SEC Info - MML Series Investment Fund II


	Number of Shares		Value
EQUITIES — 33.7%

COMMON STOCK — 33.7%
Communications — 1.5%
Telecommunications — 1.5%
Drillisch AG		3,800	$	266,558
NTT DOCOMO, Inc.		5,600		128,000

				394,558

Consumer, Cyclical — 10.7%
Distribution & Wholesale — 2.1%
Pool Corp.		5,100		551,667

Home Builders — 6.4%
NVR, Inc. (a)		600		1,713,000

Retail — 0.5%
Fielmann AG		1,400		121,318

Textiles — 1.7%
Mohawk Industries, Inc. (a)		1,800		445,518

				2,831,503

Consumer, Non-cyclical — 7.7%
Agriculture — 0.4%
British American Tobacco PLC Sponsored ADR		1,578		98,546

Biotechnology — 1.1%
CSL Ltd.		2,800		294,374

Commercial Services — 0.9%
Equifax, Inc.		2,300		243,777

Foods — 1.0%
Nestle SA Registered		1,300		108,877
Saputo, Inc.		4,500		155,764

				264,641

Health Care – Products — 0.8%
Advanced Medical Solutions Group PLC		54,300		210,806

Health Care – Services — 2.3%
Fresenius SE & Co. KGaA		5,900		475,922
Ramsay Health Care Ltd.		3,000		147,114

				623,036

Household Products — 1.2%
Henkel AG & Co. KGaA		2,000		243,420
Portmeirion Group PLC		5,600		67,525

				310,945

				2,046,125

Financial — 2.5%
Diversified Financial Services — 2.0%
Mastercard, Inc. Class A		3,800		536,560

Private Equity — 0.5%
Onex Corp.		1,700		131,190

				667,750


	Number of Shares		Value
Industrial — 8.6%
Aerospace & Defense — 3.8%
General Dynamics Corp.		1,200	$	246,696
Lockheed Martin Corp.		800		248,232
Northrop Grumman Corp.		900		258,948
Raytheon Co.		1,400		261,212

				1,015,088

Building Materials — 0.4%
Breedon Group PLC (a)		88,100		100,350

Electronics — 1.0%
Halma PLC		17,600		264,174

Hand & Machine Tools — 0.6%
Schindler Holding AG		700		154,625

Machinery – Diversified — 0.9%
Cummins, Inc.		1,500		252,045

Miscellaneous – Manufacturing — 1.9%
A.O. Smith Corp.		4,200		249,606
Illinois Tool Works, Inc.		1,700		251,532

				501,138

				2,287,420

Technology — 2.7%
Computers — 1.2%
Amdocs Ltd.		5,200		334,464

Software — 1.5%
EMIS Group PLC		11,800		145,852
Nexus AG		3,400		106,540
Open Text Corp.		4,200		135,518

				387,910

				722,374


TOTAL COMMON STOCK (Cost $7,175,227)				8,949,730


TOTAL EQUITIES (Cost $7,175,227)				8,949,730


	Principal Amount
BONDS & NOTES — 3.7%

U.S. TREASURY OBLIGATIONS — 3.7%
U.S. Treasury Bonds & Notes — 3.7%
U.S. Treasury Note 0.750% 4/30/18 (b)	$	1,000,000		997,246


TOTAL U.S. TREASURY OBLIGATIONS (Cost $998,125)				997,246


TOTAL BONDS & NOTES (Cost $998,125)				997,246


	Number of Shares		Value
MUTUAL FUNDS — 39.9%
Diversified Financial Services — 39.9%
iShares MSCI Brazil Capped Index Fund		36,000	$	1,500,840
iShares MSCI India ETF		6,600		216,810
Vanguard Total Stock Market ETF		68,500		8,872,120

				10,589,770


TOTAL MUTUAL FUNDS (Cost $9,331,194)				10,589,770


TOTAL LONG-TERM INVESTMENTS (Cost $17,504,546)				20,536,746


	Principal Amount
SHORT-TERM INVESTMENTS — 22.0%
Repurchase Agreement — 22.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (c)	$	5,835,383		5,835,383


	Value

TOTAL SHORT-TERM INVESTMENTS (Cost $5,835,383)	$	5,835,383


TOTAL INVESTMENTS — 99.3% (Cost $23,339,929) (d)		26,372,129

Other Assets/(Liabilities) — 0.7%		191,941


NET ASSETS — 100.0%	$	26,564,070

Abbreviation Legend

ADR	American Depositary Receipt

ETF	Exchange-Traded Fund

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(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 $5,835,407. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 1/31/21, and an aggregate market value, including accrued interest, of $5,953,360.

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


	Number of Shares		Value
EQUITIES — 70.0%

COMMON STOCK — 69.9%
Basic Materials — 1.0%
Chemicals — 0.8%
Air Products & Chemicals, Inc.		7,795	$	1,178,760
Albemarle Corp.		5,110		696,544
CF Industries Holdings, Inc.		90		3,164
DowDuPont, Inc.		2,820		195,229
Eastman Chemical Co.		6,070		549,274
LyondellBasell Industries NV Class A		18,100		1,792,805
Monsanto Co.		6,694		802,075
PPG Industries, Inc.		8		869
Praxair, Inc.		6		839
The Sherwin-Williams Co.		3		1,074

				5,220,633

Forest Products & Paper — 0.0%
International Paper Co.		3,587		203,814

Iron & Steel — 0.1%
Nucor Corp.		4,756		266,526

Mining — 0.1%
Freeport-McMoRan, Inc. (a)		64		898
Newmont Mining Corp.		23,670		887,862

				888,760

				6,579,733

Communications — 9.3%
Advertising — 0.1%
The Interpublic Group of Cos., Inc.		6,922		143,909
Omnicom Group, Inc.		3,747		277,540

				421,449

Internet — 4.7%
Alphabet, Inc. Class A (a)		4,120		4,011,726
Alphabet, Inc. Class C (a)		6,591		6,321,494
Amazon.com, Inc. (a)		3,550		3,412,792
eBay, Inc. (a)		20,777		799,083
Expedia, Inc.		5,157		742,299
F5 Networks, Inc. (a)		6,200		747,472
Facebook, Inc. Class A (a)		51,090		8,729,748
Netflix, Inc. (a)		9,093		1,649,016
The Priceline Group, Inc. (a)		1,691		3,095,917
Symantec Corp.		28,255		927,047
TripAdvisor, Inc. (a)		37		1,500
VeriSign, Inc. (a)		15,701		1,670,429

				32,108,523

Media — 2.2%
CBS Corp. Class B		11,457		664,506
Charter Communications, Inc. Class A (a)		401		145,731


	Number of Shares		Value
Comcast Corp. Class A		183,324	$	7,054,308
Discovery Communications, Inc. Class A (a)		27,900		593,991
Discovery Communications, Inc. Class C (a)		6,900		139,794
DISH Network Corp. Class A (a)		12,200		661,606
News Corp. Class A		6,866		91,043
Scripps Networks Interactive, Inc. Class A		8,072		693,304
Time Warner, Inc.		7,515		769,912
Twenty-First Century Fox, Inc. Class A		19,567		516,177
Twenty-First Century Fox, Inc. Class B		28,300		729,857
Viacom, Inc. Class B		26,310		732,470
The Walt Disney Co.		19,752		1,946,955

				14,739,654

Telecommunications — 2.3%
AT&T, Inc.		196,153		7,683,313
CenturyLink, Inc.		16,828		318,049
Cisco Systems, Inc.		79,442		2,671,635
Juniper Networks, Inc.		67,389		1,875,436
Motorola Solutions, Inc.		12,537		1,064,015
Verizon Communications, Inc.		34,655		1,715,076

				15,327,524

				62,597,150

Consumer, Cyclical — 6.9%
Airlines — 0.8%
Alaska Air Group, Inc.		13,200		1,006,764
American Airlines Group, Inc.		28,200		1,339,218
Delta Air Lines, Inc.		23,200		1,118,704
Southwest Airlines Co.		10,383		581,240
United Continental Holdings, Inc. (a)		22,100		1,345,448

				5,391,374

Apparel — 0.5%
Hanesbrands, Inc.		39,000		960,960
Michael Kors Holdings Ltd. (a)		6,900		330,165
NIKE, Inc. Class B		84		4,355
Ralph Lauren Corp.		13,350		1,178,672
VF Corp.		14,900		947,193

				3,421,345

Auto Manufacturers — 0.4%
Ford Motor Co.		128,513		1,538,301
General Motors Co.		29,600		1,195,248
PACCAR, Inc.		5,322		384,993

				3,118,542

Auto Parts & Equipment — 0.3%
BorgWarner, Inc.		22,100		1,132,183
Delphi Automotive PLC		9,300		915,120


	Number of Shares		Value
The Goodyear Tire & Rubber Co.		6,251	$	207,846

				2,255,149

Distribution & Wholesale — 0.0%
Fastenal Co.		82		3,738
W.W. Grainger, Inc.		2		359

				4,097

Home Builders — 0.1%
D.R. Horton, Inc.		1,947		77,744
PulteGroup, Inc.		16,873		461,139

				538,883

Home Furnishing — 0.0%
Leggett & Platt, Inc.		86		4,105
Whirlpool Corp.		1,573		290,124

				294,229

Leisure Time — 0.4%
Harley-Davidson, Inc.		8,702		419,523
Royal Caribbean Cruises Ltd.		17,520		2,076,821

				2,496,344

Lodging — 0.6%
Marriott International, Inc. Class A		7,321		807,213
MGM Resorts International		34,000		1,108,060
Wyndham Worldwide Corp.		5,709		601,786
Wynn Resorts Ltd.		9,618		1,432,313

				3,949,372

Retail — 3.6%
AutoZone, Inc. (a)		494		293,984
Best Buy Co., Inc.		41,392		2,357,688
Coach, Inc.		6,220		250,542
Costco Wholesale Corp.		7,370		1,210,817
CVS Health Corp.		21,694		1,764,156
Darden Restaurants, Inc.		2,654		209,082
Dollar General Corp.		3,200		259,360
Dollar Tree, Inc. (a)		48		4,167
Foot Locker, Inc.		9,100		320,502
The Gap, Inc.		44,390		1,310,837
Genuine Parts Co.		34		3,252
The Home Depot, Inc.		11,887		1,944,238
Kohl’s Corp.		43,730		1,996,275
L Brands, Inc.		2,200		91,542
Lowe’s Cos., Inc.		895		71,546
Macy’s, Inc.		76,551		1,670,343
McDonald’s Corp.		7,350		1,151,598
Nordstrom, Inc.		2,308		108,822
O’Reilly Automotive, Inc. (a)		333		71,718
PVH Corp.		10,700		1,348,842
Ross Stores, Inc.		2,644		170,723
Signet Jewelers Ltd.		23,300		1,550,615
Starbucks Corp.		54		2,900
Target Corp.		29,386		1,734,068
Tiffany & Co.		802		73,608


	Number of Shares		Value
The TJX Cos., Inc.		13,606	$	1,003,171
Wal-Mart Stores, Inc.		24,622		1,923,963
Walgreens Boots Alliance, Inc.		16,557		1,278,532
Yum! Brands, Inc.		435		32,020

				24,208,911

Toys, Games & Hobbies — 0.2%
Hasbro, Inc.		12,361		1,207,299
Mattel, Inc.		90		1,393

				1,208,692

				46,886,938

Consumer, Non-cyclical — 14.2%
Agriculture — 0.9%
Altria Group, Inc.		27,959		1,773,160
Archer-Daniels-Midland Co.		11,392		484,274
Philip Morris International, Inc.		31,676		3,516,352

				5,773,786

Beverages — 0.8%
Brown-Forman Corp. Class B		12		652
The Coca-Cola Co.		57,830		2,602,928
Constellation Brands, Inc. Class A		542		108,102
Dr. Pepper Snapple Group, Inc.		4,404		389,622
PepsiCo, Inc.		23,400		2,607,462

				5,708,766

Biotechnology — 1.7%
Amgen, Inc.		12,141		2,263,690
Biogen, Inc. (a)		3,662		1,146,645
Celgene Corp. (a)		26,656		3,886,978
Gilead Sciences, Inc.		54,610		4,424,502

				11,721,815

Commercial Services — 1.6%
Automatic Data Processing, Inc.		4,809		525,720
Cintas Corp.		1,878		270,958
Ecolab, Inc.		2		257
Equifax, Inc.		132		13,991
H&R Block, Inc.		29,063		769,588
Moody’s Corp.		3,330		463,569
PayPal Holdings, Inc. (a)		31,077		1,989,860
Quanta Services, Inc. (a)		13,913		519,929
Robert Half International, Inc.		26		1,309
S&P Global, Inc.		15,088		2,358,405
Total System Services, Inc.		17,607		1,153,259
United Rentals, Inc. (a)		7,110		986,441
The Western Union Co.		71,888		1,380,250

				10,433,536

Cosmetics & Personal Care — 1.2%
Colgate-Palmolive Co.		5,906		430,252
The Estee Lauder Cos., Inc. Class A		7,910		853,014
The Procter & Gamble Co.		72,029		6,553,199

				7,836,465


	Number of Shares		Value
Foods — 0.4%
Campbell Soup Co.		1,624	$	76,036
Conagra Brands, Inc.		2,874		96,969
General Mills, Inc.		1,962		101,553
The Hershey Co.		1,647		179,803
Hormel Foods Corp.		15,732		505,627
The J.M. Smucker Co.		845		88,666
Kellogg Co.		8,428		525,654
The Kraft Heinz Co.		4,958		384,493
The Kroger Co.		58		1,163
McCormick & Co., Inc.		161		16,525
Mondelez International, Inc. Class A		75		3,050
Sysco Corp.		5,334		287,769
Tyson Foods, Inc. Class A		4,301		303,005

				2,570,313

Health Care – Products — 1.9%
Abbott Laboratories		65,601		3,500,469
Align Technology, Inc. (a)		7,650		1,424,966
Baxter International, Inc.		17,261		1,083,128
Becton, Dickinson & Co.		1,320		258,654
Boston Scientific Corp. (a)		5,300		154,601
C.R. Bard, Inc.		202		64,741
The Cooper Cos., Inc.		5,140		1,218,745
Danaher Corp.		4,756		407,970
DENTSPLY SIRONA, Inc.		56		3,349
Edwards Lifesciences Corp. (a)		6,380		697,398
Hologic, Inc. (a)		1,400		51,366
Intuitive Surgical, Inc. (a)		96		100,404
Medtronic PLC		23,600		1,835,372
Patterson Cos., Inc.		86		3,324
Stryker Corp.		4,630		657,553
Thermo Fisher Scientific, Inc.		3,971		751,313
Varian Medical Systems, Inc. (a)		2,097		209,826
Zimmer Biomet Holdings, Inc.		2,455		287,456

				12,710,635

Health Care – Services — 1.5%
Aetna, Inc.		6,227		990,155
Anthem, Inc.		5,796		1,100,545
Centene Corp. (a)		22,100		2,138,617
Cigna Corp.		16,762		3,133,488
DaVita, Inc. (a)		3,030		179,952
HCA Healthcare, Inc. (a)		2,600		206,934
Humana, Inc.		1,084		264,095
Laboratory Corp. of America Holdings (a)		2		302
Quest Diagnostics, Inc.		3,309		309,855
UnitedHealth Group, Inc.		10,444		2,045,457
Universal Health Services, Inc. Class B		50		5,547

				10,374,947


	Number of Shares		Value
Household Products & Wares — 0.2%
Avery Dennison Corp.		1,915	$	188,321
The Clorox Co.		723		95,371
Kimberly-Clark Corp.		7,345		864,359

				1,148,051

Pharmaceuticals — 4.0%
AbbVie, Inc.		32,022		2,845,475
Allergan PLC		5,570		1,141,572
AmerisourceBergen Corp.		3,607		298,479
Bristol-Myers Squibb Co.		11,567		737,281
Cardinal Health, Inc.		78		5,220
Eli Lilly & Co.		16,614		1,421,162
Express Scripts Holding Co. (a)		23,301		1,475,419
Johnson & Johnson		53,232		6,920,692
McKesson Corp.		7,525		1,155,915
Merck & Co., Inc.		51,583		3,302,859
Mylan NV (a)		11,447		359,092
Perrigo Co. PLC		20,600		1,743,790
Pfizer, Inc.		162,841		5,813,424
Zoetis, Inc.		300		19,128

				27,239,508

				95,517,822

Diversified — 0.0%
Holding Company – Diversified — 0.0%
Leucadia National Corp.		37		934

Energy — 3.1%
Oil & Gas — 2.4%
Anadarko Petroleum Corp.		48		2,345
Andeavor		16,827		1,735,705
Apache Corp.		21		962
Cabot Oil & Gas Corp.		48		1,284
Chesapeake Energy Corp. (a)		90		387
Chevron Corp.		13,668		1,605,990
ConocoPhillips		12,739		637,587
Devon Energy Corp.		56,047		2,057,485
EOG Resources, Inc.		8		774
EQT Corp.		97		6,328
Exxon Mobil Corp.		57,497		4,713,604
Helmerich & Payne, Inc.		60		3,127
Hess Corp.		32		1,500
Marathon Oil Corp.		60,127		815,322
Marathon Petroleum Corp.		12,306		690,121
Newfield Exploration Co. (a)		14,500		430,215
Noble Energy, Inc.		56		1,588
Occidental Petroleum Corp.		15		963
Phillips 66		11,669		1,068,997
Pioneer Natural Resources Co.		1		148
Range Resources Corp.		99		1,937
Valero Energy Corp.		33,500		2,577,155

				16,353,524


	Number of Shares		Value
Oil & Gas Services — 0.7%
Baker Hughes a GE Co.		7,731	$	283,109
Halliburton Co.		42,967		1,977,771
National Oilwell Varco, Inc.		5,594		199,874
Schlumberger Ltd.		26,231		1,829,874
TechnipFMC PLC (a)		8,340		232,853

				4,523,481

Pipelines — 0.0%
Kinder Morgan, Inc.		38		729
The Williams Cos., Inc.		48		1,441

				2,170

				20,879,175

Financial — 14.3%
Banks — 7.2%
Bank of America Corp.		331,898		8,410,295
The Bank of New York Mellon Corp.		29,707		1,575,065
BB&T Corp.		18,566		871,488
Capital One Financial Corp.		9,142		773,962
Citigroup, Inc.		80,951		5,888,376
Citizens Financial Group, Inc.		57,900		2,192,673
Comerica, Inc.		21,421		1,633,565
Fifth Third Bancorp		27,021		756,048
The Goldman Sachs Group, Inc.		9,350		2,217,727
Huntington Bancshares, Inc.		6,800		94,928
JP Morgan Chase & Co.		100,822		9,629,509
KeyCorp		32,764		616,619
M&T Bank Corp.		1,355		218,209
Morgan Stanley		54,097		2,605,853
Northern Trust Corp.		5,059		465,074
The PNC Financial Services Group, Inc.		12,918		1,740,959
Regions Financial Corp.		79,415		1,209,490
State Street Corp.		8,176		781,135
SunTrust Banks, Inc.		12,100		723,217
US Bancorp		7,602		407,391
Wells Fargo & Co.		80,916		4,462,517
Zions Bancorp		27,141		1,280,512

				48,554,612

Diversified Financial Services — 2.2%
Alliance Data Systems Corp.		880		194,964
American Express Co.		13,149		1,189,459
Ameriprise Financial, Inc.		11,356		1,686,480
BlackRock, Inc.		880		393,439
The Charles Schwab Corp.		18,112		792,219
Discover Financial Services		1,783		114,968
E*TRADE Financial Corp. (a)		34,861		1,520,288
Franklin Resources, Inc.		6,387		284,285
Intercontinental Exchange, Inc.		15		1,030
Invesco Ltd.		14,912		522,516
Mastercard, Inc. Class A		9,020		1,273,624
Nasdaq, Inc.		45		3,491


	Number of Shares		Value
Navient Corp.		34,591	$	519,557
Raymond James Financial, Inc.		4,900		413,217
Synchrony Financial		20,100		624,105
T. Rowe Price Group, Inc.		15,606		1,414,684
Visa, Inc. Class A		36,712		3,863,571

				14,811,897

Insurance — 3.6%
Aflac, Inc.		14,472		1,177,876
The Allstate Corp.		12,035		1,106,137
American International Group, Inc.		24,746		1,519,157
Aon PLC		3,445		503,315
Assurant, Inc.		5,216		498,232
Berkshire Hathaway, Inc. Class B (a)		13,486		2,472,254
Brighthouse Financial, Inc. (a)		2,926		177,901
Chubb Ltd.		9,818		1,399,556
Cincinnati Financial Corp.		4,419		338,363
Everest Re Group Ltd.		6,280		1,434,289
The Hartford Financial Services Group, Inc.		26,052		1,444,062
Lincoln National Corp.		30,851		2,266,931
Loews Corp.		4,383		209,770
Marsh & McLennan Cos., Inc.		5,813		487,188
MetLife, Inc.		32,190		1,672,270
Principal Financial Group, Inc.		22,229		1,430,214
The Progressive Corp.		18,114		877,080
Prudential Financial, Inc.		8,727		927,855
Torchmark Corp.		12,082		967,647
The Travelers Cos., Inc.		2,287		280,203
Unum Group		36,931		1,888,282
XL Group Ltd.		33,388		1,317,157

				24,395,739

Real Estate — 0.0%
CBRE Group, Inc. Class A (a)		6,287		238,152

Real Estate Investment Trusts (REITS) — 1.2%
American Tower Corp.		589		80,505
Apartment Investment & Management Co. Class A		685		30,044
AvalonBay Communities, Inc.		2,081		371,292
Boston Properties, Inc.		3		369
Digital Realty Trust, Inc.		7,220		854,343
Duke Realty Corp.		45,200		1,302,664
Equinix, Inc.		2,390		1,066,657
Equity Residential		56		3,692
Essex Property Trust, Inc.		1,500		381,045
Extra Space Storage, Inc.		7,000		559,440
GGP, Inc.		19,700		409,169
HCP, Inc.		35		974
Host Hotels & Resorts, Inc.		27,837		514,706
Iron Mountain, Inc.		48		1,867
Kimco Realty Corp.		2,767		54,095
The Macerich Co.		100		5,497


	Number of Shares		Value
Mid-America Apartment Communities, Inc.		9,120	$	974,746
Prologis, Inc.		15,338		973,349
Public Storage		203		43,440
Simon Property Group, Inc.		645		103,851
Ventas, Inc.		425		27,680
Vornado Realty Trust		1,373		105,556
Welltower, Inc.		2,100		147,588
Weyerhaeuser Co.		26		885

				8,013,454

Savings & Loans — 0.1%
People’s United Financial, Inc.		25,351		459,867

				96,473,721

Industrial — 6.2%
Aerospace & Defense — 1.4%
Arconic, Inc.		31,208		776,455
The Boeing Co.		18,292		4,650,009
General Dynamics Corp.		602		123,759
Harris Corp.		770		101,393
L3 Technologies, Inc.		5,290		996,795
Lockheed Martin Corp.		1,530		474,744
Northrop Grumman Corp.		3,968		1,141,673
Raytheon Co.		889		165,870
Rockwell Collins, Inc.		8		1,046
United Technologies Corp.		9,620		1,116,689

				9,548,433

Building Materials — 0.0%
Johnson Controls International PLC		65		2,619
Masco Corp.		25		975
Vulcan Materials Co.		5		598

				4,192

Electrical Components & Equipment — 0.0%
Emerson Electric Co.		4,869		305,968

Electronics — 1.3%
Agilent Technologies, Inc.		24,063		1,544,845
Allegion PLC		33		2,853
Amphenol Corp. Class A		23,964		2,028,313
Corning, Inc.		6,667		199,477
FLIR Systems, Inc.		2,852		110,971
Fortive Corp.		5,878		416,104
Garmin Ltd.		2,100		113,337
Honeywell International, Inc.		12,242		1,735,181
PerkinElmer, Inc.		2,720		187,598
TE Connectivity Ltd.		22,500		1,868,850
Waters Corp. (a)		1,540		276,461

				8,483,990

Engineering & Construction — 0.1%
Fluor Corp.		2,709		114,049
Jacobs Engineering Group, Inc.		7,920		461,498

				575,547


	Number of Shares		Value
Environmental Controls — 0.4%
Republic Services, Inc.		337	$	22,262
Stericycle, Inc. (a)		97		6,947
Waste Management, Inc.		30,373		2,377,295

				2,406,504

Hand & Machine Tools — 0.0%
Snap-on, Inc.		1		149
Stanley Black & Decker, Inc.		9		1,359

				1,508

Machinery – Construction & Mining — 0.4%
Caterpillar, Inc.		23,195		2,892,649

Machinery – Diversified — 0.6%
Cummins, Inc.		7,275		1,222,418
Deere & Co.		5,870		737,213
Flowserve Corp.		70		2,981
Rockwell Automation, Inc.		9,513		1,695,312
Roper Technologies, Inc.		663		161,374
Xylem, Inc.		3,355		210,124

				4,029,422

Miscellaneous – Manufacturing — 0.8%
3M Co.		2,082		437,012
Dover Corp.		5,173		472,760
Eaton Corp. PLC		2,566		197,043
General Electric Co.		21,086		509,860
Illinois Tool Works, Inc.		5,425		802,683
Ingersoll-Rand PLC		9,600		856,032
Parker-Hannifin Corp.		5,228		915,005
Pentair PLC		23		1,563
Textron, Inc.		18,972		1,022,211

				5,214,169

Packaging & Containers — 0.4%
Ball Corp.		4		165
Packaging Corp. of America		7,170		822,256
Sealed Air Corp.		53		2,264
WestRock Co.		34,367		1,949,640

				2,774,325

Transportation — 0.8%
C.H. Robinson Worldwide, Inc.		120		9,132
CSX Corp.		17,207		933,652
Expeditors International of Washington, Inc.		126		7,542
FedEx Corp.		4,200		947,436
Norfolk Southern Corp.		7,813		1,033,191
Union Pacific Corp.		16,712		1,938,091
United Parcel Service, Inc. Class B		4,880		586,039

				5,455,083

				41,691,790


	Number of Shares		Value
Technology — 12.6%
Computers — 4.5%
Accenture PLC Class A		11,530	$	1,557,357
Apple, Inc.		119,797		18,463,114
Cognizant Technology Solutions Corp. Class A		56		4,062
CSRA, Inc.		26,726		862,448
DXC Technology Co.		5,779		496,300
Hewlett Packard Enterprise Co.		67,274		989,601
HP, Inc.		83,774		1,672,129
International Business Machines Corp.		20,350		2,952,378
NetApp, Inc.		19,898		870,736
Seagate Technology PLC		17,400		577,158
Western Digital Corp.		25,647		2,215,901

				30,661,184

Office & Business Equipment — 0.1%
Xerox Corp.		18,536		617,064

Semiconductors — 3.2%
Analog Devices, Inc.		10,472		902,372
Applied Materials, Inc.		54,639		2,846,146
Broadcom Ltd.		8,039		1,949,779
Intel Corp.		136,823		5,210,220
KLA-Tencor Corp.		19,689		2,087,034
Lam Research Corp.		10,423		1,928,672
Microchip Technology, Inc.		21,021		1,887,265
Micron Technology, Inc. (a)		40,717		1,601,400
NVIDIA Corp.		3,626		648,220
Skyworks Solutions, Inc.		6,010		612,419
Texas Instruments, Inc.		17,774		1,593,261
Xilinx, Inc.		3,756		266,037

				21,532,825

Software — 4.8%
Activision Blizzard, Inc.		4,700		303,197
Adobe Systems, Inc. (a)		17,910		2,671,814
Akamai Technologies, Inc. (a)		26		1,267
ANSYS, Inc. (a)		12,020		1,475,215
Autodesk, Inc. (a)		37		4,154
CA, Inc.		5,773		192,703
Citrix Systems, Inc. (a)		377		28,961
Electronic Arts, Inc. (a)		8,997		1,062,186
Fidelity National Information Services, Inc.		16,600		1,550,274
Fiserv, Inc. (a)		1,676		216,137
Intuit, Inc.		1,490		211,789
Micro Focus International PLC Sponsored ADR (a)		9,238		294,692
Microsoft Corp.		244,095		18,182,636
Oracle Corp.		75,057		3,629,006
Paychex, Inc.		64		3,837
Red Hat, Inc. (a)		3,261		361,514
salesforce.com, Inc. (a)		9,744		910,284


	Number of Shares		Value
Synopsys, Inc. (a)		15,900	$	1,280,427

				32,380,093

				85,191,166

Utilities — 2.3%
Electric — 2.0%
AES Corp.		95,287		1,050,063
Ameren Corp.		660		38,174
American Electric Power Co., Inc.		8,385		588,962
CenterPoint Energy, Inc.		50,431		1,473,090
CMS Energy Corp.		7,903		366,067
Consolidated Edison, Inc.		2,182		176,044
Dominion Energy, Inc.		1,716		132,012
DTE Energy Co.		19,480		2,091,373
Duke Energy Corp.		5,790		485,897
Edison International		8,226		634,800
Entergy Corp.		21,498		1,641,587
Eversource Energy		812		49,077
Exelon Corp.		22,140		834,014
FirstEnergy Corp.		2,880		88,790
NextEra Energy, Inc.		3,040		445,512
NRG Energy, Inc.		1,200		30,708
PG&E Corp.		13,916		947,541
Pinnacle West Capital Corp.		1,396		118,046
PPL Corp.		11,618		440,903
Public Service Enterprise Group, Inc.		17,624		815,110
SCANA Corp.		3,647		176,843
The Southern Co.		7,922		389,287
WEC Energy Group, Inc.		4,542		285,147
Xcel Energy, Inc.		5,472		258,935

				13,557,982

Gas — 0.3%
NiSource, Inc.		713		18,246
Sempra Energy		19,251		2,197,116

				2,215,362

				15,773,344


TOTAL COMMON STOCK (Cost $331,712,768)				471,591,773


PREFERRED STOCK — 0.1%
Financial — 0.1%
Insurance — 0.1%
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN		20,000		537,000


TOTAL PREFERRED STOCK (Cost $500,000)				537,000


TOTAL EQUITIES (Cost $332,212,768)				472,128,773


	Principal Amount		Value
BONDS & NOTES — 29.5%

CORPORATE DEBT — 10.5%
Advertising — 0.0%
WPP Finance 2010 5.625% 11/15/43	$	204,000	$	227,445

Aerospace & Defense — 0.0%
United Technologies Corp. 6.125% 7/15/38		80,000		102,830

Agriculture — 0.1%
Bunge Ltd. Finance Corp. 3.000% 9/25/22		165,000		165,189
Bunge Ltd. Finance Corp. 3.250% 8/15/26		165,000		158,993
Bunge Ltd. Finance Corp. 3.500% 11/24/20		160,000		164,686
Reynolds American, Inc. 5.850% 8/15/45		120,000		146,832

				635,700

Airlines — 0.2%
American Airlines Group, Inc. (b) 5.500% 10/01/19		879,000		920,752
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		35,060		36,094
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700% 4/01/28		90,072		93,000
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A 4.100% 10/01/29		316,120		331,926
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000% 10/11/27		115,406		122,070
WestJet Airlines Ltd. (b) 3.500% 6/16/21		117,000		119,036

				1,622,878

Auto Manufacturers — 0.3%
Ford Motor Co. 5.291% 12/08/46		80,000		83,472
Ford Motor Credit Co. LLC 4.375% 8/06/23		200,000		211,068
General Motors Co. 4.200% 10/01/27		215,000		218,133
General Motors Co. 5.150% 4/01/38		130,000		133,288
General Motors Financial Co., Inc. 3.150% 6/30/22		390,000		393,110
General Motors Financial Co., Inc. 3.200% 7/13/20		330,000		337,955
Hyundai Capital America (b) 2.550% 2/06/19		170,000		170,259


	Principal Amount		Value
Hyundai Capital America (b) 2.875% 8/09/18	$	135,000	$	135,702

				1,682,987

Auto Parts & Equipment — 0.0%
Lear Corp. 5.375% 3/15/24		85,000		90,560

Banks — 1.4%
Associated Banc-Corp. 2.750% 11/15/19		460,000		466,092
Associated Banc-Corp. 4.250% 1/15/25		494,000		507,496
Banco Santander SA 4.250% 4/11/27		200,000		207,574
Bancolombia SA 5.950% 6/03/21		205,000		226,566
Bank of America Corp. 4.183% 11/25/27		465,000		481,961
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN 4.244% 4/24/38		240,000		253,679
Bank of America Corp. 4.750% 4/21/45		220,000		242,149
Bank of America Corp. 6.110% 1/29/37		100,000		125,034
Bank of America Corp. 7.750% 5/14/38		95,000		139,571
The Bank of Nova Scotia 4.500% 12/16/25		200,000		210,766
Barclays PLC 4.337% 1/10/28		260,000		268,449
Citigroup, Inc. 3.875% 3/26/25		562,000		575,029
Citigroup, Inc. 8.125% 7/15/39		90,000		142,354
Credit Suisse Group AG (b) 4.282% 1/09/28		250,000		260,404
Credit Suisse Group Funding Guernsey Ltd. 3.800% 9/15/22		265,000		275,058
First Horizon National Corp. 3.500% 12/15/20		625,000		643,497
First Republic Bank 4.375% 8/01/46		685,000		680,780
Fulton Financial Corp. 3.600% 3/16/22		230,000		232,440
The Goldman Sachs Group, Inc. 5.950% 1/15/27		212,000		247,229
The Goldman Sachs Group, Inc. 6.250% 2/01/41		60,000		79,205
The Goldman Sachs Group, Inc. 6.750% 10/01/37		75,000		98,947
ICICI Bank Ltd. (b) 4.700% 2/21/18		395,000		398,886


	Principal Amount		Value
JP Morgan Chase & Co. 3.375% 5/01/23	$	140,000	$	142,917
JP Morgan Chase & Co. 3.625% 12/01/27		380,000		381,096
JP Morgan Chase & Co. 5.600% 7/15/41		195,000		241,740
Regions Bank 7.500% 5/15/18		130,000		134,494
SVB Financial Group 3.500% 1/29/25		460,000		460,788
SVB Financial Group 5.375% 9/15/20		75,000		81,432
Synchrony Bank 3.000% 6/15/22		275,000		274,320
Turkiye Garanti Bankasi AS (b) 4.750% 10/17/19		445,000		455,012
Valley National Bancorp 5.125% 9/27/23		245,000		263,589

				9,198,554

Beverages — 0.1%
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		575,000		649,501
Molson Coors Brewing Co. 4.200% 7/15/46		90,000		90,240

				739,741

Biotechnology — 0.1%
Amgen, Inc. 5.150% 11/15/41		115,000		131,522
Baxalta, Inc. 5.250% 6/23/45		140,000		161,348

				292,870

Building Materials — 0.2%
James Hardie International Finance Ltd. (b) 5.875% 2/15/23		375,000		393,750
Standard Industries, Inc. (b) 5.000% 2/15/27		471,000		491,017
Standard Industries, Inc. (b) 5.375% 11/15/24		246,000		261,449
Standard Industries, Inc. (b) 5.500% 2/15/23		178,000		188,458

				1,334,674

Chemicals — 0.2%
CF Industries, Inc. 3.450% 6/01/23		325,000		320,937
CF Industries, Inc. 6.875% 5/01/18		450,000		462,375
Incitec Pivot Finance LLC (b) 6.000% 12/10/19		110,000		117,909
LYB International Finance BV 5.250% 7/15/43		175,000		199,427


	Principal Amount		Value
Monsanto Co. 4.400% 7/15/44	$	100,000	$	102,465
RPM International, Inc. 3.750% 3/15/27		110,000		111,494
The Sherwin-Williams Co. 4.500% 6/01/47		105,000		110,192
The Sherwin-Williams Co. (b) 7.250% 6/15/19		125,000		135,827

				1,560,626

Commercial Services — 0.1%
The ADT Corp. 6.250% 10/15/21		440,000		488,895
ERAC USA Finance LLC (b) 6.700% 6/01/34		78,000		97,284

				586,179

Computers — 0.4%
Dell International LLC/ EMC Corp. (b) 3.480% 6/01/19		450,000		458,936
Dell International LLC/EMC Corp. (b) 4.420% 6/15/21		380,000		398,968
Dell International LLC/EMC Corp. (b) 6.020% 6/15/26		76,000		84,402
DXC Technology Co. 2.875% 3/27/20		90,000		91,200
DXC Technology Co. 4.250% 4/15/24		140,000		147,297
DXC Technology Co. 4.750% 4/15/27		275,000		294,145
Leidos Holdings, Inc. 4.450% 12/01/20		835,000		878,002

				2,352,950

Diversified Financial Services — 0.8%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		590,000		624,240
Affiliated Managers Group, Inc. 3.500% 8/01/25		290,000		292,420
Air Lease Corp. 3.000% 9/15/23		465,000		463,873
Ally Financial, Inc. 3.250% 11/05/18		485,000		489,321
Ally Financial, Inc. 4.750% 9/10/18		360,000		367,956
Ares Finance Co. LLC (b) 4.000% 10/08/24		355,000		340,760
Brookfield Finance LLC 4.000% 4/01/24		455,000		471,274
Discover Financial Services 4.100% 2/09/27		265,000		269,265
Genpact Luxembourg Sarl (b) 3.700% 4/01/22		360,000		364,161


	Principal Amount		Value
International Lease Finance Corp. 3.875% 4/15/18	$	270,000	$	272,993
International Lease Finance Corp. 6.250% 5/15/19		15,000		15,943
Lazard Group LLC 3.625% 3/01/27		184,000		182,512
Lazard Group LLC 4.250% 11/14/20		600,000		633,868
Legg Mason, Inc. 5.625% 1/15/44		175,000		189,925
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (b) 4.500% 3/15/27		170,000		179,037

				5,157,548

Electric — 0.6%
Duke Energy Corp. 3.750% 9/01/46		195,000		187,845
EDP Finance BV (b) 3.625% 7/15/24		420,000		423,448
Entergy Louisiana LLC 4.950% 1/15/45		165,000		169,702
Florida Power & Light Co. 4.950% 6/01/35		125,000		145,401
IPALCO Enterprises, Inc. 3.450% 7/15/20		615,000		621,150
IPALCO Enterprises, Inc. (b) 3.700% 9/01/24		170,000		170,416
Israel Electric Corp. Ltd. (b) 7.250% 1/15/19		200,000		211,790
Majapahit Holding BV (b) 7.750% 1/20/20		195,000		217,445
Nevada Power Co., Series N 6.650% 4/01/36		135,000		182,638
Oncor Electric Delivery Co. 7.500% 9/01/38		40,000		59,160
Pacific Gas & Electric Co. 5.800% 3/01/37		120,000		153,005
Pennsylvania Electric Co. (b) 4.150% 4/15/25		295,000		306,038
Progress Energy, Inc. 7.000% 10/30/31		25,000		33,724
Puget Energy, Inc. 3.650% 5/15/25		350,000		356,152
Puget Energy, Inc. 6.500% 12/15/20		271,000		302,761
Transelec SA (b) 4.625% 7/26/23		175,000		187,153
Tri-State Pass-Through Trust, Series 2003, Class A (b) 6.040% 1/31/18		16,620		16,843
Wisconsin Public Service Corp. 5.650% 11/01/17		225,000		225,673

				3,970,344


	Principal Amount		Value
Electronics — 0.2%
Arrow Electronics, Inc. 3.250% 9/08/24	$	155,000	$	153,256
Arrow Electronics, Inc. 3.500% 4/01/22		255,000		259,971
Arrow Electronics, Inc. 3.875% 1/12/28		145,000		144,690
Arrow Electronics, Inc. 4.500% 3/01/23		80,000		85,406
Avnet, Inc. 3.750% 12/01/21		30,000		30,650
Avnet, Inc. 4.875% 12/01/22		123,000		129,859
FLIR Systems, Inc. 3.125% 6/15/21		195,000		197,569
Ingram Micro, Inc. STEP 5.450% 12/15/24		203,000		208,357
Tech Data Corp. 3.700% 2/15/22		130,000		131,091

				1,340,849

Engineering & Construction — 0.1%
SBA Tower Trust (b) 3.156% 10/10/45		210,000		211,549
SBA Tower Trust (b) 2.877% 7/10/46		200,000		202,640
SBA Tower Trust (b) 3.168% 4/09/47		260,000		259,821

				674,010

Foods — 0.1%
Kraft Heinz Foods Co. 3.000% 6/01/26		315,000		301,736
Tyson Foods, Inc. 4.875% 8/15/34		105,000		115,987
The WhiteWave Foods Co. 5.375% 10/01/22		314,000		353,586

				771,309

Gas — 0.1%
NiSource Finance Corp. 5.800% 2/01/42		175,000		209,242
Spire, Inc. 4.700% 8/15/44		290,000		303,749

				512,991

Hand & Machine Tools — 0.0%
Kennametal, Inc. 2.650% 11/01/19		150,000		150,656

Health Care – Products — 0.2%
Abbott Laboratories 3.750% 11/30/26		125,000		128,263
Abbott Laboratories 4.900% 11/30/46		115,000		128,447


	Principal Amount		Value
Becton Dickinson & Co. 3.363% 6/06/24	$	240,000	$	242,239
Becton Dickinson & Co. 3.700% 6/06/27		295,000		298,271
Becton Dickinson & Co. 4.685% 12/15/44		225,000		237,843

				1,035,063

Health Care – Services — 0.1%
Humana, Inc. 3.950% 3/15/27		250,000		261,193
Humana, Inc. 4.800% 3/15/47		125,000		139,196
UnitedHealth Group, Inc. 3.950% 10/15/42		55,000		56,428
UnitedHealth Group, Inc. 6.875% 2/15/38		110,000		156,116

				612,933

Home Builders — 0.1%
Lennar Corp. 4.500% 11/15/19		516,000		532,770

Household Products — 0.0%
Church & Dwight Co., Inc. 3.150% 8/01/27		85,000		84,168

Insurance — 0.9%
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN 5.750% 8/15/53		345,000		378,638
American International Group, Inc. 4.500% 7/16/44		200,000		208,727
AmTrust Financial Services, Inc. 6.125% 8/15/23		495,000		489,555
Arch Capital Group US, Inc. 5.144% 11/01/43		170,000		189,282
Athene Global Funding (b) 3.000% 7/01/22		365,000		363,527
AXIS Specialty Finance PLC 2.650% 4/01/19		95,000		95,240
Brown & Brown, Inc. 4.200% 9/15/24		272,000		286,979
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN 3.554% 3/29/67		50,000		49,725
CNA Financial Corp. 3.450% 8/15/27		185,000		182,996
CNO Financial Group, Inc. 5.250% 5/30/25		465,000		496,388
Enstar Group Ltd. 4.500% 3/10/22		140,000		144,834
Five Corners Funding Trust (b) 4.419% 11/15/23		215,000		232,910
QBE Insurance Group Ltd. (b) 2.400% 5/01/18		115,000		115,125


	Principal Amount		Value
Reinsurance Group of America, Inc. 3.950% 9/15/26	$	360,000	$	364,579
Trinity Acquisition PLC 3.500% 9/15/21		270,000		275,692
Trinity Acquisition PLC 4.400% 3/15/26		70,000		74,216
Unum Group 3.000% 5/15/21		150,000		152,006
USF&G Capital I (b) 8.500% 12/15/45		150,000		211,673
Willis North America, Inc. 3.600% 5/15/24		155,000		158,561
Willis North America, Inc. 7.000% 9/29/19		97,000		105,602
Willis Towers Watson PLC 5.750% 3/15/21		230,000		252,744
XLIT Ltd. 4.450% 3/31/25		395,000		404,480
XLIT Ltd. 5.500% 3/31/45		100,000		105,165
XLIT Ltd. 5.750% 10/01/21		115,000		128,446
XLIT Ltd. 6.375% 11/15/24		325,000		380,379

				5,847,469

Internet — 0.1%
Amazon.com, Inc. (b) 4.050% 8/22/47		300,000		305,737
Expedia, Inc. 7.456% 8/15/18		425,000		445,336

				751,073

Investment Companies — 0.2%
Ares Capital Corp. 3.500% 2/10/23		510,000		504,312
Ares Capital Corp. 3.875% 1/15/20		505,000		517,787
FS Investment Corp. 4.000% 7/15/19		390,000		397,715

				1,419,814

Iron & Steel — 0.3%
ArcelorMittal 5.125% 6/01/20		320,000		341,600
ArcelorMittal STEP 5.750% 8/05/20		618,000		672,075
Reliance Steel & Aluminum Co. 4.500% 4/15/23		145,000		153,855
Vale Overseas Ltd. 5.875% 6/10/21		475,000		522,262
Vale Overseas Ltd. 6.875% 11/21/36		95,000		108,775

				1,798,567


	Principal Amount		Value
Machinery – Diversified — 0.1%
CNH Industrial Capital LLC 3.375% 7/15/19	$	230,000	$	233,450
CNH Industrial Capital LLC 3.625% 4/15/18		116,000		116,760
CNH Industrial Capital LLC 3.875% 10/15/21		500,000		513,812

				864,022

Media — 0.2%
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20		270,000		277,176
Charter Communications Operating LLC/Charter Communications Operating Capital 4.464% 7/23/22		151,000		159,762
Charter Communications Operating LLC/Charter Communications Operating Capital 6.484% 10/23/45		225,000		264,077
Comcast Corp. 3.400% 7/15/46		220,000		202,773
Discovery Communications LLC 2.950% 3/20/23		150,000		150,396
Discovery Communications LLC 5.000% 9/20/37		160,000		162,466
Time Warner Cable, Inc. 6.750% 6/15/39		110,000		131,982
Time Warner Cable, Inc. 8.250% 4/01/19		45,000		48,927
Time Warner Cable, Inc. 8.750% 2/14/19		65,000		70,606
Time Warner, Inc. 6.250% 3/29/41		25,000		29,949

				1,498,114

Mining — 0.1%
Glencore Funding LLC (b) 4.625% 4/29/24		355,000		376,034
Kinross Gold Corp. (b) 4.500% 7/15/27		166,000		167,453
Kinross Gold Corp. 5.125% 9/01/21		375,000		402,187

				945,674

Miscellaneous – Manufacturing — 0.0%
General Electric Co. 4.125% 10/09/42		270,000		285,783

Office Equipment/Supplies — 0.1%
Pitney Bowes, Inc. 3.625% 9/15/20		135,000		135,285
Pitney Bowes, Inc. STEP 3.625% 10/01/21		485,000		477,330


	Principal Amount		Value
Pitney Bowes, Inc. 4.750% 5/15/18	$	20,000	$	20,251

				632,866

Office Furnishings — 0.0%
Steelcase, Inc. 6.375% 2/15/21		100,000		110,436

Oil & Gas — 0.6%
Anadarko Petroleum Corp. 5.550% 3/15/26		165,000		184,279
Anadarko Petroleum Corp. 6.450% 9/15/36		250,000		295,749
Antero Resources Corp. 5.375% 11/01/21		475,000		487,469
Cenovus Energy, Inc. (b) 4.250% 4/15/27		300,000		297,445
Concho Resources, Inc. 3.750% 10/01/27		125,000		125,556
Encana Corp. 3.900% 11/15/21		205,000		211,252
Encana Corp. 6.500% 5/15/19		125,000		133,020
Encana Corp. 6.500% 2/01/38		80,000		94,694
EQT Corp. 2.500% 10/01/20		200,000		200,744
EQT Corp. 3.900% 10/01/27		265,000		265,047
Helmerich & Payne International Drilling Co. 4.650% 3/15/25		190,000		200,919
Marathon Petroleum Corp. 4.750% 9/15/44		100,000		99,482
Marathon Petroleum Corp. 6.500% 3/01/41		170,000		204,561
Nabors Industries, Inc. 5.500% 1/15/23		215,000		210,700
Newfield Exploration Co. 5.750% 1/30/22		200,000		213,500
PBF Holding Co. LLC/PBF Finance Corp. 7.000% 11/15/23		175,000		180,031
Petroleos Mexicanos 6.625% 6/15/38		37,000		39,275
Petroleos Mexicanos 3.125% 1/23/19		50,000		50,450
Petroleos Mexicanos 5.500% 1/21/21		285,000		304,095
Petroleos Mexicanos 6.375% 1/23/45		80,000		81,400
Petroleos Mexicanos (b) 6.500% 3/13/27		60,000		66,494
Phillips 66 5.875% 5/01/42		60,000		73,805


	Principal Amount		Value
QEP Resources, Inc. 6.875% 3/01/21	$	260,000	$	273,650

				4,293,617

Oil & Gas Services — 0.1%
National Oilwell Varco, Inc. 2.600% 12/01/22		199,000		193,176
National Oilwell Varco, Inc. 3.950% 12/01/42		216,000		182,237
Weatherford International Ltd. 6.000% 3/15/18		75,000		75,750

				451,163

Packaging & Containers — 0.1%
Amcor Finance USA, Inc. (b) 3.625% 4/28/26		490,000		486,287
Brambles USA, Inc. (b) 4.125% 10/23/25		134,000		139,497
Brambles USA, Inc. (b) 5.350% 4/01/20		90,000		95,971
Graphic Packaging International, Inc. 4.750% 4/15/21		100,000		105,780
Graphic Packaging International, Inc. 4.875% 11/15/22		60,000		63,900

				891,435

Pharmaceuticals — 0.2%
AbbVie, Inc. 4.700% 5/14/45		285,000		310,688
Allergan Funding SCS 4.550% 3/15/35		100,000		106,691
Allergan Funding SCS 4.750% 3/15/45		190,000		205,561
Express Scripts Holding Co. 4.500% 2/25/26		180,000		192,659
Johnson & Johnson 5.850% 7/15/38		40,000		53,510
McKesson Corp. 4.883% 3/15/44		60,000		66,596
McKesson Corp. 6.000% 3/01/41		125,000		156,272
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		95,000		94,409
Teva Pharmaceutical Finance Netherlands III BV 1.700% 7/19/19		100,000		98,555
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		220,000		211,817
Teva Pharmaceutical Finance Netherlands III BV 4.100% 10/01/46		75,000		63,177

				1,559,935


	Principal Amount		Value
Pipelines — 0.7%
Energy Transfer LP 4.200% 4/15/27	$	165,000	$	167,062
Energy Transfer LP 6.125% 12/15/45		75,000		82,369
Energy Transfer LP 6.500% 2/01/42		100,000		113,141
EnLink Midstream Partners LP 4.150% 6/01/25		125,000		126,009
EnLink Midstream Partners LP 4.850% 7/15/26		149,000		155,912
Enterprise Products Operating LLC 5.700% 2/15/42		5,000		5,962
Enterprise Products Operating LLC 5.950% 2/01/41		150,000		179,880
Enterprise Products Operating LLC 6.125% 10/15/39		4,000		4,849
Kinder Morgan Energy Partners LP 5.300% 9/15/20		475,000		512,214
Kinder Morgan Energy Partners LP 6.375% 3/01/41		65,000		74,939
Kinder Morgan Energy Partners LP 6.500% 2/01/37		120,000		135,638
Kinder Morgan Energy Partners LP 6.550% 9/15/40		90,000		102,801
Kinder Morgan Energy Partners LP 6.950% 1/15/38		10,000		12,129
Kinder Morgan Finance Co. LLC (b) 6.000% 1/15/18		150,000		151,667
Magellan Midstream Partners LP 5.150% 10/15/43		170,000		188,389
MPLX LP 4.125% 3/01/27		105,000		106,909
MPLX LP 4.875% 12/01/24		502,000		540,936
MPLX LP 4.875% 6/01/25		372,000		398,676
MPLX LP 5.200% 3/01/47		35,000		36,645
MPLX LP 5.500% 2/15/23		136,000		139,944
Plains All American Pipeline LP/PAA Finance Corp. 3.650% 6/01/22		191,000		192,010
Plains All American Pipeline LP/PAA Finance Corp. 4.500% 12/15/26		210,000		213,131
Sabine Pass Liquefaction LLC (b) 4.200% 3/15/28		240,000		241,935
Sunoco Logistics Partners Operations LP 4.000% 10/01/27		230,000		229,136
Sunoco Logistics Partners Operations LP 5.300% 4/01/44		75,000		74,532


	Principal Amount		Value
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 6.250% 10/15/22	$	260,000	$	276,575
Western Gas Partners LP 4.000% 7/01/22		481,000		496,996

				4,960,386

Real Estate Investment Trusts (REITS) — 0.3%
American Tower Corp. 4.400% 2/15/26		140,000		148,056
Brandywine Operating Partners LP 4.950% 4/15/18		200,000		202,696
Crown Castle International Corp. 3.200% 9/01/24		265,000		263,742
Crown Castle International Corp. 4.000% 3/01/27		120,000		122,708
Federal Realty Investment Trust 5.900% 4/01/20		55,000		59,909
Healthcare Trust of America Holdings LP 2.950% 7/01/22		105,000		105,693
Healthcare Trust of America Holdings LP 3.500% 8/01/26		200,000		195,715
Highwoods Realty LP 7.500% 4/15/18		265,000		272,856
Host Hotels & Resorts LP 3.750% 10/15/23		40,000		40,903
Host Hotels & Resorts LP 3.875% 4/01/24		245,000		250,398
Kimco Realty Corp. 3.300% 2/01/25		160,000		159,913
Mid-America Apartments LP 3.600% 6/01/27		155,000		155,645
UDR, Inc. 3.500% 7/01/27		220,000		219,098
Weingarten Realty Investors 3.250% 8/15/26		85,000		81,399

				2,278,731

Retail — 0.4%
CVS Health Corp. 6.125% 9/15/39		175,000		219,953
CVS Pass-Through Trust (b) 5.926% 1/10/34		276,542		315,808
Dollar Tree, Inc. 5.750% 3/01/23		470,000		495,850
El Puerto de Liverpool SAB de CV (b) 3.950% 10/02/24		445,000		452,231
The Home Depot, Inc. 5.950% 4/01/41		150,000		197,657
QVC, Inc. 3.125% 4/01/19		155,000		156,579
QVC, Inc. 4.375% 3/15/23		150,000		155,801


	Principal Amount		Value
QVC, Inc. 4.450% 2/15/25	$	245,000	$	248,512
QVC, Inc. 5.125% 7/02/22		30,000		32,074
Tiffany & Co. 4.900% 10/01/44		165,000		162,178

				2,436,643

Semiconductors — 0.0%
QUALCOMM, Inc. 4.300% 5/20/47		205,000		209,522

Software — 0.1%
Microsoft Corp. 4.450% 11/03/45		330,000		371,650
Oracle Corp. 4.000% 7/15/46		270,000		279,371

				651,021

Telecommunications — 0.5%
AT&T, Inc. 3.400% 8/14/24		330,000		330,514
AT&T, Inc. 3.800% 3/01/24		255,000		262,312
AT&T, Inc. 3.900% 8/14/27		305,000		305,594
AT&T, Inc. 4.750% 5/15/46		260,000		250,040
AT&T, Inc. 5.250% 3/01/37		190,000		199,952
CenturyLink, Inc. 6.150% 9/15/19		140,000		147,000
Cisco Systems, Inc. 5.500% 1/15/40		55,000		68,766
Crown Castle Towers LLC (b) 6.113% 1/15/40		170,000		181,643
Hughes Satellite Systems Corp. 6.500% 6/15/19		175,000		186,156
Sprint Communications, Inc. 9.250% 4/15/22		410,000		506,350
Telefonaktiebolaget LM Ericsson 4.125% 5/15/22		100,000		99,212
Verizon Communications, Inc. 4.125% 3/16/27		175,000		182,597
Verizon Communications, Inc. 4.862% 8/21/46		197,000		199,692
Verizon Communications, Inc. 5.150% 9/15/23		120,000		134,516
Verizon Communications, Inc. 6.550% 9/15/43		149,000		186,880

				3,241,224

Transportation — 0.1%
Asciano Finance Ltd. (b) 4.625% 9/23/20		105,000		109,628


	Principal Amount		Value
Asciano Finance Ltd. (b) 5.000% 4/07/18	$	250,000	$	253,509
Autoridad del Canal de Panama (b) 4.950% 7/29/35		210,000		233,100

				596,237

Trucking & Leasing — 0.0%
DAE Funding LLC (b) 4.000% 8/01/20		173,000		176,460


TOTAL CORPORATE DEBT (Cost $69,038,987)				71,170,827


MUNICIPAL OBLIGATIONS — 0.2%
JobsOhio Beverage System Series B 4.532% 1/01/35		325,000		348,091
Orange County Local Transportation Authority BAB 6.908% 2/15/41		230,000		324,790
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN (c) 2.735% 12/01/31		300,000		289,259
State of California BAB 7.550% 4/01/39		120,000		184,032
State of California BAB 7.600% 11/01/40		105,000		164,299

				1,310,471


TOTAL MUNICIPAL OBLIGATIONS (Cost $1,241,286)				1,310,471


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.3%
Automobile ABS — 0.3%
CPS Auto Trust, Series 2016-C, Class A (b) 1.620% 1/15/20		63,592		63,503
Drive Auto Receivables Trust, Series 2016-BA, Class B (b) 2.560% 6/15/20		136,322		136,567
First Investors Auto Owner Trust, Series 2016-2A, Class B (b) 2.210% 7/15/22		450,000		447,067
GLS Auto Receivables Trust, Series 2015-1A, Class A (b) 2.250% 12/15/20		23,911		23,894
Oscar US Funding Trust II, Series 2015-1A, Class A4 (b) 2.440% 6/15/22		350,000		347,691
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (b) 2.934% 7/15/20		115,046		115,332


	Principal Amount		Value
Oscar US Funding Trust V, Series 2016-2A, Class A4 (b) 2.990% 12/15/23	$	630,000	$	626,267
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (b) 3.300% 5/10/24		150,000		150,998
Santander Drive Auto Receivables Trust, Series 2015-4, Class C 2.970% 3/15/21		250,000		252,788

				2,164,107

Commercial MBS — 0.4%
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN (c) 6.509% 2/10/51		74,876		75,104
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN (c) 6.552% 2/10/51		215,000		216,385
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 5.700% 6/11/50		20,555		20,550
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (b) 3.703% 10/15/45		195,000		197,373
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class A5 3.961% 3/10/47		319,000		337,980
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (c) 4.396% 5/10/48		140,000		134,147
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (b) 4.238% 1/10/34		165,000		171,497
DBUBS Mortgage Trust, Series 2011-LC1A, Class B, VRN (b) (c) 5.471% 11/10/46		110,000		119,346
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (c) 5.959% 7/10/38		184,694		186,837
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (b) 4.948% 1/10/45		100,000		108,394
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN (c) 5.466% 6/12/47		87,049		86,943
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN (c) 5.856% 9/12/49		47,765		48,003


	Principal Amount		Value
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (b) (c) 5.200% 6/15/44	$	250,000	$	265,816
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (c) 5.475% 8/15/39		27,040		27,004
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN (c) 2.997% 10/25/46		279,091		280,457
VNO Mortgage Trust, Series 2013-PENN, Class A (b) 3.808% 12/13/29		240,000		250,332
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (c) 6.221% 2/15/51		144,276		144,839
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) 3.349% 11/15/43		23,934		24,331
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B 4.311% 8/15/45		190,000		198,073

				2,893,411

Home Equity ABS — 0.0%
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN 1.957% 3/25/35		120,375		120,473

Other ABS — 4.2%
321 Henderson Receivables I LLC, Series 2015-1A, Class A (b) 3.260% 9/15/72		52,051		48,878
321 Henderson Receivables LLC, Series 2005-1A, Class A1, 1 mo. USD LIBOR + .230%, FRN (b) 1.464% 11/15/40		83,523		79,483
Aames Mortgage Investment Trust, Series 2005-1, Class M4, 1 mo. USD LIBOR + 1.125%, FRN 2.362% 6/25/35		60,379		60,178
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN 2.962% 1/25/35		134,013		133,474
AIMCO CLO, Series 2014-AA, Class AR, 3 mo. USD LIBOR + 1.100%, FRN (b) 2.407% 7/20/26		250,000		249,998
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (b) 2.784% 10/15/28		410,000		414,244


	Principal Amount		Value
Alterna Funding II LLC, Series 2015-1A, Class A (b) 2.500% 2/15/24	$	110,629	$	110,353
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (b) 2.767% 10/20/28		250,000		250,952
Arbys Funding LLC, Series 2015-1A, Class A2 (b) 4.969% 10/30/45		314,400		324,531
ARL Second LLC, Series 2014-1A, Class A1 (b) 2.920% 6/15/44		597,932		594,602
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (b) 2.424% 1/18/25		250,000		250,656
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.762% 8/05/27		570,000		572,420
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (b) 2.564% 7/20/30		400,000		399,984
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (b) 2.484% 7/15/26		345,000		346,509
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (b) 2.513% 1/22/25		250,000		250,292
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (b) 2.734% 7/18/27		380,000		381,310
BlueVirgo Trust, Series 2015-1A, Class NOTE (b) 3.000% 12/15/22		254,075		255,147
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (b) 2.940% 5/25/29		184,294		183,876
Capital Automotive REIT, Series 2014-1A, Class A (b) 3.660% 10/15/44		160,000		161,676
Capital Automotive REIT, Series 2017-1A, Class A2 (b) 4.180% 4/15/47		139,417		140,761
Carlyle Global Market Strategies, Series 2014-4A, Class A1R, 3 mo. USD LIBOR + 1.200%, FRN (b) 2.504% 10/15/26		250,000		251,565


	Principal Amount		Value
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (b) 2.529% 8/14/30	$	750,000	$	749,992
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (b) 2.000% 12/10/23		49,275		49,060
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (b) 4.474% 3/20/43		155,719		156,554
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.697% 9/25/34		42,294		42,137
Cronos Containers Program I Ltd., Series 2014-2A, Class A (b) 3.270% 11/18/29		205,556		205,291
DB Master Finance LLC, Series 2015-1A, Class A2I (b) 3.262% 2/20/45		341,250		340,631
Diamond Resorts Owner Trust, Series 2013-2, Class A (b) 2.270% 5/20/26		342,421		341,201
Diamond Resorts Owner Trust, Series 2014-1, Class A (b) 2.540% 5/20/27		51,748		51,704
Diamond Resorts Owner Trust, Series 2016-1, Class A (b) 3.080% 11/20/28		520,953		516,456
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (b) 3.484% 10/25/45		503,625		505,889
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (b) 4.118% 7/25/47		110,000		110,651
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (b) 4.474% 10/25/45		533,250		549,650
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (b) 5.800% 7/15/24		15,513		15,587
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (b) 2.707% 2/19/45		69,103		67,944
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (b) 3.968% 3/19/46		189,728		194,342
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		95,738		96,434
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) 4.212% 10/15/42		382,807		384,201


	Principal Amount		Value
First Franklin Mortgage Loan Trust, Series 2004-FFH4, Class M6, 1 mo. USD LIBOR + 1.725%, FRN 2.962% 1/25/35	$	420,000	$	426,188
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 1.477% 1/25/36		1,157		1,157
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.757% 7/20/27		425,000		426,512
Global SC Finance II SRL, Series 2014-1A, Class A1 (b) 3.190% 7/17/29		170,833		167,330
Global SC Finance II SRL, Series 2013-2A, Class A (b) 3.670% 11/17/28		161,120		159,769
Global SC Funding One Ltd., Series 2015-1, Class B1 (b) 2.740% 1/18/30		6,231		6,227
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (b) 2.464% 4/25/25		558,293		558,289
Goodgreen Trust, Series 2016-1A, Class A (b) 3.230% 10/15/52		434,573		430,527
Goodgreen Trust, Series 2017-1A, Class A (b) 3.740% 10/15/52		194,928		198,543
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.882% 4/25/35		26,625		26,749
Helios Issuer LLC, Series 2017-1A, Class A (b) 4.940% 9/20/49		244,469		247,591
HERO Funding Trust, Series 2016-3A, Class A1 (b) 3.080% 9/20/42		265,743		264,654
HERO Funding Trust, Series 2016-4A, Class A1 (b) 3.570% 9/20/47		271,116		273,876
Hilton Grand Vacations Trust, Series 2013-A, Class A (b) 2.280% 1/25/26		48,603		48,428
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 1.407% 8/25/36		815		815
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (b) 3.870% 3/15/58		95,510		98,404


	Principal Amount		Value
KKR Financial CLO Ltd., Series 2018, Class A, 3 mo. USD LIBOR + 1.270%, FRN (b) 2.587% 7/18/30	$	1,000,000	$	999,993
Lendmark Funding Trust, Series 2017-1A, Class A (b) 2.830% 12/22/25		200,000		200,068
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN 2.032% 2/25/35		64,999		65,138
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 2.062% 6/25/35		106,915		106,287
Marlette Funding Trust, Series 2016-1A, Class A (b) 3.060% 1/17/23		154,344		154,862
Marlette Funding Trust, Series 2017-2A, Class B (b) 3.190% 7/15/24		140,000		140,038
Miramax LLC, Series 2014-1A, Class A2 (b) 3.340% 7/20/26		149,408		149,881
Mosaic Solar Loans LLC, Series 2017-1A, Class A (b) 4.450% 6/20/42		86,658		87,731
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (b) 1.558% 7/20/18		12,204		12,199
New Residential Advance Receivables Trust, Series 2016-T4, Class AT4 (b) 3.107% 12/15/50		450,000		445,013
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (b) 2.833% 10/16/51		1,650,000		1,633,487
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (b) 2.427% 4/20/25		329,431		330,119
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (b) 4.210% 5/17/20		130,000		129,442
Oportun Funding VI LLC, Series 2017-A, Class A (b) 3.230% 6/08/23		280,000		282,001
Orange Lake Timeshare Trust, Series 2014-AA, Class A (b) 2.290% 7/09/29		41,251		40,992
Orange Lake Timeshare Trust, Series 2016-A, Class B (b) 2.910% 3/08/29		186,282		183,189


	Principal Amount		Value
Oxford Finance Funding Trust, Series 2016-1A, Class A (b) 3.968% 6/17/24	$	220,000	$	222,135
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 1.497% 9/25/35		303		303
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (b) 2.656% 2/20/30		250,000		250,969
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (b) 3.080% 9/20/32		37,930		38,004
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (b) 3.050% 12/26/25		254,243		256,770
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (b) 3.060% 9/25/28		1,216,736		1,227,105
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (b) 3.090% 10/27/25		397,966		402,016
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (b) 3.260% 8/25/25		566,364		575,209
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (b) 3.280% 2/25/26		460,301		465,745
Spirit Master Funding LLC, Series 2014-4A, Class A1 (b) 3.501% 1/20/45		160,000		159,500
SpringCastle America Funding LLC, Series 2016-AA, Class A (b) 3.050% 4/25/29		212,660		214,110
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (b) 2.750% 11/15/49		670,000		670,341
Structured Receivables Finance LLC, Series 2010-B, Class A (b) 3.730% 8/15/36		95,006		95,107
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (b) 4.190% 1/15/71		347,562		349,298
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (b) 2.484% 10/17/26		430,000		431,620
Taco Bell Funding LLC, Series 2016-1A, Class A2I (b) 3.832% 5/25/46		386,100		393,218
TAL Advantage VI LLC, Series 2017-1A, Class A (b) 4.500% 4/20/42		394,293		408,819


	Principal Amount		Value
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (b) 2.784% 10/13/29	$	340,000	$	346,020
Textainer Marine Containers Ltd., Series 2017-2A, Class A (b) 3.520% 6/20/42		245,176		244,553
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (b) 2.677% 4/20/27		490,000		492,584
Trip Rail Master Funding LLC, Series 2017-1A, Class A2 (b) 3.736% 8/15/47		140,000		140,013
Triton Container Finance IV LLC, Series 2017-2A, Class A (b) 3.620% 8/20/42		853,454		858,488
Triton Container Finance VI LLC, Series 2017-1A, Class A (b) 3.520% 6/20/42		166,026		165,298
VSE VOI Mortgage LLC, Series 2016-A, Class A (b) 2.540% 7/20/33		311,841		309,704
Welk Resorts LLC, Series 2015-AA, Class A (b) 2.790% 6/16/31		127,410		125,949
Welk Resorts LLC, Series 2017-AA, Class B 3.410% 6/15/33		285,074		284,508
Wendys Funding LLC, Series 2015-1A, Class A2I (b) 3.371% 6/15/45		465,500		468,748
Wendys Funding LLC, Series 2015-1A, Class A2II (b) 4.080% 6/15/45		303,800		308,920
Wendys Funding LLC, Series 2015-1A, Class A23 (b) 4.497% 6/15/45		416,500		428,410

				28,467,576

Student Loans ABS — 3.3%
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (b) 2.337% 12/27/44		495,000		494,078
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN 1.699% 7/01/39		400,000		393,879
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 2.240% 7/01/38		147,573		138,025
CIT Education Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .210%, FRN 1.456% 6/15/43		524,283		485,077


	Principal Amount		Value
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN 1.115% 1/25/47	$	130,000	$	99,372
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (b) 2.890% 6/25/40		272,162		271,667
DRB Prime Student Loan Trust, Series 2016-R, Class A2 (b) 3.070% 10/25/44		792,166		794,938
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) 3.137% 10/27/31		50,058		51,150
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) 3.137% 10/25/44		792,166		794,938
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (b) 3.170% 7/25/31		174,258		176,778
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (b) 2.720% 1/25/41		296,278		295,944
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (b) 3.020% 5/25/34		209,461		210,346
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (b) 3.087% 10/27/36		459,288		459,288
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (b) 2.437% 12/27/66		425,224		425,599
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (b) 2.587% 7/26/66		562,506		562,859
EdLinc Student Loan Funding Trust, Series 2012-1, Class B, 1 mo. USD LIBOR + 4.240%, FRN (b) 5.477% 11/26/40		270,000		312,444
Goal Capital Funding Trust, Series 2006-1, Class B, 3 mo. USD LIBOR + .450%, FRN 1.767% 8/25/42		165,344		152,894
Goal Structured Solutions Trust, Series 2016-B, Class A2, Prime - 1.250%, FRN (b) 3.000% 8/25/51		500,000		504,264
KnowledgeWorks Foundation, Series 2010-1, Class A, 3 mo. USD LIBOR + .950%, FRN 2.267% 2/25/42		174,245		175,133


	Principal Amount		Value
Laurel Road Prime Student Loan Trust, Series 2017-B, Class BFX (b) 3.020% 8/25/42	$	190,000	$	189,375
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (b) 1.937% 2/25/70		486,510		482,347
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (b) 2.048% 7/26/66		520,000		519,997
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (b) 2.237% 9/27/66		700,000		699,996
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (b) 2.287% 7/26/66		300,000		302,387
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (b) 2.387% 7/26/66		750,000		764,413
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (b) 2.487% 6/25/65		474,964		484,490
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (b) 2.537% 3/25/66		2,150,000		2,217,486
Navient Student Loan Trust, Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.734% 6/25/48		220,000		192,272
Navient Student Loan Trust, Series 2014-8, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.737% 7/26/49		155,000		152,282
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.737% 10/25/58		150,000		139,626
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (b) 3.600% 12/26/40		211,112		210,602
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN 1.423% 3/23/37		311,421		304,145
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.546% 6/25/41		120,396		103,210


	Principal Amount		Value
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (b) 1.864% 1/25/37	$	189,412	$	188,026
Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 28 day ARS, FRN 2.231% 3/22/32		200,000		188,451
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (b) 2.734% 6/25/54		150,000		134,542
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + .800%, FRN 2.114% 7/25/36		250,000		246,835
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (b) 2.187% 11/25/65		531,845		532,802
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 1.474% 7/15/36		20,502		20,502
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN 1.754% 7/15/36		230,000		210,098
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN 1.604% 7/15/36		125,000		123,275
SLM Student Loan Trust, Series 2002-7, Class A10, 28 day ARS, FRN 0.500% 3/15/28		136,000		136,000
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN 0.500% 3/15/28		160,000		160,000
SLM Student Loan Trust, Series 2003-5, Class A9, 28 day ARS, FRN 0.500% 6/17/30		350,000		350,000
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 1.454% 10/25/28		330,000		328,368
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN 1.464% 4/25/40		184,894		169,407
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (b) 1.864% 10/25/64		750,000		734,073


	Principal Amount		Value
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN 2.064% 10/25/40	$	300,000	$	295,777
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 4.500% 6/17/30		50,000		50,000
SLM Student Loan Trust, Series 2002-7, Class B, 28 day ARS, FRN 4.716% 12/15/39		550,000		549,684
SMB Private Education Loan Trust, Series 2016-B, Class A2A (b) 2.430% 2/17/32		245,000		242,980
SMB Private Education Loan Trust, Series 2015-B, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (b) 2.434% 7/15/27		200,000		201,602
SMB Private Education Loan Trust, Series 2016-A, Class A2A (b) 2.700% 5/15/31		450,000		452,041
SMB Private Education Loan Trust, Series 2017-A, Class B (b) 3.500% 6/17/41		300,000		291,808
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $281,375) (b) (d) (e) 0.000% 3/25/33		100		220,000
SoFi Professional Loan Program LLC, Series 2017-D, Class R1 (Acquired 7/19/17, Cost $565,900) (b) (d) (e) 0.000% 9/25/40		1,000,000		565,900
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (b) 2.187% 1/25/39		117,127		118,347
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (b) 2.437% 6/25/33		291,022		294,042
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (b) 2.740% 10/25/32		300,000		299,166
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (b) (c) 3.440% 3/26/40		180,000		178,429
SoFi Professional Loan Program LLC, Series 2017-D, Class BFX (b) 3.610% 9/25/40		500,000		489,621
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN 2.237% 1/03/33		290,000		286,982


	Principal Amount		Value
South Carolina Student Loan Corp., Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050%, FRN 2.364% 10/27/36	$	170,000	$	171,414

				21,791,473

WL Collateral CMO — 0.1%
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (c) 3.456% 2/25/34		19,777		20,139
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (c) 3.887% 9/25/33		7,563		7,323
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (c) 3.708% 8/25/34		9,396		9,712
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (c) 3.151% 8/25/34		52,789		51,475
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (b) (c) 3.500% 1/25/47		524,330		528,124
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (c) 3.370% 2/25/34		5,453		5,338
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (c) 3.547% 7/25/33		3,611		3,716
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (c) 3.375% 2/25/34		239		255
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (c) 3.508% 3/25/34		31,174		32,180
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 2.289% 4/25/44		77,873		79,759

				738,021


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $55,820,489)				56,175,061


SOVEREIGN DEBT OBLIGATIONS — 0.3%
Colombia Government International Bond 6.125% 1/18/41		620,000		729,120
Mexico Government International Bond 6.750% 9/27/34		160,000		209,760


	Principal Amount		Value
Mexico Government International Bond 4.750% 3/08/44	$	724,000	$	746,082

				1,684,962


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,559,023)				1,684,962


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 7.4%
Collateralized Mortgage Obligations — 0.4%
Federal Home Loan Mortgage Corp. Series 4303, Class AP 3.000% 8/15/43		454,042		464,250
Series 4290, Class CA 3.500% 12/15/38		309,242		319,981
Series 2617, Class Z 5.500% 5/15/33		239,567		265,132
Series 2693, Class Z 5.500% 10/15/33		433,453		472,784
Series 3423, Class PB 5.500% 3/15/38		88,112		96,767
Federal National Mortgage Association Series 2014-7, Class VA 3.500% 5/25/25		217,924		227,974
Series 2014-48, Class AB 4.000% 10/25/40		419,109		439,380
Series 2007-32, Class Z 5.500% 4/25/37		137,214		150,785
Series 2010-60, Class HJ 5.500% 5/25/40		94,923		102,461
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA 5.500% 6/25/37		116,228		126,832

				2,666,346

Pass-Through Securities — 7.0%
Federal Home Loan Mortgage Corp. Pool #Q37467 3.500% 11/01/45		1,015,267		1,052,388
Pool #Q41916 3.500% 7/01/46		315,860		328,396
Pool #Q42045 3.500% 7/01/46		127,161		132,208
Pool #Q44275 3.500% 11/01/46		241,504		251,164
Pool #Q44277 3.500% 11/01/46		116,415		120,835
Pool #Q45741 3.500% 1/01/47		767,664		796,811
Pool #Q47742 4.000% 4/01/47		195,466		208,576


	Principal Amount		Value
Pool #Q47730 4.000% 4/01/47	$	244,459	$	260,855
Pool #C03537 4.500% 8/01/40		244,333		265,874
Pool #G06057 4.500% 10/01/40		174,490		188,756
Pool #G60485 4.500% 10/01/41		219,238		237,231
Pool #G60172 4.500% 9/01/43		226,458		246,565
Pool #Q48208 4.500% 5/01/47		122,356		131,576
Pool #Q48869 4.500% 6/01/47		936,104		1,005,763
Pool #G11431 6.000% 2/01/18		1		1
Pool #C55867 7.500% 2/01/30		51,813		59,256
Pool #C01079 7.500% 10/01/30		7,233		8,541
Pool #C01135 7.500% 2/01/31		21,004		24,745
Pool #C00470 8.000% 8/01/26		15,950		18,494
Pool #G00924 8.000% 3/01/28		16,064		18,642
Federal Home Loan Mortgage Corp. TBA Pool # 3376 3.500% 9/30/44 (f)		3,425,000		3,531,496
Pool #3735 4.000% 12/30/43 (f)		2,000,000		2,102,422
Federal National Mortgage Association Pool #888586 2.980% 10/01/34 1 year CMT + 2.207%, FRN		86,911		91,323
Pool #725692 3.041% 10/01/33 1 year CMT + 2.146%, FRN		57,918		60,986
Pool #AS1304 3.500% 12/01/28		297,833		311,572
Pool #AV1897 3.500% 12/01/28		45,682		47,832
Pool #AV2325 3.500% 12/01/28		168,052		175,805
Pool #AS6187 3.500% 11/01/45		2,377,118		2,463,846
Pool #AS6306 3.500% 12/01/45		812,375		843,283
Pool #AS6475 3.500% 1/01/46		648,856		673,847
Pool #AS6476 3.500% 1/01/46		698,387		724,958


	Principal Amount		Value
Pool #AS6477 3.500% 1/01/46	$	814,279	$	843,987
Pool #BH4875 3.500% 6/01/47		461,322		475,973
Pool #AZ7917 4.000% 3/01/41		81,474		86,398
Pool #AL8422 4.000% 1/01/43		77,759		82,434
Pool #MA3027 4.000% 6/01/47		4,249,170		4,479,056
Pool #BF0094 4.000% 5/01/56		1,100,194		1,167,022
Pool #BF0105 4.000% 6/01/56		279,488		296,465
Pool #AH6787 4.500% 3/01/41		189,155		206,090
Pool #CA0185 4.500% 8/01/47		498,820		536,855
Pool #AD6437 5.000% 6/01/40		102,081		113,414
Pool #AD6996 5.000% 7/01/40		694,961		763,751
Pool #AL8173 5.000% 2/01/44		272,692		299,003
Pool #564594 7.000% 1/01/31		10,605		12,232
Pool #572844 7.000% 4/01/31		23,658		27,680
Pool #253795 7.000% 5/01/31		61,277		71,401
Pool #499386 7.500% 9/01/29		1,394		1,640
Pool #521006 7.500% 12/01/29		649		762
Pool #522769 7.500% 12/01/29		66		78
Pool #252981 7.500% 1/01/30		8,212		9,645
Pool #524874 7.500% 2/01/30		65		65
Pool #531196 7.500% 2/01/30		988		1,164
Pool #524317 7.500% 3/01/30		1,079		1,277
Pool #530299 7.500% 3/01/30		265		304
Pool #530520 7.500% 3/01/30		11,457		13,381
Pool #253183 7.500% 4/01/30		3,381		3,972
Pool #253265 7.500% 5/01/30		2,026		2,353
Pool #526380 8.000% 5/01/30		5,920		7,089


	Principal Amount		Value
Pool #536949 8.000% 5/01/30	$	1,476	$	1,775
Pool #535351 8.000% 6/01/30		3,036		3,620
Pool #253481 8.000% 10/01/30		2,409		2,887
Pool #190317 8.000% 8/01/31		942		1,124
Pool #596656 8.000% 8/01/31		794		847
Pool #602008 8.000% 8/01/31		2,621		3,127
Federal National Mortgage Association TBA Pool #17115 3.500% 6/30/44 (f)		11,275,000		11,622,940
Government National Mortgage Association Pool #783896 3.500% 5/15/44		804,132		839,752
Pool #MA4510 3.500% 6/20/47		3,122,204		3,250,141
Pool #MA4586 3.500% 7/20/47		1,144,335		1,191,226
Pool #359587 7.000% 6/15/23		141		147
Pool #337539 7.000% 7/15/23		517		568
Pool #363066 7.000% 8/15/23		4,155		4,589
Pool #354674 7.000% 10/15/23		4,382		4,807
Pool #362651 7.000% 10/15/23		4,592		4,865
Pool #368814 7.000% 10/15/23		756		785
Pool #352021 7.000% 11/15/23		2,378		2,618
Government National Mortgage Association II Pool #82462 2.375% 1/20/40 1 year CMT + 1.500%, FRN		81,635		83,881
Pool #82488 2.375% 3/20/40 1 year CMT + 1.500%, FRN		111,263		114,277
Pool #784026 3.500% 12/20/44		224,114		233,998
Government National Mortgage Association II TBA Pool #1635 3.500% 3/02/45 (f)		2,125,000		2,209,170


	Principal Amount		Value
Pool #1367 4.000% 9/30/44 (f)	$	1,800,000	$	1,895,344

				47,360,026

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 2.687% 7/25/28		67,306		67,446


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $50,235,776)				50,093,818


U.S. TREASURY OBLIGATIONS — 2.8%
U.S. Treasury Bonds & Notes — 2.8%
U.S. Treasury Bond 2.500% 5/15/46		4,580,000		4,256,895
U.S. Treasury Bond (g) 3.500% 2/15/39		2,630,000		2,970,461
U.S. Treasury Note 1.250% 3/31/19		1,000,000		997,422
U.S. Treasury Note 1.875% 3/31/22		4,860,000		4,858,102
U.S. Treasury Note 2.000% 11/15/26		6,290,000		6,129,556

				19,212,436


TOTAL U.S. TREASURY OBLIGATIONS (Cost $19,208,809)				19,212,436


TOTAL BONDS & NOTES (Cost $197,104,370)				199,647,575


TOTAL PURCHASED OPTIONS(#) — 0.0% (Cost $344,051)				334,328


	Number of Shares

RIGHTS — 0.0%
Consumer, Cyclical — 0.0%
Retail — 0.0%
Safeway Casa Ley CVR (a) (d) (h)		18,800		18,988
Safeway PDC LLC CVR (a) (d) (h)		18,800		940

				19,928


TOTAL RIGHTS (Cost $19,608)				19,928


TOTAL LONG-TERM INVESTMENTS (Cost $529,680,797)				672,130,604


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 4.3%
Commercial Paper — 4.2%
Agrium, Inc. 1.492% 10/25/17	$	1,500,000	$	1,498,498
Amphenol Corp. (b) 1.527% 12/12/17		2,000,000		1,993,969
Anheuser-Busch Cos., Inc. (b) 1.450% 10/10/17		1,625,000		1,624,352
Dollar General Corp. (b) 1.399% 10/02/17		2,000,000		1,999,751
Enbridge (US), Inc. (b) 1.588% 12/14/17		1,400,000		1,395,647
Entergy Corp. (b) 1.349% 10/02/17		2,250,000		2,249,695
Leggett & Platt, Inc. (b) 1.504% 10/18/17		1,300,000		1,299,051
LyondellBasell Industries NV (b) 1.527% 10/10/17		900,000		899,605
Molex Electronic Technologies (b) 1.410% 10/17/17		1,300,000		1,299,102
Moodys Corp. (b) 1.578% 11/01/17		2,000,000		1,997,448
Sempra Energy Holdings (b) 1.463% 10/23/17		1,000,000		999,076
Spectra Energy Partners (b) 1.482% 10/25/17		1,800,000		1,798,197
Suncor Energy, Inc. (b) 1.547% 10/20/17		1,600,000		1,598,708
Telus Corp. (b) 1.599% 11/01/17		2,000,000		1,997,448
Whirlpool Corp. (b) 1.495% 12/18/17		2,000,000		1,993,409
WPP CP Finance PLC (b) 1.682% 11/01/17		2,000,000		1,997,448
Xcel Energy, Inc. (b) 1.633% 10/30/17		1,500,000		1,498,203

				28,139,607

Repurchase Agreement — 0.1%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (i)		355,241		355,241

Time Deposit — 0.0%
Euro Time Deposit 0.120% 10/02/17		66,227		66,227


TOTAL SHORT-TERM INVESTMENTS (Cost $28,560,111)				28,561,075


TOTAL INVESTMENTS — 103.8% (Cost $558,240,908) (j)				700,691,679

Other Assets/(Liabilities) — (3.8)%				(25,905,730	)


NET ASSETS — 100.0%			$	674,785,949

Abbreviation Legend

ABS	Asset-Backed Security

ADR	American Depositary Receipt

ARS	Auction Rate Security

BAB	Build America Bonds

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

CVR	Contingent Value Rights

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

MTA	Monthly Treasury Average Index

STEP	Step Up Bond

TBA	To Be Announced

VRN	Variable Rate Note

WL	Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(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 September 30, 2017, these securities amounted to a value of $86,763,900 or 12.86% of net assets.

(c)

Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. The rates shown are the current interest rates at September 30, 2017.

(d)	Investment was valued using significant unobservable inputs.

(e)	Restricted security. Certain securities are restricted as to resale. At September 30, 2017, these securities amounted to a value of $785,900 or 0.12% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

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

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

(h)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $19,928 or 0.00% of net assets.

(i)	Maturity value of $355,243. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 1/31/21, and an aggregate market value, including accrued interest, of $366,256.

(j)	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%
Amplify Energy Corp. (a)		1,695	$	17,375
SandRidge Energy, Inc. (a)		648		13,018

				30,393


TOTAL COMMON STOCK (Cost $42,110)				30,393


TOTAL EQUITIES (Cost $42,110)				30,393


	Principal Amount
BONDS & NOTES — 92.7%

CORPORATE DEBT — 24.9%
Advertising — 0.1%
Omnicom Group, Inc. 3.600% 4/15/26	$	570,000		574,616

Aerospace & Defense — 0.3%
The Boeing Co. 6.875% 3/15/39		405,000		587,204
Lockheed Martin Corp. 4.700% 5/15/46		440,000		492,154
Triumph Group, Inc. (b) 7.750% 8/15/25		165,000		173,662

				1,253,020

Agriculture — 0.1%
BAT Capital Corp. FRN (b) 2.195% 8/15/22		105,000		105,343
Reynolds American, Inc. 4.000% 6/12/22		545,000		575,744

				681,087

Airlines — 0.2%
Delta Air Lines, Inc. 3.625% 3/15/22		275,000		282,645
Guanay Finance Ltd. (c) 6.000% 12/15/20		514,151		527,004
United Continental Holdings, Inc. 4.250% 10/01/22		75,000		75,563

				885,212

Auto Manufacturers — 0.4%
Ford Motor Co. 7.450% 7/16/31		440,000		569,843
General Motors Co. 3 mo. USD LIBOR + .800%, FRN 2.112% 8/07/20		210,000		210,190


	Principal Amount		Value
General Motors Financial Co., Inc. 3.950% 4/13/24	$	845,000	$	865,452

				1,645,485

Auto Parts & Equipment — 0.1%
Dana Financing Luxembourg Sarl (b) 5.750% 4/15/25		210,000		221,419
Delphi Jersey Holdings PLC (b) 5.000% 10/01/25		315,000		320,512

				541,931

Banks — 3.9%
Australia & New Zealand Banking Group Ltd. (b) 4.875% 1/12/21		540,000		583,707
Banco de Costa Rica (c) 5.250% 8/12/18		200,000		203,120
Banco De Credito del Per (c) 5.375% 9/16/20		200,000		218,000
Banco de Credito del Peru (c) 2.250% 10/25/19		500,000		501,125
Banco de Credito e Inversiones (c) 4.000% 2/11/23		200,000		212,143
Banco de Reservas de la Republica Dominicana (b) 7.000% 2/01/23		200,000		210,000
Banco Del Estado Chile (c) 4.125% 10/07/20		200,000		210,875
Banco del Estado de Chile (c) 3.875% 2/08/22		150,000		158,664
Banco Internacional del Peru SAA (c) 5.750% 10/07/20		500,000		549,050
Banco Latinoamericano de Comercio Exterior SA (c) 3.250% 5/07/20		150,000		153,375
Banco Santander Chile (c) 3.875% 9/20/22		150,000		157,577
Banistmo SA (b) 3.650% 9/19/22		200,000		199,700
Bank of America Corp. 2.503% 10/21/22		425,000		420,997
Bank of America Corp. 3 mo. USD LIBOR + 1.021%, VRN 2.881% 4/24/23		425,000		426,842
BDO Unibank, Inc. (c) 2.625% 10/24/21		150,000		149,432
Citigroup, Inc. 3 mo. USD LIBOR + 1.100%, FRN 2.414% 5/17/24		865,000		866,914
Commonwealth Bank of Australia (b) 2.750% 3/10/22		835,000		842,748
Credit Suisse Group AG FRN (b) (d) 2.519% 12/14/23		595,000		598,916


	Principal Amount		Value
DBS Group Holdings Ltd. 3 mo. USD LIBOR + 62.000%, FRN (c) 1.934% 7/25/22	$	200,000	$	200,624
DBS Group Holdings Ltd. 3 mo. USD LIBOR + .620%, FRN (b) 1.934% 7/25/22		700,000		702,184
Global Bank Corp. (c) 5.125% 10/30/19		700,000		731,150
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + 1.053%, VRN 2.908% 6/05/23		425,000		425,337
The Goldman Sachs Group, Inc. 3.000% 4/26/22		140,000		141,618
Industrial Senior Trust (c) 5.500% 11/01/22		500,000		506,750
Itau CorpBanca (c) 3.875% 9/22/19		600,000		619,378
JP Morgan Chase & Co. 2.972% 1/15/23		555,000		563,619
JP Morgan Chase & Co. 4.250% 10/01/27		545,000		574,744
Malayan Banking Bhd 5 year USD Swap + 2.542%, VRN (c) 3.905% 10/29/26		200,000		205,484
Mizuho Financial Group, Inc. FRN (d) 2.197% 9/11/22		400,000		401,119
Morgan Stanley 2.750% 5/19/22		570,000		573,154
Morgan Stanley 3 mo. USD LIBOR + 1.340%, VRN 3.591% 7/22/28		585,000		587,180
MUFG Americas Holdings Corp. 1.625% 2/09/18		285,000		284,995
Oversea-Chinese Banking Corp. Ltd. 5 year USD Swap + 2.203%, VRN (c) 4.000% 10/15/24		400,000		410,393
Royal Bank of Scotland Group PLC 3 mo. USD LIBOR + 1.480%, VRN 3.498% 5/15/23		860,000		865,279
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		420,000		413,346
Sumitomo Mitsui Financial Group, Inc. 2.934% 3/09/21		445,000		452,304
United Overseas Bank Ltd. VRN (c) (d) 3.500% 9/16/26		200,000		203,400
United Overseas Bank Ltd. 5 year USD Swap + 1.995%, VRN (c) 3.750% 9/19/24		200,000		204,003
Wells Fargo & Co. 3.069% 1/24/23		555,000		564,508
Wells Fargo & Co. 3 mo. USD LIBOR + 1.310%, VRN 3.584% 5/22/28		580,000		587,044


	Principal Amount		Value
Westpac Banking Corp. 2.000% 8/19/21	$	70,000	$	69,110
Westpac Banking Corp. 2.500% 6/28/22		55,000		54,974
Westpac Banking Corp. 2.600% 11/23/20		480,000		486,528

				17,491,410

Beverages — 0.2%
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		250,000		282,392
Embotelladora Andina SA (c) 5.000% 10/01/23		400,000		440,834

				723,226

Building Materials — 0.1%
CIMPOR Financial Operations BV (c) 5.750% 7/17/24		400,000		376,500

Chemicals — 0.3%
Ashland LLC STEP 4.750% 8/15/22		300,000		316,875
Grupo Idesa SA de CV (c) 7.875% 12/18/20		850,000		845,750
Hexion, Inc. (b) 10.375% 2/01/22		320,000		307,200

				1,469,825

Coal — 0.1%
Peabody Energy Corp. (b) 6.000% 3/31/22		225,000		232,312

Commercial Services — 0.1%
Prime Security Services Borrower LLC / Prime Finance, Inc. (b) 9.250% 5/15/23		275,000		303,479
S&P Global, Inc. 4.400% 2/15/26		285,000		307,083

				610,562

Computers — 0.0%
Riverbed Technology, Inc. (b) 8.875% 3/01/23		165,000		157,163

Cosmetics & Personal Care — 0.1%
Unilever Capital Corp. 2.900% 5/05/27		475,000		469,217

Distribution & Wholesale — 0.1%
Avantor, Inc. (b) (e) 6.000% 10/01/24		155,000		158,875
Avantor, Inc. (b) (e) 9.000% 10/01/25		155,000		158,585

				317,460

Diversified Financial Services — 1.5%
Air Lease Corp. 3.750% 2/01/22		585,000		610,029


	Principal Amount		Value
Ally Financial, Inc. 4.125% 3/30/20	$	555,000	$	571,650
Ally Financial, Inc. 4.250% 4/15/21		30,000		31,050
American Express Co. 2.500% 8/01/22		465,000		464,468
American Express Credit Corp. 2.250% 5/05/21		200,000		199,708
American Express Credit Corp. 2.700% 3/03/22		520,000		526,186
ASP AMC Merger Sub, Inc. (b) 8.000% 5/15/25		320,000		308,000
Discover Financial Services 4.100% 2/09/27		720,000		731,588
Interoceanica IV Finance Ltd. (c) 0.000% 11/30/25		1,046,920		882,030
National Rural Utilities Cooperative Finance Corp. 2.000% 1/27/20		360,000		360,599
NFP Corp. (b) 6.875% 7/15/25		220,000		223,300
SPARC EM SPC Panama Metro Line 2 SP (c) 0.000% 12/05/22		200,000		182,300
SPARC EM SPC Panama Metro Line 2 SP (b) 0.010% 12/05/22		700,000		638,050
Synchrony Financial 3.000% 8/15/19		555,000		564,072
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (b) 6.750% 6/01/25		220,000		222,200

				6,515,230

Electric — 2.4%
AES Andres BV / Dominican Power Partners/Empresa Generadora de Electricidad It (b) 7.950% 5/11/26		500,000		541,000
American Electric Power Co., Inc. 2.950% 12/15/22		313,000		317,691
Berkshire Hathaway Energy Co. 6.500% 9/15/37		699,000		934,051
Colbun SA (c) 6.000% 1/21/20		200,000		216,873
DTE Energy Co. 3.800% 3/15/27		500,000		514,604
Duke Energy Corp. 3.750% 9/01/46		215,000		207,111
Duke Energy Corp. 3.950% 8/15/47		240,000		237,909
Duke Energy Florida LLC 3.200% 1/15/27		1,000,000		1,011,163


	Principal Amount		Value
Duke Energy Progress, Inc. 4.150% 12/01/44	$	470,000	$	501,308
Engie Energia Chile SA (c) 5.625% 1/15/21		100,000		109,301
Eversource Energy 2.750% 3/15/22		1,000,000		1,011,116
Exelon Corp. 3.400% 4/15/26		1,040,000		1,045,772
Fortis, Inc. 2.100% 10/04/21		580,000		569,469
NextEra Energy Capital Holdings, Inc. 3.550% 5/01/27		280,000		287,793
NextEra Energy Operating Partners LP (b) 4.500% 9/15/27		310,000		315,812
NRG Energy, Inc. 7.250% 5/15/26		105,000		112,613
Sierra Pacific Power Co. 2.600% 5/01/26		1,000,000		965,951
The Southern Co. 1.850% 7/01/19		15,000		14,992
The Southern Co. 2.450% 9/01/18		820,000		825,727
Xcel Energy, Inc. 3.300% 6/01/25		1,000,000		1,015,474

				10,755,730

Electronics — 0.1%
Arrow Electronics, Inc. 3.875% 1/12/28		290,000		289,381

Engineering & Construction — 0.5%
Aeropuerto Internacional de Tocumen SA 5.750% 10/09/23		796,308		873,948
Aeropuertos Argentina SA (b) 6.875% 2/01/27		150,000		159,900
Mexico City Airport Trust (b) 4.250% 10/31/26		700,000		719,250
Sydney Airport Finance Co. Pty Ltd. (b) 3.375% 4/30/25		300,000		299,239
Sydney Airport Finance Co. Pty Ltd. (b) 3.625% 4/28/26		300,000		303,257

				2,355,594

Entertainment — 0.3%
Eldorado Resorts, Inc. 6.000% 4/01/25		315,000		330,750
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26		205,000		223,706
Pinnacle Entertainment, Inc. 5.625% 5/01/24		375,000		383,438
Six Flags Entertainment Corp. (b) 4.875% 7/31/24		220,000		223,850

				1,161,744


	Principal Amount		Value
Environmental Controls — 0.1%
Waste Management, Inc. 4.100% 3/01/45	$	410,000	$	433,182

Foods — 0.9%
Cosan Overseas Ltd. (c) 8.250% 11/29/49		500,000		508,750
JBS USA LLC / JBS USA Finance, Inc. (b) 7.250% 6/01/21		255,000		260,100
JBS USA LUX SA / JBS USA Finance, Inc. (b) 7.250% 6/01/21		50,000		51,000
Kraft Heinz Foods Co. 2.000% 7/02/18		235,000		235,483
Kraft Heinz Foods Co. 2.800% 7/02/20		335,000		341,052
The Kroger Co. 3.400% 4/15/22		670,000		688,797
MARB BondCo PLC (b) 7.000% 3/15/24		300,000		295,500
Marfrig Holdings Europe BV (b) 8.000% 6/08/23		200,000		206,890
Pilgrim’s Pride Corp. (b) 5.750% 3/15/25		210,000		216,825
Post Holdings, Inc. (b) 5.500% 3/01/25		305,000		316,438
Smithfield Foods, Inc. (b) 4.250% 2/01/27		550,000		568,584
Sysco Corp. 3.250% 7/15/27		580,000		578,195

				4,267,614

Forest Products & Paper — 0.3%
Celulosa Arauco y Constitucion SA 5.000% 1/21/21		100,000		106,633
Georgia-Pacific LLC (b) 3.600% 3/01/25		1,125,000		1,162,541
International Paper Co. 3.000% 2/15/27		295,000		286,576

				1,555,750

Gas — 0.3%
National Gas Co., of Trinidad & Tobago Ltd. (c) 6.050% 1/15/36		100,000		103,250
NGL Energy Partners LP / NGL Energy Finance Corp. 7.500% 11/01/23		220,000		218,900
Transportadora de Gas del Peru SA (c) 4.250% 4/30/28		800,000		828,000

				1,150,150

Health Care – Products — 0.4%
Becton Dickinson and Co. 2.894% 6/06/22		860,000		862,798


	Principal Amount		Value
Universal Hospital Services, Inc. 7.625% 8/15/20	$	210,000	$	212,625
Zimmer Biomet Holdings, Inc. 2.700% 4/01/20		570,000		575,689

				1,651,112

Health Care – Services — 0.3%
Anthem, Inc. 2.300% 7/15/18		560,000		562,423
Centene Corp. 4.750% 1/15/25		260,000		269,750
CHS/Community Health Systems, Inc. 6.250% 3/31/23		210,000		206,325
MPH Acquisition Holdings LLC (b) 7.125% 6/01/24		290,000		311,750
Tenet Healthcare Corp. 8.125% 4/01/22		210,000		213,675

				1,563,923

Holding Companies-Diversified — 0.2%
CK Hutchison International 17 Ltd. (b) 2.250% 9/29/20		200,000		199,279
CK Hutchison International 17 Ltd. (c) 2.875% 4/05/22		200,000		201,162
CK Hutchison International Ltd. (b) 3.500% 4/05/27		200,000		202,407
Hutchison Whampoa Ltd. (c) 3.250% 11/08/22		300,000		306,840

				909,688

Household Products & Wares — 0.1%
Kronos Acquisition Holdings, Inc. (b) 9.000% 8/15/23		320,000		312,000

Insurance — 0.8%
Alliant Holdings Intermediate LLC / Alliant Holdings Co-Issuer (b) 8.250% 8/01/23		270,000		285,468
AssuredPartners, Inc. (b) 7.000% 8/15/25		305,000		312,244
Athene Global Funding (b) 3.000% 7/01/22		580,000		577,659
Brighthouse Financial, Inc. (b) 3.700% 6/22/27		575,000		564,578
Liberty Mutual Group, Inc. (b) 6.500% 5/01/42		730,000		951,692
New York Life Global Funding (b) 2.300% 6/10/22		210,000		209,208
New York Life Global Funding (b) 2.900% 1/17/24		355,000		359,455
Nuveen Finance LLC (b) 2.950% 11/01/19		540,000		548,984

				3,809,288


	Principal Amount		Value
Internet — 0.4%
Amazon.com, Inc. (b) 4.050% 8/22/47	$	585,000	$	596,186
eBay, Inc. 2.750% 1/30/23		575,000		573,189
Expedia, Inc. (b) 3.800% 2/15/28		595,000		589,746

				1,759,121

Investment Companies — 0.2%
Temasek Financial I Ltd. (c) 2.375% 1/23/23		750,000		749,074

Iron & Steel — 0.1%
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. (b) 6.375% 5/01/22		200,000		207,500
Vale Overseas Ltd. 5.875% 6/10/21		380,000		417,810

				625,310

Leisure Time — 0.1%
Constellation Merger Sub, Inc. (b) 8.500% 9/15/25		110,000		108,075
Viking Cruises Ltd. (b) 5.875% 9/15/27		300,000		301,035

				409,110

Lodging — 0.3%
Crc Escrow Issuer LLC Co. (b) (e) 5.250% 10/15/25		320,000		323,600
Gohl Capital Ltd. (c) 4.250% 1/24/27		600,000		618,619
Hilton Domestic Operating Co., Inc. 4.250% 9/01/24		215,000		219,300

				1,161,519

Machinery – Construction & Mining — 0.0%
BlueLine Rental Finance Corp./BlueLine Rental LLC (b) 9.250% 3/15/24		205,000		220,631

Media — 0.4%
CCO Holdings LLC / CCO Holdings Capital Corp. (b) 5.000% 2/01/28		185,000		184,362
Cengage Learning, Inc. (b) 9.500% 6/15/24		265,000		230,550
Charter Communications Operating LLC/Charter Communications Operating Capital 4.908% 7/23/25		520,000		555,888
Comcast Corp. 4.400% 8/15/35		525,000		569,199


	Principal Amount		Value
Globo Comunicacao e Participacoes SA (b) 5.125% 3/31/27	$	200,000	$	201,750

				1,741,749

Oil & Gas — 2.4%
Bharat Petroleum Corp. Ltd. (c) 4.625% 10/25/22		200,000		214,020
BPRL International Singapore Pte Ltd. (c) 4.375% 1/18/27		500,000		519,756
Canadian Natural Resources Ltd. 2.950% 1/15/23		860,000		854,969
CNOOC Finance Ltd. (c) 4.250% 1/26/21		200,000		210,352
CNOOC Finance USA LLC 3.500% 5/05/25		600,000		609,158
CNPC HK Overseas Capital Ltd. (c) 4.500% 4/28/21		700,000		743,906
EQT Corp. 3.900% 10/01/27		575,000		575,101
Indian Oil Corp. Ltd. (c) 5.750% 8/01/23		600,000		677,638
MEG Energy Corp. (b) 7.000% 3/31/24		135,000		115,763
Noble Holding International Ltd. 7.750% 1/15/24		25,000		22,188
ONGC Videsh Vankorneft Pte Ltd. (c) 3.750% 7/27/26		850,000		848,307
Petrobras Global Finance BV 7.250% 3/17/44		650,000		676,812
Petrobras Global Finance BV 7.375% 1/17/27		200,000		220,200
Petroleos Mexicanos 6.750% 9/21/47		290,000		308,531
Petronas Capital Ltd. (c) 3.500% 3/18/25		800,000		824,422
Phillips 66 5.875% 5/01/42		235,000		289,069
Reliance Holding USA, Inc. (c) 5.400% 2/14/22		600,000		659,279
Sanchez Energy Corp. 6.125% 1/15/23		385,000		329,175
Seven Generations Energy Ltd. (b) 5.375% 9/30/25		170,000		171,275
Shell International Finance BV 1.375% 5/10/19		560,000		557,997
Sinopec Group Overseas Development Ltd. (c) 2.750% 9/29/26		900,000		858,008
SM Energy Co. 5.000% 1/15/24		235,000		221,487


	Principal Amount		Value
Valero Energy Corp 6.625% 6/15/37	$	235,000	$	296,507

				10,803,920

Oil & Gas Services — 0.1%
FTS International, Inc. 6.250% 5/01/22		167,000		152,805
Schlumberger Holdings Corp. (b) 2.350% 12/21/18		270,000		271,548

				424,353

Packaging & Containers — 0.1%
Flex Acquisition Co., Inc. (b) 6.875% 1/15/25		205,000		212,816
Multi-Color Corp. (b) (e) 4.875% 11/01/25		15,000		15,164

				227,980

Pharmaceuticals — 0.9%
AbbVie, Inc. 4.700% 5/14/45		550,000		599,574
Allergan Funding SCS 2.350% 3/12/18		551,000		552,605
AstraZeneca PLC 2.375% 11/16/20		275,000		276,434
AstraZeneca PLC 2.375% 6/12/22		290,000		287,533
Cardinal Health, Inc. 4.368% 6/15/47		560,000		573,400
Express Scripts Holding Co. 3.400% 3/01/27		440,000		433,768
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		580,000		576,391
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22		260,000		252,546
Teva Pharmaceutical Finance Netherlands III BV 2.800% 7/21/23		475,000		453,051

				4,005,302

Pipelines — 0.8%
Cheniere Energy Partners LP (b) 5.250% 10/01/25		310,000		316,975
Enable Midstream Partners LP 4.400% 3/15/27		565,000		574,668
Energy Transfer LP 4.200% 4/15/27		145,000		146,813
Energy Transfer LP 4.750% 1/15/26		470,000		494,757
Fermaca Enterprises S de RL de CV (b) 6.375% 3/30/38		235,504		258,465
Kinder Morgan Energy Partners LP 6.950% 1/15/38		470,000		570,081


	Principal Amount		Value
Sunoco Logistics Partners Operations LP 3.900% 7/15/26	$	750,000	$	744,053
Williams Partners LP 3.750% 6/15/27		290,000		289,580

				3,395,392

Private Equity — 0.0%
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 6.250% 2/01/22		205,000		213,713

Real Estate Investment Trusts (REITS) — 1.0%
American Tower Corp. 3.550% 7/15/27		575,000		571,309
American Tower Corp. 4.400% 2/15/26		950,000		1,004,668
Boston Properties LP 4.125% 5/15/21		520,000		549,859
Crown Castle International Corp 3.700% 6/15/26		700,000		704,800
Crown Castle International Corp. 3.650% 9/01/27		575,000		574,684
Crown Castle International Corp. 4.000% 3/01/27		225,000		230,077
Digital Realty Trust LP 3.700% 8/15/27		250,000		252,346
ESH Hospitality, Inc. (b) 5.250% 5/01/25		215,000		222,256
MPT Operating Partnership LP / MPT Finance Corp. 5.000% 10/15/27		310,000		317,750
SBA Communications Corp. (b) (e) 4.000% 10/01/22		120,000		120,600

				4,548,349

Retail — 0.3%
1011778 BC ULC/New Red Finance, Inc. (b) (e) 5.000% 10/15/25		75,000		75,930
1011778 BC ULC/New Red Finance, Inc. (b) 4.250% 5/15/24		310,000		311,085
The Home Depot, Inc. 3.000% 4/01/26		565,000		566,971
Lowe’s Cos., Inc. 3.100% 5/03/27		285,000		283,390
PetSmart, Inc. (b) 5.875% 6/01/25		115,000		100,338
PetSmart, Inc. (b) 7.125% 3/15/23		200,000		155,960

				1,493,674

Semiconductors — 0.2%
Applied Materials, Inc. 4.350% 4/01/47		280,000		299,630


	Principal Amount		Value
Broadcom Corp./Broadcom Cayman Finance Ltd. (b) 3.625% 1/15/24	$	275,000	$	282,529
Maxim Integrated Products, Inc. 3.450% 6/15/27		285,000		286,718

				868,877

Software — 0.7%
Camelot Finance SA (b) 7.875% 10/15/24		200,000		215,500
Fidelity National Information Services, Inc. 3.625% 10/15/20		415,000		432,147
Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho (b) 10.000% 11/30/24		195,000		220,350
Informatica LLC (b) 7.125% 7/15/23		215,000		216,075
Microsoft Corp. 4.450% 11/03/45		520,000		585,630
Oracle Corp. 4.125% 5/15/45		445,000		464,306
Solera LLC/ Solera Finance, Inc. (b) 10.500% 3/01/24		85,000		96,768
Sophia LP/Sophia Finance, Inc. (b) 9.000% 9/30/23		210,000		217,613
VMware, Inc. 2.950% 8/21/22		700,000		704,181

				3,152,570

Telecommunications — 1.5%
America Movil SAB de CV 5.000% 3/30/20		100,000		106,964
AT&T, Inc. 3.800% 3/01/24		550,000		565,772
Axiata SPV2 Bhd (c) 3.466% 11/19/20		900,000		922,307
Bharti Airtel International Netherlands BV (c) 5.125% 3/11/23		200,000		210,885
Bharti Airtel Ltd. (c) 4.375% 6/10/25		500,000		506,490
British Telecommunications PLC 5.950% 1/15/18		1,025,000		1,037,441
CB Escrow Corp. (b) (e) 8.000% 10/15/25		65,000		65,325
Cincinnati Bell, Inc. (b) 7.000% 7/15/24		205,000		200,900
Digicel Group Ltd. (c) 7.125% 4/01/22		500,000		452,920
Frontier Communications Corp. 8.500% 4/15/20		220,000		213,400


	Principal Amount		Value
GTT Communications, Inc. (b) (e) 7.875% 12/31/24	$	165,000	$	175,313
Intelsat Jackson Holdings SA 7.250% 10/15/20		230,000		221,375
Ooredoo International Finance Ltd. (c) 3.875% 1/31/28		600,000		603,920
Orange SA 2.750% 2/06/19		564,000		570,828
SingTel Group Treasury Pte Ltd. (c) 4.500% 9/08/21		200,000		214,691
Telesat Canada/Telesat LLC (b) 8.875% 11/15/24		195,000		219,619
Verizon Communications, Inc. 4.400% 11/01/34		565,000		565,361

				6,853,511

Toys, Games & Hobbies — 0.0%
Hasbro, Inc. 3.500% 9/15/27		170,000		168,484

Transportation — 0.9%
Autoridad del Canal de Panama (c) 4.950% 7/29/35		200,000		222,000
Burlington Northern Santa Fe LLC 4.550% 9/01/44		505,000		560,094
CSX Corp. 3.800% 11/01/46		600,000		576,981
Empresa de Transporte de Pasajeros Metro SA (b) 5.000% 1/25/47		750,000		823,868
FedEx Corp. 4.750% 11/15/45		525,000		571,756
Lima Metro Line 2 Finance Ltd. (c) 5.875% 7/05/34		750,000		825,000
Union Pacific Corp. 3.000% 4/15/27		250,000		251,504

				3,831,203

Trucking & Leasing — 0.1%
DAE Funding LLC (b) 5.000% 8/01/24		220,000		225,500
Penske Truck Leasing Co. LP/PTL Finance Corp. (b) 4.200% 4/01/27		275,000		288,417

				513,917

Water — 0.1%
American Water Capital Corp. 3.400% 3/01/25		500,000		516,601


TOTAL CORPORATE DEBT (Cost $110,045,341)				111,843,772


	Principal Amount		Value
MUNICIPAL OBLIGATIONS — 0.1%
North Texas Municipal Water District Water System Revenue 5.000% 9/01/35	$	220,000	$	260,216


TOTAL MUNICIPAL OBLIGATIONS (Cost $250,892)				260,216


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.2%
Commercial MBS — 8.2%
BBCMS Mortgage Trust, Series 2017-C1, Class XA, VRN (d) 1.693% 2/15/50		4,591,198		493,635
BX Trust, Series 2017-SLCT, Class D, 1 mo. LIBOR + 2.050%, FRN (b) 3.284% 7/15/34		216,000		216,009
BX Trust, Series 2017-SLCT, Class E, 1 mo. LIBOR + 3.150%, FRN (b) 4.384% 7/15/34		355,000		355,656
BXHTL Mortgage Trust, Series 2015-JWRZ, 1 mo. LIBOR + 1.230%, FRN (b) 2.465% 5/15/29		700,000		699,999
CD Mortgage Trust, Series 2017-CD4, Class XA, VRN (d) 1.484% 5/10/50		5,816,694		537,348
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class XA, VRN (d) 1.236% 1/10/48		5,800,152		410,686
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class D, VRN (b) (d) 3.052% 1/10/48		563,000		418,479
CFCRE Commercial Mortgage Trust, Series 2016-C7, Class A3 3.839% 12/10/54		545,000		571,082
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class XA, VRN (d) 1.043% 11/10/48		5,320,321		260,685
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class XA, VRN (d) 2.167% 7/10/49		3,755,579		476,111
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 2.902% 7/10/49		547,000		539,498
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5 3.137% 2/10/48		276,000		278,381
Citigroup Commercial Mortgage Trust, Series 2016-SMPL, Class D (b) 3.520% 9/10/31		534,000		534,410
Citigroup Commercial Mortgage Trust, Series 2016-P6, Class A5, VRN (d) 3.720% 12/10/49		435,000		456,972


	Principal Amount		Value
Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class C, VRN (d) 4.199% 6/10/48	$	700,000	$	653,557
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class C, VRN (d) 4.651% 11/10/48		413,000		411,832
CLNS Trust, Series 2017-IKPR, Class D, 1 mo. LIBOR, FRN (b) 3.285% 6/11/32		190,000		189,883
CLNS Trust, Series 2017-IKPR, Class E, 1 mo. LIBOR + 3.500%, FRN (b) 4.735% 6/11/32		190,000		190,182
CLNS Trust, Series 2017-IKPR, Class F, 1 mo. LIBOR + 4.500%, FRN (b) 5.735% 6/11/32		190,000		190,360
COMM Mortgage Trust, Series 2016-DC2, Class XA, VRN (d) 1.220% 2/10/49		988,330		64,990
COMM Mortgage Trust, Series 2016-GCT, Class E, VRN (b) (d) 3.577% 8/10/29		210,000		205,430
COMM Mortgage Trust, Series 2015-CR22, Class D, VRN (b) (d) 4.261% 3/10/48		650,000		545,603
COMM Mortgage Trust, Series 2012-CR4, Class D, VRN (b) (d) 4.735% 10/15/45		738,000		639,404
COMM Mortgage Trust, Series 2015-LC23, Class C, VRN (d) 4.801% 10/10/48		470,000		486,516
Commercial Mortgage Trust, Series 2016-CR28, Class C, VRN (d) 4.802% 2/10/49		517,000		511,036
Cosmopolitan Hotel Trust, Series 2016-CSMO, Class C, 1 mo. LIBOR + 2.650%, FRN (b) 3.884% 11/15/33		370,000		371,610
Credit Suisse Commercial Mortgage Trust, Series 2008-C1, Class AM, VRN (b) (d) 6.514% 2/15/41		700,000		704,721
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class XA, VRN (d) 1.088% 4/15/50		9,222,685		463,160
CSAIL Commercial Mortgage Trust, Series 2017-C8, Class XA, VRN (d) 1.407% 6/15/50		6,697,703		550,828
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class C, VRN (d) 4.737% 11/15/48		427,000		431,491
CSMC Trust, Series 2017-CHOP, Class D, 1 mo. LIBOR + 1.900%, FRN (b) 3.134% 7/15/32		285,000		285,366


	Principal Amount		Value
CSMC Trust, Series 2017-LSTK, Class C (b) 3.229% 4/05/33	$	257,000	$	259,161
CSMC Trust, Series 2017-LSTK, Class D, VRN (b) (d) 3.442% 4/05/33		306,000		304,075
CSMC Trust, Series 2017-CHOP, Class E, 1 mo. LIBOR + 3.300%, FRN (b) 4.534% 7/15/32		285,000		285,361
Great Wolf Trust, Series 2017-WOLF, Class D, FRN (b) (d) 3.340% 9/15/34		286,000		286,269
Great Wolf Trust, Series 2017-WOLF, Class E, FRN (b) (d) 4.340% 9/15/34		443,000		443,560
Great Wolf Trust, Series 2017-WOLF, Class F, FRN (b) (d) 5.310% 9/15/34		236,000		236,372
GS Mortgage Securities Corp. II, Series 2013-GC10, Class XA, VRN (d) 1.593% 2/10/46		5,442,623		346,368
GS Mortgage Securities Trust, Series 2015-GS1, Class XA, VRN (d) 0.974% 11/10/48		8,154,538		428,082
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, VRN (d) 1.169% 4/10/47		6,941,068		353,053
GS Mortgage Securities Trust, Series 2017-GS7, Class XA, VRN (d) 1.290% 8/10/50		6,717,627		572,833
GS Mortgage Securities Trust, Series 2014-GC26, Class D, VRN (b) (d) 4.660% 11/10/47		1,450,000		1,227,416
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class XA, VRN (d) 1.299% 1/15/49		5,378,271		293,599
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class XA, VRN (d) 2.011% 8/15/49		3,216,047		402,732
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-MAUI, Class C, 1 mo. LIBOR + 1.250%, FRN (b) 2.484% 7/15/34		145,000		144,281
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-MAUI, Class D, 1 mo. LIBOR + 1.950%, FRN (b) 3.184% 7/15/34		136,000		136,042


	Principal Amount		Value
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B 3.460% 8/15/49	$	174,000	$	171,303
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class C, VRN (d) 3.946% 8/15/49		134,000		131,879
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-MAUI, Class E, 1 mo. LIBOR + 2.950%, FRN (b) 4.184% 7/15/34		121,000		121,226
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2017-MAUI, Class F, 1 mo. LIBOR + 3.750%, FRN (b) 4.984% 7/15/34		170,000		170,425
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, VRN (d) 5.464% 1/15/49		338,644		338,497
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class AJ, VRN (d) 6.456% 2/12/51		21,572		21,585
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class XA, VRN (d) 0.834% 7/15/48		11,038,396		367,400
JPMBB Commercial Mortgage Securities Trust, Series 2015-C29, Class XA, VRN (d) 1.072% 5/15/48		12,232,811		450,577
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class XA, VRN (d) 1.121% 11/15/47		5,128,289		248,840
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class XA, VRN (d) 1.326% 10/15/48		8,863,480		473,349
JPMBB Commercial Mortgage Securities Trust, Series 2015-C27, Class D, VRN (b) (d) 3.987% 2/15/48		704,000		575,400
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class B, VRN (d) 4.453% 7/15/48		610,000		611,625
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class C, VRN (d) 4.772% 12/15/48		527,000		546,921


	Principal Amount		Value
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class C, VRN (d) 4.818% 11/15/48	$	100,000	$	98,861
JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class C, VRN (d) 4.905% 3/15/49		466,000		487,693
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D (b) 3.060% 10/15/48		650,000		529,351
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class D, VRN (b) (d) 3.237% 12/15/47		504,000		372,682
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4 3.249% 2/15/48		175,000		177,574
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class A4 3.720% 12/15/49		454,000		475,612
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class C 4.000% 12/15/47		650,000		617,867
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class C, VRN (d) 4.272% 7/15/50		650,000		629,078
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class C, VRN (d) 4.686% 12/15/47		351,000		334,460
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, VRN (d) 4.911% 5/15/49		475,000		493,756
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN (d) 5.508% 2/12/44		222,833		222,839
Morgan Stanley Capital I Trust, Series 2015-UBS8, Class XA, VRN (d) 1.115% 12/15/48		6,600,165		394,553
Morgan Stanley Capital I Trust, Series 2016-UB11, Class XA, VRN (d) 1.809% 8/15/49		1,592,408		159,654
Morgan Stanley Capital I Trust, Series 2015-XLF2, Class AFSC, 1 mo. LIBOR + 3.000%, FRN (b) 4.234% 8/15/26		478,000		475,159
Morgan Stanley Capital I Trust, Series 2017-PRME, Class D, 1 mo. LIBOR + 3.400%, FRN (b) 4.634% 2/15/34		425,000		425,339


	Principal Amount		Value
MSCG Trust, Series 2016-SNR, Class C (b) 5.205% 11/15/34	$	539,000	$	551,460
PFP Ltd., Series 2017-3, Class A, 1 mo. LIBOR + 1.050%, FRN (b) 2.284% 1/14/35		194,912		195,216
PFP Ltd., Series 2017-3, Class AS, 1 mo. LIBOR + 1.300%, FRN (b) 2.534% 1/14/35		164,000		164,326
PFP Ltd., Series 2017-3, Class B, 1 mo. LIBOR + 1.750%, FRN (b) 2.984% 1/14/35		94,000		94,368
PFP Ltd., Series 2017-3, Class C, 1 mo. LIBOR + 2.500%, FRN (b) 3.734% 1/14/35		99,000		99,500
RAIT Trust, Series 2017-FL7, Class A, 1 mo. LIBOR + .950%, FRN (b) 2.181% 6/15/37		504,965		504,979
RAIT Trust, Series 2017-FL7, Class AS, 1 mo. LIBOR + 1.300%, FRN (b) 2.531% 6/15/37		141,000		141,061
SG Commercial Mortgage Securities Trust, Series 2016-C5, Class XA, VRN (d) 2.183% 10/10/48		3,959,531		487,157
Sutherland Commercial Mortgage Loans LLC, Series 2015-SBC4, Class A (b) 4.000% 6/25/39		158,323		159,790
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C30, Class AJ, VRN (d) 5.413% 12/15/43		328,682		334,168
Wachovia Bank Commercial Mortgage Trust Series, Series 2006-C28, Class AJ, VRN (d) 5.632% 10/15/48		549,798		554,173
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class XA, VRN (d) 0.921% 7/15/58		12,792,711		508,151
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class XA, VRN (d) 1.163% 12/15/48		5,478,637		321,428
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class XA, VRN (d) 1.254% 11/15/48		6,699,061		441,033
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class XA, VRN (d) 1.800% 11/15/49		2,395,656		238,829
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class A4 3.809% 12/15/48		392,000		414,147
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D (b) 3.938% 8/15/50		560,000		449,472


	Principal Amount		Value
Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class C, VRN (d) 4.693% 9/15/58	$	390,000	$	390,115
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4, Class C, VRN (d) 4.754% 12/15/48		421,000		433,345
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class C, VRN (d) 4.764% 11/15/48		468,000		484,170
WFRBS Commercial Mortgage Trust, Series 2014-C21, Class XA, VRN (d) 1.288% 8/15/47		12,663,575		677,192

				36,631,709

Home Equity ABS — 0.9%
GSAA Home Equity Trust, Series 2007-10, Class A2A 6.500% 11/25/37		5,100,359		3,871,754

Other ABS — 9.9%
ALM VII R Ltd., Series 2013-7RA, Class CR, 3 mo. USD LIBOR + 4.040%, FRN (b) 5.344% 10/15/28		1,000,000		1,021,815
ALM XIX LLC, Series 2016-19A, Class B, 3 mo. USD LIBOR + 3.000%, FRN (b) 4.304% 7/15/28		500,000		503,880
ALM XIX LLC, Series 2016-19A, Class C, 3 mo. USD LIBOR + 4.350%, FRN (b) 5.654% 7/15/28		500,000		510,503
Anchorage Capital CLO Ltd., Series 2014-5A, Class AR, 3 mo. USD LIBOR + 1.150%, FRN (b) 2.454% 10/15/26		1,000,000		1,002,600
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class B, STEP (b) 5.682% 12/16/41		958,333		965,268
BlueMountain CLO Ltd., Series 2015-2A, Class C, 3 mo. USD LIBOR + 2.700%, FRN (b) 4.004% 7/18/27		1,000,000		1,005,562
BlueMountain CLO Ltd., Series 2015-3A, Class B, 3 mo. USD LIBOR + 3.100%, FRN (b) 4.407% 10/20/27		1,000,000		1,005,990


	Principal Amount		Value
BlueMountain CLO Ltd., Series 2015-2A, Class D, 3 mo. USD LIBOR + 3.550%, FRN (b) 4.854% 7/18/27	$	1,000,000	$	1,005,988
BlueMountain CLO Ltd., Series 2015-3A, Class C, 3 mo. USD LIBOR + 3.550%, FRN (b) 4.857% 10/20/27		1,000,000		1,002,036
BlueMountain CLO Ltd., Series 2013-1A, Class CR, 3 mo. USD LIBOR + 4.150%, FRN (b) 5.457% 1/20/29		1,000,000		1,018,369
Carlyle Global Market Strategies CLO Ltd., Series 2016-2A, Class D2, 3 mo. USD LIBOR + 6.450%, FRN (b) 7.754% 7/15/27		500,000		501,717
Castle Aircraft SecuritizationTrust, Series 2015-1A, Class A (b) 4.703% 12/15/40		1,479,808		1,498,837
CLI Funding V LLC, Series 2014-2A, Class A (b) 3.380% 10/18/29		489,363		488,092
Dryden XXV Senior Loan Fund, Series 2012-25A, Class D, 3 mo. USD LIBOR + 4.000%, FRN (b) 5.304% 1/15/25		833,000		832,999
Element Rail Leasing II LLC, Series 2016-1A, Class A2 (b) 5.047% 3/19/46		500,000		530,324
Gilbert Park Clo Ltd., Series 2017-1A, Class E, 3 mo. LIBOR + .640%, FRN (e) 1.000% 10/15/30		1,000,000		1,000,000
Gilbert Park Clo Ltd., Series 2017-1A, Class D, 3 mo. LIBOR + 2.950%, FRN (b) (e) 1.000% 10/15/30		500,000		500,000
Global SC Finance II SRL, Series 2014-1A, Class A1 (b) 3.190% 7/17/29		485,167		475,218
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class D, 3 mo. USD LIBOR + 3.350%, FRN (b) 4.657% 7/20/27		1,000,000		1,003,010
Helios Issuer LLC, Series 2017-1A, Class A (b) 4.940% 9/20/49		244,469		247,591
HERO Funding Trust, Series 2016-4A, Class A2 (b) 4.290% 9/20/47		451,859		468,750
LCM XVIII LP, Series 19A, Class D, 3 mo. USD LIBOR + 3.450%, FRN (b) 4.754% 7/15/27		1,000,000		1,003,575


	Principal Amount		Value
Madison Park Funding XV Ltd., Series 2014-15A, Class DR, 3 mo. USD LIBOR + 5.440%, FRN (b) 6.757% 1/27/26	$	1,000,000	$	1,001,038
Madison Park Funding XVIII Ltd., Series 2015-18A, Class D2, 3 mo. USD LIBOR + 3.950%, FRN (b) 5.257% 10/21/26		1,000,000		1,003,796
Merrill Lynch Mortgage Investors Trust, Series 2006-OPT1, Class A2C, 1 mo. USD LIBOR + .150%, FRN 1.387% 8/25/37		2,952,252		2,799,029
Mosaic Solar Loans LLC, Series 2017-1A, Class A (b) 4.450% 6/20/42		787,802		797,551
Octagon Investment Partners Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.500%, FRN (b) 4.807% 3/17/30		1,000,000		1,017,852
Octagon Investment Partners Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 6.200%, FRN (b) 7.507% 3/17/30		500,000		496,313
Octagon Investment Partners XIV Ltd., Series 2012-1A, Class CR, 3 mo. USD LIBOR + 4.000%, FRN (b) 5.304% 7/15/29		1,000,000		1,017,666
Octagon Investment Partners XXII Ltd., Series 2014-1A, Class E1, 3 mo. USD LIBOR + 5.250%, FRN (b) 6.563% 11/25/25		1,000,000		994,648
OneMain Financial Issuance Trust, Series 2015-2A, Class A (b) 2.570% 7/18/25		132,604		132,840
OneMain Financial Issuance Trust, Series 2015-1A, Class A (b) 3.190% 3/18/26		3,000,000		3,028,363
Springleaf Funding Trust, Series 2015-AA, Class A (b) 3.160% 11/15/24		3,000,000		3,020,648
TAL Advantage V LLC, Series 2013-1A, Class A (b) 2.830% 2/22/38		270,833		268,993
TAL Advantage V LLC, Series 2014-1A, Class A (b) 3.510% 2/22/39		441,467		441,598
TCI-Cent CLO Income Note Issuer Ltd., Series 2017-1A, Class C, 3 mo. USD LIBOR + 3.650%, FRN (b) 4.963% 7/25/30		500,000		505,655
TCI-Cent CLO Ltd., Series 2016-1A, Class C, 3 mo. USD LIBOR + 4.000%, FRN (b) 5.317% 12/21/29		1,000,000		1,014,103


	Principal Amount		Value
Thacher Park CLO Ltd., Series 2014-1A, Class D1R, 3 mo. USD LIBOR + 3.400%, FRN (b) 4.707% 10/20/26	$	1,000,000	$	1,006,265
THL Credit Wind River CLO Ltd., Series 2016-1A, Class C, 3 mo. USD LIBOR + 3.200%, FRN (b) 4.504% 7/15/28		500,000		504,541
THL Credit Wind River CLO Ltd., Series 2017-1A, Class D, 3 mo. USD LIBOR + 3.750%, FRN (b) 5.054% 4/18/29		1,000,000		1,012,160
THL Credit Wind River CLO Ltd., Series 2012-1A, Class DR, 3 mo. USD LIBOR + 4.100%, FRN (b) 5.404% 1/15/26		1,000,000		1,017,252
Towd Point Mortgage Trust, Series 2015-2, Class 1A13, VRN (b) (d) 2.500% 11/25/60		3,749,240		3,743,330
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (b) 2.709% 8/15/47		490,291		491,500
Venture XVII CLO Ltd., Series 2014-17A, Class B2R, 3 mo. USD LIBOR + 1.600%, FRN (b) 2.904% 7/15/26		1,000,000		1,001,182
Westcott Park Clo Ltd., Series 2016-1A, Class D, 3 mo. USD LIBOR + 4.350%, FRN (b) 5.657% 7/20/28		500,000		512,253

				44,420,700

Student Loans ABS — 0.1%
SoFi Professional Loan Program LLC, Series 2017-D, Class BFX (b) 3.610% 9/25/40		350,000		342,734

WL Collateral CMO — 8.6%
CIM Trust, Series 2017-6, Class A1 (b) 3.015% 6/25/57		2,960,351		2,937,953
Citigroup Mortgage Loan Trust, Series 2007-AR5, Class 1A2A, VRN (d) 3.351% 4/25/37		3,125,442		2,990,350
CitiMortgage Alternative Loan Trust, Series 2006-A1, Class 1A5 5.500% 4/25/36		3,674,032		3,549,729
Countrywide Alternative Loan Trust, Series 2006-13T1, Class A11 6.000% 5/25/36		3,000,793		2,492,714
Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A1 6.250% 12/25/36		4,787,456		3,496,299


	Principal Amount		Value
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2007-HYB2, Class 3A1, VRN (d) 3.408% 2/25/47	$	2,349,316	$	2,067,694
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2007-14, Class A6 6.000% 9/25/37		2,321,506		2,091,281
CSMC Trust, Series 2015-RPL3, Class A1, STEP (b) 3.750% 12/25/56		4,930,782		4,938,415
HarborView Mortgage Loan Trust, Series 2006-11, Class A1A, 1 mo. USD LIBOR + .170%, FRN 1.407% 12/19/36		1,842,172		1,588,224
IndyMac INDX Mortgage Loan Trust, Series 2007-AR5, Class 2A1, VRN (d) 3.520% 5/25/37		3,762,389		3,320,768
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 2A1, VRN (d) 3.187% 7/25/35		931,884		845,020
Nomura Asset Acceptance Corp. Alternative Loan Trust, Series 2006-AR1, Class 2A1, VRN (d) 3.605% 2/25/36		3,573,138		3,024,284
RBSSP Resecuritization Trust, Series 2009-5, Class 2A3, VRN (b) (d) 6.500% 10/26/37		1,466,227		1,222,292
RFMSI Trust, Series 2007-S4, Class A5, 1 mo. USD LIBOR + .600%, FRN 6.000% 4/25/37		668,472		681,518
Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1, Class A2, VRN (d) 3.425% 10/25/37		2,072,597		1,998,280
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-4, Class 3A5, STEP 6.350% 5/25/36		1,602,203		1,256,711

				38,501,532

WL Collateral PAC — 0.5%
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 6.000% 8/25/36		2,786,312		2,489,281


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $126,807,549)				126,257,710


	Principal Amount		Value
SOVEREIGN DEBT OBLIGATIONS — 2.7%
Argentine Republic Government International Bond 6.875% 1/26/27	$	250,000	$	270,125
Brazil Government International Bond 5.625% 1/07/41		400,000		403,000
Chile Government International Bond 3.125% 3/27/25		600,000		617,700
Chile Government International Bond 3.125% 1/21/26		600,000		616,320
Chile Government International Bond 3.860% 6/21/47		200,000		203,500
Corp Financiera de Desarrollo SA (c) 4.750% 7/15/25		200,000		215,500
Dominican Republic International Bond (b) 5.950% 1/25/27		700,000		752,500
Export-Import Bank of India (c) 3.125% 7/20/21		400,000		404,313
Export-Import Bank of India (c) 4.000% 1/14/23		200,000		209,490
Fondo MIVIVIENDA SA (b) 3.500% 1/31/23		150,000		153,600
Fondo MIVIVIENDA SA (c) 3.500% 1/31/23		200,000		204,800
Indonesia Government International Bond (c) 4.875% 5/05/21		700,000		754,444
Israel Government International Bond 2.875% 3/16/26		600,000		605,539
Israel Government International Bond 4.000% 6/30/22		200,000		214,750
Malaysia Sovereign Sukuk Bhd (c) 3.043% 4/22/25		500,000		502,450
Malaysia Sukuk Global Bhd (c) 3.179% 4/27/26		250,000		252,600
Mexico Government International Bond 4.000% 10/02/23		100,000		105,720
Mexico Government International Bond 4.125% 1/21/26		200,000		210,700
Mexico Government International Bond 4.150% 3/28/27		2,048,000		2,152,551
Panama Government International Bond 3.875% 3/17/28		1,000,000		1,047,500
Panama Government International Bond 4.000% 9/22/24		200,000		213,500
Perusahaan Penerbit SBSN Indonesia III (b) 4.150% 3/29/27		400,000		413,000
Perusahaan Penerbit SBSN Indonesia III (c) 4.150% 3/29/27		200,000		206,500


	Principal Amount		Value
Philippine Government International Bond 3.700% 2/02/42	$	600,000	$	598,136
Philippine Government International Bond 4.200% 1/21/24		900,000		988,115

				12,316,353


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $12,032,619)				12,316,353


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 11.6%
Collateralized Mortgage Obligations — 5.8%
Federal Home Loan Mortgage Corp. Series 4481, Class B 3.000% 12/15/42		7,662,741		7,750,000
Series 4483, Class CA 3.000% 6/15/44		7,155,709		7,232,887
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates Series K722, Class X1 VRN 1.442% 3/25/23 (d)		6,711,359		386,712
Series K053, Class A2 2.995% 12/25/25		463,000		472,811
Series K050, Class A2 VRN 3.334% 8/25/25 (d)		350,000		366,282
Federal National Mortgage Association Series 2016-M3, Class A2 2.702% 2/25/26		465,000		461,250
Series 2015-9, Class HA 3.000% 1/25/45		1,142,173		1,164,746
Government National Mortgage Association Series 2015-74, Class LZ 3.500% 5/20/45		3,107,603		3,086,501
Series 2015-92, Class CZ 3.500% 6/20/45		4,944,666		4,927,910

				25,849,099

Pass-Through Securities — 5.8%
Federal Home Loan Mortgage Corp. Pool #G08658 3.000% 8/01/45		4,116,379		4,135,996
Pool #G08632 3.500% 3/01/45		3,331,545		3,441,902
Federal National Mortgage Association Pool #AL9238 3.000% 10/01/41		4,619,626		4,657,160
Pool #MA2248 3.000% 4/01/45		2,848,287		2,836,716


	Principal Amount		Value
Pool #AS7661 3.000% 8/01/46	$	1,809,595	$	1,802,243
Pool #MA2711 3.000% 8/01/46		6,381,224		6,355,300
Pool #AX2501 4.000% 10/01/44		2,606,924		2,744,908

				25,974,225


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $51,471,963)				51,823,324


U.S. TREASURY OBLIGATIONS — 25.2%
U.S. Treasury Bonds & Notes — 25.2%
U.S. Treasury Bond 2.750% 11/15/42		10,295,000		10,165,508
U.S. Treasury Bond 2.875% 8/15/45		6,390,000		6,421,451
U.S. Treasury Inflation Index 0.125% 4/15/22		2,254,762		2,254,609
U.S. Treasury Note 0.750% 10/31/18		18,990,000		18,862,782
U.S. Treasury Note 1.000% 5/15/18		1,210,000		1,208,228
U.S. Treasury Note 1.500% 2/28/23		735,000		716,252
U.S. Treasury Note 1.625% 5/15/26		575,000		545,396
U.S. Treasury Note 1.750% 12/31/20		860,000		861,613
U.S. Treasury Note 1.750% 3/31/22		14,790,000		14,705,651
U.S. Treasury Note 1.875% 8/31/24		24,000,000		23,566,925
U.S. Treasury Note 2.000% 8/31/21		13,450,000		13,555,078
U.S. Treasury Note 2.250% 3/31/21		12,800,000		13,028,000
U.S. Treasury Note 2.375% 5/15/27		6,950,000		6,979,321

				112,870,814


TOTAL U.S. TREASURY OBLIGATIONS (Cost $113,424,696)				112,870,814


TOTAL BONDS & NOTES (Cost $414,033,060)				415,372,189


	Number of Shares		Value
MUTUAL FUNDS — 2.7%
Diversified Financial Services — 2.7%
DoubleLine Floating Rate Fund		1,202,268	$	11,914,475


TOTAL MUTUAL FUNDS (Cost $12,154,937)				11,914,475


TOTAL LONG-TERM INVESTMENTS (Cost $426,230,107)				427,317,057


	Principal Amount
SHORT-TERM INVESTMENTS — 4.9%
Repurchase Agreement — 2.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (f)	$	9,022,784		9,022,784

U.S. Treasury Bill — 2.9%
U.S. Treasury Bill 0.976% 12/07/17		7,410,000		7,396,619
U.S. Treasury Bill 1.118% 3/08/18		5,850,000		5,820,884

				13,217,503


TOTAL SHORT-TERM INVESTMENTS (Cost $22,240,652)				22,240,287


TOTAL INVESTMENTS — 100.3% (Cost $448,470,759) (g)				449,557,344

Other Assets/(Liabilities) — (0.3)%				(1,435,713	)


NET ASSETS — 100.0%			$	448,121,631

Abbreviation Legend

ABS	Asset-Backed Security

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

PAC	Planned Amortization Class

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(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 September 30, 2017, these securities amounted to a value of $90,983,220 or 20.30% of net assets.

(c)

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 September 30, 2017, these securities amounted to a value of $24,754,828 or 5.52% of net assets.

(d)

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

(f)	Maturity value of $9,022,822. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 1/31/21, and an aggregate market value, including accrued interest, of $9,207,593.

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


	Number of Shares		Value
EQUITIES — 97.4%

COMMON STOCK — 97.4%
Basic Materials — 1.7%
Chemicals — 1.7%
DowDuPont, Inc.		80,928	$	5,602,645
Eastman Chemical Co.		92,020		8,326,890

				13,929,535

Communications — 5.2%
Internet — 0.9%
Alphabet, Inc. Class A (a)		4,440		4,323,317
Symantec Corp.		95,921		3,147,168

				7,470,485

Media — 2.3%
Comcast Corp. Class A		318,200		12,244,336
DISH Network Corp. Class A (a)		58,040		3,147,509
The Walt Disney Co.		36,010		3,549,506

				18,941,351

Telecommunications — 2.0%
AT&T, Inc.		162,320		6,358,074
Cisco Systems, Inc.		172,064		5,786,512
Verizon Communications, Inc.		99,626		4,930,491

				17,075,077

				43,486,913

Consumer, Cyclical — 7.3%
Airlines — 0.3%
Southwest Airlines Co.		44,660		2,500,067

Apparel — 0.7%
Hanesbrands, Inc. (b)		240,910		5,936,022

Auto Manufacturers — 0.3%
PACCAR, Inc.		36,280		2,624,495

Home Furnishing — 0.5%
Whirlpool Corp.		21,180		3,906,439

Housewares — 0.4%
Newell Brands, Inc.		82,579		3,523,646

Leisure Time — 0.8%
Carnival Corp.		57,700		3,725,689
Harley-Davidson, Inc. (b)		55,603		2,680,621

				6,406,310

Lodging — 0.5%
Wyndham Worldwide Corp.		42,750		4,506,278

Retail — 3.8%
Advance Auto Parts, Inc.		31,471		3,121,923
Coach, Inc.		88,020		3,545,446
CVS Health Corp.		35,125		2,856,365
Liberty Interactive Corp. QVC Group Class A (a)		175,425		4,134,767
Target Corp.		90,860		5,361,649


	Number of Shares		Value
Wal-Mart Stores, Inc.		99,090	$	7,742,892
Walgreens Boots Alliance, Inc.		72,590		5,605,400

				32,368,442

				61,771,699

Consumer, Non-cyclical — 18.2%
Agriculture — 1.3%
Philip Morris International, Inc.		97,952		10,873,651

Beverages — 1.6%
The Coca-Cola Co.		104,400		4,699,044
Coca-Cola European Partners PLC		113,490		4,723,454
PepsiCo, Inc.		41,948		4,674,265

				14,096,763

Biotechnology — 1.3%
Amgen, Inc.		28,770		5,364,167
Gilead Sciences, Inc.		71,320		5,778,346

				11,142,513

Commercial Services — 0.4%
Nielsen Holdings PLC		79,241		3,284,539

Cosmetics & Personal Care — 0.7%
The Procter & Gamble Co.		65,880		5,993,762

Foods — 0.6%
Mondelez International, Inc. Class A		127,501		5,184,191

Health Care – Products — 3.3%
Abbott Laboratories		118,019		6,297,494
Danaher Corp.		60,398		5,180,940
Medtronic PLC		79,748		6,202,002
Thermo Fisher Scientific, Inc.		22,660		4,287,272
Zimmer Biomet Holdings, Inc.		48,240		5,648,422

				27,616,130

Health Care – Services — 3.6%
Aetna, Inc.		24,417		3,882,547
Humana, Inc.		13,619		3,317,997
Laboratory Corp. of America Holdings (a)		32,118		4,848,855
UnitedHealth Group, Inc.		92,747		18,164,500

				30,213,899

Pharmaceuticals — 5.4%
Allergan PLC		21,252		4,355,598
Bristol-Myers Squibb Co.		146,113		9,313,243
Eli Lilly & Co.		35,439		3,031,452
GlaxoSmithKline PLC Sponsored ADR (b)		147,150		5,974,290
Merck & Co., Inc.		66,140		4,234,944
Pfizer, Inc.		520,529		18,582,885

				45,492,412

				153,897,860


	Number of Shares		Value
Energy — 9.5%
Oil & Gas — 6.7%
Anadarko Petroleum Corp.		98,778	$	4,825,305
Chevron Corp.		187,939		22,082,833
ConocoPhillips		50,421		2,523,571
Hess Corp.		54,619		2,561,085
Marathon Petroleum Corp.		82,444		4,623,460
Phillips 66		33,199		3,041,360
Royal Dutch Shell PLC A Shares Sponsored ADR		61,235		3,709,616
Suncor Energy, Inc.		368,780		12,918,363

				56,285,593

Oil & Gas Services — 2.3%
Baker Hughes a GE Co.		91,587		3,353,916
Halliburton Co.		192,471		8,859,440
Schlumberger Ltd.		40,490		2,824,583
Weatherford International PLC (a) (b)		970,350		4,444,203

				19,482,142

Pipelines — 0.5%
Enbridge, Inc.		106,917		4,473,407

				80,241,142

Financial — 30.6%
Banks — 16.2%
Bank of America Corp.		1,347,748		34,151,934
The Bank of New York Mellon Corp.		47,050		2,494,591
Citigroup, Inc.		288,766		21,004,839
Fifth Third Bancorp		145,359		4,067,145
JP Morgan Chase & Co.		358,593		34,249,218
KeyCorp		351,440		6,614,101
Morgan Stanley		109,300		5,264,981
The PNC Financial Services Group, Inc.		51,107		6,887,690
State Street Corp.		48,987		4,680,218
Wells Fargo & Co.		165,160		9,108,574
Zions Bancorp		164,530		7,762,525

				136,285,816

Diversified Financial Services — 4.9%
Alliance Data Systems Corp.		20,636		4,571,906
American Express Co.		43,462		3,931,572
Ameriprise Financial, Inc.		68,580		10,184,816
BlackRock, Inc.		11,740		5,248,837
Discover Financial Services		62,688		4,042,122
FNF Group		100,667		4,777,656
Nasdaq, Inc.		110,150		8,544,335

				41,301,244

Insurance — 5.9%
American International Group, Inc.		256,745		15,761,576
Aon PLC		41,910		6,123,051


	Number of Shares		Value
The Hartford Financial Services Group, Inc.		68,870	$	3,817,464
MetLife, Inc.		247,774		12,871,859
The Travelers Cos., Inc.		40,982		5,021,115
XL Group Ltd.		156,800		6,185,760

				49,780,825

Real Estate — 0.4%
CBRE Group, Inc. Class A (a)		96,553		3,657,428

Real Estate Investment Trusts (REITS) — 3.2%
Crown Castle International Corp.		56,620		5,660,868
Digital Realty Trust, Inc.		27,990		3,312,057
HCP, Inc.		88,790		2,471,026
Invitation Homes, Inc.		100,160		2,268,624
Outfront Media, Inc.		78,781		1,983,705
Prologis, Inc.		102,220		6,486,881
Weyerhaeuser Co.		131,416		4,472,086

				26,655,247

				257,680,560

Industrial — 12.9%
Aerospace & Defense — 3.3%
Harris Corp.		45,685		6,015,801
Lockheed Martin Corp.		31,261		9,699,975
Northrop Grumman Corp.		18,286		5,261,248
United Technologies Corp.		58,661		6,809,369

				27,786,393

Building Materials — 1.1%
Johnson Controls International PLC		153,110		6,168,802
Vulcan Materials Co.		27,536		3,293,306

				9,462,108

Electronics — 1.4%
Honeywell International, Inc.		39,541		5,604,541
TE Connectivity Ltd.		76,010		6,313,391

				11,917,932

Environmental Controls — 0.6%
Waste Management, Inc.		68,720		5,378,714

Machinery – Construction & Mining — 0.7%
Caterpillar, Inc.		43,780		5,459,804

Machinery – Diversified — 0.3%
Zebra Technologies Corp. Class A (a)		26,110		2,835,024

Manufacturing — 0.7%
Siemens AG Sponsored ADR		78,000		5,518,500

Miscellaneous – Manufacturing — 1.8%
Eaton Corp. PLC		48,488		3,723,393
Parker-Hannifin Corp.		39,903		6,983,823
Pentair PLC		67,804		4,607,960

				15,315,176


	Number of Shares		Value
Packaging & Containers — 1.1%
Sealed Air Corp.		113,553	$	4,850,984
WestRock Co.		84,160		4,774,397

				9,625,381

Transportation — 1.9%
FedEx Corp.		12,760		2,878,401
Kansas City Southern		29,550		3,211,494
Norfolk Southern Corp.		40,131		5,306,924
XPO Logistics, Inc. (a)		64,380		4,363,676

				15,760,495

				109,059,527

Technology — 7.7%
Computers — 1.7%
Apple, Inc.		26,493		4,083,101
Check Point Software Technologies Ltd. (a)		20,190		2,302,064
Diebold Nixdorf, Inc. (b)		120,214		2,746,890
HP, Inc.		249,890		4,987,804

				14,119,859

Semiconductors — 2.2%
Broadcom Ltd.		19,252		4,669,380
Marvell Technology Group Ltd.		276,950		4,957,405
QUALCOMM, Inc.		77,024		3,992,924
Texas Instruments, Inc.		52,480		4,704,308

				18,324,017

Software — 3.8%
First Data Corp. Class A (a)		291,790		5,263,892
Microsoft Corp.		173,891		12,953,141
Oracle Corp.		147,490		7,131,141
Synopsys, Inc. (a)		87,750		7,066,507

				32,414,681

				64,858,557

Utilities — 4.3%
Electric — 4.3%
Edison International		177,030		13,661,405
Entergy Corp.		80,330		6,133,999
Exelon Corp.		101,004		3,804,821
NextEra Energy, Inc.		52,683		7,720,693
PG&E Corp.		74,631		5,081,625

				36,402,543


TOTAL COMMON STOCK (Cost $603,371,609)				821,328,336


TOTAL EQUITIES (Cost $603,371,609)				821,328,336


	Number of Shares		Value
MUTUAL FUNDS — 2.6%
Diversified Financial Services — 2.6%
State Street Navigator Securities Lending Prime Portfolio (c)		21,621,833	$	21,621,833


TOTAL MUTUAL FUNDS (Cost $21,621,833)				21,621,833


TOTAL LONG-TERM INVESTMENTS (Cost $624,993,442)				842,950,169


	Principal Amount
SHORT-TERM INVESTMENTS — 2.6%
Repurchase Agreement — 2.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (d)	$	22,251,197		22,251,197


TOTAL SHORT-TERM INVESTMENTS (Cost $22,251,197)				22,251,197


TOTAL INVESTMENTS — 102.6% (Cost $647,244,639) (e)				865,201,366

Other Assets/(Liabilities) — (2.6)%				(21,878,841	)


NET ASSETS — 100.0%			$	843,322,525

Abbreviation Legend

ADR	American Depositary Receipt

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 September 30, 2017, was $21,065,818 or 2.50% 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)	Represents investment of security lending collateral. (Note 2).

(d)	Maturity value of $22,251,289. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 3.125%, maturity dates ranging from 5/15/21 – 1/31/22, and an aggregate market value, including accrued interest, of $22,702,694.

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


	Number of Shares		Value
EQUITIES — 99.5%

COMMON STOCK — 99.5%
Basic Materials — 8.2%
Chemicals — 3.4%
Celanese Corp. Series A		2,400	$	250,248
Eastman Chemical Co.		300		27,147
Huntsman Corp.		25,200		690,984
Praxair, Inc.		200		27,948

				996,327

Iron & Steel — 2.9%
ArcelorMittal (a)		15,633		402,706
Nucor Corp.		4,800		268,992
Reliance Steel & Aluminum Co.		2,100		159,957

				831,655

Mining — 1.9%
BHP Billiton Ltd. Sponsored ADR		5,000		202,650
Kaiser Aluminum Corp.		1,600		165,024
Teck Resources Ltd. Class B		8,200		172,938

				540,612

				2,368,594

Communications — 9.9%
Internet — 7.2%
Alibaba Group Holding Ltd. Sponsored ADR (a)		1,500		259,065
Alphabet, Inc. Class A (a)		280		272,642
Alphabet, Inc. Class C (a)		50		47,955
Amazon.com, Inc. (a)		790		759,466
Facebook, Inc. Class A (a)		3,110		531,406
VeriSign, Inc. (a)		1,900		202,141

				2,072,675

Media — 0.9%
News Corp. Class A		2,400		31,824
Scripps Networks Interactive, Inc. Class A		2,600		223,314

				255,138

Telecommunications — 1.8%
AT&T, Inc.		5,000		195,850
Cisco Systems, Inc.		6,000		201,780
Zayo Group Holdings, Inc. (a)		3,900		134,238

				531,868

				2,859,681

Consumer, Cyclical — 9.8%
Airlines — 0.6%
Delta Air Lines, Inc.		3,700		178,414

Auto Manufacturers — 1.0%
General Motors Co.		6,800		274,584


	Number of Shares		Value
Auto Parts & Equipment — 1.4%
The Goodyear Tire & Rubber Co.		4,800	$	159,600
Lear Corp.		1,490		257,889

				417,489

Distribution & Wholesale — 0.6%
Anixter International, Inc. (a)		1,900		161,500

Home Builders — 0.8%
Thor Industries, Inc.		1,900		239,229

Home Furnishing — 0.5%
Sony Corp. Sponsored ADR		3,600		134,424

Housewares — 0.5%
The Toro Co.		2,400		148,944

Lodging — 0.4%
MGM Resorts International		3,600		117,324

Retail — 3.0%
Darden Restaurants, Inc.		1,600		126,048
Domino’s Pizza, Inc.		880		174,724
The Home Depot, Inc.		2,000		327,120
Office Depot, Inc.		19,900		90,346
Target Corp.		2,500		147,525

				865,763

Textiles — 1.0%
Mohawk Industries, Inc. (a)		1,190		294,537

				2,832,208

Consumer, Non-cyclical — 14.6%
Biotechnology — 2.2%
Amgen, Inc.		1,040		193,908
Biogen, Inc. (a)		680		212,922
Celgene Corp. (a)		1,540		224,563

				631,393

Commercial Services — 5.7%
AerCap Holdings NV (a)		2,000		102,220
ManpowerGroup, Inc.		2,300		270,986
Quanta Services, Inc. (a)		5,400		201,798
United Rentals, Inc. (a)		3,000		416,220
Vantiv, Inc. Class A (a)		7,100		500,337
The Western Union Co.		8,500		163,200

				1,654,761

Health Care – Products — 1.0%
Baxter International, Inc.		4,700		294,925

Health Care – Services — 2.3%
Aetna, Inc.		1,730		275,087
MEDNAX, Inc. (a)		8,900		383,768

				658,855

Pharmaceuticals — 3.4%
AbbVie, Inc.		1,600		142,176
Express Scripts Holding Co. (a)		4,400		278,608


	Number of Shares		Value
Johnson & Johnson		300	$	39,003
McKesson Corp.		1,110		170,507
Merck & Co., Inc.		4,900		313,747
Pfizer, Inc.		800		28,560

				972,601

				4,212,535

Energy — 6.2%
Oil & Gas — 6.2%
Andeavor		2,900		299,135
Apache Corp.		400		18,320
Chevron Corp.		7,820		918,850
Exxon Mobil Corp.		3,900		319,722
Marathon Petroleum Corp.		2,600		145,808
Rowan Cos. PLC Class A (a)		7,000		89,950

				1,791,785

Financial — 19.2%
Banks — 16.0%
Ameris Bancorp		8,100		388,800
Bank of America Corp.		7,000		177,380
Bank of Montreal		1,900		143,849
Citigroup, Inc.		17,400		1,265,676
Comerica, Inc.		4,800		366,048
The Goldman Sachs Group, Inc.		1,200		284,628
JP Morgan Chase & Co.		7,200		687,672
The PNC Financial Services Group, Inc.		6,500		876,005
S&T Bancorp, Inc.		3,400		134,572
State Street Corp.		3,100		296,174
Wells Fargo & Co.		500		27,575

				4,648,379

Diversified Financial Services — 0.6%
Legg Mason, Inc.		2,900		113,999
Visa, Inc. Class A		600		63,144

				177,143

Insurance — 1.0%
Aflac, Inc.		1,800		146,502
Berkshire Hathaway, Inc. Class B (a)		300		54,996
Torchmark Corp.		700		56,063
The Travelers Cos., Inc.		200		24,504

				282,065

Real Estate Investment Trusts (REITS) — 0.1%
Simon Property Group, Inc.		100		16,101

Savings & Loans — 1.5%
BofI Holding, Inc. (a)		5,200		148,044
Brookline Bancorp, Inc.		19,000		294,500

				442,544

				5,566,232


	Number of Shares		Value
Industrial — 17.2%
Aerospace & Defense — 3.4%
Lockheed Martin Corp.		2,560	$	794,342
Spirit AeroSystems Holdings, Inc. Class A		2,500		194,300

				988,642

Building Materials — 0.7%
Owens Corning		2,500		193,375

Electronics — 3.1%
Corning, Inc.		13,600		406,912
TE Connectivity Ltd.		5,900		490,054

				896,966

Engineering & Construction — 2.1%
AECOM (a)		11,600		426,996
Fluor Corp.		4,600		193,660

				620,656

Hand & Machine Tools — 1.4%
Regal Beloit Corp.		5,100		402,900

Machinery – Construction & Mining — 0.5%
BWX Technologies, Inc.		2,800		156,856

Machinery – Diversified — 2.2%
Deere & Co.		5,000		627,950

Metal Fabricate & Hardware — 0.4%
Worthington Industries, Inc.		2,700		124,200

Miscellaneous – Manufacturing — 0.7%
3M Co.		400		83,960
A.O. Smith Corp.		1,800		106,974

				190,934

Packaging & Containers — 1.8%
Graphic Packaging Holding Co.		8,400		117,180
Packaging Corp. of America		3,400		389,912

				507,092

Shipbuilding — 0.8%
Huntington Ingalls Industries, Inc.		1,000		226,440

Transportation — 0.1%
Union Pacific Corp.		200		23,194

				4,959,205

Technology — 14.4%
Computers — 3.4%
Apple, Inc.		1,210		186,485
Check Point Software Technologies Ltd. (a)		1,400		159,628
Leidos Holdings, Inc.		2,100		124,362
NCR Corp. (a)		1,600		60,032
NetApp, Inc.		10,300		450,728

				981,235


	Number of Shares		Value
Semiconductors — 6.5%
Applied Materials, Inc.		13,600	$	708,424
ASML Holding NV		810		138,672
Broadcom Ltd.		500		121,270
Lam Research Corp.		2,900		536,616
Micron Technology, Inc. (a)		2,900		114,057
NXP Semiconductor NV (a)		590		66,723
Skyworks Solutions, Inc.		2,000		203,800

				1,889,562

Software — 4.5%
Activision Blizzard, Inc.		5,300		341,903
Cadence Design Systems, Inc. (a)		11,300		446,011
Electronic Arts, Inc. (a)		800		94,448
Fidelity National Information Services, Inc.		1,000		93,390
Intuit, Inc.		1,360		193,311
Microsoft Corp.		900		67,041
Nuance Communications, Inc. (a)		4,500		70,740

				1,306,844

				4,177,641


TOTAL COMMON STOCK (Cost $22,553,779)				28,767,881


TOTAL EQUITIES (Cost $22,553,779)				28,767,881


TOTAL LONG-TERM INVESTMENTS (Cost $22,553,779)				28,767,881


	Principal Amount

SHORT-TERM INVESTMENTS — 0.6%
Repurchase Agreement — 0.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (b)	$	176,371		176,371


TOTAL SHORT-TERM INVESTMENTS (Cost $176,371)				176,371


TOTAL INVESTMENTS — 100.1% (Cost $22,730,150) (c)				28,944,252

Other Assets/(Liabilities) — (0.1)%				(20,192	)


NET ASSETS — 100.0%			$	28,924,060

Abbreviation Legend

ADR	American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Non-income producing security.

(b)	Maturity value of $176,371. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 1/31/21, and an aggregate market value, including accrued interest, of $183,337.

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


	Number of Shares		Value
EQUITIES — 0.6%

PREFERRED STOCK — 0.6%
Consumer, Non-cyclical — 0.6%
Agriculture — 0.6%
Pinnacle Agriculture Holdings LLC (a)		1,120,359	$	784,252


TOTAL PREFERRED STOCK (Cost $733,962)				784,252


TOTAL EQUITIES (Cost $733,962)				784,252


	Principal Amount
BONDS & NOTES — 96.0%

BANK LOANS — 5.6%
Building Materials — 0.5%
Beacon Roofing Supply, Inc., 2017 Bridge Term Loan VRN (b) (c) (d) 4.750% 8/24/18	$	745,192		745,192

Coal — 0.5%
Murray Energy Corp., Term Loan B2 3 mo. LIBOR + 7.250% VRN 8.583% 4/16/20		746,026		682,308

Foods — 0.2%
Del Monte Foods, Inc., 1st Lien Term Loan 3 mo. LIBOR + 3.250% VRN 5.540% 2/18/21		338,516		289,553

Oil & Gas — 3.3%
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan 3 mo. LIBOR + 7.500% VRN 8.821% 4/15/20		3,139,220		2,750,741
Fieldwood Energy LLC, New 1st Lien Term Loan 3 mo. LIBOR + 7.000% VRN 8.333% 8/31/20		674,554		590,235
Fieldwood Energy LLC, 1st Lien Last Out Term Loan 3 mo. LIBOR + 7.125% 8.458% 9/30/20		387,384		265,358
Fieldwood Energy LLC, 2nd Lien Term Loan 3 mo. LIBOR + 7.125% VRN 8.458% 9/30/20		863,087		340,056
Gulf Finance LLC, Term Loan B 3 mo. LIBOR + 5.250% VRN 6.590% 8/25/23		522,050		490,404

				4,436,794


	Principal Amount		Value
Software — 1.1%
Almonde, Inc., USD 2nd Lien Term Loan 3 mo. LIBOR + 7.250% VRN 8.567% 6/13/25	$	1,411,101	$	1,433,777


TOTAL BANK LOANS (Cost $8,192,412)				7,587,624


CORPORATE DEBT — 90.4%
Aerospace & Defense — 1.7%
TransDigm, Inc. 6.375% 6/15/26		1,219,000		1,248,719
Triumph Group, Inc. 4.875% 4/01/21		422,000		415,881
Triumph Group, Inc. 5.250% 6/01/22		94,000		91,885
Triumph Group, Inc. (e) 7.750% 8/15/25		471,000		495,728

				2,252,213

Agriculture — 1.2%
Pinnacle Operating Corp. (e) 9.000% 5/15/23		1,667,522		1,575,808

Airlines — 1.1%
American Airlines Group, Inc. (e) 5.500% 10/01/19		1,391,000		1,457,073

Apparel — 0.5%
Perry Ellis International, Inc. 7.875% 4/01/19		730,000		730,000

Auto Manufacturers — 2.3%
JB Poindexter & Co., Inc. (e) 9.000% 4/01/22		2,990,000		3,124,550

Auto Parts & Equipment — 3.2%
Allison Transmission, Inc. (e) 5.000% 10/01/24		294,000		305,128
Deck Chassis Acquisition, Inc. (e) 10.000% 6/15/23		2,013,000		2,259,592
International Automotive Components Group SA (e) 9.125% 6/01/18		1,809,000		1,809,000

				4,373,720

Chemicals — 3.7%
A Schulman, Inc. STEP 6.875% 6/01/23		1,112,000		1,153,700
The Chemours Co. 5.375% 5/15/27		222,000		230,325
The Chemours Co. 7.000% 5/15/25		409,000		452,968
Consolidated Energy Finance SA (e) 6.750% 10/15/19		761,000		774,317


	Principal Amount		Value
Consolidated Energy Finance SA (e) 6.875% 6/15/25	$	655,000	$	686,931
Kissner Holdings LP/Kissner Milling Co. Ltd./BSC Holding, Inc./Kissner USA (e) 8.375% 12/01/22		1,225,000		1,237,250
Platform Specialty Products Corp. (e) 6.500% 2/01/22		423,000		438,334

				4,973,825

Coal — 1.3%
Alliance Resource Operating Partners LP/Alliance Resource Finance Corp. (e) 7.500% 5/01/25		669,000		694,088
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. (e) 7.500% 6/15/25		1,013,000		1,045,922

				1,740,010

Commercial Services — 5.1%
Booz Allen Hamilton, Inc. (e) 5.125% 5/01/25		404,000		408,040
Cardtronics, Inc./Cardtronics USA, Inc. (e) 5.500% 5/01/25		578,000		591,303
CSVC Acquisition Corp. (e) 7.750% 6/15/25		1,131,000		1,108,380
The Hertz Corp. (e) 7.625% 6/01/22		1,500,000		1,546,875
Prime Security Services Borrower LLC / Prime Finance, Inc. (e) 9.250% 5/15/23		1,121,000		1,237,091
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary 7.875% 6/01/21		1,385,000		1,329,600
United Rentals North America, Inc. 4.625% 10/15/25		249,000		252,112
United Rentals North America, Inc. 4.875% 1/15/28		365,000		366,825

				6,840,226

Computers — 0.2%
Western Digital Corp. 10.500% 4/01/24		268,000		314,900

Distribution & Wholesale — 1.6%
Avantor, Inc. (e) (f) 6.000% 10/01/24		652,000		668,300
Avantor, Inc. (e) (f) 9.000% 10/01/25		1,397,000		1,429,313

				2,097,613


	Principal Amount		Value
Diversified Financial Services — 4.6%
Aircastle Ltd. 4.125% 5/01/24	$	857,000	$	886,995
Aircastle Ltd. 5.000% 4/01/23		113,000		120,910
Aircastle Ltd. 5.500% 2/15/22		113,000		123,453
Ally Financial, Inc. 8.000% 11/01/31		1,230,000		1,586,577
LPL Holdings, Inc. (e) 5.750% 9/15/25		1,364,000		1,414,059
Tempo Acquisition LLC/Tempo Acquisition Finance Corp. (e) 6.750% 6/01/25		704,000		711,040
VFH Parent LLC/Orchestra Co-Issuer, Inc. (e) 6.750% 6/15/22		1,269,000		1,321,346

				6,164,380

Electric — 0.8%
NextEra Energy Operating Partners LP (e) 4.250% 9/15/24		198,000		202,208
NextEra Energy Operating Partners LP (e) 4.500% 9/15/27		175,000		178,281
NRG Energy, Inc. 6.625% 1/15/27		702,000		735,345

				1,115,834

Engineering & Construction — 0.8%
Zachry Holdings, Inc. (e) 7.500% 2/01/20		1,090,000		1,122,700

Entertainment — 1.1%
AMC Entertainment Holdings, Inc. (e) 6.125% 5/15/27		513,000		506,588
WMG Acquisition Corp. (e) 5.000% 8/01/23		262,000		270,515
WMG Acquisition Corp. (e) 6.750% 4/15/22		700,000		735,875

				1,512,978

Environmental Controls — 0.0%
CD&R Waterworks Merger Sub LLC (e) 6.125% 8/15/25		29,000		29,761

Foods — 3.1%
C&S Group Enterprises LLC (e) 5.375% 7/15/22		743,000		735,570
JBS USA LUX SA/JBS USA Finance, Inc. (e) 5.875% 7/15/24		646,000		647,615
JBS USA LUX SA/JBS USA Finance, Inc. (e) 8.250% 2/01/20		962,000		971,620


	Principal Amount		Value
KeHE Distributors LLC/KeHE Finance Corp. (e) 7.625% 8/15/21	$	650,000	$	653,250
Pilgrim’s Pride Corp. (e) 5.875% 9/30/27		420,000		428,925
Post Holdings, Inc. (e) 5.500% 3/01/25		309,000		320,587
Post Holdings, Inc. (e) 5.750% 3/01/27		382,000		393,460

				4,151,027

Forest Products & Paper — 0.9%
Appvion, Inc. (e) 9.000% 6/01/20		2,157,000		1,164,780

Gas — 0.9%
LBC Tank Terminals Holding Netherlands BV (e) 6.875% 5/15/23		1,111,000		1,166,550

Hand & Machine Tools — 0.4%
Apex Tool Group LLC (e) 7.000% 2/01/21		561,000		518,925

Health Care – Products — 3.0%
Alere, Inc. 6.500% 6/15/20		1,485,000		1,509,131
Halyard Health, Inc. 6.250% 10/15/22		1,300,000		1,356,875
Ortho-Clinical Diagnostics, Inc./Ortho-Clinical Diagnostics SA (e) 6.625% 5/15/22		1,147,000		1,124,060

				3,990,066

Health Care – Services — 3.6%
CHS/Community Health Systems, Inc. 6.250% 3/31/23		567,000		557,078
CHS/Community Health Systems, Inc. 6.875% 2/01/22		777,000		609,945
HCA, Inc. 5.875% 2/15/26		1,138,000		1,221,927
RegionalCare Hospital Partners Holdings, Inc. (e) 8.250% 5/01/23		176,000		185,020
Tenet Healthcare Corp. (e) 4.625% 7/15/24		1,500,000		1,486,440
Tenet Healthcare Corp. 8.125% 4/01/22		340,000		345,950
West Street Merger Sub, Inc. (e) 6.375% 9/01/25		489,000		486,555

				4,892,915

Home Builders — 1.2%
Brookfield Residential Properties, Inc. (e) 6.375% 5/15/25		491,000		516,778
Lennar Corp. 4.750% 5/30/25		1,101,000		1,150,545

				1,667,323


	Principal Amount		Value
Insurance — 1.8%
AssuredPartners, Inc. (e) 7.000% 8/15/25	$	514,000	$	526,207
USIS Merger Sub, Inc. (e) 6.875% 5/01/25		677,000		689,694
York Risk Services Holding Corp. (e) 8.500% 10/01/22		1,212,000		1,193,820

				2,409,721

Internet — 1.0%
TIBCO Software, Inc. (e) 11.375% 12/01/21		1,177,000		1,288,815

Iron & Steel — 2.0%
Allegheny Technologies, Inc. 5.950% 1/15/21		1,192,000		1,215,840
ArcelorMittal STEP 7.250% 3/01/41		767,000		907,936
Big River Steel LLC/BRS Finance Corp. (e) 7.250% 9/01/25		565,000		599,465

				2,723,241

Leisure Time — 3.1%
Brunswick Corp. 7.375% 9/01/23		285,000		331,573
Brunswick Corp. 7.125% 8/01/27		2,245,000		2,614,846
Carlson Travel, Inc. (e) 6.750% 12/15/23		396,000		393,030
Carlson Travel, Inc. (e) 9.500% 12/15/24		862,000		818,900

				4,158,349

Lodging — 0.4%
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. (e) 5.250% 5/15/27		492,000		501,220

Media — 6.0%
Altice Financing SA (e) 6.625% 2/15/23		600,000		636,000
Altice Finco SA (e) 8.125% 1/15/24		615,000		664,200
Altice Luxembourg SA (e) 7.625% 2/15/25		1,000,000		1,078,750
CCO Holdings LLC/CCO Holdings Capital Corp. (e) 5.875% 4/01/24		1,500,000		1,591,875
Clear Channel Worldwide Holdings, Inc. 7.625% 3/15/20		1,608,000		1,587,900
DISH DBS Corp. 7.750% 7/01/26		987,000		1,133,244
Midcontinent Communications/Midcontinent Finance Corp. (e) 6.875% 8/15/23		864,000		930,960


	Principal Amount		Value
SFR Group SA (e) 6.250% 5/15/24	$	260,000	$	274,560
Sirius XM Radio, Inc. (e) 5.375% 7/15/26		167,000		165,956

				8,063,445

Mining — 3.2%
First Quantum Minerals Ltd. (e) 7.250% 4/01/23		659,000		678,770
First Quantum Minerals Ltd. (e) 7.500% 4/01/25		652,000		666,670
Hecla Mining Co. 6.875% 5/01/21		1,271,000		1,318,726
Kinross Gold Corp. (e) 4.500% 7/15/27		640,000		645,600
Kinross Gold Corp. 5.950% 3/15/24		441,000		489,951
Kinross Gold Corp. 6.875% 9/01/41		476,000		528,360

				4,328,077

Miscellaneous – Manufacturing — 1.0%
EnPro Industries, Inc. 5.875% 9/15/22		1,271,000		1,326,606

Oil & Gas — 8.5%
Chesapeake Energy Corp. (e) 8.000% 1/15/25		898,000		906,980
Chesapeake Energy Corp. (e) 8.000% 6/15/27		300,000		297,000
Citgo Holding, Inc. (e) 10.750% 2/15/20		1,677,000		1,806,967
EP Energy LLC/Everest Acquisition Finance, Inc. (e) 8.000% 2/15/25		1,081,000		841,829
EP Energy LLC/Everest Acquisition Finance, Inc. 9.375% 5/01/20		356,000		296,370
Jupiter Resources, Inc. (e) 8.500% 10/01/22		2,310,000		1,657,425
Kosmos Energy Ltd. (e) 7.875% 8/01/21		1,823,000		1,886,805
PBF Holding Co. LLC/PBF Finance Corp. 7.000% 11/15/23		47,000		48,351
PBF Holding Co. LLC/PBF Finance Corp. (e) 7.250% 6/15/25		925,000		945,813
Rowan Cos., Inc. 7.375% 6/15/25		244,000		238,510
Sunoco LP/Sunoco Finance Corp. 6.250% 4/15/21		1,200,000		1,257,420
Transocean, Inc. 6.800% 3/15/38		198,000		161,370


	Principal Amount		Value
Transocean, Inc. STEP 9.350% 12/15/41	$	150,000	$	144,000
Tullow Oil PLC (e) 6.250% 4/15/22		1,045,000		1,016,262

				11,505,102

Oil & Gas Services — 1.5%
Jonah Energy LLC/Jonah Energy Finance Corp. (e) 7.250% 10/15/25		985,000		993,619
Welltec A/S (e) 8.000% 2/01/19		1,095,000		1,095,000

				2,088,619

Packaging & Containers — 1.9%
Coveris Holdings SA (e) 7.875% 11/01/19		2,641,000		2,601,385

Pharmaceuticals — 2.3%
Endo Dac/Endo Finance LLC/Endo Finco, Inc. STEP (e) 6.000% 2/01/25		681,000		551,610
Valeant Pharmaceuticals International, Inc. (e) 5.500% 3/01/23		452,000		396,630
Valeant Pharmaceuticals International, Inc. (e) 5.875% 5/15/23		193,000		170,564
Valeant Pharmaceuticals International, Inc. (e) 6.125% 4/15/25		1,643,000		1,439,679
Valeant Pharmaceuticals International, Inc. (e) 6.500% 3/15/22		171,000		180,832
Valeant Pharmaceuticals International, Inc. (e) 7.000% 3/15/24		290,000		309,601

				3,048,916

Pipelines — 1.1%
Genesis Energy LP/Genesis Energy Finance Corp. 6.000% 5/15/23		1,171,000		1,162,218
Genesis Energy LP/Genesis Energy Finance Corp. 6.750% 8/01/22		270,000		276,075

				1,438,293

Real Estate Investment Trusts (REITS) — 1.1%
MPT Operating Partnership LP / MPT Finance Corp. 5.000% 10/15/27		656,000		672,400
RHP Hotel Properties LP/RHP Finance Corp. 5.000% 4/15/23		789,000		816,615

				1,489,015


	Principal Amount		Value
Retail — 2.0%
Ferrellgas LP/Ferrellgas Finance Corp. 6.750% 1/15/22	$	500,000	$	485,000
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. 8.625% 6/15/20		742,000		704,900
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. 8.625% 6/15/20		449,000		426,550
Penske Automotive Group, Inc. 5.500% 5/15/26		1,000,000		1,033,750

				2,650,200

Software — 0.5%
j2 Cloud Services LLC/j2 Global Co-Obligor, Inc. (e) 6.000% 7/15/25		462,000		483,368
RP Crown Parent LLC (e) 7.375% 10/15/24		191,000		195,536

				678,904

Telecommunications — 7.3%
Digicel Group Ltd. (e) 8.250% 9/30/20		300,000		293,064
Digicel Ltd. (e) 6.000% 4/15/21		1,025,000		1,000,544
GCI, Inc. 6.875% 4/15/25		1,550,000		1,666,250
Hughes Satellite Systems Corp. 5.250% 8/01/26		805,000		837,200
Hughes Satellite Systems Corp. 6.625% 8/01/26		272,000		291,040
Sprint Corp. 7.250% 9/15/21		745,000		827,881
Sprint Corp. 7.875% 9/15/23		1,578,000		1,830,480
T-Mobile USA, Inc. 6.000% 4/15/24		453,000		480,746
T-Mobile USA, Inc. 6.500% 1/15/26		679,000		749,446
Telecom Italia SpA (e) 5.303% 5/30/24		512,000		556,800
West Corp. (e) 5.375% 7/15/22		1,270,000		1,282,700

				9,816,151

Transportation — 3.4%
The Kenan Advantage Group, Inc. (e) 7.875% 7/31/23		3,200,000		3,288,000
Watco Cos. LLC/Watco Finance Corp. (e) 6.375% 4/01/23		1,263,000		1,310,362

				4,598,362


	Principal Amount		Value
TOTAL CORPORATE DEBT (Cost $119,480,700)			$	121,691,598


TOTAL BONDS & NOTES (Cost $127,673,112)				129,279,222


TOTAL LONG-TERM INVESTMENTS (Cost $128,407,074)				130,063,474


SHORT-TERM INVESTMENTS — 3.0%
Time Deposit — 3.0%
Euro Time Deposit 0.120% 10/02/17	$	4,032,459		4,032,459


TOTAL SHORT-TERM INVESTMENTS (Cost $4,032,459)				4,032,459


TOTAL INVESTMENTS — 99.6% (Cost $132,439,533) (g)				134,095,933

Other Assets/(Liabilities) — 0.4%				568,357


NET ASSETS — 100.0%			$	134,664,290

Abbreviation Legend

STEP	Step Up Bond

VRN	Variable Rate Note

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Non-income producing security.

(b)	Investment was valued using significant unobservable inputs.

(c)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $745,192 or 0.55% of net assets.

(d)

(e)	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 September 30, 2017, these securities amounted to a value of $79,038,398 or 58.69% of net assets.

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

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


	Principal Amount		Value
BONDS & NOTES — 124.8%

CORPORATE DEBT — 2.6%
Auto Manufacturers — 0.4%
General Motors Financial Co., Inc. 3 mo. USD LIBOR + 2.060%, FRN 3.364% 1/15/19	$	1,720,000	$	1,751,536

Banks — 0.7%
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .800%, FRN 2.120% 12/15/17		1,750,000		1,752,254
MUFG Americas Holdings Corp. 3 mo. USD LIBOR + .570%, FRN 1.881% 2/09/18		1,130,000		1,131,465

				2,883,719

Computers — 0.7%
Dell International LLC/ EMC Corp. (a) 3.480% 6/01/19		1,100,000		1,121,843
Hewlett Packard Enterprise Co. 3 mo. USD LIBOR + 1.930%, FRN 3.231% 10/05/18		1,700,000		1,726,247

				2,848,090

Diversified Financial Services — 0.4%
Ally Financial, Inc. 3.600% 5/21/18		1,705,000		1,718,128

Pharmaceuticals — 0.4%
Allergan Funding SCS 3 mo. USD LIBOR + 1.080%, FRN 2.390% 3/12/18		1,750,000		1,755,796


TOTAL CORPORATE DEBT (Cost $6,016,938)				10,957,269


MUNICIPAL OBLIGATIONS — 0.0%
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN (b) 2.214% 4/26/27		171,076		170,932


TOTAL MUNICIPAL OBLIGATIONS (Cost $171,075)				170,932


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.8%
Auto Floor Plan ABS — 0.5%
Ally Master Owner Trust, Series 2015-2, Class A1, 1 mo. LIBOR + .570%, FRN 1.804% 1/15/21		1,200,000		1,202,581


	Principal Amount		Value
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) 2.584% 9/27/21	$	780,000	$	785,367

				1,987,948

Automobile ABS — 7.9%
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) 2.220% 7/13/20		85,322		85,318
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		23,364		23,367
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) 2.390% 2/16/21		950,000		949,159
AmeriCredit Automobile Receivables Trust, Series 2017-3, Class A1 1.400% 8/20/18		3,524,527		3,524,640
Bank of The West Auto Trust, Series 2014-1, Class A4 (a) 1.650% 3/16/20		600,000		600,138
California Republic Auto Receivables Trust, Series 2013-2, Class A2 1.230% 3/15/19		9,973		9,972
CFC LLC, Series 2015-1A, Class A (a) 1.750% 6/15/21		151,441		151,302
CFC LLC, Series 2014-2A, Class A (a) 1.440% 11/16/20		41,147		41,124
Chesapeake Funding II LLC, Series 2016-2A, Class A2, 1 mo. USD LIBOR + 1.000%, FRN (a) 2.234% 6/15/28		1,659,342		1,668,944
CPS Auto Trust, Series 2013-A, Class A (a) 1.310% 6/15/20		129,149		129,148
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		7,016		7,016
CPS Auto Trust, Series 2015-A, Class A (a) 1.530% 7/15/19		63,297		63,290
CPS Auto Trust, Series 2016-C, Class A (a) 1.620% 1/15/20		158,979		158,758
CPS Auto Trust, Series 2015-B, Class A (a) 1.650% 11/15/19		204,554		204,539
CPS Auto Trust, Series 2015-C, Class A (a) 1.770% 6/17/19		58,190		58,196


	Principal Amount		Value
CPS Auto Trust, Series 2013-B, Class A (a) 1.820% 9/15/20	$	172,490	$	172,468
CPS Auto Trust, Series 2016-A, Class A (a) 2.250% 10/15/19		150,062		150,250
CPS Auto Trust, Series 2015-C, Class B (a) 2.550% 2/18/20		630,000		630,415
CPS Auto Trust, Series 2016-B, Class A (a) 2.070% 11/15/19		93,013		93,064
CPS Auto Trust, Series 2017-A, Class B (a) 2.680% 5/17/21		2,000,000		2,010,784
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		306,724		307,276
Drive Auto Receivables Trust, Series 2017-1, Class C 2.840% 4/15/22		650,000		653,987
DT Auto Owner Trust, Series 2016-3A, Class A (a) 1.750% 11/15/19		72,062		72,073
DT Auto Owner Trust, Series 2017-3A, Class B (a) 2.400% 5/17/21		810,000		809,001
DT Auto Owner Trust, Series 2016-1A, Class B (a) 2.790% 5/15/20		939,644		940,597
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) 1.830% 9/20/21		611,591		611,358
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) 1.540% 11/15/19		7,561		7,561
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) 2.000% 3/16/20		79,712		79,717
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) 2.840% 8/16/21		420,000		418,698
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) 3.000% 12/15/21		700,000		700,871
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) 1.590% 12/16/19		41,273		41,274
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) 1.920% 5/15/20		313,766		313,953
Flagship Credit Auto Trust, Series 2014-2, Class A (a) 1.430% 12/16/19		6,572		6,571


	Principal Amount		Value
Flagship Credit Auto Trust, Series 2016-3, Class A1 (a) 1.610% 12/15/19	$	428,672	$	428,099
Flagship Credit Auto Trust, Series 2015-1, Class A (a) 1.630% 6/15/20		122,608		122,355
Flagship Credit Auto Trust, Series 2015-2, Class A (a) 1.980% 10/15/20		388,983		389,385
Flagship Credit Auto Trust, Series 2015-3, Class A (a) 2.380% 10/15/20		656,352		656,827
Flagship Credit Auto Trust, Series 2016-4, Class C (a) 2.710% 11/15/22		680,000		672,585
Flagship Credit Auto Trust, Series 2016-1, Class A (a) 2.770% 12/15/20		437,598		440,225
Flagship Credit Auto Trust, Series 2017-1, Class B (a) 2.830% 3/15/23		1,320,000		1,325,031
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) 2.250% 12/15/20		155,422		155,313
Hertz Fleet Lease Funding LP, Series 2016-1, Class A1, 1 mo. USD LIBOR + 1.100%, FRN (a) 2.335% 4/10/30		1,282,874		1,286,291
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) 2.927% 4/15/21		960,000		978,676
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		750,000		745,052
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.934% 7/15/20		254,746		255,378
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) 2.820% 6/10/21		500,000		502,038
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) 3.300% 5/10/24		420,000		422,794
Oscar US Funding Trust VII LLC, Series 2017-2A, Class A1 (a) 1.450% 10/10/18		1,640,000		1,637,770
Prestige Auto Receivables Trust, Series 2015-1, Class B (a) 2.040% 4/15/21		700,000		700,576
Santander Drive Auto Receivables Trust, Series 2017-3, Class A1 1.400% 10/15/18		3,250,000		3,250,165


	Principal Amount		Value
Santander Drive Auto Receivables Trust, Series 2014-2, Class C 2.330% 11/15/19	$	1,552,885	$	1,556,048
Santander Drive Auto Receivables Trust, Series 2014-1, Class C 2.360% 4/15/20		177,041		177,303
Santander Drive Auto Receivables Trust, Series 2015-2, Class C 2.440% 4/15/21		1,200,000		1,205,648
Tidewater Auto Receivables Trust, Series 2016-AA, Class A2 (a) 2.300% 9/15/19		118,583		118,557
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) 1.570% 6/17/19		296,992		296,945
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) 2.284% 1/15/19		253,952		253,983

				33,271,873

Commercial MBS — 0.2%
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) 5.959% 7/10/38		415,042		419,858
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class AM, VRN (b) 6.138% 4/17/45		7,606		7,605
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN (b) 5.508% 2/12/44		222,833		222,839

				650,302

Home Equity ABS — 0.0%
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN 1.972% 8/25/35		142,570		143,113

Other ABS — 10.3%
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.434% 3/15/41		721,276		703,556
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.434% 6/15/41		1,936,280		1,888,356
321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.434% 12/15/41		430,000		419,655


	Principal Amount		Value
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.434% 3/15/42	$	778,215	$	744,336
321 Henderson Receivables II LLC, Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.427% 9/15/41		194,276		183,661
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.977% 12/15/42		820,259		799,034
BCC Funding X LLC, Series 2015-1, Class A2 (a) 2.224% 10/20/20		248,244		248,004
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) 2.487% 12/16/41		375,833		375,275
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		916,337		920,204
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) 2.000% 12/10/23		501,879		499,683
Citigroup Mortgage Loan Trust Asset Backed Pass-Through Certificates, Series 2005-OPT3, Class M2, 1 mo. USD LIBOR + .675%, FRN 1.912% 5/25/35		305,295		305,796
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) 3.960% 7/15/22		213,819		214,747
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.697% 9/25/34		83,564		83,255
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		955,500		953,768
Diamond Resorts Owner Trust, Series 2013-1, Class A (a) 1.950% 1/20/25		401,575		399,708
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) 2.270% 5/20/26		638,570		636,293
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		100,438		100,113
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) 3.540% 5/22/28		185,950		185,674


	Principal Amount		Value
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39	$	233,333	$	231,933
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) 4.154% 7/15/23		361,494		364,972
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B, VRN (a) (b) 3.020% 2/25/27		267,031		262,943
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		426,888		437,270
FNA Trust, Series 2015-1, Class A (a) 3.240% 12/10/23		259,983		258,802
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		14,955		14,945
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) 1.770% 11/25/26		164,888		162,803
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.454% 7/15/25		1,500,000		1,503,327
LCM XXIII Ltd., Series 23A, Class X, 3 mo. USD LIBOR + 1.200%, FRN (a) 2.507% 10/20/29		870,000		869,993
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 2.062% 6/25/35		199,082		197,914
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) 3.620% 2/20/29		770,000		774,533
Marlette Funding Trust, Series 2017-2A, Class A (a) 2.390% 7/15/24		983,050		984,008
Marlette Funding Trust, Series 2017-1A, Class A (a) 2.827% 3/15/24		1,195,376		1,200,384
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		466,248		467,813
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		637,652		639,671
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN 2.182% 4/25/35		167,142		168,095
MVW Owner Trust, Series 2017-1A, Class A (a) 2.420% 12/20/34		218,046		217,227


	Principal Amount		Value
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18	$	20,340	$	20,332
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) 3.610% 2/20/21		379,160		380,337
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) 2.120% 11/15/18		152,248		152,162
New Residential Advance Receivables Trust, Series 2016-T1, Class AT1 (a) 2.751% 6/15/49		250,000		248,500
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) 2.575% 10/15/49		3,800,000		3,771,790
NYCTL Trust, Series 2016-A, Class A (a) 1.470% 11/10/29		1,444,674		1,435,098
OHA Credit Partners XIII Ltd., Series 2016-13A, Class X, 3 mo. USD LIBOR + 1.250%, FRN (a) 2.557% 1/21/30		780,000		779,993
OneMain Financial Issuance Trust, Series 2014-1A, Class A (a) 2.430% 6/18/24		95		95
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) 2.610% 3/08/29		508,694		507,166
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22		155,036		154,564
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		500,000		504,853
PFS Financing Corp., Series 2014-BA, Class A, 1 mo. LIBOR + .600%, FRN (a) 1.834% 10/15/19		1,100,000		1,101,409
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) 1.487% 2/25/37		120,990		120,691
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A, VRN (a) (b) 2.050% 6/20/31		298,732		298,121
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, VRN (a) (b) 2.280% 11/20/25		263,845		263,619
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) 2.300% 10/20/31		322,150		320,685
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		68,964		69,098


	Principal Amount		Value
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A (a) 1.590% 11/20/29	$	91,481	$	91,405
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (a) 3.020% 6/20/32		131,142		129,061
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) 3.050% 12/26/25		572,047		577,732
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) 3.060% 9/25/28		2,839,050		2,863,244
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		864,154		872,949
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		1,277,466		1,297,415
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) 3.280% 2/25/26		1,150,753		1,164,363
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		1,173,299		1,181,296
Springleaf Funding Trust, Series 2016-AA, Class A (a) 2.900% 11/15/29		1,830,000		1,835,103
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) 2.000% 9/20/29		634,698		627,569
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		841,500		857,015
TAL Advantage LLC, Series 2014-2A, Class A1 (a) 1.700% 5/20/39		189,326		188,980
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.934% 12/15/20		1,330,000		1,336,834
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) 2.709% 8/15/47		313,786		314,560
Westgate Resorts LLC, Series 2014-1A, Class A (a) 2.150% 12/20/26		232,908		230,800
Westgate Resorts LLC, Series 2015-1A, Class A (a) 2.750% 5/20/27		281,156		281,708
Westgate Resorts LLC, Series 2017-1A, Class A (a) 3.050% 12/20/30		779,242		775,918


	Principal Amount		Value
Westgate Resorts LLC, Series 2015-2A, Class A (a) 3.200% 7/20/28	$	519,228	$	519,955

				43,692,171

Student Loans ABS — 9.9%
Academic Loan Funding Trust, Series 2013-1A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 2.037% 12/26/44		2,391,216		2,380,971
Access Group, Inc., Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN 1.495% 11/22/24		180,845		180,845
AccessLex Institute, Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN 1.574% 4/25/29		28,748		28,734
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 2.240% 7/01/38		147,573		138,025
Brazos Higher Education Authority, Inc., Series 2006-2, Class A10, 3 mo. USD LIBOR + .120%, FRN 1.448% 6/25/26		450,000		435,103
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN 1.366% 3/15/26		559,610		555,826
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN 1.794% 1/15/37		626,220		571,083
Commonbond Student Loan Trust, Series 2017-AGS, Class A2, 1 mo. USD LIBOR + .850%, FRN (a) 2.087% 5/25/41		860,638		866,125
DRB Prime Student Loan Trust, Series 2015-A, Class A3 2.320% 4/25/30		122,855		122,214
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) 2.540% 4/27/26		221,420		219,027
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		718,204		716,899
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.937% 1/25/40		927,537		945,768
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 3.137% 10/25/44		1,760,369		1,766,530


	Principal Amount		Value
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 3.237% 4/25/40	$	274,102	$	273,371
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) 3.087% 10/27/36		1,039,442		1,039,441
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) 3.287% 2/26/35		759,267		761,916
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.437% 12/27/66		1,984,379		1,986,128
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 2.587% 7/26/66		1,248,300		1,249,085
Edsouth Indenture No. 9 LLC, Series 2015-1, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 2.037% 10/25/56		613,497		613,875
Educational Services of America, Series 2015-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.737% 12/25/58		1,000,000		937,878
Goal Capital Funding Trust, Series 2010-1, Class A, 3 mo. USD LIBOR + .700%, FRN (a) 2.017% 8/25/48		462,429		458,429
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + .750%, FRN 1.987% 12/01/31		468,320		466,540
KeyCorp Student Loan Trust, Series 2000-A, Class A2, 3 mo. USD LIBOR + .320%, FRN 1.637% 5/25/29		517,756		503,587
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.640% 9/27/35		827,657		826,497
Navient Private Education Loan Trust, Series 2016-3A, Class A2, 1 mo. USD LIBOR + .850%, FRN (a) 2.087% 6/25/65		750,000		758,624
Navient Private Education Loan Trust, Series 2015-AA, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.434% 12/15/28		841,046		851,739


	Principal Amount		Value
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (a) 2.237% 9/27/66	$	1,450,000	$	1,449,991
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 2.487% 6/25/65		2,770,621		2,826,190
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) 2.537% 3/25/66		2,200,000		2,269,056
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.987% 12/26/40		949,978		951,837
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN 1.434% 4/25/31		650,000		649,445
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.546% 6/25/41		469,544		402,518
Nelnet Student Loan Trust, Series 2010-4A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 2.034% 4/25/46		107,032		108,187
Nelnet Student Loan Trust, Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.734% 6/25/41		375,000		339,622
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 1.474% 7/15/36		1,067,148		1,067,146
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. USD LIBOR + 2.500%, FRN (a) 3.734% 1/15/43		440,000		456,253
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN 0.500% 3/15/28		240,000		240,000
SLM Student Loan Trust, Series 2003-5, Class A9, 28 day ARS, FRN 0.500% 6/17/30		700,000		700,000
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN 1.424% 1/26/43		600,000		572,164
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 1.454% 10/25/28		700,000		696,538


	Principal Amount		Value
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN 1.524% 10/25/40	$	489,390	$	453,880
SLM Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .220%, FRN 1.534% 1/25/41		505,232		460,030
SLM Student Loan Trust, Series 2003-12, Class A5, 3 mo. USD LIBOR + .280%, FRN (a) 1.600% 9/15/22		105,516		105,574
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN 1.614% 7/25/25		400,000		397,904
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN 1.624% 1/25/55		505,329		457,011
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN 1.784% 10/25/64		383,648		335,165
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (a) 1.864% 10/25/64		1,850,000		1,810,714
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN 1.970% 12/15/38		563,426		534,104
SLM Student Loan Trust, Series 2005-6, Class A5B, 3 mo. USD LIBOR + 1.200%, FRN 2.514% 7/27/26		230,642		231,758
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 4.500% 6/17/30		550,000		550,000
SLM Student Loan Trust, Series 2003-2, Class A7, 28 day ARS, FRN 4.724% 9/15/28		750,000		750,000
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) 1.934% 5/15/23		454,117		454,440
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100%, FRN (a) 2.334% 9/15/34		380,000		386,605
SoFi Professional Loan Program LLC, Series 2016-C, Class A2A (a) 1.480% 5/26/31		814,205		811,087


	Principal Amount		Value
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) 1.680% 3/25/31	$	956,064	$	955,573
SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.432% 3/25/33		256,545		260,156
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.987% 8/25/36		796,309		816,017

				42,153,225

WL Collateral CMO — 0.0%
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1, 1 mo. USD LIBOR + .700%, FRN (a) 1.937% 3/25/45		208,200		206,215


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $121,324,187)				122,104,847


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.7%
Pass-Through Securities — 0.2%
Federal Home Loan Mortgage Corp. Pool #1Q0239 2.998% 3/01/37 1 year CMT + 2.245%, FRN		643,563		678,998
Government National Mortgage Association II Pool #82462 2.375% 1/20/40 1 year CMT + 1.500%, FRN		172,341		177,083

				856,081

Whole Loans — 0.5%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2015-DNA1, 2.137% 10/25/27 Class M1 1 mo. USD LIBOR + .900%, FRN		130,606		130,769
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C06, 2.537% 4/25/29 Class 1M1 1 mo. USD LIBOR + 1.300%, FRN		852,238		859,441
Series 2016-C05, 2.587% 1/25/29 Class 2M1 1 mo. USD LIBOR + 1.350%, FRN		578,159		581,167


	Principal Amount		Value
Series 2016-C04, 2.687% 1/25/29 Class 1M1 1 mo. USD LIBOR + 1.450%, FRN	$	750,404	$	756,534

				2,327,911


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $3,150,189)				3,183,992


U.S. TREASURY OBLIGATIONS — 92.7%
U.S. Treasury Bonds & Notes — 92.7%
U.S. Treasury Inflation Index (c) 0.125% 4/15/20		21,011,334		21,114,400
U.S. Treasury Inflation Index (c) 0.125% 4/15/21		17,837,665		17,893,408
U.S. Treasury Inflation Index (c) 0.125% 1/15/22		16,072,130		16,122,471
U.S. Treasury Inflation Index (c) 0.125% 4/15/22		10,669,854		10,669,132
U.S. Treasury Inflation Index (c) 0.125% 7/15/22		17,048,128		17,129,885
U.S. Treasury Inflation Index (c) 0.125% 1/15/23		16,746,085		16,703,863
U.S. Treasury Inflation Index (c) 0.125% 7/15/24		15,794,287		15,635,307
U.S. Treasury Inflation Index (c) 0.125% 7/15/26		13,889,136		13,505,903
U.S. Treasury Inflation Index (c) 0.250% 1/15/25		15,792,449		15,635,791
U.S. Treasury Inflation Index (c) 0.375% 7/15/23		16,662,254		16,879,927
U.S. Treasury Inflation Index (c) 0.375% 7/15/25		15,845,345		15,847,287
U.S. Treasury Inflation Index (c) 0.375% 1/15/27		13,731,570		13,566,029
U.S. Treasury Inflation Index (c) 0.375% 7/15/27		8,205,986		8,127,359
U.S. Treasury Inflation Index (c) 0.625% 7/15/21		14,852,965		15,266,145
U.S. Treasury Inflation Index (c) 0.625% 1/15/24		16,099,053		16,439,123
U.S. Treasury Inflation Index (c) 0.625% 1/15/26		14,526,384		14,722,812
U.S. Treasury Inflation Index (c) 0.625% 2/15/43		5,749,650		5,372,699
U.S. Treasury Inflation Index (c) 0.750% 2/15/42		7,588,937		7,331,631
U.S. Treasury Inflation Index (c) 0.750% 2/15/45		8,929,820		8,516,609
U.S. Treasury Inflation Index 0.875% 2/15/47		4,766,270		4,696,998
U.S. Treasury Inflation Index (c) 1.000% 2/15/46		6,322,817		6,414,435


	Principal Amount		Value
U.S. Treasury Inflation Index (c) (d) 1.125% 1/15/21	$	14,793,973	$	15,382,549
U.S. Treasury Inflation Index (c) 1.250% 7/15/20		11,786,040		12,282,313
U.S. Treasury Inflation Index 1.375% 1/15/20		1,924,451		1,993,411
U.S. Treasury Inflation Index (c) 1.375% 2/15/44		7,877,775		8,691,482
U.S. Treasury Inflation Index (c) 1.750% 1/15/28		6,426,750		7,194,533
U.S. Treasury Inflation Index 1.875% 7/15/19		2,866,225		2,985,881
U.S. Treasury Inflation Index (c) 2.000% 1/15/26		8,263,646		9,293,522
U.S. Treasury Inflation Index (c) 2.125% 2/15/40		3,737,547		4,703,137
U.S. Treasury Inflation Index (c) 2.125% 2/15/41		4,482,538		5,671,388
U.S. Treasury Inflation Index (c) 2.375% 1/15/25		11,045,273		12,618,389
U.S. Treasury Inflation Index (c) 2.375% 1/15/27		6,312,176		7,379,166
U.S. Treasury Inflation Index (c) 2.500% 1/15/29		6,635,848		8,010,510
U.S. Treasury Inflation Index (c) 3.375% 4/15/32		2,758,280		3,802,226
U.S. Treasury Inflation Index (c) 3.625% 4/15/28		4,540,560		5,943,090
U.S. Treasury Inflation Index (c) 3.875% 4/15/29		6,671,123		9,074,317

				392,617,128


TOTAL U.S. TREASURY OBLIGATIONS (Cost $393,006,753)				392,617,128


TOTAL BONDS & NOTES (Cost $523,669,142)				529,034,168


TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $721,477)				701,131


TOTAL LONG-TERM INVESTMENTS (Cost $524,390,619)				529,735,299


SHORT-TERM INVESTMENTS — 55.5%
Commercial Paper — 55.3%
Agrium, Inc. 1.576% 11/13/17		6,000,000		5,989,501
Amphenol Corp. (a) 1.527% 11/20/17		6,000,000		5,987,745


	Principal Amount		Value
Anheuser-Busch InBev Worldwide, Inc. (a) 1.538% 10/05/17	$	5,500,000	$	5,498,809
Avangrid, Inc. (a) 1.507% 11/01/17		3,000,000		2,996,172
Bell Canada (a) 1.527% 12/18/17		6,000,000		5,980,040
CRH America Finance, Inc. (a) 1.577% 10/04/17		6,000,000		5,998,871
Deutsche Telekom AG (a) 1.615% 1/26/18		6,000,000		5,967,116
Dollar General Corp. (a) 1.471% 10/05/17		6,000,000		5,998,501
Dominion Resources, Inc. (a) 1.614% 10/10/17		6,000,000		5,997,488
Ei Dupont (a) 1.526% 10/02/17		6,000,000		5,999,325
Enbridge (US), Inc. (a) 1.619% 12/07/17		6,000,000		5,983,279
Entergy Corp. (a) 1.680% 11/08/17		6,000,000		5,988,953
Equifax, Inc. (a) 1.571% 1/22/18		6,000,000		5,969,621
FMC Technologies, Inc. (a) 1.525% 10/18/17		6,000,000		5,995,620
Ford Motor Credit Co. (a) 1.579% 10/10/17		6,000,000		5,997,314
Glencore Funding LLC (a) 1.578% 10/06/17		6,000,000		5,998,262
Hewlett Packard Enterprise Co. (a) 1.462% 10/26/17		5,700,000		5,695,135
HP, Inc. (a) 1.452% 10/23/17		6,000,000		5,995,456
Hyundai Capital America (a) 1.421% 10/17/17		6,000,000		5,995,854
Interpublic Group Cos. (a) 1.567% 12/07/17		6,000,000		5,983,245
Leggett & Platt (a) 1.504% 10/02/17		6,000,000		5,999,325
Marriott International, Inc. (a) 1.493% 10/30/17		6,000,000		5,992,813
Mondelez International, Inc. (a) 1.516% 11/10/17		6,000,000		5,990,214
Moodys Corp. (a) 1.578% 11/01/17		6,000,000		5,992,344
National Grid USA (a) 1.527% 10/10/17		5,400,000		5,397,740
NextEra Energy Capital Holdings, Inc. (a) 1.527% 11/27/17		6,000,000		5,985,958
Omnicom Capital, Inc. (a) 1.473% 11/22/17		6,000,000		5,987,238


	Principal Amount		Value
Rogers Communications (a) 1.494% 10/25/17	$	5,000,000	$	4,994,991
Schlumberger Holdings Corp. (a) 1.496% 10/26/17		5,000,000		4,994,570
Schlumberger Holdings Corp. (a) 1.505% 10/03/17		2,350,000		2,349,628
Sempra Energy Holdings (a) 1.463% 10/23/17		6,000,000		5,994,456
Southern Power Co. (a) 1.472% 10/04/17		4,800,000		4,799,097
Spectra Energy Partners (a) 1.471% 10/11/17		6,000,000		5,997,256
TELUS Corp. (a) 1.682% 1/22/18		6,000,000		5,969,621
Thomson Reuters Corp. (a) 1.494% 11/20/17		6,000,000		5,987,303
Transcanada Pipelines Ltd. (a) 1.598% 11/08/17		6,000,000		5,990,687
Vodafone Group PLC (a) 1.535% 10/03/17		6,500,000		6,499,024
Volvo Group Treasury National (a) 1.494% 10/17/17		6,000,000		5,995,854
Whirlpool Corp. (a) 1.496% 12/27/17		6,000,000		5,977,646
WPP CP Finance PLC (a) 1.736% 12/11/17		6,000,000		5,982,176
Xcel Energy, Inc. (a) 1.633% 10/30/17		5,500,000		5,493,412

				234,387,660

Repurchase Agreement — 0.2%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (e)		821,405		821,405

Time Deposit — 0.0%
Euro Time Deposit 0.120% 10/02/17		1,882		1,882


TOTAL SHORT-TERM INVESTMENTS (Cost $235,205,070)				235,210,947


TOTAL INVESTMENTS — 180.5% (Cost $759,595,689) (f)				764,946,246

Other Assets/(Liabilities) — (80.5)%				(341,213,013	)


NET ASSETS — 100.0%			$	423,733,233

amounted to a value of $326,169,913 or 76.98% of net assets.

(b)

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

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

(e)	Maturity value of $821,409. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/21, and an aggregate market value, including accrued interest, of $838,541.

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

The Fund had the following open Reverse Repurchase agreements at September 30, 2017:


	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	$	2,550,750


TOTAL PREFERRED STOCK (Cost $2,375,000)				2,550,750


TOTAL EQUITIES (Cost $2,375,000)				2,550,750


	Principal Amount
BONDS & NOTES — 98.7%

CORPORATE DEBT — 35.2%
Advertising — 0.1%
WPP Finance 2010 5.625% 11/15/43	$	1,205,000		1,343,488

Aerospace & Defense — 0.0%
United Technologies Corp. 6.125% 7/15/38		350,000		449,882

Agriculture — 0.3%
Bunge Ltd. Finance Corp. 3.000% 9/25/22		1,015,000		1,016,163
Bunge Ltd. Finance Corp. 3.250% 8/15/26		1,050,000		1,011,772
Bunge Ltd. Finance Corp. 3.500% 11/24/20		955,000		982,969
Reynolds American, Inc. 5.850% 8/15/45		760,000		929,937

				3,940,841

Airlines — 0.8%
American Airlines Group, Inc. (a) 5.500% 10/01/19		5,926,000		6,207,485
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		214,256		220,577
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700% 4/01/28		544,722		562,425
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A 4.100% 10/01/29		1,817,692		1,908,576
WestJet Airlines Ltd. (a) 3.500% 6/16/21		735,000		747,790

				9,646,853

Auto Manufacturers — 0.9%
Ford Motor Co. 5.291% 12/08/46		530,000		553,004


	Principal Amount		Value
Ford Motor Credit Co. LLC 2.681% 1/09/20	$	1,340,000	$	1,350,836
Ford Motor Credit Co. LLC 4.375% 8/06/23		340,000		358,815
General Motors Co. 4.200% 10/01/27		1,315,000		1,334,165
General Motors Co. 5.150% 4/01/38		800,000		820,232
General Motors Financial Co., Inc. 3.150% 6/30/22		2,420,000		2,439,297
General Motors Financial Co., Inc. 3.200% 7/13/20		1,895,000		1,940,680
Hyundai Capital America (a) 2.550% 2/06/19		1,045,000		1,046,594
Hyundai Capital America (a) 2.875% 8/09/18		800,000		804,160

				10,647,783

Auto Parts & Equipment — 0.0%
Lear Corp. 5.375% 3/15/24		535,000		569,995

Banks — 4.2%
Associated Banc-Corp. 2.750% 11/15/19		2,805,000		2,842,146
Associated Banc-Corp. 4.250% 1/15/25		2,991,000		3,072,716
Banco Santander SA 4.250% 4/11/27		1,800,000		1,868,162
Bancolombia SA 5.950% 6/03/21		1,280,000		1,414,656
Bank of America Corp. 4.183% 11/25/27		3,015,000		3,124,976
Bank of America Corp. 3 mo. USD LIBOR + 1.814%, VRN 4.244% 4/24/38		1,625,000		1,717,619
Bank of America Corp. 4.750% 4/21/45		1,540,000		1,695,040
Bank of America Corp. 5.875% 2/07/42		470,000		602,455
Bank of America Corp. 7.750% 5/14/38		400,000		587,667
The Bank of Nova Scotia 4.500% 12/16/25		1,295,000		1,364,707
Barclays PLC 4.337% 1/10/28		1,720,000		1,775,891
Credit Suisse Group AG (a) 4.282% 1/09/28		1,325,000		1,380,142
Credit Suisse Group Funding Guernsey Ltd. 3.800% 9/15/22		390,000		404,802
First Horizon National Corp. 3.500% 12/15/20		3,580,000		3,685,949


	Principal Amount		Value
First Republic Bank 4.375% 8/01/46	$	4,360,000	$	4,333,141
Fulton Financial Corp. 3.600% 3/16/22		1,565,000		1,581,602
The Goldman Sachs Group, Inc. 5.750% 1/24/22		950,000		1,064,762
The Goldman Sachs Group, Inc. 5.950% 1/15/27		1,410,000		1,644,306
The Goldman Sachs Group, Inc. 6.125% 2/15/33		335,000		420,708
The Goldman Sachs Group, Inc. 6.750% 10/01/37		345,000		455,156
ICICI Bank Ltd. (a) 4.700% 2/21/18		1,250,000		1,262,298
JP Morgan Chase & Co. 3.625% 12/01/27		2,460,000		2,467,095
JP Morgan Chase & Co. 5.600% 7/15/41		1,125,000		1,394,656
SVB Financial Group 3.500% 1/29/25		2,960,000		2,965,068
SVB Financial Group 5.375% 9/15/20		475,000		515,739
Synchrony Bank 3.000% 6/15/22		1,705,000		1,700,784
Turkiye Garanti Bankasi AS (a) 4.750% 10/17/19		3,010,000		3,077,725
UBS Group Funding Switzerland AG (a) 4.253% 3/23/28		1,330,000		1,395,178
Valley National Bancorp 5.125% 9/27/23		1,530,000		1,646,089

				51,461,235

Beverages — 0.4%
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		3,825,000		4,320,596
Molson Coors Brewing Co. 4.200% 7/15/46		620,000		621,653

				4,942,249

Biotechnology — 0.1%
Amgen, Inc. 5.150% 11/15/41		475,000		543,244
Baxalta, Inc. 5.250% 6/23/45		885,000		1,019,950

				1,563,194

Building Materials — 0.7%
James Hardie International Finance Ltd. (a) 5.875% 2/15/23		2,881,000		3,025,050
Standard Industries, Inc. (a) 5.000% 2/15/27		3,037,000		3,166,072
Standard Industries, Inc. (a) 5.375% 11/15/24		1,636,000		1,738,741


	Principal Amount		Value
Standard Industries, Inc. (a) 5.500% 2/15/23	$	1,238,000	$	1,310,733

				9,240,596

Chemicals — 0.7%
Ashland, Inc. 6.875% 5/15/43		302,000		335,220
CF Industries, Inc. 3.450% 6/01/23		1,950,000		1,925,625
CF Industries, Inc. 6.875% 5/01/18		2,890,000		2,969,475
Incitec Pivot Finance LLC (a) 6.000% 12/10/19		640,000		686,015
Monsanto Co. 4.400% 7/15/44		650,000		666,021
RPM International, Inc. 3.750% 3/15/27		725,000		734,847
The Sherwin-Williams Co. 4.500% 6/01/47		700,000		734,612
The Sherwin-Williams Co. (a) 7.250% 6/15/19		315,000		342,285

				8,394,100

Commercial Services — 0.3%
The ADT Corp. 6.250% 10/15/21		2,875,000		3,194,484
ERAC USA Finance LLC (a) 2.800% 11/01/18		395,000		398,221
ERAC USA Finance LLC (a) 6.700% 6/01/34		125,000		155,904

				3,748,609

Computers — 1.3%
Dell International LLC/ EMC Corp. (a) 3.480% 6/01/19		2,975,000		3,034,076
Dell International LLC/EMC Corp. (a) 4.420% 6/15/21		2,435,000		2,556,543
Dell International LLC/EMC Corp. (a) 6.020% 6/15/26		487,000		540,838
DXC Technology Co. 2.875% 3/27/20		610,000		618,134
DXC Technology Co. 4.250% 4/15/24		920,000		967,950
DXC Technology Co. 4.750% 4/15/27		1,845,000		1,973,448
Electronic Data Systems LLC 7.450% 10/15/29		300,000		365,645
Leidos Holdings, Inc. 4.450% 12/01/20		5,665,000		5,956,748

				16,013,382

Diversified Financial Services — 2.6%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		4,035,000		4,269,163


	Principal Amount		Value
Affiliated Managers Group, Inc. 3.500% 8/01/25	$	2,080,000	$	2,097,353
Air Lease Corp. 3.000% 9/15/23		2,980,000		2,972,775
Ally Financial, Inc. 3.250% 11/05/18		3,060,000		3,087,265
Ally Financial, Inc. 4.750% 9/10/18		2,165,000		2,212,846
Ares Finance Co. LLC (a) 4.000% 10/08/24		2,080,000		1,996,565
Brookfield Finance LLC 4.000% 4/01/24		3,030,000		3,138,372
Discover Financial Services 4.100% 2/09/27		1,750,000		1,778,166
Genpact Luxembourg Sarl (a) 3.700% 4/01/22		2,400,000		2,427,741
Lazard Group LLC 3.625% 3/01/27		1,253,000		1,242,870
Lazard Group LLC 4.250% 11/14/20		3,710,000		3,919,417
Legg Mason, Inc. 5.625% 1/15/44		1,195,000		1,296,915
Neuberger Berman Group LLC/Neuberger Berman Finance Corp. (a) 4.500% 3/15/27		1,150,000		1,211,134

				31,650,582

Electric — 2.0%
Duke Energy Corp. 3.750% 9/01/46		1,235,000		1,189,682
EDP Finance BV (a) 3.625% 7/15/24		2,665,000		2,686,880
Entergy Louisiana LLC 4.950% 1/15/45		1,005,000		1,033,642
Florida Power & Light Co. 4.950% 6/01/35		630,000		732,823
IPALCO Enterprises, Inc. 3.450% 7/15/20		4,160,000		4,201,600
IPALCO Enterprises, Inc. (a) 3.700% 9/01/24		1,060,000		1,062,596
Israel Electric Corp. Ltd. (a) 7.250% 1/15/19		1,250,000		1,323,687
Majapahit Holding BV (a) 7.750% 1/20/20		1,220,000		1,360,422
Nevada Power Co., Series N 6.650% 4/01/36		550,000		744,079
Oncor Electric Delivery Co. 7.500% 9/01/38		495,000		732,111
Pacific Gas & Electric Co. 5.800% 3/01/37		543,000		692,350
Pennsylvania Electric Co. (a) 4.150% 4/15/25		1,860,000		1,929,594
Progress Energy, Inc. 7.000% 10/30/31		485,000		654,242


	Principal Amount		Value
Puget Energy, Inc. 3.650% 5/15/25	$	2,345,000	$	2,386,217
Puget Energy, Inc. 6.500% 12/15/20		1,580,000		1,765,173
Tri-State Pass-Through Trust, Series 2003, Class A (a) 6.040% 1/31/18		20,291		20,564
Tri-State Pass-Through Trust, Series 2003, Class B (a) 7.144% 7/31/33		480,000		586,837
Virginia Electric and Power Co. 6.350% 11/30/37		640,000		849,351
Wisconsin Public Service Corp. 5.650% 11/01/17		380,000		381,136

				24,332,986

Electronics — 0.6%
Arrow Electronics, Inc. 3.250% 9/08/24		965,000		954,145
Arrow Electronics, Inc. 3.500% 4/01/22		1,680,000		1,712,748
Arrow Electronics, Inc. 3.875% 1/12/28		985,000		982,897
Avnet, Inc. 3.750% 12/01/21		405,000		413,772
FLIR Systems, Inc. 3.125% 6/15/21		1,235,000		1,251,269
Ingram Micro, Inc. STEP 5.450% 12/15/24		1,288,000		1,321,988
Tech Data Corp. 3.700% 2/15/22		855,000		862,175
Tyco Electronics Group SA 7.125% 10/01/37		335,000		469,697

				7,968,691

Engineering & Construction — 0.4%
SBA Tower Trust (a) 3.156% 10/10/45		1,200,000		1,208,851
SBA Tower Trust (a) 2.877% 7/10/46		1,200,000		1,215,840
SBA Tower Trust (a) 3.168% 4/09/47		1,930,000		1,928,672

				4,353,363

Foods — 0.4%
Kraft Heinz Foods Co. 3.000% 6/01/26		1,915,000		1,834,363
Tyson Foods, Inc. 4.875% 8/15/34		660,000		729,063
The WhiteWave Foods Co. 5.375% 10/01/22		2,113,000		2,379,383

				4,942,809


	Principal Amount		Value
Gas — 0.2%
NiSource Finance Corp. 5.800% 2/01/42	$	950,000	$	1,135,888
Spire, Inc. 4.700% 8/15/44		1,840,000		1,927,232

				3,063,120

Hand & Machine Tools — 0.1%
Kennametal, Inc. 2.650% 11/01/19		800,000		803,498

Health Care – Products — 0.5%
Abbott Laboratories 3.750% 11/30/26		810,000		831,142
Abbott Laboratories 4.900% 11/30/46		755,000		843,283
Becton Dickinson & Co. 3.363% 6/06/24		1,625,000		1,640,161
Becton Dickinson & Co. 3.700% 6/06/27		1,705,000		1,723,907
Becton Dickinson & Co. 4.685% 12/15/44		825,000		872,090

				5,910,583

Health Care – Services — 0.3%
Humana, Inc. 3.950% 3/15/27		1,660,000		1,734,323
Humana, Inc. 4.800% 3/15/47		830,000		924,262
UnitedHealth Group, Inc. 3.950% 10/15/42		350,000		359,086
UnitedHealth Group, Inc. 6.875% 2/15/38		580,000		823,157

				3,840,828

Home Builders — 0.3%
Lennar Corp. 4.500% 11/15/19		3,390,000		3,500,175
Lennar Corp. 6.950% 6/01/18		45,000		46,350

				3,546,525

Household Products — 0.0%
Church & Dwight Co., Inc. 3.150% 8/01/27		520,000		514,913

Insurance — 3.0%
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN 5.750% 8/15/53		2,260,000		2,480,350
American International Group, Inc. 4.500% 7/16/44		1,175,000		1,226,273
AmTrust Financial Services, Inc. 6.125% 8/15/23		3,030,000		2,996,670
Arch Capital Group US, Inc. 5.144% 11/01/43		1,040,000		1,157,958


	Principal Amount		Value
Athene Global Funding (a) 3.000% 7/01/22	$	2,280,000	$	2,270,797
AXIS Specialty Finance PLC 2.650% 4/01/19		590,000		591,492
Brown & Brown, Inc. 4.200% 9/15/24		1,781,000		1,879,077
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN 3.554% 3/29/67		374,000		371,943
CNA Financial Corp. 3.450% 8/15/27		1,115,000		1,102,920
CNO Financial Group, Inc. 4.500% 5/30/20		1,602,000		1,660,073
CNO Financial Group, Inc. 5.250% 5/30/25		2,321,000		2,477,667
Enstar Group Ltd. 4.500% 3/10/22		920,000		951,770
Five Corners Funding Trust (a) 4.419% 11/15/23		1,315,000		1,424,540
QBE Insurance Group Ltd. (a) 2.400% 5/01/18		655,000		655,709
Reinsurance Group of America, Inc. 3.950% 9/15/26		2,260,000		2,288,745
Trinity Acquisition PLC 3.500% 9/15/21		1,540,000		1,572,466
Trinity Acquisition PLC 4.400% 3/15/26		445,000		471,801
Unum Group 3.000% 5/15/21		985,000		998,176
USF&G Capital I (a) 8.500% 12/15/45		885,000		1,248,872
Willis North America, Inc. 3.600% 5/15/24		1,070,000		1,094,584
Willis North America, Inc. 7.000% 9/29/19		566,000		616,194
Willis Towers Watson PLC 5.750% 3/15/21		1,690,000		1,857,121
XLIT Ltd. 4.450% 3/31/25		1,200,000		1,228,800
XLIT Ltd. 5.750% 10/01/21		1,260,000		1,407,325
XLIT Ltd. 6.375% 11/15/24		2,590,000		3,031,331

				37,062,654

Internet — 0.4%
Amazon.com, Inc. (a) 4.050% 8/22/47		1,840,000		1,875,183
Expedia, Inc. 7.456% 8/15/18		2,550,000		2,672,018

				4,547,201


	Principal Amount		Value
Investment Companies — 0.7%
Ares Capital Corp. 3.500% 2/10/23	$	3,100,000	$	3,065,428
Ares Capital Corp. 3.875% 1/15/20		3,250,000		3,332,291
FS Investment Corp. 4.000% 7/15/19		2,450,000		2,498,465

				8,896,184

Iron & Steel — 0.8%
ArcelorMittal 5.125% 6/01/20		2,165,000		2,311,138
ArcelorMittal STEP 5.750% 8/05/20		2,034,000		2,211,975
ArcelorMittal STEP 6.750% 2/25/22		1,201,000		1,376,646
Vale Overseas Ltd. 5.875% 6/10/21		2,825,000		3,106,087
Vale Overseas Ltd. 6.875% 11/21/36		630,000		721,350

				9,727,196

Machinery – Diversified — 0.5%
CNH Industrial Capital LLC 3.375% 7/15/19		1,530,000		1,552,950
CNH Industrial Capital LLC 3.625% 4/15/18		655,000		659,290
CNH Industrial Capital LLC 3.875% 10/15/21		3,280,000		3,370,610

				5,582,850

Media — 0.8%
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20		1,560,000		1,601,461
Charter Communications Operating LLC/Charter Communications Operating Capital 4.464% 7/23/22		992,000		1,049,562
Charter Communications Operating LLC/Charter Communications Operating Capital 6.484% 10/23/45		1,285,000		1,508,176
Comcast Corp. 3.400% 7/15/46		645,000		594,493
Comcast Corp. 6.950% 8/15/37		515,000		718,046
Discovery Communications LLC 2.950% 3/20/23		915,000		917,418
Discovery Communications LLC 5.000% 9/20/37		995,000		1,010,334
Time Warner Cable, Inc. 6.750% 6/15/39		985,000		1,181,843


	Principal Amount		Value
Time Warner Cable, Inc. 8.250% 4/01/19	$	75,000	$	81,545
Time Warner Cable, Inc. 8.750% 2/14/19		325,000		353,028
Time Warner, Inc. 6.250% 3/29/41		210,000		251,571

				9,267,477

Mining — 0.5%
Anglo American Capital PLC (a) 3.625% 9/11/24		665,000		663,340
Glencore Funding LLC (a) 4.625% 4/29/24		2,365,000		2,505,126
Kinross Gold Corp. (a) 4.500% 7/15/27		1,020,000		1,028,925
Kinross Gold Corp. 5.125% 9/01/21		2,225,000		2,386,313

				6,583,704

Miscellaneous – Manufacturing — 0.2%
General Electric Co. 4.125% 10/09/42		1,430,000		1,513,590
General Electric Corp. 6.875% 1/10/39		298,000		436,304

				1,949,894

Office Equipment/Supplies — 0.3%
Pitney Bowes, Inc. 3.625% 9/15/20		845,000		846,783
Pitney Bowes, Inc. STEP 3.625% 10/01/21		3,005,000		2,957,474
Pitney Bowes, Inc. 4.750% 5/15/18		250,000		253,143

				4,057,400

Office Furnishings — 0.0%
Steelcase, Inc. 6.375% 2/15/21		100,000		110,436

Oil & Gas — 2.0%
Anadarko Petroleum Corp. 5.550% 3/15/26		1,050,000		1,172,683
Antero Resources Corp. 5.375% 11/01/21		3,050,000		3,130,062
Cenovus Energy, Inc. (a) 4.250% 4/15/27		1,875,000		1,859,029
Concho Resources, Inc. 3.750% 10/01/27		780,000		783,470
Encana Corp. 3.900% 11/15/21		1,350,000		1,391,175
Encana Corp. 6.500% 5/15/19		805,000		856,651
Encana Corp. 6.500% 2/01/38		545,000		645,100
EQT Corp. 2.500% 10/01/20		1,205,000		1,209,485


	Principal Amount		Value
EQT Corp. 3.900% 10/01/27	$	1,610,000	$	1,610,284
Helmerich & Payne International Drilling Co. 4.650% 3/15/25		935,000		988,731
Marathon Petroleum Corp. 6.500% 3/01/41		1,120,000		1,347,699
Nabors Industries, Inc. 5.500% 1/15/23		1,415,000		1,386,700
Newfield Exploration Co. 5.750% 1/30/22		1,200,000		1,281,000
PBF Holding Co. LLC/PBF Finance Corp. 7.000% 11/15/23		1,175,000		1,208,781
Petroleos Mexicanos 3.125% 1/23/19		325,000		327,925
Petroleos Mexicanos 5.500% 1/21/21		1,190,000		1,269,730
Petroleos Mexicanos 6.375% 1/23/45		595,000		605,413
Petroleos Mexicanos (a) 6.500% 3/13/27		585,000		648,315
Petroleos Mexicanos 6.625% 6/15/35		140,000		150,850
Phillips 66 5.875% 5/01/42		535,000		658,094
QEP Resources, Inc. 6.875% 3/01/21		1,750,000		1,841,875

				24,373,052

Oil & Gas Services — 0.2%
National Oilwell Varco, Inc. 2.600% 12/01/22		1,338,000		1,298,839
National Oilwell Varco, Inc. 3.950% 12/01/42		1,451,000		1,224,197
Weatherford International Ltd. 6.000% 3/15/18		525,000		530,250

				3,053,286

Packaging & Containers — 0.6%
Amcor Finance USA, Inc. (a) 3.625% 4/28/26		3,105,000		3,081,470
Brambles USA, Inc. (a) 4.125% 10/23/25		772,000		803,672
Brambles USA, Inc. (a) 5.350% 4/01/20		490,000		522,511
Graphic Packaging International, Inc. 4.750% 4/15/21		590,000		624,102
Graphic Packaging International, Inc. 4.875% 11/15/22		400,000		426,000
The WestRock MWV LLC 7.550% 3/01/47		1,000,000		1,384,934

				6,842,689


	Principal Amount		Value
Pharmaceuticals — 0.9%
AbbVie, Inc. 4.700% 5/14/45	$	1,860,000	$	2,027,650
Allergan Funding SCS 4.750% 3/15/45		1,270,000		1,374,015
Express Scripts Holding Co. 4.500% 2/25/26		1,180,000		1,262,989
Johnson & Johnson 5.850% 7/15/38		175,000		234,108
McKesson Corp. 4.883% 3/15/44		625,000		693,707
McKesson Corp. 6.000% 3/01/41		550,000		687,595
Pfizer, Inc. 7.200% 3/15/39		395,000		582,689
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		1,085,000		1,078,249
Teva Pharmaceutical Finance Netherlands III BV 1.700% 7/19/19		625,000		615,966
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		1,268,000		1,220,835
Teva Pharmaceutical Finance Netherlands III BV 4.100% 10/01/46		460,000		387,486
Wyeth 6.000% 2/15/36		360,000		468,593

				10,633,882

Pipelines — 2.3%
Energy Transfer LP 4.200% 4/15/27		1,085,000		1,098,562
Energy Transfer LP 6.125% 12/15/45		800,000		878,598
EnLink Midstream Partners LP 4.150% 6/01/25		700,000		705,649
EnLink Midstream Partners LP 4.850% 7/15/26		951,000		995,117
Enterprise Products Operating LLC 5.700% 2/15/42		336,000		400,635
Enterprise Products Operating LLC 5.950% 2/01/41		455,000		545,636
Enterprise Products Operating LLC 6.125% 10/15/39		249,000		301,851
Kinder Morgan Energy Partners LP 6.375% 3/01/41		376,000		433,493
Kinder Morgan Energy Partners LP 6.500% 2/01/37		150,000		169,548
Kinder Morgan Energy Partners LP 6.550% 9/15/40		500,000		571,116
Kinder Morgan Energy Partners LP 6.950% 1/15/38		175,000		212,264


	Principal Amount		Value
Kinder Morgan Finance Co. LLC (a) 6.000% 1/15/18	$	2,700,000	$	2,730,013
Magellan Midstream Partners LP 5.150% 10/15/43		1,115,000		1,235,613
MPLX LP 4.125% 3/01/27		685,000		697,451
MPLX LP 4.875% 12/01/24		3,295,000		3,550,568
MPLX LP 4.875% 6/01/25		2,418,000		2,591,394
MPLX LP 5.200% 3/01/47		245,000		256,512
MPLX LP 5.500% 2/15/23		912,000		938,448
Plains All American Pipeline LP/PAA Finance Corp. 3.650% 6/01/22		1,195,000		1,201,316
Plains All American Pipeline LP/PAA Finance Corp. 4.500% 12/15/26		1,360,000		1,380,278
Sabine Pass Liquefaction LLC (a) 4.200% 3/15/28		1,585,000		1,597,776
Sunoco Logistics Partners Operations LP 4.000% 10/01/27		1,375,000		1,369,836
Sunoco Logistics Partners Operations LP 5.300% 4/01/44		525,000		521,725
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 6.250% 10/15/22		1,750,000		1,861,562
Western Gas Partners LP 4.000% 7/01/22		2,044,000		2,111,975

				28,356,936

Real Estate Investment Trusts (REITS) — 1.1%
American Tower Corp. 4.400% 2/15/26		860,000		909,489
Boston Properties LP 3.700% 11/15/18		475,000		483,032
Brandywine Operating Partners LP 4.950% 4/15/18		800,000		810,786
Crown Castle International Corp. 3.200% 9/01/24		1,605,000		1,597,382
Crown Castle International Corp. 4.000% 3/01/27		790,000		807,825
Federal Realty Investment Trust 5.900% 4/01/20		330,000		359,452
Healthcare Trust of America Holdings LP 2.950% 7/01/22		710,000		714,687
Healthcare Trust of America Holdings LP 3.500% 8/01/26		1,265,000		1,237,894


	Principal Amount		Value
Highwoods Realty LP 7.500% 4/15/18	$	195,000	$	200,781
Host Hotels & Resorts LP 3.750% 10/15/23		215,000		219,854
Host Hotels & Resorts LP 3.875% 4/01/24		1,675,000		1,711,904
Kimco Realty Corp. 3.300% 2/01/25		960,000		959,479
Mid-America Apartments LP 3.600% 6/01/27		1,115,000		1,119,643
UDR, Inc. 3.500% 7/01/27		1,435,000		1,429,115
Weingarten Realty Investors 3.250% 8/15/26		535,000		512,334

				13,073,657

Retail — 1.1%
CVS Health Corp. 6.125% 9/15/39		560,000		703,848
CVS Pass-Through Trust (a) 5.926% 1/10/34		1,191,258		1,360,404
CVS Pass-Through Trust (a) 7.507% 1/10/32		1,051,364		1,302,204
Dollar Tree, Inc. 5.750% 3/01/23		2,945,000		3,106,975
El Puerto de Liverpool SAB de CV (a) 3.950% 10/02/24		2,620,000		2,662,575
The Home Depot, Inc. 5.950% 4/01/41		600,000		790,630
QVC, Inc. 3.125% 4/01/19		960,000		969,782
QVC, Inc. 4.450% 2/15/25		1,380,000		1,399,781
QVC, Inc. 5.125% 7/02/22		545,000		582,670
Tiffany & Co. 4.900% 10/01/44		990,000		973,068

				13,851,937

Semiconductors — 0.1%
QUALCOMM, Inc. 4.300% 5/20/47		1,400,000		1,430,882

Software — 0.3%
Microsoft Corp. 4.450% 11/03/45		2,064,000		2,324,502
Oracle Corp. 4.000% 7/15/46		1,820,000		1,883,169

				4,207,671

Telecommunications — 1.7%
AT&T, Inc. 3.400% 8/14/24		2,005,000		2,008,122
AT&T, Inc. 3.800% 3/01/24		1,680,000		1,728,176


	Principal Amount		Value
AT&T, Inc. 3.900% 8/14/27	$	1,835,000	$	1,838,572
AT&T, Inc. 4.750% 5/15/46		1,775,000		1,707,002
AT&T, Inc. 5.250% 3/01/37		1,295,000		1,362,829
CenturyLink, Inc. 6.150% 9/15/19		560,000		588,000
Cisco Systems, Inc. 5.500% 1/15/40		345,000		431,351
Crown Castle Towers LLC (a) 3.222% 5/15/42		1,700,000		1,732,912
Embarq Corp. 7.995% 6/01/36		145,000		147,175
Hughes Satellite Systems Corp. 6.500% 6/15/19		1,125,000		1,196,719
Sprint Communications, Inc. 9.250% 4/15/22		2,550,000		3,149,250
Telefonaktiebolaget LM Ericsson 4.125% 5/15/22		600,000		595,270
Turk Telekomunikasyon AS (a) 3.750% 6/19/19		240,000		242,771
Verizon Communications, Inc. 4.125% 3/16/27		1,205,000		1,257,313
Verizon Communications, Inc. 4.862% 8/21/46		1,503,000		1,523,538
Verizon Communications, Inc. 5.150% 9/15/23		830,000		930,403
Verizon Communications, Inc. 6.550% 9/15/43		885,000		1,109,993

				21,549,396

Transportation — 0.4%
Asciano Finance Ltd. (a) 4.625% 9/23/20		610,000		636,888
Asciano Finance Ltd. (a) 5.000% 4/07/18		1,150,000		1,166,139
Autoridad del Canal de Panama (a) 4.950% 7/29/35		1,050,000		1,165,500
Burlington Northern Santa Fe LLC 6.150% 5/01/37		720,000		933,055
Union Pacific Corp. 5.375% 6/01/33		520,000		608,926

				4,510,508

Trucking & Leasing — 0.1%
DAE Funding LLC (a) 4.000% 8/01/20		1,049,000		1,069,980


TOTAL CORPORATE DEBT (Cost $419,349,141)				433,628,977


MUNICIPAL OBLIGATIONS — 0.7%
JobsOhio Beverage System Series B 4.532% 1/01/35		3,950,000		4,230,648


	Principal Amount		Value
New York City Water & Sewer System 5.882% 6/15/44	$	105,000	$	143,815
Orange County Local Transportation Authority BAB 6.908% 2/15/41		1,350,000		1,906,376
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN (b) 2.735% 12/01/31		900,000		867,777
State of California BAB 7.550% 4/01/39		120,000		184,032
State of California BAB 7.600% 11/01/40		1,115,000		1,744,696

				9,077,344


TOTAL MUNICIPAL OBLIGATIONS (Cost $8,574,058)				9,077,344


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.2%
Automobile ABS — 1.0%
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		65,968		65,976
CFC LLC, Series 2014-2A, Class A (a) 1.440% 11/16/20		158,257		158,169
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		3,461		3,461
CPS Auto Trust, Series 2016-C, Class A (a) 1.620% 1/15/20		381,550		381,019
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		911,653		913,292
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) 2.210% 7/15/22		2,990,000		2,970,512
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		2,250,000		2,235,155
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.934% 7/15/20		723,149		724,943
Oscar US Funding Trust V, Series 2016-2A, Class A4 (a) 2.990% 12/15/23		4,000,000		3,976,296
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) 3.300% 5/10/24		950,000		956,319

				12,385,142


	Principal Amount		Value
Commercial MBS — 1.4%
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN (b) 6.509% 2/10/51	$	445,719	$	447,077
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN (b) 6.552% 2/10/51		1,310,000		1,318,437
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, VRN (b) 5.513% 1/12/45		758,792		757,789
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 5.700% 6/11/50		104,644		104,617
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM, VRN (b) 5.835% 9/11/42		131,343		131,296
Commercial Mortgage Pass-Through Certificates, Series 2012-CR4, Class B (a) 3.703% 10/15/45		1,060,000		1,072,900
Commercial Mortgage Pass-Through Certificates, Series 2014-UBS2, Class AM 4.199% 3/10/47		1,375,000		1,447,753
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A4, VRN (b) 4.236% 2/10/47		1,410,000		1,521,654
Commercial Mortgage Pass-Through Certificates, Series 2015-CR23, Class C, VRN (b) 4.396% 5/10/48		1,000,000		958,191
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (a) 4.238% 1/10/34		995,000		1,034,176
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) 5.959% 7/10/38		1,286,631		1,301,559
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) 4.948% 1/10/45		488,000		528,962
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN (b) 5.466% 6/12/47		532,150		531,500
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN (b) 6.498% 1/11/43		403,575		404,986


	Principal Amount		Value
Morgan Stanley Capital I Trust, Series 2011-C2, Class B, VRN (a) (b) 5.200% 6/15/44	$	1,325,000	$	1,408,827
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (b) 5.475% 8/15/39		131,822		131,647
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN (b) 2.997% 10/25/46		1,928,265		1,937,707
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN (b) 6.200% 6/15/45		461,712		464,627
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (b) 6.221% 2/15/51		936,261		939,911
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) 3.349% 11/15/43		107,704		109,490

				16,553,106

Home Equity ABS — 0.1%
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN 1.897% 11/25/35		154,627		154,539
Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M1, 1 mo. USD LIBOR + .500%, FRN 1.734% 6/28/44		214,881		215,121
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN 2.137% 2/25/35		541,680		504,918
Mastr Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + ..720%, FRN 1.957% 3/25/35		728,371		728,962
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP 6.276% 10/25/28		6		6

				1,603,546

Other ABS — 15.0%
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.434% 3/15/42		605,279		578,928
321 Henderson Receivables I LLC, Series 2015-1A, Class A (a) 3.260% 9/15/72		1,249,233		1,173,080


	Principal Amount		Value
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN 2.962% 1/25/35	$	463,892	$	462,027
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.784% 10/15/28		2,620,000		2,647,117
ALM VIII Ltd., Series 2013-8A, Class A1R, 3 mo. USD LIBOR + 1.490%, FRN (a) 2.794% 10/15/28		1,240,000		1,249,425
ALM XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.464% 7/28/26		2,450,000		2,457,134
Alterna Funding II LLC, Series 2015-1A, Class A (a) 2.500% 2/15/24		686,664		684,948
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (a) 2.767% 10/20/28		770,000		772,931
Arbys Funding LLC, Series 2015-1A, Class A2 (a) 4.969% 10/30/45		1,866,750		1,926,902
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.977% 12/15/42		1,064,549		1,037,002
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) 2.424% 1/18/25		1,250,000		1,253,279
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.762% 8/05/27		3,825,000		3,841,241
Bain Capital Credit CLO, Series 2017-1A, Class A1, 3 mo. USD LIBOR + 1.250%, FRN (a) 2.564% 7/20/30		1,990,000		1,989,922
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.484% 7/15/26		2,180,000		2,189,537
Blackbird Capital Aircraft Lease Securitization Ltd., Series 2016-1A, Class AA, STEP (a) 2.487% 12/16/41		1,723,333		1,720,774
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (a) 2.513% 1/22/25		930,000		931,084


	Principal Amount		Value
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) 2.734% 7/18/27	$	2,595,000	$	2,603,942
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		1,499,460		1,505,788
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) 2.940% 5/25/29		1,202,298		1,199,569
Capital Automotive REIT, Series 2014-1A, Class A (a) 3.660% 10/15/44		900,000		909,425
Capital Automotive REIT, Series 2017-1A, Class A2 (a) 4.180% 4/15/47		995,833		1,005,434
Carlyle Global Market Strategies CLO Ltd., Series 2013-1A, Class A1R, 3 mo. USD LIBOR + 1.220%, FRN (a) 2.529% 8/14/30		4,000,000		3,999,956
CBAM Ltd., Series 2017-3A, Class A, FRN (a) (b) 1.000% 10/17/29		3,510,000		3,510,000
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) 4.474% 3/20/43		1,112,276		1,118,240
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) 3.960% 7/15/22		623,637		626,345
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.697% 9/25/34		180,089		179,423
Cronos Containers Program I Ltd., Series 2014-2A, Class A (a) 3.270% 11/18/29		411,111		410,583
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		2,569,125		2,564,468
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) 2.540% 5/20/27		310,486		310,226
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		691,908		689,667
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) 2.990% 5/22/28		734,013		731,022
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) 3.080% 11/20/28		3,482,159		3,452,101
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) 3.484% 10/25/45		2,863,750		2,876,621


	Principal Amount		Value
Domino’s Pizza Master Issuer LLC, Series 2017-1A, Class A23 (a) 4.118% 7/25/47	$	780,000	$	784,615
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (a) 4.474% 10/25/45		3,061,250		3,155,401
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39		583,333		579,833
Drug Royalty Corp., Inc., Series 2014-1, Class A2 (a) 3.484% 7/15/23		352,677		349,543
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) 5.800% 7/15/24		62,051		62,349
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) 2.730% 4/25/28		1,866,910		1,815,159
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) 2.707% 2/19/45		471,154		463,257
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		1,264,854		1,295,615
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		561,943		566,025
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) 4.212% 10/15/42		1,978,554		1,985,758
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 1.477% 1/25/36		4,784		4,784
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.757% 7/20/27		2,875,000		2,885,229
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) 3.190% 7/17/29		341,667		334,661
Global SC Finance II SRL, Series 2013-2A, Class A (a) 3.670% 11/17/28		988,000		979,715
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) 3.850% 4/15/37		1,783,375		1,801,586
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		20,937		20,923
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.464% 4/25/25		3,557,267		3,557,238


	Principal Amount		Value
Goodgreen Trust, Series 2016-1A, Class A (a) 3.230% 10/15/52	$	2,875,579	$	2,848,806
Goodgreen Trust, Series 2017-1A, Class A (a) 3.740% 10/15/52		1,296,271		1,320,311
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.882% 4/25/35		106,502		106,994
Helios Issuer LLC, Series 2017-1A, Class A (a) 4.940% 9/20/49		1,711,284		1,733,135
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) 3.524% 4/16/21		506,387		507,178
HERO Funding Trust, Series 2016-3A, Class A1 (a) 3.080% 9/20/42		1,727,328		1,720,252
HERO Funding Trust, Series 2017-2A, Class A1 (a) 3.280% 9/20/48		504,002		507,132
HERO Funding Trust, Series 2016-4A, Class A1 (a) 3.570% 9/20/47		1,897,809		1,917,131
HERO Funding Trust, Series 2017-2A, Class A2 (a) 4.070% 9/20/48		405,178		415,666
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) 2.280% 1/25/26		637,909		635,622
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 1.407% 8/25/36		3,462		3,462
KKR Financial CLO Ltd., Series 2018, Class A, 3 mo. USD LIBOR + 1.270%, FRN (a) 2.587% 7/18/30		1,200,000		1,199,992
Labrador Aviation Finance Ltd., Series 2016-1A, Class A1 (a) 4.300% 1/15/42		2,702,500		2,776,084
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.454% 7/15/25		1,100,000		1,102,440
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.707% 10/20/29		3,030,000		3,052,549
Lendmark Funding Trust, Series 2017-1A, Class A (a) 2.830% 12/22/25		1,270,000		1,270,430


	Principal Amount		Value
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN 2.032% 2/25/35	$	268,960	$	269,537
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 2.062% 6/25/35		647,018		643,220
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.715% 11/15/28		760,000		768,595
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		945,357		948,531
Marlette Funding Trust, Series 2017-2A, Class B (a) 3.190% 7/15/24		1,000,000		1,000,272
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) 2.510% 5/20/30		219,238		219,564
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		1,040,520		1,043,815
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) 4.450% 6/20/42		598,730		606,139
MVW Owner Trust, Series 2017-1A, Class A (a) 2.420% 12/20/34		495,558		493,698
MVW Owner Trust, Series 2015-1A, Class A (a) 2.520% 12/20/32		754,103		746,180
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		69,156		69,128
New Residential Advance Receivables Trust, Series 2016-T4, Class AT4 (a) 3.107% 12/15/50		3,000,000		2,966,754
NRZ Advance Receivables Trust, Series 2016-T3, Class AT3 (a) 2.833% 10/16/51		10,600,000		10,493,917
OHA Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (a) 2.427% 4/20/25		1,948,747		1,952,818
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) 4.210% 5/17/20		870,000		866,266
Oportun Funding VI LLC, Series 2017-A, Class A (a) 3.230% 6/08/23		1,880,000		1,893,438


	Principal Amount		Value
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) 2.290% 7/09/29	$	257,820	$	256,199
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) 2.610% 3/08/29		1,454,436		1,450,067
Orange Lake Timeshare Trust, Series 2016-A, Class B (a) 2.910% 3/08/29		1,217,995		1,197,771
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		1,400,000		1,413,588
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22		484,488		483,012
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 1.497% 9/25/35		1,759		1,759
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) 2.656% 2/20/30		700,000		702,714
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class M1, 1 mo. USD LIBOR + ..400%, FRN 1.637% 10/25/35		139,703		139,622
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, VRN (a) (b) 2.280% 11/20/25		766,103		765,449
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		241,373		241,843
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) 3.050% 12/26/25		1,633,513		1,649,747
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) 3.060% 9/25/28		7,976,378		8,044,353
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		2,524,239		2,549,930
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		3,586,974		3,642,989
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) 3.280% 2/25/26		3,068,674		3,104,969
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1, 1 mo. USD LIBOR + .450%, FRN 1.687% 6/25/36		456,366		456,879


	Principal Amount		Value
Spirit Master Funding LLC, Series 2014-4A, Class A1 (a) 3.501% 1/20/45	$	1,000,000	$	996,877
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		1,371,293		1,380,640
SPS Servicer Advance Receivables Trust, Series 2016-T2, Class AT2 (a) 2.750% 11/15/49		4,490,000		4,492,283
Structured Receivables Finance LLC, Series 2010-B, Class A (a) 3.730% 8/15/36		266,016		266,300
SuttonPark Structured Settlements LLC, Series 2017-1A, Class A (a) 4.190% 1/15/71		2,025,793		2,035,910
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.484% 10/17/26		2,900,000		2,910,924
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		2,475,000		2,520,631
TAL Advantage VI LLC, Series 2017-1A, Class A (a) 4.500% 4/20/42		2,606,162		2,702,176
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.784% 10/13/29		2,150,000		2,188,070
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) 2.677% 4/20/27		1,750,000		1,759,228
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) 2.709% 8/15/47		617,767		619,290
Trip Rail Master Funding LLC, Series 2017-1A, Class A2 (a) 3.736% 8/15/47		810,000		810,073
Triton Container Finance IV LLC, Series 2017-2A, Class A (a) 3.620% 8/20/42		3,403,891		3,423,969
Triton Container Finance VI LLC, Series 2017-1A, Class A (a) 3.520% 6/20/42		937,560		933,446
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) 2.540% 7/20/33		2,048,226		2,034,193
Wendys Funding LLC, Series 2015-1A, Class A2I (a) 3.371% 6/15/45		3,895,500		3,922,684


	Principal Amount		Value
Wendys Funding LLC, Series 2015-1A, Class A2II (a) 4.080% 6/15/45	$	1,793,400	$	1,823,622
Wendys Funding LLC, Series 2015-1A, Class A23 (a) 4.497% 6/15/45		2,156,000		2,217,652
Westgate Resorts LLC, Series 2015-1A, Class A (a) 2.750% 5/20/27		895,173		896,933
Westgate Resorts LLC, Series 2017-1A, Class A (a) 3.050% 12/20/30		1,558,484		1,551,836

				184,936,516

Student Loans ABS — 10.4%
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN 1.699% 7/01/39		2,950,000		2,904,855
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 2.240% 7/01/38		486,989		455,482
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN 1.115% 1/25/47		900,000		687,959
Collegiate Funding Services Education Loan Trust, Series 2005-B, Class A4, 3 mo. USD LIBOR + .160%, FRN 1.491% 3/28/35		1,500,000		1,432,614
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		1,814,411		1,811,114
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 3.137% 10/27/31		250,291		255,752
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 3.137% 10/25/44		5,105,069		5,122,937
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) 3.200% 1/25/40		967,534		976,603
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 3.237% 4/25/40		791,850		789,738
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) 2.720% 1/25/41		1,944,801		1,942,604


	Principal Amount		Value
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (a) 3.020% 5/25/34	$	1,364,672	$	1,370,437
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) 3.087% 10/27/36		3,051,851		3,051,847
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.437% 12/27/66		3,212,805		3,215,635
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 2.587% 7/26/66		3,660,140		3,662,441
Education Services of America, Series 2014-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.737% 6/25/48		1,200,000		1,035,012
Education Services of America, Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.737% 10/25/56		1,100,000		958,219
Educational Funding of the South, Inc., Series 2011-1, Class B, 3 mo. USD LIBOR + 3.700%, FRN 5.014% 4/25/46		625,000		677,745
Higher Education Funding I, Series 2004-1, Class B2, 28 day ARS, FRN (a) 2.660% 1/01/44		450,000		365,893
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) 2.672% 1/01/44		450,000		393,322
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.640% 9/27/35		658,747		657,824
Laurel Road Prime Student Loan Trust, Series 2017-B, Class BFX (a) 3.020% 8/25/42		1,210,000		1,206,021
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (a) 1.937% 2/25/70		2,919,059		2,894,081
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN 1.984% 2/25/39		3,000,000		2,916,529
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (a) 2.048% 7/26/66		2,130,000		2,129,988


	Principal Amount		Value
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (a) 2.237% 9/27/66	$	2,600,000	$	2,599,985
Navient Student Loan Trust, Series 2017-3A, Class A3, 1 mo. USD LIBOR + 1.050%, FRN (a) 2.287% 7/26/66		2,500,000		2,519,889
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) 2.387% 7/26/66		6,000,000		6,115,307
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 2.487% 6/25/65		2,972,921		3,032,547
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) 2.537% 3/25/66		13,750,000		14,181,597
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.737% 10/25/58		940,000		874,990
Navient Student Loan Trust, Series 2016-2, Class A3, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.737% 6/25/65		2,370,000		2,439,395
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) 3.600% 12/26/40		1,372,225		1,368,916
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN 1.423% 3/23/37		1,156,706		1,129,682
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN 1.434% 4/25/31		1,220,000		1,218,957
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.546% 6/25/41		872,870		748,271
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) 1.864% 1/25/37		2,083,530		2,068,287
Nelnet Student Loan Trust, Series 2005-4, Class A4A, 7 day ARS, FRN 2.236% 3/22/32		325,000		306,181


	Principal Amount		Value
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + .800%, FRN 2.114% 7/25/36	$	1,600,000	$	1,579,746
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) 2.187% 11/25/65		3,423,749		3,429,915
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN 1.604% 7/15/36		378,000		372,784
SLM Student Loan Trust, Series 2002-7, Class A10, 28 day ARS, FRN 0.500% 3/15/28		297,000		297,000
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN 0.500% 3/15/28		768,000		768,000
SLM Student Loan Trust, Series 2007-3, Class B, 3 mo. USD LIBOR + .150%, FRN 1.464% 1/25/28		2,400,000		2,022,005
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN 1.464% 4/25/40		1,040,031		952,912
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (a) 1.864% 10/25/64		5,100,000		4,991,697
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN 2.064% 10/25/40		1,056,000		1,041,136
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.737% 6/25/43		1,420,000		1,392,007
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 4.500% 6/17/30		250,000		250,000
SLM Student Loan Trust, Series 2002-7, Class B, 28 day ARS, FRN 4.716% 12/15/39		3,950,000		3,947,727
SLM Student Loan Trust, Series 2003-2, Class A7, 28 day ARS, FRN 4.724% 9/15/28		650,000		650,000
SMB Private Education Loan Trust, Series 2016-B, Class A2A (a) 2.430% 2/17/32		1,575,000		1,562,011
SMB Private Education Loan Trust, Series 2016-A, Class A2A (a) 2.700% 5/15/31		3,000,000		3,013,606


	Principal Amount		Value
SoFi Professional Loan Program LLC, Series 2015-A, Class RC (Acquired 4/19/17, Cost $3,376,500) (a) (c) (d) 0.000% 3/25/33	$	1,200	$	2,640,000
SoFi Professional Loan Program LLC, Series 2017-D, Class R1 (Acquired 7/19/17, Cost $2,653,222) (a) (c) (d) 0.000% 9/25/40		4,688,500		2,653,222
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B (a) 2.340% 4/25/33		1,300,000		1,288,910
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) 2.360% 12/27/32		570,000		566,388
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.437% 6/25/33		1,875,477		1,894,936
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) 2.490% 1/25/36		1,610,000		1,604,665
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (a) 2.740% 10/25/32		2,300,000		2,293,605
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.987% 8/25/36		937,194		960,390
SoFi Professional Loan Program LLC, Series 2017-A, Class B, VRN (a) (b) 3.440% 3/26/40		1,220,000		1,209,354
SoFi Professional Loan Program LLC, Series 2017-C, Class C, VRN (a) (b) 4.210% 7/25/40		990,000		960,261
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN 2.237% 1/03/33		1,800,000		1,781,265
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.737% 8/01/35		3,050,000		2,967,558
South Texas Higher Education Authority, Inc., Series 2012-1, Class A3, 3 mo. USD LIBOR + .850%, FRN 2.149% 10/01/46		1,700,000		1,694,825

				128,304,581

WL Collateral CMO — 0.3%
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (b) 3.816% 8/25/34		47,350		47,600


	Principal Amount		Value
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (b) 3.456% 2/25/34	$	18,646	$	18,988
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (b) 3.887% 9/25/33		7,449		7,212
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (b) 3.708% 8/25/34		9,226		9,536
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (b) 3.151% 8/25/34		51,522		50,240
JP Morgan Mortgage Trust, Series 2017-1, Class A11, VRN (a) (b) 3.500% 1/25/47		3,431,976		3,456,811
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (b) 3.370% 2/25/34		5,246		5,135
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (b) 3.547% 7/25/33		3,403		3,502
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (b) 3.375% 2/25/34		229		244
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (b) 3.508% 3/25/34		30,489		31,473
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 2.289% 4/25/44		78,496		80,397

				3,711,138


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $345,968,397)				347,494,029


SOVEREIGN DEBT OBLIGATIONS — 0.7%
Colombia Government International Bond 6.125% 1/18/41		2,580,000		3,034,080
Mexico Government International Bond 6.750% 9/27/34		685,000		898,035


	Principal Amount		Value
Mexico Government International Bond 4.750% 3/08/44	$	4,727,000	$	4,871,173

				8,803,288


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $8,257,423)				8,803,288


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 25.9%
Collateralized Mortgage Obligations — 1.4%
Federal Home Loan Mortgage Corp. Series 4303, Class AP 3.000% 8/15/43		2,859,358		2,923,639
Series 4290, Class CA 3.500% 12/15/38		1,900,051		1,966,036
Series 2617, Class Z 5.500% 5/15/33		1,515,803		1,677,560
Series 2693, Class Z 5.500% 10/15/33		2,713,249		2,959,448
Series 3423, Class PB 5.500% 3/15/38		563,918		619,311
Series 2178, Class PB 7.000% 8/15/29		61,786		68,349
Federal National Mortgage Association Series 2014-7, Class VA 3.500% 5/25/25		1,371,852		1,435,115
Series 2014-48, Class AB 4.000% 10/25/40		2,634,402		2,761,815
Series 2007-32, Class Z 5.500% 4/25/37		849,244		933,240
Series 2010-60, Class HJ 5.500% 5/25/40		593,269		640,381
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA 5.500% 6/25/37		737,449		804,727

				16,789,621

Pass-Through Securities — 23.7%
Federal Home Loan Mortgage Corp. Pool #G11630 3.500% 6/01/19		36,533		38,174
Pool #J13972 3.500% 1/01/26		63,211		66,188
Pool #C91344 3.500% 11/01/30		168,046		175,778
Pool #C91424 3.500% 1/01/32		113,392		118,610
Pool #Q37467 3.500% 11/01/45		5,922,393		6,138,930
Pool #Q41916 3.500% 7/01/46		2,043,803		2,124,916


	Principal Amount		Value
Pool #Q42045 3.500% 7/01/46	$	862,878	$	897,124
Pool #Q44275 3.500% 11/01/46		1,579,062		1,642,224
Pool #Q44277 3.500% 11/01/46		485,064		503,481
Pool #Q45741 3.500% 1/01/47		4,510,025		4,681,265
Pool #Q47730 4.000% 4/01/47		1,711,215		1,825,986
Pool #Q47742 4.000% 4/01/47		1,417,128		1,512,175
Pool #C91239 4.500% 3/01/29		8,893		9,583
Pool #C91251 4.500% 6/01/29		55,720		60,047
Pool #C03537 4.500% 8/01/40		1,231,844		1,340,448
Pool #G06057 4.500% 10/01/40		1,163,264		1,258,370
Pool #G60485 4.500% 10/01/41		1,438,751		1,556,830
Pool #G60172 4.500% 9/01/43		1,516,008		1,650,613
Pool #Q48208 4.500% 5/01/47		1,174,616		1,263,125
Pool #Q48869 4.500% 6/01/47		10,592,750		11,381,000
Pool #G05253 5.000% 2/01/39		270,025		295,931
Pool #C90939 5.500% 12/01/25		34,633		38,313
Pool #C91026 5.500% 4/01/27		57,951		64,108
Pool #D97258 5.500% 4/01/27		39,157		43,318
Pool #C91074 5.500% 8/01/27		5,680		6,283
Pool #D97417 5.500% 10/01/27		12,423		13,743
Pool #C91128 5.500% 12/01/27		3,117		3,448
Pool #C91148 5.500% 1/01/28		117,356		129,825
Pool #C91176 5.500% 5/01/28		42,821		47,371
Pool #C91217 5.500% 11/01/28		16,647		18,416
Pool #G11431 6.000% 2/01/18		1		1
Pool #C01079 7.500% 10/01/30		2,024		2,390
Pool #C01135 7.500% 2/01/31		5,892		6,941


	Principal Amount		Value
Federal Home Loan Mortgage Corp. TBA Pool # 3376 3.500% 10/12/47 (e)	$	20,400,000	$	21,034,314
Pool #3735 4.000% 11/13/47 (e)		10,950,000		11,510,759
Federal National Mortgage Association Pool #888586 2.980% 10/01/34 1 year CMT + 2.207%, FRN		140,349		147,473
Pool #AO8180 3.000% 9/01/42		41,760		42,152
Pool #AB7397 3.000% 12/01/42		196,101		197,940
Pool #AR1975 3.000% 12/01/42		52,405		52,896
Pool #AP8668 3.000% 12/01/42		233,970		236,163
Pool #AB7401 3.000% 12/01/42		186,528		188,277
Pool #AR5391 3.000% 1/01/43		122,897		124,050
Pool #AR0306 3.000% 1/01/43		16,063		16,213
Pool #AR4109 3.000% 2/01/43		167,612		169,026
Pool #AL3215 3.000% 2/01/43		173,504		174,968
Pool #AB8809 3.000% 3/01/43		96,580		97,395
Pool #AT0169 3.000% 3/01/43		291,625		294,086
Pool #AR4432 3.000% 3/01/43		65,515		66,068
Pool #MA1368 3.000% 3/01/43		317,547		320,227
Pool #AR2174 3.000% 4/01/43		330,717		333,507
Pool #725692 3.041% 10/01/33 1 year CMT + 2.146%, FRN		156,139		164,408
Pool #775539 3.475% 5/01/34 12 mo. USD LIBOR + 1.645%, FRN		48,099		50,558
Pool #AS1304 3.500% 12/01/28		1,911,092		1,999,256
Pool #AV1897 3.500% 12/01/28		319,773		334,825
Pool #AV2325 3.500% 12/01/28		1,034,166		1,081,876
Pool #AS6187 3.500% 11/01/45		13,668,428		14,167,112


	Principal Amount		Value
Pool #AS6306 3.500% 12/01/45	$	4,804,369	$	4,987,160
Pool #AS6477 3.500% 1/01/46		5,014,244		5,197,186
Pool #AS6476 3.500% 1/01/46		4,399,837		4,567,237
Pool #AS6475 3.500% 1/01/46		4,204,587		4,366,529
Pool #BH4875 3.500% 6/01/47		3,180,696		3,281,707
Pool #AZ7917 4.000% 3/01/41		537,731		570,225
Pool #AL8422 4.000% 1/01/43		485,994		515,211
Pool #MA3027 4.000% 6/01/47		26,813,725		28,264,391
Pool #BF0094 4.000% 5/01/56		7,334,625		7,780,147
Pool #BF0105 4.000% 6/01/56		2,329,071		2,470,544
Pool #AA3980 4.500% 4/01/28		80,725		88,293
Pool #AH6787 4.500% 3/01/41		1,134,930		1,236,542
Pool #CA0185 4.500% 8/01/47		5,786,315		6,227,521
Pool #AD6437 5.000% 6/01/40		649,608		721,724
Pool #AD6996 5.000% 7/01/40		4,365,221		4,797,310
Pool #AL8173 5.000% 2/01/44		1,772,500		1,943,518
Pool #AD0836 5.500% 11/01/28		104,702		115,827
Pool #575667 7.000% 3/01/31		12,837		15,058
Pool #529453 7.500% 1/01/30		2,778		3,286
Pool #531196 7.500% 2/01/30		353		416
Pool #530299 7.500% 3/01/30		391		448
Pool #536386 7.500% 4/01/30		490		577
Pool #535996 7.500% 6/01/31		7,921		9,351
Pool #523499 8.000% 11/01/29		284		336
Pool #252926 8.000% 12/01/29		247		294
Pool #532819 8.000% 3/01/30		138		165


	Principal Amount		Value
Pool #534703 8.000% 5/01/30	$	2,907	$	3,466
Pool #253437 8.000% 9/01/30		183		219
Pool #253481 8.000% 10/01/30		111		133
Pool #602008 8.000% 8/01/31		4,531		5,406
Pool #190317 8.000% 8/01/31		4,038		4,818
Pool #596656 8.000% 8/01/31		1,650		1,760
Pool #597220 8.000% 9/01/31		3,347		4,025
Federal National Mortgage Association TBA (e) Pool #17115 3.500% 10/12/47		53,900,000		55,563,322
Government National Mortgage Association Pool #783896 3.500% 5/15/44		5,039,758		5,263,003
Pool #MA4510 3.500% 6/20/47		18,733,224		19,500,848
Pool #MA4586 3.500% 7/20/47		6,965,518		7,250,941
Pool #371146 7.000% 9/15/23		472		518
Pool #374440 7.000% 11/15/23		495		542
Pool #352022 7.000% 11/15/23		7,181		7,933
Pool #491089 7.000% 12/15/28		9,796		11,075
Pool #480539 7.000% 4/15/29		454		528
Pool #488634 7.000% 5/15/29		2,445		2,846
Pool #478658 7.000% 5/15/29		2,311		2,707
Pool #500928 7.000% 5/15/29		4,564		5,331
Pool #510083 7.000% 7/15/29		1,264		1,469
Pool #499410 7.000% 7/15/29		1,341		1,574
Pool #516706 7.000% 8/15/29		99		105
Pool #493723 7.000% 8/15/29		2,723		3,198
Pool #581417 7.000% 7/15/32		24,644		28,908


	Principal Amount		Value
Government National Mortgage Association II Pool #008746 2.250% 11/20/25 1 year CMT + 1.500%, FRN	$	5,370	$	5,463
Pool #080136 2.250% 11/20/27 1 year CMT + 1.500%, FRN		1,048		1,069
Pool #82462 2.375% 1/20/40 1 year CMT + 1.500%, FRN		598,660		615,130
Pool #82488 2.375% 3/20/40 1 year CMT + 1.500%, FRN		567,668		583,048
Pool #784026 3.500% 12/20/44		1,764,225		1,842,030
Government National Mortgage Association II TBA Pool #1635 3.500% 10/23/47 (e)		17,800,000		18,505,047
Pool #1367 4.000% 10/23/47 (e)		13,750,000		14,478,321

				292,574,290

Whole Loans — 0.8%
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes Series 2016-HQA3, Class M1 1 mo. USD LIBOR + .800%, FRN 2.037% 3/25/29		645,541		645,803
Series 2016-HQA3, Class M2 1 mo. USD LIBOR + 1.350%, FRN 2.587% 3/25/29		790,000		797,831
Series 2016-DNA1, Class M1 1 mo. USD LIBOR + 1.450%, FRN 2.687% 7/25/28		349,992		350,719
Federal National Mortgage Association Connecticut Avenue Securities Series 2016-C06, 2.537% 4/25/29 Class 1M1 1 mo. USD LIBOR + 1.300%, FRN		2,357,857		2,377,788
Series 2016-C05, 2.587% 1/25/29 Class 2M1 1 mo. USD LIBOR + 1.350%, FRN		3,596,599		3,615,312
Series 2016-C04, 2.687% 1/25/29 Class 1M1 1 mo. USD LIBOR + 1.450%, FRN		2,190,834		2,208,732

				9,996,185


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS ANDINSTRUMENTALITIES (Cost $320,413,566)				319,360,096


	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 8.0%
U.S. Treasury Bonds & Notes — 8.0%
U.S. Treasury Bond 2.500% 5/15/46	$	30,750,000	$	28,580,683
U.S. Treasury Bond (f) 3.500% 2/15/39		19,300,000		21,798,445
U.S. Treasury Note 1.875% 3/31/22		12,100,000		12,095,274
U.S. Treasury Note 2.000% 11/15/26		36,900,000		35,958,762

				98,433,164


TOTAL U.S. TREASURY OBLIGATIONS (Cost $98,903,488)				98,433,164


TOTAL BONDS & NOTES (Cost $1,201,466,073)				1,216,796,898


TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $2,081,636)				2,022,845


TOTAL LONG-TERM INVESTMENTS (Cost $1,205,922,709)				1,221,370,493


SHORT-TERM INVESTMENTS — 11.1%
Commercial Paper — 11.0%
Agrium, Inc. 1.525% 11/17/17		6,000,000		5,988,501
Agrium, Inc. 1.576% 11/13/17		6,000,000		5,989,500
Amphenol Corp. (a) 1.527% 12/11/17		6,000,000		5,982,176
Amphenol Corp. (a) 1.537% 10/06/17		4,750,000		4,748,744
Bell Canada (a) 1.527% 12/04/17		3,000,000		2,991,871
Bell Canada (a) 1.527% 10/11/17		1,500,000		1,499,282
Bell Canada (a) 1.527% 12/14/17		1,800,000		1,794,334
Bell Canada (a) 1.527% 12/14/17		5,000,000		4,984,262
Dominion Resources, Inc. (a) 1.614% 10/10/17		7,000,000		6,997,070
Enbridge (US), Inc. (a) 1.588% 12/14/17		5,000,000		4,984,452
Enbridge (US), Inc. (a) 1.619% 12/07/17		3,000,000		2,991,640
FMC Technologies, Inc. (a) 1.525% 10/25/17		3,000,000		2,996,995


	Principal Amount		Value
Glencore Funding LLC (a) 1.525% 10/26/17	$	2,000,000	$	1,997,702
HP, Inc. (a) 1.577% 10/20/17		5,000,000		4,996,692
Interpublic Group Cos. (a) 1.567% 12/07/17		2,100,000		2,094,136
Marriott International (a) 1.524% 10/16/17		5,000,000		4,996,739
Marriott International (a) 1.524% 10/17/17		3,000,000		2,997,927
Moodys Corp. (a) 1.578% 11/01/17		11,600,000		11,585,198
Nasdaq, Inc. (a) 1.608% 10/24/17		6,000,000		5,994,179
NextEra Energy Capital Holdings, Inc. (a) 1.547% 10/12/17		4,500,000		4,497,766
Spectra Energy Partners (a) 1.523% 10/23/17		1,066,000		1,065,015
Suncor Energy, Inc. (a) 1.547% 10/18/17		5,700,000		5,695,839
Suncor Energy, Inc. (a) 1.547% 10/20/17		6,000,000		5,995,156
Telus Corp. (a) 1.599% 11/01/17		5,000,000		4,993,620
Telus Corp. (a) 1.610% 12/15/17		1,000,000		996,845
Telus Corp. (a) 1.632% 12/18/17		6,000,000		5,980,227
Whirlpool Corp. (a) 1.495% 12/18/17		5,000,000		4,983,522
Whirlpool Corp. (a) 1.496% 12/27/17		4,000,000		3,985,097
WPP CP Finance PLC (a) 1.736% 2/09/18		5,000,000		4,970,001
WPP CP Finance PLC (a) 1.736% 12/12/17		6,000,000		5,981,907

				135,756,395

Time Deposit — 0.1%
Euro Time Deposit 0.120% 10/02/17		728,036		728,036


TOTAL SHORT-TERM INVESTMENTS (Cost $136,473,180)				136,484,431


TOTAL INVESTMENTS — 110.2% (Cost $1,342,395,889) (g)				1,357,854,924

Other Assets/(Liabilities) — (10.2)%				(126,209,480	)


NET ASSETS — 100.0%			$	1,231,645,444

Abbreviation Legend

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

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(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 September 30, 2017, these securities amounted to a value of $506,543,897 or 41.13% of net assets.

(b)

(c)	Restricted security. Certain securities are restricted as to resale. At September 30, 2017, these securities amounted to a value of $5,293,222 or 0.43% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(d)	Investment was valued using significant unobservable inputs.

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

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

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


	Principal Amount		Value
BONDS & NOTES — 82.6%

CORPORATE DEBT — 46.4%
Aerospace & Defense — 1.0%
Harris Corp. 2.700% 4/27/20	$	1,154,000	$	1,166,114
L3 Technologies, Inc. 5.200% 10/15/19		1,185,000		1,259,361

				2,425,475

Agriculture — 1.0%
Bunge Ltd. Finance Corp. 3.500% 11/24/20		1,180,000		1,214,559
Imperial Brands Finance PLC (a) 2.950% 7/21/20		1,087,000		1,103,498

				2,318,057

Airlines — 0.6%
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		31,165		32,084
Delta Air Lines, Inc. 3.625% 3/15/22		775,000		796,544
WestJet Airlines Ltd. (a) 3.500% 6/16/21		695,000		707,094

				1,535,722

Auto Manufacturers — 1.1%
General Motors Co. 3.500% 10/02/18		205,000		208,329
General Motors Financial Co., Inc. 2.400% 5/09/19		110,000		110,483
General Motors Financial Co., Inc. 3.100% 1/15/19		520,000		527,336
General Motors Financial Co., Inc. 3.200% 7/13/20		185,000		189,460
Hyundai Capital America (a) 2.000% 7/01/19		65,000		64,445
Hyundai Capital America (a) 2.550% 2/06/19		140,000		140,213
Hyundai Capital America (a) 3.000% 10/30/20		800,000		804,344
Nissan Motor Acceptance Corp. (a) 1.900% 9/14/21		480,000		470,326

				2,514,936

Auto Parts & Equipment — 0.5%
Lear Corp. 5.375% 3/15/24		1,120,000		1,193,260

Banks — 6.7%
ANZ New Zealand Int’l Ltd. (a) 2.250% 2/01/19		1,290,000		1,296,154
Banco Santander SA 3.500% 4/11/22		1,200,000		1,228,936


	Principal Amount		Value
Bancolombia SA 5.950% 6/03/21	$	345,000	$	381,294
Bank of America Corp. 2.151% 11/09/20		2,070,000		2,064,056
Capital One Financial Corp. 2.500% 5/12/20		365,000		366,699
Citigroup, Inc. 2.350% 8/02/21		1,155,000		1,146,724
Citigroup, Inc. 2.450% 1/10/20		35,000		35,278
First Horizon National Corp. 3.500% 12/15/20		1,430,000		1,472,321
The Goldman Sachs Group, Inc. 2.875% 2/25/21		2,360,000		2,393,269
Itau Unibanco Holding SA (a) 2.850% 5/26/18		270,000		270,540
JP Morgan Chase & Co. 4.500% 1/24/22		1,090,000		1,181,026
Macquarie Bank Ltd. (a) 2.850% 1/15/21		130,000		131,393
Mitsubishi UFJ Trust & Banking Corp. (a) 2.650% 10/19/20		1,110,000		1,120,351
Morgan Stanley 3.750% 2/25/23		550,000		574,309
Regions Bank 7.500% 5/15/18		130,000		134,494
Regions Financial Corp. 3.200% 2/08/21		1,095,000		1,119,005
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		585,000		575,732
Sumitomo Mitsui Financial Group, Inc. 2.846% 1/11/22		150,000		151,399
SVB Financial Group 5.375% 9/15/20		75,000		81,432
Turkiye Garanti Bankasi AS (a) 4.750% 10/17/19		370,000		378,325

				16,102,737

Beverages — 0.6%
Anheuser-Busch InBev Finance, Inc. 2.650% 2/01/21		710,000		721,531
Coca-Cola Femsa SAB de CV 2.375% 11/26/18		492,000		495,295
Molson Coors Brewing Co. 2.100% 7/15/21		330,000		325,385

				1,542,211

Biotechnology — 0.7%
Baxalta, Inc. 2.000% 6/22/18		485,000		486,063


	Principal Amount		Value
Celgene Corp. 2.875% 8/15/20	$	1,170,000	$	1,194,281

				1,680,344

Building Materials — 1.4%
Holcim US Finance Sarl & Cie SCS (a) 6.000% 12/30/19		1,160,000		1,250,579
James Hardie International Finance Ltd. (a) 5.875% 2/15/23		550,000		577,500
Martin Marietta Materials, Inc. 3 mo. USD LIBOR + .650%, FRN 1.965% 5/22/20		395,000		396,598
Masco Corp. 3.500% 4/01/21		370,000		379,942
Masco Corp. 7.125% 3/15/20		65,000		72,150
Standard Industries, Inc. (a) 5.500% 2/15/23		560,000		592,900

				3,269,669

Chemicals — 2.5%
Air Liquide Finance SA (a) 1.750% 9/27/21		200,000		195,463
Airgas, Inc. 3.050% 8/01/20		965,000		987,037
CF Industries, Inc. 6.875% 5/01/18		1,095,000		1,125,112
The Dow Chemical Co. 8.550% 5/15/19		125,000		138,026
Incitec Pivot Finance LLC (a) 6.000% 12/10/19		452,000		484,498
LyondellBasell Industries NV 5.000% 4/15/19		565,000		586,240
LyondellBasell Industries NV 6.000% 11/15/21		500,000		564,089
RPM International, Inc. 3.450% 11/15/22		8,000		8,359
RPM International, Inc. 6.125% 10/15/19		1,078,000		1,165,717
The Sherwin-Williams Co. 2.750% 6/01/22		685,000		689,611

				5,944,152

Commercial Services — 0.3%
S&P Global, Inc. 3.300% 8/14/20		635,000		651,395

Computers — 0.9%
Dell International LLC/EMC Corp. (a) 3.480% 6/01/19		430,000		438,539
Dell International LLC/EMC Corp. (a) 4.420% 6/15/21		475,000		498,710
DXC Technology Co. 2.875% 3/27/20		230,000		233,067


	Principal Amount		Value
Leidos Holdings, Inc. 4.450% 12/01/20	$	895,000	$	941,092

				2,111,408

Diversified Financial Services — 2.9%
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 4.500% 5/15/21		1,010,000		1,068,613
Air Lease Corp. 2.125% 1/15/18		30,000		30,033
Air Lease Corp. 2.125% 1/15/20		300,000		299,526
Air Lease Corp. 3.375% 1/15/19		365,000		371,072
Air Lease Corp. 3.375% 6/01/21		460,000		474,483
Aircastle Ltd. 5.000% 4/01/23		1,310,000		1,401,700
Ally Financial, Inc. 3.600% 5/21/18		440,000		443,388
Ally Financial, Inc. 4.750% 9/10/18		920,000		940,332
Genpact Luxembourg Sarl (a) 3.700% 4/01/22		1,035,000		1,046,963
International Lease Finance Corp. 3.875% 4/15/18		100,000		101,109
Lazard Group LLC 4.250% 11/14/20		665,000		702,537

				6,879,756

Electric — 2.3%
Ameren Corp. 2.700% 11/15/20		555,000		562,311
Duke Energy Corp. 1.800% 9/01/21		480,000		470,310
EDP Finance BV (a) 4.125% 1/15/20		1,150,000		1,192,688
EDP Finance BV (a) 4.900% 10/01/19		108,000		113,317
Enel Finance International NV (a) 2.875% 5/25/22		785,000		790,086
Entergy Texas, Inc. 2.550% 6/01/21		75,000		74,454
Entergy Texas, Inc. 7.125% 2/01/19		798,000		850,988
Israel Electric Corp. Ltd. (a) 7.250% 1/15/19		350,000		370,633
Majapahit Holding BV (a) 7.750% 1/20/20		330,000		367,983
Puget Energy, Inc. 6.000% 9/01/21		30,000		33,597
Puget Energy, Inc. 6.500% 12/15/20		255,000		284,885


	Principal Amount		Value
The Southern Co. 2.350% 7/01/21	$	460,000	$	457,441

				5,568,693

Electronics — 0.6%
FLIR Systems, Inc. 3.125% 6/15/21		380,000		385,006
Tech Data Corp. 3.700% 2/15/22		240,000		242,014
Tyco Electronics Group SA 6.550% 10/01/17		700,000		700,000

				1,327,020

Engineering & Construction — 0.1%
SBA Tower Trust (a) 3.168% 4/09/47		350,000		349,759

Foods — 0.9%
Danone SA (a) 2.077% 11/02/21		1,340,000		1,316,434
JBS Investments GmbH (a) 7.750% 10/28/20		200,000		204,500
Mondelez International Holdings Netherlands BV (a) 2.000% 10/28/21		595,000		584,237
Tyson Foods, Inc. 2.650% 8/15/19		60,000		60,715

				2,165,886

Hand & Machine Tools — 0.5%
Stanley Black & Decker, Inc. 1.622% 11/17/18		345,000		344,245
Stanley Black & Decker, Inc. 2.451% 11/17/18		810,000		815,121

				1,159,366

Health Care – Products — 0.8%
Abbott Laboratories 2.350% 11/22/19		480,000		483,909
Abbott Laboratories 2.900% 11/30/21		675,000		687,375
Boston Scientific Corp. 2.850% 5/15/20		255,000		259,255
Zimmer Biomet Holdings, Inc. 2.000% 4/01/18		528,000		528,543

				1,959,082

Health Care – Services — 1.2%
Cigna Corp. 4.000% 2/15/22		316,000		333,594
Cigna Corp. 4.500% 3/15/21		790,000		841,651
HCA, Inc. 3.750% 3/15/19		1,130,000		1,154,012
Laboratory Corp. of America Holdings 2.625% 2/01/20		570,000		576,076

				2,905,333


	Principal Amount		Value
Home Builders — 0.5%
Lennar Corp. 4.500% 11/15/19	$	1,128,000	$	1,164,660

Housewares — 0.1%
Newell Brands, Inc. 2.600% 3/29/19		171,000		172,369

Insurance — 3.5%
American International Group, Inc. 3.300% 3/01/21		550,000		566,706
AmTrust Financial Services, Inc. 6.125% 8/15/23		585,000		578,565
Athene Global Funding (a) 4.000% 1/25/22		1,240,000		1,290,963
CNA Financial Corp. 5.750% 8/15/21		93,000		103,202
Enstar Group Ltd. 4.500% 3/10/22		575,000		594,856
Jackson National Life Global Funding (a) 2.500% 6/27/22		1,165,000		1,165,064
Lincoln National Corp. 6.250% 2/15/20		500,000		545,707
Nuveen Finance LLC (a) 2.950% 11/01/19		1,155,000		1,174,216
Reinsurance Group of America, Inc. 5.000% 6/01/21		640,000		691,829
Trinity Acquisition PLC 3.500% 9/15/21		470,000		479,909
Unum Group 3.000% 5/15/21		135,000		136,806
Willis Towers Watson PLC 5.750% 3/15/21		370,000		406,589
XLIT Ltd. 5.750% 10/01/21		465,000		519,370

				8,253,782

Internet — 0.5%
Expedia, Inc. 7.456% 8/15/18		1,148,000		1,202,932

Investment Companies — 0.6%
Ares Capital Corp. 3.625% 1/19/22		30,000		30,439
Ares Capital Corp. 3.875% 1/15/20		548,000		561,875
FS Investment Corp. 4.000% 7/15/19		365,000		372,220
TCP Capital Corp. 4.125% 8/11/22		355,000		352,755

				1,317,289

Leisure Time — 0.6%
Brunswick Corp. (a) 4.625% 5/15/21		1,388,000		1,414,417


	Principal Amount		Value
Lodging — 0.4%
Marriott International, Inc. 2.300% 1/15/22	$	30,000	$	29,617
Marriott International, Inc. 2.875% 3/01/21		875,000		887,336

				916,953

Machinery – Diversified — 0.5%
CNH Industrial Capital LLC 3.375% 7/15/19		353,000		358,295
CNH Industrial Capital LLC 3.625% 4/15/18		100,000		100,655
CNH Industrial Capital LLC 3.875% 10/15/21		635,000		652,542
CNH Industrial Capital LLC 4.875% 4/01/21		115,000		122,187

				1,233,679

Media — 1.0%
Charter Communications Operating LLC/Charter Communications Operating Capital 3.579% 7/23/20		605,000		621,079
Discovery Communications LLC 2.950% 3/20/23		355,000		355,938
Sirius XM Radio, Inc. (a) 3.875% 8/01/22		1,347,000		1,377,577

				2,354,594

Mining — 0.9%
Anglo American Capital PLC (a) 3.750% 4/10/22		500,000		512,800
Glencore Finance Canada Ltd. STEP (a) 2.700% 10/25/17		233,000		233,081
Glencore Finance Canada Ltd. STEP (a) 4.250% 10/25/22		254,000		267,303
Kinross Gold Corp. 5.125% 9/01/21		570,000		611,325
Newcrest Finance Pty Ltd. (a) 4.200% 10/01/22		565,000		594,365

				2,218,874

Office Equipment/Supplies — 0.6%
Pitney Bowes, Inc. STEP 3.625% 10/01/21		1,490,000		1,466,435

Oil & Gas — 0.2%
EQT Corp. 3.000% 10/01/22		565,000		566,317

Packaging & Containers — 0.5%
Graphic Packaging International, Inc. 4.750% 4/15/21		1,094,000		1,157,233

Pharmaceuticals — 1.8%
AbbVie, Inc. 1.800% 5/14/18		945,000		946,313


	Principal Amount		Value
Allergan Funding SCS 2.350% 3/12/18	$	590,000	$	591,719
Express Scripts Holding Co. 3.300% 2/25/21		1,195,000		1,229,085
Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21		235,000		234,178
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		1,325,000		1,275,715

				4,277,010

Pipelines — 0.5%
Plains All American Pipeline LP/PAA Finance Corp. 6.500% 5/01/18		1,150,000		1,177,702

Real Estate Investment Trusts (REITS) — 1.4%
American Tower Corp. 2.250% 1/15/22		415,000		408,268
American Tower Corp. 3.300% 2/15/21		175,000		179,318
Crown Castle International Corp. 3.400% 2/15/21		714,000		735,105
DDR Corp. 3.500% 1/15/21		210,000		213,114
DDR Corp. 7.500% 7/15/18		345,000		358,763
Digital Realty Trust LP 3.400% 10/01/20		320,000		329,992
Healthcare Trust of America Holdings LP 2.950% 7/01/22		275,000		276,815
Highwoods Realty LP 7.500% 4/15/18		25,000		25,741
Simon Property Group LP 2.350% 1/30/22		700,000		698,739
Weyerhaeuser Co. 7.375% 10/01/19		135,000		149,044

				3,374,899

Retail — 1.5%
AutoNation, Inc. 3.350% 1/15/21		825,000		842,877
CVS Health Corp. 2.125% 6/01/21		960,000		951,122
Dollar Tree, Inc. 5.750% 3/01/23		1,190,000		1,255,450
QVC, Inc. 3.125% 4/01/19		577,000		582,880

				3,632,329

Semiconductors — 1.1%
Analog Devices, Inc. 2.500% 12/05/21		245,000		245,508
Broadcom Corp./Broadcom Cayman Finance Ltd. (a) 3.000% 1/15/22		950,000		965,848


	Principal Amount		Value
KLA-Tencor Corp. 2.375% 11/01/17	$	455,000	$	455,223
KLA-Tencor Corp. 3.375% 11/01/19		140,000		143,521
NXP BV/NXP Funding LLC (a) 4.125% 6/01/21		770,000		805,612

				2,615,712

Telecommunications — 1.3%
Hughes Satellite Systems Corp. 6.500% 6/15/19		1,083,000		1,152,041
Sprint Communications, Inc. 9.250% 4/15/22		490,000		605,150
Telefonaktiebolaget LM Ericsson 4.125% 5/15/22		1,200,000		1,190,541
Verizon Communications, Inc. 1.750% 8/15/21		245,000		239,817

				3,187,549

Transportation — 0.9%
Asciano Finance Ltd. (a) 5.000% 4/07/18		717,000		727,062
Ryder System, Inc. 2.250% 9/01/21		425,000		421,465
Ryder System, Inc. 2.500% 3/01/18		475,000		476,342
Ryder System, Inc. 2.875% 9/01/20		340,000		345,644
TTX Co. (a) 2.250% 2/01/19		300,000		300,585

				2,271,098

Trucking & Leasing — 1.4%
Aviation Capital Group Corp. (a) 2.875% 9/17/18		1,260,000		1,270,735
DAE Funding LLC (a) 4.000% 8/01/20		205,000		209,100
GATX Corp. 2.600% 3/30/20		575,000		580,251
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 2.500% 6/15/19		370,000		372,713
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.050% 1/09/20		615,000		626,694
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.300% 4/01/21		150,000		153,940
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.375% 2/01/22		20,000		20,535

				3,233,968


TOTAL CORPORATE DEBT (Cost $109,999,948)				110,814,062


	Principal Amount		Value
MUNICIPAL OBLIGATIONS — 0.0%
Louisiana State Public Facilities Authority, Series 2011-A, Class A2, FRN (b) 2.214% 4/26/27	$	72,232	$	72,171


TOTAL MUNICIPAL OBLIGATIONS (Cost $72,232)				72,171


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 33.5%
Auto Floor Plan ABS — 0.4%
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) 2.584% 9/27/21		520,000		523,578
NextGear Floorplan Master Owner Trust, Series 2016-2A, Class A2 (a) 2.190% 9/15/21		480,000		478,725

				1,002,303

Automobile ABS — 5.1%
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) 2.220% 7/13/20		73,377		73,374
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		9,162		9,163
American Credit Acceptance Receivables Trust, Series 2017-1, Class B (a) 2.390% 2/16/21		520,000		519,540
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class D 2.540% 6/08/20		210,000		211,154
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) 2.100% 3/20/19		200,000		200,128
CFC LLC, Series 2015-1A, Class A (a) 1.750% 6/15/21		52,828		52,780
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		468		468
CPS Auto Trust, Series 2015-C, Class A (a) 1.770% 6/17/19		13,782		13,783
CPS Auto Trust, Series 2013-B, Class A (a) 1.820% 9/15/20		88,992		88,980
CPS Auto Trust, Series 2015-C, Class B (a) 2.550% 2/18/20		250,000		250,165
CPS Auto Trust, Series 2016-C, Class B (a) 2.480% 9/15/20		190,000		189,544


	Principal Amount		Value
CPS Auto Trust, Series 2017-A, Class B (a) 2.680% 5/17/21	$	1,150,000	$	1,156,201
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		119,282		119,496
Drive Auto Receivables Trust, Series 2017-2, Class C 2.750% 9/15/23		140,000		139,775
Drive Auto Receivables Trust, Series 2017-1, Class C 2.840% 4/15/22		270,000		271,656
DT Auto Owner Trust, Series 2016-1A, Class B (a) 2.790% 5/15/20		196,670		196,869
DT Auto Owner Trust, Series 2016-2A, Class B (a) 2.920% 5/15/20		196,506		196,796
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) 1.830% 9/20/21		269,820		269,717
Enterprise Fleet Financing LLC, Series 2017-1, Class A3 (a) 2.600% 7/20/22		210,000		212,180
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) 1.540% 11/15/19		3,240		3,240
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) 2.000% 3/16/20		15,329		15,330
Exeter Automobile Receivables Trust, Series 2016-3A, Class B (a) 2.840% 8/16/21		260,000		259,194
Exeter Automobile Receivables Trust, Series 2017-1A, Class B (a) 3.000% 12/15/21		260,000		260,324
Exeter Automobile Receivables Trust, Series 2015-2A, Class C (a) 3.900% 3/15/21		650,000		658,528
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) 1.590% 12/16/19		5,189		5,189
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) 1.920% 5/15/20		81,769		81,818
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) 2.210% 7/15/22		540,000		536,480
Flagship Credit Auto Trust, Series 2014-2, Class A (a) 1.430% 12/16/19		3,286		3,285
Flagship Credit Auto Trust, Series 2015-2, Class A (a) 1.980% 10/15/20		65,641		65,709


	Principal Amount		Value
Flagship Credit Auto Trust, Series 2015-3, Class A (a) 2.380% 10/15/20	$	80,832	$	80,890
Flagship Credit Auto Trust, Series 2016-4, Class B (a) 2.410% 10/15/21		910,000		910,433
Flagship Credit Auto Trust, Series 2016-4, Class C (a) 2.710% 11/15/22		410,000		405,529
Flagship Credit Auto Trust, Series 2016-1, Class A (a) 2.770% 12/15/20		198,908		200,102
Flagship Credit Auto Trust, Series 2017-1, Class B (a) 2.830% 3/15/23		615,000		617,344
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) 2.250% 12/15/20		21,520		21,505
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A (a) 2.380% 10/15/20		250,000		251,030
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) 2.927% 4/15/21		370,000		377,198
Oscar US Funding Trust II, Series 2015-1A, Class A3 (a) 1.860% 10/15/19		376,907		376,066
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		300,000		298,021
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.934% 7/15/20		102,720		102,975
Oscar US Funding Trust V, Series 2016-2A, Class A2A (a) 2.310% 11/15/19		280,505		280,533
Oscar US Funding Trust VI, Series 2017-1A, Class A3 (a) 2.820% 6/10/21		240,000		240,978
Oscar US Funding Trust VI, Series 2017-1A, Class A4 (a) 3.300% 5/10/24		160,000		161,064
Santander Drive Auto Receivables Trust, Series 2016-1, Class A3 1.620% 3/16/20		135,882		135,900
Santander Drive Auto Receivables Trust, Series 2015-2, Class C 2.440% 4/15/21		470,000		472,212
Santander Drive Auto Receivables Trust, Series 2016-1, Class B 2.470% 12/15/20		340,000		341,339


	Principal Amount		Value
Santander Drive Auto Receivables Trust, Series 2014-4, Class D 3.100% 11/16/20	$	200,000	$	202,746
Santander Drive Auto Receivables Trust, Series 2016-1, Class D 4.020% 4/15/22		500,000		513,574
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) 2.284% 1/15/19		53,395		53,402

				12,103,707

Commercial MBS — 0.4%
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN (b) 6.509% 2/10/51		98,794		99,095
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 3.147% 2/10/47		290,000		293,499
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN (b) 5.959% 7/10/38		166,017		167,943
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN (b) 5.856% 9/12/49		45,928		46,157
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN (b) 5.508% 2/12/44		90,081		90,084
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN (b) 6.498% 1/11/43		68,791		69,032
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN (b) 5.475% 8/15/39		27,040		27,005
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN (b) 6.221% 2/15/51		270,134		271,187

				1,064,002

Home Equity ABS — 0.2%
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN 1.897% 11/25/35		26,048		26,034
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN 1.972% 8/25/35		68,986		69,248
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1, 1 mo. USD LIBOR + .480%, FRN 1.717% 12/25/35		143,695		144,202


	Principal Amount		Value
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN 2.137% 2/25/35	$	102,644	$	95,678
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (a) 1.477% 10/25/34		135,816		135,506
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2, 1 mo. USD LIBOR + .220%, FRN 1.457% 10/25/35		45,292		45,308
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP 6.276% 10/25/28		1		1
Option One Mortgage Loan Trust, Series 2005-5, Class A3, 1 mo. USD LIBOR + .210%, FRN 1.447% 12/25/35		65,634		65,682

				581,659

Other ABS — 17.2%
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 1.434% 3/15/41		88,772		86,592
321 Henderson Receivables I LLC, Series 2010-3A, Class A (a) 3.820% 12/15/48		274,899		276,102
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.784% 10/15/28		370,000		373,829
Apidos CLO XXV, Series 2016-25A, Class A1, 3 mo. USD LIBOR + 1.460%, FRN (a) 2.767% 10/20/28		520,000		521,979
Arbys Funding LLC, Series 2015-1A, Class A2 (a) 4.969% 10/30/45		294,750		304,248
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.977% 12/15/42		218,471		212,818
Avery Point III CLO Ltd., Series 2013-3A, Class AR, 3 mo. USD LIBOR + 1.120%, FRN (a) 2.424% 1/18/25		580,000		581,521
BCC Funding X LLC, Series 2015-1, Class A2 (a) 2.224% 10/20/20		100,252		100,156
Birchwood Park CLO Ltd., Series 2014-1A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.484% 7/15/26		340,000		341,487


	Principal Amount		Value
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) 2.734% 7/18/27	$	475,000	$	476,637
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		383,195		384,813
BRE Grand Islander Timeshare Issuer LLC, Series 2017-1A, Class A (a) 2.940% 5/25/29		236,949		236,411
Capital Automotive LLC, Series 2012-1A, Class A1 (a) 3.870% 4/15/47		258,917		259,171
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) 2.000% 12/10/23		109,501		109,022
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) 4.474% 3/20/43		453,808		456,242
CLI Funding VI LLC, Series 2017-1A, Class A (a) 3.620% 5/18/42		385,316		385,330
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 1.697% 9/25/34		34,449		34,321
Crestline Denali CLO Ltd., Series 2013-1A, Class A1 (a) (c) 1.000% 10/26/27		350,000		350,000
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		887,250		885,642
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) 2.270% 5/20/26		101,801		101,438
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) 2.540% 5/20/27		43,985		43,949
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		100,438		100,113
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) 2.990% 5/22/28		120,704		120,212
Diamond Resorts Owner Trust, Series 2016-1, Class A (a) 3.080% 11/20/28		740,302		733,911
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) 3.540% 5/22/28		81,557		81,436
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) 3.484% 10/25/45		424,625		426,533


	Principal Amount		Value
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39	$	87,500	$	86,975
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) 4.154% 7/15/23		123,437		124,625
Drug Royalty Corp., Inc., Series 2012-1, Class A1, 3 mo. USD LIBOR + 5.250%, FRN (a) 6.130% 7/15/24		40,333		40,804
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) 2.730% 4/25/28		242,007		235,298
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B, VRN (a) (b) 3.020% 2/25/27		108,084		106,429
Element Rail Leasing I LLC, Series 2014-1A, Class A1 (a) 2.299% 4/19/44		130,132		128,994
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) 2.707% 2/19/45		62,821		61,768
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		166,012		170,050
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		83,251		83,856
FNA Trust, Series 2015-1, Class A (a) 3.240% 12/10/23		62,396		62,112
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 1.477% 1/25/36		1,157		1,157
FRS I LLC, Series 2013-1A, Class A1 (a) 1.800% 4/15/43		41,876		41,536
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.757% 7/20/27		475,000		476,690
Global SC Finance II SRL, Series 2013-1A, Class A (a) 2.980% 4/17/28		164,708		163,267
Global SC Finance IV Ltd., Series 2017-1A, Class A (a) 3.850% 4/15/37		318,116		321,364
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		6,231		6,227
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.464% 4/25/25		528,649		528,645


	Principal Amount		Value
Goodgreen Trust, Series 2016-1A, Class A (a) 3.230% 10/15/52	$	527,035	$	522,128
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.882% 4/25/35		26,625		26,749
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) 3.524% 4/16/21		126,597		126,794
HERO Funding Trust, Series 2016-4A, Class A1 (a) 3.570% 9/20/47		375,043		378,862
HERO Funding Trust, Series 2015-1A, Class A (a) 3.840% 9/21/40		847,725		880,574
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) 1.770% 11/25/26		140,331		138,556
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) 2.280% 1/25/26		116,646		116,228
Hilton Grand Vacations Trust, Series 2017-AA, Class B, VRN (a) (b) 2.960% 12/26/28		322,926		321,521
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 1.407% 8/25/36		747		747
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 2.454% 7/15/25		700,000		701,553
LCM XXIII Ltd., Series 23A, Class A1, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.707% 10/20/29		590,000		594,391
Lendmark Funding Trust, Series 2017-1A, Class A (a) 2.830% 12/22/25		240,000		240,081
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 2.062% 6/25/35		101,385		100,789
Madison Park Funding Ltd., Series 2016-22A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.794% 10/25/29		420,000		424,318
Madison Park Funding XIV Ltd., Series 2014-14A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) 2.427% 7/20/26		280,000		281,391
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.715% 11/15/28		390,000		394,411


	Principal Amount		Value
Magnetite XI Ltd., Series 2014-11A, Class A1R, 3 mo. USD LIBOR + 1.120%, FRN (a) 2.424% 1/18/27	$	700,000	$	701,539
Mariner Finance Issuance Trust, Series 2017-AA, Class A (a) 3.620% 2/20/29		400,000		402,355
Marlette Funding Trust, Series 2017-2A, Class A (a) 2.390% 7/15/24		370,800		371,161
Marlette Funding Trust, Series 2017-1A, Class A (a) 2.827% 3/15/24		611,428		613,989
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		369,783		371,024
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		117,392		117,764
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN 2.182% 4/25/35		93,202		93,733
Mosaic Solar Loans LLC, Series 2017-1A, Class A (a) 4.450% 6/20/42		118,170		119,633
MVW Owner Trust, Series 2013-1A, Class A (a) 2.150% 4/22/30		105,431		104,839
MVW Owner Trust, Series 2014-2, Class A (a) 2.250% 9/22/31		168,694		166,925
MVW Owner Trust, Series 2016-1A, Class A (a) 2.250% 12/20/33		75,784		74,669
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		10,170		10,166
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) 3.610% 2/20/21		151,664		152,135
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) 2.120% 11/15/18		62,461		62,425
New Residential Advance Receivables Trust, Series 2016-T2, Class AT2 (a) 2.575% 10/15/49		1,950,000		1,935,524
New Residential Advance Receivables Trust, Series 2016-T4, Class AT4 (a) 3.107% 12/15/50		700,000		692,243
OHA Loan Funding Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.410%, FRN (a) 2.725% 8/15/29		590,000		597,673


	Principal Amount		Value
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) 4.210% 5/17/20	$	120,000	$	119,485
Oportun Funding VI LLC, Series 2017-A, Class A (a) 3.230% 6/08/23		350,000		352,502
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) 2.290% 7/09/29		41,251		40,992
Orange Lake Timeshare Trust, Series 2016-A, Class A (a) 2.610% 3/08/29		243,600		242,868
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		200,000		201,941
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22		64,598		64,402
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 1.497% 9/25/35		302		302
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + ..250%, FRN (a) 1.487% 2/25/37		70,174		70,001
Race Point VIII CLO Ltd., Series 2013-8A, Class AR, 3 mo. USD LIBOR + 1.340%, FRN (a) 2.656% 2/20/30		700,000		702,714
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A, VRN (a) (b) 2.050% 6/20/31		138,822		138,538
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A, VRN (a) (b) 2.280% 11/20/25		28,610		28,585
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) 2.300% 10/20/31		208,842		207,892
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A (a) 2.400% 3/22/32		245,034		244,418
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		34,482		34,549
Sierra Timeshare Receivables Funding LLC, Series 2015-3A, Class A (a) 2.580% 9/20/32		89,653		89,665
Sierra Timeshare Receivables Funding LLC, Series 2017-1A, Class A (a) 2.910% 3/20/34		644,960		650,056
SoFi Consumer Loan Program LLC, Series 2016-3, Class A (a) 3.050% 12/26/25		279,668		282,447


	Principal Amount		Value
SoFi Consumer Loan Program LLC, Series 2016-5, Class A (a) 3.060% 9/25/28	$	1,554,718	$	1,567,967
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		335,428		338,842
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		755,152		766,945
SoFi Consumer Loan Program LLC, Series 2015-2, Class A (a) 3.280% 9/15/23		663,576		669,530
SoFi Consumer Loan Program LLC, Series 2017-2, Class A (a) 3.280% 2/25/26		613,735		620,994
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		535,317		538,966
Springleaf Funding Trust, Series 2016-AA, Class A (a) 2.900% 11/15/29		1,460,000		1,464,071
SPS Servicer Advance Receivables Trust, Series 2016-T1, Class AT1 (a) 2.530% 11/16/48		1,040,000		1,031,613
Symphony CLO XV Ltd., Series 2014-15A, Class AR, 3 mo. USD LIBOR + 1.180%, FRN (a) 2.484% 10/17/26		800,000		803,014
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		376,200		383,136
TAL Advantage LLC, Series 2014-2A, Class A1 (a) 1.700% 5/20/39		52,218		52,122
TAL Advantage VI LLC, Series 2017-1A, Class A (a) 4.500% 4/20/42		480,842		498,557
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.784% 10/13/29		300,000		305,312
Trafigura Securitisation Finance PLC, Series 2017-1A, Class B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.934% 12/15/20		260,000		261,336
Treman Park CLO Ltd., Series 2015-1A, Class AR, 3 mo. USD LIBOR + 1.370%, FRN (a) 2.677% 4/20/27		950,000		955,009
Trip Rail Master Funding LLC, Series 2017-1A, Class A1 (a) 2.709% 8/15/47		176,505		176,940


	Principal Amount		Value
Trip Rail Master Funding LLC, Series 2011-1A, Class A2 (a) 6.024% 7/15/41	$	670,000	$	719,297
Triton Container Finance IV LLC, Series 2017-2A, Class A (a) 3.620% 8/20/42		1,032,084		1,038,171
Velocity Commercial Capital Loan Trust, Series 2016-2, Class AFX, VRN (b) 2.997% 10/25/46		397,493		399,440
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) 2.540% 7/20/33		623,681		619,408
Welk Resorts LLC, Series 2015-AA, Class A (a) 2.790% 6/16/31		110,791		109,521
Welk Resorts LLC, Series 2017-AA, Class B 3.410% 6/15/33		285,074		284,508
Wendys Funding LLC, Series 2015-1A, Class A2I (a) 3.371% 6/15/45		906,500		912,826
Westgate Resorts LLC, Series 2014-1A, Class A (a) 2.150% 12/20/26		111,668		110,658
Westgate Resorts LLC, Series 2017-1A, Class A (a) 3.050% 12/20/30		292,216		290,969
Westgate Resorts LLC, Series 2015-2A, Class A (a) 3.200% 7/20/28		227,471		227,790

				41,078,899

Student Loans ABS — 9.6%
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) 1.937% 7/25/56		285,089		285,438
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.737% 7/25/58		140,000		120,289
AccessLex Institute, Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN 1.574% 4/25/29		15,631		15,623
AccessLex Institute, Series 2004-A, Class A3, 28 day ARS, FRN 1.699% 7/01/39		1,250,000		1,230,871
AccessLex Institute, Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 2.240% 7/01/38		73,786		69,012


	Principal Amount		Value
Brazos Student Finance Corp., Series 2003-A, Class A3, 28 day ARS, FRN 1.729% 7/01/38	$	200,000	$	195,443
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN 1.794% 1/15/37		250,488		228,433
Commonbond Student Loan Trust, Series 2017-AGS, Class C (a) 5.280% 5/25/41		520,000		517,220
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (a) 2.500% 1/25/30		141,810		134,583
DRB Prime Student Loan Trust, Series 2015-A, Class A3 2.320% 4/25/30		98,284		97,771
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) 2.540% 4/27/26		89,952		88,980
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		241,921		241,482
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.937% 1/25/40		265,855		271,080
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (a) 3.060% 7/25/31		126,480		127,680
DRB Prime Student Loan Trust, Series 2016-R, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 3.137% 10/25/44		968,203		971,591
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (a) 3.170% 7/25/31		112,755		114,386
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) 3.200% 1/25/40		819,716		827,400
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 3.237% 4/25/40		249,737		249,071
Earnest Student Loan Program LLC, Series 2016-C, Class A2 (a) 2.680% 7/25/35		441,586		437,514
Earnest Student Loan Program LLC, Series 2016-D, Class A2 (a) 2.720% 1/25/41		410,231		409,768
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) 3.287% 2/26/35		309,331		310,410


	Principal Amount		Value
ECMC Group Student Loan Trust, Series 2017-1A, Class A, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.437% 12/27/66	$	1,086,684	$	1,087,641
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 2.587% 7/26/66		516,272		516,597
Education Loan Asset-Backed Trust I, Series 2013-1, Class A1, 1 mo. USD LIBOR + .800%, FRN (a) 2.037% 6/25/26		546,993		547,563
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) 2.672% 1/01/44		950,000		830,346
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.640% 9/27/35		109,791		109,637
Laurel Road Prime Student Loan Trust, Series 2017-B, Class CFX (a) 3.610% 8/25/42		380,000		380,176
Navient Private Education Loan Trust, Series 2014-AA, Class A2A (a) 2.740% 2/15/29		276,559		278,468
Navient Student Loan Trust, Series 2017-5A, Class A, FRN (a) (b) 2.048% 7/26/66		440,000		439,997
Navient Student Loan Trust, Series 2017-4A, Class A3, 1 mo. USD LIBOR + 1.000%, FRN (a) 2.237% 9/27/66		500,000		499,997
Navient Student Loan Trust, Series 2017-1A, Class A3, 1 mo. USD LIBOR + 1.150%, FRN (a) 2.387% 7/26/66		950,000		968,257
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 2.487% 6/25/65		791,606		807,483
Navient Student Loan Trust, Series 2016-6A, Class A3, 1 mo. USD LIBOR + 1.300%, FRN (a) 2.537% 3/25/66		1,060,000		1,093,272
Nelnet Private Education Loan Trust, Series 2016-A, Class A1A, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.987% 12/26/40		376,975		377,713
Nelnet Private Education Loan Trust, Series 2016-A, Class A1B (a) 3.600% 12/26/40		271,429		270,775


	Principal Amount		Value
Nelnet Student Loan Trust, Series 2014-6A, Class A, 1 mo. USD LIBOR + .650%, FRN (a) 1.887% 11/25/52	$	371,048	$	367,239
Nelnet Student Loan Trust, Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.734% 10/25/47		170,000		155,237
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.734% 6/25/54		130,000		116,603
North Carolina State Education Assistance Authority, Series 2011-1, Class A2, 3 mo. USD LIBOR + .900%, FRN 2.214% 1/26/26		42,518		42,552
Northstar Education Finance, Inc., Series 2005-1, Class A5, 3 mo. USD LIBOR + .750%, FRN 2.064% 10/30/45		207,696		206,348
PHEAA Student Loan Trust, Series 2016-2A, Class A, 1 mo. USD LIBOR + .950%, FRN (a) 2.187% 11/25/65		673,116		674,328
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 1.474% 7/15/36		27,678		27,678
SLC Student Loan Trust, Series 2005-1, Class B, 3 mo. USD LIBOR + .200%, FRN 1.515% 2/15/45		419,946		386,433
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN 1.424% 1/26/43		120,000		114,433
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 1.454% 10/25/28		280,000		278,615
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN 1.524% 10/25/40		489,390		453,880
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN 1.534% 3/25/44		137,948		124,378
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN 1.614% 7/25/25		150,000		149,214


	Principal Amount		Value
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN 1.624% 1/25/55	$	203,293	$	183,855
SLM Student Loan Trust, Series 2004-3A, Class A6A, 3 mo. USD LIBOR + .550%, FRN (a) 1.864% 10/25/64		850,000		831,950
SLM Student Loan Trust, Series 2013-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.737% 12/28/70		120,000		117,347
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 4.500% 6/17/30		50,000		50,000
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) 1.934% 5/15/23		178,809		178,936
SMB Private Education Loan Trust, Series 2016-C, Class A2B, 1 mo. USD LIBOR + 1.100%, FRN (a) 2.334% 9/15/34		290,000		295,040
SMB Private Education Loan Trust, Series 2014-A, Class A2B, 1 mo. USD LIBOR + 1.150%, FRN (a) 2.384% 5/15/26		728,524		738,558
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450%, FRN (a) 2.684% 2/17/32		144,000		147,984
SoFi Professional Loan Program LLC, Series 2015-A, Class RC, (Acquired 4/19/17, Cost $562,750) (a) (d) (e) 0.000% 3/25/33		200		440,000
SoFi Professional Loan Program LLC, Series 2017-D, Class R1 (Acquired 7/19/17, Cost $565,900) (a) (d) (e) 0.000% 9/25/40		1,000,000		565,900
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) 1.680% 3/25/31		134,557		134,488
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (a) 2.187% 1/25/39		151,577		153,155
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 2.437% 6/25/33		258,686		261,371
SoFi Professional Loan Program LLC, Series 2016-E, Class A2B (a) 2.490% 1/25/36		330,000		328,907


	Principal Amount		Value
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.987% 8/25/36	$	257,269	$	263,636

				22,940,032

WL Collateral CMO — 0.6%
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, VRN (b) 3.816% 8/25/34		9,019		9,067
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, VRN (b) 3.456% 2/25/34		3,552		3,617
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, VRN (b) 3.887% 9/25/33		1,398		1,354
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN (b) 3.708% 8/25/34		1,760		1,819
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN (b) 3.151% 8/25/34		9,712		9,471
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN (b) 3.370% 2/25/34		987		966
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN (b) 3.547% 7/25/33		646		664
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, VRN (b) 3.375% 2/25/34		44		47
New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, VRN (a) (b) 3.750% 11/25/56		412,110		423,311
Shellpoint Co-Originator Trust, Series 2016-1, Class 2A3, VRN (a) (b) 3.000% 10/25/31		932,691		929,865
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN (b) 3.508% 3/25/34		5,824		6,012
Washington Mutual Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 2.289% 4/25/44		14,952		15,314

				1,401,507


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $79,881,846)				80,172,109


	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.2%
Collateralized Mortgage Obligations — 0.1%
Government National Mortgage Association Series 2014-131, Class BW VRN (b) 2.897% 5/20/41	$	161,234	$	164,626

Pass-Through Securities — 0.1%
Federal Home Loan Mortgage Corp. Pool #G11431 6.000% 2/01/18		1		1
Pool #C01079 7.500% 10/01/30		387		457
Pool #C01135 7.500% 2/01/31		1,111		1,309
Federal National Mortgage Association Pool #888586 1 year CMT + 2.207%, FRN 2.980% 10/01/34		26,551		27,898
Pool #725692 1 year CMT + 2.146%, FRN 3.041% 10/01/33		29,683		31,255
Pool #775539 12 mo. USD LIBOR + 1.645%, FRN 3.475% 5/01/34		9,162		9,630
Pool #575667 7.000% 3/01/31		2,445		2,868
Pool #529453 7.500% 1/01/30		530		626
Pool #531196 7.500% 2/01/30		70		83
Pool #530299 7.500% 3/01/30		73		84
Pool #536386 7.500% 4/01/30		88		104
Pool #535996 7.500% 6/01/31		1,505		1,777
Pool #523499 8.000% 11/01/29		57		67
Pool #252926 8.000% 12/01/29		38		45
Pool #532819 8.000% 3/01/30		33		39
Pool #534703 8.000% 5/01/30		541		645
Pool #253437 8.000% 9/01/30		37		45
Pool #253481 8.000% 10/01/30		17		20
Pool #190317 8.000% 8/01/31		754		900


	Principal Amount		Value
Pool #596656 8.000% 8/01/31	$	319	$	341
Pool #602008 8.000% 8/01/31		862		1,028
Pool #597220 8.000% 9/01/31		651		783
Government National Mortgage Association Pool #371146 7.000% 9/15/23		290		318
Pool #352022 7.000% 11/15/23		1,446		1,597
Pool #491089 7.000% 12/15/28		1,888		2,135
Pool #478658 7.000% 5/15/29		440		516
Pool #500928 7.000% 5/15/29		845		988
Pool #499410 7.000% 7/15/29		255		300
Pool #510083 7.000% 7/15/29		241		280
Pool #493723 7.000% 8/15/29		511		601
Pool #581417 7.000% 7/15/32		4,694		5,506
Government National Mortgage Association II Pool #008746 1 year CMT + 1.500%, FRN 2.250% 11/20/25		1,027		1,044
Pool #080136 1 year CMT + 1.500%, FRN 2.250% 11/20/27		192		196
Pool #82462 1 year CMT + 1.500%, FRN 2.375% 1/20/40		72,565		74,561
Pool #82488 1 year CMT + 1.500%, FRN 2.375% 3/20/40		89,692		92,122

				260,169


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $432,833)				424,795


U.S. TREASURY OBLIGATIONS — 2.5%
U.S. Treasury Bonds & Notes — 2.5%
U.S. Treasury Note (f) 0.750% 10/31/18		4,150,000		4,122,198


	Principal Amount		Value
U.S. Treasury Note 0.875% 7/31/19	$	1,800,000	$	1,781,262

				5,903,460


TOTAL U.S. TREASURY OBLIGATIONS (Cost $5,917,907)				5,903,460


TOTAL BONDS & NOTES (Cost $196,304,766)				197,386,597


TOTAL PURCHASED OPTIONS (#) — 0.2% (Cost $410,807)				399,199


TOTAL LONG-TERM INVESTMENTS (Cost $196,715,573)				197,785,796


SHORT-TERM INVESTMENTS — 17.4%
Commercial Paper — 17.1%
Avangrid, Inc. (a) 1.391% 10/18/17		2,000,000		1,998,540
Borgwarner, Inc. (a) 1.430% 10/05/17		1,700,000		1,699,595
CRH America Finance, Inc. (a) 1.556% 10/13/17		1,000,000		999,464
Dollar General Corp. (a) 1.471% 10/04/17		2,000,000		1,999,584
Dominion Resources, Inc. (a) 1.453% 11/14/17		2,000,000		1,996,417
Duke Energy Corp. (a) 1.401% 10/17/17		2,000,000		1,998,618
Enbridge (US), Inc. (a) 1.492% 10/16/17		2,000,000		1,998,696
Entergy Corp. (a) 1.505% 11/20/17		2,000,000		1,995,190
Enterprise Products Operating LLC (a) 1.422% 10/24/17		2,000,000		1,998,074
Ford Motor Credit Co. LLC (a) 1.453% 11/17/17		2,000,000		1,995,838
Fortive Corp. (a) 1.400% 10/03/17		2,000,000		1,999,699
Interpublic Group Cos. (a) 1.369% 10/02/17		1,750,000		1,749,803
Leggett & Platt (a) 1.494% 10/06/17		1,500,000		1,499,603
Molex Electronic Technologies (a) 1.441% 10/04/17		2,000,000		1,999,624
Moodys Corp. (a) 1.578% 11/01/17		1,000,000		998,724
NextEra Energy Capital Holdings, Inc. (a) 1.473% 10/03/17		1,500,000		1,499,775


	Principal Amount		Value
Rogers Communications (a) 1.474% 10/25/17	$	2,000,000	$	1,997,997
Sempra Energy Holdings (a) 1.432% 11/02/17		2,000,000		1,997,369
Spectra Energy Partners (a) 1.400% 10/05/17		2,000,000		1,999,547
Transcanada Pipelines Ltd. (a) 1.598% 11/08/17		1,000,000		998,448
Tyson Foods, Inc. (a) 1.329% 10/12/17		2,000,000		1,999,007
Walgreens Boots Alliance, Inc. 1.421% 10/19/17		2,000,000		1,998,463
Xylem, Inc. (a) 1.389% 10/06/17		1,500,000		1,499,603

				40,917,678

Time Deposit — 0.3%
Euro Time Deposit 0.120% 10/02/17		697,899		697,899


TOTAL SHORT-TERM INVESTMENTS (Cost $41,617,283)				41,615,577


TOTAL INVESTMENTS — 100.2% (Cost $238,332,856) (g)				239,401,373

Other Assets/(Liabilities) — (0.2)%				(479,405	)


NET ASSETS — 100.0%			$	238,921,968

Abbreviation Legend

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

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

(b)	Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These

value of $1,005,900 or 0.42% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(e)	Investment was valued using significant unobservable inputs.

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

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


	Number of Shares		Value
EQUITIES — 98.4%

COMMON STOCK — 98.4%
Basic Materials — 3.5%
Forest Products & Paper — 0.6%
P.H. Glatfelter Co.		38,310	$	745,130

Iron & Steel — 0.8%
Allegheny Technologies, Inc. (a)		37,550		897,445

Mining — 2.1%
Compass Minerals International, Inc. (a)		16,620		1,078,638
Kaiser Aluminum Corp.		13,750		1,418,175

				2,496,813

				4,139,388

Communications — 4.5%
Internet — 2.4%
Proofpoint, Inc. (a) (b)		14,540		1,268,179
Q2 Holdings, Inc. (b)		10,880		453,152
Yelp, Inc. (b)		25,410		1,100,253

				2,821,584

Media — 1.9%
Houghton Mifflin Harcourt Co. (b)		109,100		1,314,655
WideOpenWest, Inc. (a) (b)		61,481		927,133

				2,241,788

Telecommunications — 0.2%
RigNet, Inc. (b)		17,020		292,744

				5,356,116

Consumer, Cyclical — 13.9%
Airlines — 1.1%
Spirit Airlines, Inc. (b)		38,120		1,273,589

Apparel — 1.0%
Canada Goose Holdings, Inc. (a) (b)		59,520		1,223,136

Auto Manufacturers — 1.0%
Navistar International Corp. (b)		27,040		1,191,653

Auto Parts & Equipment — 1.9%
Visteon Corp. (b)		17,910		2,216,721

Distribution & Wholesale — 1.3%
SiteOne Landscape Supply, Inc. (b)		25,730		1,494,913

Retail — 6.9%
DSW, Inc. Class A		59,480		1,277,630
Fred’s, Inc. Class A (a)		81,280		523,443
Group 1 Automotive, Inc.		30,260		2,192,640
Papa John’s International, Inc.		13,300		971,831
Sonic Corp. (a)		52,000		1,323,400
Suburban Propane Partners LP (c)		47,320		1,234,579
Texas Roadhouse, Inc.		15,360		754,790

				8,278,313


	Number of Shares		Value
Storage & Warehousing — 0.7%
Wesco Aircraft Holdings, Inc. (b)		95,050	$	893,470

				16,571,795

Consumer, Non-cyclical — 21.1%
Beverages — 0.2%
The Boston Beer Co., Inc. Class A (a) (b)		1,500		234,300

Biotechnology — 1.5%
Exact Sciences Corp. (b)		16,910		796,799
Sage Therapeutics, Inc. (a) (b)		8,500		529,550
Ultragenyx Pharmaceutical, Inc. (b)		9,160		487,862

				1,814,211

Commercial Services — 6.9%
Booz Allen Hamilton Holding Corp.		28,190		1,054,024
Korn/Ferry International		74,951		2,955,318
Matthews International Corp. Class A		21,210		1,320,322
On Assignment, Inc. (b)		38,770		2,081,174
Paylocity Holding Corp. (b)		17,130		836,287

				8,247,125

Cosmetics & Personal Care — 0.8%
elf Beauty, Inc. (a) (b)		41,230		929,736

Foods — 1.6%
Hostess Brands, Inc. (a) (b)		140,440		1,918,410

Health Care – Products — 3.2%
NuVasive, Inc. (b)		28,440		1,577,283
NxStage Medical, Inc. (b)		47,300		1,305,480
Wright Medical Group NV (b)		36,390		941,409

				3,824,172

Health Care – Services — 1.5%
Addus HomeCare Corp. (b)		11,820		417,246
Amedisys, Inc. (b)		24,530		1,372,699

				1,789,945

Household Products & Wares — 1.6%
Acco Brands Corp. (b)		154,690		1,840,811

Pharmaceuticals — 3.8%
ACADIA Pharmaceuticals, Inc. (a) (b)		17,310		652,068
Clovis Oncology, Inc. (b)		6,690		551,256
Galapagos NV (b)		3,285		334,318
Prestige Brands Holdings, Inc. (b)		50,891		2,549,130
TherapeuticsMD, Inc. (a) (b)		84,170		445,259

				4,532,031

				25,130,741

Energy — 2.8%
Energy – Alternate Sources — 0.8%
Renewable Energy Group, Inc. (a) (b)		78,709		956,314


	Number of Shares		Value
Oil & Gas — 0.7%
Matador Resources Co. (a) (b)		28,735	$	780,155

Pipelines — 1.3%
Cone Midstream Partners LP (c)		39,000		617,760
Noble Midstream Partners LP (c)		18,205		944,294

				1,562,054

				3,298,523

Financial — 24.2%
Banks — 9.6%
The Bank of NT Butterfield & Son Ltd.		23,290		853,346
BankUnited, Inc.		48,499		1,725,109
Chemical Financial Corp.		22,012		1,150,347
Customers Bancorp, Inc. (b)		24,140		787,447
FCB Financial Holdings, Inc. Class A (b)		21,120		1,020,096
IBERIABANK Corp.		22,650		1,860,697
MB Financial, Inc.		52,080		2,344,642
Webster Financial Corp.		32,580		1,712,079

				11,453,763

Diversified Financial Services — 1.1%
Stifel Financial Corp.		23,770		1,270,744

Insurance — 0.9%
James River Group Holdings Ltd.		25,990		1,078,065

Real Estate — 1.0%
Realogy Holdings Corp.		36,750		1,210,912

Real Estate Investment Trusts (REITS) — 7.4%
Brandywine Realty Trust		110,780		1,937,542
CYS Investments, Inc.		205,540		1,775,866
DiamondRock Hospitality Co.		148,910		1,630,564
Four Corners Property Trust, Inc.		75,590		1,883,703
National Storage Affiliates Trust		65,390		1,585,054

				8,812,729

Savings & Loans — 4.2%
Beneficial Bancorp, Inc.		46,330		769,078
Berkshire Hills Bancorp, Inc.		24,630		954,413
OceanFirst Financial Corp.		26,280		722,437
Oritani Financial Corp.		42,790		718,872
Sterling Bancorp		53,500		1,318,775
WSFS Financial Corp.		11,280		549,900

				5,033,475

				28,859,688

Industrial — 11.4%
Building Materials — 2.9%
Boise Cascade Co. (b)		28,280		986,972
Masonite International Corp. (b)		13,860		959,112
Summit Materials, Inc. Class A (b)		49,166		1,574,787

				3,520,871


	Number of Shares		Value
Electrical Components & Equipment — 1.4%
Generac Holdings, Inc. (b)		36,010	$	1,653,939

Engineering & Construction — 2.1%
Dycom Industries, Inc. (b)		14,780		1,269,306
KBR, Inc.		68,160		1,218,701

				2,488,007

Environmental Controls — 0.9%
Advanced Disposal Services, Inc. (b)		40,580		1,022,210

Machinery – Diversified — 0.7%
The Manitowoc Co., Inc. (b)		93,680		843,120

Metal Fabricate & Hardware — 1.0%
Rexnord Corp. (b)		46,660		1,185,631

Transportation — 1.4%
CryoPort, Inc. (b)		18,490		182,127
Genesee & Wyoming, Inc. Class A (b)		19,720		1,459,477

				1,641,604

Trucking & Leasing — 1.0%
The Greenbrier Cos., Inc. (a)		24,890		1,198,453

				13,553,835

Technology — 14.4%
Computers — 2.3%
CACI International, Inc. Class A (b)		16,010		2,230,994
Teradata Corp. (b)		15,690		530,165

				2,761,159

Semiconductors — 5.5%
Brooks Automation, Inc.		47,990		1,456,976
Cypress Semiconductor Corp. (a)		59,353		891,482
MaxLinear, Inc. (b)		42,640		1,012,700
MKS Instruments, Inc.		18,390		1,736,935
Semtech Corp. (b)		37,030		1,390,477

				6,488,570

Software — 6.6%
CommVault Systems, Inc. (b)		15,900		966,720
Envestnet, Inc. (b)		17,640		899,640
Guidewire Software, Inc. (b)		17,870		1,391,358
j2 Global, Inc.		22,721		1,678,627
Pegasystems, Inc.		25,950		1,496,018
Zynga, Inc. Class A (b)		377,270		1,426,081

				7,858,444

				17,108,173

Utilities — 2.6%
Electric — 1.7%
Portland General Electric Co.		46,210		2,109,024


	Number of Shares		Value
Water — 0.9%
American States Water Co.		21,110	$	1,039,668

				3,148,692


TOTAL COMMON STOCK (Cost $91,341,481)				117,166,951


TOTAL EQUITIES (Cost $91,341,481)				117,166,951


MUTUAL FUNDS — 10.5%
Diversified Financial Services — 10.5%
State Street Navigator Securities Lending Prime Portfolio (d)		12,474,828		12,474,828


TOTAL MUTUAL FUNDS (Cost $12,474,828)				12,474,828


TOTAL LONG-TERM INVESTMENTS (Cost $103,816,309)				129,641,779


	Principal Amount
SHORT-TERM INVESTMENTS — 2.0%
Repurchase Agreement — 2.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (e)	$	2,335,415		2,335,415


TOTAL SHORT-TERM INVESTMENTS (Cost $2,335,415)				2,335,415


TOTAL INVESTMENTS — 110.9% (Cost $106,151,724) (f)				131,977,194

Other Assets/(Liabilities) — (10.9)%				(12,963,086	)


NET ASSETS — 100.0%			$	119,014,108

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2017, was $12,166,840 or 10.22% 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)	Security is a Master Limited Partnership.

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

(e)	Maturity value of $2,335,425. 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 $2,382,834.

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


	Number of Shares		Value
EQUITIES — 97.6%

COMMON STOCK — 97.6%
Basic Materials — 10.3%
Chemicals — 7.3%
AdvanSix, Inc. (a)		6,000	$	238,501
The Chemours Co.		7,579		383,573
Ingevity Corp. (a)		12,600		787,122
Venator Materials PLC (a)		10,800		244,080

				1,653,276

Mining — 3.0%
Alcoa Corp. (a)		4,500		209,790
Teck Resources Ltd. Class B		22,600		476,634

				686,424

				2,339,700

Communications — 5.9%
Internet — 0.8%
Liberty Expedia Holdings, Inc. Class A (a)		1,360		72,230
Liberty Ventures Series A (a)		2,040		117,402

				189,632

Media — 5.1%
Cable One, Inc.		500		361,060
Liberty Broadband Corp. Class A (a)		3,500		329,630
Liberty Media Corp-Liberty SiriusXM Class A (a)		5,600		234,640
Liberty Media Corp-Liberty SiriusXM Class C (a)		5,600		234,472

				1,159,802

				1,349,434

Consumer, Cyclical — 8.5%
Auto Parts & Equipment — 1.6%
Adient PLC		1,000		83,990
Allison Transmission Holdings, Inc.		7,600		285,228

				369,218

Distribution & Wholesale — 1.2%
WESCO International, Inc. (a)		4,750		276,687

Entertainment — 2.9%
The Madison Square Garden Co. Class A (a)		3,010		644,441

Lodging — 2.1%
Hilton Grand Vacations, Inc. (a)		12,500		482,875

Retail — 0.7%
Yum China Holdings, Inc. (a)		3,700		147,889

				1,921,110


	Number of Shares		Value
Consumer, Non-cyclical — 25.5%
Biotechnology — 3.5%
Bioverativ, Inc. (a)		12,800	$	730,496
Theravance Biopharma, Inc. (a)		1,800		61,632

				792,128

Commercial Services — 7.3%
CDK Global, Inc.		10,750		678,218
PayPal Holdings, Inc. (a)		15,400		986,062

				1,664,280

Foods — 1.9%
Conagra Brands, Inc.		8,500		286,790
Lamb Weston Holdings, Inc.		2,833		132,839

				419,629

Health Care – Products — 3.8%
Danaher Corp.		3,500		300,230
Halyard Health, Inc. (a)		6,100		274,683
West Pharmaceutical Services, Inc.		3,100		298,406

				873,319

Household Products & Wares — 1.0%
Avery Dennison Corp.		2,400		236,016

Pharmaceuticals — 8.0%
AbbVie, Inc.		6,300		559,818
Zoetis, Inc.		19,700		1,256,072

				1,815,890

				5,801,262

Energy — 1.5%
Oil & Gas — 1.5%
Murphy USA, Inc. (a)		5,000		345,000

Financial — 12.5%
Diversified Financial Services — 4.3%
Synchrony Financial		31,800		987,390

Insurance — 0.4%
The Travelers Cos., Inc.		700		85,764

Real Estate Investment Trusts (REITS) — 5.7%
Four Corners Property Trust, Inc.		10,300		256,676
Gaming and Leisure Properties, Inc.		13,900		512,771
Mack-Cali Realty Corp.		10,600		251,326
Starwood Waypoint Homes		7,600		276,412

				1,297,185

Savings & Loans — 2.1%
Beneficial Bancorp, Inc.		22,400		371,840
Poage Bankshares, Inc.		5,400		97,740

				469,580

				2,839,919


	Number of Shares		Value
Industrial — 26.1%
Aerospace & Defense — 2.1%
KLX, Inc. (a)		9,000	$	476,370

Building Materials — 1.0%
Armstrong Flooring, Inc. (a)		14,080		221,760

Electronics — 14.6%
Allegion PLC		8,500		734,995
Fortive Corp.		18,100		1,281,299
Keysight Technologies, Inc. (a)		7,770		323,698
Kimball Electronics, Inc. (a)		30,483		659,957
Knowles Corp. (a)		20,600		314,562

				3,314,511

Machinery – Construction & Mining — 3.5%
Oshkosh Corp.		9,500		784,130

Machinery – Diversified — 1.8%
AGCO Corp.		5,500		405,735

Miscellaneous – Manufacturing — 3.1%
Pentair PLC		2,340		159,026
Trinseo SA		8,300		556,930

				715,956

				5,918,462

Technology — 4.9%
Computers — 4.0%
DXC Technology Co.		3,874		332,699
Hewlett Packard Enterprise Co.		22,600		332,446
Lumentum Holdings, Inc. (a)		4,500		244,575

				909,720

Software — 0.9%
Micro Focus International PLC Sponsored ADR (a)		6,193		197,557

				1,107,277

Utilities — 2.4%
Gas — 2.4%
ONE Gas, Inc.		7,300		537,572


TOTAL COMMON STOCK (Cost $17,725,729)				22,159,736


TOTAL EQUITIES (Cost $17,725,729)				22,159,736


TOTAL LONG-TERM INVESTMENTS (Cost $17,725,729)				22,159,736


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 2.5%
Repurchase Agreement — 2.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (b)	$	568,402	$	568,402


TOTAL SHORT-TERM INVESTMENTS (Cost $568,402)				568,402


TOTAL INVESTMENTS — 100.1% (Cost $18,294,131) (c)				22,728,138

Other Assets/(Liabilities) — (0.1)%				(28,846	)


NET ASSETS — 100.0%			$	22,699,292

Abbreviation Legend

ADR	American Depositary Receipt

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Non-income producing security.

(b)	Maturity value of $568,404. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 1/31/21, and an aggregate market value, including accrued interest, of $580,567.

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


	Number of Shares		Value
EQUITIES — 95.9%

COMMON STOCK — 94.5%
Bermuda — 2.2%
Credicorp Ltd.		3,200	$	656,064
Jardine Strategic Holdings Ltd.		40,662		1,759,251

				2,415,315

Brazil — 3.9%
Atacadao Distribuicao Comercio e Industria Ltda (a)		134,700		659,646
B3 SA - Brasil Bolsa Balcao		297,100		2,246,671
Embraer SA Sponsored ADR		9,540		215,699
Estacio Participacoes SA		64,500		631,121
Natura Cosmeticos SA		8,900		87,675
Sul America SA		97,734		552,062

				4,392,874

Cayman Islands — 18.4%
3SBio, Inc. (a) (b)		209,500		336,399
Alibaba Group Holding Ltd. Sponsored ADR (a)		35,675		6,161,429
China Lodging Group Ltd. Sponsored ADR (a)		15,244		1,811,292
Ctrip.com International Ltd. ADR (a)		46,270		2,440,280
NetEase.com, Inc. ADR		1,640		432,649
New Oriental Education & Technology Group, Inc. Sponsored ADR		13,060		1,152,676
Tencent Holdings Ltd.		168,159		7,269,874
Want Want China Holdings Ltd.		884,000		621,305
Wuxi Biologics Cayman, Inc. (a) (b)		24,500		123,987
ZTO Express Cayman, Inc. (a) (c)		17,160		240,926

				20,590,817

Chile — 0.1%
Banco de Chile		832,138		126,956

China — 5.0%
China International Capital Corp. Ltd. Class H (b)		199,600		406,748
Jiangsu Hengrui Medicine Co. Ltd. Class A		209,000		1,887,095
Kweichow Moutai Co. Ltd. Class A		16,942		1,319,873
Sinopharm Group Co. Ltd. Class H		452,800		1,998,513

				5,612,229

Colombia — 1.2%
Grupo Aval Acciones y Valores SA		82,440		739,487
Grupo de Inversiones Suramericana SA		40,447		563,054

				1,302,541

Egypt — 0.5%
Commercial International Bank Egypt SAE		111,619		515,724


	Number of Shares		Value
France — 3.8%
Kering		6,745	$	2,684,981
LVMH Moet Hennessy Louis Vuitton SE		5,536		1,526,254

				4,211,235

Hong Kong — 4.4%
AIA Group Ltd.		406,400		3,013,984
China Mobile Ltd.		117,500		1,188,634
Hang Lung Group Ltd.		67,000		241,287
Hong Kong Exchanges & Clearing Ltd.		19,724		534,828

				4,978,733

India — 12.1%
Apollo Hospitals Enterprise Ltd.		35,954		554,275
Biocon Ltd.		47,139		240,936
Cholamandalam Investment & Finance Co. Ltd.		14,821		246,958
Dr. Reddy’s Laboratories Ltd.		16,083		575,502
Glenmark Pharmaceuticals Ltd.		22,793		209,439
Housing Development Finance Corp. Ltd.		191,768		5,084,601
Infosys Ltd.		128,383		1,772,936
Kotak Mahindra Bank Ltd.		91,586		1,405,533
Tata Consultancy Services Ltd.		28,271		1,055,520
UltraTech Cement Ltd.		12,148		717,485
Zee Entertainment Enterprises Ltd.		204,991		1,632,142

				13,495,327

Indonesia — 2.3%
Astra International Tbk PT		1,393,000		816,957
Bank Mandiri Persero Tbk PT		1,472,800		736,851
Bank Rakyat Indonesia Persero Tbk PT		464,400		527,707
Indocement Tunggal Prakarsa Tbk PT		381,000		537,059

				2,618,574

Italy — 1.1%
PRADA SpA		350,700		1,220,060

Malaysia — 1.5%
Genting Bhd		511,700		1,157,420
Genting Malaysia Bhd		404,000		514,964

				1,672,384

Mexico — 5.2%
Fomento Economico Mexicano SAB de CV		139,144		1,328,630
Fomento Economico Mexicano SAB de CV Sponsored ADR		6,760		645,783
Grupo Aeroportuario del Sureste SAB de CV Class B		32,960		628,611
Grupo Financiero Banorte SAB de CV Class O		121,130		833,941


	Number of Shares		Value
Grupo Financiero Inbursa SAB de CV Class O		562,541	$	1,028,391
Grupo Mexico SAB de CV Series B		271,333		830,985
Kimberly-Clark de Mexico SAB de CV Class A		233,588		476,027

				5,772,368

Netherlands — 1.4%
Steinhoff International Holdings NV		352,369		1,563,103

Nigeria — 0.5%
Nigerian Breweries PLC		638,411		288,403
Zenith Bank PLC		3,889,735		254,372

				542,775

Philippines — 3.6%
Ayala Corp.		11,230		214,503
Ayala Land, Inc.		827,900		709,794
Bank of the Philippine Islands		35,040		68,600
Jollibee Foods Corp.		130,570		626,632
SM Investments Corp.		80,565		1,401,659
SM Prime Holdings, Inc.		1,504,500		1,020,769

				4,041,957

Poland — 0.5%
Bank Pekao SA		16,980		595,705

Portugal — 0.1%
Jeronimo Martins SGPS SA (c)		5,398		106,481

Republic of Korea — 4.9%
Amorepacific Corp.		1,800		407,757
AMOREPACIFIC Group		1,816		195,789
Celltrion Healthcare Co. Ltd. (a)		5,803		281,195
Celltrion, Inc. (a)		3,147		391,518
LG Household & Health Care Ltd.		1,580		1,291,395
NAVER Corp.		3,196		2,083,434
Samsung Biologics Co. Ltd. (a) (b)		2,707		801,584

				5,452,672

Russia — 6.9%
Alrosa PJSC (a)		458,770		650,854
Magnit PJSC (a)		17,170		3,008,032
Novatek PJSC Sponsored GDR Registered (d)		23,884		2,801,862
Polyus PJSC GDR (b) (e)		7,500		290,550
Sberbank of Russia PJSC Sponsored ADR		64,560		920,357

				7,671,655

South Africa — 1.5%
FirstRand Ltd.		264,605		1,018,415
Shoprite Holdings Ltd.		46,688		713,516

				1,731,931

Spain — 0.4%
Prosegur Cash SA (a) (b)		142,294		428,014


	Number of Shares		Value
Taiwan — 5.7%
Taiwan Semiconductor Manufacturing Co. Ltd.		889,000	$	6,393,802

Turkey — 1.1%
Anadolu Efes Biracilik Ve Malt Sanayii AS		86,355		507,054
BIM Birlesik Magazalar AS		34,629		722,126

				1,229,180

United Arab Emirates — 1.9%
DP World Ltd.		68,653		1,541,757
Emaar Properties PJSC		256,197		592,396

				2,134,153

United Kingdom — 4.3%
Anglo American PLC		22,860		410,401
Glencore PLC		594,711		2,726,272
Mediclinic International PLC (c)		42,450		370,020
Old Mutual PLC		18,106		46,909
Unilever PLC		21,080		1,220,152

				4,773,754

United States — 0.0%
MercadoLibre, Inc. (c)		200		51,786


TOTAL COMMON STOCK (Cost $84,032,730)				105,642,105


PREFERRED STOCK — 1.4%
Brazil — 1.3%
Lojas Americanas SA 0.130%		239,400		1,455,078

India — 0.1%
Zee Entertainment Enterprises Ltd. 6.000%		503,840		75,437


TOTAL PREFERRED STOCK (Cost $1,147,472)				1,530,515


TOTAL EQUITIES (Cost $85,180,202)				107,172,620


MUTUAL FUNDS — 0.6%
United States — 0.6%
State Street Navigator Securities Lending Prime Portfolio (f)		650,934		650,934


TOTAL MUTUAL FUNDS (Cost $650,934)				650,934


	Number of Shares		Value
RIGHTS — 0.5%
Russia — 0.5%
Moscow Exchange OAO (a)		298,459	$	600,548


TOTAL RIGHTS (Cost $559,915)				600,548


TOTAL LONG-TERM INVESTMENTS (Cost $86,391,051)				108,424,102


	Principal Amount
SHORT-TERM INVESTMENTS — 3.5%
Repurchase Agreement — 3.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/29/17, 0.050%, due 10/02/17 (g)	$	3,846,563		3,846,563

Time Deposit — 0.0%
Euro Time Deposit 0.120% 10/02/17		972		972


TOTAL TIME DEPOSIT (Cost $972)				972


TOTAL SHORT-TERM INVESTMENTS (Cost $3,847,535)				3,847,535


TOTAL INVESTMENTS — 100.5% (Cost $90,238,586) (h)				112,271,637

Other Assets/(Liabilities) — (0.5)%				(525,819	)


NET ASSETS — 100.0%			$	111,745,818

Abbreviation Legend

ADR	American Depositary Receipt

GDR	Global Depositary Receipt

PJSC	Public Joint Stock Company

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(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 September 30, 2017, these securities amounted to a value of $2,387,282 or 2.14% of net assets.

(c)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2017, was $623,804 or 0.56% 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)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2017, these securities amounted to a value of $290,550 or 0.26% of net assets.

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

(g)	Maturity value of $3,846,579. 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 $3,925,250.

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


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 101.1%
Discount Notes — 85.7%
Federal Farm Credit Bank 0.724%, 10/02/17, 10/02/17 (a)	$	1,333,000	$	1,332,947
Federal Farm Credit Bank 1.100%, 10/30/17, 10/30/17 (a)		200,000		199,817
Federal Farm Credit Bank 1.170%, 3/29/18, 3/29/18 (a)		450,000		447,368
Federal Home Loan Bank 1.072%, 10/23/17, 1/23/18 (a)		5,000,000		4,999,936
Federal Home Loan Bank 1.072%, 10/25/17, 1/25/18 (a)		14,000,000		13,999,691
Federal Home Loan Bank 1.086%, 10/13/17, 12/13/17 (a)		8,000,000		8,000,000
Federal Home Loan Bank 1.106%, 10/20/17, 7/20/18 (a)		8,000,000		8,000,000
Federal Home Loan Bank 1.125%, 10/11/17, 10/11/18 (a)		2,000,000		2,000,000
Federal Home Loan Bank 1.146%, 12/06/17, 3/06/18 (a)		5,000,000		5,002,087
Federal Home Loan Bank 1.157%, 11/26/17, 2/26/18 (a)		12,000,000		12,004,334
Federal Home Loan Bank 1.302%, 10/05/17, 12/05/17 (a)		2,485,000		2,486,142
Federal Home Loan Bank Discount Notes 0.978%, 10/20/17, 10/20/17 (a)		1,250,000		1,249,333
Federal Home Loan Bank Discount Notes 1.020%, 10/25/17, 10/25/17 (a)		1,438,000		1,436,996
Federal Home Loan Bank Discount Notes 1.025%, 10/20/17, 10/20/17 (a)		600,000		599,663
Federal Home Loan Bank Discount Notes 1.025%, 10/11/17, 10/11/17 (a)		1,800,000		1,799,436
Federal Home Loan Bank Discount Notes 1.025%, 11/07/17, 11/07/17 (a)		1,100,000		1,098,827
Federal Home Loan Bank Discount Notes 1.025%, 11/08/17, 11/08/17 (a)		2,300,000		2,297,483
Federal Home Loan Bank Discount Notes 1.030%, 10/31/17, 10/31/17 (a)		1,100,000		1,099,039
Federal Home Loan Bank Discount Notes 1.035%, 10/18/17, 10/18/17 (a)		950,000		949,516
Federal Home Loan Bank Discount Notes 1.040%, 11/22/17, 11/22/17 (a)		2,875,000		2,870,598


	Principal Amount		Value
Federal Home Loan Bank Discount Notes 1.050%, 12/12/17, 12/12/17 (a)	$	13,300,000	$	13,271,682
Federal Home Loan Bank Discount Notes 1.050%, 12/13/17, 12/13/17 (a)		1,688,000		1,684,357
Federal Home Loan Bank Discount Notes 1.050%, 12/15/17, 12/15/17 (a)		5,000,000		4,988,917
Federal Home Loan Bank Discount Notes 1.051%, 11/17/17, 11/17/17 (a)		700,000		699,034
Federal Home Loan Bank Discount Notes 1.056%, 11/13/17, 11/13/17 (a)		500,000		499,364
Federal Home Loan Bank Discount Notes 1.057%, 12/22/17, 12/22/17 (a)		10,000,000		9,976,022
Federal Home Loan Bank Discount Notes 1.059%, 12/22/17, 12/22/17 (a)		4,000,000		3,990,390
Federal Home Loan Bank Discount Notes 1.060%, 10/18/17, 10/18/17 (a)		2,240,000		2,238,813
Federal Home Loan Bank Discount Notes 1.065%, 11/01/17, 11/01/17 (a)		4,000,000		3,996,213
Federal Home Loan Bank Discount Notes 1.065%, 11/03/17, 11/03/17 (a)		4,000,000		3,995,977
Federal Home Loan Bank Discount Notes 1.080%, 1/12/18, 1/12/18 (a)		170,000		169,470
Federal Home Loan Bank Discount Notes 1.099%, 1/05/18, 1/05/18 (a)		1,550,000		1,545,490
Federal Home Loan Bank Discount Notes 1.099%, 10/16/17, 10/16/17 (a)		5,000,000		4,997,600
Federal Home Loan Bank Discount Notes 1.115%, 1/10/18, 1/10/18 (a)		1,800,000		1,794,313
Federal Home Loan Bank Discount Notes 1.120%, 2/14/18, 2/14/18 (a)		900,000		896,164
Federal Home Loan Mortgage Corp. 0.776%, 12/01/17, 12/01/17 (a)		1,000,000		998,691
Federal Home Loan Mortgage Corp. 1.100%, 11/20/17, 11/20/17 (a)		100,000		99,844
Federal Home Loan Mortgage Corp. 1.337%, 12/08/17, 3/08/18 (a)		1,100,000		1,101,199

				128,816,753


	Principal Amount		Value
Repurchase Agreement — 13.3%
HSBC Securities (USA) Inc. Tri-Party Repurchase Agreement, dated 9/29/17, 1.030%, due 10/02/17 (b)	$	20,050,000	$	20,050,000

Time Deposit — 2.1%
Euro Time Deposit 0.120% 10/02/17		3,087,542		3,087,542


TOTAL SHORT-TERM INVESTMENTS (Cost $151,954,295)				151,954,295


TOTAL INVESTMENTS — 101.1% (Cost $151,954,295) (c)				151,954,295

Other Assets/(Liabilities) — (1.1)%				(1,701,342	)


NET ASSETS — 100.0%			$	150,252,953

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	The stated maturity dates reflect demand date and final legal maturity date, respectively.

(b)	Maturity value of $20,051,721. Collateralized by U.S. Government Agency obligations with a rate of 1.250%, maturity date of 10/31/18, and an aggregate market value, including accrued interest, of $20,452,282.

(c)	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.

For investments in equity or debt issued by privately held companies or funds (“Private Company” or collectively, the “Private Companies”) and any other investments fair valued using significant unobservable inputs, as described below, the fair valuation approaches used by third party service providers and/or the Funds’ subadvisers utilize one or a combination of, but not limited to, the following inputs:

Market approach: (i) recent market transactions, including subsequent rounds of financing, in the underlying investment or comparable issuers; (ii) recapitalizations and other transactions across the capital structure; and (iii) market multiples of comparable issuers.

Income approach: (i) future cash flows discounted to present value and adjusted as appropriate for liquidity, credit, and/or market risks; (ii) quoted prices for similar investments or assets in active markets; and (iii) other risk factors, such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, recovery rates, liquidation amounts, and/or default rates.

Cost approach: (i) audited or unaudited financial statements, investor communications, and financial or operational metrics issued by the Private Company; (ii) changes in the valuation of relevant indices or publicly traded companies comparable to the Private Company; (iii) relevant news and other public sources; and (iv) known secondary market transactions in the Private Company’s interests and merger or acquisition activity in companies comparable to the Private Company.

Investments in series of preferred stock issued by Private Companies are typically valued utilizing Market approach in determining the enterprise value of the company. Such investments often contain rights and preferences that differ from other series of preferred and common stock of the same issuer. Valuation techniques such as the current value method (“CVM”), an option pricing model (“OPM”), a probability weighted expected return model (“PWERM”), or a hybrid of those techniques are used in allocating enterprise value of the company, as deemed appropriate under the circumstances. The CVM allocates value among the various parts of a company’s capital structure assuming that the value of convertible preferred stock is represented by the most favorable claim the preferred stockholders have on the enterprise value as of the valuation date. The use of OPM and PWERM techniques involve a determination of the exit scenarios of the investment in order to appropriately allocate the enterprise value of the company among the various parts of its capital structure.

The Private Companies are not subject to the public company disclosure, timing, and reporting standards as other investments held by a Fund. Typically, the most recently available information for a Private Company is as of a date that is earlier than the date a Fund is calculating its net asset value. This factor may result in a difference between the value of the investment and the price a Fund could receive upon the sale of the investment.

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 September 30, 2017. The Equity Fund, Equity Rotation Fund, and Special Situations Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 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 September 30, 2017, for the remaining Funds’ investments:

The Funds, with the exception of the Strategic Emerging Markets Fund, had no transfers between Level 1, Level 2, and Level 3 of the fair value hierarchy during the period ended September 30, 2017. The Funds recognize transfers between the Levels as of the beginning of the year.

The following table shows transfers between Level 1 and Level 2 of the fair value hierarchy:

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 September 30, 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 September 30, 2017, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

At September 30, 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 September 30, 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.

Forward foreign currency contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments. 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.

Futures contracts outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments.

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.

Swap agreements outstanding at the end of the period, if any, are listed in each applicable Fund’s Portfolio of Investments. 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.

Open reverse repurchase transactions outstanding at September 30, 2017, if any, are listed in each applicable Fund’s Portfolio of Investments.

At September 30, 2017, the average balance outstanding for open reverse repurchase agreements for the Inflation-Protected and Income Fund was $327,601,410. The maximum balance outstanding for the Inflation-Protected and Income Fund was $336,053,978 during the period ended September 30, 2017. The weighted average maturity was 59 days, at a weighted average interest rate of 1.093%.

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 September 30, 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 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 September 30, 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 September 30, 2017, the aggregate cost of investments and the unrealized appreciation (depreciation) in the value of all 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 September 30, 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, for all reporting periods ending after August 1, 2017. Management is still evaluating the impact of the Rule; however, the Funds have adopted the Rule’s Regulation S-X amendments and the Funds’ financial statements are in compliance with those amendments.

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 the each applicable Fund at the time of such judgment or settlement.

Management has evaluated the events and transactions subsequent to September 30, 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)
Tina Wilson
100 Bright Meadow Blvd., Enfield, CT 06082
(Name and address of agent for service)


		Counterparty	Settlement Date	In Exchange for		Unrealized Appreciation/ (Depreciation)
Contracts to Buy
BRL	2,851,680	HSBC Bank USA	02/15/18	$	831,879	$	53,066
RUB	74,889,600	HSBC Bank USA	02/15/18		1,200,000		72,552

					2,031,879		125,618


ZAR	7,133,735	JP Morgan Chase Bank N.A.	10/20/17		500,000		25,456

				$	2,531,879	$	151,074

Cross Currency Forwards
BRL	4,110,000	Barclays Bank PLC	02/15/18	CHF	1,200,000	$	24,436
RUB	62,460,000	JP Morgan Chase Bank N.A.	02/15/18	SEK	8,977,163		(49,995	)

						$	(25,559	)


	Expiration Date		Number of Contracts		Notional Amount		Value/Net Unrealized Appreciation/ (Depreciation)
Futures Contract — Long
S&P 500 E Mini Index		12/15/17		154	$	18,979,470	$	394,500

MML Series Investment Fund II – ‘N-Q’ for 9/30/17

On: Wednesday, 11/22/17, at 12:16pm ET · Effective: 11/22/17 · For: 9/30/17 · Accession #: 1193125-17-350362 · File #: 811-21714

Previous ‘N-Q’: ‘N-Q’ on 5/25/17 for 3/31/17 · Next: ‘N-Q’ on 5/25/18 for 3/31/18 · 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

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Registrant’s telephone number, including area code:		(860) 562-1000


OTC Counterparty	Units			Notional Amount		Expiration Date		Pay/ Receive Exercise Rate		Description	Premiums Purchased		Value		Unrealized Appreciation/ (Depreciation)
Call
Barclays Bank PLC		1,700,000	USD		1,700,000		7/12/27		Receive	3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87	$	108,369	$	114,980	$	6,611
Put
Barclays Bank PLC		3,660,000	USD		3,660,000		7/12/27		Pay	3-Month USD LIBOR BBA 10 Year Swaption, Underlying swap terminates 7/14/37, Strike 2.87	$	235,682	$	219,348	$	(16,334	)

											$	344,051	$	334,328	$	(9,723	)


Counterparty	Currency	Notional Amount		Expiration Date	Payment Frequency	Receive (Pay) Fixed Rate			Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Credit Default Swaps — Buy Protection
Centrally Cleared Swaps
	USD		2,620,000	6/20/22	Quarterly		(1.000%	)	CDX.NA.IG.28	$	(15,566	)	$	(39,936	)	$	(55,502	)

Credit Default Swaps — Sell Protection††
OTC Swaps
Goldman Sachs International	USD		500,000	5/11/63	Monthly		3.000%		CMBX.NA.BBB-.6† (Rating: BBB-)	$	(76,123	)	$	308		$	(75,815	)
Goldman Sachs International	USD		430,000	5/11/63	Monthly		3.000%		CMBX.NA.BBB-.6† (Rating: BBB-)		(27,963	)		(37,238	)		(65,201	)
Goldman Sachs International	USD		160,000	5/11/63	Monthly		3.000%		CMBX.NA.BBB-.6† (Rating: BBB-)		(11,442	)		(12,819	)		(24,261	)

										$	(115,528	)	$	(49,749	)	$	(165,277	)


Description	Value		Value Including Accrued Interest
Agreement with Banque Paribas Securities Corp., dated 9/06/17, 1.330%, to be repurchased on demand until 11/03/17 at value plus accrued interest.	$	67,963,500	$	68,023,761
Agreement with Daiwa Bank Securities Inc., dated 9/06/17, 1.310%, to be repurchased on demand until 11/06/17 at value plus accrued interest.		57,632,500		57,682,832
Agreement with Goldman Sachs & Co., dated 8/03/17, 1.320%, to be repurchased on demand until 11/03/17 at value plus accrued interest.		70,815,014		70,965,614
Agreement with HSBC Securities (USA) Inc., dated 9/01/17, 1.320%, to be repurchased on demand until 12/05/17 at value plus accrued interest.		99,256,150		99,361,082
Agreement with Morgan Stanley & Co. LLC, dated 7/07/17, 1.350%, to be repurchased on demand until 10/04/17 at value plus accrued interest.		40,386,814		40,515,547

	$	336,053,978	$	336,548,836


	Level 1		Level 2			Level 3		Total
Asset Momentum Fund
Asset Investments
Common Stock	$	6,114,275	$	2,835,455	*	$	-	$	8,949,730
U.S. Treasury Obligations		-		997,246			-		997,246
Mutual Funds		10,589,770		-			-		10,589,770
Short-Term Investments		-		5,835,383			-		5,835,383

Total Investments	$	16,704,045	$	9,668,084		$	-	$	26,372,129


	Transfers In*				Transfers Out*
	Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs		Level 1 — Quoted Prices		Level 2 — Other Significant Observable Inputs
Strategic Emerging Markets Fund	$	10,144,311	$	-	$	-	$	(10,144,311	)


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 Exchange 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


	Credit Risk		Equity Risk		Foreign Exchange Risk			Interest Rate Risk		Total
Asset Momentum Fund
Asset Derivatives
Forward Contracts	$	-	$	-	$	175,510		$	-	$	175,510
Futures Contracts		-		394,500		-			-		394,500

Total Value	$	-	$	394,500	$	175,510		$	-	$	570,010

Liability Derivatives
Forward Contracts	$	-	$	-	$	(49,995	)	$	-	$	(49,995	)


	Number of Contracts, Notional Amounts or Shares/Units†
Fund Name	Futures Contracts		Forward Contracts		Swap Agreements		Purchased Options
Asset Momentum Fund		154	$	4,954,078	$	-	$	-
Blend Fund		212		-		3,710,000		5,360,000
Inflation-Protected and Income Fund		12		-		49,080,000		11,240,000
Managed Bond Fund		1,392		-		23,120,000		32,430,000
Short-Duration Bond Fund		964		-		2,940,000		6,400,000


	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Asset Momentum Fund	$	23,339,929	$	3,142,402	$	(110,202	)	$	3,032,200
Blend Fund		558,240,908		146,710,504		(4,259,733	)		142,450,771
Dynamic Bond Fund		448,470,759		6,860,479		(5,773,894	)		1,086,585
Equity Fund		647,244,639		228,723,375		(10,766,648	)		217,956,727
Equity Rotation Fund		22,730,150		6,472,266		(258,164	)		6,214,102
High Yield Fund		132,439,533		4,954,618		(3,298,218	)		1,656,400
Inflation-Protected and Income Fund		759,595,689		9,637,268		(4,286,711	)		5,350,557
Managed Bond Fund		1,342,395,889		22,867,815		(7,408,780	)		15,459,035
Short-Duration Bond Fund		238,332,856		2,537,784		(1,469,267	)		1,068,517
Small Cap Equity Fund		106,151,724		28,386,521		(2,561,051	)		25,825,470
Special Situations Fund		18,294,131		4,540,840		(106,833	)		4,434,007
Strategic Emerging Markets Fund		90,238,586		25,451,611		(3,418,560	)		22,033,051


Date of reporting period:		9/30/2017


By		/s/ *Tina Wilson*
		Tina Wilson, 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
Filed on / Effective on:	11/22/17
For Period End:	9/30/17	N-MFP2
	8/1/17
	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 9/30/17

On: Wednesday, 11/22/17, at 12:16pm ET · Effective: 11/22/17 · For: 9/30/17 · Accession #: 1193125-17-350362 · File #: 811-21714

Previous ‘N-Q’: ‘N-Q’ on 5/25/17 for 3/31/17 · Next: ‘N-Q’ on 5/25/18 for 3/31/18 · 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