/15/49		1,605,117		169,958
Morgan Stanley Capital I Trust, Series 2015-XLF2, Class AFSC, 1 mo. LIBOR + 3.000%, FRN (c) 3.912% 8/15/26		478,000		477,514
Morgan Stanley Capital I Trust, Series 2017-PRME, Class D, 1 mo. LIBOR + 3.400%, FRN (c) 4.170% 2/15/34		425,000		423,936
MSCG Trust, Series 2016-SNR, Class C (c) 5.205% 11/15/34		539,000		539,984
PFP Ltd., Series 2017-3, Class A, 1 mo. LIBOR + 1.050%, FRN (c) 1.829% 1/14/35		197,000		197,471


	Principal Amount		Value
PFP Ltd., Series 2017-3, Class AS, 1 mo. LIBOR + 1.300%, FRN (c) 2.079% 1/14/35	$	164,000	$	164,410
PFP Ltd., Series 2017-3, Class B, 1 mo. LIBOR + 1.750%, FRN (c) 2.529% 1/14/35		94,000		94,263
PFP Ltd., Series 2017-3, Class C, 1 mo. LIBOR + 2.500%, FRN (c) 3.279% 1/14/35		99,000		99,326
SG Commercial Mortgage Securities Trust, Series 2016-C5, Class XA, VRN 2.029% 10/10/48		3,977,285		518,943
Sutherland Commercial Mortgage Loans LLC, Series 2015-SBC4, Class A (c) 4.000% 6/25/39		338,721		336,372
THL Credit Wind River CLO Ltd., Series 2012-1A, Class DR, 3 mo. USD LIBOR + 4.100%, FRN (c) 5.122% 1/15/26		1,000,000		1,010,285
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C30, Class AJ, VRN 5.413% 12/15/43		525,884		528,159
Wachovia Bank Commercial Mortgage Trust Series, Series 2006-C28, Class AJ, VRN 5.632% 10/15/48		806,901		803,985
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C32, Class AMFX (c) 5.703% 6/15/49		415,000		418,227
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class XA, VRN 0.790% 7/15/58		12,849,466		550,887
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class XA, VRN 1.027% 12/15/48		5,492,034		343,872
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class XA, VRN 1.108% 11/15/48		6,729,057		469,780
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class XA, VRN 1.661% 11/15/49		2,406,106		255,413
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class A4 3.809% 12/15/48		392,000		408,233


	Principal Amount		Value
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D (c) 3.938% 8/15/50	$	560,000	$	465,135
Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class C, VRN 4.541% 9/15/58		390,000		392,415
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4, Class C, VRN 4.602% 12/15/48		421,000		430,074
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class C, VRN 4.611% 11/15/48		468,000		472,486
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, VRN 1.151% 8/15/47		12,749,871		738,865

				35,733,360

Home Equity ABS — 0.9%
GSAA Home Equity Trust, Series 2007-10, Class A2A 6.500% 11/25/37		5,343,980		3,864,104

Other ABS — 9.0%
Adams Mill CLO Ltd., Series 2014-1A, Class A1, 3 mo. USD LIBOR + 1.480%, FRN (c) 2.503% 7/15/26		500,000		501,844
ALM VII R Ltd., Series 2013-7RA, Class CR, 3 mo. USD LIBOR + 4.040%, FRN (c) 5.062% 10/15/28		1,000,000		1,013,867
ALM XIX LLC, Series 2016-19A, Class B, 3 mo. USD LIBOR + 3.000%, FRN (c) 4.023% 7/15/28		500,000		505,291
ALM XIX LLC, Series 2016-19A, Class C, 3 mo. USD LIBOR + 4.350%, FRN (c) 5.373% 7/15/28		500,000		509,090
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.600%, FRN (c) 2.623% 10/15/26		1,000,000		1,000,877
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, STEP (c) 5.682% 12/16/41		989,583		999,595
BlueMountain CLO II Ltd., Series 2006-2A, Class C, 3 mo. USD LIBOR + 0.800%, FRN (c) 1.855% 7/15/18		1,025,000		1,022,599


	Principal Amount		Value
BlueMountain CLO Ltd., Series 2015-2A, Class C, 3 mo. USD LIBOR + 2.700%, FRN (c) 3.724% 7/18/27	$	1,000,000	$	1,003,533
BlueMountain CLO Ltd., Series 2015-3A, Class B, 3 mo. USD LIBOR + 3.100%, FRN (c) 4.130% 10/20/27		1,000,000		1,010,302
BlueMountain CLO Ltd., Series 2015-2A, Class D, 3 mo. USD LIBOR + 3.550%, FRN (c) 4.574% 7/18/27		1,000,000		1,004,480
BlueMountain CLO Ltd., Series 2015-3A, Class C, 3 mo. USD LIBOR + 3.550%, FRN (c) 4.580% 10/20/27		1,000,000		1,003,515
BlueMountain CLO Ltd., Series 2013-1A, Class CR, 3 mo. USD LIBOR + 4.150%, FRN (c) 5.180% 1/20/29		1,000,000		1,012,304
Carlyle Global Market Strategies CLO Ltd., Series 2016-2A, Class D2, 3 mo. USD LIBOR + 6.450%, FRN (c) 7.473% 7/15/27		500,000		500,592
Castle Aircraft SecuritizationTrust, Series 2015-1A, Class A (c) 4.703% 12/15/40		1,619,875		1,653,101
CLI Funding V LLC, Series 2014-2A, Class A (c) 3.380% 10/18/29		527,545		515,422
Dryden XXV Senior Loan Fund, Series 2012-25A, Class D, 3 mo. USD LIBOR + 4.000%, FRN (c) 5.023% 1/15/25		833,000		833,714
Element Rail Leasing II LLC, Series 2016-1A, Class A2 (c) 5.047% 3/19/46		500,000		512,880
Global SC Finance II SRL, Series 2014-1A, Class A1 (c) 3.190% 7/17/29		520,667		503,100
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class D, 3 mo. USD LIBOR + 3.350%, FRN (c) 4.380% 7/20/27		1,000,000		994,250
HERO Funding Trust, Series 2016-4A, Class A2 (c) 4.290% 9/20/47		487,440		506,267
LCM XVIII LP, Series 19A, Class D, 3 mo. USD LIBOR + 3.450%, FRN (c) 4.473% 7/15/27		1,000,000		998,673
Madison Park Funding Ltd., Series 2007-6A, Class C, 3 mo. USD LIBOR + 1.000%, FRN (c) 2.032% 7/26/21		1,000,000		993,830


	Principal Amount		Value
Madison Park Funding XIV Ltd., Series 2014-14A, Class D, 3 mo. USD LIBOR + 3.600%, FRN (c) 4.630% 7/20/26	$	1,000,000	$	1,000,023
Madison Park Funding XV Ltd., Series 2014-15A, Class DR, 3 mo. USD LIBOR + 5.440%, FRN (c) 6.482% 1/27/26		1,000,000		999,991
Madison Park Funding XVIII Ltd., Series 2015-18A, Class D2, 3 mo. USD LIBOR + 3.950%, FRN (c) 4.991% 10/21/26		1,000,000		1,003,050
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class A2C, 1 mo. USD LIBOR + 0.150%, FRN 1.132% 8/25/37		3,129,337		2,658,623
Mosaic Solar Loans LLC, Series 2017-1A, Class A (c) 4.450% 6/20/42		963,223		967,509
Octagon Investment Partners Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.500%, FRN (c) 4.535% 3/17/30		1,000,000		1,000,945
Octagon Investment Partners Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 6.200%, FRN (c) 7.235% 3/17/30		500,000		491,294
OneMain Financial Issuance Trust, Series 2015-2A, Class A (c) 2.570% 7/18/25		200,000		200,438
OneMain Financial Issuance Trust, Series 2015-1A, Class A (c) 3.190% 3/18/26		3,000,000		3,031,961
Springleaf Funding Trust, Series 2015-AA, Class A (c) 3.160% 11/15/24		3,000,000		3,023,849
TAL Advantage V LLC, Series 2013-1A, Class A (c) 2.830% 2/22/38		295,833		281,301
TAL Advantage V LLC, Series 2014-1A, Class A (c) 3.510% 2/22/39		475,867		456,830
TCI-Cent CLO Ltd., Series 2016-1A, Class C, 3 mo. USD LIBOR + 4.000%, FRN (c) 5.124% 12/21/29		1,000,000		1,006,423
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, 3 mo. USD LIBOR + 3.400%, FRN (c) 5.257% 10/20/26		1,000,000		999,902
THL Credit Wind River CLO Ltd., Series 2016-1A, Class C, 3 mo. USD LIBOR + 3.200%, FRN (c) 4.223% 7/15/28		500,000		505,671


	Principal Amount		Value
THL Credit Wind River CLO Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.750%, FRN (c) 4.784% 4/18/29	$	1,000,000	$	1,002,883
Venture XVII CLO Ltd., Series 2014-17A, Class B2, 3 mo. USD LIBOR + 2.100%, FRN (c) 3.123% 7/15/26		1,000,000		1,004,384
Westcott Park Clo Ltd., Series 2016-1A, Class D, 3 mo. USD LIBOR + 4.350%, FRN (c) 5.380% 7/20/28		500,000		509,407

				38,743,610

WL Collateral CMO — 9.9%
Citigroup Mortgage Loan Trust, Series 2007-AR5, Class 1A2A, VRN 3.314% 4/25/37		3,797,331		3,433,120
CitiMortgage Alternative Loan Trust, Series 2006-A1, Class 1A5 5.500% 4/25/36		3,987,015		3,774,100
Countrywide Alternative Loan Trust, Series 2006-13T1, Class A11 6.000% 5/25/36		3,082,124		2,527,931
Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A1 6.250% 12/25/36		5,122,819		3,702,518
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2007-HYB2, Class 3A1, VRN 3.363% 2/25/47		2,574,938		2,177,166
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2007-14, Class A6 6.000% 9/25/37		2,533,418		2,262,975
CSMC Trust, Series 2015-RPL3, Class A1, STEP (c) 3.750% 12/25/56		5,238,037		5,285,033
HarborView Mortgage Loan Trust, Series 2006-11, Class A1A, 1 mo. USD LIBOR + 0.170%, FRN 1.148% 12/19/36		2,069,244		1,779,394
IndyMac INDX Mortgage Loan Trust, Series 2007-AR5, Class 2A1, VRN 3.291% 5/25/37		4,514,943		3,855,536
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 2A1, VRN 3.310% 7/25/35		1,114,190		980,114
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AR1, Class 2A1, VRN 3.522% 2/25/36		3,965,193		3,238,964


	Principal Amount		Value
RBSSP Resecuritization Trust, Series 2009-5, Class 2A3, VRN (c) 6.500% 10/26/37	$	1,569,961	$	1,325,028
RFMSI Trust, Series 2007-S4, Class A5, 1 mo. USD LIBOR + 0.600%, FRN 6.000% 4/25/37		752,352		753,735
Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1, Class A2, VRN 3.328% 10/25/37		2,337,392		2,189,703
Towd Point Mortgage Trust, Series 2015-2, Class 1A13, VRN (c) 2.500% 11/25/60		4,280,516		4,241,964
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-4, Class 3A5, STEP 6.350% 5/25/36		1,750,712		1,335,960

				42,863,241

WL Collateral PAC — 0.6%
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 6.000% 8/25/36		3,103,823		2,745,322


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $125,608,315)				123,949,637


SOVEREIGN DEBT OBLIGATIONS — 2.4%
Argentine Republic Government International Bond (c) 6.875% 1/26/27		850,000		861,900
Brazil Government International Bond 5.625% 1/07/41		800,000		778,000
Chile Government International Bond 3.125% 1/21/26		400,000		406,200
Colombia Government International Bond 4.500% 1/28/26		200,000		211,000
Dominican Republic International Bond (c) 5.950% 1/25/27		1,100,000		1,123,375
Dominican Republic International Bond (b) 6.850% 1/27/45		400,000		413,000
Fondo MIVIVIENDA SA (c) 3.500% 1/31/23		150,000		151,125
Guatemala Government Bond (b) 4.500% 5/03/26		200,000		199,286
Guatemala Government Bond (b) 4.875% 2/13/28		200,000		203,400
Indonesia Government International Bond (c) 4.350% 1/08/27		500,000		517,353


	Principal Amount		Value
The Korea Development Bank 3.000% 1/13/26	$	200,000	$	198,854
Korea International Bond 2.750% 1/19/27		800,000		786,080
Mexico Government International Bond 4.125% 1/21/26		200,000		205,600
Mexico Government International Bond 4.150% 3/28/27		2,048,000		2,082,816
Mexico Government International Bond 4.750% 3/08/44		100,000		97,250
Panama Government International Bond 3.875% 3/17/28		600,000		610,500
Panama Government International Bond 4.300% 4/29/53		200,000		189,500
Perusahaan Penerbit SBSN Indonesia III (c) 4.150% 3/29/27		400,000		401,680
Philippine Government International Bond 3.700% 2/02/42		400,000		395,186
Provincia de Buenos Aires (c) 7.875% 6/15/27		400,000		405,080


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $10,055,763)				10,237,185


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 12.5%
Collateralized Mortgage Obligations — 6.2%
Federal Home Loan Mortgage Corp.
Series 4481, Class B 3.000% 12/15/42		8,180,678		8,265,290
Series 4483, Class CA 3.000% 6/15/44		7,696,648		7,772,018
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates Series K722, Class X1 1.311% 3/25/23 VRN		6,726,933		424,638
Series K053, Class A2 2.995% 12/25/25		463,000		467,520
Series K050, Class A2 3.334% 8/25/25 VRN		350,000		363,149
Federal National Mortgage Association Series 2016-M3, Class A2 2.702% 2/25/26		465,000		456,901
Series 2015-9, Class HA 3.000% 1/25/45		1,279,151		1,306,507
Government National Mortgage Association Series 2015-74, Class LZ 3.500% 5/20/45		3,053,770		2,995,217
Series 2015-92, Class CZ 3.500% 6/20/45		4,859,011		4,787,081

				26,838,321


	Principal Amount		Value
Pass-Through Securities — 6.3%
Federal Home Loan Mortgage Corp.
Pool #G08658 3.000% 8/01/45	$	4,326,489	$	4,295,392
Pool #G08632 3.500% 3/01/45		3,605,545		3,693,007
Federal National Mortgage Association
Pool #AL9238 3.000% 10/01/41		4,828,173		4,808,747
Pool #MA2248 3.000% 4/01/45		2,992,135		2,955,318
Pool #AS7661 3.000% 8/01/46		1,873,812		1,850,756
Pool #MA2711 3.000% 8/01/46		6,630,972		6,549,381
Pool #AX2501 4.000% 10/01/44		2,949,165		3,094,089

				27,246,690


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $54,076,051)				54,085,011


U.S. TREASURY OBLIGATIONS — 27.0%
U.S. Treasury Bonds & Notes — 27.0%
U.S. Treasury Bond 2.750% 11/15/42		11,920,000		11,353,800
U.S. Treasury Inflation Index 0.125% 7/15/24		2,331,346		2,309,592
U.S. Treasury Inflation Index 0.125% 7/15/26		2,360,057		2,302,528
U.S. Treasury Inflation Index 1.000% 2/15/46		5,686,594		5,773,024
U.S. Treasury Note 0.625% 5/31/17		3,150,000		3,149,040
U.S. Treasury Note 0.625% 9/30/17		8,170,000		8,157,904
U.S. Treasury Note 1.000% 2/15/18		11,400,000		11,393,632
U.S. Treasury Note 1.000% 5/15/18		1,030,000		1,028,636
U.S. Treasury Note 1.000% 5/31/18		6,590,000		6,580,012
U.S. Treasury Note 1.500% 5/31/20		10,420,000		10,394,113
U.S. Treasury Note 1.500% 2/28/23		330,000		318,989
U.S. Treasury Note 1.625% 5/15/26		14,340,000		13,452,824
U.S. Treasury Note 1.750% 12/31/20		440,000		440,303


	Principal Amount		Value
U.S. Treasury Note 1.750% 3/31/22	$	16,090,000	$	15,937,774
U.S. Treasury Note 2.000% 11/30/20		9,950,000		10,051,521
U.S. Treasury Note 2.125% 2/29/24		2,890,000		2,874,557
U.S. Treasury Note 2.250% 3/31/21		10,970,000		11,164,546

				116,682,795


TOTAL U.S. TREASURY OBLIGATIONS (Cost $117,425,503)				116,682,795


TOTAL BONDS & NOTES (Cost $411,581,848)				409,751,631


	Number of Shares
MUTUAL FUNDS — 2.0%
Diversified Financial Services — 2.0%
DoubleLine Floating Rate Fund		859,180		8,505,884


TOTAL MUTUAL FUNDS (Cost $8,754,937)				8,505,884


TOTAL LONG-TERM INVESTMENTS (Cost $420,355,589)				418,269,496


	Principal Amount
SHORT-TERM INVESTMENTS — 4.1%
Repurchase Agreement — 4.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (f)	$	17,626,730		17,626,730


TOTAL SHORT-TERM INVESTMENTS (Cost $17,626,730)				17,626,730


TOTAL INVESTMENTS — 101.0% (Cost $437,982,319) (g)				435,896,226


Other Assets/(Liabilities) — (1.0)%				(4,261,327	)


NET ASSETS — 100.0%			$	431,634,899

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

CLO	Collateralized Loan Obligation

Notes to Portfolio of Investments (Continued)

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

PAC	Planned Amortization Class

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

(a)	Non-income producing security.

(b)

Security exempt from registration under Regulation S of the Securities Act of 1933, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. At March 31, 2017, these securities amounted to a value of $22,300,377 or 5.17% of net assets.

(c)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to a value of $80,031,575 or 18.54% of net assets.

(d)	A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(e)	Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At March 31, 2017, these securities amounted to a value of $54,000 or 0.01% of net assets.

(f)	Maturity value of $17,626,804. Collateralized by U.S. Government Agency obligations with rates ranging from 1.000% – 1.625%, maturity dates ranging from 5/15/18 – 4/30/19, and an aggregate market value, including accrued interest, of $17,983,063.

(g)	See Note 3 for aggregate cost for federal tax purposes.



	Number of Shares		Value
EQUITIES — 97.5%

COMMON STOCK — 97.5%
Basic Materials — 2.9%
Chemicals — 1.6%
E.I. du Pont de Nemours & Co.		65,352	$	5,249,726
Eastman Chemical Co.		92,020		7,435,216

				12,684,942

Iron & Steel — 0.7%
Nucor Corp.		100,420		5,997,082

Mining — 0.6%
Goldcorp, Inc. (a)		356,650		5,203,524

				23,885,548

Communications — 7.0%
Internet — 0.9%
Alphabet, Inc. Class A (b)		4,700		3,984,660
Symantec Corp.		112,740		3,458,863

				7,443,523

Media — 3.2%
Comcast Corp. Class A		457,660		17,203,439
DISH Network Corp. Class A (b)		58,040		3,684,960
The Walt Disney Co.		47,290		5,362,213

				26,250,612

Telecommunications — 2.9%
CenturyLink, Inc. (a)		111,270		2,622,634
Cisco Systems, Inc.		178,093		6,019,544
T-Mobile US, Inc. (b)		130,890		8,454,185
Verizon Communications, Inc.		88,479		4,313,351
Vodafone Group PLC Sponsored ADR (United Kingdom)		107,520		2,841,754

				24,251,468

				57,945,603

Consumer, Cyclical — 6.3%
Airlines — 0.7%
Delta Air Lines, Inc.		77,700		3,571,092
Southwest Airlines Co.		44,660		2,400,922

				5,972,014

Home Furnishing — 0.4%
Whirlpool Corp.		20,000		3,426,600

Housewares — 0.5%
Newell Brands, Inc.		85,449		4,030,629

Leisure Time — 1.1%
Carnival Corp.		91,800		5,407,938
Harley-Davidson, Inc.		57,106		3,454,913

				8,862,851

Lodging — 0.4%
Wyndham Worldwide Corp.		35,470		2,989,766


	Number of Shares		Value
Retail — 3.2%
Advance Auto Parts, Inc.		25,431	$	3,770,400
Coach, Inc.		71,830		2,968,734
CVS Health Corp.		55,248		4,336,968
Dollar General Corp.		52,295		3,646,530
Liberty Interactive Corp. QVC Group Class A (b)		163,058		3,264,421
Rite Aid Corp. (a) (b)		322,230		1,369,478
Walgreens Boots Alliance, Inc.		87,620		7,276,841

				26,633,372

				51,915,232

Consumer, Non-cyclical — 16.7%
Agriculture — 1.4%
Philip Morris International, Inc.		98,975		11,174,277

Beverages — 0.9%
Coca-Cola European Partners PLC		68,610		2,585,911
PepsiCo, Inc.		43,435		4,858,639

				7,444,550

Biotechnology — 0.8%
Amgen, Inc.		27,310		4,480,752
Gilead Sciences, Inc.		27,980		1,900,401

				6,381,153

Commercial Services — 0.4%
Nielsen Holdings PLC		87,850		3,629,084

Cosmetics & Personal Care — 1.0%
The Procter & Gamble Co.		95,870		8,613,920

Foods — 0.9%
The Kroger Co.		73,870		2,178,426
Mondelez International, Inc. Class A		111,468		4,802,042

				6,980,468

Health Care – Products — 3.6%
Abbott Laboratories		119,439		5,304,286
Boston Scientific Corp. (b)		51,280		1,275,334
Danaher Corp.		72,378		6,190,490
Medtronic PLC		111,586		8,989,368
Thermo Fisher Scientific, Inc.		18,660		2,866,176
Zimmer Biomet Holdings, Inc.		43,000		5,250,730

				29,876,384

Health Care – Services — 2.9%
Aetna, Inc.		30,541		3,895,505
Humana, Inc.		15,951		3,288,139
UnitedHealth Group, Inc.		99,704		16,352,453

				23,536,097

Pharmaceuticals — 4.8%
Allergan PLC		20,236		4,834,785
Cardinal Health, Inc.		49,650		4,048,958
Eli Lilly & Co.		42,875		3,606,216



	Number of Shares		Value
GlaxoSmithKline PLC Sponsored ADR (United Kingdom)		69,850	$	2,944,876
Merck & Co., Inc.		78,231		4,970,798
Pfizer, Inc.		460,915		15,767,902
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		98,560		3,162,790

				39,336,325

				136,972,258

Energy — 10.2%
Oil & Gas — 6.8%
Anadarko Petroleum Corp.		85,091		5,275,642
Chevron Corp.		189,210		20,315,478
ConocoPhillips		52,268		2,606,605
Hess Corp.		112,689		5,432,737
Marathon Petroleum Corp.		90,142		4,555,777
Phillips 66		39,952		3,164,997
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom)		62,533		3,297,365
Suncor Energy, Inc.		368,780		11,339,985

				55,988,586

Oil & Gas Services — 2.7%
Baker Hughes, Inc.		38,768		2,319,102
Halliburton Co.		228,562		11,247,536
Schlumberger Ltd.		48,724		3,805,344
Weatherford International PLC (a) (b)		764,720		5,085,388

				22,457,370

Pipelines — 0.7%
Enbridge, Inc.		128,659		5,383,093

				83,829,049

Financial — 27.4%
Banks — 13.7%
Bank of America Corp.		1,431,947		33,779,630
The Bank of New York Mellon Corp.		105,030		4,960,567
Citigroup, Inc.		103,649		6,200,283
Fifth Third Bancorp		149,611		3,800,119
JP Morgan Chase & Co.		401,275		35,247,996
KeyCorp		293,590		5,220,030
Morgan Stanley		79,830		3,419,917
The PNC Financial Services Group, Inc.		60,842		7,315,642
State Street Corp.		43,161		3,436,047
Wells Fargo & Co.		169,828		9,452,627

				112,832,858

Diversified Financial Services — 5.0%
Alliance Data Systems Corp.		19,217		4,785,033
Ally Financial, Inc.		98,590		2,004,335



	Number of Shares		Value
American Express Co.		45,005	$	3,560,346
FNF Group		113,316		4,412,525
Ameriprise Financial, Inc.		61,546		7,981,285
Discover Financial Services		64,540		4,413,891
Nasdaq, Inc.		110,150		7,649,917
Synchrony Financial		178,170		6,111,231

				40,918,563

Insurance — 5.5%
American International Group, Inc.		226,409		14,134,714
Aon PLC		41,910		4,974,298
MetLife, Inc.		230,264		12,162,544
The Travelers Cos., Inc.		39,166		4,721,070
Unum Group		94,506		4,431,386
XL Group Ltd.		121,990		4,862,521

				45,286,533

Real Estate Investment Trusts (REITS) — 3.2%
Boston Properties, Inc.		23,390		3,097,070
CBRE Group, Inc. Class A (b)		108,216		3,764,835
Crown Castle International Corp.		37,820		3,572,099
Digital Realty Trust, Inc.		23,350		2,484,206
HCP, Inc.		154,070		4,819,310
Invitation Homes, Inc. (b)		95,100		2,076,033
Outfront Media, Inc.		66,625		1,768,894
Weyerhaeuser Co.		136,035		4,622,469

				26,204,916

				225,242,870

Industrial — 13.4%
Aerospace & Defense — 3.1%
Harris Corp.		51,027		5,677,774
Lockheed Martin Corp.		31,261		8,365,444
Northrop Grumman Corp.		21,124		5,024,132
United Technologies Corp.		60,689		6,809,913

				25,877,263

Building Materials — 2.3%
Johnson Controls International PLC		369,166		15,549,272
Vulcan Materials Co.		31,017		3,736,928

				19,286,200

Electronics — 1.5%
Honeywell International, Inc.		43,281		5,404,498
TE Connectivity Ltd.		88,400		6,590,220

				11,994,718

Environmental Controls — 0.4%
Waste Management, Inc.		39,840		2,905,133

Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		26,430		2,451,647

Miscellaneous – Manufacturing — 3.0%
Eaton Corp. PLC		186,678		13,842,174
Parker-Hannifin Corp.		39,903		6,397,249
Pentair PLC		69,809		4,382,609

				24,622,032



	Number of Shares		Value
Packaging & Containers — 0.9%
Sealed Air Corp.		95,812	$	4,175,487
WestRock Co.		61,140		3,181,114

				7,356,601

Transportation — 1.9%
FedEx Corp.		12,760		2,490,114
Kansas City Southern		22,340		1,915,878
Norfolk Southern Corp.		41,105		4,602,527
XPO Logistics, Inc. (b)		146,160		6,999,602

				16,008,121

				110,501,715

Technology — 10.2%
Computers — 3.1%
Apple, Inc.		102,852		14,775,718
Check Point Software Technologies Ltd. (b)		16,990		1,744,193
Diebold Nixdorf, Inc. (a)		54,465		1,672,076
HP, Inc.		250,770		4,483,768
Western Digital Corp.		35,980		2,969,429

				25,645,184

Semiconductors — 3.2%
Broadcom Ltd.		46,692		10,223,680
Micron Technology, Inc. (b)		105,746		3,056,060
NXP Semiconductor NV (b)		34,370		3,557,295
QUALCOMM, Inc.		79,744		4,572,521
Texas Instruments, Inc.		61,030		4,916,577

				26,326,133

Software — 3.9%
First Data Corp. Class A (b)		231,400		3,586,700
Microsoft Corp.		222,586		14,659,514
Oracle Corp.		132,572		5,914,037
Synopsys, Inc. (b)		102,050		7,360,866

				31,521,117

				83,492,434

Utilities — 3.4%
Electric — 3.4%
Edison International		189,100		15,054,251
Entergy Corp.		38,970		2,960,161
NextEra Energy, Inc.		39,886		5,120,166
PG&E Corp.		76,820		5,097,775

				28,232,353

TOTAL COMMON STOCK (Cost $594,892,441)				802,017,062


TOTAL EQUITIES (Cost $594,892,441)				802,017,062



	Number of Shares		Value

MUTUAL FUNDS — 1.8%
Diversified Financial Services — 1.8%
State Street Navigator Securities Lending Prime Portfolio (c)		14,861,768	$	14,861,768


TOTAL MUTUAL FUNDS (Cost $14,861,768)				14,861,768


TOTAL LONG-TERM INVESTMENTS (Cost $609,754,209)				816,878,830


	Principal Amount
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (d)	$	21,567,464		21,567,464


TOTAL SHORT-TERM INVESTMENTS (Cost $21,567,464)				21,567,464


TOTAL INVESTMENTS — 101.9% (Cost $631,321,673) (e)				838,446,294

Other Assets/(Liabilities) — (1.9)%				(15,607,091	)


NET ASSETS — 100.0%			$	822,839,203

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR	American Depositary Receipt

(a)

Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2017, was $14,311,953 or 1.74% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(b)	Non-income producing security.

(c)	Represents investment of security lending collateral. (Note 2).

(d)	Maturity value of $21,567,554. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 2.000%, maturity dates ranging from 8/31/21 – 1/31/22, and an aggregate market value, including accrued interest, of $22,005,280.

(e)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value
EQUITIES — 95.6%

COMMON STOCK — 95.6%
Basic Materials — 5.5%
Chemicals — 1.4%
Eastman Chemical Co.		300	$	24,240
Ingevity Corp. (a)		4,900		298,165
Praxair, Inc.		200		23,720

				346,125

Iron & Steel — 3.4%
ArcelorMittal (a)		46,900		391,615
Nucor Corp.		4,800		286,656
Reliance Steel & Aluminum Co.		2,100		168,042

				846,313

Mining — 0.7%
BHP Billiton Ltd. Sponsored ADR (Australia)		5,000		181,600

				1,374,038

Communications — 13.4%
Internet — 10.0%
Alphabet, Inc. Class A (a)		280		237,384
Alphabet, Inc. Class C (a)		50		41,478
Amazon.com, Inc. (a)		1,590		1,409,599
Facebook, Inc. Class A (a)		3,110		441,775
MercadoLibre, Inc.		1,030		217,814
VeriSign, Inc. (a)		1,900		165,509

				2,513,559

Media — 0.9%
News Corp. Class A		2,400		31,200
Scripps Networks Interactive Class A		2,600		203,762

				234,962

Telecommunications — 2.5%
AT&T, Inc.		5,000		207,750
Cisco Systems, Inc.		6,000		202,800
Sprint Corp. (a)		9,300		80,724
Zayo Group Holdings, Inc. (a)		3,900		128,310

				619,584

				3,368,105

Consumer, Cyclical — 9.0%
Auto Manufacturers — 1.0%
General Motors Co.		6,800		240,448

Auto Parts & Equipment — 1.5%
The Goodyear Tire & Rubber Co.		4,800		172,800
Lear Corp.		1,490		210,954

				383,754

Home Builders — 0.7%
Thor Industries, Inc.		1,900		182,647


	Number of Shares		Value
Home Furnishing — 0.5%
Sony Corp. Sponsored ADR (Japan)		3,600	$	121,428

Housewares — 0.6%
The Toro Co.		2,400		149,904

Lodging — 0.4%
MGM Resorts International		3,600		98,640

Retail — 4.3%
Burlington Stores, Inc. (a)		900		87,561
Darden Restaurants, Inc.		1,600		133,872
Domino’s Pizza, Inc.		2,380		438,634
The Home Depot, Inc.		2,000		293,660
Target Corp.		2,500		137,975

				1,091,702

				2,268,523

Consumer, Non-cyclical — 11.0%
Biotechnology — 2.8%
Amgen, Inc.		1,040		170,633
Biogen, Inc. (a)		1,170		319,901
Bioverativ, Inc. (a)		585		31,859
Celgene Corp. (a)		1,540		191,622

				714,015

Commercial Services — 4.8%
Quanta Services, Inc. (a)		5,400		200,394
United Rentals, Inc. (a)		3,000		375,150
Vantiv, Inc. Class A (a)		7,100		455,252
The Western Union Co.		8,500		172,975

				1,203,771

Health Care – Services — 0.9%
Aetna, Inc.		1,730		220,661

Pharmaceuticals — 2.5%
AbbVie, Inc.		1,600		104,256
Johnson & Johnson		2,420		301,411
McKesson Corp.		1,110		164,569
Merck & Co., Inc.		300		19,062
Pfizer, Inc.		800		27,368

				616,666

				2,755,113

Energy — 5.0%
Oil & Gas — 4.8%
Apache Corp.		400		20,556
Chevron Corp.		200		21,474
Devon Energy Corp.		1,100		45,892
Exxon Mobil Corp.		3,900		319,839
Helmerich & Payne, Inc.		4,600		306,222
Marathon Petroleum Corp.		2,600		131,404
Rowan Cos. PLC Class A (a)		7,000		109,060
Tesoro Corp.		2,900		235,074

				1,189,521


	Number of Shares		Value
Oil & Gas Services — 0.2%
Baker Hughes, Inc.		1,000	$	59,820

				1,249,341

Financial — 14.9%
Banks — 11.4%
Bank of America Corp.		7,000		165,130
Bank of Montreal		1,900		142,101
Citigroup, Inc.		8,100		484,542
The Goldman Sachs Group, Inc.		1,200		275,664
JP Morgan Chase & Co.		5,600		491,904
The PNC Financial Services Group, Inc.		6,500		781,560
Signature Bank (a)		1,630		241,876
State Street Corp.		3,100		246,791
Wells Fargo & Co.		500		27,830

				2,857,398

Diversified Financial Services — 0.6%
Legg Mason, Inc.		2,900		104,719
Visa, Inc. Class A		600		53,322

				158,041

Insurance — 1.1%
Aflac, Inc.		1,800		130,356
Berkshire Hathaway, Inc. Class B (a)		300		50,004
Torchmark Corp.		700		53,928
The Travelers Cos., Inc.		200		24,108

				258,396

Real Estate Investment Trusts (REITS) — 0.1%
Simon Property Group, Inc.		100		17,203

Savings & Loans — 1.7%
BofI Holding, Inc. (a)		5,200		135,876
Brookline Bancorp, Inc.		19,000		297,350

				433,226

				3,724,264

Industrial — 16.5%
Aerospace & Defense — 3.3%
Lockheed Martin Corp.		2,560		685,056
Spirit AeroSystems Holdings, Inc. Class A		2,500		144,800

				829,856

Building Materials — 0.6%
Owens Corning		2,500		153,425

Electrical Components & Equipment — 0.2%
Energizer Holdings, Inc.		1,070		59,653

Electronics — 4.2%
Corning, Inc.		13,600		367,200
TE Connectivity Ltd.		5,900		439,845
Waters Corp. (a)		1,520		237,591

				1,044,636


	Number of Shares		Value
Engineering & Construction — 1.0%
Fluor Corp.		4,600	$	242,052

Hand & Machine Tools — 0.8%
Regal Beloit Corp.		2,700		204,255

Machinery – Construction & Mining — 2.5%
BWX Technologies, Inc.		2,800		133,280
Caterpillar, Inc.		5,400		500,904

				634,184

Miscellaneous – Manufacturing — 1.3%
3M Co.		400		76,532
A.O. Smith Corp.		1,800		92,088
Carlisle Cos., Inc.		1,400		148,974

				317,594

Packaging & Containers — 1.7%
Graphic Packaging Holding Co.		8,400		108,108
Packaging Corporation of America		3,400		311,508

				419,616

Shipbuilding — 0.8%
Huntington Ingalls Industries, Inc.		1,000		200,240

Transportation — 0.1%
Union Pacific Corp.		200		21,184

				4,126,695

Technology — 20.3%
Computers — 3.6%
Apple, Inc.		1,210		173,829
Check Point Software Technologies Ltd. (a)		1,400		143,724
NCR Corp. (a)		3,600		164,448
NetApp, Inc.		10,300		431,055

				913,056

Semiconductors — 8.6%
Applied Materials, Inc.		13,600		529,040
ASML Holding NV		810		107,568
Broadcom Ltd.		500		109,480
Lam Research Corp.		2,900		372,244
Micron Technology, Inc. (a)		2,900		83,810
NVIDIA Corp.		4,500		490,185
NXP Semiconductor NV (a)		590		61,065
Skyworks Solutions, Inc.		2,000		195,960
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		1,200		39,408
Texas Instruments, Inc.		1,900		153,064

				2,141,824

Software — 8.1%
Activision Blizzard, Inc.		5,300		264,258
Akamai Technologies, Inc. (a)		2,300		137,310
Cadence Design Systems, Inc. (a)		11,300		354,820
Electronic Arts, Inc. (a)		7,700		689,304


	Number of Shares		Value
Fidelity National Information Services, Inc.		1,000	$	79,620
Intuit, Inc.		1,360		157,746
Leidos Holdings, Inc.		2,100		107,394
Microsoft Corp.		900		59,274
Nuance Communications, Inc. (a)		4,500		77,895
Veeva Systems, Inc. Class A (a)		2,100		107,688

				2,035,309

				5,090,189


TOTAL COMMON STOCK (Cost $19,200,038)				23,956,268


TOTAL EQUITIES (Cost $19,200,038)				23,956,268


TOTAL LONG-TERM INVESTMENTS (Cost $19,200,038)				23,956,268


	Principal Amount
SHORT-TERM INVESTMENTS — 4.4%
Repurchase Agreement — 4.4%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (b)	$	1,118,217		1,118,217


TOTAL SHORT-TERM INVESTMENTS (Cost $1,118,217)				1,118,217


TOTAL INVESTMENTS — 100.0% (Cost $20,318,255) (c)				25,074,485

Other Assets/(Liabilities) — (0.0)%				(6,909	)


NET ASSETS — 100.0%			$	25,067,576

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR American Depositary Receipt

(a)	Non-income producing security.

(b)	Maturity value of $1,118,221. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $1,142,685.

(c)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value

EQUITIES — 0.4%

PREFERRED STOCK — 0.4%
Consumer, Non-cyclical — 0.4%
Agriculture — 0.4%
Pinnacle Agriculture Holdings LLC (a) (b)		1,120,359	$	526,569


TOTAL PREFERRED STOCK (Cost $733,962)				526,569


TOTAL EQUITIES (Cost $733,962)				526,569


	Principal Amount
BONDS & NOTES — 97.5%
BANK LOANS — 6.6%
Auto Parts & Equipment — 2.3%
Tempo Acquisition LLC, Bridge Term Loan 0.000% 8/16/17	$	3,000,000		2,985,000

Entertainment — 0.4%
AMC Entertainment, Inc., 2017 Bridge Term Loan 0.250% 12/21/17		558,000		556,605

Foods — 0.3%
Del Monte Foods, Inc., 1st Lien Term Loan 5.278% 2/18/21		448,383		368,046

Oil & Gas — 3.6%
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan 8.750% 4/15/20		3,139,220		2,746,818
Chemours Co. (The), Term Loan B 6.000% 5/12/22		336,737		338,420
Fieldwood Energy LLC, 1st Lien Last Out Term Loan 8.375% 9/30/20		387,384		333,150
Fieldwood Energy LLC, 2nd Lien Term Loan 8.375% 9/30/20		863,087		614,949
Fieldwood Energy LLC, New 1st Lien Term Loan 8.000% 8/31/20		674,554		635,349

				4,668,686


TOTAL BANK LOANS (Cost $8,646,587)				8,578,337



	Principal Amount		Value
CORPORATE DEBT — 90.9%
Aerospace & Defense — 0.9%
TransDigm, Inc. 6.375% 6/15/26	$	1,219,000	$	1,219,719

Agriculture — 1.3%
Pinnacle Operating Corp. (c) 9.000% 5/15/23		1,667,522		1,659,184

Airlines — 1.1%
American Airlines Group, Inc. (c) 5.500% 10/01/19		1,391,000		1,446,640

Apparel — 1.6%
Hanesbrands, Inc. (c) 4.625% 5/15/24		266,000		262,343
Hanesbrands, Inc. (c) 4.875% 5/15/26		1,026,000		1,008,045
Perry Ellis International, Inc. 7.875% 4/01/19		730,000		730,730

				2,001,118

Auto Manufacturers — 2.4%
JB Poindexter & Co., Inc. (c) 9.000% 4/01/22		2,990,000		3,132,025

Auto Parts & Equipment — 3.5%
Allison Transmission, Inc. (c) 5.000% 10/01/24		294,000		296,940
Deck Chassis Acquisition, Inc. (c) 10.000% 6/15/23		2,013,000		2,153,910
International Automotive Components Group SA (c) 9.125% 6/01/18		2,100,000		2,084,250

				4,535,100

Chemicals — 4.3%
A Schulman, Inc. 6.875% 6/01/23		1,112,000		1,153,700
Alpha 3 BV/Alpha US Bidco, Inc. (c) 6.250% 2/01/25		329,000		333,113
The Chemours Co. 7.000% 5/15/25		409,000		440,288
Consolidated Energy Finance SA (c) 6.750% 10/15/19		1,935,000		1,949,512
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (c) 8.375% 12/01/22		1,225,000		1,261,750
Platform Specialty Products Corp. (c) 6.500% 2/01/22		423,000		438,863

				5,577,226

Coal — 1.5%
Peabody Securities Finance Corp. (c) 6.375% 3/31/25		153,000		152,235



	Principal Amount		Value
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/01/20	$	1,769,000	$	1,786,690

				1,938,925

Commercial Services — 2.8%
Cardtronics, Inc./Cardtronics USA (c) 5.500% 5/01/25		578,000		584,502
Gartner, Inc. (c) 5.125% 4/01/25		191,000		194,581
Prime Security Services Borrower LLC/Prime Finance, Inc. (c) 9.250% 5/15/23		1,121,000		1,228,896
Ritchie Bros Auctioneers, Inc. (c) 5.375% 1/15/25		187,000		191,208
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary 7.875% 6/01/21		1,385,000		1,376,344

				3,575,531

Computers — 1.5%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (c) 7.125% 6/15/24		569,000		629,018
Western Digital Corp. 10.500% 4/01/24		1,112,000		1,310,770

				1,939,788

Diversified Financial Services — 3.6%
Aircastle Ltd. 4.125% 5/01/24		857,000		858,071
Aircastle Ltd. 5.000% 4/01/23		113,000		118,933
Aircastle Ltd. 5.500% 2/15/22		113,000		121,193
Ally Financial, Inc. 8.000% 11/01/31		1,230,000		1,460,625
LPL Holdings, Inc. (c) 5.750% 9/15/25		1,364,000		1,377,640
NFP Corp. (c) 9.000% 7/15/21		657,000		694,350

				4,630,812

Electric — 0.5%
NRG Energy, Inc. (c) 6.625% 1/15/27		702,000		700,245

Engineering & Construction — 0.9%
Zachry Holdings, Inc. (c) 7.500% 2/01/20		1,090,000		1,122,700

Entertainment — 2.5%
AMC Entertainment Holdings, Inc. (c) 6.125% 5/15/27		513,000		517,489



	Principal Amount		Value
Eagle II Acquisition Co. LLC (c) 6.000% 4/01/25	$	184,000	$	189,520
Six Flags Entertainment Corp. (c) (d) 4.875% 7/31/24		1,501,000		1,485,990
WMG Acquisition Corp. (c) 5.000% 8/01/23		262,000		264,620
WMG Acquisition Corp. (c) 6.750% 4/15/22		700,000		735,875

				3,193,494

Foods — 2.2%
C&S Group Enterprises LLC (c) 5.375% 7/15/22		143,000		141,213
KeHE Distributors LLC/KeHE Finance Corp. (c) 7.625% 8/15/21		650,000		654,875
Post Holdings, Inc. (c) 5.500% 3/01/25		309,000		310,545
Post Holdings, Inc. (c) 5.750% 3/01/27		382,000		381,045
Post Holdings, Inc. (c) 7.750% 3/15/24		741,000		817,108
Post Holdings, Inc. (c) 8.000% 7/15/25		485,000		544,412

				2,849,198

Forest Products & Paper — 1.0%
Appvion, Inc. (c) 9.000% 6/01/20		2,157,000		1,267,238

Gas — 0.9%
LBC Tank Terminals Holding Netherlands BV (c) 6.875% 5/15/23		1,111,000		1,152,796

Health Care – Products — 2.4%
Alere, Inc. 6.500% 6/15/20		1,485,000		1,496,137
Halyard Health, Inc. 6.250% 10/15/22		1,300,000		1,339,000
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (c) 5.500% 4/15/25		52,000		47,840
Mallinckrodt International Finance SA/Mallinckrodt CB LLC (c) 5.625% 10/15/23		224,000		213,360

				3,096,337

Health Care – Services — 2.3%
CHS/Community Health Systems, Inc. 6.250% 3/31/23		239,000		243,182
CHS/Community Health Systems, Inc. 6.875% 2/01/22		492,000		423,120
HCA, Inc. 5.875% 2/15/26		1,138,000		1,200,590



	Principal Amount		Value
RegionalCare Hospital Partners Holdings, Inc. (c) 8.250% 5/01/23	$	176,000	$	187,792
Tenet Healthcare Corp. 8.000% 8/01/20		608,000		617,880
Tenet Healthcare Corp. 8.125% 4/01/22		340,000		354,875

				3,027,439

Home Builders — 2.6%
Brookfield Residential Properties, Inc. (c) 6.375% 5/15/25		491,000		505,116
Century Communities, Inc. (c) 6.875% 5/15/22		1,002,000		1,042,080
Lennar Corp. 4.750% 5/30/25		1,101,000		1,103,753
William Lyon Homes, Inc. 7.000% 8/15/22		684,000		714,780

				3,365,729

Insurance — 0.9%
York Risk Services Holding Corp. (c) 8.500% 10/01/22		1,212,000		1,133,220

Internet — 1.6%
Netflix, Inc. (c) 4.375% 11/15/26		727,000		714,277
Symantec Corp. (c) 5.000% 4/15/25		766,000		785,479
TIBCO Software, Inc. (c) 11.375% 12/01/21		551,000		610,233

				2,109,989

Iron & Steel — 0.9%
Allegheny Technologies, Inc. 5.950% 1/15/21		1,192,000		1,174,120

Leisure Time — 3.2%
Brunswick Corp. 7.375% 9/01/23		285,000		334,105
Brunswick Corp. 7.125% 8/01/27		2,245,000		2,641,355
Carlson Travel, Inc. (c) 6.750% 12/15/23		396,000		411,840
Carlson Travel, Inc. (c) 9.500% 12/15/24		662,000		693,445

				4,080,745

Machinery – Diversified — 1.0%
Gardner Denver, Inc. (c) 6.875% 8/15/21		1,220,000		1,259,650

Media — 7.7%
Altice Financing SA (c) 6.625% 2/15/23		600,000		624,600



	Principal Amount		Value
Altice Finco SA (c) 8.125% 1/15/24	$	615,000	$	658,050
Altice Luxembourg SA (c) 7.625% 2/15/25		1,000,000		1,056,875
CCO Holdings LLC/CCO Holdings Capital Corp. (c) 5.875% 4/01/24		1,500,000		1,582,500
Clear Channel Worldwide Holdings, Inc. 7.625% 3/15/20		894,000		900,705
DISH DBS Corp. 7.750% 7/01/26		987,000		1,147,387
Midcontinent Communications/Midcontinent Finance Corp. (c) 6.875% 8/15/23		864,000		919,080
SFR Group SA (c) 6.000% 5/15/22		476,000		493,255
SFR Group SA (c) 6.250% 5/15/24		260,000		261,625
SFR Group SA (c) 7.375% 5/01/26		600,000		618,000
Sirius XM Radio, Inc. (c) 5.375% 4/15/25		1,457,000		1,491,239
Sirius XM Radio, Inc. (c) 5.375% 7/15/26		167,000		170,758

				9,924,074

Mining — 3.7%
First Quantum Minerals Ltd. (c) 7.250% 4/01/23		659,000		666,414
First Quantum Minerals Ltd. (c) 7.500% 4/01/25		652,000		656,890
Freeport-McMoRan, Inc. (c) 6.875% 2/15/23		750,000		774,375
Hecla Mining Co. 6.875% 5/01/21		1,271,000		1,299,597
Kinross Gold Corp. 5.950% 3/15/24		441,000		466,357
Kinross Gold Corp. 6.875% 9/01/41		476,000		481,950
Teck Resources Ltd. (c) 8.500% 6/01/24		342,000		394,583

				4,740,166

Miscellaneous – Manufacturing — 2.4%
Amsted Industries, Inc. (c) 5.375% 9/15/24		850,000		852,125
CTP Transportation Products LLC/CTP Finance, Inc. (c) 8.250% 12/15/19		825,000		726,000
EnPro Industries, Inc. 5.875% 9/15/22		1,271,000		1,315,485



	Principal Amount		Value
LSB Industries, Inc. STEP 8.500% 8/01/19	$	255,000	$	247,350

				3,140,960

Oil & Gas — 8.0%
Chesapeake Energy Corp. (c) 8.000% 1/15/25		898,000		898,000
Citgo Holding, Inc. (c) 10.750% 2/15/20		1,677,000		1,802,775
EP Energy LLC/Everest Acquisition Finance, Inc. (c) 8.000% 2/15/25		1,081,000		1,005,330
EP Energy LLC/Everest Acquisition Finance, Inc. 9.375% 5/01/20		356,000		335,601
Jupiter Resources, Inc. (c) 8.500% 10/01/22		2,310,000		1,888,425
Kosmos Energy Ltd. (c) 7.875% 8/01/21		1,823,000		1,836,672
PBF Holding Co. LLC/PBF Finance Corp. STEP 7.000% 11/15/23		47,000		47,118
Rowan Cos., Inc. 7.375% 6/15/25		244,000		245,220
Sunoco LP/Sunoco Finance Corp. 6.250% 4/15/21		1,200,000		1,224,000
Tullow Oil PLC (c) 6.250% 4/15/22		1,045,000		977,075

				10,260,216

Packaging & Containers — 2.6%
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (c) 6.000% 2/15/25		771,000		779,674
Coveris Holdings SA (c) 7.875% 11/01/19		2,641,000		2,601,385

				3,381,059

Pharmaceuticals — 2.2%
Endo Ltd./Endo Finance LLC/Endo Finco, Inc. STEP (c) 6.000% 2/01/25		681,000		580,552
Valeant Pharmaceuticals International, Inc. (c) 5.500% 3/01/23		452,000		348,040
Valeant Pharmaceuticals International, Inc. (c) 5.875% 5/15/23		193,000		149,816
Valeant Pharmaceuticals International, Inc. (c) 6.125% 4/15/25		1,643,000		1,265,110
Valeant Pharmaceuticals International, Inc. (c) 6.500% 3/15/22		171,000		175,916



	Principal Amount		Value
Valeant Pharmaceuticals International, Inc. (c) 7.000% 3/15/24	$	290,000	$	297,613

				2,817,047

Pipelines — 1.1%
Genesis Energy LP/Genesis Energy Finance Corp. 6.000% 5/15/23		1,171,000		1,176,855
Genesis Energy LP/Genesis Energy Finance Corp. 6.750% 8/01/22		270,000		278,370

				1,455,225

Private Equity — 1.2%
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.875% 2/01/22		1,500,000		1,522,500

Real Estate Investment Trusts (REITS) — 0.6%
RHP Hotel Properties LP/RHP Finance Corp. 5.000% 4/15/23		789,000		800,835

Retail — 1.3%
Ferrellgas LP/Ferrellgas Finance Corp. 6.750% 1/15/22		500,000		472,500
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. 8.625% 6/15/20		742,000		710,465
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. (c) 8.625% 6/15/20		449,000		429,918

				1,612,883

Software — 0.6%
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. (c) 5.750% 3/01/25		545,000		558,625
RP Crown Parent LLC (c) 7.375% 10/15/24		191,000		199,118

				757,743

Telecommunications — 7.4%
CommScope Technologies LLC (c) 5.000% 3/15/27		267,000		266,586
Digicel Ltd. (c) 6.000% 4/15/21		1,025,000		931,469
GCI, Inc. 6.875% 4/15/25		1,550,000		1,623,625
GTT Escrow Corp. (c) 7.875% 12/31/24		644,000		668,150
Hughes Satellite Systems Corp. (c) 5.250% 8/01/26		805,000		802,988
Hughes Satellite Systems Corp. (c) 6.625% 8/01/26		272,000		278,120



	Principal Amount		Value
Sprint Corp. 7.250% 9/15/21	$	745,000	$	804,227
Sprint Corp. 7.875% 9/15/23		1,578,000		1,747,635
T-Mobile USA, Inc. 6.000% 4/15/24		453,000		483,011
T-Mobile USA, Inc. 6.500% 1/15/26		679,000		743,505
West Corp. (c) 5.375% 7/15/22		1,270,000		1,247,775

				9,597,091

Transportation — 4.7%
The Kenan Advantage Group, Inc. (c) 7.875% 7/31/23		3,200,000		3,272,000
Topaz Marine SA (c) 8.625% 11/01/18		1,509,000		1,486,365
Watco Cos. LLC/Watco Finance Corp. (c) 6.375% 4/01/23		1,263,000		1,281,945

				6,040,310


TOTAL CORPORATE DEBT (Cost $115,497,318)				117,239,077


TOTAL BONDS & NOTES (Cost $124,143,905)				125,817,414


TOTAL LONG-TERM INVESTMENTS (Cost $124,877,867)				126,343,983


SHORT-TERM INVESTMENTS — 3.9%
Commercial Paper — 1.9%
FMC Corp. (c) 1.110% 4/03/17		2,400,000		2,399,780

Time Deposit — 2.0%
Euro Time Deposit 0.090% 4/03/17		2,519,098		2,519,098


TOTAL SHORT-TERM INVESTMENTS (Cost $4,918,950)				4,918,878


TOTAL INVESTMENTS — 101.8% (Cost $129,796,817) (e)				131,262,861

Other Assets/(Liabilities) — (1.8)%				(2,314,360	)


NET ASSETS — 100.0%			$	128,948,501

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

STEP	Step Up Bond

(a)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At March 31, 2017, these securities amounted to a value of $526,569 or 0.41% of net assets.

(b)	Non-income producing security.

(c)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to a value of $79,344,599 or 61.53% of net assets.

(d)	A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(e)	See Note 3 for aggregate cost for federal tax purposes.


	Principal Amount		Value
BONDS & NOTES — 131.7%

CORPORATE DEBT — 5.5%
Auto Manufacturers — 1.8%
Daimler Finance North America LLC 3 mo. USD LIBOR + .340%, FRN (a) 1.374% 8/01/17	$	6,000,000	$	6,005,610
General Motors Financial Co., Inc. 3 mo. USD LIBOR + 2.060%, FRN 3.082% 1/15/19		1,720,000		1,763,712

				7,769,322

Banks — 1.3%
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .625%, FRN 1.725% 6/04/17		1,875,000		1,876,671
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .800%, FRN 1.931% 12/15/17		1,750,000		1,756,251
The Huntington National Bank 3 mo. USD LIBOR + .425%, FRN 1.468% 4/24/17		935,000		935,239
MUFG Americas Holdings Corp. 3 mo. USD LIBOR + .570%, FRN 1.608% 2/09/18		1,130,000		1,130,540

				5,698,701

Computers — 0.7%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 3.480% 6/01/19		1,100,000		1,127,183
Hewlett Packard Enterprise Co. 3 mo. USD LIBOR + 1.930%, FRN 2.928% 10/05/18		1,700,000		1,734,716

				2,861,899

Diversified Financial Services — 0.4%
Ally Financial, Inc. 3.600% 5/21/18		1,705,000		1,726,313

Insurance — 0.9%
Marsh & McLennan Cos., Inc. 2.300% 4/01/17		3,800,000		3,800,000

Pharmaceuticals — 0.4%
Actavis Funding SCS 3 mo. USD LIBOR + 1.080%, FRN 2.200% 3/12/18		1,750,000		1,761,809


TOTAL CORPORATE DEBT (Cost $19,152,183)				23,618,044


	Principal Amount		Value
MUNICIPAL OBLIGATIONS — 0.0%
Louisiana State Public Facilities Authority, Series 2011-A, Class A2 FRN 1.938% 4/26/27	$	199,237	$	198,506


TOTAL MUNICIPAL OBLIGATIONS (Cost $199,237)				198,506


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 35.6%
Auto Floor Plan ABS — 0.5%
Ally Master Owner Trust, Series 2015-2, Class A1, 1 mo. LIBOR + .570%, FRN 1.340% 1/15/21		1,200,000		1,203,592
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) 2.332% 9/27/21		780,000		780,698
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) 2.478% 10/20/20		330,000		330,000

				2,314,290

Automobile ABS — 10.4%
American Credit Acceptance Receivables Trust, Series 2015-2, Class A (a) 1.570% 6/12/19		44,557		44,556
American Credit Acceptance Receivables Trust, Series 2015-3, Class A (a) 1.950% 9/12/19		319,996		320,021
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) 2.220% 7/13/20		209,933		210,002
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		143,333		143,486
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) 2.390% 2/16/21		950,000		949,711
Bank of The West Auto Trust, Series 2014-1, Class A4 (a) 1.650% 3/16/20		600,000		600,831
California Republic Auto Receivables Trust, Series 2013-2, Class A2 1.230% 3/15/19		72,396		72,355
California Republic Auto Receivables Trust, Series 2013-1, Class A2 (a) 1.410% 9/17/18		15,690		15,687

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
California Republic Auto Receivables Trust, Series 2015-4, Class A2 (a) 1.600% 9/17/18	$	279,892	$	279,950
CFC LLC, Series 2015-1A, Class A (a) 1.750% 6/15/21		247,139		246,976
CFC LLC, Series 2014-2A, Class A (a) 1.440% 11/16/20		88,297		88,241
Chesapeake Funding II LLC, Series 2016-2A, Class A2, 1 mo. USD LIBOR + 1.000%, FRN (a) 1.912% 6/15/28		1,960,000		1,969,634
Chesapeake Funding LLC, Series 2015-1A, Class B, 1 mo. LIBOR + .950%, FRN (a) 1.784% 2/07/27		350,000		347,372
CPS Auto Trust, Series 2014-B, Class A (a) 1.110% 11/15/18		38,670		38,664
CPS Auto Trust, Series 2013-A, Class A (a) 1.310% 6/15/20		181,925		181,873
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		412,600		412,681
CPS Auto Trust, Series 2015-A, Class A (a) 1.530% 7/15/19		161,920		161,939
CPS Auto Trust, Series 2016-C, Class A (a) 1.620% 1/15/20		270,915		270,501
CPS Auto Trust, Series 2015-B, Class A (a) 1.650% 11/15/19		374,495		374,458
CPS Auto Trust, Series 2015-C, Class A (a) 1.770% 6/17/19		228,411		228,579
CPS Auto Trust, Series 2013-B, Class A (a) 1.820% 9/15/20		235,744		235,782
CPS Auto Trust, Series 2016-A, Class A (a) 2.250% 10/15/19		325,081		326,070
CPS Auto Trust, Series 2015-C, Class B (a) 2.550% 2/18/20		630,000		631,244
CPS Auto Trust, Series 2014-C, Class A (a) 1.310% 2/15/19		83,835		83,828
CPS Auto Trust, Series 2012-D, Class A (a) 1.480% 3/16/20		74,573		74,577
CPS Auto Trust, Series 2016-B, Class A (a) 2.070% 11/15/19		173,956		174,219


	Principal Amount		Value
CPS Auto Trust, Series 2017-A, Class B (a) 2.680% 5/17/21	$	2,000,000	$	1,995,013
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) 1.880% 3/15/22		354,958		355,270
Drive Auto Receivables Trust, Series 2016-BA, Class A3 (a) 1.670% 7/15/19		743,137		743,566
Drive Auto Receivables Trust, Series 2016-AA, Class A3 (a) 2.110% 5/15/19		310,956		310,964
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		360,000		361,939
DT Auto Owner Trust, Series 2015-3A, Class A (a) 1.660% 3/15/19		28,960		28,959
DT Auto Owner Trust, Series 2016-2A, Class A (a) 1.730% 8/15/19		387,049		386,901
DT Auto Owner Trust, Series 2016-3A, Class A (a) 1.750% 11/15/19		270,420		270,648
DT Auto Owner Trust, Series 2016-1A, Class A (a) 2.000% 9/16/19		473,705		474,096
DT Auto Owner Trust, Series 2016-1A, Class B (a) 2.790% 5/15/20		2,150,000		2,156,633
Enterprise Fleet Financing LLC, Series 2016-2, Class A1 (a) 0.850% 7/20/17		828,743		828,587
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) 1.830% 9/20/21		853,819		854,030
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) 1.540% 11/15/19		99,359		99,340
Exeter Automobile Receivables Trust, Series 2015-1A, Class A (a) 1.600% 6/17/19		43,687		43,683
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) 2.000% 3/16/20		393,248		393,482
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) 2.840% 8/16/21		420,000		418,528
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) 3.000% 12/15/21		700,000		703,509
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) 1.590% 12/16/19		413,161		413,255

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) 1.920% 5/15/20	$	708,028	$	708,549
Flagship Credit Auto Trust, Series 2014-2, Class A (a) 1.430% 12/16/19		80,911		80,817
Flagship Credit Auto Trust, Series 2016-3, Class A1 (a) 1.610% 12/15/19		873,716		871,965
Flagship Credit Auto Trust, Series 2015-1, Class A (a) 1.630% 6/15/20		259,423		258,495
Flagship Credit Auto Trust, Series 2015-2, Class A (a) 1.980% 10/15/20		628,674		629,262
Flagship Credit Auto Trust, Series 2015-3, Class A (a) 2.380% 10/15/20		995,709		997,488
Flagship Credit Auto Trust, Series 2016-4, Class C (a) 2.710% 11/15/22		680,000		670,824
Flagship Credit Auto Trust, Series 2016-1, Class A (a) 2.770% 12/15/20		632,053		636,636
Flagship Credit Auto Trust, Series 2017-1, Class B (a) 2.830% 3/15/23		1,320,000		1,318,737
Flagship Credit Auto Trust, Series 2013-2, Class B (a) 3.210% 8/15/19		474,146		475,877
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) 2.250% 12/15/20		347,610		347,048
Hertz Fleet Lease Funding LP, Series 2016-1, Class A1, 1 mo. USD LIBOR + 1.100%, FRN (a) 1.958% 4/10/30		1,470,000		1,476,596
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) 2.612% 4/15/21		960,000		971,580
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		750,000		739,093
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.612% 7/15/20		412,064		412,247
Oscar US Funding Trust V, Series 2016-2A, Class A1 (a) 0.900% 9/17/17		53,567		53,514
Oscar US Funding Trust VI, Series 2017-1A, Class A1 (a) 1.180% 4/10/18		3,250,000		3,247,712


	Principal Amount		Value
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) 2.820% 6/10/21	$	500,000	$	499,440
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) 3.300% 5/10/24		420,000		419,618
Prestige Auto Receivables Trust, Series 2015-1, Class B (a) 2.040% 4/15/21		700,000		702,051
Santander Drive Auto Receivables Trust, Series 2016-1, Class A2B, 1 mo. USD LIBOR + .780%, FRN 1.692% 7/15/19		852,928		853,963
Santander Drive Auto Receivables Trust, Series 2014-2, Class C 2.330% 11/15/19		2,844,301		2,852,033
Santander Drive Auto Receivables Trust, Series 2014-1, Class C 2.360% 4/15/20		433,207		434,364
Santander Drive Auto Receivables Trust, Series 2015-2, Class C 2.440% 4/15/21		1,200,000		1,208,714
Tidewater Auto Receivables Trust, Series 2016-AA, Class A2 (a) 2.300% 9/15/19		661,893		661,419
Westlake Automobile Receivables Trust, Series 2016-3A, Class A1 (a) 0.950% 10/16/17		693,835		693,735
Westlake Automobile Receivables Trust, Series 2015-2A, Class A2A (a) 1.280% 7/16/18		15,634		15,633
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) 1.570% 6/17/19		637,593		637,592
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) 1.962% 1/15/19		1,564,338		1,565,322
Wheels SPV 2 LLC, Series 2016-1A, Class A1 (a) 0.850% 8/20/17		623,082		622,896

				44,384,860

Commercial MBS — 0.4%
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, 1 mo. LIBOR + .800%, FRN (a) 1.712% 3/15/29		1,185,000		1,186,463
DBRR Trust, Series 2013-EZ3, Class A, VRN (a) 1.636% 12/18/49		20,708		20,691
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.728% 7/10/38		424,025		424,222

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class AM, VRN 5.939% 4/17/45	$	25,067	$	25,079
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN 5.508% 2/12/44		258,994		259,007

				1,915,462

Home Equity ABS — 0.1%
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN 1.717% 8/25/35		201,851		202,424

Other ABS — 13.4%
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.112% 3/15/41		793,650		771,535
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.112% 6/15/41		2,164,082		2,108,760
321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.112% 12/15/41		504,313		491,213
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.112% 3/15/42		833,624		796,515
321 Henderson Receivables II LLC, Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.968% 9/15/41		237,972		224,163
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) 1.639% 2/15/21		949,633		930,640
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.662% 12/15/42		902,706		877,942
AVANT Loans Funding Trust, Series 2016-C, Class A (a) 2.960% 9/16/19		135,733		135,953
AVANT Loans Funding Trust, Series 2016-A, Class A (a) 4.110% 5/15/19		125,341		125,386
BCC Funding VIII LLC, Series 2014-1A, Class A (a) 1.794% 6/20/20		22,390		22,362
BCC Funding X LLC, Series 2015-1, Class A2 (a) 2.224% 10/20/20		483,000		482,612


	Principal Amount		Value
BCC Funding XIII LLC, Series 2016-1, Class A1 (a) 1.100% 9/20/17	$	1,310,615	$	1,309,505
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) 2.487% 12/16/41		646,250		638,346
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		1,252,835		1,261,767
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) 2.000% 12/10/23		895,517		889,361
Citi Held For Asset Issuance, Series 2015-PM2, Class A (a) 2.350% 3/15/22		55,774		55,754
Citi Held For Asset Issuance, Series 2015-PM3, Class A (a) 2.560% 5/16/22		47,363		47,322
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, Series 2005-OPT3, Class M2, 1 mo. USD LIBOR + .675%, FRN 1.657% 5/25/35		496,655		497,591
Consumer Credit Origination Loan Trust, Series 2015-1, Class A (a) 2.820% 3/15/21		1,893		1,904
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) 3.960% 7/15/22		340,009		342,922
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.442% 9/25/34		83,564		83,384
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		960,400		965,641
Dell Equipment Finance Trust, Series 2015-2, Class A2B, 1 mo. USD LIBOR + .900%, FRN (a) 1.877% 12/22/17		325,676		325,866
Diamond Resorts Owner Trust, Series 2013-1, Class A (a) 1.950% 1/20/25		482,563		478,589
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) 2.270% 5/20/26		801,615		797,469
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		131,196		130,960
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) 3.540% 5/22/28		250,968		250,552

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) 5.216% 1/25/42	$	1,017,170	$	1,036,295
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39		333,333		328,013
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) 3.873% 7/15/23		443,438		446,246
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B (a) 3.020% 2/25/27		325,556		320,606
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		463,077		464,697
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.612% 5/25/36		58,975		58,902
FNA Trust, Series 2015-1, Class A (a) 3.240% 12/10/23		390,417		388,074
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		104,933		104,933
Green Tree Agency Advance Funding Trust I, Series 2015-T2, Class AT2 (a) 3.095% 10/15/48		840,000		839,353
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) 1.770% 11/25/26		199,296		195,238
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.173% 7/15/25		1,500,000		1,498,259
LCM XXIII Ltd., Series 23A, Class X, 3 mo. USD LIBOR + 1.200%, FRN (a) 2.956% 10/20/29		1,160,000		1,159,992
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.807% 6/25/35		263,581		263,213
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) 3.620% 2/20/29		770,000		774,019
Marlette Funding Trust, Series 2017-1A, Class A (a) 2.827% 3/15/24		1,740,000		1,741,259
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		857,258		855,608
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		713,176		708,534


	Principal Amount		Value
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + ..945%, FRN 1.927% 4/25/35	$	263,277	$	263,856
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		51,563		51,513
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) 3.610% 2/20/21		566,404		569,471
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) 2.120% 11/15/18		389,011		388,727
New Residential Advance Receivables Trust, Series 2016-T1, Class AT1 (a) 2.751% 6/15/49		500,000		499,140
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) 2.575% 10/15/49		3,800,000		3,759,625
NYCTL Trust, Series 2016-A, Class A (a) 1.470% 11/10/29		3,142,635		3,120,815
OHA Credit Partners XIII Ltd., Series 2016-13A, Class X, 3 mo. USD LIBOR + 1.250%, FRN (a) 2.349% 1/21/30		1,170,000		1,169,947
OneMain Financial Issuance Trust, Series 2014-1A, Class A (a) 2.430% 6/18/24		78,831		78,863
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) 2.610% 3/08/29		626,409		617,221
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22		189,415		189,024
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		500,000		495,002
PFS Financing Corp., Series 2014-BA, Class A, 1 mo. LIBOR + .600%, FRN (a) 1.512% 10/15/19		1,100,000		1,098,252
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + ..250%, FRN (a) 1.232% 2/25/37		161,219		160,547
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A (a) 2.050% 6/20/31		396,795		395,797
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A (a) 2.280% 11/20/25		336,812		336,087
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) 2.300% 10/20/31		413,529		411,686

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32	$	89,572	$	89,782
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A (a) 1.590% 11/20/29		113,264		112,967
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (a) 3.020% 6/20/32		171,665		168,666
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) 3.050% 12/26/25		778,348		779,164
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) 3.060% 9/25/28		3,793,145		3,788,411
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		1,156,195		1,155,278
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		1,538,391		1,539,901
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) 3.280% 2/25/26		1,500,000		1,493,288
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		1,390,654		1,399,182
Springleaf Funding Trust, Series 2016-AA, Class A (a) 2.900% 11/15/29		1,830,000		1,840,468
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (a) 2.920% 7/15/47		420,000		420,644
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) 2.000% 9/20/29		752,583		745,019
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		845,750		849,456
TAL Advantage LLC, Series 2014-2A, Class A1 (a) 1.700% 5/20/39		351,277		347,109
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 1 mo. USD LIBOR + 2.500%, FRN (a) 3.412% 7/15/41		399,382		394,821
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) 4.370% 7/15/41		380,364		377,527
Westgate Resorts LLC, Series 2014-1A, Class A (a) 2.150% 12/20/26		295,009		291,673


	Principal Amount		Value
Westgate Resorts LLC, Series 2015-1A, Class A (a) 2.750% 5/20/27	$	378,880	$	378,003
Westgate Resorts LLC, Series 2015-2A, Class A (a) 3.200% 7/20/28		647,621		644,321
Westgate Resorts LLC, Series 2017-1A, Class A (a) 3.250% 12/20/30		880,000		878,900

				57,527,408

Student Loans ABS — 10.7%
Academic Loan Funding Trust, Series 2013-1A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 1.782% 12/26/44		2,584,034		2,587,905
Access Group, Inc., Series 2006-1, Class A2, 3 mo. USD LIBOR + .110%, FRN 1.162% 8/25/23		129,297		129,207
Access Group, Inc., Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN 1.230% 11/22/24		245,088		244,533
Access Group, Inc., Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN 1.298% 4/25/29		94,056		93,847
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.743% 7/01/38		181,600		174,944
Brazos Higher Education Authority, Inc., Series 2006-2, Class A10, 3 mo. USD LIBOR + .120%, FRN 0.446% 6/25/26		450,000		430,087
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN 1.251% 3/15/26		885,721		883,711
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN 1.512% 1/15/37		678,155		592,736
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3, 3 mo. LIBOR + .210%, FRN 1.361% 9/28/26		55,758		55,729
DRB Prime Student Loan Trust, Series 2015-A, Class A3 2.320% 4/25/30		184,741		183,705
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 2.480% 10/25/44		1,911,683		1,917,418

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) 2.540% 4/27/26	$	307,830	$	304,151
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.682% 1/25/40		1,100,649		1,095,206
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		818,747		816,254
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 2.982% 4/25/40		340,527		339,595
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) 2.832% 10/27/36		1,415,761		1,415,760
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) 3.032% 2/26/35		1,002,379		1,005,947
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.093% 12/27/66		2,100,000		2,099,750
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 2.332% 7/26/66		1,471,663		1,470,707
Edsouth Indenture No. 9 LLC, Series 2015-1, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 1.782% 10/25/56		693,495		689,502
Educational Services of America, Series 2015-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 12/25/58		1,000,000		934,400
Goal Capital Funding Trust, Series 2010-1, Class A, 3 mo. USD LIBOR + .700%, FRN (a) 1.752% 8/25/48		520,262		515,746
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN 1.534% 12/01/31		513,941		510,924
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2, 3 mo. USD LIBOR + .300%, FRN 1.337% 10/28/41		100,285		100,204
KeyCorp Student Loan Trust, Series 2000-A, Class A2, 3 mo. USD LIBOR + .320%, FRN 1.372% 5/25/29		637,958		618,377


	Principal Amount		Value
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.463% 9/27/35	$	1,133,425	$	1,122,723
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 1.222% 11/27/28		119,432		118,876
Navient Private Education Loan Trust, Series 2015-AA, Class A1, 1 mo. USD LIBOR + .500%, FRN (a) 1.412% 12/15/21		156,428		156,393
Navient Private Education Loan Trust, Series 2016-3A, Class A2, 1 mo. USD LIBOR + .850%, FRN (a) 1.832% 6/25/65		750,000		753,416
Navient Private Education Loan Trust, Series 2015-AA, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.112% 12/15/28		900,000		912,844
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 2.232% 6/25/65		3,034,924		3,079,885
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) 2.282% 3/25/66		2,200,000		2,233,018
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.528% 12/26/40		1,148,114		1,148,113
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN 1.158% 4/25/31		650,000		646,884
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.403% 6/25/41		485,446		416,610
Nelnet Student Loan Trust, Series 2010-4A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 1.782% 4/25/46		125,647		126,426
Nelnet Student Loan Trust, Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 6/25/41		375,000		330,329
Pennsylvania Higher Education Assistance Agency, Series 2004-1, Class A2, 28 Day ARS, FRN 2.096% 4/25/44		500,000		493,845

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 1.193% 7/15/36	$	2,153,770	$	2,153,768
SLM Private Education Loan Trust, Series 2014-A, Class A1, 1 mo. USD LIBOR + .600%, FRN (a) 1.512% 7/15/22		219,541		219,478
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. USD LIBOR + 2.500%, FRN (a) 3.412% 1/15/43		440,000		459,836
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN 1.148% 1/26/43		600,000		562,063
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 1.178% 10/25/28		700,000		690,609
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN 1.248% 10/25/40		518,966		452,722
SLM Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .220%, FRN 1.258% 1/25/41		532,309		459,060
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN 1.338% 7/25/25		400,000		394,006
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN 1.348% 1/25/40		535,883		483,532
SLM Student Loan Trust, Series 2003-12, Class A5, 3 mo. USD LIBOR + .280%, FRN (a) 1.411% 9/15/22		243,924		243,838
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN 1.508% 10/25/64		406,556		354,348
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN 1.781% 12/15/38		599,487		539,652
SLM Student Loan Trust, Series 2005-6, Class A5B, 3 mo. USD LIBOR + 1.200%, FRN 2.238% 7/27/26		392,466		394,349


	Principal Amount		Value
SLM Student Loan Trust, Series 2002-7, Class A11, 28 Day ARS, FRN 3.270% 3/15/28	$	240,000	$	240,000
SLM Student Loan Trust, Series 2003-2, Class A7, 28 Day ARS, FRN 4.250% 9/15/28		750,000		750,000
SLM Student Loan Trust, Series 2003-5, Class A9, 28 Day ARS, FRN 4.250% 6/17/30		700,000		700,000
SLM Student Loan Trust, Series 2003-5, Class A7, 28 Day ARS, FRN 4.260% 6/17/30		550,000		550,000
SMB Private Education Loan Trust, Series 2014-A, Class A1, 1 mo. USD LIBOR + .500%, FRN (a) 1.412% 9/15/21		55,209		55,207
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) 1.612% 5/15/23		931,682		933,007
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100%, FRN (a) 2.012% 9/15/34		380,000		385,022
SoFi Professional Loan Program LLC, Series 2016-C, Class A2A (a) 1.480% 5/26/31		1,280,787		1,275,433
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) 1.680% 3/25/31		1,606,771		1,603,056
SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 1.971% 3/25/33		328,298		331,086
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.732% 8/25/36		965,196		993,309

				45,973,088

WL Collateral CMO — 0.1%
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1, 1 mo. USD LIBOR + .700%, FRN (a) 1.682% 3/25/45		265,420		260,634


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $152,266,283)				152,578,166

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.9%
Pass-Through Securities — 0.3%
Federal Home Loan Mortgage Corp. Pool #1Q0239 1 year CMT + 2.250%, FRN 2.921% 3/01/37	$	836,140	$	882,828
Government National Mortgage Association II Pool #82462 1 year CMT + 1.500%, FRN 2.000% 1/20/40		196,825		203,529

				1,086,357

Whole Loans — 0.6%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN 1.882% 10/25/27		243,693		244,084
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300%, FRN 2.282% 4/25/29		878,561		885,081
Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN 2.332% 1/25/29		735,165		739,132
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450%, FRN 2.432% 1/25/29		836,512		844,759
Series 2015-C03, Class 1M1, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 7/25/25		43,600		43,612

				2,756,668


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $3,469,926)				3,843,025


U.S. TREASURY OBLIGATIONS — 89.7%
U.S. Treasury Bonds & Notes — 89.7%
U.S. Treasury Inflation Index 0.125% 4/15/19		1,657,856		1,682,200
U.S. Treasury Inflation Index (b) 0.125% 4/15/20		19,854,337		20,150,385
U.S. Treasury Inflation Index (b) 0.125% 4/15/21		15,438,009		15,597,206
U.S. Treasury Inflation Index (b) 0.125% 1/15/22		16,369,707		16,492,496
U.S. Treasury Inflation Index (b) 0.125% 7/15/22		16,697,319		16,826,723


	Principal Amount		Value
U.S. Treasury Inflation Index (b) 0.125% 1/15/23	$	16,272,274	$	16,262,381
U.S. Treasury Inflation Index (b) 0.125% 7/15/24		16,074,014		15,924,028
U.S. Treasury Inflation Index (b) 0.125% 7/15/26		20,865,740		20,357,117
U.S. Treasury Inflation Index (b) 0.250% 1/15/25		16,124,508		15,987,353
U.S. Treasury Inflation Index (b) 0.375% 7/15/23		16,525,872		16,789,509
U.S. Treasury Inflation Index (b) 0.375% 7/15/25		16,125,323		16,166,539
U.S. Treasury Inflation Index 0.375% 1/15/27		9,045,990		9,006,712
U.S. Treasury Inflation Index (b) 0.625% 7/15/21		14,731,394		15,279,917
U.S. Treasury Inflation Index (b) 0.625% 1/15/24		16,383,617		16,771,860
U.S. Treasury Inflation Index (b) 0.625% 1/15/26		14,816,245		15,084,982
U.S. Treasury Inflation Index (b) 0.625% 2/15/43		5,702,314		5,301,373
U.S. Treasury Inflation Index (b) 0.750% 2/15/42		7,526,873		7,235,364
U.S. Treasury Inflation Index (b) 0.750% 2/15/45		9,289,621		8,843,050
U.S. Treasury Inflation Index 0.875% 2/15/47		2,313,340		2,277,849
U.S. Treasury Inflation Index 1.000% 2/15/46		5,041,475		5,118,100
U.S. Treasury Inflation Index (b) (c) 1.125% 1/15/21		14,672,878		15,448,926
U.S. Treasury Inflation Index (b) 1.250% 7/15/20		11,689,650		12,369,310
U.S. Treasury Inflation Index (b) 1.375% 1/15/20		8,353,409		8,799,723
U.S. Treasury Inflation Index (b) 1.375% 2/15/44		8,558,141		9,435,393
U.S. Treasury Inflation Index (b) 1.750% 1/15/28		6,374,170		7,207,561
U.S. Treasury Inflation Index (b) 1.875% 7/15/19		6,959,113		7,392,360
U.S. Treasury Inflation Index (b) 2.000% 1/15/26		8,195,976		9,298,630
U.S. Treasury Inflation Index (b) 2.125% 2/15/40		3,706,956		4,675,569
U.S. Treasury Inflation Index (b) 2.125% 2/15/41		4,445,847		5,635,547
U.S. Treasury Inflation Index (b) 2.375% 1/15/25		10,954,865		12,634,805
U.S. Treasury Inflation Index (b) 2.375% 1/15/27		6,537,449		7,726,617

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
U.S. Treasury Inflation Index (b) 2.500% 1/15/29	$	6,581,547	$	8,046,382
U.S. Treasury Inflation Index (b) 3.375% 4/15/32		2,735,700		3,841,998
U.S. Treasury Inflation Index (b) 3.625% 4/15/28		4,503,420		5,986,009
U.S. Treasury Inflation Index (b) 3.875% 4/15/29		6,616,557		9,149,520

				384,803,494


TOTAL U.S. TREASURY OBLIGATIONS (Cost $383,252,035)				384,803,494


TOTAL BONDS & NOTES (Cost $558,339,664)				565,041,235


	Notional Amount

PURCHASED OPTIONS — 0.2%
Financial — 0.2%
Diversified Financial Services — 0.2%
3-Month USD LIBOR BBA 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC) Underlying swap terminates 1/13/52		2,580,000		263,745
3-Month USD LIBOR BBA 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC) Underlying swap terminates 1/13/52		4,300,000		597,842


TOTAL PURCHASED OPTIONS (Cost $896,808)				861,587


TOTAL LONG-TERM INVESTMENTS (Cost $559,236,472)				565,902,822


	Principal Amount

SHORT-TERM INVESTMENTS — 45.3%
Commercial Paper — 45.3%
Abbey National Treasury Services PLC 1.080% 8/18/17		5,700,000		5,673,688
Agrium, Inc. 1.300% 4/13/17		6,500,000		6,497,305
Anheuser-Busch InBev Worldwide, Inc. (a) 1.500% 6/20/17		1,200,000		1,197,330
Anheuser-Busch InBev Worldwide, Inc. (a) 1.538% 10/05/17		5,500,000		5,464,700


	Principal Amount		Value
BAT International Finance (a) 1.290% 4/20/17	$	6,500,000	$	6,495,753
Becton, Dickinson & Co. (a) 1.425% 7/05/17		6,000,000		5,978,336
Bell Canada (a) 1.190% 5/16/17		6,500,000		6,490,307
CenterPoint Energy, Inc. (a) 1.090% 4/24/17		2,000,000		1,998,400
CenterPoint Energy, Inc. (a) 1.370% 6/22/17		3,100,000		3,090,458
CRH America Finance, Inc. (a) 1.270% 4/04/17		7,000,000		6,999,140
Dominion Resources, Inc. (a) 1.275% 4/18/17		500,000		499,708
E.I. du Point Nemours & Co. (a) 1.140% 5/16/17		6,500,000		6,489,892
Enbridge (US), Inc. (a) 1.300% 5/30/17		6,500,000		6,485,700
FMC Technologies, Inc. (a) 1.250% 4/18/17		6,500,000		6,496,204
Ford Motor Credit Co. 1.240% 5/08/17		6,500,000		6,491,623
Fortive Corp. (a) 1.240% 4/03/17		3,500,000		3,499,679
HP, Inc. (a) 1.209% 4/18/17		6,500,000		6,497,351
Hyundai Capital America (a) 1.299% 4/17/17		6,500,000		6,496,424
Marriott International, Inc. (a) 1.403% 5/24/17		6,500,000		6,487,345
Monsanto Co. (a) 1.687% 7/31/17		6,500,000		6,468,809
National Grid USA (a) 1.150% 4/12/17		6,500,000		6,497,523
Nissan Motor Acceptance Corp. (a) 1.245% 8/21/17		6,500,000		6,461,916
ONEOK Partners LP (a) 1.500% 4/05/17		6,500,000		6,498,997
Potash Corp. of Saskatchewan, Inc. (a) 1.400% 6/19/17		6,500,000		6,480,746
Rockwell Collins, Inc. (a) 1.080% 4/17/17		5,000,000		4,997,249
Schlumberger Holding Corp. (a) 1.350% 6/23/17		6,500,000		6,481,102
Sempra Energy Holdings (a) 1.481% 8/23/17		6,500,000		6,461,227
Spectra Energy Capital LLC (a) 1.300% 5/11/17		6,500,000		6,490,687
Suncor Energy, Inc. (a) 1.200% 5/08/17		6,500,000		6,491,403
Sysco Corp. (a) 1.130% 4/03/17		800,000		799,927
TELUS Corp. (a) 1.373% 6/19/17		6,500,000		6,480,746

MML Inflation-Protected and Income Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
Thermo Fisher Scientific, Inc. (a) 1.400% 6/15/17	$	6,000,000	$	5,983,141
Thomson Reuters Corp. (a) 1.148% 4/24/17		5,000,000		4,996,243
Vodafone Group PLC (a) 1.535% 10/03/17		6,500,000		6,447,106
Westpac Banking Corp. (a) 1.140% 8/21/17		6,700,000		6,668,037

				194,034,202

Repurchase Agreement — 0.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (d)		48,648		48,648

Time Deposit — 0.0%
Euro Time Deposit 0.090% 4/03/17		816		816


TOTAL SHORT-TERM INVESTMENTS (Cost $194,083,183)				194,083,666


TOTAL INVESTMENTS — 177.2% (Cost $753,319,655) (e)				759,986,488

Other Assets/(Liabilities) — (77.2)%				(331,159,085	)


NET ASSETS — 100.0%			$	428,827,403

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

(a)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to a value of $310,838,795 or 72.49% of net assets.

(b)	All or a portion of this security is held as collateral for open reverse repurchase agreements. (Note 2).

(c)	A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2).

(d)	Maturity value of $48,648. Collateralized by U.S. Government Agency obligations with a rate of 2.000%, maturity date of 8/31/21, and an aggregate market value, including accrued interest, of $50,298.

(e)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value
EQUITIES — 0.2%

PREFERRED STOCK — 0.2%
Financial — 0.2%
Insurance — 0.2%
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN		95,000	$	2,525,100


TOTAL PREFERRED STOCK (Cost $2,375,000)				2,525,100


TOTAL EQUITIES (Cost $2,375,000)				2,525,100


	Principal Amount
BONDS & NOTES — 98.3%

CORPORATE DEBT — 37.2%
Advertising — 0.1%
WPP Finance 2010 5.625% 11/15/43	$	1,205,000		1,279,733

Aerospace & Defense — 0.0%
United Technologies Corp. 6.125% 7/15/38		350,000		444,281

Agriculture — 0.3%
Altria Group, Inc. 4.250% 8/09/42		515,000		502,082
Altria Group, Inc. 9.700% 11/10/18		112,000		125,579
Bunge Ltd. Finance Corp. 3.250% 8/15/26		1,050,000		1,014,827
Bunge Ltd. Finance Corp. 3.500% 11/24/20		955,000		979,894
Philip Morris International, Inc. 6.375% 5/16/38		160,000		203,261
Reynolds American, Inc. 5.850% 8/15/45		760,000		892,548

				3,718,191

Airlines — 0.8%
American Airlines Group, Inc. (a) 5.500% 10/01/19		2,961,000		3,079,440
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		225,875		227,004
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700% 4/01/28		562,225		565,036
Delta Air Lines, Inc. 2.875% 3/13/20		1,550,000		1,562,548
Delta Air Lines, Inc. 3.625% 3/15/22		1,940,000		1,980,363


	Principal Amount		Value
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A 4.100% 10/01/29	$	1,888,633	$	1,926,406
WestJet Airlines Ltd. (a) 3.500% 6/16/21		735,000		730,110

				10,070,907

Auto Manufacturers — 1.0%
Ford Motor Co. 5.291% 12/08/46		530,000		528,781
Ford Motor Credit Co. LLC 2.681% 1/09/20		1,340,000		1,349,539
General Motors Financial Co., Inc. 3.100% 1/15/19		5,964,000		6,060,211
General Motors Financial Co., Inc. 3.200% 7/13/20		1,895,000		1,927,632
Hyundai Capital America (a) 2.550% 2/06/19		1,045,000		1,050,523
Hyundai Capital America (a) 2.875% 8/09/18		800,000		808,454

				11,725,140

Auto Parts & Equipment — 0.2%
Lear Corp. 4.750% 1/15/23		1,222,000		1,265,820
Lear Corp. 5.375% 3/15/24		535,000		564,534

				1,830,354

Banks — 5.3%
Associated Banc-Corp. 2.750% 11/15/19		2,805,000		2,832,994
Associated Banc-Corp. 4.250% 1/15/25		2,991,000		3,035,195
Bancolombia SA 5.950% 6/03/21		1,280,000		1,403,200
Bank of America Corp. 4.183% 11/25/27		3,015,000		3,025,957
Bank of America Corp. 4.750% 4/21/45		1,540,000		1,547,461
Bank of America Corp. 5.650% 5/01/18		1,230,000		1,279,714
Bank of America Corp. 5.750% 12/01/17		780,000		800,571
Bank of America Corp. 5.875% 2/07/42		470,000		565,246
Bank of America Corp. 7.750% 5/14/38		400,000		550,310
The Bank of Nova Scotia 4.500% 12/16/25		1,295,000		1,352,929
Barclays PLC 4.337% 1/10/28		1,720,000		1,716,606


	Principal Amount		Value
BNP Paribas SA (a) 3.800% 1/10/24	$	1,415,000	$	1,408,103
Credit Suisse Group AG (a) 4.282% 1/09/28		1,325,000		1,319,238
Discover Bank 2.000% 2/21/18		1,385,000		1,386,166
First Horizon National Corp. 3.500% 12/15/20		3,580,000		3,678,500
First Republic Bank 4.375% 8/01/46		4,360,000		4,195,009
Fulton Financial Corp. 3.600% 3/16/22		1,565,000		1,579,639
The Goldman Sachs Group, Inc. 3.500% 11/16/26		1,585,000		1,549,523
The Goldman Sachs Group, Inc. 5.375% 3/15/20		950,000		1,029,873
The Goldman Sachs Group, Inc. 5.750% 1/24/22		950,000		1,068,636
The Goldman Sachs Group, Inc. 5.950% 1/15/27		2,660,000		3,035,456
The Goldman Sachs Group, Inc. 6.125% 2/15/33		335,000		404,446
The Goldman Sachs Group, Inc. 6.150% 4/01/18		150,000		156,267
The Goldman Sachs Group, Inc. 6.750% 10/01/37		345,000		425,709
HSBC Holdings PLC 3 mo. USD LIBOR + 1.055%, VRN 3.262% 3/13/23		1,695,000		1,704,438
HSBC Holdings PLC 3 mo. USD LIBOR + 1.546%, VRN 4.041% 3/13/28		1,320,000		1,334,285
ICICI Bank Ltd. (a) 4.700% 2/21/18		1,250,000		1,277,954
JP Morgan Chase & Co. 3.625% 12/01/27		2,460,000		2,386,623
JP Morgan Chase & Co. 3.875% 9/10/24		1,420,000		1,439,286
JP Morgan Chase & Co. 4.500% 1/24/22		950,000		1,023,811
JP Morgan Chase & Co. 4.950% 3/25/20		1,655,000		1,787,084
JP Morgan Chase & Co. 5.600% 7/15/41		1,125,000		1,341,726
Morgan Stanley 4.875% 11/01/22		2,275,000		2,459,832
MUFG Union Bank NA 2.625% 9/26/18		500,000		505,212
Regions Bank 2.250% 9/14/18		2,870,000		2,878,843
Regions Bank 7.500% 5/15/18		765,000		809,974


	Principal Amount		Value
SVB Financial Group 3.500% 1/29/25	$	2,960,000	$	2,893,051
SVB Financial Group 5.375% 9/15/20		475,000		514,078
Turkiye Garanti Bankasi AS (a) 4.750% 10/17/19		1,355,000		1,376,021
Valley National Bancorp 5.125% 9/27/23		1,530,000		1,603,252

				64,682,218

Beverages — 0.5%
Anheuser-Busch Cos, Inc. 6.500% 2/01/43		125,000		167,348
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		4,375,000		4,728,167
Molson Coors Brewing Co. 4.200% 7/15/46		1,085,000		1,016,007

				5,911,522

Biotechnology — 0.3%
Amgen, Inc. 5.150% 11/15/41		475,000		508,468
Baxalta, Inc. 4.000% 6/23/25		1,775,000		1,808,551
Baxalta, Inc. 5.250% 6/23/45		885,000		966,583

				3,283,602

Building Materials — 0.7%
James Hardie International Finance Ltd. (a) 5.875% 2/15/23		2,881,000		2,974,633
Martin Marietta Material, Inc. 3 mo. USD LIBOR + 1.100%, FRN 2.098% 6/30/17		1,365,000		1,367,236
Owens Corning 9.000% 6/15/19		590,000		666,751
Standard Industries, Inc. (a) 5.000% 2/15/27		3,037,000		2,976,260

				7,984,880

Chemicals — 0.9%
Ashland, Inc. 6.875% 5/15/43		302,000		323,140
Celanese US Holdings LLC 4.625% 11/15/22		1,150,000		1,218,673
CF Industries, Inc. 6.875% 5/01/18		2,890,000		3,012,825
Chevron Phillips Chemical Co. LLC/Chevron Phillips Chemical Co. LP (a) 3.400% 12/01/26		1,745,000		1,746,752
The Dow Chemical Co. 8.550% 5/15/19		250,000		283,402
Incitec Pivot Finance LLC (a) 6.000% 12/10/19		640,000		688,258


	Principal Amount		Value
Monsanto Co. 4.400% 7/15/44	$	650,000	$	631,757
RPM International, Inc. 3.750% 3/15/27		725,000		724,636
RPM International, Inc. 6.125% 10/15/19		550,000		600,018
RPM International, Inc. 6.500% 2/15/18		1,390,000		1,446,455
The Valspar Corp. 7.250% 6/15/19		315,000		347,129

				11,023,045

Commercial Services — 0.3%
The ADT Corp. 6.250% 10/15/21		2,875,000		3,124,838
ERAC USA Finance LLC (a) 2.800% 11/01/18		395,000		399,807
ERAC USA Finance LLC (a) 6.700% 6/01/34		125,000		151,712

				3,676,357

Computers — 1.3%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 3.480% 6/01/19		2,975,000		3,048,518
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 4.420% 6/15/21		2,435,000		2,546,389
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 6.020% 6/15/26		487,000		530,918
Electronic Data Systems LLC 7.450% 10/15/29		300,000		361,032
Everett Spinco, Inc. (a) 2.875% 3/27/20		610,000		615,111
Everett Spinco, Inc. (a) 4.250% 4/15/24		920,000		935,481
Everett Spinco, Inc. (a) 4.750% 4/15/27		1,845,000		1,881,690
Leidos Holdings, Inc. 4.450% 12/01/20		5,665,000		5,891,600

				15,810,739

Diversified Financial Services — 3.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		4,735,000		4,963,487
Affiliated Managers Group, Inc. 3.500% 8/01/25		2,080,000		2,043,635
Air Lease Corp. 3.000% 9/15/23		2,980,000		2,912,089
Air Lease Corp. 3.375% 1/15/19		2,270,000		2,322,625


	Principal Amount		Value
Air Lease Corp. 3.375% 6/01/21	$	2,470,000	$	2,517,908
Air Lease Corp. STEP 5.625% 4/01/17		535,000		535,000
Ally Financial, Inc. 3.250% 11/05/18		3,060,000		3,081,053
Ally Financial, Inc. 3.600% 5/21/18		810,000		820,125
Ally Financial, Inc. 4.750% 9/10/18		1,690,000		1,736,475
Ares Finance Co. LLC (a) 4.000% 10/08/24		2,080,000		1,947,889
Brookfield Finance LLC 4.000% 4/01/24		3,030,000		3,047,947
CIT Group, Inc. 3.875% 2/19/19		1,858,000		1,902,128
CIT Group, Inc. (a) 5.500% 2/15/19		1,065,000		1,119,581
Discover Financial Services 4.100% 2/09/27		1,750,000		1,750,590
Genpact Luxembourg Sarl (a) 3.700% 4/01/22		2,400,000		2,413,910
International Lease Finance Corp. 3.875% 4/15/18		1,515,000		1,544,582
Lazard Group LLC 3.625% 3/01/27		2,295,000		2,237,926
Lazard Group LLC 4.250% 11/14/20		3,710,000		3,902,007
Legg Mason, Inc. 5.625% 1/15/44		1,015,000		1,035,789
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (a) 4.500% 3/15/27		1,150,000		1,168,463
UBS Group Funding Switzerland AG (a) 3.491% 5/23/23		1,760,000		1,771,359
UBS Group Funding Switzerland AG (a) 4.253% 3/23/28		1,330,000		1,349,058

				46,123,626

Electric — 1.8%
Duke Energy Corp. 3.750% 9/01/46		1,235,000		1,108,742
Entergy Arkansas, Inc. 3.500% 4/01/26		435,000		445,348
Entergy Louisiana LLC 4.950% 1/15/45		1,005,000		1,030,666
Florida Power & Light Co. 4.950% 6/01/35		630,000		718,126
IPALCO Enterprises, Inc. 3.450% 7/15/20		4,160,000		4,206,800


	Principal Amount		Value
Israel Electric Corp. Ltd. (a) 7.250% 1/15/19	$	1,250,000	$	1,353,075
Majapahit Holding BV (a) 7.750% 1/20/20		1,220,000		1,376,404
Metropolitan Edison Co. (a) 4.000% 4/15/25		1,345,000		1,356,259
Nevada Power Co., Series N 6.650% 4/01/36		550,000		725,717
Oncor Electric Delivery Co. 7.500% 9/01/38		495,000		715,508
Pacific Gas & Electric Co. 5.800% 3/01/37		543,000		670,449
Pennsylvania Electric Co. (a) 4.150% 4/15/25		1,860,000		1,869,907
Progress Energy, Inc. 7.000% 10/30/31		485,000		638,739
Puget Energy, Inc. 3.650% 5/15/25		2,345,000		2,324,460
Puget Energy, Inc. 6.500% 12/15/20		1,580,000		1,769,518
Tri-State Pass-Through Trust, Series 2003, Class A (a) 6.040% 1/31/18		20,291		20,617
Tri-State Pass-Through Trust, Series 2003, Class B (a) 7.144% 7/31/33		480,000		536,784
Virginia Electric and Power Co. 6.350% 11/30/37		640,000		822,720
Wisconsin Public Service Corp. 5.650% 11/01/17		380,000		388,125

				22,077,964

Electronics — 0.6%
Arrow Electronics, Inc. 3.500% 4/01/22		1,680,000		1,693,344
Avnet, Inc. 3.750% 12/01/21		405,000		409,594
FLIR Systems, Inc. 3.125% 6/15/21		1,235,000		1,241,837
Ingram Micro, Inc. STEP 5.450% 12/15/24		1,288,000		1,267,353
Tech Data Corp. 3.700% 2/15/22		855,000		857,964
Tech Data Corp. 3.750% 9/21/17		885,000		893,213
Tyco Electronics Group SA 7.125% 10/01/37		335,000		438,759

				6,802,064

Engineering & Construction — 0.2%
SBA Tower Trust (a) 3.156% 10/15/20		1,200,000		1,206,120


	Principal Amount		Value
SBA Tower Trust (a) 2.877% 7/15/21	$	1,200,000	$	1,192,932

				2,399,052

Environmental Controls — 0.2%
Clean Harbors, Inc. 5.250% 8/01/20		2,584,000		2,629,944

Foods — 0.4%
Delhaize America, Inc. 9.000% 4/15/31		855,000		1,234,293
Kraft Foods, Inc. 6.500% 2/09/40		260,000		321,406
Kraft Heinz Foods Co. 3.000% 6/01/26		3,275,000		3,077,658
Tyson Foods, Inc. 4.875% 8/15/34		660,000		675,041

				5,308,398

Forest Products & Paper — 0.3%
Sappi Papier Holding GmbH (a) 7.750% 7/15/17		4,195,000		4,203,810

Gas — 0.2%
NiSource Finance Corp. 5.800% 2/01/42		950,000		1,105,369
Spire, Inc. 4.700% 8/15/44		1,840,000		1,840,900

				2,946,269

Hand & Machine Tools — 0.2%
Kennametal, Inc. 2.650% 11/01/19		800,000		800,042
Stanley Black & Decker, Inc. 2.451% 11/17/18		1,600,000		1,616,670

				2,416,712

Health Care – Products — 0.3%
Abbott Laboratories 2.900% 11/30/21		1,320,000		1,325,775
Abbott Laboratories 3.750% 11/30/26		810,000		808,981
Abbott Laboratories 4.900% 11/30/46		755,000		782,082
Becton Dickinson & Co. 4.685% 12/15/44		825,000		861,178

				3,778,016

Health Care – Services — 0.3%
Humana, Inc. 3.950% 3/15/27		1,660,000		1,697,325
Humana, Inc. 4.800% 3/15/47		830,000		867,675
UnitedHealth Group, Inc. 3.950% 10/15/42		350,000		340,295


	Principal Amount		Value
UnitedHealth Group, Inc. 6.875% 2/15/38	$	580,000	$	788,354

				3,693,649

Home Builders — 0.3%
Lennar Corp. 4.500% 11/15/19		3,390,000		3,487,462
Lennar Corp. 6.950% 6/01/18		45,000		47,138

				3,534,600

Housewares — 0.2%
Newell Brands, Inc. 3.850% 4/01/23		2,070,000		2,139,498

Insurance — 3.1%
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN 5.750% 8/15/53		2,260,000		2,425,206
Arch Capital Finance LLC 4.011% 12/15/26		1,025,000		1,051,023
Arch Capital Group US, Inc. 5.144% 11/01/43		1,040,000		1,113,003
AXIS Specialty Finance PLC 2.650% 4/01/19		590,000		594,895
Brown & Brown, Inc. 4.200% 9/15/24		1,781,000		1,825,969
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN 6.375% 4/15/37		374,000		361,845
CNA Financial Corp. 7.350% 11/15/19		670,000		755,695
CNO Financial Group, Inc. 4.500% 5/30/20		1,602,000		1,654,065
CNO Financial Group, Inc. 5.250% 5/30/25		2,321,000		2,380,487
Enstar Group Ltd. 4.500% 3/10/22		920,000		931,577
Five Corners Funding Trust (a) 4.419% 11/15/23		1,315,000		1,397,995
MetLife Capital Trust IV (a) 7.875% 12/15/37		1,960,000		2,410,800
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.040%, VRN 5.200% 3/15/44		787,000		808,052
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920%, VRN 5.625% 6/15/43		1,680,000		1,800,120
QBE Insurance Group Ltd. (a) 2.400% 5/01/18		655,000		656,241
Reinsurance Group of America, Inc. 3.950% 9/15/26		2,260,000		2,279,192
Reinsurance Group of America, Inc. 4.700% 9/15/23		1,480,000		1,593,233


	Principal Amount		Value
Reinsurance Group of America, Inc. 5.000% 6/01/21	$	1,220,000	$	1,327,545
Reinsurance Group of America, Inc. 6.450% 11/15/19		1,305,000		1,440,208
Trinity Acquisition PLC 3.500% 9/15/21		1,540,000		1,565,627
Trinity Acquisition PLC 4.400% 3/15/26		445,000		456,134
Unum Group 3.000% 5/15/21		985,000		986,116
USF&G Capital I (a) 8.500% 12/15/45		885,000		1,140,596
Willis North America, Inc. 7.000% 9/29/19		566,000		627,157
Willis Towers Watson PLC 5.750% 3/15/21		1,690,000		1,856,957
XLIT Ltd. 5.750% 10/01/21		1,260,000		1,399,422
XLIT Ltd. 6.375% 11/15/24		2,590,000		3,022,255

				37,861,415

Internet — 0.4%
Baidu, Inc. 3.250% 8/06/18		1,690,000		1,714,718
Expedia, Inc. 7.456% 8/15/18		2,550,000		2,730,637

				4,445,355

Investment Companies — 0.5%
Ares Capital Corp. 3.875% 1/15/20		3,250,000		3,314,919
FS Investment Corp. 4.000% 7/15/19		2,450,000		2,471,386

				5,786,305

Iron & Steel — 0.4%
ArcelorMittal 5.125% 6/01/20		2,165,000		2,251,600
ArcelorMittal STEP 6.000% 8/05/20		1,200,000		1,293,000
Vale Overseas Ltd. 6.875% 11/21/36		630,000		677,313

				4,221,913

Lodging — 0.0%
Marriott International, Inc. 6.750% 5/15/18		220,000		231,738

Machinery – Diversified — 0.5%
CNH Industrial Capital LLC 3.375% 7/15/19		1,530,000		1,543,387
CNH Industrial Capital LLC 3.625% 4/15/18		655,000		662,369


	Principal Amount		Value
CNH Industrial Capital LLC 3.875% 10/15/21	$	3,280,000	$	3,281,673

				5,487,429

Media — 0.6%
21st Century Fox America, Co. 6.900% 8/15/39		420,000		536,178
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20		1,560,000		1,604,675
Charter Communications Operating LLC/Charter Communications Operating Capital 6.484% 10/23/45		1,285,000		1,479,467
Comcast Corp. 3.400% 7/15/46		645,000		551,883
Comcast Corp. 6.950% 8/15/37		515,000		690,921
Time Warner Cable, Inc. 6.750% 6/15/39		985,000		1,137,772
Time Warner Cable, Inc. 8.250% 4/01/19		75,000		83,615
Time Warner Cable, Inc. 8.750% 2/14/19		325,000		363,290
Time Warner, Inc. 4.700% 1/15/21		650,000		696,837
Time Warner, Inc. 6.250% 3/29/41		210,000		241,155

				7,385,793

Mining — 0.1%
Glencore Canada Corp. 5.500% 6/15/17		900,000		906,579
Glencore Funding LLC (a) 4.625% 4/29/24		340,000		353,104

				1,259,683

Miscellaneous – Manufacturing — 0.2%
General Electric Co. 4.125% 10/09/42		1,430,000		1,456,598
General Electric Corp. 6.875% 1/10/39		298,000		423,165
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18		310,000		331,111
Textron, Inc. 3.650% 3/15/27		700,000		695,172

				2,906,046

Office & Business Equipment — 0.3%
Pitney Bowes, Inc. 5.750% 9/15/17		166,000		169,108
Pitney Bowes, Inc. 4.750% 5/15/18		250,000		256,931


	Principal Amount		Value
Pitney Bowes, Inc. 3.375% 10/01/21	$	3,005,000	$	2,953,140

				3,379,179

Office Furnishings — 0.0%
Steelcase, Inc. 6.375% 2/15/21		100,000		111,401

Oil & Gas — 1.4%
Anadarko Petroleum Corp. 5.550% 3/15/26		1,050,000		1,165,271
ConocoPhillips Co. 2.400% 12/15/22		910,000		888,858
Encana Corp. 3.900% 11/15/21		1,350,000		1,379,198
Encana Corp. 6.500% 5/15/19		805,000		869,483
Encana Corp. 6.500% 2/01/38		545,000		608,566
Marathon Petroleum Corp. 6.500% 3/01/41		1,120,000		1,239,601
Nabors Industries, Inc. (a) 5.500% 1/15/23		1,415,000		1,444,184
PBF Holding Co. LLC/PBF Finance Corp. STEP 7.000% 11/15/23		1,175,000		1,177,938
Petroleos Mexicanos 3.125% 1/23/19		325,000		326,300
Petroleos Mexicanos 5.500% 1/21/21		1,190,000		1,259,615
Petroleos Mexicanos 6.375% 1/23/45		595,000		580,256
Petroleos Mexicanos (a) 6.500% 3/13/27		585,000		629,314
Petroleos Mexicanos 6.625% 6/15/35		140,000		144,214
Phillips 66 5.875% 5/01/42		535,000		612,304
Pioneer Natural Resources Co. 4.450% 1/15/26		2,000,000		2,105,024
Pioneer Natural Resources Co. 7.500% 1/15/20		350,000		396,158
QEP Resources, Inc. 6.875% 3/01/21		672,000		714,000
Tesoro Corp. (a) 5.125% 12/15/26		1,830,000		1,919,670

				17,459,954

Oil & Gas Services — 0.2%
National Oilwell Varco, Inc. 2.600% 12/01/22		1,338,000		1,280,573
National Oilwell Varco, Inc. 3.950% 12/01/42		1,126,000		906,301


	Principal Amount		Value
Weatherford International Ltd. 6.000% 3/15/18	$	525,000	$	532,875

				2,719,749

Packaging & Containers — 0.8%
Amcor Finance USA, Inc. (a) 3.625% 4/28/26		3,105,000		3,075,558
Brambles USA, Inc. (a) 4.125% 10/23/25		772,000		791,071
Brambles USA, Inc. (a) 5.350% 4/01/20		490,000		526,230
Crown Americas LLC/Crown Americas Capital Corp. IV 4.500% 1/15/23		3,017,000		3,084,882
Graphic Packaging International, Inc. 4.750% 4/15/21		590,000		615,075
Graphic Packaging International, Inc. 4.875% 11/15/22		400,000		419,000
The WestRock MWV LLC 7.550% 3/01/47		1,000,000		1,242,564

				9,754,380

Pharmaceuticals — 1.1%
AbbVie, Inc. 4.700% 5/14/45		1,860,000		1,855,071
Actavis Funding SCS 3.000% 3/12/20		2,005,000		2,039,221
Actavis Funding SCS 4.750% 3/15/45		1,270,000		1,275,437
Express Scripts Holding Co. 4.500% 2/25/26		1,180,000		1,210,392
Johnson & Johnson 5.850% 7/15/38		175,000		228,608
McKesson Corp. 2.284% 3/15/19		600,000		604,323
McKesson Corp. 4.883% 3/15/44		625,000		645,195
McKesson Corp. 6.000% 3/01/41		550,000		638,835
Merck Sharp & Dohme Corp. 5.850% 6/30/39		180,000		225,708
Mylan NV 3.150% 6/15/21		1,750,000		1,756,435
Mylan NV 3.950% 6/15/26		950,000		929,883
Pfizer, Inc. 7.200% 3/15/39		395,000		564,668
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		1,085,000		1,052,800
Teva Pharmaceutical Finance Netherlands III BV 4.100% 10/01/46		460,000		396,242


	Principal Amount		Value
Wyeth 6.000% 2/15/36	$	360,000	$	447,376

				13,870,194

Pipelines — 1.8%
Energy Transfer Partners LP 4.200% 4/15/27		1,085,000		1,071,965
EnLink Midstream Partners LP 4.850% 7/15/26		465,000		479,825
Enterprise Products Operating LLC 5.700% 2/15/42		336,000		375,312
Enterprise Products Operating LLC 5.950% 2/01/41		455,000		520,140
Enterprise Products Operating LLC 6.125% 10/15/39		249,000		289,298
Kinder Morgan Energy Partners LP 6.375% 3/01/41		376,000		408,535
Kinder Morgan Energy Partners LP 6.500% 2/01/37		150,000		163,047
Kinder Morgan Energy Partners LP 6.550% 9/15/40		500,000		550,604
Kinder Morgan Energy Partners LP 6.950% 1/15/38		175,000		203,049
Kinder Morgan Finance Co. LLC (a) 6.000% 1/15/18		2,700,000		2,784,348
Kinder Morgan, Inc. 4.300% 6/01/25		1,775,000		1,813,354
Magellan Midstream Partners LP 5.150% 10/15/43		1,115,000		1,169,626
MPLX LP 4.125% 3/01/27		685,000		682,031
MPLX LP 4.875% 12/01/24		3,295,000		3,466,132
MPLX LP 4.875% 6/01/25		2,418,000		2,532,807
MPLX LP 5.200% 3/01/47		245,000		246,535
MPLX LP 5.500% 2/15/23		912,000		940,272
Plains All American Pipeline LP/PAA Finance Corp. 4.500% 12/15/26		1,360,000		1,386,861
Sabine Pass Liquefaction LLC (a) 4.200% 3/15/28		1,585,000		1,565,684
Southern Natural Gas Co. LLC STEP (a) 5.900% 4/01/17		310,000		310,000
Western Gas Partners LP 4.000% 7/01/22		1,189,000		1,221,026

				22,180,451

Real Estate — 0.0%
ProLogis LP 2.750% 2/15/19		530,000		537,189


	Principal Amount		Value
Real Estate Investment Trusts (REITS) — 1.3%
American Tower Corp. 3.450% 9/15/21	$	2,690,000	$	2,738,520
American Tower Corp. 4.400% 2/15/26		860,000		889,649
American Tower Corp. 4.500% 1/15/18		1,375,000		1,404,340
Boston Properties LP 3.700% 11/15/18		475,000		486,828
Brandywine Operating Partners LP 4.950% 4/15/18		800,000		821,862
Crown Castle International Corp. 4.000% 3/01/27		790,000		794,948
DDR Corp. 4.750% 4/15/18		1,000,000		1,022,662
DDR Corp. 7.500% 4/01/17		1,000,000		1,000,000
Duke Realty LP 3.250% 6/30/26		770,000		746,407
Federal Realty Investment Trust 5.900% 4/01/20		330,000		362,021
Healthcare Trust of America Holdings LP 3.500% 8/01/26		1,265,000		1,216,521
Highwoods Realty LP 7.500% 4/15/18		195,000		205,926
Host Hotels & Resorts LP 3.750% 10/15/23		215,000		216,671
Host Hotels & Resorts LP 3.875% 4/01/24		1,675,000		1,687,720
Tanger Properties LP 3.125% 9/01/26		2,069,000		1,924,540
Weingarten Realty Investors 3.250% 8/15/26		535,000		509,882

				16,028,497

Retail — 1.3%
AutoNation, Inc. 4.500% 10/01/25		700,000		723,308
Bed Bath & Beyond, Inc. 5.165% 8/01/44		600,000		536,378
CVS Health Corp. 6.125% 9/15/39		560,000		684,840
CVS Pass-Through Trust (a) 5.926% 1/10/34		1,212,616		1,385,036
CVS Pass-Through Trust (a) 7.507% 1/10/32		8,284		10,184
Dollar Tree, Inc. 5.750% 3/01/23		2,945,000		3,136,425
El Puerto de Liverpool SAB de CV (a) 3.950% 10/02/24		2,620,000		2,561,050
The Home Depot, Inc. 5.950% 4/01/41		600,000		767,646


	Principal Amount		Value
QVC, Inc. 3.125% 4/01/19	$	960,000	$	974,837
QVC, Inc. 4.450% 2/15/25		1,380,000		1,340,176
QVC, Inc. 5.125% 7/02/22		545,000		572,100
Tiffany & Co. 4.900% 10/01/44		990,000		929,425
Wal-Mart Stores, Inc. 6.200% 4/15/38		730,000		948,992
Wal-Mart Stores, Inc. 6.500% 8/15/37		515,000		690,350
Walgreens Boots Alliance, Inc. 2.700% 11/18/19		685,000		694,154

				15,954,901

Semiconductors — 0.2%
Broadcom Corp./Broadcom Cayman Finance Ltd. (a) 3.875% 1/15/27		1,610,000		1,618,488
Lam Research Corp. 2.750% 3/15/20		1,290,000		1,304,988

				2,923,476

Software — 0.5%
Broadridge Financial Solutions, Inc. 3.400% 6/27/26		1,050,000		1,023,547
Broadridge Financial Solutions, Inc. 3.950% 9/01/20		655,000		685,813
CA, Inc. 3.600% 8/15/22		830,000		842,203
Microsoft Corp. 4.450% 11/03/45		2,064,000		2,178,348
Oracle Corp. 4.000% 7/15/46		1,820,000		1,736,315

				6,466,226

Telecommunications — 1.1%
AT&T, Inc. 3.800% 3/01/24		1,680,000		1,705,822
AT&T, Inc. 4.750% 5/15/46		1,775,000		1,656,230
AT&T, Inc. 5.250% 3/01/37		2,090,000		2,130,659
AT&T, Inc. 6.550% 2/15/39		455,000		536,779
CenturyLink, Inc. 6.150% 9/15/19		560,000		596,400
Cisco Systems, Inc. 5.500% 1/15/40		345,000		420,951
Crown Castle Towers LLC (a) 3.222% 5/15/42		1,700,000		1,725,908
Embarq Corp. 7.995% 6/01/36		145,000		144,275


	Principal Amount		Value
Hughes Satellite Systems Corp. 6.500% 6/15/19	$	1,125,000	$	1,217,700
Turk Telekomunikasyon AS (a) 3.750% 6/19/19		240,000		240,350
Verizon Communications, Inc. 4.862% 8/21/46		918,000		882,564
Verizon Communications, Inc. 5.012% 8/21/54		1,083,000		1,027,418
Verizon Communications, Inc. 6.550% 9/15/43		1,082,000		1,327,645

				13,612,701

Transportation — 0.4%
Asciano Finance Ltd. (a) 4.625% 9/23/20		610,000		634,130
Asciano Finance Ltd. (a) 5.000% 4/07/18		1,150,000		1,177,421
Autoridad del Canal de Panama (a) 4.950% 7/29/35		1,050,000		1,147,125
Burlington Northern Santa Fe LLC 6.150% 5/01/37		720,000		919,685
Union Pacific Corp. 5.375% 6/01/33		520,000		597,810

				4,476,171

Trucking & Leasing — 0.5%
Aviation Capital Group Corp. (a) 2.875% 9/17/18		5,210,000		5,262,241
GATX Corp. 2.375% 7/30/18		865,000		871,031

				6,133,272


TOTAL CORPORATE DEBT (Cost $445,316,637)				454,687,989


MUNICIPAL OBLIGATIONS — 0.8%
JobsOhio Beverage System Series B 4.532% 1/01/35		3,950,000		4,253,952
New York City Water & Sewer System Finance Authority 5.882% 6/15/44		105,000		136,767
Orange County Local Transportation Authority BAB 6.908% 2/15/41		1,350,000		1,831,950
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN 2.290% 12/01/31		1,499,829		1,440,803
State of California BAB 7.550% 4/01/39		120,000		175,991
State of California BAB 7.600% 11/01/40		1,115,000		1,662,019

				9,501,482


TOTAL MUNICIPAL OBLIGATIONS (Cost $9,166,389)				9,501,482


	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 29.2%
Auto Floor Plan ABS — 0.1%
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) 2.478% 10/20/20	$	1,500,000	$	1,499,998

Automobile ABS — 1.1%
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		404,704		405,137
CFC LLC, Series 2014-2A, Class A (a) 1.440% 11/16/20		339,605		339,389
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		203,549		203,589
CPS Auto Trust, Series 2016-C, Class A (a) 1.620% 1/15/20		650,197		649,203
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		1,070,000		1,075,764
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) 2.210% 7/15/22		2,990,000		2,957,441
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		2,250,000		2,217,280
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.612% 7/15/20		1,169,731		1,170,248
Oscar US Funding Trust V, Series 2016-2A, Class A4 (a) 2.990% 12/15/23		4,000,000		3,928,356
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) 3.300% 5/10/24		950,000		949,136

				13,895,543

Commercial MBS — 2.7%
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4, VRN 5.894% 2/10/51		482,779		488,335
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN 6.231% 2/10/51		1,431,537		1,454,667
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN 6.274% 2/10/51		1,310,000		1,338,404


	Principal Amount		Value
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, VRN 5.513% 1/12/45	$	1,628,463	$	1,631,317
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 5.700% 6/11/50		1,187,003		1,202,843
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM, VRN 5.835% 9/11/42		1,395,000		1,409,876
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM, VRN 5.895% 6/11/50		2,870,000		2,924,060
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (a) 3.703% 10/15/45		1,060,000		1,071,953
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class AM 4.199% 3/10/47		1,375,000		1,432,332
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A4, VRN 4.236% 2/10/47		1,410,000		1,508,220
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN 4.255% 5/10/48		1,000,000		906,717
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class AM, VRN 5.650% 12/10/49		1,335,000		1,349,133
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class A4, VRN 5.808% 12/10/49		666,051		670,718
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (a) 4.238% 1/10/34		995,000		1,042,382
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.728% 7/10/38		1,314,478		1,315,088
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) 4.948% 1/10/45		488,000		532,603
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN 5.466% 6/12/47		757,980		759,578


	Principal Amount		Value
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49	$	1,894,289	$	1,914,638
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN 6.301% 1/11/43		658,828		671,647
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (a) 5.200% 6/15/44		1,325,000		1,414,898
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN 5.474% 8/15/39		144,558		144,458
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN 2.997% 10/25/46		2,174,288		2,151,561
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AM, VRN 5.591% 4/15/47		1,215,671		1,226,485
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN 6.053% 2/15/51		1,525,000		1,531,585
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN 6.057% 6/15/45		2,667,000		2,698,132
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) 3.349% 11/15/43		126,399		129,209

				32,920,839

Home Equity ABS — 0.2%
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN 1.642% 11/25/35		287,261		286,789
Aegis Asset-Backed Securities Trust, Series 2005-2, Class M1, 1 mo. USD LIBOR + .420%, FRN 1.402% 6/25/35		29,649		29,654
Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M1, 1 mo. USD LIBOR + .500%, FRN 1.483% 6/28/44		373,403		373,661
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN 1.702% 3/25/35		1,056,914		1,056,856


	Principal Amount		Value
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP 6.551% 10/25/28	$	12	$	13
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .740%, FRN 1.352% 1/25/36		506,729		505,821
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + ..430%, FRN 1.412% 11/25/35		228,980		229,296

				2,482,090

Other ABS — 15.6%
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.112% 3/15/42		648,375		619,511
321 Henderson Receivables I LLC, Series 2015-1A, Class A (a) 3.260% 9/15/72		1,305,678		1,213,972
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN 2.707% 1/25/35		551,438		549,821
AIMCO CLO Ltd., Series 2014-AA, Class A, 3 mo. USD LIBOR + 1.540%, FRN (a) 2.570% 7/20/26		2,250,000		2,250,792
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.503% 10/15/28		2,620,000		2,639,467
ALM VIII Ltd., Series 2013-8A, Class A1R, 3 mo. USD LIBOR + 1.490%, FRN (a) 2.513% 10/15/28		1,240,000		1,244,874
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) 1.639% 2/15/21		472,454		463,005
Alterna Funding II LLC, Series 2015-1A, Class A (a) 2.500% 2/15/24		946,889		944,522
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (a) 2.203% 10/20/28		770,000		772,096
Applebee’s Funding LLC/IHOP Funding LLC, Series 2014-1, Class A2 (a) 4.277% 9/05/44		505,000		494,666
Arbys Funding LLC, Series 2015-1A, Class A2 (a) 4.969% 10/30/45		1,876,250		1,885,637


	Principal Amount		Value
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.662% 12/15/42	$	1,171,551	$	1,139,411
AVANT Loans Funding Trust, Series 2016-C, Class A (a) 2.960% 9/16/19		400,885		401,534
Avery Point III CLO Ltd., Series 2013-3A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.424% 1/18/25		1,250,000		1,250,066
Avery Point V CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.460%, FRN (a) 2.483% 7/17/26		2,200,000		2,200,077
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.484% 8/05/27		3,825,000		3,837,668
BCC Funding VIII LLC, Series 2014-1A, Class A (a) 1.794% 6/20/20		72,912		72,820
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.203% 7/15/26		2,180,000		2,180,041
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) 2.487% 12/16/41		1,840,833		1,818,318
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (a) 2.241% 1/22/25		930,000		929,995
BlueMountain CLO Ltd., Series 2013-3A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.439% 10/29/25		650,000		650,182
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) 2.454% 7/18/27		2,595,000		2,600,289
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		2,050,093		2,064,710
CAN Capital Funding LLC, Series 2014-1A, Class A (Acquired 10/15/14, Cost $1,499,981) (a) (b) 3.117% 4/15/20		495,322		492,161
Capital Automotive REIT, Series 2014-1A, Class A (a) 3.660% 10/15/44		900,000		880,137


	Principal Amount		Value
Capital Automotive REIT, Series 2017-1A, Class A2 ( (a) (c) 4.180% 4/15/47	$	1,000,000	$	999,860
Capital Automotive REIT, Series 2012-1A, Class A (a) 4.700% 7/15/42		1,154,602		1,156,584
Carlyle Global Market Strategies, Series 2013-1A, Class A1, 3 mo. USD LIBOR + 1.300%, FRN (a) 2.336% 2/14/25		750,000		750,652
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.182% 11/25/45		134,188		134,248
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) 4.474% 3/20/43		1,164,011		1,152,800
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) 3.960% 7/15/22		991,693		1,000,188
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.442% 9/25/34		180,089		179,700
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN 1.882% 2/25/35		541,680		491,210
Cronos Containers Program I Ltd., Series 2014-2A, Class A (a) 3.270% 11/18/29		444,444		434,086
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		2,582,300		2,596,391
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) 2.540% 5/20/27		379,004		378,971
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		903,796		902,166
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) 2.990% 5/22/28		990,661		985,892
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) 3.080% 11/20/28		5,126,328		5,078,160
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) 3.484% 10/25/45		2,863,750		2,863,697
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (a) 4.474% 10/25/45		3,061,250		2,898,196


	Principal Amount		Value
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39	$	833,333	$	820,033
Drug Royalty Corp., Inc., Series 2014-1, Class A2 (a) 3.484% 7/15/23		432,623		428,288
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) 5.800% 7/15/24		93,333		93,943
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class A, 3 mo. USD LIBOR + 1.350%, FRN (a) 2.374% 4/18/26		3,190,000		3,190,134
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) 2.810% 4/25/28		2,205,310		2,181,432
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) 2.707% 2/19/45		525,527		505,394
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		1,372,079		1,376,880
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		596,904		600,576
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) 4.212% 10/15/42		2,011,807		2,023,469
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.612% 5/25/36		208,256		207,996
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 1.222% 1/25/36		88,882		88,665
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.480% 7/20/27		2,875,000		2,875,825
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) 3.190% 7/17/29		366,667		354,296
Global SC Finance II SRL, Series 2013-2A, Class A (a) 3.670% 11/17/28		1,069,250		1,053,235
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		146,906		146,906
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.188% 4/25/25		3,600,000		3,597,538


	Principal Amount		Value
Goodgreen Trust, Series 2016-1A, Class A (a) 3.230% 10/15/52	$	3,052,290	$	3,061,303
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.627% 4/25/35		159,970		160,765
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) 3.524% 4/16/21		784,308		785,779
HERO Funding Trust, Series 2016-3A, Class A1 (a) 3.080% 9/20/42		1,929,464		1,905,346
HERO Funding Trust, Series 2016-4A, Class A1 (a) 3.570% 9/20/47		2,047,248		2,016,607
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) 2.280% 1/25/26		791,385		785,593
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 1.152% 8/25/36		40,677		40,710
ING Investment Management CLO Ltd., Series 2013-3A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.474% 1/18/26		1,850,000		1,850,272
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 (a) 4.300% 1/15/42		2,790,625		2,782,555
LCM LP, Series 16A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.523% 7/15/26		2,850,000		2,865,775
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.173% 7/15/25		1,100,000		1,098,723
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.506% 10/20/29		3,030,000		3,054,213
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN 1.777% 2/25/35		418,844		417,344
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.807% 6/25/35		856,639		855,443
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.253% 11/15/28		760,000		761,699


	Principal Amount		Value
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23	$	1,738,165	$	1,734,820
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) 2.510% 5/20/30		271,795		269,588
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		1,163,760		1,156,185
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M2, 1 mo. USD LIBOR + ..750%, FRN 1.732% 7/25/35		109,499		111,558
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) 4.450% 6/20/42		732,049		735,307
MVW Owner Trust, Series 2015-1A, Class A (a) 2.520% 12/20/32		964,613		955,218
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		175,313		175,143
Nomad CLO Ltd., Series 2013-1A, Class A1, 3 mo. USD LIBOR + 1.200%, FRN (a) 2.223% 1/15/25		1,575,000		1,574,994
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (a) 2.833% 10/16/51		10,600,000		10,414,500
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (a) 3.107% 12/15/50		3,000,000		2,983,944
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (a) 2.150% 4/20/25		2,100,000		2,100,349
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) 4.210% 5/17/20		870,000		864,915
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) 2.290% 7/09/29		313,327		307,884
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) 2.610% 3/08/29		1,790,999		1,764,730
Orange Lake Timeshare Trust, Series 2016-A, Class B (a) 2.910% 3/08/29		1,499,845		1,478,039
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		1,400,000		1,386,005


	Principal Amount		Value
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22	$	591,923	$	590,701
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + ..260%, FRN 1.242% 9/25/35		119,156		119,382
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) 1.000% 2/20/30		700,000		701,809
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class M1, 1 mo. USD LIBOR + .400%, FRN 1.382% 10/25/35		287,683		287,942
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A (a) 2.280% 11/20/25		977,971		975,868
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		313,500		314,239
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) 3.050% 12/26/25		2,222,616		2,224,947
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) 3.060% 9/25/28		10,656,931		10,643,631
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		3,377,308		3,374,627
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		4,319,621		4,323,859
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) 3.280% 2/25/26		4,000,000		3,982,102
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1, 1 mo. USD LIBOR + .450%, FRN 1.432% 6/25/36		555,000		554,803
Spirit Master Funding LLC, Series 2014-4A, Class A1 (a) 3.501% 1/20/45		1,000,000		987,987
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		1,625,327		1,635,294
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (a) 2.750% 11/15/49		4,490,000		4,459,131


	Principal Amount		Value
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (a) 2.920% 7/15/47	$	1,200,000	$	1,201,841
Structured Receivables Finance LLC, Series 2010-B, Class A (a) 3.730% 8/15/36		284,074		283,739
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (a) 4.190% 1/15/71		2,035,864		2,036,271
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.203% 10/17/26		2,900,000		2,901,337
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		2,487,500		2,498,401
TAL Advantage VI LLC, Series 2017-1A, Class A (a) 4.500% 4/21/42		2,710,000		2,742,875
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.399% 10/13/29		2,150,000		2,166,452
Textainer Marine Containers III Ltd., Series 2014-1A, Class A (a) 3.270% 10/20/39		439,833		429,294
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) 2.530% 4/20/27		1,750,000		1,750,115
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) 4.370% 7/15/41		285,273		283,145
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) 2.540% 7/20/33		2,465,357		2,432,564
Wendys Funding LLC, Series 2015-1A, Class A2I (a) 3.371% 6/15/45		3,915,375		3,932,347
Wendys Funding LLC, Series 2015-1A, Class A2II (a) 4.080% 6/15/45		1,802,550		1,827,035
Wendys Funding LLC, Series 2015-1A, Class A23 (a) 4.497% 6/15/45		2,167,000		2,110,083
Westgate Resorts LLC, Series 2015-1A, Class A (a) 2.750% 5/20/27		1,206,319		1,203,528
Westgate Resorts LLC, Series 2017-1A, Class A (a) 3.050% 12/20/30		1,760,000		1,757,800

				190,331,638


	Principal Amount		Value
Student Loans ABS — 9.2%
Access Group, Inc., Series 2004-A, Class A3, 28 Day ARS, FRN 1.699% 7/01/39	$	2,950,000	$	2,891,326
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.743% 7/01/38		599,279		577,315
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 Day ARS, FRN 2.224% 1/25/47		900,000		688,073
Collegiate Funding Services Education Loan Trust, Series 2005-B, Class A4, 3 mo. USD LIBOR + .160%, FRN 1.311% 3/28/35		1,500,000		1,423,967
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 2.480% 10/25/44		5,543,881		5,560,512
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 2.882% 10/27/31		314,257		320,119
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		2,068,413		2,062,116
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 2.982% 4/25/40		983,745		981,053
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) 3.200% 1/25/40		1,099,166		1,107,959
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) 2.720% 1/25/41		2,376,223		2,329,746
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) 2.832% 10/27/36		4,156,742		4,156,737
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (a) 3.020% 5/25/34		1,649,893		1,649,370
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.093% 12/27/66		3,400,000		3,399,595
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 2.332% 7/26/66		4,315,062		4,312,259


	Principal Amount		Value
Education Services of America, Series 2014-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 6/25/48	$	1,200,000	$	1,025,991
Education Services of America, Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 10/25/56		1,100,000		951,715
Educational Funding of the South, Inc., Series 2011-1, Class B, 3 mo. USD LIBOR + 3.700%, FRN 4.738% 4/25/46		625,000		679,479
Higher Education Funding I, Series 2004-1, Class B2, 28 Day ARS, FRN (a) 2.110% 1/01/44		450,000		365,298
Higher Education Funding I, Series 2004-1, Class B1, 28 Day ARS, FRN (a) 2.137% 1/01/44		450,000		392,143
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.463% 9/27/35		902,114		893,596
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 1.222% 11/27/28		217,150		216,139
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 1.000% 6/25/65		3,256,522		3,304,766
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (a) 1.682% 2/25/70		3,113,583		3,062,032
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN 1.732% 2/25/39		3,000,000		2,882,578
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) 1.920% 7/26/66		6,000,000		5,999,277
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) 2.282% 3/25/66		13,750,000		13,956,363
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 10/25/58		940,000		794,292


	Principal Amount		Value
Navient Student Loan Trust, Series 2016-2, Class A3, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 6/25/65	$	2,370,000	$	2,433,005
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) 3.600% 12/26/40		1,658,400		1,650,922
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN 1.158% 4/25/31		1,220,000		1,214,152
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN 1.256% 3/23/37		1,232,715		1,203,434
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.403% 6/25/41		902,431		774,467
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) 1.612% 1/25/37		2,298,543		2,290,813
Nelnet Student Loan Trust, Series 2005-4, Class A4A, 7 Day ARS, FRN 1.776% 3/22/32		325,000		297,872
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + .800%, FRN 1.838% 7/25/36		1,600,000		1,578,291
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) 1.932% 11/25/65		3,779,265		3,786,352
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN 1.323% 7/15/36		378,000		370,330
SLM Student Loan Trust, Series 2007-3, Class B, 3 mo. USD LIBOR + .150%, FRN 1.188% 1/25/28		2,400,000		1,771,988
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN 1.188% 4/25/40		1,096,618		914,497
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN 1.788% 10/25/40		1,056,000		1,033,417


	Principal Amount		Value
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 6/25/43	$	1,420,000	$	1,283,500
SLM Student Loan Trust, Series 2002-7, Class A10, 28 Day ARS, FRN 3.250% 3/15/28		347,000		347,000
SLM Student Loan Trust, Series 2002-7, Class A11, 28 Day ARS, FRN 3.270% 3/15/28		818,000		818,000
SLM Student Loan Trust, Series 2002-7, Class B, 28 Day ARS, FRN 3.284% 12/15/39		3,950,000		3,911,608
SLM Student Loan Trust, Series 2003-2, Class A7, 28 Day ARS, FRN 4.250% 9/15/28		650,000		650,000
SLM Student Loan Trust, Series 2003-5, Class A7, 28 Day ARS, FRN 4.260% 6/17/30		250,000		250,000
SMB Private Education Loan Trust, Series 2016-B, Class A2A (a) 2.430% 2/17/32		1,575,000		1,555,014
SMB Private Education Loan Trust, Series 2016-A, Class A2A (a) 2.700% 5/15/31		3,000,000		2,999,625
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.182% 6/25/33		2,291,318		2,316,141
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B (a) 2.340% 4/25/33		1,300,000		1,282,080
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) 2.360% 12/27/32		570,000		562,882
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) 2.490% 1/25/36		1,610,000		1,605,391
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.732% 8/25/36		1,135,961		1,169,048
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (a) 2.740% 10/25/32		2,300,000		2,286,859
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (a) 3.440% 3/26/40		1,220,000		1,196,922
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN 1.784% 1/03/33		1,800,000		1,780,362


	Principal Amount		Value
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.284% 8/01/35	$	1,100,000	$	1,017,522
South Texas Higher Education Authority, Inc., Series 2012-1, Class A3, 3 mo. USD LIBOR + .850%, FRN 1.848% 10/01/46		1,700,000		1,694,363

				112,029,673

WL Collateral CMO — 0.3%
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN 3.302% 8/25/34		55,730		55,365
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN 3.478% 2/25/34		18,646		18,628
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN 3.728% 9/25/33		7,516		7,397
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN 3.285% 8/25/34		11,421		11,579
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN 3.038% 8/25/34		54,811		50,443
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (a) 3.500% 1/25/47		3,590,239		3,582,112
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN 3.176% 7/25/33		3,575		3,679
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN 3.315% 2/25/34		7,323		7,083
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN 3.250% 2/25/34		234		248
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN 3.397% 3/25/34		36,339		37,421
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 2.038% 4/25/44		84,056		84,180

				3,858,135


	Principal Amount		Value
WL Collateral PAC — 0.0%
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, VRN 3.378% 6/25/32	$	23,528	$	23,383


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $358,107,137)				357,041,299


SOVEREIGN DEBT OBLIGATIONS — 0.8%
Colombia Government International Bond 6.125% 1/18/41		2,480,000		2,827,200
Colombia Government International Bond 7.375% 3/18/19		725,000		798,950
Mexico Government International Bond 5.125% 1/15/20		850,000		918,850
Mexico Government International Bond 6.750% 9/27/34		685,000		855,784
Mexico Government International Bond 4.750% 3/08/44		3,697,000		3,595,333
Peruvian Government International Bond 6.550% 3/14/37		405,000		522,956
Poland Government International Bond 6.375% 7/15/19		690,000		756,930

				10,276,003


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $9,945,171)				10,276,003


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 24.2%
Collateralized Mortgage Obligations — 1.5%
Federal Home Loan Mortgage Corp. Series 4303, Class AP 3.000% 8/15/43		3,287,898		3,343,828
Series 4290, Class CA 3.500% 12/15/38		2,118,562		2,172,951
Series 2617, Class Z 5.500% 5/15/33		1,691,227		1,886,587
Series 2693, Class Z 5.500% 10/15/33		3,018,030		3,303,271
Series 3423, Class PB 5.500% 3/15/38		668,822		737,344
Series 2178, Class PB 7.000% 8/15/29		68,182		76,165


	Principal Amount		Value
Federal National Mortgage Association Series 2014-7, Class VA 3.500% 5/25/25	$	1,450,799	$	1,508,784
Series 2014-48, Class AB 4.000% 10/25/40		2,986,888		3,103,315
Series 2007-32, Class Z 5.500% 4/25/37		969,337		1,062,325
Series 2010-60, Class HJ 5.500% 5/25/40		645,316		698,582
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA 5.500% 6/25/37		831,352		904,147
U.S. Department of Veteran Affairs Series 1992-1, Class 2Z 7.750% 5/15/22		62,458		68,646

				18,865,945


Pass-Through Securities — 21.7%
Federal Home Loan Mortgage Corp. Pool #G11630 3.500% 6/01/19		57,688		60,115
Pool #J13972 3.500% 1/01/26		71,531		74,674
Pool #C91344 3.500% 11/01/30		180,607		188,629
Pool #C91424 3.500% 1/01/32		122,212		127,640
Pool #Q37467 3.500% 11/01/45		6,286,046		6,456,211
Pool #Q37468 3.500% 11/01/45		4,702,950		4,833,935
Pool #Q41916 3.500% 7/01/46		2,147,767		2,210,942
Pool #Q42045 3.500% 7/01/46		915,997		942,941
Pool #Q44275 3.500% 11/01/46		1,673,890		1,723,649
Pool #Q44277 3.500% 11/01/46		496,211		510,264
Pool #Q46465 3.500% 3/01/47		7,428,841		7,603,245
Pool #C91239 4.500% 3/01/29		9,795		10,526
Pool #C91251 4.500% 6/01/29		62,268		66,916
Pool #C03537 4.500% 8/01/40		1,351,188		1,461,288
Pool #G06057 4.500% 10/01/40		1,259,726		1,359,224
Pool #G60485 4.500% 10/01/41		1,579,157		1,704,379


	Principal Amount		Value
Pool #G60469 4.500% 1/01/42	$	1,041,518	$	1,123,456
Pool #G60342 4.500% 5/01/42		5,174,163		5,580,415
Pool #G60172 4.500% 9/01/43		1,693,057		1,831,544
Pool #G05253 5.000% 2/01/39		307,659		337,079
Pool #C90939 5.500% 12/01/25		39,516		43,752
Pool #D97258 5.500% 4/01/27		59,089		65,423
Pool #C91026 5.500% 4/01/27		65,737		72,783
Pool #C91074 5.500% 8/01/27		6,540		7,241
Pool #D97417 5.500% 10/01/27		13,756		15,231
Pool #C91128 5.500% 12/01/27		3,402		3,772
Pool #C91148 5.500% 1/01/28		129,391		143,299
Pool #C91176 5.500% 5/01/28		46,625		51,623
Pool #C91217 5.500% 11/01/28		18,372		20,364
Pool #G11431 6.000% 2/01/18		180		180
Pool #C01079 7.500% 10/01/30		2,309		2,716
Pool #C01135 7.500% 2/01/31		6,575		7,721
Federal Home Loan Mortgage Corp. TBA Pool #2865 4.000% 4/01/43 (c)		10,950,000		11,461,571
Federal National Mortgage Association Pool #725692 2.707% 10/01/33 1 year CMT + 2.145%, FRN		179,790		188,750
Pool #888586 2.755% 10/01/34 1 year CMT + 2.203%, FRN		152,497		160,319
Pool #775539 2.850% 5/01/34 12 mo. USD LIBOR + 1.645%, FRN		49,116		51,431
Pool #AO8180 3.000% 9/01/42		46,147		46,034
Pool #AB7397 3.000% 12/01/42		205,142		204,637
Pool #AB7401 3.000% 12/01/42		198,020		197,533


	Principal Amount		Value
Pool #AP8668 3.000% 12/01/42	$	246,626	$	246,019
Pool #AR1975 3.000% 12/01/42		54,977		54,841
Pool #AR0306 3.000% 1/01/43		16,863		16,822
Pool #AR5391 3.000% 1/01/43		137,840		137,501
Pool #AL3215 3.000% 2/01/43		186,489		186,030
Pool #AR4109 3.000% 2/01/43		174,451		174,022
Pool #AR4432 3.000% 3/01/43		69,573		69,401
Pool #AT0169 3.000% 3/01/43		306,127		305,374
Pool #AB8809 3.000% 3/01/43		102,907		102,654
Pool #MA1368 3.000% 3/01/43		339,920		339,084
Pool #AR2174 3.000% 4/01/43		344,665		343,817
Pool #AS1304 3.500% 12/01/28		2,165,786		2,261,808
Pool #AV1897 3.500% 12/01/28		354,421		370,135
Pool #AV2325 3.500% 12/01/28		1,185,361		1,237,915
Pool #AS6187 3.500% 11/01/45		14,432,484		14,825,432
Pool #AS6306 3.500% 12/01/45		5,041,973		5,182,400
Pool #AS6475 3.500% 1/01/46		4,425,787		4,549,744
Pool #AS6476 3.500% 1/01/46		4,612,672		4,739,701
Pool #AS6477 3.500% 1/01/46		5,283,313		5,425,508
Pool #BD6601 3.500% 12/01/46		1,577,074		1,614,345
Pool #BE4046 3.500% 12/01/46		4,957,002		5,074,150
Pool #BE5162 3.500% 2/01/47		5,091,711		5,212,838
Pool #AZ7917 4.000% 3/01/41		583,478		616,253
Pool #AL2441 4.000% 9/01/42		3,639,853		3,855,117
Pool #AL8422 4.000% 1/01/43		519,487		548,992
Pool #BC5984 4.000% 4/01/46		1,191,430		1,250,350


	Principal Amount		Value
Pool #BF0094 4.000% 5/01/56	$	7,732,720	$	8,094,588
Pool #AA3980 4.500% 4/01/28		85,315		92,856
Pool #AB1466 4.500% 9/01/40		641,683		692,090
Pool #AH6787 4.500% 3/01/41		1,215,585		1,314,493
Pool #AL7566 4.500% 10/01/42		1,276,385		1,377,049
Pool #AL6997 4.500% 11/01/42		2,584,961		2,795,291
Pool #AL6608 4.500% 6/01/44		1,077,879		1,166,930
Pool #AD6437 5.000% 6/01/40		719,004		788,404
Pool #AD6996 5.000% 7/01/40		4,889,392		5,358,277
Pool #AL8173 5.000% 2/01/44		1,972,439		2,162,209
Pool #AD0836 5.500% 11/01/28		119,122		132,211
Pool #575667 7.000% 3/01/31		13,107		15,419
Pool #497120 7.500% 8/01/29		123		146
Pool #529453 7.500% 1/01/30		2,844		3,379
Pool #531196 7.500% 2/01/30		363		430
Pool #532418 7.500% 2/01/30		4,428		5,261
Pool #530299 7.500% 3/01/30		407		470
Pool #536386 7.500% 4/01/30		502		595
Pool #535996 7.500% 6/01/31		9,063		10,699
Pool #523499 8.000% 11/01/29		293		347
Pool #252926 8.000% 12/01/29		258		307
Pool #532819 8.000% 3/01/30		143		171
Pool #534703 8.000% 5/01/30		2,982		3,558
Pool #253437 8.000% 9/01/30		199		238
Pool #253481 8.000% 10/01/30		120		144
Pool #190317 8.000% 8/01/31		4,424		5,279


	Principal Amount		Value
Pool #596656 8.000% 8/01/31	$	1,955	$	2,109
Pool #602008 8.000% 8/01/31		6,121		7,295
Pool #597220 8.000% 9/01/31		3,420		4,092
Federal National Mortgage Association TBA
Pool #6237 3.000% 6/01/44 (c)		2,520,000		2,498,738
Pool #1058 3.500% 2/01/44 (c)		35,675,000		36,494,412
Pool #11192 4.000% 3/01/43 (c)		26,500,000		27,798,087
Pool #20567 4.500% 10/01/40 (c)		6,100,000		6,541,774
Government National Mortgage Association Pool #783896 3.500% 5/15/44		5,201,510		5,412,822
Pool #371146 7.000% 9/15/23		522		577
Pool #352022 7.000% 11/15/23		8,174		9,096
Pool #374440 7.000% 11/15/23		551		607
Pool #491089 7.000% 12/15/28		10,292		11,688
Pool #480539 7.000% 4/15/29		471		548
Pool #500928 7.000% 5/15/29		4,697		5,487
Pool #478658 7.000% 5/15/29		2,374		2,780
Pool #488634 7.000% 5/15/29		2,521		2,935
Pool #499410 7.000% 7/15/29		1,375		1,614
Pool #510083 7.000% 7/15/29		1,545		1,798
Pool #516706 7.000% 8/15/29		115		123
Pool #493723 7.000% 8/15/29		4,417		5,182
Pool #581417 7.000% 7/15/32		25,179		29,499
Pool #192796 7.500% 6/15/17		41		41
Pool #226163 7.500% 7/15/17		460		461


	Principal Amount		Value
Government National Mortgage Association II Pool #82462 2.000% 1/20/40 1 year CMT + 1.500%, FRN	$	683,709	$	706,994
Pool #82488 2.000% 3/20/40 1 year CMT + 1.500%, FRN		646,214		665,322
Pool #008746 2.250% 11/20/25 1 year CMT + 1.500%, FRN		5,684		5,791
Pool #080136 2.250% 11/20/27 1 year CMT + 1.500%, FRN		1,100		1,123
Pool #784026 3.500% 12/20/44		1,827,876		1,894,636
Government National Mortgage Association II TBA Pool #2543 3.500% 9/01/44 (c)		33,300,000		34,469,403
Pool #1572 4.000% 1/01/44 (c)		13,750,000		14,498,194

				264,785,774

Whole Loans — 1.0%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2016-DNA1, Class M1 1 mo. USD LIBOR + 1.450%, FRN 2.432% 7/25/28		722,071		725,284
Series 2016-HQA3, Class M1, 1 mo. USD LIBOR + .800%, FRN 1.782% 3/25/29		847,850		849,237
Series 2016-HQA3, Class M2, 1 mo. USD LIBOR + 1.350%, FRN 2.332% 3/25/29		790,000		795,814
Federal National Mortgage Association Connecticut Avenue Securities
Series 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300%, FRN 2.282% 4/25/29		2,430,685		2,448,724
Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN 2.332% 1/25/29		4,573,300		4,597,976
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450%, FRN 2.432% 1/25/29		2,442,230		2,466,309


	Principal Amount		Value
Series 2015-C03, Class 1M1, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 7/25/25	$	68,381	$	68,399

				11,951,743


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $296,872,804)				295,603,462


U.S. TREASURY OBLIGATIONS — 6.1%
U.S. Treasury Bonds & Notes — 6.1%
U.S. Treasury Bond 2.500% 5/15/46		23,650,000		21,181,531
U.S. Treasury Bond (d) 3.500% 2/15/39		18,500,000		20,361,851
U.S. Treasury Inflation Index 0.125% 7/15/26		12,458,670		12,154,978
U.S. Treasury Note 1.125% 9/30/21		11,600,000		11,224,360
U.S. Treasury Note 2.000% 11/15/26		10,700,000		10,336,618

				75,259,338


TOTAL U.S. TREASURY OBLIGATIONS (Cost $77,420,384)				75,259,338


TOTAL BONDS & NOTES (Cost $1,196,828,522)				1,202,369,573


	Notional Amount
PURCHASED OPTIONS — 0.2%
Financial — 0.2%
Diversified Financial Services — 0.2%
3-Month USD LIBOR 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52		12,180,000		1,693,422
3-Month USD LIBOR 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52		7,308,000		747,074


TOTAL PURCHASED OPTIONS (Cost $2,540,261)				2,440,496


TOTAL LONG-TERM INVESTMENTS (Cost $1,201,743,783)				1,207,335,169


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 12.9%
Commercial Paper — 12.9%
Anheuser-Busch InBev Worldwide, Inc. (a) 1.150% 4/12/17	$	2,800,000	$	2,799,207
Becton, Dickinson & Co. (a) 1.425% 7/05/17		12,000,000		11,956,672
Bell Canada (a) 1.190% 5/16/17		3,500,000		3,494,781
Bell Canada (a) 1.350% 6/28/17		8,500,000		8,473,565
CenterPoint Energy, Inc. (a) 1.090% 4/24/17		3,000,000		2,997,600
CRH America Finance, Inc. (a) 1.100% 4/03/17		2,000,000		1,999,816
CRH America Finance, Inc. (a) 1.160% 5/10/17		4,325,000		4,318,959
CRH America Finance, Inc. (a) 1.210% 5/15/17		3,000,000		2,995,256
CRH America Finance, Inc. (a) 1.270% 4/04/17		8,300,000		8,298,980
CRH America Finance, Inc. (a) 1.370% 5/30/17		2,000,000		1,995,600
Enbridge (US), Inc (a) 1.290% 6/01/17		5,900,000		5,886,577
FMC Corp. (a) 1.110% 4/03/17		11,400,000		11,398,953
FMC Technologies, Inc. (a) 1.300% 4/11/17		5,000,000		4,998,261
Ford Motor Credit Co. (a) 1.220% 5/09/17		13,000,000		12,982,762
HP, Inc. (a) 1.190% 4/17/17		7,640,000		7,637,067
Hyundai Capital America (a) 1.299% 4/17/17		10,000,000		9,994,499
Marriott International, Inc. (a) 1.403% 5/24/17		4,500,000		4,491,239
Monsanto Co. (a) 1.200% 4/20/17		3,000,000		2,998,040
Monsanto Co. (a) 1.350% 4/25/17		9,100,000		9,092,372
ONEOK Partners LP (a) 1.500% 4/05/17		4,000,000		3,999,383
ONEOK Partners LP (a) 1.500% 4/13/17		4,000,000		3,998,342
Schlumberger Holdings (a) 1.220% 4/12/17		3,500,000		3,498,716
Sempra Energy Holdings (a) 1.481% 8/23/17		3,500,000		3,479,122
Sysco Corp. (a) 1.130% 4/03/17		8,600,000		8,599,210
Telus Corp. (a) 1.374% 6/26/17		6,000,000		5,980,599


	Principal Amount		Value
Telus Corp. (a) 1.380% 6/26/17	$	5,000,000	$	4,983,833
Thermo Fisher Scientific, Inc. (a) 1.400% 6/15/17		4,000,000		3,988,760

				157,338,171

Time Deposit — 0.0%
Euro Time Deposit 0.090% 4/03/17		88,296		88,296


TOTAL SHORT-TERM INVESTMENTS (Cost $157,425,080)				157,426,467


TOTAL INVESTMENTS — 111.6% (Cost $1,359,168,863) (e)				1,364,761,636

Other Assets/ (Liabilities) — (11.6)%				(141,823,929	)


NET ASSETS — 100.0%			$	1,222,937,707

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

BAB	Build America Bonds

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

MTA	Monthly Treasury Average Index

PAC	Planned Amortization Class

STEP	Step Up Bond

TBA	To Be Announced

VRN	Variable Rate Note

WL	Whole Loan

(a)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to a value of $533,442,965 or 43.62% of net assets.

(b)	Restricted security. Certain securities are restricted as to resale. At March 31, 2017, these securities amounted to a value of $492,161 or 0.04% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(c)	A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(d)	A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2).

(e)	See Note 3 for aggregate cost for federal tax purposes.


	Principal Amount		Value
BONDS & NOTES — 99.0%

CORPORATE DEBT — 45.3%
Aerospace & Defense — 1.0%
Harris Corp. 2.700% 4/27/20	$	1,154,000	$	1,164,612
L3 Technologies, Inc. 5.200% 10/15/19		1,185,000		1,269,818

				2,434,430

Agriculture — 1.0%
Bunge Ltd. Finance Corp. 3.200% 6/15/17		830,000		832,790
Bunge Ltd. Finance Corp. 3.500% 11/24/20		330,000		338,602
Imperial Brands Finance PLC (a) 2.950% 7/21/20		1,087,000		1,100,856

				2,272,248

Airlines — 0.7%
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		32,855		33,019
Delta Air Lines, Inc. 3.625% 3/15/22		775,000		791,124
WestJet Airlines Ltd. (a) 3.500% 6/16/21		695,000		690,376

				1,514,519

Auto Manufacturers — 1.5%
Ford Motor Credit Co. LLC 2.240% 6/15/18		630,000		632,151
General Motors Co. 3.500% 10/02/18		205,000		209,500
General Motors Financial Co., Inc. 2.400% 5/09/19		110,000		110,237
General Motors Financial Co., Inc. 2.625% 7/10/17		190,000		190,535
General Motors Financial Co., Inc. 3.100% 1/15/19		520,000		528,389
General Motors Financial Co., Inc. 3.200% 7/13/20		185,000		188,186
Hyundai Capital America (a) 2.000% 7/01/19		65,000		64,416
Hyundai Capital America (a) 2.550% 2/06/19		340,000		341,797
Hyundai Capital America (a) 3.000% 10/30/20		800,000		806,301
Nissan Motor Acceptance Corp. (a) 1.900% 9/14/21		560,000		541,701

				3,613,213


	Principal Amount		Value
Auto Parts & Equipment — 1.0%
The Goodyear Tire & Rubber Co. 5.125% 11/15/23	$	1,110,000	$	1,157,175
Lear Corp. 4.750% 1/15/23		1,110,000		1,149,803

				2,306,978

Banks — 5.9%
ANZ New Zealand Int’l Ltd. (a) 2.250% 2/01/19		1,290,000		1,293,577
Bancolombia SA 5.950% 6/03/21		345,000		378,206
Bank of America Corp. 5.700% 5/02/17		1,900,000		1,906,251
Citigroup, Inc. 2.350% 8/02/21		1,155,000		1,137,086
Citigroup, Inc. 2.450% 1/10/20		35,000		35,150
First Horizon National Corp. 3.500% 12/15/20		1,430,000		1,469,345
The Goldman Sachs Group, Inc. 2.875% 2/25/21		2,360,000		2,375,288
Itau Unibanco Holding SA (a) 2.850% 5/26/18		270,000		271,350
JP Morgan Chase & Co. 4.500% 1/24/22		1,090,000		1,174,689
Macquarie Bank Ltd. (a) 2.850% 1/15/21		130,000		130,572
Mitsubishi UFJ Trust & Banking Corp. (a) 2.650% 10/19/20		1,110,000		1,113,942
Regions Bank 7.500% 5/15/18		130,000		137,643
Regions Financial Corp. 3.200% 2/08/21		1,095,000		1,113,532
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		585,000		569,462
Sumitomo Mitsui Financial Group, Inc. 2.846% 1/11/22		150,000		150,250
SVB Financial Group 5.375% 9/15/20		75,000		81,170
Turkiye Garanti Bankasi AS (a) 4.750% 10/17/19		370,000		375,740

				13,713,253

Beverages — 0.9%
Anheuser-Busch InBev Finance, Inc. 2.650% 2/01/21		710,000		715,339
Coca-Cola Femsa SAB de CV 2.375% 11/26/18		1,150,000		1,156,631
Molson Coors Brewing Co. 2.100% 7/15/21		330,000		322,245

				2,194,215


	Principal Amount		Value
Biotechnology — 0.8%
Baxalta, Inc. 2.000% 6/22/18	$	485,000	$	485,816
Celgene Corp. 2.250% 5/15/19		70,000		70,377
Celgene Corp. 2.875% 8/15/20		1,270,000		1,289,426

				1,845,619

Building Materials — 1.6%
Holcim US Finance Sarl & Cie SCS (a) 6.000% 12/30/19		1,160,000		1,264,571
James Hardie International Finance Ltd. (a) 5.875% 2/15/23		550,000		567,875
Martin Marietta Material, Inc. 3 mo. USD LIBOR + 1.100%, FRN 2.098% 6/30/17		205,000		205,336
Masco Corp. 3.500% 4/01/21		620,000		630,918
Masco Corp. 7.125% 3/15/20		500,000		563,270
Standard Industries, Inc. (a) 5.500% 2/15/23		560,000		572,600

				3,804,570

Chemicals — 2.3%
Air Liquide Finance SA (a) 1.750% 9/27/21		200,000		192,884
Airgas, Inc. 3.050% 8/01/20		965,000		991,368
CF Industries, Inc. 6.875% 5/01/18		1,095,000		1,141,538
The Dow Chemical Co. 8.550% 5/15/19		125,000		141,701
Incitec Pivot Finance LLC (a) 6.000% 12/10/19		452,000		486,082
LyondellBasell Industries NV 5.000% 4/15/19		565,000		595,068
LyondellBasell Industries NV 6.000% 11/15/21		500,000		566,067
RPM International, Inc. 3.450% 11/15/22		8,000		8,102
RPM International, Inc. 6.125% 10/15/19		1,078,000		1,176,034
RPM International, Inc. 6.500% 2/15/18		76,000		79,087

				5,377,931

Commercial Services — 0.5%
Ecolab, Inc. 2.000% 1/14/19		585,000		588,913


	Principal Amount		Value
S&P Global, Inc. 3.300% 8/14/20	$	635,000	$	648,728

				1,237,641

Computers — 0.7%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 3.480% 6/01/19		430,000		440,626
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 4.420% 6/15/21		475,000		496,729
Everett Spinco, Inc. (a) 2.875% 3/27/20		230,000		231,927
Leidos Holdings, Inc. 4.450% 12/01/20		525,000		546,000

				1,715,282

Diversified Financial Services — 3.4%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		1,010,000		1,058,738
Air Lease Corp. 2.125% 1/15/18		30,000		30,056
Air Lease Corp. 2.125% 1/15/20		300,000		297,733
Air Lease Corp. 3.375% 1/15/19		365,000		373,462
Air Lease Corp. STEP 5.625% 4/01/17		465,000		465,000
Ally Financial, Inc. 3.600% 5/21/18		440,000		445,500
Ally Financial, Inc. 4.750% 9/10/18		920,000		945,300
Athene Global Funding (a) 4.000% 1/25/22		1,200,000		1,220,302
CIT Group, Inc. 4.250% 8/15/17		1,270,000		1,281,112
Genpact Luxembourg Sarl (a) 3.700% 4/01/22		945,000		950,477
International Lease Finance Corp. 3.875% 4/15/18		100,000		101,953
Lazard Group LLC 4.250% 11/14/20		645,000		678,381

				7,848,014

Electric — 2.1%
Ameren Corp. 2.700% 11/15/20		555,000		560,013
Duke Energy Corp. 1.800% 9/01/21		600,000		579,563
EDP Finance BV (a) 4.125% 1/15/20		1,150,000		1,181,050
EDP Finance BV (a) 4.900% 10/01/19		108,000		113,400


	Principal Amount		Value
Entergy Texas, Inc. 2.550% 6/01/21	$	75,000	$	74,108
Entergy Texas, Inc. 7.125% 2/01/19		628,000		682,517
IPALCO Enterprises, Inc. 5.000% 5/01/18		315,000		323,663
Israel Electric Corp. Ltd. (a) 7.250% 1/15/19		350,000		378,861
Majapahit Holding BV (a) 7.750% 1/20/20		330,000		372,306
The Southern Co. 1.850% 7/01/19		135,000		134,266
The Southern Co. 2.350% 7/01/21		460,000		451,662

				4,851,409

Electronics — 0.7%
FLIR Systems, Inc. 3.125% 6/15/21		480,000		482,657
Jabil Circuit, Inc. 8.250% 3/15/18		90,000		95,118
Tech Data Corp. 3.700% 2/15/22		240,000		240,832
Tyco Electronics Group SA 6.550% 10/01/17		700,000		717,017

				1,535,624

Environmental Controls — 0.3%
Clean Harbors, Inc. 5.250% 8/01/20		690,000		702,268

Foods — 0.9%
Danone SA (a) 2.077% 11/02/21		1,340,000		1,304,041
JBS Investments GmbH (a) 7.750% 10/28/20		200,000		209,500
Mondelez International Holdings Netherlands BV (a) 2.000% 10/28/21		595,000		572,511
Tyson Foods, Inc. 2.650% 8/15/19		60,000		60,660

				2,146,712

Forest Products & Paper — 0.5%
Sappi Papier Holding GmbH (a) 7.750% 7/15/17		1,200,000		1,202,520

Hand & Machine Tools — 0.5%
Stanley Black & Decker, Inc. 1.622% 11/17/18		345,000		343,771
Stanley Black & Decker, Inc. 2.451% 11/17/18		810,000		818,439

				1,162,210

Health Care – Products — 0.9%
Abbott Laboratories 2.350% 11/22/19		600,000		602,487


	Principal Amount		Value
Abbott Laboratories 2.900% 11/30/21	$	675,000	$	677,953
Boston Scientific Corp. 2.850% 5/15/20		255,000		258,539
Zimmer Biomet Holdings, Inc. 2.000% 4/01/18		528,000		528,861

				2,067,840

Health Care – Services — 1.2%
Cigna Corp. 4.000% 2/15/22		316,000		332,098
Cigna Corp. 4.500% 3/15/21		790,000		840,020
HCA, Inc. 3.750% 3/15/19		1,130,000		1,155,425
Laboratory Corp. of America Holdings 2.625% 2/01/20		570,000		573,006

				2,900,549

Home Builders — 0.5%
Lennar Corp. 4.500% 11/15/19		1,128,000		1,160,430

Housewares — 0.1%
Newell Brands, Inc. 2.600% 3/29/19		171,000		173,114

Insurance — 2.1%
American International Group, Inc. 3.300% 3/01/21		550,000		560,131
CNA Financial Corp. 5.750% 8/15/21		93,000		103,495
Enstar Group Ltd. 4.500% 3/10/22		395,000		399,971
Lincoln National Corp. 6.250% 2/15/20		500,000		551,094
Reinsurance Group of America, Inc. 5.000% 6/01/21		540,000		587,602
TIAA Asset Management Finance Co. LLC (a) 2.950% 11/01/19		1,255,000		1,275,655
Trinity Acquisition PLC 3.500% 9/15/21		470,000		477,821
Unum Group 3.000% 5/15/21		135,000		135,153
Willis Towers Watson PLC 5.750% 3/15/21		370,000		406,553
XLIT Ltd. 5.750% 10/01/21		465,000		516,453

				5,013,928

Internet — 0.5%
Expedia, Inc. 7.456% 8/15/18		1,148,000		1,229,322


	Principal Amount		Value
Investment Companies — 0.4%
Ares Capital Corp. 3.875% 1/15/20	$	548,000	$	558,946
FS Investment Corp. 4.000% 7/15/19		365,000		368,186

				927,132

Leisure Time — 0.6%
Brunswick Corp. (a) 4.625% 5/15/21		1,388,000		1,423,272

Lodging — 0.4%
Marriott International, Inc. 2.300% 1/15/22		30,000		29,325
Marriott International, Inc. 2.875% 3/01/21		875,000		884,672

				913,997

Machinery – Diversified — 0.5%
CNH Industrial Capital LLC 3.375% 7/15/19		353,000		356,089
CNH Industrial Capital LLC 3.625% 4/15/18		100,000		101,125
CNH Industrial Capital LLC 3.875% 10/15/21		635,000		635,324
CNH Industrial Capital LLC 4.875% 4/01/21		115,000		120,750

				1,213,288

Media — 0.7%
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20		605,000		622,326
Sirius XM Radio, Inc. (a) 4.250% 5/15/20		900,000		907,875
Viacom, Inc. 2.250% 2/04/22		95,000		91,180

				1,621,381

Mining — 0.5%
Glencore Canada Corp. 5.500% 6/15/17		890,000		896,506
Glencore Finance Canada Ltd. (a) 2.700% 10/25/17		233,000		233,934

				1,130,440

Office & Business Equipment — 0.6%
Pitney Bowes, Inc. 3.375% 10/01/21		590,000		579,818
Pitney Bowes, Inc. 4.750% 5/15/18		750,000		770,792
Pitney Bowes, Inc. 5.750% 9/15/17		33,000		33,618

				1,384,228


	Principal Amount		Value
Oil & Gas — 0.5%
Concho Resources, Inc. 5.500% 10/01/22	$	1,190,000	$	1,230,163

Oil & Gas Services — 0.1%
Cameron International Corp. 1.400% 6/15/17		300,000		300,143

Packaging & Containers — 0.5%
Graphic Packaging International, Inc. 4.750% 4/15/21		1,094,000		1,140,495

Pharmaceuticals — 1.9%
AbbVie, Inc. 1.800% 5/14/18		1,065,000		1,066,198
Actavis Funding SCS 2.350% 3/12/18		590,000		592,572
Express Scripts Holding Co. 3.300% 2/25/21		1,195,000		1,215,664
Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21		235,000		229,810
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		1,325,000		1,278,705

				4,382,949

Real Estate Investment Trusts (REITS) — 1.8%
American Tower Corp. 2.250% 1/15/22		415,000		400,492
American Tower Corp. 3.300% 2/15/21		745,000		755,457
Crown Castle International Corp. 3.400% 2/15/21		714,000		726,286
DDR Corp. 3.500% 1/15/21		210,000		212,339
DDR Corp. 7.500% 7/15/18		925,000		984,126
Digital Realty Trust LP 3.400% 10/01/20		320,000		328,192
Highwoods Realty LP 7.500% 4/15/18		25,000		26,401
Simon Property Group LP 2.350% 1/30/22		700,000		688,306
Weyerhaeuser Co. 7.375% 10/01/19		135,000		151,322

				4,272,921

Retail — 1.6%
AutoNation, Inc. 3.350% 1/15/21		825,000		834,753
CVS Health Corp. 2.125% 6/01/21		960,000		941,645
Dollar Tree, Inc. 5.750% 3/01/23		1,190,000		1,267,350


	Principal Amount		Value
QVC, Inc. 3.125% 4/01/19	$	577,000	$	585,917

				3,629,665

Semiconductors — 1.0%
Analog Devices, Inc. 2.500% 12/05/21		245,000		242,652
Broadcom Corp./Broadcom Cayman Finance Ltd. (a) 3.000% 1/15/22		950,000		948,789
KLA-Tencor Corp. 2.375% 11/01/17		455,000		456,060
NXP BV/NXP Funding LLC (a) 4.125% 6/01/21		770,000		798,875

				2,446,376

Telecommunications — 0.4%
Hughes Satellite Systems Corp. 6.500% 6/15/19		542,000		586,661
Verizon Communications, Inc. 1.750% 8/15/21		245,000		234,545

				821,206

Transportation — 0.9%
Asciano Finance Ltd. (a) 5.000% 4/07/18		547,000		560,042
Ryder System, Inc. 2.250% 9/01/21		425,000		416,218
Ryder System, Inc. 2.500% 3/01/18		475,000		477,839
Ryder System, Inc. 2.550% 6/01/19		65,000		65,530
Ryder System, Inc. 2.875% 9/01/20		340,000		344,117
TTX Co. (a) 2.250% 2/01/19		300,000		300,138

				2,163,884

Trucking & Leasing — 1.3%
Aviation Capital Group Corp. (a) 2.875% 9/17/18		1,260,000		1,272,634
GATX Corp. 2.600% 3/30/20		575,000		582,583
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 2.500% 6/15/19		370,000		372,097
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.050% 1/09/20		615,000		624,807
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.300% 4/01/21		150,000		152,045


	Principal Amount		Value
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.375% 2/01/22	$	20,000	$	20,294

				3,024,460


TOTAL CORPORATE DEBT (Cost $105,801,421)				106,049,839


MUNICIPAL OBLIGATIONS — 0.0%
Louisiana State Public Facilities Authority, Series 2011-A, Class A2 FRN 1.937% 4/26/27		84,122		83,814


TOTAL MUNICIPAL OBLIGATIONS (Cost $84,122)				83,814


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 37.8%
Auto Floor Plan ABS — 0.5%
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) 2.332% 9/27/21		520,000		520,465
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) 2.478% 10/20/20		200,000		200,000
NextGear Floorplan Master Owner Trust, Series 2016-2A, Class A2 (a) 2.190% 9/15/21		480,000		473,204

				1,193,669

Automobile ABS — 6.4%
American Credit Acceptance Receivables Trust, Series 2015-2, Class A (a) 1.570% 6/12/19		17,823		17,822
American Credit Acceptance Receivables Trust, Series 2015-3, Class A (a) 1.950% 9/12/19		73,845		73,851
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) 2.220% 7/13/20		180,543		180,602
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		56,209		56,269
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) 2.390% 2/16/21		520,000		519,842


	Principal Amount		Value
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class D 2.540% 6/08/20	$	210,000	$	211,389
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) 2.100% 3/20/19		200,000		200,539
CFC LLC, Series 2015-1A, Class A (a) 1.750% 6/15/21		86,211		86,154
CPS Auto Trust, Series 2014-B, Class A (a) 1.110% 11/15/18		15,468		15,466
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		27,507		27,512
CPS Auto Trust, Series 2015-C, Class A (a) 1.770% 6/17/19		54,097		54,137
CPS Auto Trust, Series 2013-B, Class A (a) 1.820% 9/15/20		121,626		121,646
CPS Auto Trust, Series 2015-C, Class B (a) 2.550% 2/18/20		250,000		250,494
CPS Auto Trust, Series 2014-C, Class A (a) 1.310% 2/15/19		31,671		31,668
CPS Auto Trust, Series 2016-C, Class B (a) 2.480% 9/15/20		190,000		189,505
CPS Auto Trust, Series 2017-A, Class B (a) 2.680% 5/17/21		1,150,000		1,147,132
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) 1.880% 3/15/22		156,351		156,488
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		140,000		140,754
DT Auto Owner Trust, Series 2015-3A, Class A (a) 1.660% 3/15/19		12,475		12,475
DT Auto Owner Trust, Series 2016-1A, Class A (a) 2.000% 9/16/19		99,325		99,407
DT Auto Owner Trust, Series 2016-1A, Class B (a) 2.790% 5/15/20		450,000		451,388
DT Auto Owner Trust, Series 2016-2A, Class B (a) 2.920% 5/15/20		230,000		231,390
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) 1.830% 9/20/21		376,685		376,778
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 (a) 2.600% 7/20/22		210,000		209,621
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) 1.540% 11/15/19		42,582		42,574


	Principal Amount		Value
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) 2.000% 3/16/20	$	75,625	$	75,670
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) 2.840% 8/16/21		260,000		259,089
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) 3.000% 12/15/21		260,000		261,303
Exeter Automobile Receivables Trust, Series 2015-2A, Class C (a) 3.900% 3/15/21		650,000		660,968
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) 1.590% 12/16/19		51,940		51,952
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) 1.920% 5/15/20		184,516		184,652
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) 2.210% 7/15/22		540,000		534,120
Flagship Credit Auto Trust, Series 2014-2, Class A (a) 1.430% 12/16/19		40,455		40,408
Flagship Credit Auto Trust, Series 2015-2, Class A (a) 1.980% 10/15/20		106,089		106,188
Flagship Credit Auto Trust, Series 2015-3, Class A (a) 2.380% 10/15/20		122,624		122,843
Flagship Credit Auto Trust, Series 2016-4, Class B (a) 2.410% 10/15/21		910,000		901,061
Flagship Credit Auto Trust, Series 2016-4, Class C (a) 2.710% 11/15/22		410,000		404,468
Flagship Credit Auto Trust, Series 2016-1, Class A (a) 2.770% 12/15/20		287,297		289,380
Flagship Credit Auto Trust, Series 2017-1, Class B (a) 2.830% 3/15/23		615,000		614,411
Flagship Credit Auto Trust, Series 2013-2, Class B (a) 3.210% 8/15/19		192,407		193,110
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) 2.250% 12/15/20		48,131		48,053
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A (a) 2.380% 10/15/20		250,000		251,056


	Principal Amount		Value
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) 2.612% 4/15/21	$	370,000	$	374,463
Oscar US Funding Trust II, Series 2015-1A, Class A3 (a) 1.860% 10/15/19		621,954		618,283
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		300,000		295,637
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.612% 7/15/20		166,155		166,229
Oscar US Funding Trust V, Series 2016-2A, Class A1 (a) 0.900% 9/17/17		10,713		10,703
Oscar US Funding Trust V, Series 2016-2A, Class A2A (a) 2.310% 11/15/19		420,000		419,531
Oscar US Funding Trust VI, Series 2017-1A, Class A1 (a) 1.180% 4/10/18		800,000		799,437
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) 2.820% 6/10/21		240,000		239,731
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) 3.300% 5/10/24		160,000		159,854
Santander Drive Auto Receivables Trust, Series 2016-1, Class A3 1.620% 3/16/20		180,000		180,183
Santander Drive Auto Receivables Trust, Series 2015-2, Class C 2.440% 4/15/21		470,000		473,413
Santander Drive Auto Receivables Trust, Series 2016-1, Class B 2.470% 12/15/20		340,000		343,031
Santander Drive Auto Receivables Trust, Series 2014-4, Class D 3.100% 11/16/20		200,000		203,686
Santander Drive Auto Receivables Trust, Series 2016-1, Class D 4.020% 4/15/22		500,000		516,189
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) 1.962% 1/15/19		328,912		329,119

				15,033,124

Commercial MBS — 1.7%
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4, VRN 5.894% 2/10/51		74,496		75,353


	Principal Amount		Value
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM, VRN 5.961% 2/10/51	$	180,000	$	183,575
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN 6.231% 2/10/51		317,303		322,430
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, VRN 5.694% 6/11/50		86,014		86,842
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM, VRN 5.895% 6/11/50		425,000		433,005
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, 1 mo. LIBOR + .800%, FRN (a) 1.712% 3/15/29		365,000		365,451
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 3.147% 2/10/47		290,000		295,479
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class A4, VRN 5.808% 12/10/49		104,447		105,179
DBRR Trust, Series 2013-EZ3, Class A, VRN (a) 1.636% 12/18/49		12,139		12,129
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.728% 7/10/38		169,610		169,689
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class AM, VRN 5.981% 2/12/51		270,000		274,819
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		360,817		364,693
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN 5.856% 9/12/49		250,000		254,978
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN 5.508% 2/12/44		104,700		104,705
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN 6.301% 1/11/43		112,300		114,485
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN 5.474% 8/15/39		29,653		29,632
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN 2.997% 10/25/46		448,209		443,524


	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN 6.053% 2/15/51	$	440,000	$	441,900

				4,077,868

Home Equity ABS — 0.4%
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN 1.642% 11/25/35		48,392		48,312
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN 1.717% 8/25/35		97,670		97,947
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1, 1 mo. USD LIBOR + .480%, FRN 1.462% 12/25/35		198,381		198,577
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (a) 1.222% 10/25/34		148,598		148,250
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2, 1 mo. USD LIBOR + ..220%, FRN 1.202% 10/25/35		90,422		90,606
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP 6.551% 10/25/28		2		3
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .740%, FRN 1.352% 1/25/36		72,390		72,260
Option One Mortgage Loan Trust, Series 2005-5, Class A3, 1 mo. USD LIBOR + .210%, FRN 1.192% 12/25/35		116,002		116,059
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + .430%, FRN 1.412% 11/25/35		39,432		39,486

				811,500

Other ABS — 18.9%
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.112% 3/15/41		97,680		94,958
321 Henderson Receivables I LLC, Series 2010-3A, Class A (a) 3.820% 12/15/48		299,790		301,156


	Principal Amount		Value
AIMCO CLO Ltd., Series 2014-AA, Class A, 3 mo. USD LIBOR + 1.540%, FRN (a) 2.570% 7/20/26	$	350,000	$	350,123
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.503% 10/15/28		370,000		372,749
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) 1.639% 2/15/21		255,125		250,023
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (a) 2.203% 10/20/28		520,000		521,415
Arbys Funding LLC, Series 2015-1A, Class A2 (a) 4.969% 10/30/45		296,250		297,732
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.662% 12/15/42		240,430		233,834
AVANT Loans Funding Trust, Series 2016-C, Class A (a) 2.960% 9/16/19		53,662		53,749
AVANT Loans Funding Trust, Series 2016-A, Class A (a) 4.110% 5/15/19		76,637		76,665
BCC Funding VIII LLC, Series 2014-1A, Class A (a) 1.794% 6/20/20		12,630		12,615
BCC Funding X LLC, Series 2015-1, Class A2 (a) 2.224% 10/20/20		195,058		194,901
BCC Funding XIII LLC, Series 2016-1, Class A1 (a) 1.100% 9/20/17		240,725		240,521
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.203% 7/15/26		340,000		340,006
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) 2.487% 12/16/41		372,083		367,532
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) 2.454% 7/18/27		475,000		475,968
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		523,913		527,648


	Principal Amount		Value
CAN Capital Funding LLC, Series 2014-1A, Class A (Acquired 10/14/14, Cost $247,518) (a) (d) 3.117% 4/15/20	$	82,554	$	82,027
Capital Automotive REIT, Series 2012-1A, Class A1 (a) (b) 3.870% 4/15/47		260,000		259,925
Capital Automotive REIT, Series 2012-1A, Class A (a) 4.700% 7/15/42		190,115		190,442
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) 2.000% 12/10/23		195,386		194,042
CCG Receivables Trust, Series 2014-1, Class A2 (a) 1.060% 11/15/21		35,678		35,664
Citi Held For Asset Issuance, Series 2015-PM2, Class A (a) 2.350% 3/15/22		23,797		23,788
Citi Held For Asset Issuance, Series 2015-PM3, Class A (a) 2.560% 5/16/22		20,298		20,281
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) 4.474% 3/20/43		474,916		470,343
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.442% 9/25/34		34,449		34,374
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN 1.882% 2/25/35		102,644		93,080
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A3, 1 mo. LIBOR + .300%, FRN (a) 1.282% 7/25/36		55,357		55,313
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		891,800		896,666
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) 2.270% 5/20/26		127,794		127,133
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) 2.540% 5/20/27		53,692		53,688
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		131,196		130,960
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) 2.990% 5/22/28		162,909		162,125


	Principal Amount		Value
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) 3.080% 11/20/28	$	1,089,849	$	1,079,609
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) 3.540% 5/22/28		110,073		109,891
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) 3.484% 10/25/45		424,625		424,617
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) 5.216% 1/25/42		317,866		323,842
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39		125,000		123,005
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) 3.873% 7/15/23		151,418		152,377
Drug Royalty Corp., Inc., Series 2012-1, Class A1, 3 mo. USD LIBOR + 5.250%, FRN (a) 6.130% 7/15/24		60,667		61,460
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) 2.810% 4/25/28		285,874		282,778
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B (a) 3.020% 2/25/27		131,773		129,769
Element Rail Leasing I LLC, Series 2014-1A, Class A1 (a) 2.299% 4/19/44		148,300		144,741
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) 2.707% 2/19/45		70,070		67,386
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		180,085		180,716
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		88,430		88,974
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.612% 5/25/36		25,802		25,769
FNA Trust, Series 2015-1, Class A (a) 3.240% 12/10/23		93,700		93,138
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 1.222% 1/25/36		21,504		21,451


	Principal Amount		Value
FRS I LLC, Series 2013-1A, Class A1 (a) 1.800% 4/15/43	$	55,286	$	54,249
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.480% 7/20/27		475,000		475,136
Global SC Finance II SRL, Series 2013-1A, Class A (a) 2.980% 4/17/28		179,458		173,679
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		43,722		43,722
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.188% 4/25/25		535,000		534,634
Goodgreen Trust, Series 2016-1A, Class A (a) 3.230% 10/15/52		559,423		561,075
Green Tree Agency Advance Funding Trust I, Series 2015-T2, Class AT2 (a) 3.095% 10/15/48		340,000		339,738
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.627% 4/25/35		39,992		40,191
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) 3.524% 4/16/21		196,077		196,445
HERO Funding Trust, Series 2016-4A, Class A1 (a) 3.570% 9/20/47		404,575		398,520
HERO Funding Trust, Series 2015-1A, Class A (a) 3.840% 9/21/40		997,651		1,017,605
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) 1.770% 11/25/26		169,613		166,160
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) 2.280% 1/25/26		144,710		143,651
Hilton Grand Vacations Trust, Series 2017-AA, Class B, VRN (a) 2.960% 12/26/28		370,000		368,634
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 1.152% 8/25/36		8,773		8,781
ING Investment Management CLO Ltd., Series 2013-3A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.474% 1/18/26		260,000		260,038


	Principal Amount		Value
LCM LP, Series 16A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.523% 7/15/26	$	430,000	$	432,380
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.173% 7/15/25		700,000		699,187
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.506% 10/20/29		590,000		594,715
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.807% 6/25/35		134,231		134,044
Madison Park Funding Ltd., Series 2016-22A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.382% 10/25/29		420,000		424,647
Madison Park Funding XIV Ltd., Series 2014-14A, Class A2, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.480% 7/20/26		290,000		290,060
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.253% 11/15/28		390,000		390,872
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) 3.620% 2/20/29		400,000		402,088
Marlette Funding Trust, Series 2017-1A, Class A (a) 2.827% 3/15/24		890,000		890,644
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		679,895		678,586
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		131,296		130,441
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M2, 1 mo. USD LIBOR + ..750%, FRN 1.732% 7/25/35		16,010		16,311
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + ..945%, FRN 1.927% 4/25/35		146,809		147,131
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) 4.450% 6/20/42		144,483		145,126
MVW Owner Trust, Series 2013-1A, Class A (a) 2.150% 4/22/30		128,145		126,793
MVW Owner Trust, Series 2014-2, Class A (a) 2.250% 9/22/31		203,179		200,201


	Principal Amount		Value
MVW Owner Trust, Series 2016-1A, Class A (a) 2.250% 12/20/33	$	89,829	$	87,762
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		25,781		25,756
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) 3.610% 2/20/21		226,562		227,789
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) 2.120% 11/15/18		159,594		159,478
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) 2.575% 10/15/49		1,950,000		1,929,281
NRZ Advance Receivables Trust, Series 2016-T4, Class AT4 (a) 3.107% 12/15/50		700,000		696,254
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.410%, FRN (a) 2.449% 8/15/29		590,000		593,898
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) 4.210% 5/17/20		120,000		119,299
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) 2.290% 7/09/29		50,132		49,261
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) 2.610% 3/08/29		299,970		295,571
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		200,000		198,001
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22		78,923		78,760
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 1.242% 9/25/35		20,457		20,496
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + ..250%, FRN (a) 1.232% 2/25/37		93,507		93,118
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) 2.392% 2/20/30		700,000		701,809
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A (a) 2.050% 6/20/31		184,393		183,929
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A (a) 2.280% 11/20/25		36,522		36,443


	Principal Amount		Value
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) 2.300% 10/20/31	$	268,081	$	266,886
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A (a) 2.400% 3/22/32		316,070		314,645
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class A (a) 2.580% 9/20/32		116,443		116,885
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		44,786		44,891
Sierra Timeshare Receivables Funding LLC, Series 2017-1A, Class A (a) 2.910% 3/20/34		900,000		905,671
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) 3.050% 12/26/25		380,526		380,925
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) 3.060% 9/25/28		2,077,198		2,074,606
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		448,786		448,430
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		909,394		910,286
SoFi Consumer Loan Program LLC, Series 2015-2, Class A (a) 3.280% 9/15/23		922,058		923,897
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) 3.280% 2/25/26		800,000		796,420
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		634,486		638,377
Springleaf Funding Trust, Series 2016-AA, Class A (a) 2.900% 11/15/29		1,460,000		1,468,352
SPS Servicer Advance Receivables Trust, Series 2016-T1, Class AT1 (a) 2.530% 11/16/48		1,040,000		1,036,599
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (a) 2.920% 7/15/47		180,000		180,276
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.203% 10/17/26		800,000		800,369
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		378,100		379,757


	Principal Amount		Value
TAL Advantage LLC, Series 2014-2A, Class A1 (a) 1.700% 5/20/39	$	96,885	$	95,735
TAL Advantage VI LLC, Series 2017-1A, Class A (a) 4.500% 4/21/42		500,000		506,066
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.399% 10/13/29		300,000		302,296
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) 2.530% 4/20/27		950,000		950,063
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 1 mo. USD LIBOR + 2.500%, FRN (a) 3.412% 7/15/41		199,691		197,411
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) 4.370% 7/15/41		57,055		56,629
Trip Rail Master Funding LLC, Series 2011-1A, Class A2 (a) 6.024% 7/15/41		670,000		712,576
Voya CLO Ltd., Series 2014-2A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.473% 7/17/26		345,000		345,016
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) 2.540% 7/20/33		750,697		740,711
Welk Resorts LLC, Series 2015-AA, Class A (a) 2.790% 6/16/31		128,991		127,535
Wendys Funding LLC, Series 2015-1A, Class A2I (a) 3.371% 6/15/45		911,125		915,074
Westgate Resorts LLC, Series 2014-1A, Class A (a) 2.150% 12/20/26		141,443		139,843
Westgate Resorts LLC, Series 2015-2A, Class A (a) 3.200% 7/20/28		283,720		282,274
Westgate Resorts LLC, Series 2017-1A, Class A (a) 3.250% 12/20/30		330,000		329,588

				44,221,447

Student Loans ABS — 9.2%
Access Group, Inc., Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN 1.298% 4/25/29		51,140		51,026


	Principal Amount		Value
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) 1.682% 7/25/56	$	321,741	$	319,571
Access Group, Inc., Series 2004-A, Class A3, 28 Day ARS, FRN 1.699% 7/01/39		1,250,000		1,225,138
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.743% 7/01/38		90,800		87,472
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 7/25/58		140,000		119,445
Brazos Student Finance Corp., Series 2003-A, Class A3, 28 Day ARS, FRN 1.729% 7/01/38		200,000		194,298
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN 1.512% 1/15/37		271,262		237,095
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (a) 2.500% 1/25/30		189,708		176,791
DRB Prime Student Loan Trust, Series 2015-A, Class A3 2.320% 4/25/30		147,793		146,964
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 2.480% 10/25/44		1,051,426		1,054,580
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) 2.540% 4/27/26		125,056		123,561
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.682% 1/25/40		315,473		313,912
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		275,788		274,949
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 2.982% 4/25/40		310,258		309,409
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (a) 3.060% 7/25/31		153,013		148,153
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (a) 3.170% 7/25/31		136,633		138,121


	Principal Amount		Value
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) 3.200% 1/25/40	$	931,238	$	938,688
Earnest Student Loan Program LLC, Series 2016-C, Class A2 (a) 2.680% 7/25/35		527,247		510,546
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) 2.720% 1/25/41		501,234		491,431
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) 3.032% 2/26/35		408,377		409,830
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.093% 12/27/66		1,150,000		1,149,863
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 2.332% 7/26/66		608,651		608,256
Education Loan Asset-Backed Trust I, Series 2013-1, Class A1, 1 mo. USD LIBOR + .800%, FRN (a) 1.782% 6/25/26		664,686		665,484
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) 2.137% 1/01/44		950,000		827,857
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2, 3 mo. USD LIBOR + .300%, FRN 1.337% 10/28/41		5,811		5,807
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.463% 9/27/35		150,352		148,933
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 1.222% 11/27/28		125,947		125,360
Navient Private Education Loan Trust, Series 2014-AA, Class A2A (a) 2.740% 2/15/29		312,270		314,076
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) 1.920% 7/26/66		950,000		949,886
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 2.232% 6/25/65		867,121		879,967


	Principal Amount		Value
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) 2.282% 3/25/66	$	1,060,000	$	1,075,909
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.528% 12/26/40		455,601		455,600
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) 3.600% 12/26/40		328,035		326,556
Nelnet Student Loan Trust, Series 2014-6A, Class A, 1 mo. USD LIBOR + .650%, FRN (a) 1.632% 11/25/52		401,964		397,702
Nelnet Student Loan Trust, Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 10/25/47		170,000		154,475
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.482% 6/25/54		130,000		115,859
North Carolina State Education Assistance Authority, Series 2011-1, Class A2, 3 mo. USD LIBOR + .900%, FRN 1.614% 1/26/26		88,622		88,865
Northstar Education Finance, Inc., Series 2005-1, Class A5, 3 mo. LIBOR + .750%, FRN 1.789% 10/30/45		239,984		227,685
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) 1.932% 11/25/65		743,011		744,404
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 1.193% 7/15/36		55,861		55,861
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200%, FRN 1.239% 2/15/45		444,239		408,228
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN 1.148% 1/26/43		120,000		112,413
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 1.178% 10/25/28		280,000		276,244


	Principal Amount		Value
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN 1.248% 10/25/40	$	518,966	$	452,722
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN 1.258% 3/25/44		146,282		123,407
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN 1.338% 7/25/25		150,000		147,752
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN 1.348% 1/25/40		215,585		194,524
SLM Student Loan Trust, Series 2013-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 12/28/70		120,000		104,832
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 4.260% 6/17/30		50,000		50,000
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) 1.612% 5/15/23		366,850		367,372
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100%, FRN (a) 2.012% 9/15/34		290,000		293,832
SMB Private Education Loan Trust, Series 2014-A, Class A2B, 1 mo. USD LIBOR + 1.150%, FRN (a) 2.062% 5/15/26		900,000		909,206
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450%, FRN (a) 2.362% 2/17/32		144,000		147,550
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) 1.680% 3/25/31		226,138		225,615
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (a) 1.932% 1/25/39		193,364		194,924
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.182% 6/25/33		316,044		319,468
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) 2.490% 1/25/36		330,000		329,055


	Principal Amount		Value
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.732% 8/25/36	$	311,832	$	320,915

				21,567,444

WL Collateral CMO — 0.7%
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN 3.302% 8/25/34		10,615		10,546
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN 3.478% 2/25/34		3,552		3,548
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN 3.728% 9/25/33		1,411		1,389
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN 3.285% 8/25/34		2,179		2,209
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN 3.038% 8/25/34		10,333		9,510
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN 3.176% 7/25/33		678		698
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN 3.315% 2/25/34		1,378		1,332
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN 3.250% 2/25/34		45		48
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, VRN (a) 3.750% 11/25/56		463,753		477,733
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, VRN (a) 3.000% 10/25/31		1,024,067		1,016,783
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN 3.397% 3/25/34		6,941		7,148
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 2.038% 4/25/44		16,011		16,034

				1,546,978

WL Collateral PAC — 0.0%
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, VRN 3.378% 6/25/32		4,495		4,468


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $88,584,183)				88,456,498


	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 5.6%
Collateralized Mortgage Obligations — 4.5%
Federal Home Loan Mortgage Corp.
Series 4291, Class K 3.000% 5/15/38	$	684,068	$	690,206
Series 4447, Class PA 3.000% 12/15/44		191,482		195,170
Series 3990, Class VA 3.500% 1/15/25		501,741		522,979
Series 4213, Class VE 3.500% 6/15/26		446,199		463,066
Series 4290, Class CA 3.500% 12/15/38		984,684		1,009,963
Series 4443, Class BA 3.500% 4/15/41		238,926		244,391
Series 4328, Class DA 4.000% 1/15/36		825,536		858,071
Series 4325, Class MA 4.000% 9/15/39		971,990		1,009,868
Series 4336, Class MA 4.000% 1/15/40		1,473,882		1,531,419
Series 4323, Class CA 4.000% 3/15/40		521,248		543,048
Series 2178, Class PB 7.000% 8/15/29		12,826		14,328
Federal National Mortgage Association
Series 2016-62, Class FC 1.482% 9/25/46 1 mo. LIBOR + .500%, FRN		534,655		535,006
Series 2016-74, Class GF 1.482% 10/25/46 1 mo. LIBOR + .500%, FRN		826,899		831,506
Series 2015-58, Class JP 2.500% 3/25/37		323,777		323,702
Series 2015-20, Class EV 3.500% 7/25/26		509,291		529,041
Series 2014-14, Class A 3.500% 2/25/37		499,188		511,146
Series 2015-62, Class VA 4.000% 10/25/26		149,057		157,633
Series 2014-48, Class AB 4.000% 10/25/40		446,094		463,482
Government National Mortgage Association, Series 2014-131, Class BW VRN 2.996% 5/20/41		192,408		197,018
U.S. Department of Veteran Affairs, Series 1992-1, Class 2Z 7.750% 5/15/22		11,897		13,076

				10,644,119


	Principal Amount		Value
Pass-Through Securities — 0.1%
Federal Home Loan Mortgage Corp.
Pool #G11431 6.000% 2/01/18	$	35	$	35
Pool #C01079 7.500% 10/01/30		441		519
Pool #C01135 7.500% 2/01/31		1,240		1,456
Federal National Mortgage Association
Pool #725692 2.707% 10/01/33 1 year CMT + 2.145%, FRN		34,179		35,883
Pool #888586 2.755% 10/01/34 1 year CMT + 2.203%, FRN		28,849		30,329
Pool #775539 2.850% 5/01/34 12 mo. USD LIBOR + 1.645%, FRN		9,356		9,796
Pool #575667 7.000% 3/01/31		2,497		2,937
Pool #497120 7.500% 8/01/29		21		25
Pool #529453 7.500% 1/01/30		542		644
Pool #531196 7.500% 2/01/30		72		85
Pool #532418 7.500% 2/01/30		834		991
Pool #530299 7.500% 3/01/30		76		88
Pool #536386 7.500% 4/01/30		91		107
Pool #535996 7.500% 6/01/31		1,722		2,033
Pool #523499 8.000% 11/01/29		59		69
Pool #252926 8.000% 12/01/29		40		47
Pool #532819 8.000% 3/01/30		34		40
Pool #534703 8.000% 5/01/30		555		662
Pool #253437 8.000% 9/01/30		41		49
Pool #253481 8.000% 10/01/30		19		22
Pool #596656 8.000% 8/01/31		378		408
Pool #602008 8.000% 8/01/31		1,164		1,388
Pool #190317 8.000% 8/01/31		826		986
Pool #597220 8.000% 9/01/31		666		796


	Principal Amount		Value
Government National Mortgage Association Pool #371146 7.000% 9/15/23	$	321	$	354
Pool #352022 7.000% 11/15/23		1,646		1,831
Pool #491089 7.000% 12/15/28		1,984		2,253
Pool #478658 7.000% 5/15/29		452		530
Pool #500928 7.000% 5/15/29		870		1,017
Pool #499410 7.000% 7/15/29		262		307
Pool #510083 7.000% 7/15/29		294		343
Pool #493723 7.000% 8/15/29		829		973
Pool #581417 7.000% 7/15/32		4,796		5,619
Pool #226163 7.500% 7/15/17		88		88
Government National Mortgage Association II Pool #82462 2.000% 1/20/40 1 year CMT + 1.500%, FRN		82,874		85,696
Pool #82488 2.000% 3/20/40 1 year CMT + 1.500%, FRN		102,102		105,121
Pool #008746 2.250% 11/20/25 1 year CMT + 1.500%, FRN		1,087		1,107
Pool #080136 2.250% 11/20/27 1 year CMT + 1.500%, FRN		202		206

				294,840

Whole Loans — 1.0%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-DNA1, Class M1 1 mo. USD LIBOR + .900%, FRN 1.882% 10/25/27		119,457		119,649
Series 2016-DNA1, Class M1 1 mo. USD LIBOR + 1.450%, FRN 2.432% 7/25/28		138,860		139,478
Federal National Mortgage Association Connecticut Avenue Securities Series 2015-C04, Class 1M1 1 mo. USD LIBOR + 1.600%, FRN 2.582% 4/25/28		120,117		120,400
Series 2016-C06, Class 1M1, 1 mo. USD LIBOR + 1.300%, FRN 2.078% 4/25/29		439,280		442,541


	Principal Amount		Value
Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN 2.332% 1/25/29	$	744,713	$	748,731
Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450%, FRN 2.432% 1/25/29		711,516		718,531
Series 2015-C03, Class 1M1, 1 mo. USD LIBOR + 1.500%, FRN 2.482% 7/25/25		17,417		17,421

				2,306,751


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $13,478,662)				13,245,710



U.S. TREASURY OBLIGATIONS — 10.3%
U.S. Treasury Bonds & Notes — 10.3%
U.S. Treasury Inflation Index 0.125% 4/15/21		2,356,166		2,380,463
U.S. Treasury Note 0.750% 10/31/18		15,050,000		14,944,943
U.S. Treasury Note (c) 0.875% 7/31/19		6,800,000		6,727,856

				24,053,262


TOTAL U.S. TREASURY OBLIGATIONS (Cost $24,103,666)				24,053,262


TOTAL BONDS & NOTES (Cost $232,052,054)				231,889,123


	Notional Amount

PURCHASED OPTIONS — 0.2%
Financial — 0.2%
Diversified Financial Services — 0.2%
3-Month USD LIBOR BBA 30 Year Swaption, Put, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52		2,350,000		326,727
3-Month USD LIBOR BBA 30 Year Swaption, Call, Expires 1/11/22, Strike 2.60 (OTC — Barclays Bank PLC); Underlying swap terminates 1/13/52		1,410,000		144,140


TOTAL PURCHASED OPTIONS (Cost $490,116)				470,867


TOTAL LONG-TERM INVESTMENTS (Cost $232,542,170)				232,359,990


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.3%
Commercial Paper — 1.3%
CenterPoint Energy, Inc. (a) 1.110% 4/03/17	$	1,000,000	$	999,908
Kroger Co. (a) 1.100% 4/03/17		2,000,000		1,999,817

				2,999,725

Time Deposit — 0.0%
Euro Time Deposit 0.090% 4/03/17		56,134		56,134


TOTAL SHORT-TERM INVESTMENTS (Cost $3,055,951)				3,055,859


TOTAL INVESTMENTS — 100.5% (Cost $235,598,121) (e)				235,415,849

Other Assets/(Liabilities) — (0.5)%				(1,257,530	)


NET ASSETS — 100.0%			$	234,158,319

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

MTA	Monthly Treasury Average Index

PAC	Planned Amortization Class

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

(a)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to a value of $107,391,983 or 45.86% of net assets.

(b)	A portion of this security is purchased on a when-issued, delayed-delivery or forward commitment basis. (Note 2).

(c)	A portion of this security is pledged/held as collateral for open futures contracts and open swaps agreements. (Note 2).

(d)	Restricted security. Certain securities are restricted as to resale. At March 31, 2017, these securities amounted to a value of $82,027 or 0.04% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(e)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value
EQUITIES — 97.9%

COMMON STOCK — 97.9%
Basic Materials — 4.0%
Chemicals — 0.8%
Ingevity Corp. (a)		15,710	$	955,955

Forest Products & Paper — 1.3%
P.H. Glatfelter Co.		65,510		1,424,187

Mining — 1.9%
Century Aluminum Co. (a)		52,450		665,590
Kaiser Aluminum Corp.		19,250		1,538,075

				2,203,665

				4,583,807

Communications — 2.9%
Internet — 1.6%
Proofpoint, Inc. (a) (b)		13,700		1,018,732
Yelp, Inc. (a)		23,940		784,035

				1,802,767

Media — 0.7%
Houghton Mifflin Harcourt Co. (a)		81,720		829,458

Telecommunications — 0.6%
RigNet, Inc. (a)		29,770		638,567

				3,270,792

Consumer, Cyclical — 12.8%
Airlines — 1.3%
Spirit Airlines, Inc. (a)		27,150		1,440,850

Apparel — 0.1%
Canada Goose Holdings, Inc. (a)		5,160		82,354

Auto Parts & Equipment — 1.5%
Visteon Corp. (a)		17,110		1,675,924

Distribution & Wholesale — 0.7%
SiteOne Landscape Supply, Inc. (a)		16,600		803,606

Entertainment — 0.6%
The Madison Square Garden Co. Class A (a)		3,580		714,962

Retail — 8.1%
Burlington Stores, Inc. (a)		11,780		1,146,076
DSW, Inc. Class A		55,990		1,157,873
Group 1 Automotive, Inc.		23,990		1,777,179
Sally Beauty Holdings, Inc. (a)		56,440		1,153,634
Sonic Corp. (b)		49,150		1,246,444
Suburban Propane Partners LP (c)		43,115		1,162,381
Texas Roadhouse, Inc.		33,840		1,506,895

				9,150,482

Storage & Warehousing — 0.5%
Wesco Aircraft Holdings, Inc. (a)		56,320		642,048

				14,510,226


	Number of Shares		Value
Consumer, Non-cyclical — 21.7%
Beverages — 0.7%
The Boston Beer Co., Inc. Class A (a)		5,130	$	742,055

Biotechnology — 1.5%
Exelixis, Inc. (a)		29,510		639,482
Sage Therapeutics, Inc. (a)		6,830		485,408
Ultragenyx Pharmaceutical, Inc. (a)		8,740		592,397

				1,717,287

Commercial Services — 7.7%
ABM Industries, Inc.		27,840		1,213,824
Booz Allen Hamilton Holding Corp.		30,400		1,075,856
Korn/Ferry International		83,601		2,632,595
Matthews International Corp. Class A		20,260		1,370,589
On Assignment, Inc. (a)		37,130		1,801,919
Paylocity Holding Corp. (a) (b)		16,570		640,099

				8,734,882

Health Care – Products — 4.3%
NuVasive, Inc. (a)		23,650		1,766,182
NxStage Medical, Inc. (a)		44,570		1,195,813
The Spectranetics Corp. (a)		35,730		1,040,636
VWR Corp. (a)		31,130		877,866

				4,880,497

Health Care – Services — 2.3%
Addus HomeCare Corp. (a)		11,440		366,080
Amedisys, Inc. (a)		23,450		1,198,061
WellCare Health Plans, Inc. (a)		7,643		1,071,625

				2,635,766

Household Products & Wares — 1.5%
Acco Brands Corp. (a)		126,740		1,666,631

Pharmaceuticals — 3.7%
ACADIA Pharmaceuticals, Inc. (a) (b)		16,310		560,738
Clovis Oncology, Inc. (a)		8,340		531,008
Prestige Brands Holdings, Inc. (a)		45,071		2,504,144
TherapeuticsMD, Inc. (a) (b)		81,450		586,440

				4,182,330

				24,559,448

Energy — 4.0%
Energy – Alternate Sources — 1.0%
Renewable Energy Group, Inc. (a) (b)		107,899		1,127,545

Oil & Gas — 1.4%
HollyFrontier Corp.		39,015		1,105,685
Matador Resources Co. (a) (b)		21,865		520,168

				1,625,853

Pipelines — 1.6%
Cone Midstream Partners LP (c)		37,735		890,923


	Number of Shares		Value
Noble Midstream Partners LP (c)		17,135	$	892,391

				1,783,314

				4,536,712

Financial — 25.2%
Banks — 9.4%
The Bank of NT Butterfield & Son Ltd.		22,210		708,721
BankUnited, Inc.		45,699		1,705,030
Chemical Financial Corp.		21,012		1,074,764
Customers Bancorp, Inc. (a)		23,490		740,640
FCB Financial Holdings, Inc. Class A (a)		17,590		871,584
IBERIABANK Corp.		21,610		1,709,351
MB Financial, Inc.		48,260		2,066,493
Webster Financial Corp.		33,660		1,684,346

				10,560,929

Financial Services — 1.0%
Stifel Financial Corp. (a)		22,730		1,140,819

Insurance — 1.3%
James River Group Holdings Ltd.		35,180		1,507,815

Real Estate — 0.9%
Realogy Holdings Corp.		34,770		1,035,798

Real Estate Investment Trusts (REITS) — 8.1%
Brandywine Realty Trust		104,050		1,688,732
CYS Investments, Inc.		193,180		1,535,781
DiamondRock Hospitality Co.		115,640		1,289,386
DuPont Fabros Technology, Inc.		30,580		1,516,462
Four Corners Property Trust, Inc.		72,200		1,648,326
National Storage Affiliates Trust		62,460		1,492,794

				9,171,481

Savings & Loans — 4.5%
Beneficial Bancorp, Inc.		44,320		709,120
Berkshire Hills Bancorp, Inc.		23,510		847,535
OceanFirst Financial Corp.		23,730		668,593
Oritani Financial Corp.		68,950		1,172,150
Sterling Bancorp		48,770		1,155,849
WSFS Financial Corp.		12,300		565,185

				5,118,432

				28,535,274

Industrial — 12.1%
Building Materials — 3.6%
Boise Cascade Co. (a)		40,140		1,071,738
Masonite International Corp. (a)		21,370		1,693,573
Summit Materials, Inc. Class A (a)		51,286		1,267,277

				4,032,588

Electrical Components & Equipment — 1.3%
Generac Holdings, Inc. (a)		37,700		1,405,456


	Number of Shares		Value
Electronics — 0.7%
Vishay Intertechnology, Inc. (b)		45,970	$	756,206

Engineering & Construction — 2.0%
Dycom Industries, Inc. (a) (b)		13,780		1,280,851
KBR, Inc.		65,130		978,904

				2,259,755

Environmental Controls — 0.6%
Advanced Disposal Services, Inc. (a)		31,390		709,414

Machinery – Diversified — 0.5%
The Manitowoc Co., Inc. (a)		98,390		560,823

Metal Fabricate & Hardware — 0.9%
Rexnord Corp. (a)		44,720		1,032,138

Miscellaneous – Manufacturing — 0.6%
Hexcel Corp.		13,090		714,059

Transportation — 1.1%
Genesee & Wyoming, Inc. Class A (a)		18,580		1,260,839

Trucking & Leasing — 0.8%
The Greenbrier Cos., Inc. (b)		21,540		928,374

				13,659,652

Technology — 12.7%
Computers — 1.6%
CACI International, Inc. Class A (a)		15,330		1,798,209

Semiconductors — 5.6%
Brooks Automation, Inc.		55,600		1,245,440
Cypress Semiconductor Corp. (b)		58,493		804,864
MaxLinear, Inc. Class A (a)		50,200		1,408,110
MKS Instruments, Inc.		24,330		1,672,687
Semtech Corp. (a)		34,700		1,172,860

				6,303,961

Software — 5.5%
Black Knight Financial Services, Inc. Class A (a) (b)		21,230		813,109
Envestnet, Inc. (a)		16,080		519,384
Guidewire Software, Inc. (a)		17,620		992,535
j2 Global, Inc.		21,391		1,794,919
Pegasystems, Inc.		25,110		1,101,073
Zynga, Inc. Class A (a)		350,400		998,640

				6,219,660

				14,321,830

Utilities — 2.5%
Electric — 1.7%
Portland General Electric Co.		44,150		1,961,143

Water — 0.8%
American States Water Co.		19,890		881,127

				2,842,270


	Number of Shares		Value
TOTAL COMMON STOCK (Cost $86,722,794)			$	110,820,011


TOTAL EQUITIES (Cost $86,722,794)				110,820,011


MUTUAL FUNDS — 6.6%
Diversified Financial Services — 6.6%
State Street Navigator Securities Lending Prime Portfolio (d)		7,477,808		7,477,808


TOTAL MUTUAL FUNDS (Cost $7,477,808)				7,477,808


TOTAL LONG-TERM INVESTMENTS (Cost $94,200,602)				118,297,819


	Principal Amount
SHORT-TERM INVESTMENTS — 1.1%
Repurchase Agreement — 1.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (e)	$	1,193,429		1,193,429


TOTAL SHORT-TERM INVESTMENTS (Cost $1,193,429)				1,193,429


TOTAL INVESTMENTS — 105.6% (Cost $95,394,031) (f)				119,491,248

Other Assets/(Liabilities) — (5.6)%				(6,329,143	)


NET ASSETS — 100.0%			$	113,162,105

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Non-income producing security.

(b)

Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2017, was $7,280,699 or 6.43% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(c)	Security is a Master Limited Partnership.

(d)	Represents investment of security lending collateral. (Note 2).

(e)	Maturity value of $1,193,434. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 1/31/22, and an aggregate market value, including accrued interest, of $1,221,775.

(f)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value
EQUITIES — 99.8%

COMMON STOCK — 99.8%
Basic Materials — 8.4%
Chemicals — 7.7%
AdvanSix, Inc. (a)		6,000	$	163,920
GCP Applied Technologies, Inc. (a)		20,715		676,345
Ingevity Corp. (a)		12,600		766,710

				1,606,975

Mining — 0.7%
Alcoa Corp.		4,500		154,800

				1,761,775

Communications — 6.3%
Internet — 0.7%
Liberty Expedia Holdings, Inc. Class A (a)		1,360		61,853
Liberty Ventures Series A (a)		2,040		90,739

				152,592

Media — 5.0%
Cable One, Inc.		500		312,235
Liberty Broadband Corp. Class A (a)		3,500		297,815
Liberty Media Corp-Liberty SiriusXM Class A (a)		5,600		217,952
Liberty Media Corp-Liberty SiriusXM Class C (a)		5,600		217,168

				1,045,170

Telecommunications — 0.6%
Windstream Holdings, Inc.		23,800		129,710

				1,327,472

Consumer, Cyclical — 7.5%
Auto Parts & Equipment — 1.6%
Adient PLC		1,000		72,670
Allison Transmission Holdings, Inc.		7,600		274,056

				346,726

Distribution & Wholesale — 1.6%
WESCO International, Inc. (a)		4,750		330,362

Entertainment — 3.8%
Lions Gate Entertainment Corp. Class B (a)		7,767		189,360
The Madison Square Garden Co. Class A (a)		3,010		601,127

				790,487

Retail — 0.5%
Yum China Holdings, Inc. (a)		3,700		100,640

				1,568,215

Consumer, Non-cyclical — 15.2%
Biotechnology — 1.4%
Bioverativ, Inc. (a)		4,100		223,286


	Number of Shares		Value
Theravance Biopharma, Inc. (a)		1,800	$	66,276

				289,562

Foods — 2.2%
Conagra Brands, Inc.		8,500		342,890
Lamb Weston Holdings, Inc.		2,833		119,156

				462,046

Health Care – Products — 3.7%
Danaher Corp.		3,500		299,355
Halyard Health, Inc. (a)		6,100		232,349
West Pharmaceutical Services, Inc.		3,100		252,991

				784,695

Household Products & Wares — 0.9%
Avery Dennison Corp.		2,400		193,440

Pharmaceuticals — 7.0%
AbbVie, Inc.		6,300		410,508
Zoetis, Inc.		19,700		1,051,389

				1,461,897

				3,191,640

Energy — 1.7%
Oil & Gas — 1.7%
Murphy USA, Inc. (a)		5,000		367,100

Financial — 11.2%
Diversified Financial Services — 1.9%
Synchrony Financial		11,700		401,310

Insurance — 0.4%
The Travelers Cos., Inc.		700		84,378

Real Estate Investment Trusts (REITS) — 6.7%
Colony Starwood Homes		7,600		258,020
Four Corners Property Trust, Inc.		10,300		235,149
Gaming and Leisure Properties, Inc.		13,900		464,538
Mack-Cali Realty Corp.		10,600		285,564
Uniti Group, Inc. (a)		6,000		155,100

				1,398,371

Savings & Loans — 2.2%
Beneficial Bancorp, Inc.		22,400		358,400
Poage Bankshares, Inc.		5,400		105,300

				463,700

				2,347,759

Industrial — 27.4%
Aerospace & Defense — 1.9%
KLX, Inc. (a)		9,000		402,300

Building Materials — 1.2%
Armstrong Flooring, Inc. (a)		14,080		259,353

Electrical Components & Equipment — 1.5%
Energizer Holdings, Inc.		5,700		317,775


	Number of Shares		Value
Electronics — 13.9%
Allegion PLC		8,500	$	643,450
Fortive Corp.		18,100		1,089,982
Keysight Technologies, Inc. (a)		7,770		280,808
Kimball Electronics, Inc. (a)		30,483		516,687
Knowles Corp. (a)		20,600		390,370

				2,921,297

Machinery – Construction & Mining — 3.1%
Oshkosh Corp.		9,500		651,605

Machinery – Diversified — 1.6%
AGCO Corp.		5,500		330,990

Miscellaneous – Manufacturing — 4.2%
Pentair PLC		5,200		326,456
Trinseo SA		8,300		556,930

				883,386

				5,766,706

Technology — 19.8%
Computers — 16.5%
Hewlett Packard Enterprise Co.		45,100		1,068,870
Lumentum Holdings, Inc. (a)		4,500		240,075
NCR Corp. (a)		20,000		913,600
Science Applications International Corp.		16,600		1,235,040

				3,457,585

Software — 3.3%
CDK Global, Inc.		10,750		698,858

				4,156,443

Utilities — 2.3%
Gas — 2.3%
ONE Gas, Inc.		7,300		493,480


TOTAL COMMON STOCK (Cost $17,609,577)				20,980,590


TOTAL EQUITIES (Cost $17,609,577)				20,980,590


TOTAL LONG-TERM INVESTMENTS (Cost $17,609,577)				20,980,590


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.2%
Repurchase Agreement — 0.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (b)	$	40,577	$	40,577

TOTAL SHORT-TERM INVESTMENTS (Cost $40,577)				40,577


TOTAL INVESTMENTS — 100.0% (Cost $17,650,154) (c)				21,021,167

Other Assets/(Liabilities) — (0.0)%				(8,878	)


NET ASSETS — 100.0%			$	21,012,289

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Non-income producing security.

(b)	Maturity value of $40,578. Collateralized by U.S. Government Agency obligations with a rate of 1.625%, maturity date of 4/30/19, and an aggregate market value, including accrued interest, of $45,596.

(c)	See Note 3 for aggregate cost for federal tax purposes.


	Number of Shares		Value
EQUITIES — 96.7%

COMMON STOCK — 95.1%
Bermuda — 2.1%
Credicorp Ltd.		1,710	$	279,244
Jardine Strategic Holdings Ltd.		45,062		1,892,634

				2,171,878

Brazil — 5.9%
Ambev SA ADR		179,220		1,032,307
BM&FBovespa SA-Bolsa de Valores Mercadorias e Futuros		334,600		2,061,724
Embraer SA Sponsored ADR (Brazil)		36,850		813,648
Estacio Participacoes SA		154,000		780,675
Kroton Educacional SA		145,519		617,291
Sul America SA		110,934		591,417
Ultrapar Participacoes SA		7,600		173,868

				6,070,930

Cayman Islands — 18.8%
3SBio, Inc. (a) (b)		175,000		216,414
Alibaba Group Holding Ltd. Sponsored ADR (a)		58,869		6,347,844
Baidu, Inc. Sponsored ADR (a)		6,380		1,100,678
China Lodging Group Ltd. Sponsored ADR (a)		17,542		1,088,481
Ctrip.com International Ltd. ADR (a)		38,720		1,903,088
Melco Crown Entertainment Ltd. ADR		13,080		242,503
New Oriental Education & Technology Group, Inc. Sponsored ADR (a)		25,650		1,548,747
SOHO China Ltd.		489,500		261,851
Tencent Holdings Ltd.		196,859		5,650,822
Tingyi Cayman Islands Holding Corp.		268,000		336,312
Want Want China Holdings Ltd.		1,096,000		758,610

				19,455,350

China — 1.2%
Sinopharm Group Co. Ltd. Class H		276,400		1,281,215

Colombia — 1.3%
Grupo Aval Acciones y Valores SA		94,360		770,921
Grupo de Inversiones Suramericana SA		45,636		620,337

				1,391,258

Egypt — 0.5%
Commercial International Bank Egypt SAE		126,752		527,443

France — 3.0%
Kering		6,725		1,741,018


	Number of Shares		Value
LVMH Moet Hennessy Louis Vuitton SE (c)		6,206	$	1,364,570

				3,105,588

Hong Kong — 3.5%
AIA Group Ltd.		424,400		2,675,072
Hang Lung Group Ltd.		71,000		302,930
Hong Kong Exchanges & Clearing Ltd.		26,091		656,556

				3,634,558

India — 15.4%
Apollo Hospitals Enterprise Ltd.		37,798		678,273
Biocon Ltd.		14,353		249,973
Cholamandalam Investment & Finance Co. Ltd.		16,236		241,508
Dr. Reddy’s Laboratories Ltd.		18,426		745,735
Glenmark Pharmaceuticals Ltd.		38,622		500,412
Housing Development Finance Corp. Ltd.		232,479		5,378,668
Infosys Ltd.		186,725		2,943,447
Kotak Mahindra Bank Ltd.		96,002		1,290,838
Tata Consultancy Services Ltd.		32,356		1,207,502
UltraTech Cement Ltd.		13,794		842,967
Zee Entertainment Enterprises Ltd.		227,607		1,876,892

				15,956,215

Indonesia — 2.3%
Astra International Tbk PT		1,571,000		1,018,840
Bank Mandiri Persero Tbk PT		831,300		729,901
Indocement Tunggal Prakarsa Tbk PT		382,000		475,872
Semen Indonesia Persero Tbk PT		193,000		130,353

				2,354,966

Italy — 1.7%
PRADA SpA		408,800		1,717,932

Japan — 1.3%
Murata Manufacturing Co. Ltd.		9,500		1,355,341

Malaysia — 1.8%
Genting Bhd		606,100		1,313,425
Genting Malaysia Bhd		465,700		573,919

				1,887,344

Mexico — 5.0%
Fomento Economico Mexicano SAB de CV		144,766		1,285,417
Fomento Economico Mexicano SAB de CV Sponsored ADR		7,670		678,948
Grupo Aeroportuario del Sureste SAB de CV Class B		37,425		648,382
Grupo Financiero Banorte SAB de CV Class O		165,459		952,159
Grupo Financiero Inbursa SAB de CV Class O		617,287		1,022,094

MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)


	Number of Shares		Value
Kimberly-Clark de Mexico SAB de CV Class A		267,597	$	581,010

				5,168,010

Nigeria — 0.5%
Nigerian Breweries PLC		732,161		303,521
Zenith Bank PLC		4,544,220		208,634

				512,155

Philippines — 3.6%
Ayala Corp.		7,650		128,803
Ayala Land, Inc.		780,200		513,859
Bank of the Philippine Islands		59,480		119,940
BDO Unibank, Inc.		56,176		131,679
Jollibee Foods Corp.		148,270		583,954
SM Investments Corp.		91,935		1,277,285
SM Prime Holdings, Inc.		1,715,500		967,448

				3,722,968

Poland — 1.4%
Bank Pekao SA		42,195		1,402,889

Republic of Korea — 3.2%
Celltrion, Inc. (a)		1,612		129,908
LG Household & Health Care Ltd.		1,563		1,131,869
NAVER Corp.		2,003		1,531,073
Samsung Biologics Co. Ltd. (a)		3,103		479,923

				3,272,773

Russia — 8.9%
Alrosa PJSC		519,619		840,087
Magnit PJSC		19,783		3,259,908
Novatek PJSC Sponsored GDR (Russia) (d)		26,884		3,352,775
Sberbank of Russia PJSC Sponsored ADR (Russia)		153,750		1,769,183

				9,221,953

South Africa — 0.6%
Shoprite Holdings Ltd.		40,016		576,990

Spain — 0.3%
Prosegur Cash SA (a) (b)		143,387		327,346

Taiwan — 5.4%
Taiwan Semiconductor Manufacturing Co. Ltd.		893,000		5,603,953

Thailand — 0.5%
CP ALL PCL		276,700		475,091

Turkey — 1.0%
Anadolu Efes Biracilik Ve Malt Sanayii AS		96,623		526,644
BIM Birlesik Magazalar AS		33,745		518,707

				1,045,351

United Arab Emirates — 1.9%
DP World Ltd.		74,224		1,594,705


	Number of Shares		Value
Emaar Properties PJSC		193,077	$	384,545

				1,979,250

United Kingdom — 3.1%
Glencore PLC (a)		433,421		1,703,816
Hikma Pharmaceuticals PLC		8,960		222,217
Mediclinic International PLC (c)		32,220		287,242
Old Mutual PLC		397,040		995,942

				3,209,217

United States — 0.9%
MercadoLibre, Inc. (c)		740		156,488
NIKE, Inc. Class B		14,610		814,215

				970,703


TOTAL COMMON STOCK (Cost $87,481,749)				98,398,667


PREFERRED STOCK — 1.6%
Brazil — 1.5%
Lojas Americanas SA 0.610%		301,600		1,576,112

India — 0.1%
Zee Entertainment Enterprises Ltd. 6.000%		503,840		73,324


TOTAL PREFERRED STOCK (Cost $1,415,199)				1,649,436


TOTAL EQUITIES (Cost $88,896,948)				100,048,103


MUTUAL FUNDS — 1.5%
United States — 1.5%
State Street Navigator Securities Lending Prime Portfolio (e)		1,535,507		1,535,507


TOTAL MUTUAL FUNDS (Cost $1,535,507)				1,535,507


RIGHTS — 0.5%
Russia — 0.5%
Moscow Exchange OAO		280,742		560,113

TOTAL RIGHTS (Cost $509,770)				560,113


WARRANTS — 0.0%
Malaysia — 0.0%
Genting BHD, Expires 12/18/18, Strike Price 7.96 (a)		3,943		1,399


TOTAL WARRANTS (Cost $1,858)				1,399


TOTAL LONG-TERM INVESTMENTS (Cost $90,944,083)				102,145,122

MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 3/31/17, 0.050%, due 4/03/17 (f)	$	2,710,507	$	2,710,507


TOTAL SHORT-TERM INVESTMENTS (Cost $2,710,507)				2,710,507


TOTAL INVESTMENTS — 101.3% (Cost $93,654,590) (g)				104,855,629


Other Assets/(Liabilities) — (1.3)%				(1,357,576	)


NET ASSETS — 100.0%			$	103,498,053

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR	American Depositary Receipt

GDR Global Depositary Receipt

(a)	Non-income producing security.

(b)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to a value of $543,760 or 0.53% of net assets.

(c)

Denotes all or a portion of security on loan. The total value of securities on loan as of March 31, 2017, was $1,465,878 or 1.42% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(d)

(e)	Represents investment of security lending collateral. (Note 2).

(f)	Maturity value of $2,710,518. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 1/31/22, and an aggregate market value, including accrued interest, of $2,767,393.

(g)	See Note 3 for aggregate cost for federal tax purposes.


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 100.0%
Discount Notes — 82.7%
Federal Farm Credit Bank 1.012% 6/29/17	$	5,000,000	$	4,999,997
Federal Farm Credit Discount Notes 0.508% 4/18/17		557,000		556,868
Federal Farm Credit Discount Notes 0.662% 8/07/17		350,000		349,191
Federal Farm Credit Discount Notes 0.724% 10/02/17		1,333,000		1,328,163
Federal Farm Credit Discount Notes 0.813% 6/29/17		900,000		898,220
Federal Farm Credit Discount Notes 0.823% 6/29/17		200,000		199,600
Federal Home Loan Bank 0.752% 5/25/17		10,000,000		10,000,000
Federal Home Loan Bank 0.812% 1/23/18		5,000,000		4,999,835
Federal Home Loan Bank 0.870% 9/05/17		4,255,000		4,256,116
Federal Home Loan Bank 0.900% 12/05/17		2,485,000		2,489,290
Federal Home Loan Bank 0.947% 8/23/17		7,500,000		7,500,000
Federal Home Loan Bank 1.027% 8/21/17		5,000,000		5,004,828
Federal Home Loan Bank Discount Notes 0.503% 4/28/17		5,000,000		4,998,144
Federal Home Loan Bank Discount Notes 0.507% 4/04/17		6,750,000		6,749,719
Federal Home Loan Bank Discount Notes 0.548% 4/05/17		300,000		299,982
Federal Home Loan Bank Discount Notes 0.548% 4/26/17		5,000,000		4,998,125
Federal Home Loan Bank Discount Notes 0.548% 5/05/17		1,000,000		999,490
Federal Home Loan Bank Discount Notes 0.554% 6/07/17		3,000,000		2,996,957
Federal Home Loan Bank Discount Notes 0.558% 5/12/17		5,000,000		4,996,868
Federal Home Loan Bank Discount Notes 0.564% 5/30/17		8,000,000		7,992,723


	Principal Amount		Value
Federal Home Loan Bank Discount Notes 0.589% 4/17/17	$	115,000	$	114,970
Federal Home Loan Bank Discount Notes 0.599% 4/28/17		2,350,000		2,348,960
Federal Home Loan Bank Discount Notes 0.620% 7/14/17		3,500,000		3,493,832
Federal Home Loan Bank Discount Notes 0.621% 8/11/17		900,000		897,987
Federal Home Loan Bank Discount Notes 0.630% 7/14/17		1,500,000		1,497,313
Federal Home Loan Bank Discount Notes 0.631% 7/14/17		635,000		633,863
Federal Home Loan Bank Discount Notes 0.646% 7/12/17		750,000		748,651
Federal Home Loan Bank Discount Notes 0.649% 7/28/17		5,500,000		5,488,498
Federal Home Loan Bank Discount Notes 0.671% 7/14/17		194,000		193,630
Federal Home Loan Bank Discount Notes 0.693% 9/18/17		2,500,000		2,491,972
Federal Home Loan Bank Discount Notes 0.713% 8/03/17		500,000		498,794
Federal Home Loan Bank Discount Notes 0.765% 9/21/17		200,000		199,279
Federal Home Loan Bank Discount Notes 0.766% 5/12/17		3,600,000		3,596,905
Federal Home Loan Bank Discount Notes 0.766% 5/03/17		500,000		499,664
Federal Home Loan Bank Discount Notes 0.771% 5/19/17		2,200,000		2,197,771
Federal Home Loan Bank Discount Notes 0.772% 5/26/17		3,500,000		3,495,936
Federal Home Loan Bank Discount Notes 0.787% 6/09/17		7,500,000		7,488,859

MML U.S. Government Money Market Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
Federal Home Loan Bank Discount Notes 0.792% 6/15/17	$	5,500,000	$	5,491,062
Federal Home Loan Bank Discount Notes 0.906% 9/08/17		3,000,000		2,988,133
Federal Home Loan Mortgage Corp. 0.488% 4/06/17		6,000,000		5,999,600
Federal Home Loan Mortgage Corp. 0.543% 5/18/17		710,000		709,504
Federal Home Loan Mortgage Corp. 0.776% 12/01/17		1,000,000		994,849
Federal National Mortgage Association 0.568% 4/03/17		200,000		199,994
Federal National Mortgage Association 0.579% 6/14/17		3,000,000		2,996,485
Federal National Mortgage Association 0.666% 8/29/17		155,000		154,578
Federal National Mortgage Association 0.805% 8/29/17		100,000		99,671

				132,134,876

Repurchase Agreement — 12.5%
HSBC Securities (USA) Inc. Repurchase Agreement, dated 3/31/17, 0.760%, due 4/03/17 (a)		20,000,000		20,000,000

Time Deposit — 0.1%
Euro Time Deposit 0.090% 4/03/17		183,136		183,136

U.S. Government Obligation — 4.7%
U.S. Treasury Note 0.856% 4/30/17		7,500,000		7,500,024


TOTAL SHORT-TERM INVESTMENTS (Cost $159,818,036)				159,818,036


TOTAL INVESTMENTS — 100.0% (Cost $159,818,036) (b)				159,818,036

Other Assets/(Liabilities) — (0.0)%				(66,849	)


NET ASSETS — 100.0%			$	159,751,187

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Maturity value of $20,001,267. Collateralized by U.S. Government Agency obligations with rates ranging from 0.625% – 3.000%, maturity dates ranging from 8/31/21 – 2/15/43, and an aggregate market value, including accrued interest, of $20,401,923.

(b)	See Note 3 for aggregate cost for federal tax purposes.

MML Series Investment Fund II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The Trust consists of the following series (each individually referred to as a “Fund” or collectively as the “Funds”):

MML Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)

MML U.S. Government Money Market Fund (“U.S. Government Money Market Fund”)

The Trust makes shares of the Funds available for the investment of assets of various separate investment accounts established by Massachusetts Mutual Life Insurance Company (“MassMutual”) and by life insurance companies which are subsidiaries of MassMutual. Shares of the Trust are not offered to the general public. MassMutual, MML Bay State Life Insurance Company, C.M. Life Insurance Company, and the MML Allocation Funds, which are “funds of funds” series of MML Series Investment Fund, another open-end management investment company sponsored by MassMutual, are the record owners of all of the outstanding shares of the Funds.

Each share class of a Fund represents an interest in the same portfolio of assets. The principal difference among the classes is the level of service and administration fees, and shareholder and distribution service expenses borne by the classes. Because each class will have different fees and expenses, performance and share prices will vary between the classes. The classes of shares are offered to different types of investors, as outlined in the Funds’ Prospectus.

The following is a summary of significant accounting policies followed consistently by each Fund in the preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“generally accepted accounting principles”). The preparation of the financial statements in accordance with generally accepted accounting principles 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.

The net asset value of each Fund’s shares is determined once daily as of the close of regular trading on the New York Stock Exchange (“NYSE”), on each day the NYSE is open for trading (a “business day”). The NYSE normally closes at 4:00 p.m. Eastern Time, but may close earlier on some days. If the NYSE is scheduled to close early, the business day will be considered to end as of the time of the NYSE’s scheduled close. A Fund will not treat an intraday disruption in NYSE trading or other event that causes an unscheduled closing of the NYSE as a close of business of the NYSE for these purposes and will instead fair value securities in accordance with procedures approved annually by the Trustees, and under the general oversight of the Trustees. On holidays and other days when the NYSE is closed, each Fund’s net asset value generally is not calculated and the Funds do not anticipate accepting buy or sell orders. However, the value of each Fund’s assets may still be affected on such days to the extent that a Fund holds foreign securities that trade on days that foreign securities markets are open.

Equity securities and derivative contracts that are actively traded on a national securities exchange or contract market are valued on the basis of information furnished by a pricing service, which provides the last reported sale price, or, in the case of futures contracts, the settlement price, for securities or derivatives listed on the exchange or contract market or the official closing price on the NASDAQ National Market System (“NASDAQ System”), or in the case of over-the-counter (“OTC”) securities for which an official closing price is unavailable or not reported on the NASDAQ System, the last reported bid price. Portfolio securities traded on more than one national securities exchange are valued at the last price at the close of the exchange representing the principal market for such securities. Debt securities (with the exception of debt securities held by the U.S. Government Money Market Fund) are valued on the basis of valuations furnished by a pricing service, which generally determines valuations taking into account factors such as institutional-size trading in similar securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Shares of other open-end mutual funds are valued at their closing net asset values as reported on each business day. The U.S. Government Money Market Fund’s debt securities are typically valued at amortized cost, but may be valued using a vendor quote if the Fund’s investment adviser determines it more closely approximates current market value, in accordance with Rule 2a-7 under the 1940 Act pursuant to which the U.S. Government Money Market Fund must adhere to certain conditions. It is the intention of the U.S. Government Money Market Fund to maintain a stable net asset value per share of $1.00, although this cannot be assured.

Investments for which market quotations are readily available are marked to market daily based on those quotations. Market quotations may be provided by third-party vendors or market makers, and may be determined on the basis of a variety of factors, such as broker quotations, financial modeling, and other market data, such as market indexes and yield curves, counterparty information, and foreign exchange rates. U.S. Government and agency securities may be valued on the basis of market quotations or using a model that may incorporate market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. The fair values of OTC derivative contracts, including forward, swap, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices, may be based on market quotations or may be modeled using a series of techniques, including simulation models, depending on the contract and the terms of the transaction. The fair values of asset-backed securities and mortgage-backed securities are estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, established benchmark yield, and estimated tranche-specific spread to the benchmark yield based on the unique attributes of the tranche, including, but not limited to, prepayment speed assumptions and attributes of the collateral. Restricted securities are generally valued at a discount to similar publicly traded securities.

Investments for which market quotations are not available or for which a pricing service or vendor does not provide a value, or for which such market quotations or values are considered by the investment adviser or subadviser to be unreliable (including, for example, certain foreign securities, thinly-traded securities, certain restricted securities, certain initial public offerings, or securities whose values may have been affected by a significant event) are stated at fair valuations determined in good faith by the Funds’ Valuation Committee¹ in accordance with procedures approved annually by the Board of Trustees (“Trustees”), and under the general oversight of the Trustees. The Funds’ Valuation Committee employs various methods to determine fair valuations including a regular review of significant inputs and assumptions and review of any related market activity. The Funds’ Valuation Committee reports to the Trustees at its regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party

vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs 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, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are 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 and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are 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.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.

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 new 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.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.

The U.S. Government Money Market Fund characterized all investments at Level 2, as of March 31, 2017. The Equity Fund, Equity Rotation Fund, Small Cap Equity Fund, and Special Situations Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of March 31, 2017. For each Fund noted in the preceding sentences, the level classification by major category of investments is the same as the category presentation in the Portfolio of Investments.

The following is the aggregate value by input level, as of March 31, 2017, for the remaining Funds’ investments:

The Strategic Emerging Markets Fund had transfers between Level 1 and Level 2 of the fair value hierarchy during the period ended March 31, 2017; however, none of the transfers individually or collectively had a material impact on the Fund(s).

The Fund(s) had no transfers in or out of Level 3 of the fair value hierarchy at March 31, 2017.

Derivatives are financial instruments whose values are based on the values of one or more indicators, such as a security, asset, currency, interest rate, or index. Derivative transactions can create investment leverage and may be highly volatile. Gains or losses from derivatives can be substantially greater than their original cost and can sometimes be unlimited. A Fund may not be able to close out a derivative transaction at a favorable time or price. For those Funds that held derivatives at March 31, 2017, the following table shows how the Fund used these types of derivatives during the period (marked with an “A”), as well as additional uses, if any, it may have for them in the future (marked with an “M”).

At March 31, 2017, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

At March 31, 2017, the number of contracts, notional amounts, or shares/units for each derivative type was as follows:

Further details regarding the derivatives and other investments held by the Fund(s) at March 31, 2017, are discussed below.

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of

currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, 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 of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.

The Fund(s) listed in the following table had open forward foreign currency contracts at March 31, 2017. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market

exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

When a futures contract is closed, the Fund records 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. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or

securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Swaptions. A Fund may also enter into options on swap agreements (“swaptions”). A swaption is a contract that gives a counterparty the right (but not the obligation) to enter into a new swap agreement or to shorten, extend, cancel, or otherwise modify an existing swap agreement, at some designated future time on specified terms. A Fund may write (sell) and purchase put and call swaptions. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. A Fund may enter into swaptions for the same purposes as swaps. For information regarding the accounting treatment of options, see “Options, Rights, and Warrants” below.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security.

The Fund(s) listed in the following table had open swap transactions at March 31, 2017. A Fund’s current exposure to a counterparty is the fair value of the transaction.

A Fund may purchase and sell put and call options on securities or an index of securities to enhance investment performance or to protect against changes in market prices. A Fund that invests in debt securities may also purchase and sell put and call options to adjust the interest rate sensitivity of its portfolio or the credit exposure of the portfolio.

Call Options. A call option gives the holder the right to purchase, and obligates the writer to sell, a security at the strike price at any time before the expiration date.

Put Options. A put option gives the holder the right to sell, and obligates the writer to buy, a security at the exercise price at any time before the expiration date.

Writing put and call options. A Fund may write call options on a security it owns, in a “directional” strategy hoping to realize a greater current return through the receipt of premiums. In return for the option premium, the Fund takes the risk that it will have to forego any increase in the value of the security over the strike price. When A Fund has written a call option on a security it does not own, its exposure on such an option is theoretically unlimited. A Fund may enter into closing purchase transactions in order to realize a profit or limit a loss on a previously written call option or, in the case of a call option on a security it owns, to free itself to sell the underlying security or to write another call on the security, or protect a security from being called in an unexpected market rise. Any profits from a closing purchase transaction in the case of a call option on a security a Fund owns may be offset by a decline in the value of the underlying security. Conversely, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss resulting from a closing purchase transaction relating to a call option on a security a Fund owns is likely to be offset in whole or in part by unrealized appreciation of the underlying security owned by the Fund. A Fund may not be able to close out a call option that it has previously written. A Fund may write put options in order to enhance its current return by taking a long directional position as to a security or index of securities. By writing a put option, the Fund assumes the risk that it may be required to purchase the underlying security for an exercise price higher than its then current market value, resulting in a potential capital loss unless the security later appreciates in value. A Fund may terminate a put option that it has written before it expires by entering into a closing purchase transaction. Any loss from this transaction may be partially or entirely offset by the premium received on the terminated option. A Fund may not be able to close out a put option that it has previously written.

When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against the amount paid on the underlying investment to determine the realized gain or loss.

Purchasing put and call options. A Fund may purchase put options to protect portfolio holdings against a decline in market value of a security or securities held by it. A Fund may also purchase a put option hoping to profit from an anticipated decline in the value of the underlying security. If the Fund holds the security underlying the option, the option premium and any transaction costs will reduce any profit the Fund might have realized had it sold the underlying security instead of buying the put option. A Fund may purchase call options to hedge against an increase in the price of securities that the Fund wants ultimately to buy. A Fund may also purchase a call option as a long directional investment hoping to profit from an anticipated increase in the value of the underlying security. In order for a call option to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover the premium and transaction costs. These costs will reduce any profit the Fund might have realized had it bought the underlying security at the time it purchased the call option.

When a Fund purchases an option, it runs the risk that it will lose its entire investment in the option in a relatively short period of time, unless the Fund exercises the option or enters into a closing sale transaction before the option’s expiration. If the price of the underlying security does not rise (in the case of a call) or fall (in the case of a put) to an extent sufficient to cover the option premium and transaction costs, the Fund will lose part or all of its investment in the option. This contrasts with an investment by a Fund in the underlying security, since the Fund will not realize a loss if the security’s price does not change. Premiums paid for purchasing options that expire are treated as realized losses.

OTC Options. OTC options purchased or sold by a Fund are not traded on securities or options exchanges or backed by clearinghouses. Rather, they are entered into directly between a Fund and the counterparty to the option. In the case of an OTC option purchased by the Fund, the value of the option to the Fund will depend on the willingness and ability of the option writer to perform its obligations to the Fund. In addition, OTC options may not be transferable and there may be little or no secondary market for them, so they may be considered illiquid. It may not be possible to enter into closing transactions with respect to OTC options or otherwise to terminate such options, and as a result a Fund may be required to remain obligated on an unfavorable OTC option until its expiration. OTC options are valued using prices supplied by a primary pricing source, selected pursuant to procedures approved by the Trustees.

Rights and Warrants. A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange.

The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.

If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.

The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.

Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required

generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.

Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty.

Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.

Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse repurchase transactions, typically a Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency.

Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.

The Fund(s) listed in the following table had open reverse repurchase transactions at March 31, 2017:

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase transactions.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

The Asset Momentum Fund, Blend Fund, Dynamic Bond Fund, Equity Fund, Equity Rotation Fund, High Yield Fund, Inflation-Protected and Income Fund, Managed Bond Fund, Short-Duration Bond Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund may lend their securities; however, lending cannot exceed 10% of the total assets of the Managed Bond Fund taken at current value, and 33% of the total assets of the Asset Momentum Fund, Blend Fund, Dynamic Bond Fund, Equity Fund, Equity Rotation Fund, High Yield Fund, Inflation-Protected and Income Fund, Short-Duration Bond Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund, respectively, taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“agent”). The Lending Agreement authorizes the agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each, a “Borrower”).

Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. The Funds bear the risk of loss with respect to the investment of cash collateral. As with other extensions of credit, the Funds may bear the risk of delay in recovery of the loaned securities or even loss of rights in the collateral should the Borrower of the securities fail financially. Pursuant to the Lending Agreement, the agent has provided indemnification to the Funds in the event of default by a Borrower with respect to a loan. The Funds receive compensation for lending their securities in the form of a securities loan fee paid by the Borrower, as well as a share of the income earned on investment of the cash collateral received for the loaned securities. At March 31, 2017, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.

Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at March 31, 2017.

Investment transactions are accounted for on the trade date. Realized gains and losses on sales of investments and unrealized appreciation and depreciation of investments are computed by the specific identification cost method. Proceeds received from litigation, if any, are included in realized gains on investment transactions for any investments that are no longer held in the portfolio and as a reduction in cost for investments that continue to be held in the portfolio. Interest income, adjusted for amortization of discounts and premiums on debt securities, is earned from the settlement date and is recorded on the accrual basis. Dividend income is recorded on the ex-dividend date. Withholding taxes on foreign interest, dividends, and capital gains have been provided for in accordance with the applicable country’s tax rules and rates. Foreign dividend income is recorded on the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Distributions received on securities that represent a return of capital or capital gain are recorded as a reduction of cost of investments and/or as a realized gain. The Funds determine the classification of distributions received as return of capital distributions or capital gain distributions.

The books and records of the Funds are maintained in U.S. dollars. The market values of foreign currencies, foreign securities, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the mean of the buying and selling rates of such currencies against the U.S. dollar at the end of each business day. Purchases and sales of foreign securities and income and expense items are translated at the rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate that portion of the results of operations arising from changes in the exchange rates from that portion arising from changes in the market prices of securities. Net realized foreign currency gains and losses resulting from changes in exchange rates include foreign currency gains and losses between trade date and settlement date on investment securities transactions, foreign currency transactions, and the difference between the amounts of dividends or interest recorded on the books of the Funds and the amount actually received.

In maintaining the records for the Funds, the income and expense accounts are allocated daily to each class of shares. Investment income and loss, and unrealized and realized gains or losses are prorated among the classes of shares based on the relative net assets of each. Expenses are allocated to each class of shares depending on the nature of the expenditures. Administration and service fees, if any, which are directly attributable to a class of shares, are charged to that class’s operations. Expenses of a Fund not directly attributable to the operations of any specific class of shares of the Fund are prorated among classes to which the expense relates based on relative net assets.

The Strategic Emerging Markets Fund invests substantially all of its assets in foreign securities. The other Funds may also invest in foreign securities. Foreign securities, including American Depositary Receipts, are subject to additional risks compared to securities of U.S. issuers, including international trade, currency, political, regulatory, and diplomatic risks. In addition, fluctuations in currency exchange rates may adversely affect the values of foreign securities and the price of a Fund’s shares. Emerging markets securities are subject to greater risks than securities issued in developed foreign markets, including less liquidity, greater price volatility, higher relative rates of inflation, greater political, economic, and social instability, greater custody and operational risks, and greater volatility in currency exchange rates.

It is each Fund’s intent to continue to comply with the provisions of subchapter M of the Internal Revenue Code of 1986, as amended, applicable to a regulated investment company. Under such provisions, the Funds would not be subject to federal income taxes on their ordinary income and net realized capital gains to the extent they are distributed or deemed to have been distributed to their shareholders. Therefore, the Funds have not made any provision for federal income tax.

Dividends from net investment income are declared and paid quarterly for the Blend Fund, Dynamic Bond Fund, High Yield Fund, Inflation-Protected and Income Fund, Managed Bond Fund, and Short-Duration Bond Fund and annually for the Asset Momentum Fund, Equity Fund, Equity Rotation Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund, and at other times as may be required to satisfy tax or regulatory requirements. Dividends from net investment income are declared daily and paid monthly for the U.S. Government Money Market Fund. Distributions of any net realized capital gains of each Fund are declared and paid annually and at other times as may be required to satisfy tax or regulatory requirements.

Distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. As a result, net investment income and net realized capital gains on investment transactions for a reporting period may differ significantly from distributions during such period.

At March 31, 2017, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

Note: The aggregate cost for investments for the U.S. Government Money Market Fund at March 31, 2017, is the same for financial reporting and federal income tax purposes.

In October 2016, the Securities and Exchange Commission (“SEC”) released its Final Rule on Investment Company Reporting Modernization (the “Rule”). The Rule, which introduces two new regulatory reporting forms for investment companies — Form N-PORT and Form N-CEN — also contains amendments to Regulation S-X which impact financial statement presentation, particularly the presentation of derivative investments. Management is still evaluating the impact of the Rule; however, management believes that many of the Regulation S-X amendments are consistent with the Funds’ current financial statement presentation and expects that each Fund will be able to comply with the Rule’s Regulation S-X amendments by the August 1, 2017 compliance date.

In December 2016, The Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update No. 2016-19, Technical Corrections and Improvements (“ASU 2016-19”). ASU 2016-19 includes simplification and minor improvements to topics on insurance and troubled debt restructuring. The amendment requires an entity to disclose when there has been a change in a valuation approach, a valuation technique, or both. The transition guidance for the amendment must be applied prospectively because it could potentially involve the use of hindsight that includes fair value measurements. The guidance is effective for interim periods beginning after December 15, 2016. Management is currently evaluating the implication, if any, of the additional disclosure requirements and its impact on the Funds’ financial statements.

In March 2017, FASB issued Accounting Standards Update 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For entities that hold callable debt securities at a premium, ASU 2017-08 requires that the premium be amortized to the earliest call date. ASU 2017-08 would first be effective for fiscal years beginning after December 15, 2018, and interim periods within those fiscal years. Management is still evaluating the potential impact of ASU 2017-08 but believes that adoption of ASU 2017-08 will not have a material effect on each Fund’s financial position or its results of operations.

On December 7, 2010, the Trust was named as a defendant and putative member of the proposed defendant class of shareholders named in an adversary proceeding brought by The Official Committee of Unsecured Creditors of Tribune Company (the “Official Committee”) in the U.S. Bankruptcy Court for the District of Delaware, in connection with Tribune Company’s Chapter 11 bankruptcy proceeding (In re Tribune Company). The proceeding relates to a leveraged buyout (“LBO”) transaction by which Tribune Company converted to a privately-held company in 2007, and the putative defendant class is comprised of beneficial owners of shares of Tribune Company who received proceeds (the “Proceeds”) of the LBO. The Official Committee seeks to recover payments of those Proceeds.

The potential amount sought to be recovered from the Blend Fund and Small Cap Equity Fund, plus interest and the Official Committee’s court costs, are approximately $207,400 and $93,500, respectively.

In addition, on June 2, 2011, the Blend Fund was named as a defendant in a closely related, parallel adversary proceeding brought in connection with the Tribune Company’s LBO by Deutsche Bank Trust Company Americas, in its capacity as successor indenture trustee for a certain series of Senior Notes, Law Debenture Trust Company of New York, in its capacity as successor indenture trustee for a certain series of Senior Notes, and Wilmington Trust Company, in its capacity as successor indenture trustee for the PHONES Notes (together, the “Plaintiffs”), in the United States District Court for the District of Massachusetts. The Plaintiffs also seek to recover payments of the Proceeds.

The Funds cannot predict the outcome of these proceedings. Accordingly, the Funds have not accrued any amounts related to these proceedings. If the proceedings were to be decided in a manner adverse to the Funds, or if the Funds were to enter into a settlement agreement with the Official Committee or the Plaintiffs, as applicable, the payment of such judgment or settlement could potentially have a material adverse effect on the Funds’ net asset value depending on the net assets of each applicable Fund at the time of such judgment or settlement.

Management has evaluated the events and transactions subsequent to March 31, 2017, through the date when the Portfolios of Investments were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ Portfolios of Investments.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))), are effective, as of a date within 90 days of the filing date of this Form N-Q, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

(a) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.

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.


MML Series Investment Fund II
(Exact name of registrant as specified in charter)

100 Bright Meadow Blvd., Enfield, CT 06082
(Address of principal executive offices) (Zip code)
Brian Haendiges
100 Bright Meadow Blvd., Enfield, CT 06082
(Name and address of agent for service)

MML Series Investment Fund II – ‘N-Q’ for 3/31/17

On: Thursday, 5/25/17, at 1:29pm ET · Effective: 5/25/17 · For: 3/31/17 · Accession #: 1193125-17-183335 · File #: 811-21714

Previous ‘N-Q’: ‘N-Q’ on 11/28/16 for 9/30/16 · Next: ‘N-Q’ on 11/22/17 for 9/30/17 · Latest: ‘N-Q’ on 5/29/19 for 3/31/19

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

N-Q — Mml Series Investment Fund Ii

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

Dates Referenced Herein and Documents Incorporated by Reference


Registrant’s telephone number, including area code:		(860) 562-1000


	Level 1			Level 2			Level 3			Total
Asset Momentum Fund
Asset Investments
Common Stock*	$	6,638,838		$	2,535,655	*	$	-		$	9,174,493
Corporate Debt		-			3,001,065			-			3,001,065
U.S. Treasury Obligations		-			996,133			-			996,133
Mutual Funds		7,701,417			-			-			7,701,417
Short-Term Investments		-			2,735,887			-			2,735,887

Total Investments	$	14,340,255		$	9,268,740		$	-		$	23,608,995

Asset Derivatives
Forward Contracts	$	-		$	411,311		$	-		$	411,311

Liability Derivatives
Futures Contracts	$	(13,408	)	$	-		$	-		$	(13,408	)


Blend Fund
Asset Investments
Common Stock	$	473,127,397		$	-		$	-		$	473,127,397
Preferred Stock		531,600			-			-			531,600
Corporate Debt		-			68,997,438			-			68,997,438
Municipal Obligations		-			1,282,785			-			1,282,785
Non-U.S. Government Agency Obligations		-			54,374,384			82,027	**		54,456,411
Sovereign Debt Obligations		-			2,071,645			-			2,071,645
U.S. Government Agency Obligations and Instrumentalities		-			42,537,591			-			42,537,591
U.S. Treasury Obligations		-			9,227,047			-			9,227,047
Purchased Options		-			372,687			-			372,687
Rights		-			-			19,928	**		19,928
Short-Term Investments		-			19,224,286			-			19,224,286

Total Investments	$	473,658,997		$	198,087,863		$	101,955		$	671,848,815

Asset Derivatives
Futures Contracts	$	109,892		$	-		$	-		$	109,892

Liability Derivatives
Futures Contracts	$	(6	)	$	-		$	-		$	(6	)
Swap Agreements		-			(182,623	)		-			(182,623	)

Total	$	(6	)	$	(182,623	)	$	-		$	(182,629	)


Type of Derivative and Objective for Use	Asset Momentum Fund	Blend Fund	Inflation- Protected and Income Fund	Managed Bond Fund	Short- Duration Bond Fund
Foreign Currency Transactions*
Hedging/Risk Management	M
Directional Exposures to Currencies	A
Intention to Create Investment Leverage in Portfolio	M
Futures Contracts**
Hedging/Risk Management	A	A	A	A	A
Duration/Credit Quality Management	M	A	A	A	A
Substitution for Direct Investment	A	A	A	A	A
Intention to Create Investment Leverage in Portfolio	M	M	M	M	M
Interest Rate Swaps***
Hedging/Risk Management			A
Duration Management			A
Asset/Liability Management			M
Substitution for Direct Investment			M
Intention to Create Investment Leverage in Portfolio			M
Credit Default Swaps (Protection Buyer)
Hedging/Risk Management		A	A	A	A
Duration/Credit Quality Management		A	A	A	A
Income		A	A	A	A
Substitution for Direct Investment		A	A	A	M
Intention to Create Investment Leverage in Portfolio		M	M	M	M
Credit Default Swaps (Protection Seller)
Hedging/Risk Management		A	A	A	A
Duration/Credit Quality Management		A	A	A	A
Income		A	A	A	A
Substitution for Direct Investment		A	A	A	A
Intention to Create Investment Leverage in Portfolio		M	M	M	M


Type of Derivative and Objective for Use	Asset Momentum Fund	Blend Fund	Inflation- Protected and Income Fund	Managed Bond Fund	Short- Duration Bond Fund
Options (Purchased)
Hedging/Risk Management		A	A	A	A
Duration/Credit Quality Management		A	A	A	A
Substitution for Direct Investment		A	A	A	A
Directional Investment		A	A	A	A
Intention to Create Investment Leverage in Portfolio		M	M	M	M


	Credit Risk			Equity Risk			Foreign Exchange Risk		Interest Rate Risk			Total
Asset Momentum Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	411,311	$	-		$	411,311

Liability Derivatives
Futures Contracts	$	-		$	(13,408	)	$	-	$	-		$	(13,408	)


Blend Fund
Asset Derivatives
Purchased Options	$	-		$	-		$	-	$	372,687		$	372,687
Futures Contracts		-			17,572			-		92,320			109,892

Total Value	$	-		$	17,572		$	-	$	465,007		$	482,579

Liability Derivatives
Futures Contracts	$	-		$	-		$	-	$	(6	)	$	(6	)
Swap Agreements		(182,623	)		-			-		-			(182,623	)

Total Value	$	(182,623	)	$	-		$	-	$	(6	)	$	(182,629	)


Inflation-Protected and Income Fund
Asset Derivatives
Purchased Options	$	-		$	-		$	-	$	861,587		$	861,587
Futures Contracts		-			-			-		1,411			1,411
Swap Agreements		-			-			-		519,171			519,171

Total Value	$	-		$	-		$	-	$	1,382,169		$	1,382,169

Liability Derivatives
Futures Contracts	$	-		$	-		$	-	$	(21,942	)	$	(21,942	)
Swap Agreements		(459,848	)		-			-		-			(459,848	)

Total Value	$	(459,848	)	$	-		$	-	$	(21,942	)	$	(481,790	)


	Number of Contracts, Notional Amounts or Shares/Units†
	Futures Contracts		Forward Contracts		Purchased Options		Swap Agreements
Asset Momentum Fund		133	$	6,203,752	$	-	$	-
Blend Fund		411		-		2,976,000		3,710,000
Inflation-Protected and Income Fund		72		-		6,880,000		49,080,000
Managed Bond Fund		1,625		-		19,488,000		23,120,000
Short-Duration Bond Fund		431		-		3,760,000		2,940,000


		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Asset Momentum Fund
Contracts to Buy
BRL	764,720	Barclays Bank PLC	06/08/17		$	207,263	$	33,411


BRL	2,086,960	HSBC Bank USA	06/08/17			600,000		56,811
RUB	74,889,600	HSBC Bank USA	02/15/18			1,200,000		49,271

						1,800,000		106,082

					$	2,007,263	$	139,493


Cross Currency Forwards
BRL	4,110,000	Barclays Bank PLC	02/15/18	CHF		1,200,000	$	9,713


EUR	930,000	HSBC Bank USA	06/08/17	GBP		789,067		4,990


RUB	62,460,000	JP Morgan Chase Bank N.A.	06/08/17	SEK		9,000,000		85,557
RUB	14,039,152	JP Morgan Chase Bank N.A.	07/13/17	EUR		180,000		50,959
RUB	13,746,704	JP Morgan Chase Bank N.A.	07/13/17	EUR		180,000		45,878
RUB	13,994,650	JP Morgan Chase Bank N.A.	07/13/17	SEK		1,870,000		33,415
RUB	13,428,928	JP Morgan Chase Bank N.A.	07/13/17	SEK		1,712,000		41,306

								257,115

							$	271,818


	Expiration Date	Number of Contracts		Notional Amount			Net Unrealized Appreciation/ (Depreciation)
Asset Momentum Fund
Futures Contracts — Long
S&P 500 E Mini Index	06/16/17		133	$	15,688,680		$	(13,408	)

Blend Fund
Futures Contracts — Long
U.S. Treasury Ultra 10 Year	06/21/17		2	$	267,781		$	(6	)
U.S. Ultra Bond	06/21/17		33		5,300,625			55,024
U.S. Treasury Note 2 Year	06/30/17		35		7,575,859			8,268
U.S. Treasury Note 5 Year	06/30/17		150		17,658,985			29,028

							$	92,314

Future Contract — Short
S&P 500 E Mini Index	06/16/17		191	$	(22,530,360	)	$	17,572


Inflation-Protected and Income Fund
Futures Contracts — Long
U.S. Ultra Bond	06/21/17		3	$	481,875		$	646

Futures Contracts — Short
U.S. Long Bond	06/21/17		2	$	(301,687	)	$	713
U.S. Treasury Ultra 10 Year	06/21/17		66		(8,221,125	)		(21,942	)
U.S. Treasury Note 5 Year	06/30/17		1		(117,727	)		52

							$	(21,177	)




Counterparty	Currency	Notional Amount		Expiration Date		Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Blend Fund*
Credit Default Swaps — Buy Protection
Centrally Cleared Swaps
	USD		2,620,000		12/20/21	(1.000)%	CDX.NA.IG.27	$	(3,320	)	$	(39,936	)	$	(43,256	)


Credit Default Swaps — Sell Protection†
OTC Swaps
Goldman Sachs International	USD		500,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating: BBB-)		(64,238	)		308			(63,930	)
Goldman Sachs International	USD		430,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating: BBB-)		(17,742	)		(37,238	)		(54,980	)
Goldman Sachs International	USD		160,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating: BBB-)		(7,638	)		(12,819	)		(20,457	)

									(89,618	)		(49,749	)		(139,367	)


Inflation-Protected and Income Fund**
Credit Default Swaps — Buy Protection
Centrally Cleared Swaps
	USD		670,000		12/20/21	(1.000)%	CDX.NA.IG.27		(849	)		(10,213	)		(11,062	)


Credit Default Swaps — Sell Protection†
OTC Swaps
Goldman Sachs International	USD		1,600,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating:BBB-)		(205,561	)		986			(204,575	)
Goldman Sachs International	USD		890,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating:BBB-)		(36,721	)		(77,074	)		(113,795	)
Goldman Sachs International	USD		330,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating:BBB-)		(15,754	)		(26,439	)		(42,193	)
JPMorgan Chase Bank N.A.	USD		690,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating:BBB-)		(89,073	)		850			(88,223	)

									(347,109	)		(101,677	)		(448,786	)


Counterparty	Currency	Notional Amount		Expiration Date		Payments Made by Fund	Payments Received by Fund	Unrealized Appreciation (Depreciation)			Premium Received (Paid)			Value
Interest Rate Swaps
OTC Swaps
Goldman Sachs International	USD		8,500,000		10/13/17	1.125%	USA-CPI-U	$	93,181		$	-		$	93,181
Bank of America N.A.	USD		11,000,000		11/06/17	1.275%	USA-CPI-U		117,662			-			117,662
Goldman Sachs International	USD		8,300,000		1/13/18	1.295%	USA-CPI-U		116,871			-			116,871
JPMorgan Chase Bank N.A.	USD		8,500,000		2/17/18	1.033%	USA-CPI-U		181,858			-			181,858
Bank of America N.A.	USD		8,600,000		2/16/19	2.195%	USA-CPI-U		9,599			-			9,599

									519,171			-			519,171


Description	Value
Inflation-Protected and Income Fund
Agreement with Banque Paribas Securities Corp., dated 3/03/17, 0.990%, to be repurchased on demand until 6/01/17 at value plus accrued interest.	$	69,273,000
Agreement with Daiwa Bank Securities Inc., dated 2/02/17, 0.850%, to be repurchased on demand until 5/02/17 at value plus accrued interest.		56,996,500
Agreement with Goldman Sachs & Co., dated 1/06/17, 0.860%, to be repurchased on demand until 4/04/17 at value plus accrued interest.		85,986,544
Agreement with HSBC Securities (USA) Inc., dated 3/02/17, 0.970%, to be repurchased on demand until 6/02/17 at value plus accrued interest.		101,752,985
Agreement with Morgan Stanley & Co. LLC, dated 2/02/17, 0.800%, to be repurchased on demand until 4/07/17 at value plus accrued interest.		16,517,598

	$	330,526,627

Average balance outstanding	$	328,351,193
Maximum balance outstanding	$	330,526,627
Average interest rate		0.90%
Weighted average maturity		41days


Date of reporting period:		3/31/2017


	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Asset Momentum Fund	$	22,345,875	$	1,458,867	$	(195,747	)	$	1,263,120
Blend Fund		529,848,625		151,140,513		(9,140,323	)		142,000,190
Dynamic Bond Fund		437,982,319		4,668,733		(6,754,826	)		(2,086,093	)
Equity Fund		631,321,673		217,772,374		(10,647,753	)		207,124,621


By		/s/ *Brian Haendiges*
		Brian Haendiges, President and Principal Executive Officer


By		/s/ *Renee Hitchcock*
		Renee Hitchcock, Treasurer and Principal Financial Officer

This ‘N-Q’ Filing	Date	Other Filings

	12/15/18
	8/1/17
Filed on / Effective on:	5/25/17
For Period End:	3/31/17	N-MFP2
	12/15/16
	12/15/11	497, DEF 14A, PRE 14A
	6/2/11
	12/7/10	N-MFP
	2/28/05
	2/8/05
		List all Filings

MML Series Investment Fund II – ‘N-Q’ for 3/31/17

On: Thursday, 5/25/17, at 1:29pm ET · Effective: 5/25/17 · For: 3/31/17 · Accession #: 1193125-17-183335 · File #: 811-21714

Previous ‘N-Q’: ‘N-Q’ on 11/28/16 for 9/30/16 · Next: ‘N-Q’ on 11/22/17 for 9/30/17 · Latest: ‘N-Q’ on 5/29/19 for 3/31/19

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

N-Q — Mml Series Investment Fund Ii

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

Dates Referenced Herein and Documents Incorporated by Reference

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