SEC Info - MML Series Investment Fund II


	Number of Shares		Value
EQUITIES — 28.9%

COMMON STOCK — 28.9%
Communications — 1.6%
Telecommunications — 1.6%
Drillisch AG		3,800	$	184,506
NTT DOCOMO, Inc.		5,600		141,984

				326,490

Consumer, Cyclical — 11.5%
Distribution & Wholesale — 2.3%
Pool Corp.		5,100		482,052

Home Builders — 4.7%
NVR, Inc. (a)		600		983,922

Retail — 3.8%
Fielmann AG		1,400		114,109
The TJX Cos., Inc.		9,200		687,976

				802,085

Textiles — 0.7%
Mohawk Industries, Inc. (a)		800		160,272

				2,428,331

Consumer, Non-cyclical — 8.2%
Agriculture — 0.7%
Reynolds American, Inc.		3,000		141,450

Biotechnology — 1.1%
CSL Ltd.		2,800		229,950

Foods — 1.2%
Nestle SA		1,300		102,432
Saputo, Inc.		4,500		156,374

				258,806

Health Care – Products — 0.7%
Advanced Medical Solutions Group PLC		54,300		160,466

Health Care – Services — 3.1%
Fresenius SE & Co. KGaA		5,900		470,615
Ramsay Health Care Ltd.		3,000		182,235

				652,850

Household Products — 1.4%
Henkel AG & Co. KGaA		2,000		232,766
Portmeirion Group PLC		5,600		60,986

				293,752

				1,737,274

Financial — 2.4%
Diversified Financial — 1.9%
MasterCard, Inc. Class A		3,800		386,726

Diversified Financial Services — 0.5%
Onex Corp.		1,700		109,480

				496,206


	Number of Shares		Value
Industrial — 2.1%
Building Materials — 0.4%
Breedon Aggregates Ltd. (a)		88,100	$	81,076

Electronics — 1.1%
Halma PLC		17,600		239,300

Hand & Machine Tools — 0.6%
Schindler Holding AG		700		131,141

				451,517

Technology — 3.1%
Computers — 1.4%
Amdocs Ltd.		5,200		300,820

Software — 1.7%
EMIS Group PLC		11,800		143,829
Nexus AG		3,400		70,390
Open Text Corp.		2,100		136,025

				350,244

				651,064


TOTAL COMMON STOCK (Cost $5,886,609)				6,090,882


TOTAL EQUITIES (Cost $5,886,609)				6,090,882


	Principal Amount
BONDS & NOTES — 19.0%

CORPORATE DEBT — 14.3%
Diversified Financial — 14.3%
Federal Home Loan Mortgage Corp. 1.000% 7/28/17	$	3,000,000		3,008,372


TOTAL CORPORATE DEBT (Cost $3,010,500)				3,008,372


U.S. TREASURY OBLIGATIONS — 4.7%
U.S. Treasury Bonds & Notes — 4.7%
U.S. Treasury Note (b) 0.750% 4/30/18		1,000,000		1,000,053


TOTAL U.S. TREASURY OBLIGATIONS (Cost $998,125)				1,000,053


TOTAL BONDS & NOTES (Cost $4,008,625)				4,008,425



	Number of Shares		Value
MUTUAL FUNDS — 27.9%
Diversified Financial — 27.9%
iShares MSCI Canada Index Fund		8,100	$	208,089
iShares MSCI India ETF		6,600		194,106
VanEck Vectors Russia ETF		11,000		206,360
Vanguard Total Stock Market ETF		47,500		5,288,175

				5,896,730


TOTAL MUTUAL FUNDS (Cost $5,904,078)				5,896,730


TOTAL LONG-TERM INVESTMENTS (Cost $15,799,312)				15,996,037


	Principal Amount
SHORT-TERM INVESTMENTS — 23.8%
Repurchase Agreement — 23.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (c)	$	5,024,899		5,024,899


TOTAL SHORT-TERM INVESTMENTS (Cost $5,024,899)				5,024,899


TOTAL INVESTMENTS — 99.6% (Cost $20,824,211) (d)				21,020,936

Other Assets/(Liabilities) — 0.4%				79,675


NET ASSETS — 100.0%			$	21,100,611

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ETF	Exchange-Traded Fund

(a)	Non-income producing security.

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

(c)	Maturity value of $5,024,903. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $5,127,109.

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


	Number of Shares		Value
EQUITIES — 69.2%

COMMON STOCK — 69.1%
Basic Materials — 1.6%
Chemicals — 1.3%
Air Products & Chemicals, Inc.		5	$	752
CF Industries Holdings, Inc.		1,190		28,976
The Dow Chemical Co.		30,573		1,584,599
E.I. du Pont de Nemours & Co.		26,160		1,751,935
Eastman Chemical Co.		15,470		1,047,010
Ecolab, Inc.		2		243
FMC Corp.		30,800		1,488,872
LyondellBasell Industries NV Class A		8,600		693,676
Monsanto Co.		6,694		684,127
The Mosaic Co.		23,700		579,702
PPG Industries, Inc.		6,518		673,700
Praxair, Inc.		6		725
The Sherwin-Williams Co.		3		830

				8,535,147

Forest Products & Paper — 0.0%
International Paper Co.		3,587		172,104

Iron & Steel — 0.1%
Nucor Corp.		14,956		739,574

Mining — 0.2%
Alcoa, Inc.		26		264
Freeport-McMoRan, Inc.		64		695
Newmont Mining Corp.		23,670		929,994
Vulcan Materials Co.		65		7,393

				938,346

				10,385,171

Communications — 8.6%
Advertising — 0.2%
The Interpublic Group of Companies, Inc.		6,922		154,707
Nielsen Holdings PLC		10,600		567,842
Omnicom Group, Inc.		3,747		318,495

				1,041,044

Internet — 3.6%
Akamai Technologies, Inc. (a)		26		1,378
Alphabet, Inc. Class A (a)		6,710		5,395,243
Alphabet, Inc. Class C (a)		4,901		3,809,498
Amazon.com, Inc. (a)		3,830		3,206,897
eBay, Inc. (a)		49,277		1,621,213
Expedia, Inc.		5,157		601,925
F5 Networks, Inc. (a)		8,380		1,044,483
Facebook, Inc. Class A (a)		32,350		4,149,534
Netflix, Inc. (a)		233		22,962
The Priceline Group, Inc. (a)		741		1,090,374
Symantec Corp.		64,955		1,630,371
TripAdvisor, Inc. (a)		37		2,338


	Number of Shares		Value
VeriSign, Inc. (a)		1,291	$	101,008
Yahoo!, Inc. (a)		29		1,250

				22,678,474

Media — 2.2%
CBS Corp. Class B		11,457		627,156
Charter Communications, Inc. Class A (a)		2,321		626,600
Comcast Corp. Class A		38,512		2,554,886
Discovery Communications, Inc. Series A (a)		61,800		1,663,656
Discovery Communications, Inc. Series C (a)		53,200		1,399,692
News Corp. Class A		38,466		537,755
Scripps Networks Interactive Class A		25,372		1,610,868
TEGNA, Inc.		83,212		1,819,014
Time Warner, Inc.		17,315		1,378,447
Twenty-First Century Fox, Inc. Class A		19,567		473,913
Viacom, Inc. Class B		28,810		1,097,661
The Walt Disney Co.		2,582		239,765

				14,029,413

Telecommunications — 2.6%
AT&T, Inc.		59,453		2,414,386
CenturyLink, Inc.		61,128		1,676,741
Cisco Systems, Inc.		101,442		3,217,740
Corning, Inc.		63,267		1,496,265
Frontier Communications Corp.		334,156		1,390,089
Juniper Networks, Inc.		1,389		33,419
Motorola Solutions, Inc.		26,237		2,001,359
Verizon Communications, Inc.		83,955		4,363,981

				16,593,980

				54,342,911

Consumer, Cyclical — 7.6%
Airlines — 1.0%
Alaska Air Group, Inc.		27,300		1,797,978
American Airlines Group, Inc.		44,600		1,632,806
Delta Air Lines, Inc.		39,100		1,538,976
Southwest Airlines Co.		27,283		1,061,036

				6,030,796

Apparel — 0.4%
Michael Kors Holdings Ltd. (a)		29,700		1,389,663
Nike, Inc. Class B		9,084		478,273
Ralph Lauren Corp.		9,050		915,317

				2,783,253

Auto Manufacturers — 0.7%
Ford Motor Co.		128,513		1,551,152
General Motors Co.		53,200		1,690,164
PACCAR, Inc.		18,122		1,065,211

				4,306,527


	Number of Shares		Value
Automotive & Parts — 0.2%
Delphi Automotive PLC		1,100	$	78,452
The Goodyear Tire & Rubber Co.		42,151		1,361,477

				1,439,929

Distribution & Wholesale — 0.1%
Fastenal Co.		82		3,426
Genuine Parts Co.		2,834		284,675
W.W. Grainger, Inc.		2		450

				288,551

Home Builders — 0.0%
D.R. Horton, Inc.		1,947		58,799
PulteGroup, Inc.		73		1,463

				60,262

Home Furnishing — 0.1%
Harman International Industries, Inc.		1,869		157,837
Whirlpool Corp.		1,573		255,078

				412,915

Leisure Time — 0.0%
Harley-Davidson, Inc.		2		105
Royal Caribbean Cruises Ltd.		100		7,495

				7,600

Lodging — 0.5%
Marriott International, Inc. Class A		7,321		492,923
Wyndham Worldwide Corp.		22,609		1,522,264
Wynn Resorts Ltd.		13,408		1,306,207

				3,321,394

Retail — 4.5%
AutoNation, Inc. (a)		99		4,822
AutoZone, Inc. (a)		494		379,560
Bed Bath & Beyond, Inc.		2,264		97,601
Best Buy Co., Inc.		57,792		2,206,499
Coach, Inc.		6,220		227,403
Costco Wholesale Corp.		7,400		1,128,574
CVS Health Corp.		20,594		1,832,660
Darden Restaurants, Inc.		9,854		604,247
Dollar General Corp.		3,200		223,968
Dollar Tree, Inc. (a)		48		3,789
The Gap, Inc.		50,190		1,116,226
The Home Depot, Inc.		13,627		1,753,522
Kohl’s Corp.		29,230		1,278,812
L Brands, Inc.		2,200		155,694
Lowe’s Cos., Inc.		14,295		1,032,242
Macy’s, Inc.		50,951		1,887,735
McDonald’s Corp.		13,350		1,540,056
Nordstrom, Inc.		24,308		1,261,099
O’Reilly Automotive, Inc. (a)		3,343		936,408
PVH Corp.		16,520		1,825,460
Ross Stores, Inc.		2,844		182,869
Staples, Inc.		85,765		733,291
Starbucks Corp.		8,654		468,528


	Number of Shares		Value
Target Corp.		15,086	$	1,036,106
Tiffany & Co.		802		58,249
The TJX Cos., Inc.		14,106		1,054,847
Urban Outfitters, Inc. (a)		52,500		1,812,300
Wal-Mart Stores, Inc.		47,222		3,405,651
Walgreens Boots Alliance, Inc.		1,757		141,649
Yum! Brands, Inc.		4,035		366,418

				28,756,285

Textiles — 0.0%
Cintas Corp.		1,878		211,463

Toys, Games & Hobbies — 0.1%
Hasbro, Inc.		3,861		306,293
Mattel, Inc.		2,090		63,285

				369,578

				47,988,553

Consumer, Non-cyclical — 14.5%
Agriculture — 0.8%
Altria Group, Inc.		18,259		1,154,516
Archer-Daniels-Midland Co.		33,092		1,395,490
Philip Morris International, Inc.		24,976		2,428,167
Reynolds American, Inc.		3,576		168,608

				5,146,781

Beverages — 1.1%
Brown-Forman Corp. Class B		12		569
The Coca-Cola Co.		26,130		1,105,822
Coca-Cola European Partners PLC		10,178		406,102
Constellation Brands, Inc. Class A		262		43,620
Dr. Pepper Snapple Group, Inc.		11,204		1,023,037
PepsiCo, Inc.		42,050		4,573,779

				7,152,929

Biotechnology — 1.4%
Amgen, Inc.		24,321		4,056,986
Biogen, Inc. (a)		3,662		1,146,316
Celgene Corp. (a)		10,586		1,106,554
Gilead Sciences, Inc.		32,310		2,556,367

				8,866,223

Commercial Services — 1.2%
Automatic Data Processing, Inc.		4,809		424,154
Equifax, Inc.		6,042		813,132
Global Payments, Inc.		2,300		176,548
H&R Block, Inc.		63		1,459
McKesson Corp.		7,525		1,254,794
Moody’s Corp.		3,330		360,572
Paychex, Inc.		5,164		298,841
PayPal Holdings, Inc. (a)		77		3,155
Quanta Services, Inc. (a)		13,913		389,425
Robert Half International, Inc.		26		984
S&P Global, Inc.		48		6,075
Total System Services, Inc.		2,707		127,635
United Rentals, Inc. (a)		13,880		1,089,441


	Number of Shares		Value
Visa, Inc. Class A		9,812	$	811,452
The Western Union Co.		85,588		1,781,942

				7,539,609

Cosmetics & Personal Care — 0.6%
Colgate-Palmolive Co.		17,906		1,327,551
The Estee Lauder Cos., Inc. Class A		7,910		700,509
The Procter & Gamble Co.		19,629		1,761,703

				3,789,763

Foods — 1.2%
Campbell Soup Co.		3,724		203,703
ConAgra Foods, Inc.		3,574		168,371
General Mills, Inc.		12,462		796,073
The Hershey Co.		1,647		157,453
Hormel Foods Corp.		15,732		596,715
The J.M. Smucker Co.		6,735		912,862
Kellogg Co.		8,428		652,917
The Kraft Heinz Co.		11,658		1,043,508
The Kroger Co.		24,558		728,881
McCormick & Co., Inc.		161		16,087
Mondelez International, Inc. Class A		12,875		565,212
Sysco Corp.		9,034		442,756
Tyson Foods, Inc. Class A		18,501		1,381,470
Whole Foods Market, Inc.		50		1,418

				7,667,426

Health Care – Products — 2.5%
Baxter International, Inc.		47,461		2,259,144
Becton, Dickinson & Co.		1,470		264,203
Boston Scientific Corp. (a)		30,900		735,420
C.R. Bard, Inc.		202		45,305
Edwards Lifesciences Corp. (a)		980		118,149
Hologic, Inc. (a)		7,400		287,342
Intuitive Surgical, Inc. (a)		96		69,584
Johnson & Johnson		79,202		9,356,132
Medtronic PLC		23,600		2,039,040
St. Jude Medical, Inc.		91		7,258
Stryker Corp.		300		34,923
Varian Medical Systems, Inc. (a)		2,097		208,714
Zimmer Biomet Holdings, Inc.		2,455		319,199

				15,744,413

Health Care – Services — 1.5%
Aetna, Inc.		6,227		718,907
Anthem, Inc.		10,826		1,356,606
Centene Corp. (a)		11,200		749,952
Cigna Corp.		712		92,788
DaVita, Inc. (a)		30		1,982
DENTSPLY SIRONA, Inc.		10,656		633,286
HCA Holdings, Inc. (a)		21,600		1,633,608
Humana, Inc.		1,084		191,749
Laboratory Corporation of America Holdings (a)		2		275
Quest Diagnostics, Inc.		3,309		280,041


	Number of Shares		Value
Thermo Fisher Scientific, Inc.		3,971	$	631,627
UnitedHealth Group, Inc.		22,424		3,139,360

				9,430,181

Household Products — 0.3%
Avery Dennison Corp.		16,615		1,292,481
The Clorox Co.		5,043		631,283
Kimberly-Clark Corp.		665		83,883

				2,007,647

Pharmaceuticals — 3.9%
Abbott Laboratories		29,522		1,248,485
AbbVie, Inc.		47,622		3,003,519
AmerisourceBergen Corp.		14,307		1,155,719
Bristol-Myers Squibb Co.		24,067		1,297,693
Cardinal Health, Inc.		6,678		518,881
Eli Lilly & Co.		3,614		290,060
Endo International PLC (a)		83,100		1,674,465
Express Scripts Holding Co. (a)		28,501		2,010,175
Mallinckrodt PLC (a)		27,700		1,932,906
Mead Johnson Nutrition Co.		7,212		569,820
Merck & Co., Inc.		66,083		4,124,240
Mylan NV (a)		48,847		1,862,048
Patterson Cos., Inc.		86		3,951
Pfizer, Inc.		147,841		5,007,375

				24,699,337

				92,044,309

Diversified — 0.0%
Holding Company – Diversified — 0.0%
Leucadia National Corp.		37		704

Energy — 3.6%
Energy – Alternate Sources — 0.2%
First Solar, Inc. (a)		29,900		1,180,751

Oil & Gas — 2.9%
Anadarko Petroleum Corp.		48		3,041
Apache Corp.		16,421		1,048,809
Cabot Oil & Gas Corp.		48		1,239
Chesapeake Energy Corp. (a)		90		564
Chevron Corp.		39,258		4,040,433
ConocoPhillips		12,739		553,764
Devon Energy Corp.		447		19,717
Diamond Offshore Drilling, Inc.		39,578		696,969
EOG Resources, Inc.		78		7,543
EQT Corp.		97		7,044
Exxon Mobil Corp.		73,797		6,441,002
Helmerich & Payne, Inc.		60		4,038
Hess Corp.		9,032		484,296
Marathon Oil Corp.		96,627		1,527,673
Marathon Petroleum Corp.		22,806		925,696
Murphy Oil Corp.		11		334
Noble Energy, Inc.		56		2,002
Occidental Petroleum Corp.		15		1,094
Phillips 66		269		21,668


	Number of Shares		Value
Pioneer Natural Resources Co.		1	$	186
Range Resources Corp.		99		3,836
Southwestern Energy Co. (a)		6,000		83,040
Tesoro Corp.		16,987		1,351,486
Valero Energy Corp.		20,900		1,107,700

				18,333,174

Oil & Gas Services — 0.5%
Baker Hughes, Inc.		31		1,565
FMC Technologies, Inc. (a)		40		1,187
Halliburton Co.		14,467		649,279
National Oilwell Varco, Inc.		5,594		205,523
Schlumberger Ltd.		5,131		403,502
Transocean Ltd.		173,600		1,850,576

				3,111,632

Pipelines — 0.0%
Kinder Morgan, Inc.		38		879
Spectra Energy Corp.		64		2,736
The Williams Cos., Inc.		48		1,475

				5,090

				22,630,647

Financial — 11.0%
Banks — 2.4%
Bank of America Corp.		228,798		3,580,689
The Bank of New York Mellon Corp.		7,907		315,331
BB&T Corp.		18,566		700,309
Capital One Financial Corp.		9,142		656,670
Citizens Financial Group, Inc.		34,500		852,495
Comerica, Inc.		4,421		209,202
Fifth Third Bancorp		87,121		1,782,496
Huntington Bancshares, Inc.		6,800		67,048
KeyCorp		9,164		111,526
M&T Bank Corp.		1,355		157,315
Northern Trust Corp.		5,059		343,961
The PNC Financial Services Group, Inc.		4,218		380,000
Regions Financial Corp.		140,515		1,386,883
State Street Corp.		8,176		569,295
SunTrust Banks, Inc.		28,300		1,239,540
U.S. Bancorp		29,202		1,252,474
Wells Fargo & Co.		25,716		1,138,704
Zions Bancorp		27,141		841,914

				15,585,852

Diversified Financial — 3.9%
American Express Co.		22,449		1,437,634
Ameriprise Financial, Inc.		1,736		173,201
BlackRock, Inc.		880		318,965
The Charles Schwab Corp.		312		9,850
Citigroup, Inc.		84,051		3,969,729
CME Group, Inc.		7,990		835,115
Discover Financial Services		17,783		1,005,629
E*TRADE Financial Corp. (a)		54,061		1,574,256


	Number of Shares		Value
Franklin Resources, Inc.		18,287	$	650,469
The Goldman Sachs Group, Inc.		16,890		2,723,850
Intercontinental Exchange, Inc.		3		808
Invesco Ltd.		8,012		250,535
JP Morgan Chase & Co.		103,122		6,866,894
Legg Mason, Inc.		26		870
MasterCard, Inc. Class A		9,020		917,965
Morgan Stanley		41,497		1,330,394
Nasdaq, Inc.		2,945		198,905
Navient Corp.		121,491		1,757,975
Synchrony Financial		20,100		562,800
T. Rowe Price Group, Inc.		306		20,349

				24,606,193

Insurance — 2.9%
Aflac, Inc.		26,072		1,873,795
The Allstate Corp.		12,035		832,581
American International Group, Inc.		25,746		1,527,768
Aon PLC		3,445		387,528
Assurant, Inc.		1,196		110,331
Berkshire Hathaway, Inc. Class B (a)		11,176		1,614,597
Chubb Ltd.		13,978		1,756,336
Cincinnati Financial Corp.		4,419		333,281
The Hartford Financial Services Group, Inc.		8,152		349,069
Lincoln National Corp.		30,851		1,449,380
Loews Corp.		1,883		77,485
Marsh & McLennan Cos., Inc.		5,813		390,924
MetLife, Inc.		24,990		1,110,306
Principal Financial Group, Inc.		22,229		1,145,016
The Progressive Corp.		18,114		570,591
Prudential Financial, Inc.		16,827		1,373,924
Torchmark Corp.		2,582		164,964
The Travelers Cos., Inc.		7,167		820,980
Unum Group		49,331		1,741,877
XL Group Ltd.		22,988		773,086

				18,403,819

Real Estate — 0.0%
CBRE Group, Inc. Class A (a)		6,287		175,910

Real Estate Investment Trusts (REITS) — 1.7%
American Tower Corp.		589		66,751
Apartment Investment & Management Co. Class A		27,385		1,257,245
AvalonBay Communities, Inc.		2,081		370,085
Boston Properties, Inc.		3		409
Equity Residential		22,356		1,438,162
Essex Property Trust, Inc.		1,500		334,050
Extra Space Storage, Inc.		7,000		555,870
General Growth Properties, Inc.		19,700		543,720
HCP, Inc.		21,335		809,663
Host Hotels & Resorts, Inc.		27,837		433,422
Iron Mountain, Inc.		48		1,802
Kimco Realty Corp.		39,567		1,145,465


	Number of Shares		Value
The Macerich Co.		22,000	$	1,779,140
Prologis, Inc.		28,638		1,533,279
Public Storage		203		45,297
Simon Property Group, Inc.		645		133,522
SL Green Realty Corp.		2,300		248,630
Ventas, Inc.		25		1,766
Vornado Realty Trust		1,373		138,961
Weyerhaeuser Co.		26		830

				10,838,069

Savings & Loans — 0.1%
People’s United Financial, Inc.		25,351		401,053

				70,010,896

Industrial — 8.0%
Aerospace & Defense — 1.7%
The Boeing Co.		23,342		3,075,075
General Dynamics Corp.		602		93,406
Harris Corp.		8,070		739,293
L-3 Communications Holdings, Inc.		5,290		797,362
Lockheed Martin Corp.		4,410		1,057,165
Northrop Grumman Corp.		7,488		1,602,058
Raytheon Co.		5,149		700,933
Rockwell Collins, Inc.		68		5,735
TransDigm Group, Inc. (a)		320		92,518
United Technologies Corp.		22,440		2,279,904

				10,443,449

Airlines — 0.3%
United Continental Holdings, Inc. (a)		32,000		1,679,040

Building Materials — 0.1%
Martin Marietta Materials, Inc.		490		87,764
Masco Corp.		21,825		748,816

				836,580

Electrical Components & Equipment — 0.1%
Emerson Electric Co.		15,169		826,862

Electronics — 0.8%
Agilent Technologies, Inc.		7,963		374,978
Allegion PLC		33		2,274
Amphenol Corp. Class A		64		4,155
FLIR Systems, Inc.		28,352		890,820
Fortive Corp.		5,878		299,190
Garmin Ltd.		23,900		1,149,829
Johnson Controls International PLC		13,765		640,486
PerkinElmer, Inc.		2,720		152,619
TE Connectivity Ltd.		15,100		972,138
Waters Corp. (a)		5,060		801,959

				5,288,448

Engineering & Construction — 0.3%
Fluor Corp.		4,109		210,874
Jacobs Engineering Group, Inc. (a)		32,420		1,676,762

				1,887,636


	Number of Shares		Value
Environmental Controls — 0.0%
Republic Services, Inc.		337	$	17,002
Stericycle, Inc. (a)		97		7,774
Waste Management, Inc.		3,073		195,934

				220,710

Hand & Machine Tools — 0.3%
Snap-on, Inc.		1,671		253,925
Stanley Black & Decker, Inc.		10,099		1,241,975

				1,495,900

Machinery – Construction & Mining — 0.3%
Caterpillar, Inc.		17,475		1,551,256
Ingersoll-Rand PLC		5,300		360,082

				1,911,338

Machinery – Diversified — 0.6%
Cummins, Inc.		12,485		1,599,953
Deere & Co.		16,550		1,412,542
Flowserve Corp.		2,170		104,681
Rockwell Automation, Inc.		3,973		486,057
Roper Technologies, Inc.		663		120,977
Xylem, Inc.		3,355		175,970

				3,900,180

Manufacturing — 2.7%
3M Co.		3,752		661,215
Danaher Corp.		11,756		921,553
Dover Corp.		3,873		285,208
Eaton Corp. PLC		12,566		825,712
General Electric Co.		319,886		9,475,023
Honeywell International, Inc.		14,722		1,716,438
Illinois Tool Works, Inc.		11,155		1,336,815
Leggett & Platt, Inc.		1,686		76,848
Parker Hannifin Corp.		12,948		1,625,362
Pentair PLC		23		1,478
Textron, Inc.		6,372		253,287

				17,178,939

Packaging & Containers — 0.3%
Ball Corp.		18,302		1,499,849
Owens-Illinois, Inc. (a)		2,616		48,108
Sealed Air Corp.		2,853		130,725
WestRock Co.		67		3,248

				1,681,930

Transportation — 0.5%
C.H. Robinson Worldwide, Inc.		7,720		543,951
CSX Corp.		7		213
Expeditors International of Washington, Inc.		13,526		696,859
FedEx Corp.		4,220		737,150
Norfolk Southern Corp.		713		69,204
Ryder System, Inc.		1,138		75,051
Union Pacific Corp.		7,032		685,831


	Number of Shares		Value
United Parcel Service, Inc. Class B		4,880	$	533,677

				3,341,936

				50,692,948

Technology — 11.7%
Computers — 4.1%
Accenture PLC Class A		890		108,731
Apple, Inc.		102,677		11,607,635
Cognizant Technology Solutions Corp. Class A (a)		9,256		441,604
CSRA, Inc.		1,926		51,809
Dell Technologies ,Inc. Class V (a)		4,784		228,679
Hewlett Packard Enterprise Co.		17,574		399,809
HP, Inc.		138,574		2,152,054
International Business Machines Corp.		28,490		4,525,637
NetApp, Inc.		52,398		1,876,896
Seagate Technology PLC		49,200		1,896,660
Teradata Corp. (a)		53,286		1,651,866
Western Digital Corp.		18,647		1,090,290

				26,031,670

Office Equipment/Supplies — 0.5%
Pitney Bowes, Inc.		57,689		1,047,632
Xerox Corp.		184,045		1,864,376

				2,912,008

Semiconductors — 2.9%
Analog Devices, Inc.		54		3,480
Applied Materials, Inc.		34,239		1,032,306
Broadcom Ltd.		1,959		337,967
Intel Corp.		142,623		5,384,018
KLA-Tencor Corp.		24,989		1,741,983
Lam Research Corp.		10,423		987,162
Linear Technology Corp.		1,805		107,019
Microchip Technology, Inc.		4,621		287,149
Micron Technology, Inc. (a)		23,417		416,354
NVIDIA Corp.		8,126		556,794
QUALCOMM, Inc.		60,000		4,110,000
Skyworks Solutions, Inc.		90		6,853
Texas Instruments, Inc.		23,574		1,654,423
Xilinx, Inc.		33,756		1,834,301

				18,459,809

Software — 4.2%
Activision Blizzard, Inc.		15,400		682,220
Adobe Systems, Inc. (a)		9,840		1,068,034
Autodesk, Inc. (a)		37		2,676
CA, Inc.		45,773		1,514,171
Citrix Systems, Inc. (a)		17,777		1,514,956
The Dun & Bradstreet Corp.		10,386		1,418,935
Electronic Arts, Inc. (a)		9,037		771,760
Fidelity National Information Services, Inc.		11,900		916,657
Fiserv, Inc. (a)		7,776		773,479
Intuit, Inc.		6,430		707,364


	Number of Shares		Value
Microsoft Corp.		215,995	$	12,441,312
Oracle Corp.		99,657		3,914,527
Red Hat, Inc. (a)		3,721		300,768
Salesforce.com, Inc. (a)		6,644		473,917

				26,500,776

				73,904,263

Utilities — 2.5%
Electric — 2.4%
The AES Corp.		123,087		1,581,668
Ameren Corp.		660		32,459
American Electric Power Co., Inc.		8,385		538,401
CenterPoint Energy, Inc.		6,431		149,392
CMS Energy Corp.		7,903		332,005
Consolidated Edison, Inc.		10,182		766,705
Dominion Resources, Inc.		1,716		127,447
DTE Energy Co.		8,860		829,916
Duke Energy Corp.		15,190		1,215,808
Edison International		8,226		594,328
Entergy Corp.		23,998		1,841,367
Eversource Energy		812		43,994
Exelon Corp.		47,340		1,575,949
FirstEnergy Corp.		2,880		95,270
NextEra Energy, Inc.		10,410		1,273,351
NRG Energy, Inc.		55,000		616,550
PG&E Corp.		1,316		80,500
Pinnacle West Capital Corp.		1,396		106,082
PPL Corp.		29,218		1,010,066
Public Service Enterprise Group, Inc.		17,624		737,917
SCANA Corp.		3,647		263,933
The Southern Co.		20,122		1,032,259
WEC Energy Group, Inc.		4,542		271,975
Xcel Energy, Inc.		5,472		225,118

				15,342,460

Gas — 0.1%
NiSource, Inc.		713		17,190
Sempra Energy		4,261		456,737

				473,927

				15,816,387


TOTAL COMMON STOCK (Cost $330,203,321)				437,816,789


PREFERRED STOCK — 0.1%
Financial — 0.1%
Insurance — 0.1%
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN		20,000		546,200


TOTAL PREFERRED STOCK (Cost $500,000)				546,200


TOTAL EQUITIES (Cost $330,703,321)				438,362,989


	Principal Amount		Value
BONDS & NOTES — 30.4%

CORPORATE DEBT — 11.8%
Advertising — 0.1%
WPP Finance 2010 4.750% 11/21/21	$	85,000	$	95,345
WPP Finance 2010 5.625% 11/15/43		204,000		242,040

				337,385

Aerospace & Defense — 0.1%
Exelis, Inc. 4.250% 10/01/16		315,000		315,000
Spirit AeroSystems, Inc. 3.850% 6/15/26		140,000		145,397
United Technologies Corp. 6.125% 7/15/38		80,000		108,800

				569,197

Agriculture — 0.2%
Altria Group, Inc. 4.250% 8/09/42		105,000		113,603
Bunge Ltd. Finance Corp. 3.200% 6/15/17		225,000		227,907
Bunge Ltd. Finance Corp. 3.250% 8/15/26		165,000		166,022
Bunge Ltd. Finance Corp. 3.500% 11/24/20		160,000		167,346
Imperial Brands Finance PLC (b) 2.950% 7/21/20		380,000		392,337
Philip Morris International, Inc. 6.375% 5/16/38		35,000		48,924
Reynolds American, Inc. 3.250% 6/12/20		130,000		136,769
Reynolds American, Inc. 5.850% 8/15/45		120,000		156,013

				1,408,921

Airlines — 0.2%
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		38,906		39,536
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700% 4/01/28		95,906		100,222
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A 4.100% 10/01/29		340,000		346,800
United Airlines Pass-Through Trust, Series 2014-1, Class A 4.000% 10/11/27		122,555		131,440
WestJet Airlines Ltd. (b) 3.500% 6/16/21		670,000		686,607

				1,304,605


	Principal Amount		Value
Auto Manufacturers — 0.1%
General Motors Financial Co., Inc. 3.100% 1/15/19	$	289,000	$	294,586
General Motors Financial Co., Inc. 3.200% 7/13/20		330,000		337,903
Hyundai Capital America (b) 2.550% 2/06/19		170,000		172,952

				805,441

Automotive & Parts — 0.0%
Lear Corp. 4.750% 1/15/23		198,000		205,672
Lear Corp. 5.375% 3/15/24		85,000		91,269

				296,941

Banks — 0.9%
Associated Banc-Corp. 2.750% 11/15/19		460,000		469,047
Associated Banc-Corp. 4.250% 1/15/25		494,000		514,218
Bancolombia SA 5.950% 6/03/21		205,000		226,207
Bank of America Corp. 4.750% 4/21/45		220,000		234,844
Compass Bank 3.875% 4/10/25		121,000		118,361
First Horizon National Corp. 3.500% 12/15/20		625,000		637,908
First Republic Bank 4.375% 8/01/46		685,000		680,490
ICICI Bank Ltd. (b) 4.700% 2/21/18		395,000		408,560
JP Morgan Chase & Co. 3.375% 5/01/23		140,000		143,841
JP Morgan Chase & Co. 3.875% 9/10/24		220,000		231,610
Regions Financial Corp. 7.500% 5/15/18		130,000		141,465
SVB Financial Group 3.500% 1/29/25		560,000		565,753
SVB Financial Group 5.375% 9/15/20		75,000		83,360
Turkiye Garanti Bankasi AS (b) 4.750% 10/17/19		210,000		211,592
Valley National Bancorp 5.125% 9/27/23		245,000		262,465
Wachovia Bank NA 6.600% 1/15/38		50,000		68,522
Wells Fargo & Co. 4.300% 7/22/27		590,000		635,866

				5,634,109

Beverages — 0.2%
Anheuser-Busch Cos, Inc. 6.500% 2/01/43		25,000		35,075


	Principal Amount		Value
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46	$	675,000	$	803,102
Molson Coors Brewing Co. 2.100% 7/15/21		180,000		181,657
Molson Coors Brewing Co. 3.000% 7/15/26		325,000		327,251
Molson Coors Brewing Co. 4.200% 7/15/46		175,000		182,340

				1,529,425

Biotechnology — 0.0%
Amgen, Inc. 5.150% 11/15/41		115,000		131,064

Building Materials — 0.1%
CRH America, Inc. 8.125% 7/15/18		220,000		243,367
James Hardie International Finance Ltd. (b) 5.875% 2/15/23		375,000		397,500
Martin Marietta Material, Inc. 3 mo. USD LIBOR + 1.100%, FRN 1.938% 6/30/17		220,000		220,533
Owens Corning, Inc. 9.000% 6/15/19		55,000		64,240

				925,640

Chemicals — 0.1%
The Dow Chemical Co. 8.550% 5/15/19		65,000		76,235
Incitec Pivot Finance LLC (b) 6.000% 12/10/19		110,000		119,139
RPM International, Inc. 6.125% 10/15/19		100,000		111,509
RPM International, Inc. 6.500% 2/15/18		205,000		217,433
Valspar Corp. 7.250% 6/15/19		125,000		141,850

				666,166

Commercial Services — 0.2%
The ADT Corp. 6.250% 10/15/21		440,000		478,500
ERAC USA Finance LLC (b) 6.700% 6/01/34		78,000		103,468
Leidos Holdings, Inc. 4.450% 12/01/20		835,000		868,149

				1,450,117

Computers — 0.1%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b) 4.420% 6/15/21		380,000		397,146
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b) 6.020% 6/15/26		76,000		83,319

				480,465


	Principal Amount		Value
Cosmetics & Personal Care — 0.0%
The Procter & Gamble Co. 5.800% 8/15/34	$	45,000	$	63,162

Distribution & Wholesale — 0.1%
Arrow Electronics, Inc. 4.500% 3/01/23		80,000		84,592
Ingram Micro, Inc. 4.950% 12/15/24		401,000		405,800

				490,392

Diversified Financial — 1.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.500% 5/15/21		765,000		800,381
Affiliated Managers Group, Inc. 3.500% 8/01/25		290,000		288,293
Air Lease Corp. 3.000% 9/15/23		465,000		459,713
Air Lease Corp. 3.375% 1/15/19		375,000		385,170
Air Lease Corp. 3.375% 6/01/21		355,000		368,256
Air Lease Corp. 3.875% 4/01/21		265,000		280,238
Air Lease Corp. 5.625% 4/01/17		80,000		81,364
Ally Financial, Inc. 3.250% 11/05/18		85,000		85,425
Ally Financial, Inc. 3.600% 5/21/18		129,000		130,935
Ally Financial, Inc. 4.750% 9/10/18		260,000		269,100
Ares Finance Co. LLC (b) 4.000% 10/08/24		355,000		343,941
BGC Partners, Inc. (b) 5.125% 5/27/21		545,000		570,696
Citigroup, Inc. 3.875% 3/26/25		737,000		760,589
Citigroup, Inc. 5.375% 8/09/20		245,000		274,724
Citigroup, Inc. 8.125% 7/15/39		90,000		141,492
The Goldman Sachs Group, Inc. 5.375% 3/15/20		225,000		249,151
The Goldman Sachs Group, Inc. 5.750% 1/24/22		200,000		232,308
The Goldman Sachs Group, Inc. 6.250% 2/01/41		60,000		78,454
The Goldman Sachs Group, Inc. 6.750% 10/01/37		75,000		95,498
Hyundai Capital America (b) 2.875% 8/09/18		135,000		137,777


	Principal Amount		Value
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 3.500% 3/15/17	$	1,015,000	$	1,016,218
International Lease Finance Corp. 3.875% 4/15/18		270,000		276,413
JP Morgan Chase & Co. 4.500% 1/24/22		200,000		221,462
JP Morgan Chase & Co. 4.950% 3/25/20		50,000		55,037
JP Morgan Chase & Co. 5.600% 7/15/41		195,000		249,640
Lazard Group LLC 4.250% 11/14/20		600,000		643,315
Lazard Group LLC 6.850% 6/15/17		41,000		42,302
Legg Mason, Inc. 5.625% 1/15/44		165,000		171,260
Merrill Lynch & Co., Inc. 7.750% 5/14/38		95,000		137,740
Nasdaq, Inc. 3.850% 6/30/26		135,000		141,260

				8,988,152

Electric — 1.0%
Appalachian Power Co. 3.400% 6/01/25		355,000		378,236
Duke Energy Corp. 2.650% 9/01/26		370,000		363,069
Duke Energy Corp. 3.750% 9/01/46		195,000		189,106
Entergy Arkansas, Inc. 3.500% 4/01/26		70,000		75,893
Entergy Louisiana LLC 4.950% 1/15/45		165,000		175,674
Florida Power & Light Co. 4.950% 6/01/35		125,000		151,879
IPALCO Enterprises, Inc. 3.450% 7/15/20		800,000		820,000
Israel Electric Corp. Ltd. (b) 7.250% 1/15/19		200,000		222,000
Majapahit Holding BV (b) 7.750% 1/20/20		195,000		224,250
Metropolitan Edison Co. (b) 4.000% 4/15/25		215,000		224,366
National Fuel Gas Co. 3.750% 3/01/23		125,000		126,450
Nevada Power Co. Series N 6.650% 4/01/36		135,000		188,368
Niagara Mohawk Power Corp. (b) 2.721% 11/28/22		200,000		203,750
NiSource Finance Corp. 5.800% 2/01/42		175,000		218,386


	Principal Amount		Value
Oncor Electric Delivery Co. 7.500% 9/01/38	$	40,000	$	62,147
Pacific Gas & Electric Co. 5.800% 3/01/37		120,000		157,848
Pennsylvania Electric Co. (b) 4.150% 4/15/25		295,000		303,826
PPL Capital Funding, Inc. 3.100% 5/15/26		175,000		177,888
PPL Capital Funding, Inc. 5.000% 3/15/44		190,000		214,147
Progress Energy, Inc. 7.000% 10/30/31		25,000		33,565
Puget Energy, Inc. 3.650% 5/15/25		350,000		364,256
Puget Energy, Inc. 6.500% 12/15/20		271,000		314,528
Southern California Edison Co. 5.950% 2/01/38		105,000		142,326
The Southern Co. 1.850% 7/01/19		215,000		216,691
Transelec SA (b) 4.625% 7/26/23		175,000		187,859
Tri-State Generation & Transmission Association, Series 2003, Class A (b) 6.040% 1/31/18		64,190		64,886
Virginia Electric and Power Co. 6.350% 11/30/37		150,000		207,530
Wisconsin Public Service Corp. 5.650% 11/01/17		225,000		234,870
Xcel Energy, Inc. 3.300% 6/01/25		240,000		253,196

				6,496,990

Electronics — 0.1%
Amphenol Corp. 4.000% 2/01/22		100,000		106,876
Arrow Electronics, Inc. 3.500% 4/01/22		255,000		261,898
Avnet, Inc. 4.875% 12/01/22		123,000		133,648
FLIR Systems, Inc. 3.125% 6/15/21		195,000		201,265

				703,687

Engineering & Construction — 0.1%
SBA Tower Trust (b) 3.156% 10/15/45		210,000		212,041
SBA Tower Trust (b) 2.877% 7/15/46		200,000		203,390

				415,431

Foods — 0.2%
Ingredion, Inc. 3.200% 10/01/26		215,000		219,291


	Principal Amount		Value
Kraft Foods, Inc. 6.500% 2/09/40	$	63,000	$	85,845
Kraft Heinz Foods Co. 3.000% 6/01/26		515,000		519,109
The Kroger Co. 2.600% 2/01/21		145,000		149,112
Tyson Foods, Inc. 2.650% 8/15/19		65,000		66,651
Tyson Foods, Inc. 4.875% 8/15/34		105,000		116,216

				1,156,224

Forest Products & Paper — 0.0%
Sappi Papier Holding GmbH (b) 7.750% 7/15/17		200,000		204,500

Gas — 0.1%
Boston Gas Co. (b) 4.487% 2/15/42		100,000		110,725
Spire, Inc. 4.700% 8/15/44		290,000		317,155

				427,880

Hand & Machine Tools — 0.0%
Kennametal, Inc. 2.650% 11/01/19		150,000		150,968

Health Care – Products — 0.1%
Johnson & Johnson 5.850% 7/15/38		40,000		58,007
Zimmer Biomet Holdings, Inc. 3.550% 4/01/25		365,000		376,186

				434,193

Health Care – Services — 0.1%
Aetna, Inc. 3.200% 6/15/26		320,000		325,352
Aetna, Inc. 4.375% 6/15/46		75,000		78,536
Kaiser Foundation Hospitals 3.500% 4/01/22		75,000		79,873
UnitedHealth Group, Inc. 3.950% 10/15/42		55,000		58,436
UnitedHealth Group, Inc. 6.875% 2/15/38		110,000		161,210

				703,407

Home Builders — 0.1%
Lennar Corp. 4.500% 11/15/19		516,000		543,735

Home Furnishing — 0.0%
Whirlpool Corp. 5.150% 3/01/43		50,000		58,546

Housewares — 0.1%
Newell Brands, Inc. 3.850% 4/01/23		335,000		356,596


	Principal Amount		Value
Insurance — 0.9%
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN 5.750% 8/15/53	$	320,000	$	343,600
Arch Capital Group US, Inc. 5.144% 11/01/43		170,000		186,511
AXIS Specialty Finance PLC 2.650% 4/01/19		95,000		96,015
Brown & Brown, Inc. 4.200% 9/15/24		70,000		72,817
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN 6.375% 4/15/37		50,000		47,505
CNA Financial Corp. 3.950% 5/15/24		180,000		190,561
CNA Financial Corp. 7.350% 11/15/19		180,000		207,533
Five Corners Funding Trust (b) 4.419% 11/15/23		215,000		232,175
MetLife Capital Trust IV (b) 7.875% 12/15/37		345,000		432,836
New York Life Global Funding (b) 2.350% 7/14/26		365,000		362,827
Principal Financial Group, Inc. 8.875% 5/15/19		120,000		141,390
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.040%, VRN 5.200% 3/15/44		134,000		138,188
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920%, VRN 5.625% 6/15/43		245,000		264,306
QBE Insurance Group Ltd. (b) 2.400% 5/01/18		115,000		115,617
Reinsurance Group of America, Inc. 3.950% 9/15/26		360,000		376,637
Reinsurance Group of America, Inc. 4.700% 9/15/23		225,000		245,870
Reinsurance Group of America, Inc. 5.000% 6/01/21		225,000		245,981
Reinsurance Group of America, Inc. 6.450% 11/15/19		220,000		249,221
Trinity Acquisition PLC 3.500% 9/15/21		270,000		281,414
Trinity Acquisition PLC 4.400% 3/15/26		70,000		73,311
Unum Group 3.000% 5/15/21		150,000		153,367
USF&G Capital I (b) 8.500% 12/15/45		150,000		205,635
Willis North America, Inc. 7.000% 9/29/19		97,000		108,768
Willis Towers Watson PLC 5.750% 3/15/21		230,000		259,022


	Principal Amount		Value
XLIT Ltd. 4.450% 3/31/25	$	170,000	$	172,562
XLIT Ltd. 5.750% 10/01/21		115,000		131,636
XLIT Ltd. 6.375% 11/15/24		325,000		387,259

				5,722,564

Internet — 0.2%
Expedia, Inc. 4.500% 8/15/24		588,000		619,061
Expedia, Inc. 7.456% 8/15/18		425,000		467,992

				1,087,053

Investment Companies — 0.2%
Ares Capital Corp. 3.625% 1/19/22		515,000		518,354
Ares Capital Corp. 3.875% 1/15/20		505,000		522,311
FS Investment Corp. 4.000% 7/15/19		390,000		396,676

				1,437,341

Iron & Steel — 0.3%
ArcelorMittal 5.125% 6/01/20		320,000		336,000
ArcelorMittal 6.250% 8/05/20		285,000		309,938
Glencore Funding LLC (b) 2.875% 4/16/20		455,000		451,360
Glencore Funding LLC (b) 4.625% 4/29/24		55,000		56,045
Reliance Steel & Aluminum Co. 4.500% 4/15/23		145,000		151,551
Reliance Steel & Aluminum Co. 6.200% 11/15/16		245,000		246,070
Reliance Steel & Aluminum Co. 6.850% 11/15/36		255,000		282,148

				1,833,112

Lodging — 0.1%
Marriott International, Inc. 2.300% 1/15/22		405,000		408,416
Starwood Hotels & Resorts Worldwide, Inc. 6.750% 5/15/18		40,000		43,249

				451,665

Machinery – Diversified — 0.1%
CNH Industrial Capital LLC 3.250% 2/01/17		105,000		105,394
CNH Industrial Capital LLC 3.375% 7/15/19		230,000		234,025


	Principal Amount		Value
CNH Industrial Capital LLC 3.625% 4/15/18	$	116,000	$	117,450
CNH Industrial Capital LLC 6.250% 11/01/16		220,000		220,660
Xylem, Inc. 4.875% 10/01/21		100,000		109,116

				786,645

Manufacturing — 0.0%
General Electric Co. 4.125% 10/09/42		270,000		295,484

Media — 0.3%
21st Century Fox America, Co. 6.900% 8/15/39		100,000		134,276
Charter Communications Operating LLC/Charter Communications Operating Capital (b) 3.579% 7/23/20		270,000		282,203
Charter Communications Operating LLC/Charter Communications Operating Capital (b) 6.484% 10/23/45		225,000		272,097
Comcast Corp. 3.400% 7/15/46		305,000		296,491
NBCUniversal Media LLC 6.400% 4/30/40		20,000		27,992
Time Warner Cable, Inc. 6.750% 6/15/39		110,000		133,820
Time Warner Cable, Inc. 8.250% 4/01/19		45,000		51,816
Time Warner Cable, Inc. 8.750% 2/14/19		65,000		74,962
Time Warner, Inc. 4.700% 1/15/21		125,000		139,008
Time Warner, Inc. 6.250% 3/29/41		25,000		32,205
Viacom, Inc. 2.250% 2/04/22		170,000		169,204
Viacom, Inc. 3.450% 10/04/26		115,000		114,937

				1,729,011

Mining — 0.1%
Glencore Canada Corp. 5.500% 6/15/17		175,000		178,938
Glencore Finance Canada (b) 5.800% 11/15/16		195,000		195,682

				374,620

Office Equipment/Supplies — 0.1%
Pitney Bowes, Inc. 3.375% 10/01/21		485,000		484,767
Pitney Bowes, Inc. 4.625% 3/15/24		270,000		280,761


	Principal Amount		Value
Pitney Bowes, Inc. 4.750% 5/15/18	$	20,000	$	20,718
Pitney Bowes, Inc. 5.750% 9/15/17		31,000		32,168

				818,414

Office Furnishings — 0.0%
Steelcase, Inc. 6.375% 2/15/21		100,000		114,016

Oil & Gas — 0.5%
Anadarko Petroleum Corp. 5.550% 3/15/26		165,000		186,456
ConocoPhillips Co. 2.400% 12/15/22		140,000		138,827
ConocoPhillips Co. 2.875% 11/15/21		484,000		497,257
ConocoPhillips Co. 4.200% 3/15/21		190,000		205,647
Exxon Mobil Corp. 2.222% 3/01/21		572,000		584,487
Exxon Mobil Corp. 2.397% 3/06/22		65,000		66,634
Helmerich & Payne International Drilling Co. 4.650% 3/15/25		190,000		200,504
Pemex Project Funding Master Trust 6.625% 6/15/38		37,000		36,630
Petroleos Mexicanos 3.125% 1/23/19		50,000		50,450
Petroleos Mexicanos 5.500% 1/21/21		285,000		301,388
Petroleos Mexicanos 6.375% 1/23/45		80,000		76,400
Phillips 66 5.875% 5/01/42		335,000		420,370
Pioneer Natural Resources Co. 4.450% 1/15/26		320,000		347,044

				3,112,094

Oil & Gas Services — 0.0%
Weatherford International Ltd. 6.000% 3/15/18		75,000		74,156

Packaging & Containers — 0.3%
Amcor Finance USA, Inc. (b) 3.625% 4/28/26		490,000		505,912
Brambles USA, Inc. (b) 4.125% 10/23/25		134,000		142,633
Brambles USA, Inc., Series A (b) 5.350% 4/01/20		90,000		99,424
CCL Industries, Inc. (b) 3.250% 10/01/26		535,000		536,993
Crown Americas LLC/Crown Americas Capital Corp. IV 4.500% 1/15/23		330,000		342,375


	Principal Amount		Value
Graphic Packaging International, Inc. 4.875% 11/15/22	$	60,000	$	63,000

				1,690,337

Pharmaceuticals — 0.7%
AbbVie, Inc. 4.400% 11/06/42		75,000		78,041
AbbVie, Inc. 4.700% 5/14/45		285,000		306,882
Actavis Funding SCS 3.000% 3/12/20		300,000		309,754
Actavis Funding SCS 3.800% 3/15/25		420,000		444,509
Actavis Funding SCS 4.750% 3/15/45		190,000		207,750
Baxalta, Inc. 3.600% 6/23/22		105,000		110,312
Baxalta, Inc. 4.000% 6/23/25		290,000		309,507
Baxalta, Inc. 5.250% 6/23/45		140,000		165,629
McKesson Corp. 2.284% 3/15/19		95,000		96,677
McKesson Corp. 3.796% 3/15/24		45,000		48,529
McKesson Corp. 4.750% 3/01/21		150,000		166,603
McKesson Corp. 4.883% 3/15/44		60,000		70,533
McKesson Corp. 6.000% 3/01/41		125,000		160,897
Merck Sharp & Dohme Corp. 5.850% 6/30/39		45,000		60,072
Mylan NV (b) 3.150% 6/15/21		275,000		280,163
Mylan NV (b) 3.950% 6/15/26		705,000		710,314
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		95,000		95,460
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		265,000		264,001
Teva Pharmaceutical Finance Netherlands III BV 3.150% 10/01/26		335,000		336,550
Teva Pharmaceutical Finance Netherlands III BV 4.100% 10/01/46		75,000		74,644

				4,296,827

Pipelines — 0.4%
Boardwalk Pipelines LLC 5.500% 2/01/17		175,000		176,663


	Principal Amount		Value
Boardwalk Pipelines LP 5.875% 11/15/16	$	390,000	$	391,808
CenterPoint Energy Resources Corp. 4.500% 1/15/21		100,000		107,988
EnLink Midstream Partners LP 4.850% 7/15/26		75,000		75,471
Enterprise Products Operating Co. 3.700% 2/15/26		340,000		349,999
Enterprise Products Operating Co. 5.950% 2/01/41		150,000		173,744
Kinder Morgan Energy Partners LP 6.000% 2/01/17		130,000		131,879
Kinder Morgan Energy Partners LP 6.500% 2/01/37		120,000		129,405
Kinder Morgan Energy Partners LP 6.950% 1/15/38		10,000		11,353
Kinder Morgan Finance Co. LLC (b) 6.000% 1/15/18		150,000		157,308
Kinder Morgan, Inc. 4.300% 6/01/25		165,000		171,487
Magellan Midstream Partners LP 5.000% 3/01/26		165,000		187,977
Magellan Midstream Partners LP 5.150% 10/15/43		460,000		507,840
Southern Natural Gas Co. LLC (b) 5.900% 4/01/17		250,000		255,321

				2,828,243

Real Estate Investment Trusts (REITS) — 0.4%
American Tower Corp. 3.450% 9/15/21		425,000		447,294
American Tower Corp. 4.400% 2/15/26		140,000		153,339
Brandywine Operating Partners LP 4.950% 4/15/18		200,000		208,614
DDR Corp. 4.750% 4/15/18		60,000		62,291
Duke Realty LP 3.250% 6/30/26		120,000		122,670
Duke Realty LP 8.250% 8/15/19		225,000		263,109
Federal Realty Investment Trust 5.900% 4/01/20		55,000		62,620
Healthcare Trust of America Holdings LP 3.500% 8/01/26		200,000		202,628
Highwoods Realty LP 7.500% 4/15/18		265,000		286,527
Host Hotels & Resorts LP 3.750% 10/15/23		40,000		40,510
Host Hotels & Resorts LP 4.000% 6/15/25		100,000		101,889
Tanger Properties LP 3.125% 9/01/26		400,000		398,903


	Principal Amount		Value
Weingarten Realty Investors 3.250% 8/15/26	$	85,000	$	85,091

				2,435,485

Retail — 0.5%
AutoNation, Inc. 4.500% 10/01/25		120,000		127,182
Bed Bath & Beyond, Inc. 5.165% 8/01/44		101,000		97,657
CVS Health Corp. 6.125% 9/15/39		175,000		239,051
CVS Pass-Through Trust (b) 5.926% 1/10/34		286,314		338,556
Dollar Tree, Inc. 5.750% 3/01/23		470,000		505,838
El Puerto de Liverpool SAB de CV (b) 3.950% 10/02/24		445,000		447,781
The Home Depot, Inc. 5.950% 4/01/41		150,000		206,275
O’Reilly Automotive, Inc. 3.850% 6/15/23		105,000		113,344
QVC, Inc. 3.125% 4/01/19		155,000		158,926
QVC, Inc. 4.375% 3/15/23		150,000		150,401
QVC, Inc. 4.450% 2/15/25		245,000		242,507
QVC, Inc. 5.125% 7/02/22		30,000		31,799
Tiffany & Co. 4.900% 10/01/44		165,000		167,233
Walgreens Boots Alliance, Inc. 2.700% 11/18/19		110,000		113,353

				2,939,903

Savings & Loans — 0.0%
Glencore Funding LLC (b) 2.500% 1/15/19		252,000		251,395

Semiconductors — 0.1%
Lam Research Corp. 2.750% 3/15/20		215,000		220,028
Lam Research Corp. 3.800% 3/15/25		300,000		312,517

				532,545

Software — 0.2%
Broadridge Financial Solutions, Inc. 3.400% 6/27/26		165,000		169,239
Broadridge Financial Solutions, Inc. 3.950% 9/01/20		110,000		116,879
CA, Inc. 2.875% 8/15/18		125,000		127,385
Microsoft Corp. 4.450% 11/03/45		330,000		375,179


	Principal Amount		Value
Oracle Corp. 4.000% 7/15/46	$	575,000	$	594,155

				1,382,837

Telecommunications — 0.3%
AT&T, Inc. 4.750% 5/15/46		260,000		272,078
AT&T, Inc. 6.550% 2/15/39		25,000		31,838
British Telecom PLC 9.375% 12/15/30		55,000		89,037
CenturyLink, Inc. 6.150% 9/15/19		140,000		151,200
Cisco Systems, Inc. 5.500% 1/15/40		55,000		71,243
Crown Castle Towers LLC (b) 6.113% 1/15/40		170,000		188,402
Deutsche Telekom International Finance BV 8.750% 6/15/30		60,000		93,264
Rogers Communications, Inc. 7.500% 8/15/38		30,000		41,094
Telefonica Emisiones SAU 5.462% 2/16/21		125,000		141,945
Verizon Communications, Inc. 2.625% 2/21/20		262,000		269,443
Verizon Communications, Inc. 4.862% 8/21/46		207,000		231,853
Verizon Communications, Inc. 5.012% 8/21/54		181,000		199,868
Verizon Communications, Inc. 6.550% 9/15/43		182,000		246,080

				2,027,345

Transportation — 0.2%
Asciano Finance (b) 4.625% 9/23/20		105,000		110,359
Asciano Finance Ltd. (b) 5.000% 4/07/18		250,000		258,585
Autoridad del Canal de Panama (b) 4.950% 7/29/35		210,000		238,350
Burlington Northern Santa Fe LLC 6.750% 3/15/29		190,000		259,615
Norfolk Southern Corp. 6.000% 5/23/2111		100,000		122,567

				989,476

Trucking & Leasing — 0.2%
Aviation Capital Group Corp. (b) 2.875% 9/17/18		905,000		916,312
GATX Corp. 4.750% 6/15/22		150,000		167,217

				1,083,529


TOTAL CORPORATE DEBT (Cost $71,267,438)				75,027,436


	Principal Amount		Value
MUNICIPAL OBLIGATIONS — 0.4%
JobsOhio Beverage System Series B 4.532% 1/01/35	$	325,000	$	378,658
Orange County Local Transportation Authority BAB 6.908% 2/15/41		230,000		335,197
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN 2.023% 12/01/31		300,000		287,867
State of California BAB 7.550% 4/01/39		120,000		192,169
State of California BAB 7.600% 11/01/40		350,000		567,396
State of Illinois 5.365% 3/01/17		575,000		584,240

				2,345,527


TOTAL MUNICIPAL OBLIGATIONS (Cost $2,187,015)				2,345,527


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 8.3%
Auto Floor Plan ABS — 0.0%
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (b) 2.032% 10/20/20		230,000		230,000

Automobile ABS — 0.6%
American Credit Acceptance Receivables Trust, Series 2016-3, Class A (b) 1.700% 11/12/20		329,931		329,648
Avis Budget Rental Car Funding AESOP LLC, Series 2014-2A, Class A (b) 2.500% 2/20/21		230,000		232,233
Capital Automotive REIT, Series 2012-1A, Class A (b) 4.700% 7/15/42		224,651		229,008
CPS Auto Trust, Series 2014-A, Class A (b) 1.210% 8/15/18		23,910		23,870
CPS Auto Trust, Series 2016-C, Class A (b) 1.620% 1/15/20		146,457		146,274
Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A (b) 2.420% 11/15/23		250,000		250,793
Drive Auto Receivables Trust, Series 2016-BA, Class B (b) 2.560% 6/15/20		160,000		161,286
First Investors Auto Owner Trust, Series 2016-2A, Class B (b) 2.210% 7/15/22		450,000		450,643
Flagship Credit Auto Trust, Series 2013-2, Class A (b) 1.940% 1/15/19		17,933		17,952


	Principal Amount		Value
GLS Auto Receivables Trust, Series 2015-1A, Class A (b) 2.250% 12/15/20	$	92,050	$	91,925
GO Financial Auto Securitization Trust, Series 2015-1, Class A (b) 1.810% 3/15/18		12,983		12,977
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A (b) 2.040% 1/15/21		191,018		191,601
Oscar US Funding Trust II, Series 2015-1A, Class A4 (b) 2.440% 6/15/22		350,000		345,849
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (b) 2.224% 7/15/20		270,385		270,309
Oscar US Funding Trust V, Series 2016-2A, Class A4 (b) 2.990% 12/15/23		630,000		629,831
Santander Drive Auto Receivables Trust, Series 2015-4, Class C 2.970% 3/15/21		250,000		254,700

				3,638,899

Commercial MBS — 1.3%
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4, VRN 5.938% 2/10/51		246,717		252,079
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM, VRN 6.005% 2/10/51		220,000		225,988
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN 6.436% 2/10/51		258,164		268,142
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN 6.479% 2/10/51		215,000		223,823
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 5.201% 12/11/38		120,604		120,737
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM 5.243% 12/11/38		225,000		225,423
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, VRN 5.513% 1/12/45		425,000		428,396
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, VRN 5.694% 6/11/50		211,455		217,139
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 5.700% 6/11/50		255,071		261,871


	Principal Amount		Value
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM, VRN 5.835% 9/11/42	$	155,000	$	159,326
Commercial Mortgage Pass Through Certificates, Series 2012-CR4, Class B (b) 3.703% 10/15/45		195,000		204,626
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class A5 3.961% 3/10/47		319,000		351,636
Commercial Mortgage Pass Through Certificates, Series 2015-CR23, Class C, VRN 4.398% 5/10/48		140,000		130,753
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class AM, VRN 5.650% 12/10/49		225,000		230,301
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class A4, VRN 6.007% 12/10/49		431,562		441,215
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (b) 4.238% 1/10/34		165,000		176,094
DBRR Trust, Series 2013-EZ3, Class A, VRN (b) 1.636% 12/18/49		20,122		20,115
DBUBS Mortgage Trust, Series 2011-LC1A, Class B, VRN (b) 5.471% 11/10/46		110,000		123,881
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.951% 7/10/38		194,530		194,805
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (b) 4.948% 1/10/45		100,000		112,234
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 5.429% 12/12/43		1,033		1,033
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN 5.466% 6/12/47		265,000		266,941
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN 5.856% 9/12/49		260,000		267,435
Morgan Stanley Capital I, Series 2011-C2, Class B, VRN (b) 5.200% 6/15/44		250,000		275,398
Morgan Stanley Capital I, Series 2006-IQ12, Class AM 5.370% 12/15/43		200,000		200,300


	Principal Amount		Value
Morgan Stanley Capital I, Series 2007-HQ11, Class A4, VRN 5.447% 2/12/44	$	321,306	$	321,911
Morgan Stanley Capital I, Series 2007-HQ11, Class AM, VRN 5.478% 2/12/44		300,000		301,395
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 5.610% 4/15/49		67,453		67,297
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN 6.477% 1/11/43		145,703		152,515
STRIPs Ltd., Series 2012-1A, Class A (b) 1.500% 12/25/44		19,445		19,445
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN 5.483% 8/15/39		42,273		42,554
VNO Mortgage Trust, Series 2013-PENN, Class A (b) 3.808% 12/13/29		240,000		257,570
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM 5.339% 11/15/48		270,000		270,791
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 5.509% 4/15/47		607,476		613,534
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AM, VRN 5.591% 4/15/47		200,000		202,661
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class A4, VRN 6.158% 2/15/51		162,032		164,311
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN 6.158% 2/15/51		235,000		240,092
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (b) 3.349% 11/15/43		32,296		33,362
WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class B 4.311% 8/15/45		190,000		205,494

				8,272,623

Home Equity ABS — 0.2%
Aames Mortgage Investment Trust, Series 2005-1, Class M4, 1 mo. USD LIBOR + 1.125%, FRN 1.649% 6/25/35		102,573		102,081
ACE Securities Corp., Series 2005-AG1, Class A1B1, 1 mo. USD LIBOR + .270%, FRN 0.795% 8/25/35		46,572		46,536


	Principal Amount		Value
Citigroup Mortgage Loan Trust, Series 2005-OPT4, Class M2, 1 mo. USD LIBOR + .430%, FRN 0.955% 7/25/35	$	21,683	$	21,576
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 0.985% 9/25/34		42,294		41,814
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.155% 5/25/36		64,464		64,209
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 0.765% 1/25/36		37,719		37,422
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.170% 4/25/35		51,013		51,052
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 0.695% 8/25/36		26,187		26,188
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.350% 6/25/35		179,059		177,497
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN 1.245% 3/25/35		228,174		227,376
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .370%, FRN 0.895% 1/25/36		159,683		158,675
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 0.785% 9/25/35		44,154		44,174
Park Place Securities, Inc., Series 2005-WCW3, Class A2C, 1 mo. USD LIBOR + .380%, FRN 0.905% 8/25/35		3,030		3,029
Park Place Securities, Inc., Series 2005-WHQ1, Class M2, 1 mo. USD LIBOR + .750%, FRN 1.275% 3/25/35		12,216		12,222
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + .430%, FRN 0.955% 11/25/35		74,350		74,284


	Principal Amount		Value
Structured Asset Investment Loan Trust, Series 2005-7, Class A5, 1 mo. USD LIBOR + .720%, FRN 1.245% 8/25/35	$	1,229	$	1,229

				1,089,364

Other ABS — 4.0%
321 Henderson Receivables I LLC, Series 2015-1A, Class A (b) 3.260% 9/15/72		56,131		56,239
321 Henderson Receivables LLC, Series 2005-1A, Class A1, 1 mo. USD LIBOR + .230%, FRN (b) 0.754% 11/15/40		105,195		101,291
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN 2.249% 1/25/35		190,312		189,778
AIMCO CLO Ltd., Series 2014-AA, Class A, 3 mo. USD LIBOR + 1.540%, FRN (b) 2.236% 7/20/26		360,000		360,344
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (b) 2.314% 10/15/28		410,000		410,000
ALM VIII Ltd., Series 2013-8A, Class A1A, 3 mo. LIBOR + 1.450%, FRN (b) 2.146% 1/20/26		250,000		249,998
ALM XIV Ltd., Series 2014-14A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (b) 2.173% 7/28/26		660,000		659,999
Alterna Funding I LLC, Series 2014-1A, Class NOTE (b) 1.639% 2/15/21		112,456		109,644
Alterna Funding II LLC, Series 2015-1A, Class A (b) 2.500% 2/15/24		192,484		189,837
Apidos CLO XV, Series 2013-15A, Class A1, 3 mo. USD LIBOR + 1.350%, FRN (b) 2.046% 10/20/25		500,000		500,004
Applebee’s/IHOP Funding LLC, Series 2014-1, Class A2 (b) 4.277% 9/05/44		210,000		213,428
Arbys Funding LLC, Series 2015-1A, Class A2 (b) 4.969% 10/30/45		317,600		331,495
ARL Second LLC, Series 2014-1A, Class A1 (b) 2.920% 6/15/44		160,677		158,089


	Principal Amount		Value
Avery Point CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.460%, FRN (b) 2.139% 7/17/26	$	350,000	$	350,003
Avery Point III CLO Ltd., Series 2013-3A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (b) 2.079% 1/18/25		250,000		250,001
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.228% 8/05/27		570,000		570,409
BCC Funding VIII LLC, Series 2014-1A, Class A (b) 1.794% 6/20/20		31,247		31,129
Birchwood Park CLO Ltd., Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.440%, FRN (b) 2.120% 7/15/26		345,000		345,028
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (b) 1.902% 1/22/25		250,000		249,384
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (b) 2.109% 7/18/27		380,000		380,737
BlueVirgo Trust, Series 2015-1A, Class NOTE (b) 3.000% 12/15/22		414,057		418,442
CAN Capital Funding LLC, Series 2014-1A, Class A (b) 3.117% 4/15/20		250,000		247,824
Capital Automotive REIT, Series 2014-1A, Class A (b) 3.660% 10/15/44		160,000		160,392
Carlyle Global Market Strategies, Series 2014-4A, Class A1, 3 mo. USD LIBOR + 1.500%, FRN (b) 2.180% 10/15/26		250,000		250,042
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (b) 2.000% 12/10/23		139,733		138,751
Citi Held For Asset Issuance, Series 2015-PM1, Class A (b) 1.850% 12/15/21		26,377		26,329
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1, 1 mo. USD LIBOR + .200%, FRN (b) 0.724% 11/25/45		109,885		109,943
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (b) 4.474% 3/20/43		165,813		166,356


	Principal Amount		Value
Consumers Securitization Funding LLC, Series 2014-A, Class A2 2.962% 11/01/25	$	190,000	$	199,937
Cronos Containers Program I Ltd., Series 2014-2A, Class A (b) 3.270% 11/18/29		238,889		232,278
DB Master Finance LLC, Series 2015-1A, Class A2I (b) 3.262% 2/20/45		344,750		347,778
Diamond Resorts Owner Trust, Series 2013-2, Class A (b) 2.270% 5/20/26		517,006		514,000
Diamond Resorts Owner Trust, Series 2014-1, Class A (b) 2.540% 5/20/27		77,417		77,480
Diamond Resorts Owner Trust, Series 2015-1, Class A (b) 2.730% 7/20/27		189,419		190,527
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (b) 3.484% 10/25/45		506,175		510,446
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (b) 4.474% 10/25/45		535,950		543,240
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (b) 5.216% 1/25/42		243,216		249,759
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (b) 5.800% 7/15/24		36,154		36,654
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class A, 3 mo. USD LIBOR + 1.350%, FRN (b) 2.029% 4/18/26		475,000		474,998
Eaton Vance CLO, Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.130% 7/15/26		450,000		449,698
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (b) 2.810% 4/25/28		415,355		415,176
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (b) 2.707% 2/19/45		85,125		83,183
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (b) 3.968% 3/19/46		222,750		224,393
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		108,022		112,127
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (b) 4.212% 10/15/42		395,675		401,396


	Principal Amount		Value
First Franklin Mortgage Loan Trust, Series 2005-FF7, Class M1, 1 mo. USD LIBOR + .450%, FRN 0.975% 7/25/35	$	12,780	$	12,775
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.146% 7/20/27		425,000		424,827
Global SC Finance II SRL, Series 2014-1A, Class A1 (b) 3.190% 7/17/29		195,833		188,832
Global SC Finance II SRL, Series 2013-2A, Class A (b) 3.670% 11/17/28		187,620		184,650
Global SC Funding One Ltd., Series 2015-1, Class B1 (b) 2.740% 1/18/30		81,110		79,903
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (b) 1.865% 4/25/25		565,000		562,055
GoldenTree Loan Opportunities VII Ltd., Series 2014-8A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.138% 4/19/26		355,000		355,014
HERO Funding Trust, Series 2016-3A, Class A1 (b) 3.080% 9/20/42		320,000		320,000
Hilton Grand Vacations Trust, Series 2013-A, Class A (b) 2.280% 1/25/26		73,351		73,487
Icon Brand Holdings LLC, Series 2012-1A, Class A, (Acquired 11/16/12-7/22/14, Cost $324,606) (b) (c) 4.229% 1/25/43		154,454		140,694
Icon Brand Holdings LLC, Series 2013-1A, Class A, (Acquired 1/9/14, Cost $171,783) (b) (c) 4.352% 1/25/43		136,821		127,144
ING Investment Management CLO Ltd., Series 2013-3A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.129% 1/18/26		260,000		259,631
J.G. Wentworth XXXV LLC, Series 2015-2A, Class A (b) 3.870% 3/15/58		98,735		102,119
LCM Ltd., Series 10AR, Class AR, 3 mo. USD LIBOR + 1.260%, FRN (b) 1.581% 4/15/22		306,895		306,922
LCM Ltd., Series 16A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (b) 2.180% 7/15/26		460,000		461,714


	Principal Amount		Value
Leaf Receivables Funding LLC, Series 2016-1, Class A1 (b) 1.000% 6/15/17	$	385,680	$	385,682
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN 1.320% 2/25/35		129,139		128,119
Madison Park Funding XII Ltd., Series 2014-12A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (b) 2.196% 7/20/26		465,000		465,013
Marlette Funding Trust, Series 2016-1A, Class A (b) 3.060% 1/17/23		446,989		447,135
Miramax LLC, Series 2014-1A, Class A2 (b) 3.340% 7/20/26		186,704		187,182
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M2, 1 mo. USD LIBOR + .750%, FRN 1.275% 7/25/35		67,991		68,461
MVW Owner Trust, Series 2016-1A, Class A (b) 2.250% 12/20/33		118,251		118,022
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (b) 1.558% 7/20/18		60,551		60,517
Oak Hill Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (b) 1.816% 4/20/25		355,000		352,418
OHA Loan Funding Ltd., Series 2013-1A, Class A, 3 mo. USD LIBOR + 1.250%, FRN (b) 1.965% 7/23/25		270,000		269,623
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (b) 4.210% 5/17/20		130,000		129,839
Orange Lake Timeshare Trust, Series 2014-AA, Class A (b) 2.290% 7/09/29		59,268		59,606
Oxford Finance Funding Trust, Series 2016-1A, Class A (b) 3.968% 6/17/24		220,000		221,105
Race Point VIII CLO Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.250%, FRN (b) 2.061% 2/20/25		250,000		249,438
Race Point VIII CLO Ltd., Series 2012-7A, Class A, 3 mo. USD LIBOR + 1.420%, FRN (b) 2.208% 11/08/24		250,000		249,820


	Principal Amount		Value
Sierra Receivables Funding Co. LLC, Series 2016-2A, Class A (b) 2.330% 7/20/33	$	298,073	$	297,914
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (b) 2.840% 11/20/28		37,908		37,992
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (b) 3.080% 9/20/32		63,238		63,290
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (b) 3.090% 10/27/25		700,000		703,390
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (b) 3.260% 8/25/25		655,040		658,143
Spirit Master Funding LLC, Series 2014-4A, Class A1 (b) 3.501% 1/20/45		160,000		155,366
SpringCastle America Funding LLC, Series 2014-AA, Class A (b) 2.700% 5/25/23		501,316		501,473
SpringCastle America Funding LLC, Series 2016-AA, Class A (b) 3.050% 4/25/29		290,000		289,989
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (b) 2.920% 7/15/47		200,000		200,460
Structured Asset Securities Corp., Series 2007-BC4, Class A3, 1 mo. USD LIBOR + .250%, FRN 0.775% 11/25/37		10,427		10,422
Structured Receivables Finance LLC, Series 2010-B, Class A (b) 3.730% 8/15/36		109,524		111,975
Symphony CLO XV Ltd., Series 2014-15A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (b) 2.129% 10/17/26		430,000		430,007
Taco Bell Funding LLC, Series 2016-1A, Class A2I (b) 3.832% 5/25/46		390,000		396,311
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (b) (d) 2.399% 10/13/29		340,000		340,000
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (b) 4.370% 7/15/41		82,707		83,465
VSE VOI Mortgage LLC, Series 2016-A, Class A (b) 2.540% 7/20/33		440,000		441,738
Welk Resorts LLC, Series 2015-AA, Class A (b) 2.790% 6/16/31		163,625		164,710


	Principal Amount		Value
Wendys Funding LLC, Series 2015-1A, Class A2I (b) 3.371% 6/15/45	$	470,250	$	472,376
Wendys Funding LLC, Series 2015-1A, Class A2II (b) 4.080% 6/15/45		306,900		311,588
Wendys Funding LLC, Series 2015-1A, Class A23 (b) 4.497% 6/15/45		420,750		420,659

				25,371,001

Student Loans ABS — 2.0%
Academic Loan Funding Trust, Series 2012-1A, Class A2, 1 mo. USD LIBOR + 1.100%, FRN (b) 1.625% 12/27/44		495,000		475,975
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.515% 7/01/38		211,578		192,276
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN 0.413% 1/25/47		130,000		97,179
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (b) 2.425% 10/27/31		75,270		75,692
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (b) 2.890% 6/25/40		343,752		343,184
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (b) 3.170% 7/25/31		252,917		257,939
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (b) 2.326% 10/27/36		744,958		744,960
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (b) 3.020% 5/25/34		301,249		301,243
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (b) 1.864% 7/26/66		730,000		729,988
EdLinc Student Loan Funding Trust, Series 2012-1, Class B, 1 mo. USD LIBOR + 4.240%, FRN (b) 4.765% 11/26/40		270,000		313,033
Education Funding Capital Trust I, Series 2004-1, Class A4, 28 day ARS, FRN 1.934% 6/15/43		500,000		497,768
Education Funding Capital Trust I, Series 2004-1, Class A6, 28 day ARS, FRN 1.943% 6/15/43		200,000		194,359


	Principal Amount		Value
Education Funding Capital Trust I, Series 2004-1, Class B1, 28 day ARS, FRN 1.943% 6/15/43	$	100,000	$	92,502
Goal Capital Funding Trust, Series 2006-1, Class B, 3 mo. USD LIBOR + .450%, FRN 1.275% 8/25/42		186,552		162,187
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2, 3 mo. USD LIBOR + .300%, FRN 1.034% 10/28/41		43,817		43,651
KnowledgeWorks Foundation, Series 2010-1, Class A, 3 mo. USD LIBOR + .950%, FRN 1.775% 2/25/42		207,858		204,911
National Collegiate Student Loan Trust, Series 2006-3, Class A3, 1 mo. USD LIBOR + .150%, FRN 0.675% 10/25/27		51,001		50,898
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 0.765% 11/27/28		77,465		76,728
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (b) 1.225% 2/25/70		551,273		536,137
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (b) 1.775% 6/25/65		533,257		533,259
Navient Student Loan Trust, Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 6/25/48		220,000		174,191
Navient Student Loan Trust, Series 2014-8, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 7/26/49		155,000		139,130
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 10/25/58		150,000		121,979
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN 0.966% 3/23/37		350,000		330,585
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.107% 6/25/41		132,890		108,402


	Principal Amount		Value
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (b) 1.155% 1/25/37	$	228,113	$	221,862
Nelnet Student Loan Trust, Series 2005-4, Class A4R2, 28 day ARS, FRN 1.526% 3/22/32		200,000		187,039
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (b) 2.025% 7/27/50		150,000		129,392
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + ..800%, FRN 1.515% 7/25/36		250,000		237,851
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 0.850% 7/15/36		64,691		64,464
SLC Private Student Loan Trust, Series 2006-A, Class C, 3 mo. USD LIBOR + .450%, FRN 1.130% 7/15/36		230,000		206,817
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN 0.980% 7/15/36		125,000		121,625
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 0.855% 10/25/28		330,000		311,913
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN 0.865% 4/25/40		205,680		172,139
SLM Student Loan Trust, Series 2013-6, Class A3, 1 mo. USD LIBOR + .650%, FRN 1.175% 6/25/55		170,000		168,438
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN 1.465% 10/25/40		300,000		288,013
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 3.007% 6/17/30		50,000		50,000
SLM Student Loan Trust, Series 2003-5, Class A9, 28 day ARS, FRN 3.024% 6/17/30		350,000		350,000
SLM Student Loan Trust, Series 2002-7, Class A10, 28 day ARS, FRN 3.027% 3/15/28		186,000		186,000


	Principal Amount		Value
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN 3.030% 3/15/28	$	260,000	$	260,000
SMB Private Education Loan Trust, Series 2015-B, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (b) 1.724% 7/15/27		200,000		198,342
SMB Private Education Loan Trust, Series 2016-B, Class A2A (b) 2.430% 2/17/32		245,000		248,029
SMB Private Education Loan Trust, Series 2016-A, Class A2A (b) 2.700% 5/15/31		450,000		453,042
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (b) 1.600% 1/25/39		170,000		170,000
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (b) 1.725% 6/25/33		424,717		424,717
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (b) 2.740% 10/25/32		300,000		308,025
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 (b) 2.760% 12/26/36		453,429		460,353
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN 1.523% 1/03/33		290,000		280,181
South Carolina Student Loan Corp., Series 2010-1, Class A3, 3 mo. USD LIBOR + 1.050%, FRN 1.765% 10/27/36		170,000		168,576

				12,464,974

WL Collateral CMO — 0.2%
Connecticut Avenue Securities, Series 2015-C03, Class 1M1, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 7/25/25		303,390		304,010
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, FRN 2.954% 2/25/34		19,834		19,067
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, FRN 3.294% 9/25/33		7,771		7,325
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN 1.875% 1/25/29		346,159		347,523


	Principal Amount		Value
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450%, FRN 1.975% 1/25/29	$	406,165	$	408,624
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN 3.285% 8/25/34		11,835		11,601
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN 2.786% 8/25/34		61,030		54,490
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2, 1 mo. USD LIBOR + .250%, FRN 0.775% 8/25/36		4,732		4,718
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN 3.032% 2/25/34		7,731		7,639
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN 3.065% 7/25/33		4,435		4,369
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, FRN 2.875% 2/25/34		250		257
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN 3.056% 3/25/34		41,021		41,182
Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1, 1 mo. USD LIBOR + 1.350%, FRN 1.875% 4/25/28		138,527		138,731
Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 1 mo. USD LIBOR + 1.450%, FRN 1.975% 7/25/28		235,881		236,921
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 1.907% 4/25/44		86,330		86,222

				1,672,679

WL Collateral PAC — 0.0%
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, FRN 3.157% 6/25/32		24,013		23,454


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $53,016,209)				52,762,994


SOVEREIGN DEBT OBLIGATIONS — 0.3%
Colombia Government International Bond 6.125% 1/18/41		620,000		748,650


	Principal Amount		Value
Mexico Government International Bond 4.750% 3/08/44	$	360,000	$	373,050
Peruvian Government International Bond 6.550% 3/14/37		95,000		134,187
Poland Government International Bond 6.375% 7/15/19		230,000		258,750
Province of Quebec Canada 7.500% 9/15/29		90,000		135,477
United Mexican States 5.125% 1/15/20		200,000		222,300
United Mexican States 6.750% 9/27/34		160,000		211,600

				2,084,014


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $1,862,485)				2,084,014


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 8.1%
Collateralized Mortgage Obligations — 0.6%
Federal Home Loan Mortgage Corp.
Series 4303, Class AP 3.000% 8/15/43		627,440		647,571
Series 4290, Class CA 3.500% 12/15/38		380,174		395,521
Series 2617, Class Z 5.500% 5/15/33		305,276		346,071
Series 2693, Class Z 5.500% 10/15/33		538,691		602,983
Series 3423, Class PB 5.500% 3/15/38		116,968		132,168
Federal National Mortgage Association
Series 2014-7, Class VA 3.500% 5/25/25		242,789		260,114
Series 2014-48, Class AB 4.000% 10/25/40		521,635		548,237
Series 2007-32, Class Z 5.500% 4/25/37		175,120		196,031
Series 2010-60, Class HJ 5.500% 5/25/40		118,743		131,259
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA 5.500% 6/25/37		152,558		169,385
U.S. Department of Veteran Affairs Series 1992-1, Class 2Z 7.750% 5/15/22		119,582		133,078

				3,562,418

Pass-Through Securities — 7.5%
Federal Home Loan Mortgage Corp.
Pool #Q37467 3.500% 11/01/45		1,140,571		1,214,485


	Principal Amount		Value
Pool #Q37468 3.500% 11/01/45	$	851,568	$	909,681
Pool #C03537 4.500% 8/01/40		294,333		326,019
Pool #G06057 4.500% 10/01/40		215,076		236,718
Pool #G60485 4.500% 10/01/41		285,484		314,345
Pool #G60469 4.500% 1/01/42		180,045		198,218
Pool #G60342 4.500% 5/01/42		958,414		1,054,854
Pool #G60172 4.500% 9/01/43		285,580		316,503
Pool #G11431 6.000% 2/01/18		1,054		1,067
Pool #C55867 7.500% 2/01/30		58,626		68,743
Pool #C01079 7.500% 10/01/30		8,532		10,310
Pool #C01135 7.500% 2/01/31		25,601		30,663
Pool #C00470 8.000% 8/01/26		18,363		21,883
Pool #G00924 8.000% 3/01/28		20,641		24,595
Pool #554904 9.000% 3/01/17		32		32
Federal Home Loan Mortgage Corp. TBA
Pool #1J1368 3.000% 10/01/43 (e)		1,300,000		1,348,090
Pool #1513 4.000% 7/01/42 (e)		2,000,000		2,145,234
Federal National Mortgage Association
Pool #725692 2.642% 10/01/33 1 year CMT + 2.144%, FRN		75,487		79,429
Pool #888586 2.668% 10/01/34 1 year CMT + 2.212%, FRN		116,444		122,792
Pool #BC6007 3.000% 5/01/31		780,320		820,342
Pool #AS1304 3.500% 12/01/28		390,476		413,645
Pool #AV1897 3.500% 12/01/28		55,534		58,829
Pool #AV2325 3.500% 12/01/28		212,655		225,273
Pool #AS6187 3.500% 11/01/45		2,658,119		2,830,170
Pool #AS6293 3.500% 12/01/45		1,272,913		1,355,304
Pool #AS6306 3.500% 12/01/45		891,560		951,636


	Principal Amount		Value
Pool #AS6475 3.500% 1/01/46	$	715,151	$	765,798
Pool #AS6476 3.500% 1/01/46		766,269		818,142
Pool #AS6477 3.500% 1/01/46		909,985		969,170
Pool #AZ7917 4.000% 3/01/41		97,467		105,599
Pool #AL2441 4.000% 9/01/42		636,273		693,836
Pool #AL8422 4.000% 1/01/43		93,337		101,125
Pool #BC5984 4.000% 4/01/46		192,909		207,407
Pool #AB1466 4.500% 9/01/40		123,797		136,438
Pool #AH6787 4.500% 3/01/41		225,345		249,904
Pool #AL7566 4.500% 10/01/42		228,515		251,991
Pool #AL6997 4.500% 11/01/42		459,874		509,993
Pool #AD6437 5.000% 6/01/40		128,107		143,830
Pool #AD6996 5.000% 7/01/40		910,965		1,018,075
Pool #AL8173 5.000% 2/01/44		346,113		386,052
Pool #564594 7.000% 1/01/31		11,247		13,272
Pool #572844 7.000% 4/01/31		24,718		29,621
Pool #253795 7.000% 5/01/31		72,981		87,121
Pool #499386 7.500% 9/01/29		1,770		2,145
Pool #521006 7.500% 12/01/29		686		828
Pool #522769 7.500% 12/01/29		69		84
Pool #252981 7.500% 1/01/30		9,411		11,371
Pool #531196 7.500% 2/01/30		1,061		1,284
Pool #524874 7.500% 2/01/30		280		289
Pool #524317 7.500% 3/01/30		1,130		1,369
Pool #530299 7.500% 3/01/30		287		337
Pool #530520 7.500% 3/01/30		12,139		14,516
Pool #253183 7.500% 4/01/30		3,803		4,577


	Principal Amount		Value
Pool #253265 7.500% 5/01/30	$	2,265	$	2,689
Pool #536999 8.000% 3/01/30		32		37
Pool #526380 8.000% 5/01/30		6,194		7,601
Pool #536949 8.000% 5/01/30		1,538		1,895
Pool #535351 8.000% 6/01/30		4,117		5,020
Pool #253481 8.000% 10/01/30		2,940		3,603
Pool #190317 8.000% 8/01/31		1,120		1,369
Pool #596656 8.000% 8/01/31		1,081		1,186
Pool #602008 8.000% 8/01/31		3,643		4,438
Federal National Mortgage Association TBA
Pool #1866 2.500% 11/01/28 (e)		9,800,000		10,131,899
Pool #1817 3.000% 12/01/43 (e)		2,525,000		2,619,096
Pool #18388 4.000% 11/01/42 (e)		1,800,000		1,930,711
Pool #21133 4.500% 7/01/40 (e)		825,000		903,504
Government National Mortgage Association
Pool #783896 3.500% 5/15/44		873,429		937,878
Pool #359587 7.000% 6/15/23		436		481
Pool #337539 7.000% 7/15/23		724		816
Pool #363066 7.000% 8/15/23		9,718		11,030
Pool #354674 7.000% 10/15/23		5,910		6,606
Pool #362651 7.000% 10/15/23		14,234		15,772
Pool #368814 7.000% 10/15/23		1,524		1,649
Pool #352021 7.000% 11/15/23		2,784		3,135
Pool #371967 7.000% 11/15/23		368		419
Pool #205884 7.500% 5/15/17		2,005		2,015
Pool #213760 7.500% 6/15/17		715		721


	Principal Amount		Value
Government National Mortgage Association II
Pool #82462 2.000% 1/20/40 1 year CMT + 1.500%, FRN	$	102,649	$	105,890
Pool #82488 2.000% 3/20/40 1 year CMT + 1.500%, FRN		142,247		146,934
Pool #784026 3.500% 12/20/44		241,881		259,635
Government National Mortgage Association II TBA
Pool #264 2.500% 7/01/44 (e)		1,875,000		1,907,227
Pool #1581 3.000% 8/01/44 (e)		6,550,000		6,849,100

				47,465,390


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $50,595,328)				51,027,808


U.S. TREASURY OBLIGATIONS — 1.5%
U.S. Treasury Bonds & Notes — 1.5%
U.S. Treasury Bond 2.500% 5/15/46		1,370,000		1,422,331
U.S. Treasury Bond 2.875% 8/15/45		2,330,000		2,603,032
U.S. Treasury Bond (f) 3.500% 2/15/39		1,590,000		1,973,588
U.S. Treasury Note 0.875% 7/31/19		780,000		780,122
U.S. Treasury Note 1.250% 3/31/21		2,150,000		2,161,355
U.S. Treasury Note 1.625% 5/15/26		400,000		400,917

				9,341,345


TOTAL U.S. TREASURY OBLIGATIONS (Cost $9,076,572)				9,341,345


TOTAL BONDS & NOTES (Cost $188,005,047)				192,589,124


	Number of Shares
RIGHTS — 0.0%
Consumer, Cyclical — 0.0%
Safeway Casa Ley Contingent Value (a) (d)		18,800		18,988


	Number of Shares		Value
Safeway PDC LLC Contingent Value (a) (d)		18,800	$	940

				19,928


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


TOTAL LONG-TERM INVESTMENTS (Cost $518,728,296)				630,972,041


	Principal Amount
SHORT-TERM INVESTMENTS — 5.2%
Commercial Paper — 5.2%
American Electric Power Co., Inc. (b) 0.900% 10/11/16	$	3,120,000		3,119,276
CDP Financial, Inc. (b) 1.200% 3/07/17		3,800,000		3,786,424
Dollar General Corp. (b) 0.600% 10/03/16		1,481,000		1,480,903
Duke Energy Corp. (b) 0.680% 10/06/16		1,200,000		1,199,853
Enterprise Products Operating LLC (b) 0.870% 10/17/16		3,400,000		3,398,736
Ford Motor Credit Co. (b) 1.050% 11/14/16		4,000,000		3,995,800
Fortive Corp. (b) 1.100% 10/26/16		4,000,000		3,997,657
Monsanto Co. (b) 1.270% 11/30/16		4,000,000		3,993,873
ONEOK Partners LP (b) 1.100% 10/12/16		4,345,000		4,343,892
Whirlpool Corp. (b) 1.016% 12/14/16		3,440,000		3,433,084

				32,749,498

Repurchase Agreement — 0.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (g)		154,740		154,740

Time Deposit — 0.0%
Euro Time Deposit 0.010% 10/03/16		16,876		16,876


TOTAL SHORT-TERM INVESTMENTS (Cost $32,910,418)				32,921,114


	Value
TOTAL INVESTMENTS — 104.8% (Cost $551,638,714) (h)	$	663,893,155

Other Assets/(Liabilities) — (4.8)%		(30,285,792	)


NET ASSETS — 100.0%	$	633,607,363

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

BAB	Build America Bonds

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

MTA	Monthly Treasury Average Index

PAC	Planned Amortization Class

TBA	To Be Announced

VRN	Variable Rate Note

WL	Whole Loan

(a)	Non-income producing security.

(b)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, these securities amounted to a value of $83,391,888 or 13.16% of net assets.

(c)	Restricted security. Certain securities are restricted as to resale. At September 30, 2016, these securities amounted to a value of $267,838 or 0.04% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(d)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2016, these securities amounted to a value of $359,928 or 0.06% of net assets.

(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 held as collateral for open futures contracts and open swaps agreements. (Note 2).

(g)	Maturity value of $154,740. Collateralized by U.S. Government Agency obligations with a rate of 3.125%, maturity date of 5/15/19, and an aggregate market value, including accrued interest, of $160,734.

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


	Principal Amount		Value
BONDS & NOTES — 96.4%

CORPORATE DEBT — 23.0%
Advertising — 0.1%
Omnicom Group, Inc. 3.600% 4/15/26	$	545,000	$	576,001

Aerospace & Defense — 0.3%
The Boeing Co. 6.875% 3/15/39		405,000		611,368
Lockheed Martin Corp. 4.700% 5/15/46		440,000		522,773
TransDigm, Inc. 6.000% 7/15/22		125,000		131,875

				1,266,016

Agriculture — 0.2%
IOI Investment L Bhd (a) 4.375% 6/27/22		300,000		317,802
Reynolds American, Inc. 4.000% 6/12/22		545,000		592,064

				909,866

Airlines — 0.2%
Avianca Holdings SA/Avianca Leasing LLC/Grupo Taca Holdings Ltd. (a) 8.375% 5/10/20		300,000		286,500
Latam Airlines Group SA (b) 7.250% 6/09/20		300,000		307,050

				593,550

Apparel — 0.0%
Levi Strauss & Co. 5.000% 5/01/25		85,000		88,612

Auto Manufacturers — 0.4%
Ford Motor Co. 7.450% 7/16/31		445,000		588,600
General Motors Financial Co., Inc. 2.400% 5/09/19		475,000		477,678
General Motors Financial Co., Inc. 3.200% 7/13/20		325,000		332,783
General Motors Financial Co., Inc. 3.200% 7/06/21		135,000		136,658

				1,535,719

Automotive & Parts — 0.2%
Allison Transmission, Inc. (b) 5.000% 10/01/24		40,000		41,000
American Axle & Manufacturing Inc, Series A 6.625% 10/15/22		115,000		121,613
Dana, Inc. 5.500% 12/15/24		65,000		66,300
Delphi Automotive PLC 4.250% 1/15/26		104,000		113,295


	Principal Amount		Value
Delphi Corp. 4.150% 3/15/24	$	455,000	$	488,430
The Goodyear Tire & Rubber Co. 5.125% 11/15/23		120,000		125,100

				955,738

Banks — 4.8%
Agromercantil Senior Trust (a) 6.250% 4/10/19		200,000		208,000
Australia & New Zealand Banking Group Ltd. (b) 4.875% 1/12/21		540,000		603,866
Banco de Costa Rica (a) 5.250% 8/12/18		750,000		768,750
Banco de Reservas de la Republica Dominicana (b) 7.000% 2/01/23		200,000		206,000
Banco GNB Sudameris SA (a) 3.875% 5/02/18		300,000		299,520
Banco GNB Sudameris SA (a) 7.500% 7/30/22		400,000		428,500
Banco Nacional de Comercio Exterior SNC 5 year CMT + 3.000%, VRN (a) 3.800% 8/11/26		300,000		291,285
Banco Nacional de Comercio Exterior SNC (b) 4.375% 10/14/25		200,000		207,000
Banco Nacional de Costa Rica (a) 4.875% 11/01/18		800,000		822,400
Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand 5 year CMT + 4.580%, VRN (a) 5.950% 1/30/24		700,000		733,915
Bank of America Corp. 2.000% 1/11/18		450,000		452,072
Bank of America Corp. 2.625% 4/19/21		445,000		452,080
Bank of Montreal 1.900% 8/27/21		600,000		596,866
BB&T Corp. 2.050% 5/10/21		360,000		363,759
BB&T Corp. 2.450% 1/15/20		525,000		537,250
BBVA Bancomer SA VRN (a) 6.008% 5/17/22		500,000		501,135
BBVA Bancomer SA (a) 6.500% 3/10/21		150,000		163,687
Citigroup, Inc. 2.650% 10/26/20		195,000		199,190
Citigroup, Inc. 2.700% 3/30/21		610,000		623,239
CorpGroup Banking SA (a) 6.750% 3/15/23		750,000		723,750


	Principal Amount		Value
Global Bank Corp. (a) 5.125% 10/30/19	$	700,000	$	735,000
The Goldman Sachs Group, Inc. 2.350% 11/15/21		655,000		653,480
Industrial Senior Trust (a) 5.500% 11/01/22		500,000		495,000
JP Morgan Chase & Co. 2.400% 6/07/21		530,000		535,983
JP Morgan Chase & Co. 4.250% 10/01/27		570,000		611,576
Malayan Banking Bhd 5 year CMT + 2.600%, VRN (a) 3.250% 9/20/22		300,000		303,019
Morgan Stanley 2.500% 4/21/21		185,000		187,313
Morgan Stanley 2.650% 1/27/20		405,000		413,855
Morgan Stanley 3.125% 7/27/26		200,000		201,196
Morgan Stanley 3.875% 1/27/26		355,000		376,897
Oversea-Chinese Banking Corp. Ltd. USD 5 year swap rate + 2.203%, VRN (a) 4.000% 10/15/24		900,000		939,897
PNC Funding Corp. 3.300% 3/08/22		560,000		594,608
Royal Bank of Canada 2.500% 1/19/21		140,000		144,491
State Street Corp. 2.650% 5/19/26		215,000		217,445
State Street Corp. 3.550% 8/18/25		285,000		309,002
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		285,000		282,677
Sumitomo Mitsui Financial Group, Inc. 2.934% 3/09/21		570,000		585,828
The Toronto-Dominion Bank 1.800% 7/13/21		880,000		876,705
United Overseas Bank Ltd. USD 5 year swap rate + 1.995%, VRN (a) 3.750% 9/19/24		700,000		725,606
Wells Fargo & Co. 3.000% 4/22/26		475,000		479,466
Wells Fargo & Co. 3.550% 9/29/25		590,000		623,141
Westpac Banking Corp. 2.000% 8/19/21		70,000		69,887
Westpac Banking Corp. 2.600% 11/23/20		520,000		534,449

				20,078,785

Beverages — 0.2%
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		275,000		327,190


	Principal Amount		Value
The Coca-Cola Co. 1.550% 9/01/21	$	415,000	$	413,944

				741,134

Biotechnology — 0.1%
Celgene Corp. 3.875% 8/15/25		285,000		304,725

Building Materials — 0.0%
Builders FirstSource, Inc. (b) 5.625% 9/01/24		25,000		25,625

Chemicals — 0.3%
Ashland LLC STEP 4.750% 8/15/22		120,000		124,800
Grupo Idesa SA de CV (a) 7.875% 12/18/20		850,000		850,000
PQ Corp. (b) 6.750% 11/15/22		60,000		63,600

				1,038,400

Commercial Services — 0.5%
Adani Ports & Special Economic Zone Ltd. (a) 3.500% 7/29/20		600,000		607,557
ENA Norte Trust (a) 4.950% 4/25/28		825,754		858,785
Prime Security Services Borrower LLC/Prime Finance, Inc. (b) 9.250% 5/15/23		115,000		125,350
S&P Global, Inc. 4.400% 2/15/26		285,000		318,469
Team Health, Inc. (b) 7.250% 12/15/23		55,000		59,194

				1,969,355

Computers — 0.2%
Apple, Inc. 4.650% 2/23/46		336,000		387,719
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (b) 7.125% 6/15/24		90,000		98,986
Hewlett Packard Enterprise Co. (b) 3.600% 10/15/20		455,000		477,397
Western Digital Corp. (b) 7.375% 4/01/23		35,000		38,500

				1,002,602

Cosmetics & Personal Care — 0.0%
Revlon Consumer Products Corp. STEP 5.750% 2/15/21		61,000		62,220
Revlon Consumer Products Corp. (b) 6.250% 8/01/24		15,000		15,488

				77,708


	Principal Amount		Value
Distribution & Wholesale — 0.0%
HD Supply, Inc. 7.500% 7/15/20	$	120,000	$	124,632

Diversified Financial — 1.5%
Air Lease Corp. 3.750% 2/01/22		585,000		613,126
Ally Financial, Inc. 4.125% 3/30/20		555,000		564,712
Ally Financial, Inc. 4.250% 4/15/21		30,000		30,563
American Express Credit Corp. 2.250% 8/15/19		175,000		178,572
American Express Credit Corp. 2.250% 5/05/21		935,000		949,343
Bantrab Senior Trust (a) 9.000% 11/14/20		300,000		264,000
CIMPOR Financial Operations BV (a) 5.750% 7/17/24		400,000		342,000
Credito Real SAB de CV SOFOM ER (b) 7.250% 7/20/23		200,000		200,750
Double Eagle Acquisition Sub, Inc. (b)(c) 7.500% 10/01/24		40,000		40,700
Guanay Finance Ltd. (a) 6.000% 12/15/20		870,529		889,028
National Rural Utilities Cooperative Finance Corp. 2.000% 1/27/20		855,000		863,856
Peru Enhanced Pass-Through Finance Ltd. (a) 0.000% 6/02/25		250,000		194,720
Synchrony Financial 3.000% 8/15/19		555,000		568,112
Tanner Servicios Financieros SA (a) 4.375% 3/13/18		600,000		604,500

				6,303,982

Electric — 1.3%
Abengoa Transmision Sur SA (a) 6.875% 4/30/43		300,000		321,000
AES Andres BV/Dominican Power Partners/Empresa Generadora de Electricidad It (b) 7.950% 5/11/26		500,000		532,500
Calpine Corp. 5.750% 1/15/25		30,000		29,625
Duke Energy Corp. 3.750% 9/01/46		215,000		208,501
Duke Energy Progress, Inc. 4.150% 12/01/44		470,000		514,377
Empresa de Energia de Bogota SA ESP (a) 6.125% 11/10/21		600,000		619,500
Empresa Electrica Angamos SA (a) 4.875% 5/25/29		700,000		687,633


	Principal Amount		Value
Exelon Corp. 3.400% 4/15/26	$	290,000	$	301,839
Fortis, Inc. (b) 2.100% 10/04/21		180,000		179,341
Israel Electric Corp. Ltd. (a) 5.625% 6/21/18		300,000		316,950
Midamerican Energy Holdings Co. 6.500% 9/15/37		594,000		816,836
NRG Energy, Inc. (b) 7.250% 5/15/26		85,000		86,488
The Southern Co. 2.450% 9/01/18		875,000		891,935

				5,506,525

Engineering & Construction — 0.2%
Aeropuerto Internacional de Tocumen SA 5.750% 10/09/23		750,000		810,000
SBA Communications Corp. 5.625% 10/01/19		125,000		128,516

				938,516

Entertainment — 0.1%
GLP Capital LP/GLP Financing II, Inc. 5.375% 4/15/26		40,000		43,000
Scientific Games International, Inc. (b) 7.000% 1/01/22		125,000		132,187
WMG Acquisition Corp. (b) 6.750% 4/15/22		105,000		111,038

				286,225

Environmental Controls — 0.1%
Waste Management, Inc. 4.100% 3/01/45		475,000		520,506

Foods — 1.0%
Albertsons Cos. LLC/Safeway, Inc./New Albertson’s, Inc./Albertson’s LLC (b) 5.750% 3/15/25		65,000		64,837
Cosan Overseas Ltd. (a) 8.250% 11/29/49		700,000		693,000
JBS USA LLC/JBS USA Finance, Inc. (b) 5.750% 6/15/25		65,000		63,862
Kraft Heinz Foods Co. 1.600% 6/30/17		355,000		355,719
Kraft Heinz Foods Co. 2.000% 7/02/18		140,000		141,292
The Kroger Co. 3.400% 4/15/22		710,000		753,131
Marfrig Holdings Europe BV (b) 8.000% 6/08/23		200,000		204,900
Minerva Luxembourg SA 5 year CMT + 7.046%, VRN (a) 8.750% 12/29/49		500,000		503,750
Pilgrim’s Pride Corp. (b) 5.750% 3/15/25		120,000		123,600


	Principal Amount		Value
Post Holdings, Inc. (b) 5.000% 8/15/26	$	45,000	$	44,775
TreeHouse Foods, Inc. (b) 6.000% 2/15/24		40,000		43,050
Tyson Foods, Inc. 3.950% 8/15/24		1,100,000		1,187,249

				4,179,165

Forest Products & Paper — 0.4%
Georgia-Pacific LLC (b) 3.600% 3/01/25		1,125,000		1,198,354
International Paper Co. 3.000% 2/15/27		270,000		269,687

				1,468,041

Gas — 0.3%
Fermaca Enterprises S de RL de CV (a) 6.375% 3/30/38		381,485		391,022
National Gas Co., of Trinidad & Tobago Ltd. (a) 6.050% 1/15/36		800,000		856,000

				1,247,022

Hand & Machine Tools — 0.0%
Milacron LLC/Mcron Finance Corp. (b) 7.750% 2/15/21		120,000		124,800

Health Care – Products — 0.3%
Thermo Fisher Scientific, Inc. 3.300% 2/15/22		785,000		822,627
Zimmer Biomet Holdings, Inc. 1.450% 4/01/17		565,000		565,284

				1,387,911

Health Care – Services — 0.6%
Anthem, Inc. 2.300% 7/15/18		585,000		592,658
Centene Corp. 5.625% 2/15/21		110,000		116,600
HCA, Inc. 5.875% 2/15/26		55,000		58,644
Laboratory Corp. of America Holdings 2.500% 11/01/18		575,000		584,650
Laboratory Corp. of America Holdings 4.700% 2/01/45		600,000		652,609
MPH Acquisition Holdings LLC (b) 7.125% 6/01/24		115,000		123,625
RegionalCare Hospital Partners Holdings, Inc. (b) 8.250% 5/01/23		40,000		41,300
Select Medical Corp. 6.375% 6/01/21		130,000		127,887
Tenet Healthcare Corp. 6.750% 6/15/23		130,000		120,900

				2,418,873


	Principal Amount		Value
Holding Company – Diversified — 0.4%
Argos Merger Sub, Inc. (b) 7.125% 3/15/23	$	100,000	$	104,750
Hutchison Whampoa International 12 Ltd. 5 year CMT + 5.176%, VRN (a) 6.000% 5/29/49		800,000		816,000
MUFG Americas Holdings Corp. 1.625% 2/09/18		560,000		560,848

				1,481,598

Household Products — 0.1%
Kronos Acquisition Holdings, Inc. (b) 9.000% 8/15/23		40,000		41,225
Spectrum Brands, Inc. 5.750% 7/15/25		120,000		129,600

				170,825

Housewares — 0.0%
Newell Brands, Inc. 3.150% 4/01/21		135,000		140,652

Insurance — 0.4%
Liberty Mutual Group, Inc. (b) 6.500% 5/01/42		730,000		907,436
TIAA Asset Management Finance Co. LLC (b) 2.950% 11/01/19		550,000		566,714

				1,474,150

Internet — 0.1%
Amazon.com, Inc. 3.800% 12/05/24		270,000		299,274

Investment Companies — 0.2%
Grupo Aval Ltd. (a) 4.750% 9/26/22		800,000		791,600

Iron & Steel — 0.0%
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. (b) 6.375% 5/01/22		85,000		86,062

Leisure Time — 0.1%
NCL Corp. Ltd. (b) 5.250% 11/15/19		125,000		126,250
Sabre GLBL, Inc. (b) 5.250% 11/15/23		85,000		86,487
Viking Cruises Ltd. (b) 8.500% 10/15/22		100,000		102,500

				315,237

Lodging — 0.1%
Hilton Domestic Operating Co., Inc. (b) 4.250% 9/01/24		30,000		30,600
MGM Growth Properties Operating Partnership LP/MGP Escrow Co-Issuer, Inc. (b) 5.625% 5/01/24		25,000		27,117


	Principal Amount		Value
MGM Resorts International 4.625% 9/01/26	$	115,000	$	112,125
Station Casinos LLC 7.500% 3/01/21		80,000		84,610

				254,452

Machinery – Construction & Mining — 0.0%
Terex Corp. 6.000% 5/15/21		110,000		112,475

Manufacturing — 0.0%
Gates Global LLC/Gates Global Co. (b) 6.000% 7/15/22		90,000		85,500

Media — 0.7%
21st Century Fox America, Inc. 4.750% 9/15/44		280,000		306,636
CCO Holdings LLC/CCO Holdings Capital Corp. (b) 5.125% 5/01/23		30,000		31,313
CCO Holdings LLC/CCO Holdings Capital Corp. 5.250% 9/30/22		70,000		73,150
Cequel Communications Holdings I LLC/Cequel Capital Corp. (b) 6.375% 9/15/20		125,000		128,750
Comcast Corp. 4.400% 8/15/35		560,000		634,282
CSC Holdings LLC 5.250% 6/01/24		45,000		42,750
CSC Holdings LLC (b) 5.500% 4/15/27		40,000		40,900
Gray Television, Inc. (b) 5.125% 10/15/24		45,000		44,156
Gray Television, Inc. (b) 5.875% 7/15/26		60,000		60,450
Gray Television, Inc. 7.500% 10/01/20		82,000		85,157
Nexstar Escrow Corp. (b) 5.625% 8/01/24		65,000		65,163
Sinclair Television Group, Inc. (b) 5.625% 8/01/24		120,000		122,700
Sirius XM Radio, Inc. (b) 5.375% 7/15/26		125,000		128,437
TEGNA, Inc. (b) 4.875% 9/15/21		125,000		130,000
TV Azteca SAB de CV (a) 7.500% 5/25/18		550,000		458,562
VTR Finance BV (a) 6.875% 1/15/24		500,000		522,250

				2,874,656

Metal Fabricate & Hardware — 0.0%
Novelis Corp. (b) 5.875% 9/30/26		25,000		25,594


	Principal Amount		Value
Novelis Corp. (b) 6.250% 8/15/24	$	60,000	$	63,675

				89,269

Mining — 0.0%
Lundin Mining Corp. (b) 7.500% 11/01/20		80,000		85,000

Office Equipment/Supplies — 0.1%
Xerox Corp. 2.950% 3/15/17		555,000		558,286

Oil & Gas — 2.0%
Apache Corp. 4.750% 4/15/43		330,000		337,181
Bharat Petroleum Corp. Ltd. (a) 4.625% 10/25/22		200,000		218,100
BP Capital Markets PLC 3.017% 1/16/27		205,000		208,231
BP Capital Markets PLC 3.062% 3/17/22		250,000		261,878
BP Capital Markets PLC 3.119% 5/04/26		115,000		117,519
Chevron Corp. 1.365% 3/02/18		353,000		353,622
Chevron Corp. 1.561% 5/16/19		270,000		271,428
CNOOC Finance Australia Pty Ltd. 2.625% 5/05/20		500,000		509,504
CNOOC Finance Ltd. (a) 4.250% 1/26/21		200,000		216,067
Delek & Avner Tamar Bond Ltd. (b) 4.435% 12/30/20		800,000		844,000
EOG Resources, Inc. 4.150% 1/15/26		280,000		305,819
Extraction Oil & Gas Holdings LLC/Extraction Finance Corp. (b) 7.875% 7/15/21		40,000		41,600
Memorial Production Partners LP/Memorial Production Finance Corp. 6.875% 8/01/22		150,000		72,375
Occidental Petroleum Corp. 3.400% 4/15/26		145,000		152,976
ONGC Videsh Ltd. (a) 3.250% 7/15/19		750,000		769,500
PDC Energy, Inc. (b) 6.125% 9/15/24		30,000		31,050
Petroleos Mexicanos 3.500% 7/18/18		400,000		409,200
Petroleos Mexicanos (a) 5.500% 2/04/19		200,000		210,900
Petroleos Mexicanos (b) 6.750% 9/21/47		610,000		610,000
Petronas Global Sukuk Ltd. (a) 2.707% 3/18/20		600,000		613,293


	Principal Amount		Value
Phillips 66 4.875% 11/15/44	$	50,000	$	55,544
Phillips 66 5.875% 5/01/42		200,000		250,967
Reliance Holding USA, Inc. (a) 5.400% 2/14/22		500,000		563,308
Sanchez Energy Corp. 6.125% 1/15/23		50,000		40,125
SandRidge Energy, Inc. (b)(d) 8.750% 6/01/20		30,000		10,800
Shell International Finance BV 1.375% 5/10/19		600,000		598,345
Sinopec Group Overseas Development 2015 Ltd. (b) 2.500% 4/28/20		400,000		407,034

				8,480,366

Oil & Gas Services — 0.1%
Schlumberger Holding Corp. (b) 2.350% 12/21/18		285,000		290,322

Packaging & Containers — 0.1%
Berry Plastics Corp. 5.500% 5/15/22		80,000		82,800
Plastipak Holdings, Inc. (b) 6.500% 10/01/21		80,000		83,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC STEP 8.250% 2/15/21		200,000		208,500

				374,300

Pharmaceuticals — 1.2%
AbbVie, Inc. 4.700% 5/14/45		545,000		586,845
Actavis Funding SCS Co. 2.350% 3/12/18		561,000		566,784
AstraZeneca PLC 2.375% 11/16/20		285,000		293,093
Cardinal Health, Inc. 1.950% 6/15/18		560,000		565,293
Eli Lilly & Co. 3.700% 3/01/45		420,000		451,551
Express Scripts Holding Co. 3.400% 3/01/27		125,000		125,710
Express Scripts Holding Co. 4.500% 2/25/26		285,000		312,598
Mylan NV (b) 3.150% 6/15/21		595,000		606,171
Quintiles Transnational Corp. (b) 4.875% 5/15/23		85,000		87,337
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		605,000		607,930


	Principal Amount		Value
Teva Pharmaceutical Finance Co. BV 2.950% 12/18/22	$	535,000	$	548,530
Teva Pharmaceutical Finance Netherlands III BV 2.800% 7/21/23		215,000		215,552
Vizient, Inc. (b) 10.375% 3/01/24		80,000		91,800

				5,059,194

Pipelines — 0.6%
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 3/15/24		125,000		126,339
Energy Transfer Equity LP 5.500% 6/01/27		110,000		109,450
Energy Transfer Partners LP 4.750% 1/15/26		605,000		625,056
Enterprise Products Operating Co. 3.700% 2/15/26		425,000		437,499
Kinder Morgan Energy Partners LP 6.950% 1/15/38		535,000		607,363
Targa Resources Partners LP/Targa Resources Partners Finance Corp. (b)(c) 5.375% 2/01/27		85,000		85,531
Transportadora de Gas Internacional SA ESP (a) 5.700% 3/20/22		500,000		519,750

				2,510,988

Real Estate Investment Trusts (REITS) — 0.3%
Boston Properties LP 4.125% 5/15/21		540,000		587,246
Equinix, Inc. 5.875% 1/15/26		80,000		86,000
ESH Hospitality, Inc. (b) 5.250% 5/01/25		125,000		124,844
Simon Property Group LP 3.300% 1/15/26		510,000		538,267

				1,336,357

Retail — 0.5%
Asbury Automotive Group, Inc. 6.000% 12/15/24		60,000		61,800
CVS Health Corp. 2.875% 6/01/26		300,000		304,445
Dollar Tree, Inc. 5.750% 3/01/23		31,000		33,364
Grupo Elektra SAB DE CV (a) 7.250% 8/06/18		400,000		399,040
Rite Aid Corp. (b) 6.125% 4/01/23		80,000		86,334
Sally Holdings LLC/Sally Capital, Inc. 5.750% 6/01/22		115,000		119,887


	Principal Amount		Value
The Home Depot, Inc. 3.000% 4/01/26	$	300,000	$	317,377
The Home Depot, Inc. 3.350% 9/15/25		260,000		281,797
Wal-Mart Stores, Inc. 4.300% 4/22/44		510,000		599,097

				2,203,141

Semiconductors — 0.2%
Intel Corp. 4.100% 5/19/46		295,000		315,739
Lam Research Corp. 2.800% 6/15/21		37,000		37,977
Lam Research Corp. 3.450% 6/15/23		110,000		112,515
Microsemi Corp. (b) 9.125% 4/15/23		25,000		28,500
NVIDIA Corp. 3.200% 9/16/26		205,000		206,614
NXP BV/NXP Funding LLC (b) 3.875% 9/01/22		45,000		47,138
NXP BV/NXP Funding LLC (b) 4.125% 6/01/21		95,000		101,769

				850,252

Software — 0.8%
Activision Blizzard, Inc. (b) 5.625% 9/15/21		117,000		122,078
Cengage Learning, Inc. (b) 9.500% 6/15/24		40,000		40,700
Ensemble S Merger Sub, Inc. (b) 9.000% 9/30/23		125,000		131,250
Fidelity National Information Services, Inc. 3.625% 10/15/20		420,000		445,482
First Data Corp. (b) 5.750% 1/15/24		60,000		61,650
First Data Corp. (b) 7.000% 12/01/23		60,000		63,450
Infor US, Inc. 6.500% 5/15/22		85,000		86,063
Microsoft Corp. 4.450% 11/03/45		525,000		596,875
Open Text Corp. (b) 5.875% 6/01/26		85,000		88,931
Oracle Corp. 1.900% 9/15/21		580,000		581,472
Oracle Corp. 2.250% 10/08/19		535,000		548,225
Oracle Corp. 4.125% 5/15/45		590,000		617,958
Solera LLC/ Solera Finance, Inc. (b) 10.500% 3/01/24		60,000		66,900

				3,451,034


	Principal Amount		Value
Telecommunications — 1.4%
AT&T, Inc. 3.400% 5/15/25	$	395,000	$	405,826
AT&T, Inc. 4.125% 2/17/26		110,000		118,866
Axiata SPV2 Bhd (a) 3.466% 11/19/20		200,000		209,764
British Telecommunications PLC 5.950% 1/15/18		1,025,000		1,084,365
Cisco Systems, Inc. 1.850% 9/20/21		610,000		613,661
CommScope, Inc. (b) 5.000% 6/15/21		125,000		129,375
Digicel Group Ltd. (a) 7.125% 4/01/22		700,000		535,290
Embarq Corp. 7.995% 6/01/36		60,000		60,719
Intelsat Jackson Holdings SA 5.500% 8/01/23		70,000		48,475
Intelsat Jackson Holdings SA (b) 8.000% 2/15/24		40,000		40,100
Level 3 Communications, Inc. 5.750% 12/01/22		125,000		130,625
Orange SA 2.750% 2/06/19		564,000		579,572
Telefonica Celular del Paraguay SA (a) 6.750% 12/13/22		500,000		517,500
Verizon Communications, Inc. 4.400% 11/01/34		1,075,000		1,137,498

				5,611,636

Transportation — 0.3%
Air Medical Merger Sub Corp. (b) 6.375% 5/15/23		130,000		125,775
Burlington Northern Santa Fe LLC 4.550% 9/01/44		465,000		538,373
FedEx Corp. 4.750% 11/15/45		525,000		599,694
OPE KAG Finance Sub, Inc. (b) 7.875% 7/31/23		45,000		42,638

				1,306,480


TOTAL CORPORATE DEBT (Cost $93,436,033)				95,963,140


MUNICIPAL OBLIGATIONS — 0.2%
New York State Dormitory Authority 5.000% 3/15/33		340,000		412,121
State of California 5.000% 8/01/33		340,000		414,337

				826,458


TOTAL MUNICIPAL OBLIGATIONS (Cost $782,282)				826,458


	Principal Amount		Value
NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 28.5%
Commercial MBS — 8.2%
BXHTL Mortgage Trust, Series 2015-JWRZ, 1 mo. LIBOR + 1.230%, FRN (b) 1.755% 5/15/29	$	700,000	$	700,620
CFCRE Commercial Mortgage Trust, Series 2016-C3, Class XA, VRN 1.253% 1/10/48		5,850,498		448,394
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class XA, VRN 1.055% 11/10/48		5,356,592		299,926
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class XA, VRN 2.175% 7/10/49		3,777,850		534,018
Citigroup Commercial Mortgage Trust, Series 2016-P4, Class A4 2.902% 7/10/49		547,000		562,709
Citigroup Commercial Mortgage Trust, Series 2015-GC27, Class A5 3.137% 2/10/48		276,000		289,322
Citigroup Commercial Mortgage Trust, Series 2016-SMPL, Class D, VRN (b) 3.520% 9/10/31		534,000		534,751
Citigroup Commercial Mortgage Trust, Series 2015-GC31, Class C, VRN 4.200% 6/10/48		700,000		659,383
Citigroup Commercial Mortgage Trust, Series 2015-GC35, Class C 4.652% 11/10/48		413,000		420,045
COMM Mortgage Trust, Series 2016-DC2, Class XA, VRN 1.236% 2/10/49		996,534		71,078
COMM Mortgage Trust, Series 2015-CR22, Class D, VRN (b) 4.264% 3/10/48		650,000		527,807
COMM Mortgage Trust, Series 2015-LC23, Class C, VRN 4.801% 10/10/53		470,000		474,453
COMM Mortgage Trust, Series 2016-CR28, Class C, VRN 4.802% 2/10/49		517,000		527,192
Commercial Mortgage Trust, Series 2007-GG9, Class AMFX, 1 mo. LIBOR + 0.165%, FRN (b) 5.475% 3/10/39		650,000		654,561
Commercial Mortgage Trust, Series 2007-GG11, Class AM, VRN 5.867% 12/10/49		650,000		666,435
Credit Suisse Commercial Mortgage Trust, Series 2007-C4, Class A1AM, VRN 6.134% 9/15/39		800,000		810,703


	Principal Amount		Value
Credit Suisse Commercial Mortgage Trust, Series 2008-C1, Class AM, VRN (b) 6.267% 2/15/41	$	700,000	$	726,208
CSAIL Commercial Mortgage Trust, Series 2015-C1, Class XA, VRN 1.105% 4/15/50		9,308,884		540,300
CSAIL Commercial Mortgage Trust, Series 2015-C4, Class C, VRN 4.738% 11/15/48		427,000		437,384
GS Mortgage Securities Corp. II, Series 2013-GC10, Class XA, VRN 1.748% 2/10/46		5,666,090		430,875
GS Mortgage Securities Trust, Series 2015-GS1, Class XA, VRN 0.986% 11/10/48		8,210,077		487,504
GS Mortgage Securities Trust, Series 2016-GS3, Class XA, VRN 1.285% 10/10/49		5,665,000		515,654
GS Mortgage Securities Trust, Series 2014-GC20, Class XA, VRN 1.328% 4/10/47		7,763,309		462,553
GS Mortgage Securities Trust, Series 2014-GC26, Class D, VRN (b) 4.661% 11/10/47		267,000		216,132
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class XA, VRN 1.311% 1/15/49		5,417,218		343,852
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class XA, VRN 2.020% 8/15/49		3,876,765		539,706
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2015-CSMO, Class C, 1 mo. LIBOR + 2.250%, FRN (b) 2.774% 1/15/32		700,000		699,428
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class B, VRN 3.460% 8/15/49		174,000		179,830
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2016-JP2, Class C, VRN 3.948% 8/15/49		134,000		133,528
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, VRN 5.464% 1/15/49		549,600		537,343
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, Class AM, VRN 6.207% 2/15/51		540,000		552,695


	Principal Amount		Value
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class AJ, VRN 6.285% 2/12/51	$	510,000	$	509,679
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class XA, VRN 0.858% 7/15/48		11,168,538		424,725
JPMBB Commercial Mortgage Securities Trust, Series 2015-C29, Class XA, VRN 1.090% 5/15/48		12,368,909		540,916
JPMBB Commercial Mortgage Securities Trust, Series 2014-C25, Class XA, VRN 1.149% 11/15/47		5,198,102		292,077
JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class XA, VRN 1.339% 10/15/48		8,931,156		559,220
JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class B, VRN 4.456% 7/15/48		610,000		614,159
JPMBB Commercial Mortgage Securities Trust, Series 2015-C33, Class C, VRN 4.772% 12/15/48		527,000		553,412
JPMBB Commercial Mortgage Securities Trust, Series 2015-C32, Class C, VRN 4.819% 11/15/48		100,000		95,222
JPMBB Commercial Mortgage Securities Trust, Series 2016-C1, Class C, VRN 4.905% 3/15/49		466,000		493,973
LB-UBS Commercial Mortgage Trust, Series 2007-C1, Class AJ 5.484% 2/15/40		1,160,000		1,155,899
LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class AM, VRN 5.493% 2/15/40		700,000		710,224
ML-CFC Commercial Mortgage Trust, Series 2006-2, Class AJ, VRN 5.948% 6/12/46		28,434		28,434
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C26, Class D (b) 3.060% 10/15/48		650,000		464,710
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class D, VRN (b) 3.237% 12/15/47		504,000		329,951


	Principal Amount		Value
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C20, Class A4 3.249% 2/15/48	$	175,000	$	184,814
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C19, Class C 4.000% 12/15/47		650,000		609,292
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C23, Class C, VRN 4.273% 7/15/50		650,000		637,143
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class C, VRN 4.688% 12/15/47		351,000		338,493
Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C29, Class C, VRN 4.912% 5/15/49		475,000		488,541
Morgan Stanley Capital I, Series 2015-UBS8, Class XA, VRN 1.132% 12/15/48		6,660,626		444,995
Morgan Stanley Capital I, Series 2015-XLF2, Class AFSC, 1 mo. LIBOR + 3.000%, FRN (b) 3.524% 8/15/26		478,000		477,283
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN 5.508% 2/12/44		470,000		462,207
Morgan Stanley Capital I Trust, Series 2016-UB11, Class XA, VRN 1.827% 8/15/49		1,618,019		180,736
SG Commercial Mortgage Securities Trust, Series 2016-C5, Class XA, VRN 2.198% 10/10/48		3,995,564		525,819
THL Credit Wind River CLO Ltd., Series 2012-1A, Class DR, FRN (b) 4.953% 1/15/26		1,000,000		1,000,000
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C30, Class AM 5.383% 12/15/43		650,000		655,076
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C30, Class AJ, VRN 5.413% 12/15/43		175,000		175,381
Wachovia Bank Commercial Mortgage Trust Series, Series 2006-C28, Class AJ, VRN 5.632% 10/15/48		1,160,000		1,156,540


	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust Series, Series 2007-C32, Class AMFX (b) 5.703% 6/15/49	$	415,000	$	422,253
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS2, Class XA, VRN 0.939% 7/15/58		12,898,206		593,025
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class XA, VRN 1.172% 12/15/48		5,505,777		366,770
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class XA, VRN 1.270% 11/15/48		6,758,011		499,185
Wells Fargo Commercial Mortgage Trust, Series 2016-NXS6, Class XA, VRN 1.808% 11/15/49		2,415,000		265,744
Wells Fargo Commercial Mortgage Trust, Series 2015-P2, Class A4 3.809% 12/15/48		392,000		432,847
Wells Fargo Commercial Mortgage Trust, Series 2014-LC16, Class D (b) 3.938% 8/15/50		560,000		450,599
Wells Fargo Commercial Mortgage Trust, Series 2015-LC22, Class C, VRN 4.691% 9/15/58		390,000		407,081
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS4, Class C, VRN 4.756% 12/15/48		421,000		441,727
Wells Fargo Commercial Mortgage Trust, Series 2015-C31, Class C, VRN 4.765% 11/15/48		468,000		490,836
WFRBS Commercial Mortgage Trust IO, Series 2014-C21, Class XA, VRN 1.316% 8/15/47		12,832,799		808,371

				34,271,748

Home Equity ABS — 1.0%
GSAA Home Equity Trust, Series 2007-10, Class A2A 6.500% 11/25/37		5,608,239		4,122,941


	Principal Amount		Value
Other ABS — 7.5%
Adams Mill CLO Ltd., Series 2014-1A, Class A1, 3 mo. USD LIBOR + 1.480%, FRN (b) 2.160% 7/15/26	$	500,000	$	500,549
ALM XIX LLC, Series 2016-19A, Class B, 3 mo. USD LIBOR + 3.000%, FRN (b) 3.634% 7/15/28		500,000		506,230
ALM XIX LLC, Series 2016-19A, Class C, 3 mo. USD LIBOR + 4.350%, FRN (b) 4.984% 7/15/28		500,000		503,449
Anchorage Capital CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.600%, FRN (b) 2.280% 10/15/26		1,000,000		1,000,513
Apidos Cinco CDO Ltd., Series 2007-CA, Class B, 3 mo. USD LIBOR + .800%, FRN (b) 1.617% 5/14/20		1,000,000		995,509
Atrium V, Series 5A, Class A4, 3 mo. USD LIBOR + .390%, FRN (b) 1.201% 7/20/20		1,000,000		991,451
BlueMountain CLO II Ltd., Series 2006-2A, Class C, 3 mo. USD LIBOR + .800%, FRN (b) 1.642% 7/15/18		1,025,000		1,010,183
BlueMountain CLO Ltd., Series 2013-1A, Class A1, 3 mo. USD LIBOR + 1.200%, FRN (b) 2.017% 5/15/25		1,000,000		997,894
BlueMountain CLO Ltd., Series 2015-2A, Class C, 3 mo. USD LIBOR + 2.700%, FRN (b) 3.379% 7/18/27		1,000,000		1,004,533
BlueMountain CLO Ltd., Series 2012-2A, Class C, 3 mo. USD LIBOR + 2.750%, FRN (b) 3.561% 11/20/24		1,000,000		1,006,266
BlueMountain CLO Ltd., Series 2015-3A, Class B, 3 mo. USD LIBOR + 3.100%, FRN (b) 3.796% 10/20/27		1,000,000		1,006,806
BlueMountain CLO Ltd., Series 2015-2A, Class D, 3 mo. USD LIBOR + 3.550%, FRN (b) 4.229% 7/18/27		1,000,000		951,433
BlueMountain CLO Ltd., Series 2015-3A, Class C, 3 mo. USD LIBOR + 3.550%, FRN (b) 4.246% 10/20/27		1,000,000		962,199


	Principal Amount		Value
Carlyle High Yield Partners VIII Ltd., Series 2006-8A, Class A2A, 3 mo. USD LIBOR + .240%, FRN (b) 1.051% 5/21/21	$	71,842	$	71,798
Dryden XXV Senior Loan Fund, Series 2012-25A, Class D, 3 mo. USD LIBOR + 4.000%, FRN (b) 4.680% 1/15/25		833,000		832,986
Goldentree Loan Opportunities X Ltd., Series 2015-10A, Class D, 3 mo. USD LIBOR + 3.350%, FRN (b) 4.046% 7/20/27		1,000,000		942,749
LCM XVIII LP, Series 19A, Class D, 3 mo. USD LIBOR + 3.450%, FRN (b) 4.130% 7/15/27		1,000,000		942,113
Limerock CLO I, Series 2007-1A, Class B, 3 mo. LIBOR + .630%, FRN (b) 1.345% 4/24/23		1,000,000		982,034
Madison Park Funding Ltd., Series 2007-6A, Class C, 3 mo. USD LIBOR + 1.000%, FRN (b) 1.721% 7/26/21		1,000,000		978,786
Madison Park Funding XIV Ltd., Series 2014-14A, Class D, 3 mo. USD LIBOR + 3.600%, FRN (b) 4.296% 7/20/26		1,000,000		987,640
Madison Park Funding XVIII Ltd., Series 2015-18A, Class D2, 3 mo. USD LIBOR + 3.950%, FRN (b) 4.647% 10/21/26		1,000,000		1,000,182
MAPS CLO Fund II Ltd., Series 2007-2A, Class B, 3 mo. USD LIBOR + .900%, FRN (b) 1.596% 7/20/22		500,000		482,978
Merrill Lynch Mortgage Investors Trust Series, Series 2006-OPT1, Class A2C, 1 mo. USD LIBOR + ..150%, FRN 0.675% 8/25/37		3,304,435		2,767,589
OneMain Financial Issuance Trust, Series 2015-2A, Class A (b) 2.570% 7/18/25		200,000		200,743
OneMain Financial Issuance Trust, Series 2015-1A, Class A (b) 3.190% 3/18/26		3,000,000		3,030,856
Race Point VIII CLO Ltd., Series 2013-8A, Class B, 3 mo. USD LIBOR + 1.900%, FRN (b) 2.711% 2/20/25		500,000		500,033
Springleaf Funding Trust, Series 2015-AA, Class A (b) 3.160% 11/15/24		3,000,000		3,037,196


	Principal Amount		Value
THL Credit Wind River CLO Ltd., Series 2016-1A, Class C, 3 mo. USD LIBOR + 3.200%, FRN (b) 3.925% 7/15/28	$	500,000	$	502,953
Venture VI CDO Ltd., Series 2006-1A, Class B, 3 mo. USD LIBOR + .640%, FRN (b) 1.399% 8/03/20		1,000,000		950,110
Venture XVII CLO Ltd., Series 2014-17A, Class B2, 3 mo. USD LIBOR + 2.100%, FRN (b) 2.780% 7/15/26		1,000,000		1,000,229
Westcott Park Clo Ltd., Series 2016-1A, Class D, 3 mo. USD LIBOR + 4.350%, FRN (b) 5.046% 7/20/28		500,000		501,733

				31,149,723

WL Collateral CMO — 11.1%
Citigroup Mortgage Loan Trust, Series 2007-AR5, Class 1A2A, VRN 3.015% 4/25/37		4,466,303		4,178,986
CitiMortgage Alternative Loan Trust, Series 2006-A1, Class 1A5 5.500% 4/25/36		4,319,607		4,038,803
Countrywide Alternative Loan Trust, Series 2006-13T1, Class A11 6.000% 5/25/36		3,219,831		2,642,416
Countrywide Alternative Loan Trust, Series 2006-36T2, Class 2A1 6.250% 12/25/36		5,286,389		3,979,372
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2007-HYB2, Class 3A1, VRN 2.957% 2/25/47		2,969,086		2,419,080
Countrywide Home Loans Mortgage Pass-Through Trust, Series 2007-14, Class A6 6.000% 9/25/37		2,782,223		2,531,695
CSMC Trust, Series 2015-RPL3, Class A1, STEP (b) 3.750% 12/25/56		5,471,435		5,468,741
HarborView Mortgage Loan Trust, Series 2006-11, Class A1A, 1 mo. USD LIBOR + .170%, FRN 0.701% 12/19/36		2,230,806		1,657,947
IndyMac INDX Mortgage Loan Trust, Series 2007-AR5, Class 2A1, VRN 3.139% 5/25/37		4,690,968		3,836,841
Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 2A1, VRN 2.836% 7/25/35		1,246,777		1,079,479


	Principal Amount		Value
Nomura Asset Acceptance Corp. Alternative Loan Trust Series, Series 2006-AR1, Class 2A1, VRN 3.311% 2/25/36	$	4,459,843	$	3,605,366
RBSSP Resecuritization Trust, Series 2009-5, Class 2A3, VRN (b) 6.500% 10/26/37		1,752,422		1,479,088
RFMSI Series Trust, Series 2007-S4, Class A5, 1 mo. USD LIBOR + .600%, FRN 6.000% 4/25/37		873,782		871,723
Structured Adjustable Rate Mortgage Loan Trust, Series 2008-1, Class A2, FRN 2.998% 10/25/37		2,696,017		2,341,355
Towd Point Mortgage Trust, Series 2015-2, Class 1A13, VRN (b) 2.500% 11/25/60		4,779,246		4,821,114
Washington Mutual Mortgage Pass-Through Certificates Trust, Series 2006-4, Class 3A5, STEP 6.350% 5/25/36		1,914,912		1,445,647

				46,397,653

WL Collateral PAC — 0.7%
Countrywide Alternative Loan Trust, Series 2006-19CB, Class A15 6.000% 8/25/36		3,377,924		3,009,001


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $120,614,171)				118,951,066


SOVEREIGN DEBT OBLIGATIONS — 0.8%
Hungary Government International Bond 4.000% 3/25/19		300,000		314,496
Instituto Costarricense de Electricidad (a) 6.950% 11/10/21		200,000		212,000
Panama Government International Bond 5.200% 1/30/20		700,000		773,500
Poland Government International Bond 5.125% 4/21/21		400,000		452,162
Qatar Government International Bond (a) 2.375% 6/02/21		800,000		806,043
United Mexican States 4.000% 10/02/23		830,000		886,855

				3,445,056


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $3,416,340)				3,445,056


	Principal Amount		Value
U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 16.4%
Collateralized Mortgage Obligations — 7.1%
Federal Home Loan Mortgage Corp.
Series 4481, Class B 3.000% 12/15/42	$	8,836,830	$	9,266,824
Series 4483, Class CA 3.000% 6/15/44		8,458,957		8,867,968
Federal Home Loan Mortgage Corp. Multifamily Structured Pass Through Certificates
Series K722, Class X1 1.312% 3/25/23 VRN		6,739,970		470,057
Series K053, Class A2 2.995% 12/25/25		463,000		496,535
Series K050, Class A2 3.334% 8/25/25 VRN		350,000		385,565
Federal National Mortgage Association
Series 2016-M3, Class A2 2.702% 2/25/26		465,000		487,231
Series 2015-9, Class HA 3.000% 1/25/45		1,431,932		1,495,039
Government National Mortgage Association
Series 2015-74, Class LZ 3.500% 5/20/45		3,000,871		3,176,230
Series 2015-92, Class CZ 3.500% 6/20/45		4,774,839		5,051,063

				29,696,512

Pass-Through Securities — 9.3%
Federal Home Loan Mortgage Corp.
Pool #G08658 3.000% 8/01/45		4,595,267		4,778,718
Pool #G08721 3.000% 9/01/46		6,680,804		6,947,514
Pool #G08632 3.500% 3/01/45		4,072,430		4,296,254
Federal National Mortgage Association
Pool #MA2248 3.000% 4/01/45		3,304,524		3,402,111
Pool #AS7661 3.000% 8/01/46		1,974,765		2,033,083
Pool #MA2711 3.000% 8/01/46		6,945,387		7,150,494
Pool #MA2737 3.000% 9/01/46		6,178,666		6,426,779
Pool #AX2501 4.000% 10/01/44		3,488,168		3,749,780

				38,784,733

TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $66,185,359)				68,481,245


	Principal Amount		Value
U.S. TREASURY OBLIGATIONS — 27.5%
U.S. Treasury Bonds & Notes — 27.5%
U.S. Treasury Bond 2.750% 11/15/42	$	4,920,000	$	5,370,854
U.S. Treasury Bond 3.000% 11/15/44		10,140,000		11,597,825
U.S. Treasury Inflation Index 0.125% 7/15/26		17,630,240		17,822,956
U.S. Treasury Inflation Index 1.000% 2/15/46		4,408,051		4,872,796
U.S. Treasury Note 0.500% 11/30/16		3,880,000		3,881,085
U.S. Treasury Note 0.500% 1/31/17		8,360,000		8,362,846
U.S. Treasury Note 0.750% 10/31/17		14,070,000		14,078,958
U.S. Treasury Note 1.000% 5/15/18		1,340,000		1,345,391
U.S. Treasury Note 1.000% 11/30/19		350,000		350,684
U.S. Treasury Note 1.500% 3/31/23		6,390,000		6,436,876
U.S. Treasury Note 1.750% 3/31/22		5,430,000		5,569,907
U.S. Treasury Note 1.875% 11/30/21		530,000		547,436
U.S. Treasury Note 2.000% 11/30/20		15,190,000		15,745,266
U.S. Treasury Note 2.125% 5/15/25		6,090,000		6,371,846
U.S. Treasury Note 2.250% 3/31/21		11,560,000		12,120,118
U.S. Treasury Note 2.375% 8/15/24		400,000		426,238

				114,901,082


TOTAL U.S. TREASURY OBLIGATIONS (Cost $112,905,825)				114,901,082


TOTAL BONDS & NOTES (Cost $397,340,010)				402,568,047


	Number of Shares		Value
MUTUAL FUNDS — 2.0%
Diversified Financial — 2.0%
DoubleLine Floating Rate Fund		859,180	$	8,488,700


TOTAL MUTUAL FUNDS (Cost $8,754,937)				8,488,700


TOTAL LONG-TERM INVESTMENTS (Cost $406,094,947)				411,056,747


	Principal Amount
SHORT-TERM INVESTMENTS — 1.6%
Repurchase Agreement — 1.6%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (e)	$	6,558,007		6,558,007

Time Deposit — 0.0%
Euro Time Deposit 0.010% 10/03/16		10,476		10,476


TOTAL SHORT-TERM INVESTMENTS (Cost $6,568,483)				6,568,483


TOTAL INVESTMENTS — 100.0% (Cost $412,663,430) (f)				417,625,230

Other Assets/(Liabilities) — (0.0)%				(48,694	)


NET ASSETS — 100.0%			$	417,576,536

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

CDO	Collateralized Debt Obligation

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

PAC	Planned Amortization Class

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

(a)

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, 2016, these securities amounted to a value of $26,122,178 or 6.26% of net assets.

Notes to Portfolio of Investments (Continued)

(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, 2016, these securities amounted to a value of $60,521,399 or 14.49% of net assets.

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

(d)	Security is currently in default due to bankruptcy or failure to make payment of principal or interest of the issuer. Income is not being accrued. At September 30, 2016, these securities amounted to a value of $10,800 or 0.00% of net assets.

(e)	Maturity value of $6,558,013. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $6,689,944.

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


	Number of Shares		Value
EQUITIES — 98.1%

COMMON STOCK — 98.1%
Basic Materials — 2.6%
Chemicals — 1.4%
E.I. du Pont de Nemours & Co.		70,053	$	4,691,450
Eastman Chemical Co.		89,030		6,025,550

				10,717,000

Mining — 1.2%
Goldcorp, Inc.		264,350		4,367,062
Vulcan Materials Co.		42,780		4,865,369

				9,232,431

				19,949,431

Communications — 8.1%
Advertising — 0.7%
Nielsen Holdings PLC		100,270		5,371,464

Internet — 1.6%
Alphabet, Inc. Class A (a)		6,030		4,848,482
Liberty Interactive Corp. QVC Group (a)		174,568		3,493,105
Symantec Corp.		165,131		4,144,788

				12,486,375

Media — 3.1%
CBS Corp. Class B (Non-Voting)		41,450		2,268,973
Comcast Corp. Class A		206,483		13,698,082
DISH Network Corp. Class A (a)		53,870		2,950,999
Liberty Global PLC Series A (a)		80,050		2,736,109
The Walt Disney Co.		21,720		2,016,919

				23,671,082

Telecommunications — 2.7%
Cisco Systems, Inc.		191,669		6,079,741
T-Mobile US, Inc. (a)		138,390		6,465,581
Verizon Communications, Inc.		98,564		5,123,357
Vodafone Group PLC Sponsored ADR (United Kingdom) (b)		119,576		3,485,640

				21,154,319

				62,683,240

Consumer, Cyclical — 7.0%
Airlines — 0.5%
Delta Air Lines, Inc.		94,240		3,709,286

Apparel — 0.5%
Ralph Lauren Corp.		39,075		3,952,046

Home Builders — 0.1%
Lennar Corp. Class A		15,320		648,649

Home Furnishing — 0.5%
Whirlpool Corp.		27,150		4,402,644

Housewares — 0.5%
Newell Brands, Inc.		80,990		4,264,933


	Number of Shares		Value
Leisure Time — 0.8%
Carnival Corp.		56,660	$	2,766,141
Harley-Davidson, Inc.		61,195		3,218,245

				5,984,386

Retail — 4.1%
Advance Auto Parts, Inc.		20,110		2,998,803
CVS Health Corp.		61,037		5,431,683
Dollar General Corp.		37,322		2,612,167
Wal-Mart Stores, Inc.		170,110		12,268,333
Walgreens Boots Alliance, Inc.		101,530		8,185,349

				31,496,335

				54,458,279

Consumer, Non-cyclical — 18.8%
Agriculture — 0.7%
Philip Morris International, Inc.		54,082		5,257,852

Beverages — 1.2%
The Coca-Cola Co.		95,240		4,030,556
PepsiCo, Inc.		47,079		5,120,783

				9,151,339

Biotechnology — 1.3%
Amgen, Inc.		36,350		6,063,543
Gilead Sciences, Inc.		48,340		3,824,661

				9,888,204

Cosmetics & Personal Care — 1.3%
The Procter & Gamble Co.		114,800		10,303,300

Foods — 0.6%
Mondelez International, Inc. Class A		116,732		5,124,535

Health Care – Products — 2.0%
Medtronic PLC		77,303		6,678,979
Zimmer Biomet Holdings, Inc.		68,600		8,919,372

				15,598,351

Health Care – Services — 3.7%
Aetna, Inc.		20,265		2,339,594
Humana, Inc.		13,640		2,412,780
Thermo Fisher Scientific, Inc.		33,480		5,325,329
UnitedHealth Group, Inc.		130,922		18,329,080

				28,406,783

Pharmaceuticals — 8.0%
AbbVie, Inc.		52,425		3,306,445
Allergan PLC (a)		21,632		4,982,066
Cardinal Health, Inc.		63,770		4,954,929
Eli Lilly & Co.		124,773		10,014,281
Merck & Co., Inc.		105,119		6,560,477
Pfizer, Inc.		559,694		18,956,836
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		286,549		13,184,119

				61,959,153

				145,689,517


	Number of Shares		Value
Energy — 10.2%
Oil & Gas — 7.6%
Apache Corp.		89,333	$	5,705,699
Chevron Corp.		101,931		10,490,738
Concho Resources, Inc. (a)		37,381		5,134,280
ConocoPhillips		82,684		3,594,273
Hess Corp.		201,751		10,817,889
Newfield Exploration Co. (a)		57,297		2,490,128
Phillips 66		39,952		3,218,134
Royal Dutch Shell PLC A Shares Sponsored ADR (United Kingdom)		85,325		4,272,223
Suncor Energy, Inc.		358,080		9,947,462
Valero Energy Corp.		56,609		3,000,277

				58,671,103

Oil & Gas Services — 1.9%
Halliburton Co.		139,652		6,267,582
National Oilwell Varco, Inc.		98,305		3,611,725
Schlumberger Ltd.		56,050		4,407,772

				14,287,079

Pipelines — 0.7%
Enbridge, Inc.		128,659		5,690,588

				78,648,770

Financial — 24.4%
Banks — 5.9%
Bank of America Corp.		1,659,196		25,966,417
Fifth Third Bancorp		164,964		3,375,163
The PNC Financial Services Group, Inc.		64,467		5,807,832
State Street Corp.		46,796		3,258,406
Wells Fargo & Co.		169,309		7,497,003

				45,904,821

Diversified Financial — 10.4%
Ally Financial, Inc.		784,830		15,280,640
American Express Co.		48,031		3,075,905
Ameriprise Financial, Inc.		42,670		4,257,186
Citigroup, Inc.		175,086		8,269,312
Discover Financial Services		103,135		5,832,284
FNF Group		137,979		5,092,805
JP Morgan Chase & Co.		425,605		28,341,037
Nasdaq, Inc.		67,800		4,579,212
Synchrony Financial		214,230		5,998,440

				80,726,821

Insurance — 5.8%
American International Group, Inc.		338,794		20,104,036
Aon PLC		58,510		6,581,790
MetLife, Inc.		202,094		8,979,037
The Travelers Cos., Inc.		42,709		4,892,316
Unum Group		112,772		3,981,979

				44,539,158


	Number of Shares		Value
Real Estate — 0.3%
CBRE Group, Inc. Class A (a)		92,756	$	2,595,313

Real Estate Investment Trusts (REITS) — 2.0%
Crown Castle International Corp.		22,160		2,087,693
Digital Realty Trust, Inc.		22,590		2,193,941
HCP, Inc.		115,910		4,398,784
Outfront Media, Inc.		71,981		1,702,351
Weyerhaeuser Co.		146,585		4,681,925

				15,064,694

				188,830,807

Industrial — 13.8%
Aerospace & Defense — 2.8%
Harris Corp.		43,312		3,967,812
Lockheed Martin Corp.		22,771		5,458,664
Northrop Grumman Corp.		26,329		5,633,090
United Technologies Corp.		66,001		6,705,702

				21,765,268

Electronics — 1.9%
Johnson Controls International PLC		199,202		9,268,869
TE Connectivity Ltd.		85,530		5,506,421

				14,775,290

Environmental Controls — 0.3%
Waste Management, Inc.		38,550		2,457,948

Machinery – Construction & Mining — 1.0%
Caterpillar, Inc.		37,180		3,300,469
Ingersoll-Rand PLC		58,942		4,004,519

				7,304,988

Manufacturing — 5.1%
Danaher Corp.		70,028		5,489,495
Eaton Corp. PLC		223,996		14,718,777
Honeywell International, Inc.		40,239		4,691,465
Parker Hannifin Corp.		45,383		5,696,928
Pentair PLC		138,530		8,899,167

				39,495,832

Packaging & Containers — 1.0%
Sealed Air Corp.		103,677		4,750,480
WestRock Co.		59,160		2,868,077

				7,618,557

Transportation — 1.7%
FedEx Corp.		18,950		3,310,186
Norfolk Southern Corp.		52,985		5,142,724
XPO Logistics, Inc. (a) (b)		126,080		4,623,354

				13,076,264

				106,494,147

Technology — 9.8%
Computers — 3.1%
Apple, Inc.		115,980		13,111,539
Synopsys, Inc. (a)		101,560		6,027,586


	Number of Shares		Value
Western Digital Corp.		86,580	$	5,062,333

				24,201,458

Semiconductors — 3.4%
Broadcom Ltd.		59,432		10,253,209
Micron Technology, Inc. (a)		75,126		1,335,740
NXP Semiconductor NV (a)		41,870		4,271,159
QUALCOMM, Inc.		78,505		5,377,592
Texas Instruments, Inc.		71,520		5,019,274

				26,256,974

Software — 3.3%
First Data Corp. Class A (a)		339,870		4,472,689
Leidos Holdings, Inc.		16,385		709,143
Microsoft Corp.		272,857		15,716,563
Oracle Corp.		110,333		4,333,880

				25,232,275

				75,690,707

Utilities — 3.4%
Electric — 3.4%
Calpine Corp. (a)		189,618		2,396,772
Edison International		173,280		12,519,480
NextEra Energy, Inc.		54,126		6,620,692
PG&E Corp.		73,042		4,467,979

				26,004,923


TOTAL COMMON STOCK (Cost $610,966,325)				758,449,821


TOTAL EQUITIES (Cost $610,966,325)				758,449,821


MUTUAL FUNDS — 1.1%
Diversified Financial — 1.1%
State Street Navigator Securities Lending Prime Portfolio (c)		8,202,480		8,202,480


TOTAL MUTUAL FUNDS (Cost $8,202,480)				8,202,480


TOTAL LONG-TERM INVESTMENTS (Cost $619,168,805)				766,652,301



	Principal Amount		Value
SHORT-TERM INVESTMENTS — 1.8%
Repurchase Agreement — 1.8%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (d)	$	14,164,049	$	14,164,049


TOTAL SHORT-TERM INVESTMENTS (Cost $14,164,049)				14,164,049


TOTAL INVESTMENTS — 101.0% (Cost $633,332,854) (e)				780,816,350

Other Assets/(Liabilities) — (1.0)%				(7,593,136	)


NET ASSETS — 100.0%			$	773,223,214

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR	American Depositary Receipt

(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, 2016, was $8,027,853 or 1.04% 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 $14,164,061. Collateralized by U.S. Government Agency obligations with rates ranging from 1.500% – 3.125%, maturity dates ranging from 11/30/19 – 5/15/21, and an aggregate market value, including accrued interest, of $14,451,409.

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


	Number of Shares		Value
EQUITIES — 98.2%

COMMON STOCK — 98.2%
Basic Materials — 5.1%
Chemicals — 1.2%
Eastman Chemical Co.		300	$	20,304
Ingevity Corp. (a)		4,900		225,890
Praxair, Inc.		200		24,166

				270,360

Foods — 0.8%
BHP Billiton Ltd. Sponsored ADR (Australia)		5,000		173,250

Iron & Steel — 3.1%
ArcelorMittal (a)		46,900		283,276
Nucor Corp.		4,800		237,360
Reliance Steel & Aluminum Co.		2,100		151,263

				671,899

				1,115,509

Communications — 13.4%
Internet — 8.9%
Alphabet, Inc. Class A (a)		280		225,137
Alphabet, Inc. Class C (a)		50		38,864
Amazon.com, Inc. (a)		1,590		1,331,323
Facebook, Inc. Class A (a)		1,000		128,270
VeriSign, Inc. (a)		2,900		226,896

				1,950,490

Media — 0.9%
News Corp. Class A		2,400		33,552
Scripps Networks Interactive Class A		2,600		165,074

				198,626

Telecommunications — 3.6%
AT&T, Inc.		5,000		203,050
Cisco Systems, Inc.		6,000		190,320
Corning, Inc.		13,600		321,640
Sprint Corp. (a)		9,300		61,659

				776,669

				2,925,785

Consumer, Cyclical — 6.8%
Automotive & Parts — 2.7%
The Goodyear Tire & Rubber Co.		4,800		155,040
Lear Corp.		3,500		424,270

				579,310

Entertainment — 0.4%
Six Flags Entertainment Corp.		1,700		91,137

Home Builders — 0.7%
Thor Industries, Inc.		1,900		160,930

Home Furnishing — 0.6%
Sony Corp. Sponsored ADR (Japan)		3,600		119,556


	Number of Shares		Value
Retail — 2.4%
Darden Restaurants, Inc.		1,600	$	98,112
The Home Depot, Inc.		2,000		257,360
Target Corp.		2,500		171,700

				527,172

				1,478,105

Consumer, Non-cyclical — 17.6%
Biotechnology — 3.0%
Amgen, Inc.		1,040		173,482
Biogen, Inc. (a)		680		212,860
Gilead Sciences, Inc.		3,330		263,470

				649,812

Commercial Services — 8.8%
Global Payments, Inc.		5,400		414,504
McKesson Corp.		1,110		185,092
Quanta Services, Inc. (a)		5,400		151,146
ServiceMaster Global Holdings, Inc. (a)		2,200		74,096
Total System Services, Inc.		1,500		70,725
United Rentals, Inc. (a)		3,000		235,470
Vantiv, Inc. Class A (a)		7,100		399,517
Visa, Inc. Class A		2,600		215,020
The Western Union Co.		8,500		176,970

				1,922,540

Foods — 1.4%
Hormel Foods Corp.		3,200		121,376
Tyson Foods, Inc. Class A		2,600		194,142

				315,518

Health Care – Products — 2.6%
Johnson & Johnson		2,420		285,875
Varian Medical Systems, Inc. (a)		2,800		278,684

				564,559

Health Care – Services — 0.9%
Aetna, Inc.		1,730		199,729

Pharmaceuticals — 0.9%
AbbVie, Inc.		1,600		100,912
Merck & Co., Inc.		300		18,723
Pfizer, Inc.		800		27,096
Teva Pharmaceutical Industries Ltd. Sponsored ADR (Israel)		1,100		50,611

				197,342

				3,849,500

Energy — 9.2%
Oil & Gas — 9.2%
Apache Corp.		400		25,548
Chevron Corp.		200		20,584
Encana Corp.		48,800		510,936
Exxon Mobil Corp.		3,900		340,392


	Number of Shares		Value
Helmerich & Payne, Inc.		4,600	$	309,580
Marathon Petroleum Corp.		2,600		105,534
Murphy Oil Corp.		4,300		130,720
Southwestern Energy Co. (a)		23,700		328,008
Tesoro Corp.		2,900		230,724

				2,002,026

Financial — 15.8%
Banks — 7.9%
Bank of America Corp.		7,000		109,550
Bank of Montreal		1,900		124,583
Fifth Third Bancorp		8,400		171,864
Huntington Bancshares, Inc.		23,600		232,696
KeyCorp		13,000		158,210
PacWest Bancorp		5,400		231,714
The PNC Financial Services Group, Inc.		2,600		234,234
State Street Corp.		3,100		215,853
SunTrust Banks, Inc.		2,600		113,880
Wells Fargo & Co.		500		22,140
Zions Bancorp		4,000		124,080

				1,738,804

Diversified Financial — 4.8%
Citigroup, Inc.		8,100		382,563
The Goldman Sachs Group, Inc.		1,200		193,524
JP Morgan Chase & Co.		5,600		372,904
Legg Mason, Inc.		2,900		97,092

				1,046,083

Insurance — 3.0%
Aflac, Inc.		1,800		129,366
Berkshire Hathaway, Inc. Class B (a)		300		43,341
Lincoln National Corp.		7,300		342,954
Torchmark Corp.		700		44,723
The Travelers Cos., Inc.		770		88,204

				648,588

Real Estate Investment Trusts (REITS) — 0.1%
Simon Property Group, Inc.		100		20,701

				3,454,176

Industrial — 15.6%
Aerospace & Defense — 3.8%
The Boeing Co.		1,600		210,784
Lockheed Martin Corp.		2,560		613,683

				824,467

Building Materials — 0.7%
USG Corp. (a)		6,000		155,100

Electrical Components & Equipment — 0.2%
Energizer Holdings, Inc.		1,070		53,457

Electronics — 1.1%
Waters Corp. (a)		1,520		240,905


	Number of Shares		Value
Engineering & Construction — 1.1%
Fluor Corp.		4,600	$	236,072

Machinery – Construction & Mining — 2.2%
Caterpillar, Inc.		5,400		479,358

Machinery – Diversified — 0.5%
BWX Technologies, Inc.		2,800		107,436

Manufacturing — 3.5%
3M Co.		1,900		334,837
Carlisle Cos., Inc.		1,400		143,598
Illinois Tool Works, Inc.		2,500		299,600

				778,035

Miscellaneous – Manufacturing — 0.4%
A.O. Smith Corp.		900		88,911

Packaging & Containers — 1.3%
Packaging Corporation of America		3,400		276,284

Shipbuilding — 0.7%
Huntington Ingalls Industries, Inc.		1,000		153,420

Transportation — 0.1%
Union Pacific Corp.		200		19,506

				3,412,951

Technology — 12.6%
Computers — 3.8%
Amdocs Ltd.		700		40,495
Apple, Inc.		1,210		136,790
Cadence Design Systems, Inc. (a)		11,300		288,489
NetApp, Inc.		10,300		368,946

				834,720

Internet — 0.5%
Check Point Software Technologies Ltd. (a)		1,400		108,654

Semiconductors — 5.9%
Applied Materials, Inc.		13,600		410,040
ASML Holding NV		810		88,760
Broadcom Ltd.		500		86,260
Lam Research Corp.		2,900		274,659
NVIDIA Corp.		2,700		185,004
NXP Semiconductor NV (a)		590		60,186
Taiwan Semiconductor Manufacturing Co. Ltd. Sponsored ADR (Taiwan)		1,200		36,708
Texas Instruments, Inc.		1,900		133,342

				1,274,959

Software — 2.4%
Electronic Arts, Inc. (a)		3,800		324,520
Fidelity National Information Services, Inc.		1,000		77,030
Microsoft Corp.		900		51,840
Nuance Communications, Inc. (a)		4,500		65,250

				518,640

				2,736,973


	Number of Shares		Value
Utilities — 2.1%
Electric — 1.2%
Entergy Corp.		2,800	$	214,844
The Southern Co.		900		46,170

				261,014

Gas — 0.9%
NiSource, Inc.		8,000		192,880

				453,894


TOTAL COMMON STOCK (Cost $19,014,189)				21,428,919


TOTAL EQUITIES (Cost $19,014,189)				21,428,919


TOTAL LONG-TERM INVESTMENTS (Cost $19,014,189)				21,428,919


	Principal Amount
SHORT-TERM INVESTMENTS — 1.9%
Repurchase Agreement — 1.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b)	$	419,358		419,358


TOTAL SHORT-TERM INVESTMENTS (Cost $419,358)				419,358


TOTAL INVESTMENTS — 100.1% (Cost $19,433,547) (c)				21,848,277

Other Assets/(Liabilities) — (0.1)%				(24,044	)


NET ASSETS — 100.0%			$	21,824,233

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR	American Depositary Receipt

(a)	Non-income producing security.

(b)	Maturity value of $419,359. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $428,519.

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


	Principal Amount		Value
BONDS & NOTES — 98.0%

BANK LOANS — 4.3%
Oil & Gas — 3.3%
Caelus Energy Alaska O3 LLC, 2nd Lien Term Loan 8.750% 4/15/20	$	3,139,220	$	2,040,493
Fieldwood Energy LLC, 1st Lien Last Out Term Loan 8.375% 9/30/20		1,687,384		1,172,732
Fieldwood Energy LLC, 2nd Lien Term Loan 8.375% 9/30/20		2,013,087		781,742
Fieldwood Energy LLC, New 1st Lien Term Loan 8.000% 8/31/20		1,274,554		1,056,287

				5,051,254

Pharmaceuticals — 1.0%
Synarc-Biocore Holdings LLC, 2nd Lien Term Loan 9.250% 3/10/22		1,468,985		1,454,295


TOTAL BANK LOANS (Cost $7,380,353)				6,505,549


CORPORATE DEBT — 93.7%
Agriculture — 1.0%
Pinnacle Operating Corp. (a) 9.000% 11/15/20		2,204,000		1,531,780

Airlines — 1.0%
American Airlines Group, Inc. (a) 5.500% 10/01/19		1,391,000		1,448,378

Apparel — 1.4%
Hanesbrands, Inc. (a) 4.625% 5/15/24		266,000		272,983
Hanesbrands, Inc. (a) 4.875% 5/15/26		1,026,000		1,049,085
Perry Ellis International, Inc. 7.875% 4/01/19		730,000		738,212

				2,060,280

Auto Manufacturers — 1.9%
Allied Specialty Vehicles, Inc. (a) 8.500% 11/01/19		2,808,000		2,899,260

Automotive & Parts — 3.9%
Accuride Corp. 9.500% 8/01/18		1,545,000		1,545,000
Allison Transmission, Inc. (a) 5.000% 10/01/24		294,000		301,350
Deck Chassis Acquisition, Inc. (a) 10.000% 6/15/23		1,863,000		1,956,150


	Principal Amount		Value
International Automotive Components Group SA (a) 9.125% 6/01/18	$	2,100,000	$	2,055,375

				5,857,875

Building Materials — 1.1%
Boise Cascade Co. (a) 5.625% 9/01/24		260,000		263,900
Griffon Corp. 5.250% 3/01/22		1,400,000		1,405,250

				1,669,150

Chemicals — 2.2%
A Schulman, Inc. (a) 6.875% 6/01/23		1,112,000		1,123,120
Platform Specialty Products Corp. (a) 6.500% 2/01/22		423,000		411,368
Platform Specialty Products Corp. (a) 10.375% 5/01/21		1,059,000		1,141,072
Versum Materials, Inc. (a) 5.500% 9/30/24		678,000		696,645

				3,372,205

Coal — 0.6%
SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. 7.375% 2/01/20		1,000,000		935,000

Commercial Services — 5.1%
AMN Healthcare, Inc. (a) (b) 5.125% 10/01/24		387,000		390,870
Mustang Merger Corp. (a) 8.500% 8/15/21		4,355,000		4,632,631
Prime Security Services Borrower LLC/Prime Finance, Inc. (a) 9.250% 5/15/23		1,121,000		1,221,890
StoneMor Partners LP/Cornerstone Family Services of West Virginia Subsidiary 7.875% 6/01/21		1,385,000		1,398,850

				7,644,241

Computers — 1.3%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 7.125% 6/15/24		569,000		625,814
Western Digital Corp. (a) 10.500% 4/01/24		1,112,000		1,289,920

				1,915,734

Diversified Financial — 3.1%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.625% 7/01/22		569,000		598,161


	Principal Amount		Value
Aircastle Ltd. 5.000% 4/01/23	$	113,000	$	118,368
Aircastle Ltd. 5.500% 2/15/22		113,000		121,758
Ally Financial, Inc. 8.000% 11/01/31		1,230,000		1,515,975
Double Eagle Acquisition Sub, Inc. (a) (b) 7.500% 10/01/24		267,000		271,672
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 5.875% 2/01/22		1,500,000		1,440,000
National Financial Partners Corp. (a) 9.000% 7/15/21		657,000		674,985

				4,740,919

Electric — 0.5%
NRG Energy, Inc. (a) 6.625% 1/15/27		702,000		687,960

Engineering & Construction — 0.7%
Zachry Holdings, Inc. (a) 7.500% 2/01/20		1,090,000		1,084,550

Entertainment — 0.7%
WMG Acquisition Corp. (a) 5.000% 8/01/23		262,000		265,930
WMG Acquisition Corp. (a) 6.750% 4/15/22		700,000		740,250

				1,006,180

Foods — 0.9%
Post Holdings, Inc. (a) 7.750% 3/15/24		741,000		829,920
Post Holdings, Inc. (a) 8.000% 7/15/25		485,000		555,022

				1,384,942

Forest Products & Paper — 0.9%
Appvion, Inc. (a) 9.000% 6/01/20		2,157,000		1,391,265

Gas — 0.4%
LBC Tank Terminals Holding Netherlands BV (a) 6.875% 5/15/23		646,000		642,770

Hand & Machine Tools — 0.4%
Apex Tool Group LLC (a) 7.000% 2/01/21		562,000		537,413

Health Care – Products — 3.6%
Alere, Inc. (a) 6.375% 7/01/23		1,157,000		1,180,140
Alere, Inc. 6.500% 6/15/20		1,485,000		1,485,000
Halyard Health, Inc. 6.250% 10/15/22		1,300,000		1,329,250


	Principal Amount		Value
Kinetic Concepts, Inc./KCI USA, Inc. (a) 9.625% 10/01/21	$	1,500,000	$	1,500,000

				5,494,390

Health Care – Services — 2.0%
HCA, Inc. 5.375% 2/01/25		645,000		665,963
HCA, Inc. 5.875% 2/15/26		1,138,000		1,213,392
RegionalCare Hospital Partners Holdings, Inc. (a) 8.250% 5/01/23		176,000		181,720
Tenet Healthcare Corp. 8.125% 4/01/22		1,040,000		1,040,000

				3,101,075

Holding Company – Diversified — 0.7%
Carlson Travel Holdings, Inc. (a) 7.500% 8/15/19		1,025,000		1,014,750

Home Builders — 2.5%
Brookfield Residential Properties, Inc. (a) 6.375% 5/15/25		491,000		490,386
Lennar Corp. 4.750% 5/30/25		1,101,000		1,117,515
William Lyon Homes, Inc. 7.000% 8/15/22		684,000		704,520
William Lyon Homes, Inc. 8.500% 11/15/20		1,351,000		1,411,795

				3,724,216

Insurance — 0.7%
CNO Financial Group, Inc. 4.500% 5/30/20		187,000		191,441
Onex York Acquisition Corp. (a) 8.500% 10/01/22		1,212,000		942,330

				1,133,771

Iron & Steel — 0.7%
BlueScope Steel Finance Ltd./BlueScope Steel Finance USA LLC (a) 6.500% 5/15/21		971,000		1,026,833

Leisure Time — 3.3%
Brunswick Corp. (a) 4.625% 5/15/21		495,000		508,613
Brunswick Corp. 7.375% 9/01/23		285,000		323,475
Brunswick Corp. 7.125% 8/01/27		2,245,000		2,643,487
Carlson Wagonlit BV (a) 6.875% 6/15/19		1,409,000		1,458,315

				4,933,890

Lodging — 0.7%
Interval Acquisition Corp. 5.625% 4/15/23		1,063,000		1,097,548


	Principal Amount		Value
Machinery – Diversified — 0.4%
Manitowoc Foodservice, Inc. 9.500% 2/15/24	$	508,000	$	581,660

Manufacturing — 4.1%
Amsted Industries, Inc. (a) 5.375% 9/15/24		850,000		845,750
CTP Transportation Products LLC/CTP Finance, Inc. (a) 8.250% 12/15/19		825,000		645,563
EnPro Industries, Inc. 5.875% 9/15/22		1,271,000		1,309,130
JB Poindexter & Co., Inc. (a) 9.000% 4/01/22		2,990,000		3,165,662
LSB Industries, Inc. STEP 8.500% 8/01/19		289,000		290,445

				6,256,550

Media — 8.4%
Altice Financing SA (a) 7.500% 5/15/26		741,000		771,566
CCO Holdings LLC/CCO Holdings Capital Corp (a) 5.875% 4/01/24		1,500,000		1,600,350
CCO Holdings LLC/CCO Holdings Capital Corp. 5.750% 1/15/24		838,000		890,375
DISH DBS Corp. (a) 7.750% 7/01/26		987,000		1,048,688
Entercom Radio LLC 10.500% 12/01/19		1,000,000		1,041,250
MHGE Parent LLC/MHGE Parent Finance, Inc. (a) 8.500% 8/01/19		1,500,000		1,515,000
Midcontinent Communications & Midcontinent Finance Corp. (a) 6.875% 8/15/23		864,000		920,160
RCN Telecom Services LLC/RCN Capital Corp. (a) 8.500% 8/15/20		1,584,000		1,688,940
SFR Group SA (a) 6.000% 5/15/22		475,000		484,500
SFR Group SA (a) 6.250% 5/15/24		260,000		258,298
SFR Group SA (a) 7.375% 5/01/26		895,000		914,860
Sirius XM Radio, Inc. (a) 5.375% 4/15/25		1,457,000		1,504,352

				12,638,339

Metal Fabricate & Hardware — 0.1%
Novelis Corp. (a) 6.250% 8/15/24		178,000		188,903


	Principal Amount		Value
Mining — 2.6%
Alcoa Nederland Holding BV (a) 6.750% 9/30/24	$	357,000	$	370,834
Alcoa Nederland Holding BV (a) 7.000% 9/30/26		261,000		269,809
Freeport-McMoRan, Inc. 3.550% 3/01/22		1,478,000		1,344,980
Hecla Mining Co. 6.875% 5/01/21		1,271,000		1,275,766
Teck Resources Ltd. (a) 8.000% 6/01/21		274,000		297,975
Teck Resources Ltd. (a) 8.500% 6/01/24		342,000		391,590

				3,950,954

Oil & Gas — 8.2%
Calumet Specialty Products Partners LP/Calumet Finance Corp. 7.750% 4/15/23		1,500,000		1,200,000
Citgo Holding, Inc. (a) 10.750% 2/15/20		1,327,000		1,330,317
Continental Resources, Inc. 5.000% 9/15/22		601,000		599,497
EP Energy LLC/Everest Acquisition Finance, Inc. 9.375% 5/01/20		1,129,000		798,767
Hilcorp Energy I LP/Hilcorp Finance Co. (a) 5.000% 12/01/24		750,000		718,125
Jupiter Resources, Inc. (a) 8.500% 10/01/22		2,310,000		1,940,400
Kosmos Energy Ltd. (a) 7.875% 8/01/21		1,823,000		1,768,310
Newfield Exploration Co. 5.375% 1/01/26		473,000		474,183
PBF Holding Co. LLC/PBF Finance Corp. (a) 7.000% 11/15/23		47,000		44,298
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 5.500% 8/15/22		641,000		610,552
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 7.500% 7/01/21		640,000		662,400
Sunoco LP/Sunoco Finance Corp. (a) 5.500% 8/01/20		454,000		461,378
Sunoco LP/Sunoco Finance Corp. (a) 6.250% 4/15/21		853,000		878,590
Tullow Oil PLC (a) 6.250% 4/15/22		1,045,000		935,275

				12,422,092


	Principal Amount		Value
Packaging & Containers — 1.5%
Coveris Holdings SA (a) 7.875% 11/01/19	$	2,217,000	$	2,266,882

Pharmaceuticals — 2.0%
Capsugel SA (a) 7.000% 5/15/19		317,000		317,793
Valeant Pharmaceuticals International, Inc. (a) 6.125% 4/15/25		3,070,000		2,644,037

				2,961,830

Pipelines — 2.5%
Energy Transfer Equity LP 5.500% 6/01/27		700,000		696,500
Energy Transfer Equity LP 5.875% 1/15/24		939,000		974,213
Genesis Energy LP/Genesis Energy Finance Corp. 6.000% 5/15/23		1,171,000		1,162,217
Genesis Energy LP/Genesis Energy Finance Corp. 6.750% 8/01/22		270,000		278,203
Sabine Pass Liquefaction LLC (a) 5.000% 3/15/27		189,000		193,725
Sabine Pass Liquefaction LLC (a) 5.875% 6/30/26		462,000		502,136

				3,806,994

Real Estate Investment Trusts (REITS) — 1.0%
Corrections Corp. of America 5.000% 10/15/22		803,000		726,715
RHP Hotel Properties LP/RHP Finance Corp. 5.000% 4/15/23		789,000		800,835

				1,527,550

Retail — 3.3%
Brinker International, Inc. (a) 5.000% 10/01/24		363,000		368,032
Carrols Restaurant Group, Inc. 8.000% 5/01/22		749,000		809,856
Dollar Tree, Inc. 5.750% 3/01/23		2,375,000		2,556,094
Ferrellgas Partners LP/Ferrellgas Partners Finance Corp. 8.625% 6/15/20		742,000		729,015
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (a) 5.000% 6/01/24		194,000		202,730
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC (a) 5.250% 6/01/26		328,000		346,860

				5,012,587


	Principal Amount		Value
Savings & Loans — 1.3%
Consolidated Energy Finance SA (a) 6.750% 10/15/19	$	1,935,000	$	1,910,812

Semiconductors — 0.9%
NXP BV/NXP Funding LLC (a) 4.125% 6/01/21		528,000		565,620
NXP BV/NXP Funding LLC (a) 4.625% 6/01/23		746,000		815,938

				1,381,558

Software — 1.3%
Infor Software Parent LLC/Infor Software Parent, Inc. (a) 7.125% 5/01/21		1,767,000		1,713,990
JDA Escrow LLC/JDA Bond Finance, Inc. (a) (b) 7.375% 10/15/24		191,000		196,252

				1,910,242

Telecommunications — 9.8%
Altice Financing SA (a) 6.500% 1/15/22		875,000		923,125
Altice Finco SA (a) 8.125% 1/15/24		615,000		636,525
Altice SA (a) 7.750% 5/15/22		1,210,000		1,291,675
CPI International, Inc. STEP 8.750% 2/15/18		1,979,000		2,023,527
Digicel Ltd. (a) 6.000% 4/15/21		1,025,000		905,485
GCI, Inc. 6.875% 4/15/25		1,550,000		1,588,750
Hughes Satellite Systems Corp. (a) 5.250% 8/01/26		805,000		794,938
Hughes Satellite Systems Corp. (a) 6.625% 8/01/26		478,000		461,270
Level 3 Financing, Inc. (a) 5.250% 3/15/26		1,137,000		1,173,952
Sprint Corp. 7.250% 9/15/21		745,000		747,794
Sprint Corp. 7.875% 9/15/23		1,790,000		1,801,187
T-Mobile USA, Inc. 6.000% 4/15/24		453,000		484,710
T-Mobile USA, Inc. 6.500% 1/15/26		679,000		751,144
West Corp. (a) 5.375% 7/15/22		1,270,000		1,244,600

				14,828,682

Transportation — 5.0%
Hornbeck Offshore Services, Inc. 5.000% 3/01/21		1,250,000		731,250


	Principal Amount		Value
OPE KAG Finance Sub, Inc. (a) 7.875% 7/31/23	$	3,200,000	$	3,032,000
Topaz Marine SA (a) 8.625% 11/01/18		1,509,000		1,459,595
Watco Cos. LLC/Watco Finance Corp. (a) 6.375% 4/01/23		1,531,000		1,546,310
XPO Logistics, Inc. (a) 6.500% 6/15/22		750,000		781,875

				7,551,030


TOTAL CORPORATE DEBT (Cost $139,188,671)				141,533,040


TOTAL BONDS & NOTES (Cost $146,569,024)				148,038,589


TOTAL LONG-TERM INVESTMENTS (Cost $146,569,024)				148,038,589


SHORT-TERM INVESTMENTS — 2.4%
Commercial Paper — 1.0%
HP, Inc. (a) 0.820% 10/11/16		1,500,000		1,499,826

Time Deposit — 1.4%
Euro Time Deposit 0.010% 10/03/16		2,088,802		2,088,802


TOTAL SHORT-TERM INVESTMENTS (Cost $3,588,460)				3,588,628


TOTAL INVESTMENTS — 100.4% (Cost $150,157,484) (c)				151,627,217

Other Assets/(Liabilities) — (0.4)%				(553,856	)


NET ASSETS — 100.0%			$	151,073,361

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

STEP	Step Up Bond

(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, 2016, these securities amounted to a value of $92,051,891 or 60.93% of net assets.

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

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


	Principal Amount		Value
BONDS & NOTES — 141.9%

CORPORATE DEBT — 3.5%
Auto Manufacturers — 0.7%
General Motors Financial Co., Inc. 3 mo. USD LIBOR + 2.060%, FRN 2.740% 1/15/19	$	1,720,000	$	1,742,516
Nissan Motor Acceptance Corp. 3 mo. USD LIBOR + .550%, FRN (a) 1.385% 3/03/17		1,400,000		1,402,668

				3,145,184

Banks — 0.2%
The Huntington National Bank 3 mo. USD LIBOR + .425%, FRN 1.140% 4/24/17		935,000		934,436

Computers — 0.7%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 3.480% 6/01/19		1,100,000		1,131,317
Hewlett-Packard Co. 3 mo. USD LIBOR + 1.930%, FRN (a) 2.583% 10/05/18		1,700,000		1,728,587

				2,859,904

Diversified Financial — 1.2%
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .625%, FRN 1.460% 6/04/17		1,875,000		1,877,738
The Goldman Sachs Group, Inc. 3 mo. USD LIBOR + .800%, FRN 1.650% 12/15/17		1,750,000		1,755,348
Ally Financial, Inc. 3.600% 5/21/18		1,705,000		1,730,575

				5,363,661

Holding Company – Diversified — 0.3%
MUFG Americas Holdings Corp. 3 mo. USD LIBOR + .570%, FRN 1.362% 2/09/18		1,130,000		1,126,125

Pharmaceuticals — 0.4%
Actavis Funding SCS 3 mo. USD LIBOR + 1.080%, FRN 1.925% 3/12/18		1,750,000		1,763,809


TOTAL CORPORATE DEBT (Cost $15,055,125)				15,193,119


MUNICIPAL OBLIGATIONS — 0.1%
Access to Loans for Learning Student Loan Corp., Series 2004-IV, Class Note FRN 0.915% 4/25/24		180,320		180,281


	Principal Amount		Value
Louisiana State Public Facilities Authority, Series 2011-A, Class A2 FRN 1.538% 4/26/27	$	226,283	$	224,907

				405,188


TOTAL MUNICIPAL OBLIGATIONS (Cost $403,448)				405,188


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 48.4%
Auto Floor Plan ABS — 1.1%
Ally Master Owner Trust, Series 2015-2, Class A1, 1 mo. LIBOR + .570%, FRN 1.094% 1/15/21		1,200,000		1,200,274
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) 1.000% 9/27/21		780,000		784,908
Navistar Financial Dealer Note Master Trust, Series 2014-1, Class A, 1 mo. LIBOR + .750%, FRN (a) 1.274% 10/25/19		2,700,000		2,700,674
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) 2.032% 10/20/20		330,000		330,000

				5,015,856

Automobile ABS — 15.2%
American Credit Acceptance Receivables Trust, Series 2015-2, Class A (a) 1.570% 6/12/19		297,459		296,897
American Credit Acceptance Receivables Trust, Series 2016-3, Class A (a) 1.700% 11/12/20		725,849		725,225
American Credit Acceptance Receivables Trust, Series 2015-3, Class A (a) 1.950% 9/12/19		1,027,634		1,030,029
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) 2.220% 7/13/20		386,992		387,522
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		300,585		300,675
ARI Fleet Lease Trust, Series 2016-A, Class A1 (a) 0.800% 3/15/17		786,451		786,161
Bank of The West Auto Trust, Series 2014-1, Class A4 (a) 1.650% 3/16/20		600,000		603,552

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


	Principal Amount		Value
California Republic Auto Receivables Trust, Series 2013-2, Class A2 1.230% 3/15/19	$	145,114	$	145,075
California Republic Auto Receivables Trust, Series 2013-1, Class A2 (a) 1.410% 9/17/18		253,043		254,629
California Republic Auto Receivables Trust, Series 2015-4, Class A2 (a) 1.600% 9/17/18		1,526,257		1,529,287
CFC LLC, Series 2014-2A, Class A (a) 1.440% 11/16/20		142,673		142,079
CFC LLC, Series 2014-1A, Class A (a) 1.460% 12/17/18		19,571		19,557
CFC LLC, Series 2015-1A, Class A (a) 1.750% 6/15/21		359,179		357,647
Chesapeake Funding II LLC, Series 2016-2A, Class A2, 1 mo. USD LIBOR + 1.000%, FRN (a) 1.448% 6/15/28		1,960,000		1,969,946
Chesapeake Funding LLC, Series 2015-1A, Class B, 1 mo. LIBOR + .950%, FRN (a) 1.469% 2/07/27		350,000		349,793
CPS Auto Trust, Series 2014-B, Class A (a) 1.110% 11/15/18		162,635		162,078
CPS Auto Trust, Series 2014-A, Class A (a) 1.210% 8/15/18		41,734		41,664
CPS Auto Trust, Series 2014-C, Class A (a) 1.310% 2/15/19		214,097		213,824
CPS Auto Trust, Series 2013-A, Class A (a) 1.310% 6/15/20		257,882		256,625
CPS Auto Trust, Series 2012-D, Class A (a) 1.480% 3/16/20		107,527		107,025
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		889,021		888,453
CPS Auto Trust, Series 2015-A, Class A (a) 1.530% 7/15/19		268,034		267,610
CPS Auto Trust, Series 2013-D, Class A (a) 1.540% 7/16/18		63,853		63,817
CPS Auto Trust, Series 2016-C, Class A (a) 1.620% 1/15/20		366,143		365,685
CPS Auto Trust, Series 2013-C, Class A (a) 1.640% 4/16/18		12,640		12,643


	Principal Amount		Value
CPS Auto Trust, Series 2015-B, Class A (a) 1.650% 11/15/19	$	566,304	$	565,116
CPS Auto Trust, Series 2015-C, Class A (a) 1.770% 6/17/19		404,845		405,852
CPS Auto Trust, Series 2013-B, Class A (a) 1.820% 9/15/20		288,376		286,710
CPS Auto Trust, Series 2016-B, Class A (a) 2.070% 11/15/19		244,732		244,795
CPS Auto Trust, Series 2016-A, Class A (a) 2.250% 10/15/19		507,991		509,079
CPS Auto Trust, Series 2012-C, Class A (a) 2.260% 12/16/19		115,127		114,896
CPS Auto Trust, Series 2015-C, Class B (a) 2.550% 2/18/20		630,000		633,092
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) 1.880% 3/15/22		840,000		840,225
Drive Auto Receivables Trust, Series 2016-BA, Class A2 (a) 1.380% 8/15/18		2,176,655		2,175,983
Drive Auto Receivables Trust, Series 2016-BA, Class A3 (a) 1.670% 7/15/19		800,000		799,425
Drive Auto Receivables Trust, Series 2016-AA, Class A3 (a) 2.110% 5/15/19		2,900,000		2,903,883
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		360,000		362,893
DT Auto Owner Trust, Series 2015-2A, Class A (a) 1.240% 9/17/18		521,864		521,882
DT Auto Owner Trust, Series 2015-3A, Class A (a) 1.660% 3/15/19		219,898		220,023
DT Auto Owner Trust, Series 2016-2A, Class A (a) 1.730% 8/15/19		822,304		821,235
DT Auto Owner Trust, Series 2016-3A, Class A (a) 1.750% 11/15/19		516,811		517,329
DT Auto Owner Trust, Series 2016-1A, Class A (a) 2.000% 9/16/19		1,481,138		1,480,871
DT Auto Owner Trust, Series 2016-1A, Class B (a) 2.790% 5/15/20		2,150,000		2,170,004

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


	Principal Amount		Value
Enterprise Fleet Financing LLC, Series 2016-1, Class A1 (a) 0.800% 2/20/17	$	637,207	$	636,780
Enterprise Fleet Financing LLC, Series 2016-2, Class A1 (a) 0.850% 7/20/17		3,938,667		3,928,593
Enterprise Fleet Financing LLC, Series 2014-1, Class A2 (a) 0.870% 9/20/19		118,315		118,194
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) 1.830% 9/20/21		1,020,000		1,019,888
Exeter Automobile Receivables Trust, Series 2014-3A, Class A (a) 1.320% 1/15/19		46,985		46,917
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) 1.540% 11/15/19		225,210		224,427
Exeter Automobile Receivables Trust, Series 2015-1A, Class A (a) 1.600% 6/17/19		176,660		176,761
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) 2.000% 3/16/20		743,819		741,806
Exeter Automobile Receivables Trust, Series 2013-2A, Class B (a) 3.090% 7/16/18		34,487		34,509
First Investors Auto Owner Trust, Series 2015-1A, Class A2 (a) 1.210% 4/15/19		251,185		251,120
First Investors Auto Owner Trust, Series 2013-2A, Class A2 (a) 1.230% 3/15/19		12,293		12,292
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) 1.590% 12/16/19		818,117		818,355
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) 1.920% 5/15/20		1,103,063		1,104,857
Flagship Credit Auto Trust, Series 2014-1, Class A (a) 1.210% 4/15/19		90,490		90,325
Flagship Credit Auto Trust, Series 2014-2, Class A (a) 1.430% 12/16/19		161,136		160,685
Flagship Credit Auto Trust, Series 2016-3, Class A1 (a) 1.610% 12/15/19		1,336,138		1,335,065
Flagship Credit Auto Trust, Series 2015-1, Class A (a) 1.630% 6/15/20		411,127		409,103
Flagship Credit Auto Trust, Series 2013-2, Class A (a) 1.940% 1/15/19		57,939		57,998


	Principal Amount		Value
Flagship Credit Auto Trust, Series 2015-2, Class A (a) 1.980% 10/15/20	$	896,371	$	893,323
Flagship Credit Auto Trust, Series 2015-3, Class A (a) 2.380% 10/15/20		1,340,743		1,346,295
Flagship Credit Auto Trust, Series 2016-1, Class A (a) 2.770% 12/15/20		834,970		840,649
Flagship Credit Auto Trust, Series 2013-2, Class B (a) 3.210% 8/15/19		690,000		694,686
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) 2.250% 12/15/20		598,325		597,516
GO Financial Auto Securitization Trust, Series 2015-1, Class A (a) 1.810% 3/15/18		102,967		102,921
Hertz Fleet Lease Funding LP, Series 2016-1, Class A1, 1 mo. USD LIBOR + 1.100%, FRN (a) 1.618% 4/10/30		1,470,000		1,473,438
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) 2.224% 4/15/21		960,000		961,863
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		750,000		741,105
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.224% 7/15/20		598,709		598,543
Oscar US Funding Trust V, Series 2016-2A, Class A1 (a) 0.900% 9/17/17		1,700,000		1,700,000
Prestige Auto Receivables Trust, Series 2015-1, Class B (a) 2.040% 4/15/21		700,000		700,402
Santander Drive Auto Receivables Trust, Series 2016-2, Class A1 0.750% 5/15/17		520,018		520,041
Santander Drive Auto Receivables Trust, Series 2015-4, Class A2B, 1 mo. USD LIBOR + ..700%, FRN 1.224% 12/17/18		563,514		563,453
Santander Drive Auto Receivables Trust, Series 2016-1, Class A2B, 1 mo. USD LIBOR + .780%, FRN 1.304% 7/15/19		2,178,460		2,179,269
Santander Drive Auto Receivables Trust, Series 2015-S2, Class R1 (a) 1.840% 11/18/19		11,406		11,396

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


	Principal Amount		Value
Santander Drive Auto Receivables Trust, Series 2014-2, Class C 2.330% 11/15/19	$	3,100,000	$	3,118,042
Santander Drive Auto Receivables Trust, Series 2014-1, Class C 2.360% 4/15/20		650,000		654,521
Santander Drive Auto Receivables Trust, Series 2015-2, Class C 2.440% 4/15/21		1,200,000		1,212,010
Tidewater Auto Receivables Trust, Series 2016-AA, Class A2 (a) 2.300% 9/15/19		1,233,743		1,234,354
United Auto Credit Securitization Trust, Series 2016-1, Class A (a) 2.000% 10/15/17		213,634		213,584
Westlake Automobile Receivables Trust, Series 2016-2A, Class A1 (a) 0.850% 6/15/17		1,215,196		1,214,998
Westlake Automobile Receivables Trust, Series 2015-1A, Class A2 (a) 1.170% 3/15/18		91,890		91,875
Westlake Automobile Receivables Trust, Series 2015-2A, Class A2A (a) 1.280% 7/16/18		253,788		253,474
Westlake Automobile Receivables Trust, Series 2016-2A, Class A2 (a) 1.570% 6/17/19		790,000		789,162
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) 1.574% 1/15/19		3,173,996		3,178,181
Wheels SPV 2 LLC, Series 2016-1A, Class A1 (a) 0.010% 8/20/17		2,266,915		2,266,740

				66,170,307

Commercial MBS — 0.7%
Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4, VRN 5.723% 6/10/49		464,455		469,946
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, 1 mo. LIBOR + .800%, FRN (a) 1.325% 3/15/29		1,185,000		1,175,350
DBRR Trust, Series 2013-EZ3, Class A, VRN (a) 1.636% 12/18/49		35,365		35,353
DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 (a) 3.742% 11/10/46		10,086		10,165


	Principal Amount		Value
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.951% 7/10/38	$	437,147	$	437,765
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP7, Class AM, VRN 5.904% 4/17/45		77,691		77,691
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN 5.508% 2/12/44		470,000		462,207
STRIPs Ltd., Series 2012-1A, Class A (a) 1.500% 12/25/44		191,133		191,133

				2,859,610

Credit Card ABS — 2.5%
Chase Issuance Trust, Series 2014-A1, Class A1 1.150% 1/15/19		10,700,000		10,704,620

Home Equity ABS — 0.2%
ACE Securities Corp., Series 2005-AG1, Class A1B1, 1 mo. USD LIBOR + .270%, FRN 0.795% 8/25/35		83,044		82,979
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN 1.260% 8/25/35		246,666		246,017
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 0.985% 9/25/34		83,564		82,617
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.155% 5/25/36		126,945		126,443
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1, 1 mo. USD LIBOR + ..645%, FRN 1.170% 5/25/35		16,957		16,952
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.350% 6/25/35		333,419		330,512
Park Place Securities, Inc., Series 2005-WCW3, Class A2C, 1 mo. USD LIBOR + .380%, FRN 0.905% 8/25/35		6,276		6,273

				891,793

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


	Principal Amount		Value
Other ABS — 15.8%
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.724% 3/15/41	$	963,239	$	936,321
321 Henderson Receivables I LLC, Series 2006-2A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.724% 6/15/41		2,444,669		2,380,946
321 Henderson Receivables I LLC, Series 2006-4A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.724% 12/15/41		578,488		560,453
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.724% 3/15/42		888,960		847,987
321 Henderson Receivables II LLC, Series 2006-3A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.642% 9/15/41		276,005		261,559
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) 1.639% 2/15/21		1,506,907		1,469,234
Apidos CLO XXII, Series 2015-22A, Class X, 3 mo. USD LIBOR + 1.000%, FRN (a) 1.696% 10/20/27		500,000		499,891
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.274% 12/15/42		1,234,074		1,197,532
Ascentium Equipment Receivables LLC, Series 2015-2A, Class A2 (a) 1.570% 12/11/17		1,477,127		1,477,931
AVANT Loans Funding Trust, Series 2016-C, Class A (a) 2.960% 9/16/19		401,608		401,537
AVANT Loans Funding Trust, Series 2016-A, Class A (a) 4.110% 5/15/19		811,893		815,330
BCC Funding VIII LLC, Series 2014-1A, Class A (a) 1.794% 6/20/20		52,950		52,752
BCC Funding X LLC, Series 2015-1, Class A2 (a) 2.224% 10/20/20		755,940		753,574
BCC Funding XIII LLC, Series 2016-1, Class A1 (a) 1.100% 9/20/17		4,900,000		4,900,046
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		1,493,320		1,509,134


	Principal Amount		Value
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) 2.000% 12/10/23	$	1,423,208	$	1,413,200
Citi Held For Asset Issuance, Series 2015-PM1, Class A (a) 1.850% 12/15/21		56,522		56,418
Citi Held For Asset Issuance, Series 2015-PM2, Class A (a) 2.350% 3/15/22		279,834		279,640
Citi Held For Asset Issuance, Series 2015-PM3, Class A (a) 2.560% 5/16/22		133,870		133,750
Citigroup Mortgage Loan Trust, Series 2005-OPT3, Class M2, 1 mo. USD LIBOR + .675%, FRN 1.200% 5/25/35		931,631		927,955
Consumer Credit Origination Loan Trust, Series 2015-1, Class A (a) 2.820% 3/15/21		42,458		42,720
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) 3.960% 7/15/22		461,606		463,836
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		965,300		973,778
Dell Equipment Finance Trust, Series 2015-2, Class A2B, 1 mo. USD LIBOR + .900%, FRN (a) 1.443% 12/22/17		1,400,009		1,401,156
Diamond Resorts Owner Trust, Series 2013-1, Class A (a) 1.950% 1/20/25		567,445		565,100
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) 2.270% 5/20/26		964,145		958,541
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		166,319		167,292
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) 3.540% 5/22/28		334,187		339,662
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) 5.216% 1/25/42		1,031,470		1,059,217
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39		433,333		424,874
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) 3.530% 7/15/23		528,714		532,692
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B (a) 3.020% 2/25/27		387,277		386,415

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


	Principal Amount		Value
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46	$	501,188	$	504,885
FNA Trust, Series 2014-1A, Class A (a) 1.296% 12/10/22		420,436		416,232
FNA Trust, Series 2015-1, Class A (a) 3.240% 12/10/23		691,744		689,898
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		194,664		191,767
GoldenTree Loan Opportunities IV Ltd., Series 2007-4A, Class A1B, 3 mo. USD LIBOR + ..230%, FRN (a) 1.031% 8/18/22		934,947		932,969
Green Tree Agency Advance Funding Trust I, Series 2015-T1, Class AT1 (a) 2.302% 10/15/46		920,000		919,834
Green Tree Agency Advance Funding Trust I, Series 2015-T2, Class AT2 (a) 3.095% 10/15/48		840,000		840,263
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) 1.770% 11/25/26		239,814		237,324
Icon Brand Holdings LLC, Series 2012-1A, Class A (Acquired 7/22/14, Cost $328,557) (a) (b) 4.229% 1/25/43		275,004		250,504
ING Investment Management CLO V Ltd., Series 2007-5A, Class A1A, 3 mo. USD LIBOR + .230%, FRN (a) 0.987% 5/01/22		185,426		185,035
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 1.830% 7/15/25		1,500,000		1,498,244
Leaf Receivables Funding LLC, Series 2016-1, Class A1 (a) 1.000% 6/15/17		2,492,086		2,492,098
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		977,788		978,108
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		796,826		798,864
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN 1.470% 4/25/35		407,325		406,609
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		100,918		100,862
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) 3.610% 2/20/21		761,787		762,865


	Principal Amount		Value
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) 2.120% 11/15/18	$	679,875	$	680,729
New Residential Advance Receivables Trust, Series 2016-T1, Class AT1 (a) 2.751% 6/15/49		500,000		499,999
NYCTL Trust, Series 2016-A, Class A (a) 1.470% 11/10/29		5,600,000		5,600,000
OneMain Financial Issuance Trust, Series 2014-1A, Class A (a) 2.430% 6/18/24		191,608		192,034
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22		240,000		237,408
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		500,000		502,512
PFS Financing Corp., Series 2014-AA, Class A, 1 mo. LIBOR + .600%, FRN (a) 1.124% 2/15/19		1,900,000		1,898,488
PFS Financing Corp., Series 2014-BA, Class A, 1 mo. LIBOR + .600%, FRN (a) 1.124% 10/15/19		1,100,000		1,095,698
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) 0.774% 2/25/37		239,168		236,922
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A (a) 2.050% 6/20/31		512,671		513,650
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A (a) 2.280% 11/20/25		433,581		434,692
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) 2.300% 10/20/31		525,496		525,705
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) 2.840% 11/20/28		453,224		454,226
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		114,978		115,073
Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A (a) 1.590% 11/20/29		140,134		139,884
Sierra Timeshare Receivables Funding LLC, Series 2015-2A, Class B (a) 3.020% 6/20/32		220,214		220,076
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		1,520,000		1,527,361

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


	Principal Amount		Value
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25	$	1,431,730	$	1,438,513
SpringCastle America Funding LLC, Series 2014-AA, Class A (a) 2.700% 5/25/23		1,217,482		1,217,862
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		1,600,000		1,599,939
SPS Servicer Advance Receivables Trust, Series 2015-T2, Class AT2 (a) 2.620% 1/15/47		2,550,000		2,551,100
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (a) 2.920% 7/15/47		420,000		420,965
Structured Asset Securities Corp., Series 2007-BC4, Class A3, 1 mo. USD LIBOR + .250%, FRN 0.775% 11/25/37		20,329		20,320
SVO VOI Mortgage LLC, Series 2012-AA, Class A (a) 2.000% 9/20/29		880,650		878,847
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		850,000		863,755
TAL Advantage LLC, Series 2014-2A, Class A1 (a) 1.700% 5/20/39		513,228		506,326
Trade MAPS 1 Ltd., Series 2013-1A, Class A, 1 mo. LIBOR + .700%, FRN (a) 1.218% 12/10/18		1,870,000		1,866,947
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 1 mo. LIBOR + 2.500%, FRN (a) 3.024% 7/15/41		434,211		428,692
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) 4.370% 7/15/41		413,534		417,325
Westgate Resorts LLC, Series 2014-1A, Class A (a) 2.150% 12/20/26		371,522		366,782
Westgate Resorts LLC, Series 2015-1A, Class A (a) 2.750% 5/20/27		488,533		490,019
Westgate Resorts LLC, Series 2015-2A, Class A (a) 3.200% 7/20/28		785,907		786,881

				69,125,564


	Principal Amount		Value
Student Loans ABS — 12.0%
Academic Loan Funding Trust, Series 2013-1A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 1.325% 12/26/44	$	2,784,830	$	2,740,154
Access Group, Inc., Series 2006-1, Class A2, 3 mo. USD LIBOR + .110%, FRN 0.935% 8/25/23		314,566		313,436
Access Group, Inc., Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN 0.975% 4/25/29		157,074		156,468
Access Group, Inc., Series 2005-2, Class A3, 3 mo. USD LIBOR + .180%, FRN 0.991% 11/22/24		321,984		319,345
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.515% 7/01/38		211,578		192,276
Brazos Higher Education Authority, Inc., Series 2006-2, Class A10 FRN, 3 mo. USD LIBOR + ..120%, FRN 0.977% 6/25/26		450,000		423,787
CIT Education Loan Trust, Series 2005-1, Class A3, 3 mo. USD LIBOR + .120%, FRN 0.970% 3/15/26		1,227,197		1,209,366
College Loan Corp. Trust I, Series 2005-1, Class A4, 3 mo. LIBOR + .150%, FRN 0.865% 4/25/27		3,075,000		3,066,291
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN 1.170% 1/15/37		720,456		619,466
Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3, 3 mo. LIBOR + ..210%, FRN 1.063% 9/28/26		201,611		201,108
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.225% 1/25/40		1,305,221		1,274,461
DRB Prime Student Loan Trust, Series 2015-A, Class A3 2.320% 4/25/30		255,041		254,836
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 2.524% 4/25/40		394,424		393,327

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


	Principal Amount		Value
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) 2.540% 4/27/26	$	402,968	$	400,334
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		907,123		905,624
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) 2.326% 10/27/36		1,685,958		1,685,962
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) 2.575% 2/26/35		1,237,010		1,237,009
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 1.864% 7/26/66		1,620,000		1,619,974
Education Funding Capital Trust I, Series 2004-1, Class A4, 28 day ARS, FRN 1.934% 6/15/43		1,300,000		1,294,197
Education Funding Capital Trust I, Series 2004-1, Class B1, 28 day ARS, FRN 1.943% 6/15/43		100,000		92,502
Education Funding Capital Trust I, Series 2004-1, Class A5, 28 day ARS, FRN 1.943% 6/15/43		800,000		781,851
Education Funding Capital Trust I, Series 2004-1, Class A6, 28 day ARS, FRN 1.943% 6/15/43		400,000		388,717
Educational Services of America, Series 2015-1, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 1.325% 10/25/56		769,598		749,881
Educational Services of America, Series 2015-2, Class B FRN, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 12/25/58		1,000,000		919,033
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L, 3 mo. LIBOR + .070%, FRN (a) 0.895% 5/25/23		38,841		38,742
Goal Capital Funding Trust, Series 2010-1, Class A, 3 mo. USD LIBOR + .700%, FRN (a) 1.525% 8/25/48		582,545		564,577
Kentucky Higher Education Student Loan Corp., Series 2015-1, Class A1, 1 mo. USD LIBOR + ..750%, FRN 1.273% 12/01/31		587,002		575,614


	Principal Amount		Value
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2, 3 mo. USD LIBOR + .300%, FRN 1.034% 10/28/41	$	461,859	$	460,100
KeyCorp Student Loan Trust, Series 2000-A, Class A2, 3 mo. USD LIBOR + .320%, FRN 1.145% 5/25/29		750,605		725,487
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.163% 9/27/35		1,445,972		1,430,243
National Collegiate Student Loan Trust, Series 2006-3, Class A3, 1 mo. USD LIBOR + .150%, FRN 0.675% 10/25/27		104,321		104,110
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 0.765% 11/27/28		266,286		263,753
Navient Private Education Loan Trust, Series 2014-AA, Class A1, 1 mo. USD LIBOR + .480%, FRN (a) 1.004% 5/16/22		47,062		47,053
Navient Private Education Loan Trust, Series 2015-AA, Class A1, 1 mo. USD LIBOR + .500%, FRN (a) 1.024% 12/15/21		432,492		432,179
Navient Private Education Loan Trust, Series 2015-BA, Class A1, 1 mo. USD LIBOR + .600%, FRN (a) 1.124% 5/15/23		119,923		119,865
Navient Private Education Loan Trust, Series 2016-3A, Class A2, 1 mo. USD LIBOR + .850%, FRN (a) 1.375% 6/25/65		750,000		750,000
Navient Private Education Loan Trust, Series 2015-AA, Class A2B, 1 mo. USD LIBOR + 1.200%, FRN (a) 1.724% 12/15/28		900,000		907,569
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 1.000% 6/25/65		3,110,668		3,110,676
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN 0.835% 4/25/31		650,000		625,157
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.107% 6/25/41		518,272		422,767

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


	Principal Amount		Value
Nelnet Student Loan Trust, Series 2010-4A, Class A, 1 mo. USD LIBOR + .800%, FRN (a) 1.325% 4/25/46	$	142,094	$	141,636
Nelnet Student Loan Trust, Series 2014-2A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 6/25/41		375,000		327,819
Pennsylvania Higher Education Assistance Agency, Series 2004-1, Class A2, 28 day ARS, FRN 0.917% 4/25/44		600,000		588,574
Pennsylvania Higher Education Assistance Agency, Series 2003-1, Class A3, 28 day ARS, FRN 2.013% 7/25/42		450,000		433,305
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 0.850% 7/15/36		3,367,142		3,355,349
SLM Private Education Loan Trust, Series 2011-A, Class A3, 1 mo. USD LIBOR + 2.500%, FRN (a) 3.024% 1/15/43		440,000		452,671
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN 0.825% 1/26/43		600,000		517,534
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 0.855% 10/25/28		700,000		661,634
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN 0.925% 10/25/40		546,753		470,240
SLM Student Loan Trust, Series 2006-2, Class B, 3 mo. USD LIBOR + .220%, FRN 0.935% 1/25/41		557,932		459,562
SLM Student Loan Trust, Series 2004-3, Class B, 3 mo. USD LIBOR + .470%, FRN 1.000% 10/25/64		428,985		376,890
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN 1.015% 7/25/25		400,000		377,828
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN 1.025% 1/25/40		567,335		484,681


	Principal Amount		Value
SLM Student Loan Trust, Series 2014-A, Class A1, 1 mo. USD LIBOR + .600%, FRN (a) 1.124% 7/15/22	$	506,514	$	506,188
SLM Student Loan Trust, Series 2003-12, Class A5, 3 mo. USD LIBOR + .280%, FRN (a) 1.130% 9/15/22		390,248		389,207
SLM Student Loan Trust, Series 2012-E, Class A1, 1 mo. USD LIBOR + .750%, FRN (a) 1.274% 10/16/23		45,975		45,970
SLM Student Loan Trust, Series 2003-11, Class B, 3 mo. USD LIBOR + .650%, FRN 1.500% 12/15/38		636,913		570,493
SLM Student Loan Trust, Series 2005-6, Class A5B, 3 mo. USD LIBOR + 1.200%, FRN 1.915% 7/27/26		572,280		575,084
SLM Student Loan Trust, Series 2012-A, Class A1, 1 mo. USD LIBOR + 1.400%, FRN (a) 1.924% 8/15/25		58,303		58,411
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 3.007% 6/17/30		550,000		550,000
SLM Student Loan Trust, Series 2003-2, Class A7, 28 day ARS, FRN 3.022% 9/15/28		750,000		750,000
SLM Student Loan Trust, Series 2003-5, Class A9, 28 day ARS, FRN 3.024% 6/17/30		700,000		700,000
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN 3.030% 3/15/28		490,000		490,000
SMB Private Education Loan Trust, Series 2014-A, Class A1, 1 mo. USD LIBOR + .500%, FRN (a) 1.024% 9/15/21		372,466		372,264
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) 1.224% 5/15/23		1,319,490		1,319,489
SoFi Professional Loan Program LLC, Series 2016-C, Class A2A (a) 1.480% 5/26/31		1,683,137		1,680,252
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) 1.680% 3/25/31		2,351,349		2,353,648

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


	Principal Amount		Value
SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 1.725% 3/25/33	$	413,005	$	404,171
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.275% 8/25/36		1,134,015		1,154,483

				52,384,680

WL Collateral CMO — 0.9%
Connecticut Avenue Securities, Series 2015-C02, Class 1M1, 1 mo. USD LIBOR + 1.150%, FRN 1.675% 5/25/25		311,324		311,717
Connecticut Avenue Securities, Series 2015-C03, Class 1M1, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 7/25/25		1,098,685		1,100,928
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-CF1, Class M1, 1 mo. USD LIBOR + ..700%, FRN (a) 1.225% 3/25/45		350,877		343,079
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN 1.875% 1/25/29		761,549		764,551
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450%, FRN 1.975% 1/25/29		861,862		867,080
Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1, 1 mo. USD LIBOR + .900%, FRN 1.425% 10/25/27		390,518		391,005

				3,778,360


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $205,818,018)				210,930,790


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 0.3%
Pass-Through Securities — 0.3%
Federal Home Loan Mortgage Corp., Pool #1Q0239, 1 year CMT + 2.254%, FRN 2.775% 3/01/37		1,085,270		1,150,501


	Principal Amount		Value
Government National Mortgage Association II, Pool #82462, 1 year CMT + 1.500%, FRN 2.000% 1/20/40	$	216,702	$	223,546

				1,374,047


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $1,336,001)				1,374,047


U.S. TREASURY OBLIGATIONS — 89.6%
U.S. Treasury Bonds & Notes — 89.6%
U.S. Treasury Inflation Index (c) 0.125% 4/15/19		19,539,817		19,872,462
U.S. Treasury Inflation Index (c) 0.125% 4/15/20		19,679,881		20,063,796
U.S. Treasury Inflation Index 0.125% 4/15/21		11,778,756		12,024,685
U.S. Treasury Inflation Index (c) 0.125% 1/15/22		16,225,805		16,560,609
U.S. Treasury Inflation Index (c) 0.125% 7/15/22		16,969,322		17,374,040
U.S. Treasury Inflation Index (c) 0.125% 1/15/23		17,151,099		17,421,606
U.S. Treasury Inflation Index (c) 0.125% 7/15/24		16,693,004		16,936,705
U.S. Treasury Inflation Index 0.125% 7/15/26		9,136,400		9,236,270
U.S. Treasury Inflation Index (c) 0.250% 1/15/25		16,876,923		17,189,686
U.S. Treasury Inflation Index (c) 0.375% 7/15/23		16,897,684		17,511,104
U.S. Treasury Inflation Index (c) 0.375% 7/15/25		15,983,573		16,506,875
U.S. Treasury Inflation Index (c) 0.625% 7/15/21		14,601,892		15,332,789
U.S. Treasury Inflation Index (c) 0.625% 1/15/24		16,858,396		17,686,447
U.S. Treasury Inflation Index (c) 0.625% 1/15/26		15,192,450		15,978,052
U.S. Treasury Inflation Index (c) 0.625% 2/15/43		6,270,033		6,286,717
U.S. Treasury Inflation Index (c) 0.750% 2/15/42		8,472,473		8,729,434
U.S. Treasury Inflation Index (c) 0.750% 2/15/45		9,555,607		9,849,317
U.S. Treasury Inflation Index 1.000% 2/15/46		2,742,336		3,031,463
U.S. Treasury Inflation Index (c) (d) 1.125% 1/15/21		14,543,983		15,478,492
U.S. Treasury Inflation Index (c) 1.250% 7/15/20		13,275,225		14,184,419

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


	Principal Amount		Value
U.S. Treasury Inflation Index (c) 1.375% 1/15/20	$	8,279,976	$	8,791,952
U.S. Treasury Inflation Index (c) 1.375% 2/15/44		8,482,884		10,062,422
U.S. Treasury Inflation Index (c) 1.750% 1/15/28		6,892,500		8,067,554
U.S. Treasury Inflation Index (c) 1.875% 7/15/19		6,897,974		7,407,831
U.S. Treasury Inflation Index (c) 2.000% 1/15/26		8,123,951		9,541,897
U.S. Treasury Inflation Index (c) 2.125% 2/15/40		3,674,385		4,888,369
U.S. Treasury Inflation Index (c) 2.125% 2/15/41		4,406,790		5,917,397
U.S. Treasury Inflation Index (c) 2.375% 1/15/25		11,088,400		13,213,437
U.S. Treasury Inflation Index (c) 2.375% 1/15/27		6,479,999		7,946,915
U.S. Treasury Inflation Index (c) 2.500% 1/15/29		6,523,696		8,281,578
U.S. Treasury Inflation Index (c) 3.375% 4/15/32		2,711,660		3,979,141
U.S. Treasury Inflation Index (c) 3.625% 4/15/28		4,463,810		6,163,455
U.S. Treasury Inflation Index (c) 3.875% 4/15/29		6,558,406		9,450,113

				390,967,029


TOTAL U.S. TREASURY OBLIGATIONS (Cost $379,751,681)				390,967,029


TOTAL BONDS & NOTES (Cost $602,364,273)				618,870,173


TOTAL LONG-TERM INVESTMENTS (Cost $602,364,273)				618,870,173


SHORT-TERM INVESTMENTS — 38.4%
Commercial Paper — 38.4%
Agrium, Inc. 1.016% 12/07/16		7,000,000		6,987,637
American Electric Power Co., Inc. (a) 0.900% 10/12/16		3,000,000		2,999,235
Amphenol Corp. (a) 0.530% 10/03/16		4,000,000		3,999,760
Anheuser-Busch InBev Worldwide, Inc. (a) 1.019% 1/13/17		7,000,000		6,985,504
Bell Canada (a) 0.900% 10/17/16		1,000,000		999,676
CDP Financial, Inc. (a) 1.234% 2/23/17		10,000,000		9,968,407


	Principal Amount		Value
Cox Enterprises, Inc. (a) 0.700% 10/04/16	$	7,000,000	$	6,999,436
CRH America Finance, Inc. (a) 0.940% 11/01/16		2,800,000		2,797,952
CRH America Finance, Inc. (a) 1.099% 12/14/16		5,000,000		4,989,948
Dollar General Corp. (a) 0.600% 10/03/16		7,000,000		6,999,539
FMC Technologies, Inc. (a) 1.050% 12/19/16		7,000,000		6,984,647
Ford Motor Credit Co. LLC (a) 0.970% 10/06/16		7,000,000		6,999,142
Fortive Corp. (a) 1.119% 10/26/16		7,000,000		6,995,900
Hyundai Capital America (a) 1.016% 12/15/16		7,000,000		6,985,680
Monsanto Co. (a) 1.050% 11/21/16		7,000,000		6,991,224
National Grid USA (a) 0.900% 10/17/16		7,000,000		6,997,399
NBCUniversal Enterprise, Inc. (a) 1.100% 10/12/16		7,000,000		6,998,215
ONEOK Partners LP 1.116% 10/20/16		6,200,000		6,197,255
ONEOK Partners LP (a) 1.116% 10/13/16		1,000,000		999,722
Schlumberger Holdings Corp. (a) 1.067% 10/11/16		4,500,000		4,499,092
Schlumberger Holdings Corp. (a) 1.067% 10/13/16		7,000,000		6,998,306
Sempra Energy Holdings (a) 1.140% 11/16/16		7,000,000		6,992,250
Spectra Energy Capital LLC (a) 1.015% 10/18/16		7,000,000		6,997,235
Suncor Energy, Inc. (a) 1.050% 10/03/16		3,300,000		3,299,802
Suncor Energy, Inc. (a) 1.050% 10/11/16		3,700,000		3,699,141
The Bank of Nova Scotia (a) 1.255% 2/21/17		11,000,000		10,954,416
Thomson Reuters Corp. (a) 1.118% 10/28/16		7,000,000		6,996,102
Whirlpool Corp. (a) 1.016% 12/14/16		7,000,000		6,985,927

				167,298,549

Repurchase Agreement — 0.0%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (e)		102,068		102,068

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


	Principal Amount		Value
Time Deposit — 0.0%
Euro Time Deposit 0.010% 10/03/16	$	14,857	$	14,857


TOTAL SHORT-TERM INVESTMENTS (Cost $167,371,168)				167,415,474


TOTAL INVESTMENTS — 180.3% (Cost $769,735,441) (f)				786,285,647

Other Assets/(Liabilities) — (80.3)%				(350,270,571	)


NET ASSETS — 100.0%			$	436,015,076

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

CLO	Collateralized Loan Obligation

CMT	Constant Maturity Treasury Index

CMO	Collateralized Mortgage Obligation

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

VRN	Variable Rate Note

WL	Whole Loan

(a)

Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, these securities amounted to a value of $316,598,096 or 72.61% of net assets.

(b)	Restricted security. Certain securities are restricted as to resale. At September 30, 2016, these securities amounted to a value of $250,504 or 0.06% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(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 held as collateral for open futures contracts and open swaps agreements.

(e)	Maturity value of $102,068. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 11/30/19, and an aggregate market value, including accrued interest, of $107,494.

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


	Number of Shares		Value
EQUITIES — 0.2%

PREFERRED STOCK — 0.2%
Financial — 0.2%
Insurance — 0.2%
The Allstate Corp. 5.100%, 3 mo. LIBOR US + 3.165%, VRN		95,000	$	2,594,450


TOTAL PREFERRED STOCK (Cost $2,375,000)				2,594,450


TOTAL EQUITIES (Cost $2,375,000)				2,594,450


	Principal Amount
BONDS & NOTES — 98.5%

CORPORATE DEBT — 38.6%
Advertising — 0.2%
WPP Finance 2010 4.750% 11/21/21	$	763,000		855,862
WPP Finance 2010 5.625% 11/15/43		1,205,000		1,429,694

				2,285,556

Aerospace & Defense — 0.3%
Exelis, Inc. 4.250% 10/01/16		1,790,000		1,790,000
Spirit AeroSystems, Inc. 3.850% 6/15/26		910,000		945,082
United Technologies Corp. 6.125% 7/15/38		350,000		475,998

				3,211,080

Agriculture — 0.7%
Altria Group, Inc. 4.250% 8/09/42		515,000		557,196
Altria Group, Inc. 9.700% 11/10/18		112,000		131,122
Bunge Ltd. Finance Corp. 3.200% 6/15/17		1,200,000		1,215,502
Bunge Ltd. Finance Corp. 3.250% 8/15/26		1,050,000		1,056,502
Bunge Ltd. Finance Corp. 3.500% 11/24/20		955,000		998,844
Imperial Brands Finance PLC (a) 2.950% 7/21/20		2,170,000		2,240,453
Philip Morris International, Inc. 6.375% 5/16/38		160,000		223,654
Reynolds American, Inc. 3.250% 6/12/20		840,000		883,738
Reynolds American, Inc. 5.850% 8/15/45		760,000		988,082

				8,295,093


	Principal Amount		Value
Airlines — 0.6%
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24	$	237,759	$	241,611
American Airlines Pass-Through Trust, Series 2014-1, Class A 3.700% 4/01/28		580,004		606,104
Spirit Airlines Pass-Through Trust, Series 2015-1, Class A 4.100% 10/01/29		1,955,000		1,994,100
WestJet Airlines Ltd. (a) 3.500% 6/16/21		4,215,000		4,319,473

				7,161,288

Auto Manufacturers — 0.4%
General Motors Financial Co., Inc. 3.100% 1/15/19		1,591,000		1,621,751
General Motors Financial Co., Inc. 3.200% 7/13/20		1,895,000		1,940,381
Hyundai Capital America (a) 2.550% 2/06/19		1,045,000		1,063,150

				4,625,282

Automotive & Parts — 0.1%
Lear Corp. 4.750% 1/15/23		1,222,000		1,269,353
Lear Corp. 5.375% 3/15/24		535,000		574,456

				1,843,809

Banks — 3.4%
Associated Banc-Corp. 2.750% 11/15/19		2,805,000		2,860,169
Associated Banc-Corp. 4.250% 1/15/25		2,991,000		3,113,410
Bancolombia SA 5.950% 6/03/21		1,280,000		1,412,416
Bank of America Corp. 4.750% 4/21/45		1,540,000		1,643,907
Bank of America Corp. 5.650% 5/01/18		1,230,000		1,304,743
Bank of America Corp. 5.750% 12/01/17		780,000		817,239
Bank of America Corp. 5.875% 2/07/42		470,000		612,741
Compass Bank 3.875% 4/10/25		1,816,000		1,776,391
Discover Bank 2.000% 2/21/18		1,385,000		1,389,462
First Horizon National Corp. 3.500% 12/15/20		3,580,000		3,653,938
First Republic Bank 4.375% 8/01/46		4,360,000		4,331,294


	Principal Amount		Value
ICICI Bank Ltd. (a) 4.700% 2/21/18	$	1,250,000	$	1,292,912
ICICI Bank Ltd. (a) 4.750% 11/25/16		1,276,000		1,281,488
JP Morgan Chase & Co. 3.875% 9/10/24		1,420,000		1,494,939
MUFG Union Bank NA 2.625% 9/26/18		500,000		509,286
Regions Bank 2.250% 9/14/18		2,870,000		2,892,980
Regions Financial Corp. 7.500% 5/15/18		765,000		832,468
SVB Financial Group 3.500% 1/29/25		3,885,000		3,924,911
SVB Financial Group 5.375% 9/15/20		475,000		527,944
Turkiye Garanti Bankasi AS (a) 4.750% 10/17/19		1,355,000		1,365,271
Valley National Bancorp 5.125% 9/27/23		1,530,000		1,639,067
Wells Fargo & Co. 4.300% 7/22/27		3,360,000		3,621,200

				42,298,176

Beverages — 0.9%
Anheuser-Busch Cos, Inc. 6.500% 2/01/43		125,000		175,377
Anheuser-Busch InBev Finance, Inc. 4.900% 2/01/46		4,375,000		5,205,292
Molson Coors Brewing Co. 2.100% 7/15/21		1,120,000		1,130,307
Molson Coors Brewing Co. 3.000% 7/15/26		2,035,000		2,049,094
Molson Coors Brewing Co. 4.200% 7/15/46		1,085,000		1,130,506
Pernod Ricard SA (a) 2.950% 1/15/17		1,400,000		1,405,837

				11,096,413

Biotechnology — 0.0%
Amgen, Inc. 5.150% 11/15/41		475,000		541,351

Building Materials — 0.3%
CRH America, Inc. 8.125% 7/15/18		1,195,000		1,321,925
LafargeHolcim Finance US LLC (a) 3.500% 9/22/26		925,000		947,329
Martin Marietta Material, Inc. 3 mo. USD LIBOR + 1.100%, FRN 1.938% 6/30/17		1,365,000		1,368,306
Owens Corning, Inc. 9.000% 6/15/19		590,000		689,120

				4,326,680


	Principal Amount		Value
Chemicals — 0.3%
Ashland, Inc. 6.875% 5/15/43	$	302,000	$	329,180
The Dow Chemical Co. 8.550% 5/15/19		250,000		293,212
Incitec Pivot Finance LLC (a) 6.000% 12/10/19		640,000		693,174
RPM International, Inc. 6.125% 10/15/19		550,000		613,300
RPM International, Inc. 6.500% 2/15/18		1,390,000		1,474,302
Valspar Corp. 7.250% 6/15/19		315,000		357,461

				3,760,629

Commercial Services — 1.1%
The ADT Corp. 6.250% 10/15/21		2,875,000		3,126,563
ERAC USA Finance LLC (a) 2.800% 11/01/18		395,000		403,968
ERAC USA Finance LLC (a) 6.700% 6/01/34		125,000		165,814
Leidos Holdings, Inc. 4.450% 12/01/20		5,665,000		5,889,900
The Western Union Co. 5.930% 10/01/16		4,020,000		4,020,000

				13,606,245

Computers — 0.3%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 4.420% 6/15/21		2,435,000		2,544,867
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 6.020% 6/15/26		487,000		533,900
Electronic Data Systems LLC 7.450% 10/15/29		300,000		367,015

				3,445,782

Cosmetics & Personal Care — 0.0%
The Procter & Gamble Co. 5.800% 8/15/34		175,000		245,630

Distribution & Wholesale — 0.2%
Ingram Micro, Inc. 4.950% 12/15/24		2,543,000		2,573,442

Diversified Financial — 4.2%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.500% 5/15/21		4,735,000		4,953,994
Affiliated Managers Group, Inc. 3.500% 8/01/25		2,080,000		2,067,757
Air Lease Corp. 3.000% 9/15/23		2,980,000		2,946,117


	Principal Amount		Value
Air Lease Corp. 3.375% 1/15/19	$	2,270,000	$	2,331,562
Air Lease Corp. 3.375% 6/01/21		2,470,000		2,562,230
Air Lease Corp. 3.875% 4/01/21		1,630,000		1,723,725
Air Lease Corp. 5.625% 4/01/17		535,000		544,123
Ally Financial, Inc. 3.250% 11/05/18		560,000		562,800
Ally Financial, Inc. 3.600% 5/21/18		810,000		822,150
Ally Financial, Inc. 4.750% 9/10/18		1,690,000		1,749,150
Ares Finance Co. LLC (a) 4.000% 10/08/24		2,080,000		2,015,206
BGC Partners, Inc. (a) 5.125% 5/27/21		3,435,000		3,596,957
Citigroup, Inc. 5.375% 8/09/20		1,100,000		1,233,453
Eaton Vance Corp. 6.500% 10/02/17		168,000		176,260
General Electric Capital Corp. 6.875% 1/10/39		298,000		448,869
The Goldman Sachs Group, Inc. 5.375% 3/15/20		950,000		1,051,971
The Goldman Sachs Group, Inc. 5.750% 1/24/22		950,000		1,103,462
The Goldman Sachs Group, Inc. 6.150% 4/01/18		150,000		159,767
The Goldman Sachs Group, Inc. 6.750% 10/01/37		345,000		439,292
Hyundai Capital America (a) 2.875% 8/09/18		800,000		816,458
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 3.500% 3/15/17		6,450,000		6,457,740
International Lease Finance Corp. 3.875% 4/15/18		1,515,000		1,550,981
International Lease Finance Corp. 8.750% 3/15/17		675,000		694,406
JP Morgan Chase & Co. 4.500% 1/24/22		950,000		1,051,946
JP Morgan Chase & Co. 4.950% 3/25/20		1,655,000		1,821,717
JP Morgan Chase & Co. 5.600% 7/15/41		1,125,000		1,440,233
Lazard Group LLC 4.250% 11/14/20		3,710,000		3,977,829
Lazard Group LLC 6.850% 6/15/17		245,000		252,780
Legg Mason, Inc. 5.625% 1/15/44		1,015,000		1,053,511


	Principal Amount		Value
Merrill Lynch & Co., Inc. 7.750% 5/14/38	$	400,000	$	579,956
Morgan Stanley 6.625% 4/01/18		1,000,000		1,071,480
Nasdaq, Inc. 3.850% 6/30/26		860,000		899,880
The Goldman Sachs Group, Inc. 6.125% 2/15/33		335,000		422,129

				52,579,891

Electric — 2.9%
Appalachian Power Co. 3.400% 6/01/25		2,395,000		2,551,762
Duke Energy Corp. 2.650% 9/01/26		2,380,000		2,335,415
Duke Energy Corp. 3.750% 9/01/46		1,235,000		1,197,671
Entergy Arkansas, Inc. 3.500% 4/01/26		435,000		471,624
Entergy Louisiana LLC 4.950% 1/15/45		1,005,000		1,070,016
Florida Power & Light Co. 4.950% 6/01/35		630,000		765,470
IPALCO Enterprises, Inc. 3.450% 7/15/20		4,910,000		5,032,750
Israel Electric Corp. Ltd. (a) 7.250% 1/15/19		1,250,000		1,387,500
Majapahit Holding BV (a) 7.750% 1/20/20		1,220,000		1,403,000
Metropolitan Edison Co. (a) 4.000% 4/15/25		1,345,000		1,403,594
Nevada Power Co. Series N 6.650% 4/01/36		550,000		767,425
NiSource Finance Corp. 5.800% 2/01/42		950,000		1,185,525
Oncor Electric Delivery Co. 7.500% 9/01/38		495,000		769,065
Pacific Gas & Electric Co. 5.800% 3/01/37		543,000		714,262
Pennsylvania Electric Co. (a) 4.150% 4/15/25		1,860,000		1,915,648
PPL Capital Funding, Inc. 3.100% 5/15/26		1,810,000		1,839,867
PPL Capital Funding, Inc. 5.000% 3/15/44		1,180,000		1,329,964
Progress Energy, Inc. 7.000% 10/30/31		485,000		651,167
Puget Energy, Inc. 3.650% 5/15/25		2,345,000		2,440,514
Puget Energy, Inc. 6.500% 12/15/20		1,580,000		1,833,780
Southern California Edison Co. 5.950% 2/01/38		545,000		738,740


	Principal Amount		Value
The Southern Co. 1.850% 7/01/19	$	1,300,000	$	1,310,223
Tri-State Generation & Transmission Association, Series 2003, Class A (a) 6.040% 1/31/18		78,372		79,221
Tri-State Generation & Transmission Association, Series 2003, Class B (a) 7.144% 7/31/33		480,000		556,925
Virginia Electric and Power Co. 6.350% 11/30/37		640,000		885,461
Wisconsin Public Service Corp. 5.650% 11/01/17		380,000		396,669
Xcel Energy, Inc. 3.300% 6/01/25		1,510,000		1,593,027

				36,626,285

Electronics — 0.5%
Amphenol Corp. 2.550% 1/30/19		1,320,000		1,350,802
Amphenol Corp. 4.000% 2/01/22		475,000		507,662
Arrow Electronics, Inc. 3.500% 4/01/22		1,680,000		1,725,446
FLIR Systems, Inc. 3.125% 6/15/21		1,235,000		1,274,682
Tech Data Corp. 3.750% 9/21/17		885,000		900,861

				5,759,453

Engineering & Construction — 0.2%
SBA Tower Trust (a) 3.156% 10/15/45		1,200,000		1,211,664
SBA Tower Trust (a) 2.877% 7/15/46		1,200,000		1,220,341

				2,432,005

Foods — 0.7%
Delhaize America, Inc. 9.000% 4/15/31		855,000		1,205,009
General Mills, Inc. 5.400% 6/15/40		70,000		87,215
Ingredion, Inc. 3.200% 10/01/26		1,385,000		1,412,643
Kraft Foods, Inc. 6.500% 2/09/40		260,000		354,282
Kraft Heinz Foods Co. 3.000% 6/01/26		3,275,000		3,301,128
The Kroger Co. 2.600% 2/01/21		920,000		946,090
Tyson Foods, Inc. 2.650% 8/15/19		430,000		440,920


	Principal Amount		Value
Tyson Foods, Inc. 4.875% 8/15/34	$	660,000	$	730,499

				8,477,786

Forest Products & Paper — 0.1%
Sappi Papier Holding GmbH (a) 7.750% 7/15/17		770,000		787,325

Gas — 0.2%
Boston Gas Co. (a) 4.487% 2/15/42		450,000		498,260
Spire, Inc. 4.700% 8/15/44		1,840,000		2,012,296

				2,510,556

Hand & Machine Tools — 0.2%
Kennametal, Inc. 2.650% 11/01/19		800,000		805,162
Stanley Black & Decker, Inc. 2.451% 11/17/18		1,600,000		1,634,696

				2,439,858

Health Care – Products — 0.2%
Johnson & Johnson 5.850% 7/15/38		175,000		253,778
Zimmer Biomet Holdings, Inc. 3.550% 4/01/25		2,485,000		2,561,158

				2,814,936

Health Care – Services — 0.3%
Aetna, Inc. 3.200% 6/15/26		2,025,000		2,058,868
Aetna, Inc. 4.375% 6/15/46		495,000		518,338
UnitedHealth Group, Inc. 3.950% 10/15/42		350,000		371,869
UnitedHealth Group, Inc. 6.875% 2/15/38		580,000		850,018

				3,799,093

Home Builders — 0.3%
Lennar Corp. 4.500% 11/15/19		3,390,000		3,572,212

Home Furnishing — 0.0%
Whirlpool Corp. 5.150% 3/01/43		290,000		339,566

Housewares — 0.2%
Newell Brands, Inc. 3.850% 4/01/23		2,070,000		2,203,445

Insurance — 3.2%
The Allstate Corp. 3 mo. USD LIBOR + 2.938%, VRN 5.750% 8/15/53		2,065,000		2,217,294
Arch Capital Group US, Inc. 5.144% 11/01/43		1,040,000		1,141,009


	Principal Amount		Value
AXIS Specialty Finance PLC 2.650% 4/01/19	$	590,000	$	596,305
Brown & Brown, Inc. 4.200% 9/15/24		412,000		428,578
The Chubb Corp. 3 mo. USD LIBOR + 2.250%, VRN 6.375% 4/15/37		374,000		355,337
CNA Financial Corp. 7.350% 11/15/19		670,000		772,485
CNO Financial Group, Inc. 4.500% 5/30/20		1,602,000		1,640,048
CNO Financial Group, Inc. 5.250% 5/30/25		1,911,000		1,896,667
Five Corners Funding Trust (a) 4.419% 11/15/23		1,315,000		1,420,046
MetLife Capital Trust IV (a) 7.875% 12/15/37		1,960,000		2,459,012
New York Life Global Funding (a) 2.350% 7/14/26		2,295,000		2,281,338
Principal Financial Group, Inc. 8.875% 5/15/19		290,000		341,691
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.040%, VRN 5.200% 3/15/44		787,000		811,594
Prudential Financial, Inc. 3 mo. USD LIBOR + 3.920%, VRN 5.625% 6/15/43		1,680,000		1,812,384
QBE Insurance Group Ltd. (a) 2.400% 5/01/18		655,000		658,515
Reinsurance Group of America, Inc. 3.950% 9/15/26		2,260,000		2,364,444
Reinsurance Group of America, Inc. 4.700% 9/15/23		1,480,000		1,617,279
Reinsurance Group of America, Inc. 5.000% 6/01/21		1,220,000		1,333,765
Reinsurance Group of America, Inc. 6.450% 11/15/19		1,305,000		1,478,333
Trinity Acquisition PLC 3.500% 9/15/21		1,540,000		1,605,100
Trinity Acquisition PLC 4.400% 3/15/26		445,000		466,050
Unum Group 3.000% 5/15/21		985,000		1,007,110
USF&G Capital I (a) 8.500% 12/15/45		885,000		1,213,247
Willis North America, Inc. 7.000% 9/29/19		566,000		634,668
Willis Towers Watson PLC 5.750% 3/15/21		1,690,000		1,903,244
WR Berkley Corp. 4.625% 3/15/22		2,600,000		2,852,156
XLIT Ltd. 5.750% 10/01/21		1,260,000		1,442,274


	Principal Amount		Value
XLIT Ltd. 6.375% 11/15/24	$	2,590,000	$	3,086,159

				39,836,132

Internet — 0.7%
Baidu, Inc. 3.250% 8/06/18		1,690,000		1,734,258
Expedia, Inc. 4.500% 8/15/24		3,715,000		3,911,245
Expedia, Inc. 7.456% 8/15/18		2,550,000		2,807,950

				8,453,453

Investment Companies — 0.7%
Ares Capital Corp. 3.625% 1/19/22		3,275,000		3,296,330
Ares Capital Corp. 3.875% 1/15/20		3,250,000		3,361,407
FS Investment Corp. 4.000% 7/15/19		2,450,000		2,491,939

				9,149,676

Iron & Steel — 0.8%
ArcelorMittal 5.125% 6/01/20		2,165,000		2,273,250
ArcelorMittal 6.250% 8/05/20		1,200,000		1,305,000
Glencore Funding LLC (a) 2.875% 4/16/20		2,920,000		2,896,640
Glencore Funding LLC (a) 4.625% 4/29/24		340,000		346,460
Reliance Steel & Aluminum Co. 6.200% 11/15/16		1,870,000		1,878,168
Reliance Steel & Aluminum Co. 6.850% 11/15/36		1,045,000		1,156,253

				9,855,771

Lodging — 0.2%
Marriott International, Inc. 2.300% 1/15/22		1,190,000		1,200,038
Marriott International, Inc. 3.375% 10/15/20		1,290,000		1,355,769
Starwood Hotels & Resorts Worldwide, Inc. 6.750% 5/15/18		220,000		237,870

				2,793,677

Machinery – Diversified — 0.4%
CNH Industrial Capital LLC 3.250% 2/01/17		1,650,000		1,656,187
CNH Industrial Capital LLC 3.375% 7/15/19		1,530,000		1,556,775
CNH Industrial Capital LLC 3.625% 4/15/18		655,000		663,188
CNH Industrial Capital LLC 6.250% 11/01/16		1,240,000		1,243,720


	Principal Amount		Value
Xylem, Inc. 4.875% 10/01/21	$	375,000	$	409,185

				5,529,055

Manufacturing — 0.2%
General Electric Co. 4.125% 10/09/42		1,430,000		1,564,969
Ingersoll-Rand Global Holding Co. Ltd. 6.875% 8/15/18		310,000		340,781
Tyco Electronics Group SA 7.125% 10/01/37		335,000		474,708

				2,380,458

Media — 0.9%
21st Century Fox America, Co. 6.900% 8/15/39		420,000		563,958
Charter Communications Operating LLC/Charter Communications Operating Capital (a) 3.579% 7/23/20		1,560,000		1,630,509
Charter Communications Operating LLC/Charter Communications Operating Capital (a) 6.484% 10/23/45		1,285,000		1,553,979
Comcast Corp. 3.400% 7/15/46		1,645,000		1,599,108
Comcast Corp. 6.950% 8/15/37		515,000		750,823
NBCUniversal Media LLC 6.400% 4/30/40		65,000		90,973
Time Warner Cable, Inc. 6.750% 6/15/39		985,000		1,198,302
Time Warner Cable, Inc. 8.250% 4/01/19		75,000		86,360
Time Warner Cable, Inc. 8.750% 2/14/19		325,000		374,809
Time Warner, Inc. 4.700% 1/15/21		650,000		722,840
Time Warner, Inc. 6.250% 3/29/41		210,000		270,520
Viacom, Inc. 2.250% 2/04/22		1,110,000		1,104,805
Viacom, Inc. 3.450% 10/04/26		725,000		724,601

				10,671,587

Mining — 0.1%
Glencore Canada Corp. 5.500% 6/15/17		900,000		920,250
Glencore Finance Canada (a) 5.800% 11/15/16		240,000		240,840

				1,161,090


	Principal Amount		Value
Office Equipment/Supplies — 0.4%
Pitney Bowes, Inc. 3.375% 10/01/21	$	3,005,000	$	3,003,555
Pitney Bowes, Inc. 4.625% 3/15/24		1,675,000		1,741,757
Pitney Bowes, Inc. 4.750% 5/15/18		250,000		258,982
Pitney Bowes, Inc. 5.750% 9/15/17		166,000		172,253

				5,176,547

Office Furnishings — 0.0%
Steelcase, Inc. 6.375% 2/15/21		100,000		114,016

Oil & Gas — 1.5%
Anadarko Petroleum Corp. 5.550% 3/15/26		1,050,000		1,186,541
ConocoPhillips Co. 2.400% 12/15/22		910,000		902,378
ConocoPhillips Co. 2.875% 11/15/21		3,065,000		3,148,953
ConocoPhillips Co. 4.200% 3/15/21		1,200,000		1,298,822
Exxon Mobil Corp. 2.222% 3/01/21		3,646,000		3,725,592
Exxon Mobil Corp. 2.397% 3/06/22		420,000		430,555
Petroleos Mexicanos 3.125% 1/23/19		325,000		327,925
Petroleos Mexicanos 5.500% 1/21/21		1,190,000		1,258,425
Petroleos Mexicanos 6.375% 1/23/45		595,000		568,225
Petroleos Mexicanos 6.625% 6/15/35		140,000		142,499
Phillips 66 5.875% 5/01/42		2,160,000		2,710,446
Pioneer Natural Resources Co. 4.450% 1/15/26		2,000,000		2,169,026
Pioneer Natural Resources Co. 7.500% 1/15/20		350,000		404,914

				18,274,301

Oil & Gas Services — 0.0%
Weatherford International Ltd. 6.000% 3/15/18		525,000		519,094

Packaging & Containers — 1.0%
Amcor Finance USA, Inc. (a) 3.625% 4/28/26		3,105,000		3,205,829
Brambles USA, Inc. (a) 4.125% 10/23/25		772,000		821,737
Brambles USA, Inc., Series A (a) 5.350% 4/01/20		490,000		541,309


	Principal Amount		Value
CCL Industries, Inc. (a) 3.250% 10/01/26	$	3,430,000	$	3,442,777
Crown Americas LLC/Crown Americas Capital Corp. IV 4.500% 1/15/23		2,103,000		2,181,862
Graphic Packaging International, Inc. 4.875% 11/15/22		400,000		420,000
The WestRock MWV LLC 7.550% 3/01/47		1,000,000		1,281,955

				11,895,469

Pharmaceuticals — 2.0%
AbbVie, Inc. 4.400% 11/06/42		500,000		520,272
Actavis Funding SCS 3.000% 3/12/20		2,005,000		2,070,193
Actavis Funding SCS 3.800% 3/15/25		2,790,000		2,952,808
Actavis Funding SCS 4.750% 3/15/45		1,270,000		1,388,648
Baxalta, Inc. 4.000% 6/23/25		1,775,000		1,894,395
Baxalta, Inc. 5.250% 6/23/45		885,000		1,047,013
McKesson Corp. 2.284% 3/15/19		600,000		610,592
McKesson Corp. 4.750% 3/01/21		600,000		666,412
McKesson Corp. 4.883% 3/15/44		625,000		734,717
McKesson Corp. 6.000% 3/01/41		550,000		707,947
Merck Sharp & Dohme Corp. 5.850% 6/30/39		180,000		240,288
Mylan NV (a) 3.150% 6/15/21		1,750,000		1,782,854
Mylan NV (a) 3.950% 6/15/26		4,420,000		4,453,314
Pfizer, Inc. 7.200% 3/15/39		395,000		605,060
Shire Acquisitions Investments Ireland DAC 2.875% 9/23/23		1,085,000		1,090,255
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		1,670,000		1,663,702
Teva Pharmaceutical Finance Netherlands III BV 3.150% 10/01/26		2,115,000		2,124,784
Teva Pharmaceutical Finance Netherlands III BV 4.100% 10/01/46		460,000		457,819
Wyeth 6.000% 2/15/36		360,000		477,292

				25,488,365


	Principal Amount		Value
Pipelines — 1.3%
Boardwalk Pipelines LLC 5.500% 2/01/17	$	200,000	$	201,901
Boardwalk Pipelines LP 5.875% 11/15/16		2,390,000		2,401,080
CenterPoint Energy Resources Corp. 4.500% 1/15/21		475,000		512,943
EnLink Midstream Partners LP 4.850% 7/15/26		465,000		467,918
Enterprise Products Operating Co. 3.700% 2/15/26		2,285,000		2,352,202
Enterprise Products Operating Co. 5.950% 2/01/41		455,000		527,023
Kinder Morgan Energy Partners LP 6.000% 2/01/17		185,000		187,674
Kinder Morgan Energy Partners LP 6.500% 2/01/37		150,000		161,757
Kinder Morgan Energy Partners LP 6.950% 1/15/38		175,000		198,670
Kinder Morgan Finance Co. LLC (a) 6.000% 1/15/18		2,700,000		2,831,536
Kinder Morgan, Inc. 4.300% 6/01/25		1,775,000		1,844,779
Magellan Midstream Partners LP 5.000% 3/01/26		1,060,000		1,207,608
Magellan Midstream Partners LP 5.150% 10/15/43		2,575,000		2,842,803
Southern Natural Gas Co. LLC (a) 5.900% 4/01/17		310,000		316,598

				16,054,492

Real Estate Investment Trusts (REITS) — 1.6%
American Tower Corp. 3.400% 2/15/19		1,100,000		1,142,947
American Tower Corp. 3.450% 9/15/21		2,690,000		2,831,109
American Tower Corp. 4.400% 2/15/26		860,000		941,938
American Tower Corp. 4.500% 1/15/18		1,375,000		1,426,102
Boston Properties LP 3.700% 11/15/18		475,000		494,871
Brandywine Operating Partners LP 4.950% 4/15/18		800,000		834,455
DDR Corp. 4.750% 4/15/18		1,000,000		1,038,181
DDR Corp. 7.500% 4/01/17		1,000,000		1,029,322
Duke Realty LP 3.250% 6/30/26		770,000		787,136
Duke Realty LP 8.250% 8/15/19		1,375,000		1,607,888
Federal Realty Investment Trust 5.900% 4/01/20		330,000		375,719


	Principal Amount		Value
Healthcare Trust of America Holdings LP 3.500% 8/01/26	$	1,265,000	$	1,281,622
Highwoods Realty LP 5.850% 3/15/17		1,800,000		1,832,348
Highwoods Realty LP 7.500% 4/15/18		195,000		210,840
Host Hotels & Resorts LP 3.750% 10/15/23		215,000		217,745
Host Hotels & Resorts LP 4.000% 6/15/25		682,000		694,884
ProLogis LP 2.750% 2/15/19		530,000		542,305
Tanger Properties LP 3.125% 9/01/26		2,565,000		2,557,967
Weingarten Realty Investors 3.250% 8/15/26		535,000		535,570

				20,382,949

Retail — 1.4%
AutoNation, Inc. 4.500% 10/01/25		700,000		741,894
Bed Bath & Beyond, Inc. 5.165% 8/01/44		600,000		580,141
CVS Health Corp. 6.125% 9/15/39		560,000		764,963
CVS Pass-Through Trust (a) 5.926% 1/10/34		1,233,352		1,458,393
CVS Pass-Through Trust (a) 7.507% 1/10/32		8,437		10,775
Dollar Tree, Inc. 5.750% 3/01/23		2,945,000		3,169,556
El Puerto de Liverpool SAB de CV (a) 3.950% 10/02/24		2,620,000		2,636,375
The Home Depot, Inc. 5.950% 4/01/41		600,000		825,101
O’Reilly Automotive, Inc. 4.875% 1/14/21		575,000		638,729
QVC, Inc. 3.125% 4/01/19		960,000		984,316
QVC, Inc. 4.450% 2/15/25		1,380,000		1,365,960
QVC, Inc. 5.125% 7/02/22		545,000		577,673
Tiffany & Co. 4.900% 10/01/44		990,000		1,003,399
Wal-Mart Stores, Inc. 6.200% 4/15/38		730,000		1,048,217
Wal-Mart Stores, Inc. 6.500% 8/15/37		515,000		759,400
Walgreens Boots Alliance, Inc. 2.700% 11/18/19		685,000		705,880

				17,270,772


	Principal Amount		Value
Savings & Loans — 0.1%
Glencore Funding LLC (a) 2.500% 1/15/19	$	1,472,000	$	1,468,467

Semiconductors — 0.5%
Applied Materials, Inc. 5.850% 6/15/41		1,000,000		1,239,149
Lam Research Corp. 2.750% 3/15/20		1,290,000		1,320,168
Lam Research Corp. 3.800% 3/15/25		2,010,000		2,093,861
QUALCOMM, Inc. 3.450% 5/20/25		1,134,000		1,207,687

				5,860,865

Software — 0.8%
Broadridge Financial Solutions, Inc. 3.400% 6/27/26		1,050,000		1,076,977
Broadridge Financial Solutions, Inc. 3.950% 9/01/20		655,000		695,962
CA, Inc. 2.875% 8/15/18		730,000		743,927
CA, Inc. 5.375% 12/01/19		1,068,000		1,179,439
Microsoft Corp. 4.450% 11/03/45		2,064,000		2,346,572
Oracle Corp. 4.000% 7/15/46		3,590,000		3,709,594

				9,752,471

Telecommunications — 1.1%
AT&T, Inc. 4.750% 5/15/46		1,775,000		1,857,458
AT&T, Inc. 6.550% 2/15/39		455,000		579,448
British Telecom PLC 9.375% 12/15/30		495,000		801,334
CenturyLink, Inc. 6.150% 9/15/19		560,000		604,800
Cisco Systems, Inc. 5.500% 1/15/40		345,000		446,890
Crown Castle Towers LLC (a) 3.222% 5/15/42		1,700,000		1,752,700
Deutsche Telekom International Finance BV 8.750% 6/15/30		475,000		738,338
Embarq Corp. 7.995% 6/01/36		145,000		146,737
Rogers Communications, Inc. 7.500% 8/15/38		50,000		68,490
Telefonica Emisiones SAU 5.462% 2/16/21		475,000		539,389
Turk Telekomunikasyon AS (a) 3.750% 6/19/19		240,000		241,296


	Principal Amount		Value
Verizon Communications, Inc. 2.625% 2/21/20	$	1,650,000	$	1,696,877
Verizon Communications, Inc. 4.862% 8/21/46		918,000		1,028,218
Verizon Communications, Inc. 5.012% 8/21/54		1,083,000		1,195,892
Verizon Communications, Inc. 6.550% 9/15/43		1,082,000		1,462,956

				13,160,823

Transportation — 0.4%
Asciano Finance (a) 4.625% 9/23/20		610,000		641,133
Asciano Finance Ltd. (a) 5.000% 4/07/18		1,150,000		1,189,491
Autoridad del Canal de Panama (a) 4.950% 7/29/35		1,050,000		1,191,750
Burlington Northern Santa Fe LLC 6.150% 5/01/37		720,000		984,598
Norfolk Southern Corp. 6.000% 5/23/2111		375,000		459,627
Union Pacific Corp. 5.375% 6/01/33		520,000		633,311

				5,099,910

Trucking & Leasing — 0.5%
Aviation Capital Group Corp. (a) 2.875% 9/17/18		5,210,000		5,275,125
GATX Corp. 2.375% 7/30/18		865,000		873,729

				6,148,854


TOTAL CORPORATE DEBT (Cost $457,006,329)				480,157,161


MUNICIPAL OBLIGATIONS — 1.3%
JobsOhio Beverage System Series B 4.532% 1/01/35		3,950,000		4,602,145
New York City Municipal Water Finance Authority BAB 5.882% 6/15/44		105,000		150,781
Orange County Local Transportation Authority BAB 6.908% 2/15/41		1,350,000		1,967,463
Panhandle-Plains Student Finance Corp., Series 2001-A2, FRN 2.290% 12/01/31		1,900,000		1,823,160
State of California BAB 7.550% 4/01/39		120,000		192,169
State of California BAB 7.600% 11/01/40		3,160,000		5,122,771
State of Illinois 5.365% 3/01/17		2,200,000		2,235,354

				16,093,843


	Principal Amount		Value
TOTAL MUNICIPAL OBLIGATIONS (Cost $14,842,935)			$	16,093,843


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 26.5%
Auto Floor Plan ABS — 0.1%
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) 2.032% 10/20/20	$	1,500,000		1,499,999

Automobile ABS — 1.6%
American Credit Acceptance Receivables Trust, Series 2016-3, Class A (a) 1.700% 11/12/20		2,102,135		2,100,328
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		848,710		848,965
Capital Automotive REIT, Series 2012-1A, Class A (a) 4.700% 7/15/42		1,165,378		1,187,982
CFC LLC, Series 2014-2A, Class A (a) 1.440% 11/16/20		548,741		546,457
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		438,584		438,304
CPS Auto Trust, Series 2016-C, Class A (a) 1.620% 1/15/20		878,743		877,644
Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A (a) 2.420% 11/15/23		1,200,000		1,203,806
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		1,070,000		1,078,599
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) 2.210% 7/15/22		2,990,000		2,994,271
GO Financial Auto Securitization Trust, Series 2015-1, Class A (a) 1.810% 3/15/18		98,490		98,446
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A (a) 2.040% 1/15/21		1,192,780		1,196,422
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		2,250,000		2,223,315
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.224% 7/15/20		1,699,562		1,699,089


	Principal Amount		Value
Oscar US Funding Trust V, Series 2016-2A, Class A4 (a) 2.990% 12/15/23	$	4,000,000	$	3,998,927
Santander Drive Auto Receivables Trust, Series 2015-S2, Class R1 (a) 1.840% 11/18/19		34,218		34,188

				20,526,743

Commercial MBS — 3.8%
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4, VRN 5.938% 2/10/51		1,385,699		1,415,810
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN 6.435% 2/10/51		1,536,791		1,596,192
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class AM, VRN 6.478% 2/10/51		1,310,000		1,363,758
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 5.201% 12/11/38		463,465		463,975
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM 5.243% 12/11/38		925,000		926,738
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class A4, VRN 5.471% 1/12/45		682,382		687,601
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class AM, VRN 5.513% 1/12/45		2,545,000		2,565,333
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4 5.700% 6/11/50		1,298,542		1,333,163
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Class AM, VRN 5.835% 9/11/42		1,395,000		1,433,933
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM, VRN 5.915% 6/11/50		2,870,000		2,935,602
Commercial Mortgage Pass Through Certificates, Series 2012-CR4, Class B (a) 3.703% 10/15/45		1,060,000		1,112,329
Commercial Mortgage Pass Through Certificates, Series 2014-UBS2, Class AM 4.199% 3/10/47		1,375,000		1,502,738


	Principal Amount		Value
Commercial Mortgage Pass Through Certificates, Series 2014-CR14, Class A4, VRN 4.236% 2/10/47	$	1,410,000	$	1,585,155
Commercial Mortgage Pass Through Certificates, Series 2015-CR23, Class C, VRN 4.398% 5/10/48		1,000,000		933,947
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class AM, VRN 5.650% 12/10/49		1,335,000		1,366,451
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class A4, VRN 6.007% 12/10/49		2,254,819		2,305,258
DBCCRE Mortgage Trust, Series 2014-ARCP, Class A (a) 4.238% 1/10/34		995,000		1,061,900
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.951% 7/10/38		1,355,156		1,357,072
GS Mortgage Securities Corp. II, Series 2012-GC6, Class AS (a) 4.948% 1/10/45		488,000		547,704
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 5.429% 12/12/43		1,767		1,766
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class AM, VRN 5.466% 6/12/47		1,620,000		1,631,866
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		2,202,193		2,269,401
Morgan Stanley Capital I, Series 2011-C2, Class B, VRN (a) 5.200% 6/15/44		1,325,000		1,459,611
Morgan Stanley Capital I, Series 2006-IQ12, Class AM 5.370% 12/15/43		950,000		951,424
Morgan Stanley Capital I, Series 2007-HQ11, Class A4, VRN 5.447% 2/12/44		1,533,505		1,536,392
Morgan Stanley Capital I, Series 2007-HQ11, Class AM, VRN 5.478% 2/12/44		1,520,000		1,527,067
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 5.610% 4/15/49		127,337		127,043


	Principal Amount		Value
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN 6.477% 1/11/43	$	712,325	$	745,631
STRIPs Ltd., Series 2012-1A, Class A (a) 1.500% 12/25/44		101,643		101,643
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN 5.483% 8/15/39		206,082		207,452
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM 5.339% 11/15/48		3,015,000		3,023,830
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 5.509% 4/15/47		1,004,361		1,014,377
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class AM, VRN 5.591% 4/15/47		1,400,000		1,418,629
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN 6.158% 2/15/51		1,525,000		1,558,043
Wachovia Bank Commercial Mortgage Trust, Series 2006-C26, Class AM, VRN 6.285% 6/15/45		2,667,000		2,681,456
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 (a) 3.349% 11/15/43		145,331		150,129

				46,900,419

Home Equity ABS — 0.6%
ACE Securities Corp., Series 2005-AG1, Class A1B1, 1 mo. USD LIBOR + .270%, FRN 0.795% 8/25/35		173,102		172,967
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN 1.185% 11/25/35		422,013		418,655
Aegis Asset-Backed Securities Trust, Series 2005-2, Class M1, 1 mo. USD LIBOR + .420%, FRN 0.945% 6/25/35		118,173		118,054
Bayview Financial Mortgage Pass-Through Trust, Series 2005-C, Class M1, 1 mo. LIBOR + .500%, FRN 1.024% 6/28/44		521,896		520,517


	Principal Amount		Value
Bear Stearns Asset-Backed Securities Trust, Series 2005-HE9, Class M1, 1 mo. USD LIBOR + ..510%, FRN 1.035% 10/25/35	$	18,437	$	18,418
Citigroup Mortgage Loan Trust, Series 2005-OPT4, Class M2, 1 mo. USD LIBOR + .430%, FRN 0.955% 7/25/35		120,927		120,327
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 0.985% 9/25/34		180,089		178,048
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN 1.425% 2/25/35		541,680		440,693
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.155% 5/25/36		448,273		446,502
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.170% 5/25/35		57,471		57,456
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 0.765% 1/25/36		155,903		154,676
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.170% 4/25/35		204,054		204,206
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 0.695% 8/25/36		111,294		111,299
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.350% 6/25/35		1,083,613		1,074,163
MASTR Asset-Backed Securities Trust, Series 2005-WMC1, Class M3, 1 mo. USD LIBOR + .720%, FRN 1.245% 3/25/35		1,380,647		1,375,820
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP 6.620% 10/25/28		26		26
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .370%, FRN 0.895% 1/25/36		993,582		987,311


	Principal Amount		Value
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 0.785% 9/25/35	$	256,110	$	256,227
Park Place Securities, Inc., Series 2005-WCW3, Class A2C, 1 mo. USD LIBOR + .380%, FRN 0.905% 8/25/35		12,985		12,980
Park Place Securities, Inc., Series 2005-WHQ1, Class M2, 1 mo. USD LIBOR + .750%, FRN 1.275% 3/25/35		48,865		48,888
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + .430%, FRN 0.955% 11/25/35		431,752		431,371
Structured Asset Investment Loan Trust, Series 2005-7, Class A5, 1 mo. USD LIBOR + .720%, FRN 1.245% 8/25/35		6,254		6,257

				7,154,861

Other ABS — 13.3%
321 Henderson Receivables I LLC, Series 2007-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.724% 3/15/42		691,413		659,546
321 Henderson Receivables I LLC, Series 2015-1A, Class A (a) 3.260% 9/15/72		1,347,146		1,349,733
Aames Mortgage Investment Trust, Series 2004-1, Class M5, 1 mo. USD LIBOR + 1.725%, FRN 2.249% 1/25/35		658,774		656,922
AIMCO CLO Ltd., Series 2014-AA, Class A, 3 mo. USD LIBOR + 1.540%, FRN (a) 2.236% 7/20/26		2,250,000		2,252,151
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.314% 10/15/28		2,620,000		2,620,000
ALM VIII Ltd., Series 2013-8A, Class A1R, 3 mo. LIBOR + 1.490%, FRN (a) 1.000% 10/15/28		1,240,000		1,240,000
ALM VIII Ltd., Series 2013-8A, Class A1A, 3 mo. LIBOR + 1.450%, FRN (a) 2.146% 1/20/26		1,325,000		1,324,988
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) 1.639% 2/15/21		749,705		730,962


	Principal Amount		Value
Alterna Funding II LLC, Series 2015-1A, Class A (a) 2.500% 2/15/24	$	1,194,726	$	1,178,299
Apidos CLO XV, Series 2013-15A, Class A1, 3 mo. USD LIBOR + 1.350%, FRN (a) 2.046% 10/20/25		745,000		745,006
Applebee’s/IHOP Funding LLC, Series 2014-1, Class A2 (a) 4.277% 9/05/44		1,450,000		1,473,671
Arbys Funding LLC, Series 2015-1A, Class A2 (a) 4.969% 10/30/45		1,885,750		1,968,252
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.274% 12/15/42		1,601,607		1,554,182
Atlas Senior Loan Fund V Ltd., Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.550%, FRN (a) 2.229% 7/16/26		1,950,000		1,950,070
AVANT Loans Funding Trust, Series 2016-C, Class A (a) 2.960% 9/16/19		1,186,144		1,185,935
Avery Point CLO Ltd., Series 2014-5A, Class A, 3 mo. USD LIBOR + 1.460%, FRN (a) 2.139% 7/17/26		2,200,000		2,200,022
Avery Point III CLO Ltd., Series 2013-3A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.079% 1/18/25		1,250,000		1,250,004
Avery Point VI CLO Ltd., Series 2015-6A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.228% 8/05/27		3,825,000		3,827,746
BCC Funding VIII LLC, Series 2014-1A, Class A (a) 1.794% 6/20/20		172,428		171,781
Birchwood Park CLO Ltd., Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.440%, FRN (a) 2.120% 7/15/26		2,180,000		2,180,179
Blue Hill CLO Ltd., Series 2013-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.160% 1/15/26		825,000		825,247
BlueMountain CLO Ltd., Series 2013-2A, Class A, 3 mo. USD LIBOR + 1.200%, FRN (a) 1.902% 1/22/25		930,000		927,708


	Principal Amount		Value
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) 2.109% 7/18/27	$	2,595,000	$	2,600,034
BlueMountain CLO Ltd., Series 2013-3A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.152% 10/29/25		650,000		650,029
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		2,443,614		2,469,492
CAN Capital Funding LLC, Series 2014-1A, Class A (a) 3.117% 4/15/20		1,500,000		1,486,945
Capital Automotive REIT, Series 2014-1A, Class A (a) 3.660% 10/15/44		900,000		902,208
Carlyle Global Market Strategies, Series 2013-1A, Class A1, 3 mo. USD LIBOR + 1.300%, FRN (a) 2.117% 2/14/25		750,000		750,011
Carlyle Global Market Strategies, Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.520%, FRN (a) 2.199% 4/17/25		3,415,000		3,415,089
Citi Held For Asset Issuance, Series 2015-PM1, Class A (a) 1.850% 12/15/21		131,884		131,643
Citigroup Mortgage Loan Trust, Series 2006-SHL1, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.724% 11/25/45		646,088		646,426
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) 4.474% 3/20/43		1,184,375		1,188,260
Consumer Installment Loan Trust, Series 2016-LD1, Class A (a) 3.960% 7/15/22		1,346,351		1,352,855
Cronos Containers Program I Ltd., Series 2014-2A, Class A (a) 3.270% 11/18/29		477,778		464,555
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		2,595,475		2,618,271
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) 2.540% 5/20/27		464,499		464,878
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		1,145,753		1,152,457
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) 2.990% 5/22/28		1,319,159		1,343,725


	Principal Amount		Value
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) 3.484% 10/25/45	$	2,878,250	$	2,902,534
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2II (a) 4.474% 10/25/45		3,076,750		3,118,598
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) 5.216% 1/25/42		1,746,466		1,793,447
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39		1,083,333		1,062,186
Drug Royalty Corp., Inc., Series 2014-1, Class A2 (a) 3.484% 7/15/23		515,819		517,670
Drug Royalty Corp., Inc., Series 2012-1, Class A2 (a) 5.800% 7/15/24		144,615		146,616
Dryden XXXI Senior Loan Fund, Series 2014-31A, Class A, 3 mo. USD LIBOR + 1.350%, FRN (a) 2.029% 4/18/26		3,190,000		3,189,987
Eaton Vance CLO, Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.130% 7/15/26		2,925,000		2,923,040
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) 2.810% 4/25/28		2,548,771		2,547,674
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) 2.707% 2/19/45		580,401		567,158
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		1,485,001		1,495,954
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		634,043		658,134
Fairway Outdoor Funding LLC, Series 2012-1A, Class A2 (a) 4.212% 10/15/42		2,045,060		2,074,630
First Franklin Mortgage Loan Trust, Series 2005-FF7, Class M1, 1 mo. USD LIBOR + .450%, FRN 0.975% 7/25/35		64,882		64,858
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.146% 7/20/27		2,875,000		2,873,827
Global SC Finance II SRL, Series 2014-1A, Class A1 (a) 3.190% 7/17/29		391,667		377,664


	Principal Amount		Value
Global SC Finance II SRL, Series 2013-2A, Class A (a) 3.670% 11/17/28	$	1,150,500	$	1,132,286
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		272,529		268,474
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 1.865% 4/25/25		3,600,000		3,581,233
GoldenTree Loan Opportunities VII Ltd., Series 2014-8A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.138% 4/19/26		2,405,000		2,405,094
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) 3.524% 4/16/21		904,906		902,078
HERO Funding Trust, Series 2016-3A, Class A1 (a) 3.080% 9/20/42		2,080,000		2,080,000
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) 2.280% 1/25/26		962,736		964,520
Icon Brand Holdings LLC, Series 2012-1A, Class A (Acquired 11/16/12-7/22/14, Cost $1,065,268) (a) (b) 4.229% 1/25/43		840,080		765,237
Icon Brand Holdings LLC, Series 2013-1A, Class A (Acquired 1/9/14, Cost $1,104,317) (a) (b) 4.352% 1/25/43		879,561		817,354
ING Investment Management CLO Ltd., Series 2013-3A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.129% 1/18/26		1,850,000		1,847,377
LCM Ltd., Series 16A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.180% 7/15/26		2,850,000		2,860,619
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 1.830% 7/15/25		1,100,000		1,098,712
Leaf Receivables Funding LLC, Series 2016-1, Class A1 (a) 1.000% 6/15/17		2,551,421		2,551,433
Long Beach Mortgage Loan Trust, Series 2005-1, Class M2, 1 mo. USD LIBOR + .795%, FRN 1.320% 2/25/35		534,367		530,148
Madison Park Funding XII Ltd., Series 2014-12A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.196% 7/20/26		2,970,000		2,970,086


	Principal Amount		Value
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 1.000% 11/15/28	$	760,000	$	760,000
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		2,737,808		2,738,703
Marriott Vacation Club Owner Trust, Series 2012-1A, Class A (a) 2.510% 5/20/30		320,361		319,442
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		1,300,260		1,303,586
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M2, 1 mo. USD LIBOR + .750%, FRN 1.275% 7/25/35		388,666		391,351
MVW Owner Trust, Series 2016-1A, Class A (a) 2.250% 12/20/33		748,924		747,475
MVW Owner Trust, Series 2015-1A, Class A (a) 2.520% 12/20/32		1,152,836		1,158,758
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		343,123		342,932
Nomad CLO Ltd., Series 2013-1A, Class A1, 3 mo. USD LIBOR + 1.200%, FRN (a) 1.880% 1/15/25		1,575,000		1,570,456
Oak Hill Credit Partners VIII Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.120%, FRN (a) 1.816% 4/20/25		2,100,000		2,084,729
OHA Loan Funding Ltd., Series 2013-1A, Class A, 3 mo. USD LIBOR + 1.250%, FRN (a) 1.965% 7/23/25		1,710,000		1,707,613
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) 4.210% 5/17/20		870,000		868,925
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) 2.290% 7/09/29		370,424		372,535
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22		750,000		741,901
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		1,400,000		1,407,033
Race Point VIII CLO Ltd., Series 2013-8A, Class A, 3 mo. USD LIBOR + 1.250%, FRN (a) 2.061% 2/20/25		700,000		698,428


	Principal Amount		Value
Race Point VIII CLO Ltd., Series 2012-7A, Class A, 3 mo. USD LIBOR + 1.420%, FRN (a) 2.208% 11/08/24	$	1,200,000	$	1,199,138
Residential Asset Mortgage Products, Inc., Series 2005-EFC5, Class M1, 1 mo. USD LIBOR + ..400%, FRN 0.925% 10/25/35		513,325		512,682
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A (a) 2.280% 11/20/25		1,258,952		1,262,177
Sierra Receivables Funding Co. LLC, Series 2016-2A, Class A (a) 2.330% 7/20/33		1,752,308		1,751,372
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) 2.840% 11/20/28		100,345		100,567
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		402,425		402,755
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A (a) 3.090% 10/27/25		4,440,000		4,461,503
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		4,117,393		4,136,900
Specialty Underwriting & Residential Finance Trust, Series 2005-AB2, Class M1, 1 mo. USD LIBOR + .450%, FRN 0.975% 6/25/36		555,000		549,395
Spirit Master Funding LLC, Series 2014-4A, Class A1 (a) 3.501% 1/20/45		1,000,000		971,035
SpringCastle America Funding LLC, Series 2014-AA, Class A (a) 2.700% 5/25/23		3,543,031		3,544,138
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29		1,870,000		1,869,928
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (a) 2.920% 7/15/47		1,200,000		1,202,758


	Principal Amount		Value
Structured Asset Securities Corp., Series 2007-BC4, Class A3, 1 mo. USD LIBOR + .250%, FRN 0.775% 11/25/37	$	44,196	$	44,177
Structured Receivables Finance LLC, Series 2010-B, Class A (a) 3.730% 8/15/36		306,666		313,531
Symphony CLO XV Ltd., Series 2014-15A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.129% 10/17/26		2,900,000		2,900,046
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		2,500,000		2,540,456
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) (c) 2.399% 10/13/29		2,150,000		2,150,000
Textainer Marine Containers III Ltd., Series 2014-1A, Class A (a) 3.270% 10/20/39		468,833		455,561
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) 4.370% 7/15/41		310,151		312,994
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) 2.540% 7/20/33		2,890,000		2,901,413
Wendys Funding LLC, Series 2015-1A, Class A2I (a) 3.371% 6/15/45		3,935,250		3,953,037
Wendys Funding LLC, Series 2015-1A, Class A2II (a) 4.080% 6/15/45		1,811,700		1,839,374
Wendys Funding LLC, Series 2015-1A, Class A23 (a) 4.497% 6/15/45		2,178,000		2,177,530
Westgate Resorts LLC, Series 2015-1A, Class A (a) 2.750% 5/20/27		1,555,444		1,560,177

				165,324,421

Student Loans ABS — 6.3%
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.515% 7/01/38		698,206		634,510
College Loan Corp. Trust, Series 2002-1, Class A5, 28 day ARS, FRN (a) 3/01/42		700,000		629,547


	Principal Amount		Value
College Loan Corp. Trust I, Series 2007-1, Class B2, 28 day ARS, FRN 1/25/47	$	900,000	$	672,779
Collegiate Funding Services Education Loan Trust, Series 2005-B, Class A4, 3 mo. USD LIBOR + ..160%, FRN 0.784% 3/28/35		1,500,000		1,399,992
DRB Prime Student Loan Trust, Series 2015-B, Class A1, 1 mo. USD LIBOR + 1.900%, FRN (a) 2.425% 10/27/31		376,351		378,460
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 2.524% 4/25/40		1,139,448		1,136,277
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		2,291,679		2,287,892
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) 3.200% 1/25/40		1,209,930		1,236,114
Earnest Student Loan Program LLC, Series 2016-C, Class A1, 1 mo. USD LIBOR + 1.850%, FRN (a) 2.326% 10/27/36		4,950,051		4,950,064
Earnest Student Loan Program LLC, Series 2016-B, Class A2 (a) 3.020% 5/25/34		1,962,686		1,962,642
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 1.864% 7/26/66		4,750,000		4,749,923
Education Funding Capital Trust I, Series 2004-1, Class A4, 28 day ARS, FRN 6/15/43		1,750,000		1,742,189
Education Funding Capital Trust I, Series 2004-1, Class A5, 28 day ARS, FRN 1.450% 6/15/43		1,075,000		1,050,613
Education Funding Capital Trust I, Series 2004-1, Class A6, 28 day ARS, FRN 1.687% 6/15/43		1,100,000		1,068,972
Education Funding Capital Trust I, Series 2004-1, Class B1, 28 day ARS, FRN 1.943% 6/15/43		450,000		416,257
Education Services of America, Series 2014-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 6/25/48		1,200,000		988,094


	Principal Amount		Value
Education Services of America, Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 10/25/56	$	1,100,000	$	920,042
Educational Funding of the South, Inc., Series 2011-1, Class B, 3 mo. USD LIBOR + 3.700%, FRN 4.415% 4/25/46		625,000		673,361
Higher Education Funding I, Series 2004-1, Class B1, 28 day ARS, FRN (a) 1/01/44		450,000		390,174
Higher Education Funding I, Series 2004-1, Class B2, 28 day ARS, FRN (a) 1/01/44		450,000		362,506
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.163% 9/27/35		1,150,875		1,138,357
National Collegiate Student Loan Trust, Series 2006-3, Class A3, 1 mo. USD LIBOR + .150%, FRN 0.675% 10/25/27		328,030		327,370
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 0.765% 11/27/28		484,157		479,552
Navient Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + .700%, FRN (a) 1.225% 2/25/70		3,307,637		3,216,821
Navient Student Loan Trust, Series 2014-1, Class A4, 1 mo. USD LIBOR + .750%, FRN 1.275% 2/25/39		3,000,000		2,796,908
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 1.775% 6/25/65		3,337,796		3,337,805
Navient Student Loan Trust, Series 2015-3, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 10/25/58		940,000		764,400
Navient Student Loan Trust, Series 2016-2, Class A3, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 6/25/65		2,370,000		2,438,819
Nelnet Student Loan Trust, Series 2006-2, Class A6, 3 mo. USD LIBOR + .120%, FRN 0.835% 4/25/31		1,220,000		1,173,372


	Principal Amount		Value
Nelnet Student Loan Trust, Series 2005-2, Class A5, 3 mo. USD LIBOR + .100%, FRN 0.966% 3/23/37	$	1,300,000	$	1,227,887
Nelnet Student Loan Trust, Series 2006-3, Class B, 3 mo. USD LIBOR + .250%, FRN 1.107% 6/25/41		963,454		785,912
Nelnet Student Loan Trust, Series 2013-5A, Class A, 1 mo. USD LIBOR + .630%, FRN (a) 1.155% 1/25/37		2,509,238		2,440,480
Nelnet Student Loan Trust, Series 2005-4, Class A4A, 7 day ARS, FRN 1.527% 3/22/32		325,000		303,923
North Carolina State Education Assistance Authority, Series 2011-2, Class A3, 3 mo. USD LIBOR + .800%, FRN 1.515% 7/25/36		1,600,000		1,522,244
SLC Student Loan Trust, Series 2006-A, Class B, 3 mo. USD LIBOR + .300%, FRN 0.980% 7/15/36		378,000		367,795
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 6/17/30		250,000		250,000
SLM Student Loan Trust, Series 2007-3, Class B, 3 mo. USD LIBOR + .150%, FRN 0.865% 1/25/28		2,400,000		1,728,042
SLM Student Loan Trust, Series 2005-3, Class B, 3 mo. USD LIBOR + .150%, FRN 0.865% 4/25/40		1,156,949		968,280
SLM Student Loan Trust, Series 2005-5, Class A5, 3 mo. USD LIBOR + .750%, FRN 1.465% 10/25/40		1,056,000		1,013,805
SLM Student Loan Trust, Series 2013-2, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 6/25/43		1,420,000		1,232,506
SLM Student Loan Trust, Series 2003-2, Class A7, 28 day ARS, FRN 3.022% 9/15/28		650,000		650,000
SLM Student Loan Trust, Series 2002-7, Class A10, 28 day ARS, FRN 3.027% 3/15/28		697,000		697,000
SLM Student Loan Trust, Series 2002-7, Class A11, 28 day ARS, FRN 3.030% 3/15/28		1,518,000		1,518,000


	Principal Amount		Value
SMB Private Education Loan Trust, Series 2016-B, Class A2A (a) 2.430% 2/17/32	$	1,575,000	$	1,594,476
SMB Private Education Loan Trust, Series 2016-A, Class A2A (a) 2.700% 5/15/31		3,000,000		3,020,283
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 1.725% 6/25/33		2,737,066		2,737,065
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.275% 8/25/36		1,334,648		1,358,738
SoFi Professional Loan Program LLC, Series 2016-D, Class A2B (a) 2.340% 4/25/33		1,300,000		1,299,838
SoFi Professional Loan Program LLC, Series 2016-C, Class A2B (a) 2.360% 12/27/32		570,000		565,183
SoFi Professional Loan Program LLC, Series 2016-B, Class A2B (a) 2.740% 10/25/32		2,300,000		2,361,524
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 (a) 2.760% 12/26/36		2,880,605		2,924,596
South Carolina Student Loan Corp., Series 2014-1, Class A2, 1 mo. USD LIBOR + 1.000%, FRN 1.523% 1/03/33		1,800,000		1,739,053
South Carolina Student Loan Corp., Series 2014-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.023% 8/01/35		1,100,000		944,074
South Texas Higher Education Authority, Inc., Series 2012-1, Class A3, 3 mo. USD LIBOR + ..850%, FRN 1.496% 10/01/46		1,700,000		1,636,791

				78,211,307

WL Collateral CMO — 0.8%
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, FRN 3.301% 8/25/34		65,603		64,236
Connecticut Avenue Securities, Series 2015-C03, Class 1M1, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 7/25/25		1,723,138		1,726,656
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, FRN 2.954% 2/25/34		18,700		17,977


	Principal Amount		Value
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, FRN 3.294% 9/25/33	$	7,654	$	7,214
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M1, 1 mo. USD LIBOR + .800%, FRN 1.324% 3/25/29		880,000		880,288
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes, Series 2016-HQA3, Class M2, 1 mo. USD LIBOR + 1.350%, FRN 1.874% 3/25/29		790,000		790,971
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN 1.875% 1/25/29		2,225,306		2,234,078
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450%, FRN 1.975% 1/25/29		2,516,240		2,531,473
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN 3.285% 8/25/34		11,620		11,391
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN 2.786% 8/25/34		59,565		53,183
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2, 1 mo. USD LIBOR + .250%, FRN 0.775% 8/25/36		7,936		7,912
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN 3.032% 2/25/34		7,437		7,348
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN 3.065% 7/25/33		4,179		4,118
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, FRN 2.875% 2/25/34		239		246
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN 3.056% 3/25/34		40,119		40,277
Structured Agency Credit Risk Debt Notes, Series 2015-DNA3, Class M1, 1 mo. USD LIBOR + 1.350%, FRN 1.875% 4/25/28		720,342		721,402


	Principal Amount		Value
Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 1 mo. USD LIBOR + 1.450%, FRN 1.975% 7/25/28	$	1,226,583	$	1,231,987
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 1.907% 4/25/44		87,020		86,912

				10,417,669

WL Collateral PAC — 0.0%
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, FRN 3.157% 6/25/32		24,194		23,630


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $330,492,608)				330,059,049


SOVEREIGN DEBT OBLIGATIONS — 0.8%
Colombia Government International Bond 6.125% 1/18/41		2,480,000		2,994,600
Colombia Government International Bond 7.375% 3/18/19		725,000		818,525
Mexico Government International Bond 4.750% 3/08/44		1,955,000		2,025,869
Peruvian Government International Bond 6.550% 3/14/37		405,000		572,063
Poland Government International Bond 6.375% 7/15/19		690,000		776,250
Province of Quebec Canada 7.500% 9/15/29		390,000		587,067
United Mexican States 5.125% 1/15/20		850,000		944,775
United Mexican States 6.750% 9/27/34		685,000		905,912

				9,625,061


TOTAL SOVEREIGN DEBT OBLIGATIONS (Cost $8,700,070)				9,625,061


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 26.3%
Collateralized Mortgage Obligations — 1.7%
Federal Home Loan Mortgage Corp. Series 4303, Class AP 3.000% 8/15/43		3,951,341		4,078,115


	Principal Amount		Value
Series 4290, Class CA 3.500% 12/15/38	$	2,335,877	$	2,430,173
Series 2617, Class Z 5.500% 5/15/33		1,931,567		2,189,684
Series 2693, Class Z 5.500% 10/15/33		3,371,996		3,774,442
Series 3423, Class PB 5.500% 3/15/38		748,596		845,874
Series 2178, Class PB 7.000% 8/15/29		74,411		85,350
Federal National Mortgage Association Series 2014-7, Class VA 3.500% 5/25/25		1,528,379		1,637,437
Series 2014-48, Class AB 4.000% 10/25/40		3,278,848		3,446,063
Series 2007-32, Class Z 5.500% 4/25/37		1,083,853		1,213,273
Series 2010-60, Class HJ 5.500% 5/25/40		742,145		820,369
Federal National Mortgage Association REMIC Series 2007-B2, Class ZA 5.500% 6/25/37		967,955		1,074,720
U.S. Department of Veteran Affairs Series 1992-1, Class 2Z 7.750% 5/15/22		71,749		79,846

				21,675,346

Pass-Through Securities — 24.6%
Federal Home Loan Mortgage Corp. Pool #G11630 3.500% 6/01/19		84,002		88,786
Pool #J13972 3.500% 1/01/26		80,724		85,448
Pool #C91344 3.500% 11/01/30		208,940		223,084
Pool #C91424 3.500% 1/01/32		139,940		149,413
Pool #Q37467 3.500% 11/01/45		6,653,329		7,084,495
Pool #Q37468 3.500% 11/01/45		4,896,516		5,230,665
Pool #C91239 4.500% 3/01/29		11,753		12,908
Pool #C91251 4.500% 6/01/29		73,522		80,742
Pool #C03537 4.500% 8/01/40		1,483,927		1,643,681
Pool #G06057 4.500% 10/01/40		1,433,842		1,578,122
Pool #G60485 4.500% 10/01/41		1,873,488		2,062,886
Pool #G60469 4.500% 1/01/42		1,192,799		1,313,197


	Principal Amount		Value
Pool #G60342 4.500% 5/01/42	$	5,974,791	$	6,576,005
Pool #G60172 4.500% 9/01/43		1,911,801		2,118,813
Pool #G05253 5.000% 2/01/39		361,486		404,540
Pool #C90939 5.500% 12/01/25		46,227		51,874
Pool #C91026 5.500% 4/01/27		75,590		84,849
Pool #D97258 5.500% 4/01/27		71,609		80,367
Pool #C91074 5.500% 8/01/27		7,469		8,395
Pool #D97417 5.500% 10/01/27		15,182		17,036
Pool #C91128 5.500% 12/01/27		3,615		4,067
Pool #C91148 5.500% 1/01/28		141,930		159,526
Pool #C91176 5.500% 5/01/28		52,031		58,400
Pool #C91217 5.500% 11/01/28		19,764		22,218
Pool #G11431 6.000% 2/01/18		1,066		1,079
Pool #C01079 7.500% 10/01/30		2,387		2,885
Pool #C01135 7.500% 2/01/31		7,181		8,601
Pool #554904 9.000% 3/01/17		9		9
Federal Home Loan Mortgage Corp. TBA Pool #1J1368 3.000% 10/01/43 (d)		7,450,000		7,725,592
Pool #1513 4.000% 7/01/42 (d)		10,950,000		11,745,158
Federal National Mortgage Association Pool #725692 2.642% 10/01/33 1 year CMT + 2.144%, FRN		203,500		214,128
Pool #888586 2.668% 10/01/34 1 year CMT + 2.212%, FRN		188,040		198,290
Pool #775539 2.821% 5/01/34 12 mo. USD LIBOR + 1.635%, FRN		64,889		67,865
Pool #BC6007 3.000% 5/01/31		4,877,000		5,127,137


	Principal Amount		Value
Pool #AO8180 3.000% 9/01/42	$	47,858	$	49,900
Pool #AP8668 3.000% 12/01/42		259,739		270,656
Pool #AR1975 3.000% 12/01/42		58,278		60,727
Pool #AB7397 3.000% 12/01/42		220,463		229,867
Pool #AB7401 3.000% 12/01/42		211,869		220,906
Pool #AR0306 3.000% 1/01/43		17,669		18,412
Pool #AR5391 3.000% 1/01/43		139,722		145,595
Pool #AL3215 3.000% 2/01/43		201,138		209,592
Pool #AR4109 3.000% 2/01/43		184,880		192,650
Pool #AB8809 3.000% 3/01/43		110,381		115,020
Pool #MA1368 3.000% 3/01/43		364,641		379,967
Pool #AR4432 3.000% 3/01/43		73,531		76,622
Pool #AT0169 3.000% 3/01/43		309,813		322,835
Pool #AR2174 3.000% 4/01/43		366,450		381,852
Pool #AS1304 3.500% 12/01/28		2,505,553		2,654,223
Pool #AV1897 3.500% 12/01/28		388,740		411,806
Pool #AV2325 3.500% 12/01/28		1,308,645		1,386,295
Pool #AS6187 3.500% 11/01/45		15,284,183		16,273,476
Pool #AS6293 3.500% 12/01/45		5,845,970		6,224,360
Pool #AS6306 3.500% 12/01/45		5,272,668		5,627,955
Pool #AS6476 3.500% 1/01/46		4,827,495		5,154,293
Pool #AS6477 3.500% 1/01/46		5,603,594		5,968,047
Pool #AS6475 3.500% 1/01/46		4,634,179		4,962,373
Pool #AZ7917 4.000% 3/01/41		643,281		696,954
Pool #AL2441 4.000% 9/01/42		4,044,877		4,410,812
Pool #AL8422 4.000% 1/01/43		583,355		632,029
Pool #BC5984 4.000% 4/01/46		1,253,906		1,348,145


	Principal Amount		Value
Pool #AA3980 4.500% 4/01/28	$	89,769	$	100,605
Pool #AB1466 4.500% 9/01/40		742,784		818,629
Pool #AH6787 4.500% 3/01/41		1,352,069		1,499,424
Pool #AL7566 4.500% 10/01/42		1,454,183		1,603,578
Pool #AL6997 4.500% 11/01/42		2,883,955		3,198,261
Pool #AD6437 5.000% 6/01/40		815,228		915,284
Pool #AD6996 5.000% 7/01/40		5,722,001		6,394,784
Pool #AL8173 5.000% 2/01/44		2,249,737		2,509,336
Pool #AD0836 5.500% 11/01/28		136,404		153,561
Pool #575667 7.000% 3/01/31		13,367		16,054
Pool #497120 7.500% 8/01/29		356		432
Pool #529453 7.500% 1/01/30		2,908		3,523
Pool #531196 7.500% 2/01/30		379		459
Pool #532418 7.500% 2/01/30		4,526		5,484
Pool #530299 7.500% 3/01/30		423		496
Pool #536386 7.500% 4/01/30		514		620
Pool #535996 7.500% 6/01/31		9,714		11,737
Pool #523499 8.000% 11/01/29		301		365
Pool #252926 8.000% 12/01/29		276		335
Pool #532819 8.000% 3/01/30		202		248
Pool #534703 8.000% 5/01/30		3,054		3,731
Pool #253437 8.000% 9/01/30		213		261
Pool #253481 8.000% 10/01/30		136		166
Pool #602008 8.000% 8/01/31		6,298		7,674
Pool #596656 8.000% 8/01/31		2,247		2,465
Pool #190317 8.000% 8/01/31		4,803		5,868
Pool #597220 8.000% 9/01/31		3,491		4,275


	Principal Amount		Value
Federal National Mortgage Association TBA Pool #1866 2.500% 11/01/28 (d)	$	72,900,000	$	75,368,919
Pool #1817 3.000% 12/01/43 (d)		13,120,000		13,608,925
Pool #18388 4.000% 11/01/42 (d)		13,775,000		14,775,302
Pool #21133 4.500% 7/01/40 (d)		6,100,000		6,680,453
Government National Mortgage Association Pool #783896 3.500% 5/15/44		5,474,062		5,877,989
Pool #371146 7.000% 9/15/23		576		645
Pool #352022 7.000% 11/15/23		8,760		9,909
Pool #374440 7.000% 11/15/23		602		674
Pool #491089 7.000% 12/15/28		10,769		12,470
Pool #480539 7.000% 4/15/29		486		578
Pool #488634 7.000% 5/15/29		2,594		3,077
Pool #478658 7.000% 5/15/29		2,434		2,908
Pool #500928 7.000% 5/15/29		4,826		5,749
Pool #499410 7.000% 7/15/29		1,409		1,687
Pool #508655 7.000% 7/15/29		149		176
Pool #510083 7.000% 7/15/29		1,786		2,116
Pool #493723 7.000% 8/15/29		7,585		9,067
Pool #516706 7.000% 8/15/29		130		141
Pool #505558 7.000% 9/15/29		1,568		1,872
Pool #581417 7.000% 7/15/32		25,957		31,195
Pool #203940 7.500% 4/15/17		553		559
Pool #193870 7.500% 5/15/17		1,019		1,034
Pool #192796 7.500% 6/15/17		158		161
Pool #226163 7.500% 7/15/17		1,886		1,919


	Principal Amount		Value
Government National Mortgage Association II Pool #008746 2.000% 11/20/25 1 year CMT + 1.500%, FRN	$	6,088	$	6,223
Pool #080136 2.000% 11/20/27 1 year CMT + 1.500%, FRN		1,186		1,215
Pool #82462 2.000% 1/20/40 1 year CMT + 1.500%, FRN		752,756		776,527
Pool #82488 2.000% 3/20/40 1 year CMT + 1.500%, FRN		725,751		749,663
Pool #784026 3.500% 12/20/44		1,904,091		2,043,848
Government National Mortgage Association II TBA Pool #264 2.500% 7/01/44 (d)		12,000,000		12,206,250
Pool #1581 3.000% 8/01/44 (d)		41,500,000		43,395,060

				305,489,596


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $324,882,244)				327,164,942


U.S. TREASURY OBLIGATIONS — 5.0%
U.S. Treasury Bonds & Notes — 5.0%
U.S. Treasury Bond 2.500% 5/15/46		9,950,000		10,330,070
U.S. Treasury Bond 2.875% 8/15/45		20,700,000		23,125,647
U.S. Treasury Bond (e) 3.500% 2/15/39		19,600,000		24,328,500
U.S. Treasury Note 1.250% 3/31/21		4,000,000		4,021,125
U.S. Treasury Note 1.625% 5/15/26		600,000		601,376

				62,406,718


TOTAL U.S. TREASURY OBLIGATIONS (Cost $59,241,066)				62,406,718


TOTAL BONDS & NOTES (Cost $1,195,165,252)				1,225,506,774


TOTAL LONG-TERM INVESTMENTS (Cost $1,197,540,252)				1,228,101,224


	Principal Amount		Value

SHORT-TERM INVESTMENTS — 16.3%
Commercial Paper — 16.3%
Agrium, Inc. 1.016% 12/07/16	$	18,000,000	$	17,968,210
Anheuser-Busch InBev Worldwide, Inc. (a) 1.019% 1/13/17		5,000,000		4,989,645
Anheuser-Busch InBev Worldwide, Inc. (a) 1.150% 10/07/16		5,100,000		5,099,613
Anheuser-Busch InBev Worldwide, Inc. (a) 1.350% 10/14/16		8,000,000		7,998,678
CDP Financial, Inc. (a) 1.200% 3/07/17		2,700,000		2,690,354
CDP Financial, Inc. (a) 1.220% 3/13/17		5,000,000		4,981,049
CDP Financial, Inc. (a) 1.234% 2/23/17		5,000,000		4,984,204
Dollar General Corp. (a) 0.600% 10/03/16		3,500,000		3,499,770
Ford Motor Credit Co. 1.030% 11/03/16		6,400,000		6,395,013
Ford Motor Credit Co. 1.050% 11/09/16		7,500,000		7,493,058
Ford Motor Credit Co. 1.067% 11/14/16		6,000,000		5,993,700
Fortive Corp. (a) 1.100% 10/26/16		3,900,000		3,897,716
Hyundai Capital America (a) 1.016% 12/15/16		10,000,000		9,979,543
Hyundai Capital America (a) 1.016% 12/21/16		10,000,000		9,977,336
Monsanto Co. (a) 1.270% 11/30/16		15,000,000		14,977,023
National Grid USA (a) 0.900% 10/17/16		400,000		399,851
ONEOK Partners LP (a) 1.100% 10/12/16		4,655,000		4,653,813
ONEOK Partners LP (a) 1.100% 10/19/16		2,400,000		2,398,996
ONEOK Partners LP (a) 1.116% 10/13/16		4,000,000		3,998,888
ONEOK Partners LP (a) 1.116% 10/24/16		8,000,000		7,995,696
Schlumberger Holding Corp. (a) 1.037% 12/15/16		5,000,000		4,990,827
Schlumberger Holding Corp. (a) 1.037% 10/17/16		10,000,000		9,996,756
Schlumberger Holding Corp. (a) 1.068% 11/17/16		4,000,000		3,995,989


	Principal Amount		Value
Schlumberger Holding Corp. (a) 1.080% 10/04/16	$	2,525,000	$	2,524,825
Sempra Energy Holdings (a) 0.964% 10/12/16		5,000,000		4,998,725
Sempra Energy Holdings (a) 1.140% 11/16/16		5,000,000		4,994,465
Spectra Energy Capital LLC (a) 1.015% 10/18/16		4,000,000		3,998,420
The Bank of Nova Scotia (a) 1.255% 2/21/17		15,000,000		14,937,840
Thomson Reuters Corp. (a) 0.913% 10/13/16		5,000,000		4,998,790
Thomson Reuters Corp. (a) 1.118% 10/12/16		7,000,000		6,998,448
Whirlpool Corp. (a) 1.016% 12/14/16		10,000,000		9,979,896

				202,787,137


Time Deposit — 0.0%
Euro Time Deposit 0.010% 10/03/16		135,216		135,216


TOTAL SHORT-TERM INVESTMENTS (Cost $202,857,129)				202,922,353


TOTAL INVESTMENTS — 115.0% (Cost $1,400,397,381) (f)				1,431,023,577

Other Assets/(Liabilities) — (15.0)%				(186,747,988	)


NET ASSETS — 100.0%			$	1,244,275,589

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

BAB	Build America Bonds

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

MTA	Monthly Treasury Average Index

PAC	Planned Amortization Class

STEP	Step Up Bond

TBA	To Be Announced

VRN	Variable Rate Note

WL	Whole Loan

(a)


	Principal Amount		Value
BONDS & NOTES — 98.9%

CORPORATE DEBT — 40.9%
Aerospace & Defense — 1.0%
Harris Corp. 2.700% 4/27/20	$	1,034,000	$	1,053,326
L-3 Communications Corp. 5.200% 10/15/19		885,000		969,065

				2,022,391

Agriculture — 1.0%
Bunge Ltd. Finance Corp. 3.200% 6/15/17		830,000		840,722
Bunge Ltd. Finance Corp. 3.500% 11/24/20		330,000		345,150
Imperial Brands Finance PLC (a) 2.950% 7/21/20		887,000		915,798

				2,101,670

Airlines — 0.3%
American Airlines Pass-Through Trust, Series 2014-1, Class B 4.375% 4/01/24		34,583		35,143
WestJet Airlines Ltd. (a) 3.500% 6/16/21		525,000		538,013

				573,156

Auto Manufacturers — 1.6%
Ford Motor Credit Co. LLC 2.240% 6/15/18		1,000,000		1,007,985
General Motors Co. 3.500% 10/02/18		205,000		211,324
General Motors Financial Co., Inc. 2.400% 5/09/19		110,000		110,620
General Motors Financial Co., Inc. 3.100% 1/15/19		520,000		530,051
General Motors Financial Co., Inc. 3.200% 7/13/20		25,000		25,599
Hyundai Capital America (a) 2.000% 7/01/19		65,000		65,353
Hyundai Capital America (a) 2.550% 2/06/19		170,000		172,953
Hyundai Capital America (a) 3.000% 10/30/20		800,000		829,004
Nissan Motor Acceptance Corp. (a) 1.900% 9/14/21		480,000		478,701

				3,431,590

Automotive & Parts — 0.9%
The Goodyear Tire & Rubber Co. 5.125% 11/15/23		1,050,000		1,094,625
Lear Corp. 4.750% 1/15/23		850,000		882,937

				1,977,562


	Principal Amount		Value
Banks — 3.8%
ANZ New Zealand Int’l Ltd. (a) 2.250% 2/01/19	$	1,090,000	$	1,103,520
Bancolombia SA 5.950% 6/03/21		345,000		380,690
CIT Group, Inc. 4.250% 8/15/17		1,050,000		1,069,688
Citigroup, Inc. 2.350% 8/02/21		1,065,000		1,069,144
First Horizon National Corp. 3.500% 12/15/20		980,000		1,000,240
Itau Unibanco Holding SA (a) 2.850% 5/26/18		270,000		270,675
Macquarie Bank Ltd. (a) 2.850% 1/15/21		130,000		133,904
Mitsubishi UFJ Trust & Banking Corp. (a) 2.650% 10/19/20		910,000		931,871
Regions Financial Corp. 3.200% 2/08/21		1,095,000		1,138,317
Regions Financial Corp. 7.500% 5/15/18		130,000		141,465
Sumitomo Mitsui Financial Group, Inc. 2.058% 7/14/21		485,000		481,046
SVB Financial Group 5.375% 9/15/20		75,000		83,360
Turkiye Garanti Bankasi AS (a) 4.750% 10/17/19		370,000		372,805

				8,176,725

Beverages — 0.8%
Anheuser-Busch InBev Finance, Inc. 2.650% 2/01/21		660,000		681,051
Coca-Cola Femsa SAB de CV 2.375% 11/26/18		850,000		864,635
Molson Coors Brewing Co. 2.100% 7/15/21		185,000		186,703

				1,732,389

Biotechnology — 0.5%
Celgene Corp. 2.250% 5/15/19		70,000		71,189
Celgene Corp. 2.875% 8/15/20		965,000		998,276

				1,069,465

Building Materials — 1.0%
Holcim US Finance Sarl & Cie SCS (a) 6.000% 12/30/19		695,000		776,575
Martin Marietta Material, Inc. 3 mo. USD LIBOR + 1.100%, FRN 1.938% 6/30/17		205,000		205,496
Masco Corp. 3.500% 4/01/21		480,000		496,800


	Principal Amount		Value
Masco Corp. 7.125% 3/15/20	$	500,000	$	575,000

				2,053,871

Chemicals — 2.0%
Air Liquide Finance SA (a) 1.750% 9/27/21		200,000		199,261
Airgas, Inc. 3.050% 8/01/20		915,000		949,563
CF Industries, Inc. 6.875% 5/01/18		1,075,000		1,156,377
Ecolab, Inc. 2.000% 1/14/19		460,000		465,340
LyondellBasell Industries NV 5.000% 4/15/19		960,000		1,030,352
RPM International, Inc. 6.125% 10/15/19		328,000		365,750
RPM International, Inc. 6.500% 2/15/18		85,000		90,155

				4,256,798

Commercial Services — 0.8%
Leidos Holdings, Inc. 4.450% 12/01/20		525,000		545,842
S&P Global, Inc. 3.300% 8/14/20		635,000		666,579
The Western Union Co. 5.930% 10/01/16		545,000		545,000

				1,757,421

Computers — 0.4%
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 3.480% 6/01/19		370,000		380,534
Diamond 1 Finance Corp./Diamond 2 Finance Corp. (a) 4.420% 6/15/21		345,000		360,566

				741,100

Diversified Financial — 5.4%
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 4.500% 5/15/21		1,010,000		1,056,713
Air Lease Corp. (b) 2.125% 1/15/20		300,000		299,376
Air Lease Corp. 3.375% 1/15/19		365,000		374,899
Air Lease Corp. 5.625% 4/01/17		465,000		472,929
Ally Financial, Inc. 3.600% 5/21/18		440,000		446,600
Ally Financial, Inc. 4.750% 9/10/18		800,000		828,000
BGC Partners, Inc. (a) 5.125% 5/27/21		525,000		549,753


	Principal Amount		Value
General Motors Financial Co., Inc. 2.625% 7/10/17	$	190,000	$	191,507
The Goldman Sachs Group, Inc. 2.875% 2/25/21		2,090,000		2,143,594
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 3.500% 3/15/17		955,000		956,146
International Lease Finance Corp. 3.875% 4/15/18		100,000		102,375
Lazard Group LLC 4.250% 11/14/20		465,000		498,569
Lazard Group LLC 6.850% 6/15/17		39,000		40,238
Merrill Lynch & Co., Inc. 5.700% 5/02/17		1,900,000		1,944,526
Morgan Stanley 2.450% 2/01/19		1,685,000		1,715,362

				11,620,587

Electric — 1.7%
Ameren Corp. 2.700% 11/15/20		385,000		396,943
EDP Finance BV (a) 4.125% 1/15/20		750,000		777,375
EDP Finance BV (a) 4.900% 10/01/19		108,000		114,783
Entergy Texas, Inc. 2.550% 6/01/21		75,000		77,137
Entergy Texas, Inc. 7.125% 2/01/19		580,000		650,637
IPALCO Enterprises, Inc. 5.000% 5/01/18		315,000		328,388
Israel Electric Corp. Ltd. (a) 7.250% 1/15/19		350,000		388,500
Majapahit Holding BV (a) 7.750% 1/20/20		330,000		379,500
The Southern Co. 1.850% 7/01/19		135,000		136,062
The Southern Co. 2.350% 7/01/21		290,000		295,539

				3,544,864

Electronics — 0.3%
FLIR Systems, Inc. 3.125% 6/15/21		480,000		495,423
Jabil Circuit, Inc. 8.250% 3/15/18		90,000		97,983

				593,406

Environmental Controls — 0.2%
Clean Harbors, Inc. 5.250% 8/01/20		415,000		426,413

Foods — 0.1%
JBS Investments GmbH (a) 7.750% 10/28/20		200,000		209,500


	Principal Amount		Value
Tyson Foods, Inc. 2.650% 8/15/19	$	60,000	$	61,524

				271,024

Forest Products & Paper — 0.5%
Sappi Papier Holding GmbH (a) 7.750% 7/15/17		1,000,000		1,022,500

Hand & Machine Tools — 0.3%
Stanley Black & Decker, Inc. 2.451% 11/17/18		630,000		643,662

Health Care – Products — 0.3%
Boston Scientific Corp. 2.850% 5/15/20		255,000		262,810
Zimmer Biomet Holdings, Inc. 2.000% 4/01/18		398,000		400,660

				663,470

Health Care – Services — 1.7%
Aetna, Inc. 1.900% 6/07/19		485,000		489,450
Cigna Corp. 4.000% 2/15/22		276,000		300,065
Cigna Corp. 4.500% 3/15/21		470,000		515,504
HCA, Inc. 3.750% 3/15/19		1,040,000		1,075,100
Laboratory Corp. of America Holdings 2.625% 2/01/20		440,000		448,314
UnitedHealth Group, Inc. 1.700% 2/15/19		855,000		860,684

				3,689,117

Home Builders — 0.4%
Lennar Corp. 4.500% 11/15/19		888,000		935,730

Housewares — 0.3%
Newell Brands, Inc. 2.600% 3/29/19		660,000		674,810

Insurance — 2.0%
American International Group, Inc. 3.300% 3/01/21		450,000		472,140
CNA Financial Corp. 5.750% 8/15/21		93,000		107,215
Lincoln National Corp. 6.250% 2/15/20		400,000		450,170
Reinsurance Group of America, Inc. 5.625% 3/15/17		450,000		458,082
TIAA Asset Management Finance Co. LLC (a) 2.950% 11/01/19		945,000		973,719
Trinity Acquisition PLC 3.500% 9/15/21		330,000		343,950
Unum Group 3.000% 5/15/21		135,000		138,030


	Principal Amount		Value
Willis North America, Inc. 6.200% 3/28/17	$	270,000	$	275,882
Willis Towers Watson PLC 5.750% 3/15/21		370,000		416,687
XLIT Ltd. 5.750% 10/01/21		465,000		532,268

				4,168,143

Internet — 0.4%
Expedia, Inc. 7.456% 8/15/18		758,000		834,677

Investment Companies — 0.4%
Ares Capital Corp. 3.875% 1/15/20		465,000		480,940
FS Investment Corp. 4.000% 7/15/19		365,000		371,248

				852,188

Iron & Steel — 0.1%
Reliance Steel & Aluminum Co. 6.200% 11/15/16		185,000		185,808

Leisure Time — 0.4%
Brunswick Corp. (a) 4.625% 5/15/21		878,000		902,145

Lodging — 0.3%
Marriott International, Inc. 2.300% 1/15/22		30,000		30,253
Marriott International, Inc. 2.875% 3/01/21		605,000		627,609

				657,862

Machinery – Diversified — 0.3%
CNH Industrial Capital LLC 3.375% 7/15/19		308,000		313,390
CNH Industrial Capital LLC 3.625% 4/15/18		100,000		101,250
CNH Industrial Capital LLC 4.875% 4/01/21		115,000		122,188
CNH Industrial Capital LLC 6.250% 11/01/16		190,000		190,570

				727,398

Manufacturing — 0.3%
Tyco Electronics Group SA 6.550% 10/01/17		700,000		735,473

Media — 1.0%
Charter Communications Operating LLC/Charter Communications Operating Capital (a) 3.579% 7/23/20		605,000		632,345
Sirius XM Radio, Inc. (a) 4.250% 5/15/20		900,000		918,000
Viacom, Inc. 2.250% 2/04/22		95,000		94,555


	Principal Amount		Value
Viacom, Inc. 6.125% 10/05/17	$	550,000	$	574,222

				2,219,122

Mining — 0.5%
Glencore Canada Corp. 5.500% 6/15/17		890,000		910,025
Glencore Finance Canada STEP (a) 2.700% 10/25/17		153,000		153,229

				1,063,254

Office Equipment/Supplies — 0.7%
Pitney Bowes, Inc. 3.375% 10/01/21		590,000		589,716
Pitney Bowes, Inc. 4.750% 5/15/18		750,000		776,946
Pitney Bowes, Inc. 5.750% 9/15/17		33,000		34,243

				1,400,905

Oil & Gas Services — 0.1%
Cameron International Corp. 1.400% 6/15/17		300,000		299,999

Packaging & Containers — 0.4%
Graphic Packaging International, Inc. 4.750% 4/15/21		850,000		907,375

Pharmaceuticals — 2.7%
AbbVie, Inc. 1.800% 5/14/18		1,065,000		1,069,351
Actavis Funding SCS Co. 2.350% 3/12/18		590,000		596,083
Baxalta, Inc. 2.000% 6/22/18		485,000		486,201
Express Scripts Holding Co. 3.300% 2/25/21		1,015,000		1,066,720
Mylan NV (a) 2.500% 6/07/19		360,000		363,197
Mylan NV (a) 3.150% 6/15/21		900,000		916,897
Shire Acquisitions Investments Ireland DAC 2.400% 9/23/21		235,000		235,296
Teva Pharmaceutical Finance Netherlands III BV 2.200% 7/21/21		1,075,000		1,070,946

				5,804,691

Pipelines — 0.2%
Boardwalk Pipelines LP 5.875% 11/15/16		375,000		376,739

Real Estate Investment Trusts (REITS) — 1.9%
American Tower Corp. 2.250% 1/15/22		415,000		414,153
American Tower Corp. 3.300% 2/15/21		355,000		371,111


	Principal Amount		Value
Crown Castle International Corp. 3.400% 2/15/21	$	594,000	$	621,647
DDR Corp. 7.500% 7/15/18		925,000		1,013,254
Digital Realty Trust LP 3.400% 10/01/20		320,000		333,490
Duke Realty LP 8.250% 8/15/19		200,000		233,875
HCP, Inc. 6.000% 1/30/17		550,000		557,866
Highwoods Realty LP 5.850% 3/15/17		275,000		279,942
Highwoods Realty LP 7.500% 4/15/18		25,000		27,031
Weyerhaeuser Co. 7.375% 10/01/19		135,000		155,202

				4,007,571

Retail — 1.3%
AutoNation, Inc. 3.350% 1/15/21		255,000		262,602
CVS Health Corp. 2.125% 6/01/21		740,000		747,511
Dollar Tree, Inc. 5.750% 3/01/23		850,000		914,813
The Home Depot, Inc. 2.000% 4/01/21		470,000		477,859
QVC, Inc. 3.125% 4/01/19		347,000		355,789

				2,758,574

Semiconductors — 0.5%
KLA-Tencor Corp. 2.375% 11/01/17		455,000		458,085
NXP BV/NXP Funding LLC (a) 4.125% 6/01/21		570,000		610,612

				1,068,697

Telecommunications — 0.1%
Verizon Communications, Inc. 1.750% 8/15/21		245,000		242,321

Transportation — 0.8%
Asciano Finance Ltd. (a) 5.000% 4/07/18		547,000		565,784
Ryder System, Inc. 2.500% 3/01/18		475,000		481,138
Ryder System, Inc. 2.550% 6/01/19		65,000		66,282
Ryder System, Inc. 2.875% 9/01/20		280,000		286,723
TTX Co. (a) 2.250% 2/01/19		300,000		303,893

				1,703,820


	Principal Amount		Value
Trucking & Leasing — 1.2%
Aviation Capital Group Corp. (a) 2.875% 9/17/18	$	1,070,000	$	1,083,375
GATX Corp. 2.600% 3/30/20		455,000		461,031
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 2.500% 6/15/19		370,000		375,419
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.050% 1/09/20		525,000		539,826
Penske Truck Leasing Co. LP/PTL Finance Corp. (a) 3.300% 4/01/21		150,000		155,964

				2,615,615


TOTAL CORPORATE DEBT (Cost $86,127,503)				87,512,098


MUNICIPAL OBLIGATIONS — 0.1%
Access to Loans for Learning Student Loan Corp., Series 2004-IV, Class Note FRN 0.915% 4/25/24		73,227		73,210
Louisiana State Public Facilities Authority, Series 2011-A, Class A2 FRN 1.538% 4/26/27		95,542		94,961

				168,171


TOTAL MUNICIPAL OBLIGATIONS (Cost $167,487)				168,171


NON-U.S. GOVERNMENT AGENCY OBLIGATIONS — 34.3%
Auto Floor Plan ABS — 0.3%
Navistar Financial Dealer Note Master Owner Trust II, Series 2016-1, Class A, 1 mo. LIBOR + 1.350%, FRN (a) 1.000% 9/27/21		520,000		523,272
NCF Dealer Floorplan Master Trust, Series 2014-1A, Class A, 1 mo. LIBOR + 1.500%, FRN (a) 2.032% 10/20/20		200,000		200,000

				723,272

Automobile ABS — 6.0%
American Credit Acceptance Receivables Trust, Series 2015-2, Class A (a) 1.570% 6/12/19		118,984		118,759


	Principal Amount		Value
American Credit Acceptance Receivables Trust, Series 2016-3, Class A (a) 1.700% 11/12/20	$	282,798	$	282,555
American Credit Acceptance Receivables Trust, Series 2015-3, Class A (a) 1.950% 9/12/19		237,146		237,699
American Credit Acceptance Receivables Trust, Series 2016-2, Class A (a) 2.220% 7/13/20		332,813		333,269
American Credit Acceptance Receivables Trust, Series 2016-1A, Class A (a) 2.370% 5/12/20		117,876		117,912
AmeriCredit Automobile Receivables Trust, Series 2014-1, Class D 2.540% 6/08/20		210,000		212,686
Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A (a) 2.100% 3/20/19		200,000		200,261
Capital Automotive REIT, Series 2012-1A, Class A (a) 4.700% 7/15/42		191,890		195,611
CFC LLC, Series 2015-1A, Class A (a) 1.750% 6/15/21		125,295		124,761
CPS Auto Receivables Trust, Series 2016-C, Class B (a) 2.480% 9/15/20		190,000		190,801
CPS Auto Trust, Series 2014-B, Class A (a) 1.110% 11/15/18		65,054		64,831
CPS Auto Trust, Series 2014-C, Class A (a) 1.310% 2/15/19		80,881		80,778
CPS Auto Trust, Series 2014-D, Class A (a) 1.490% 4/15/19		59,268		59,230
CPS Auto Trust, Series 2013-D, Class A (a) 1.540% 7/16/18		17,826		17,816
CPS Auto Trust, Series 2015-C, Class A (a) 1.770% 6/17/19		95,884		96,123
CPS Auto Trust, Series 2013-B, Class A (a) 1.820% 9/15/20		165,663		164,706
CPS Auto Trust, Series 2015-C, Class B (a) 2.550% 2/18/20		250,000		251,227
Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A (a) 1.880% 3/15/22		370,000		370,099
Credit Acceptance Auto Loan Trust, Series 2016-2A, Class A (a) 2.420% 11/15/23		250,000		250,793
Drive Auto Receivables Trust, Series 2016-BA, Class B (a) 2.560% 6/15/20		140,000		141,125
DT Auto Owner Trust, Series 2015-3A, Class A (a) 1.660% 3/15/19		94,725		94,779


	Principal Amount		Value
DT Auto Owner Trust, Series 2016-1A, Class A (a) 2.000% 9/16/19	$	310,561	$	310,505
DT Auto Owner Trust, Series 2016-1A, Class B (a) 2.790% 5/15/20		450,000		454,187
DT Auto Owner Trust, Series 2016-2A, Class B (a) 2.920% 5/15/20		230,000		229,977
Enterprise Fleet Financing LLC, Series 2016-1, Class A2 (a) 1.830% 9/20/21		450,000		449,950
Exeter Automobile Receivables Trust, Series 2014-3A, Class A (a) 1.320% 1/15/19		23,492		23,459
Exeter Automobile Receivables Trust, Series 2015-2A, Class A (a) 1.540% 11/15/19		96,518		96,183
Exeter Automobile Receivables Trust, Series 2015-3A, Class A (a) 2.000% 3/16/20		143,042		142,655
Exeter Automobile Receivables Trust, Series 2013-2A, Class B (a) 3.090% 7/16/18		8,754		8,760
First Investors Auto Owner Trust, Series 2013-3A, Class A3 (a) 1.440% 10/15/19		59,014		59,022
First Investors Auto Owner Trust, Series 2015-2A, Class A1 (a) 1.590% 12/16/19		102,849		102,879
First Investors Auto Owner Trust, Series 2016-1A, Class A1 (a) 1.920% 5/15/20		287,465		287,933
First Investors Auto Owner Trust, Series 2016-2A, Class B (a) 2.210% 7/15/22		540,000		540,771
Flagship Credit Auto Trust, Series 2014-2, Class A (a) 1.430% 12/16/19		80,568		80,343
Flagship Credit Auto Trust, Series 2013-2, Class A (a) 1.940% 1/15/19		17,382		17,399
Flagship Credit Auto Trust, Series 2015-2, Class A (a) 1.980% 10/15/20		151,263		150,748
Flagship Credit Auto Trust, Series 2015-3, Class A (a) 2.380% 10/15/20		165,116		165,800
Flagship Credit Auto Trust, Series 2016-1, Class A (a) 2.770% 12/15/20		379,532		382,113
Flagship Credit Auto Trust, Series 2013-2, Class B (a) 3.210% 8/15/19		280,000		281,902


	Principal Amount		Value
GLS Auto Receivables Trust, Series 2015-1A, Class A (a) 2.250% 12/15/20	$	82,845	$	82,733
GO Financial Auto Securitization Trust, Series 2015-1, Class A (a) 1.810% 3/15/18		12,535		12,529
NextGear Floorplan Master Owner Trust, Series 2016-1A, Class A1, 1 mo. LIBOR + 1.700%, FRN (a) 2.224% 4/15/21		370,000		370,718
NextGear Floorplan Master Owner Trust, Series 2015-2A, Class A (a) 2.380% 10/15/20		250,000		248,810
OneMain Direct Auto Receivables Trust, Series 2016-1A, Class A (a) 2.040% 1/15/21		157,309		157,789
Oscar US Funding Trust, Series 2015-1A, Class A3 (a) 1.860% 10/15/19		750,000		744,044
Oscar US Funding Trust II, Series 2015-1A, Class A4 (a) 2.440% 6/15/22		300,000		296,442
Oscar US Funding Trust IV, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.224% 7/15/20		241,415		241,348
Oscar US Funding Trust V, Series 2016-2A, Class A1 (a) 0.900% 9/17/17		340,000		340,000
Oscar US Funding Trust V, Series 2016-2A, Class A2A (a) 2.310% 11/15/19		420,000		419,948
Santander Drive Auto Receivables Trust, Series 2016-1, Class A3 1.620% 3/16/20		180,000		179,687
Santander Drive Auto Receivables Trust, Series 2015-S2, Class R1 (a) 1.840% 11/18/19		4,562		4,558
Santander Drive Auto Receivables Trust, Series 2015-2, Class C 2.440% 4/15/21		470,000		474,704
Santander Drive Auto Receivables Trust, Series 2016-1, Class B 2.470% 12/15/20		340,000		342,276
Santander Drive Auto Receivables Trust, Series 2014-4, Class D 3.100% 11/16/20		200,000		203,225
Santander Drive Auto Receivables Trust, Series 2016-1, Class D 4.020% 4/15/22		500,000		521,903
United Auto Credit Securitization Trust, Series 2016-1, Class A (a) 2.000% 10/15/17		85,454		85,434


	Principal Amount		Value
Westlake Automobile Receivables Trust, Series 2016-1A, Class A2B, 1 mo. USD LIBOR + 1.050%, FRN (a) 1.574% 1/15/19	$	667,353	$	668,233

				12,784,788

Commercial MBS — 3.3%
Banc of America Commercial Mortgage, Inc., Series 2007-3, Class A4, VRN 5.723% 6/10/49		203,199		205,601
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class A4, VRN 5.938% 2/10/51		213,822		218,468
Banc of America Commercial Mortgage, Inc., Series 2007-4, Class AM, VRN 6.005% 2/10/51		180,000		184,899
Banc of America Commercial Mortgage, Inc., Series 2008-1, Class A4, VRN 6.436% 2/10/51		340,633		353,799
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class A4 5.201% 12/11/38		87,869		87,965
Bear Stearns Commercial Mortgage Securities, Series 2006-PW14, Class AM 5.243% 12/11/38		225,000		225,423
Bear Stearns Commercial Mortgage Securities, Series 2007-T26, Class A4, VRN 5.471% 1/12/45		362,516		365,288
Bear Stearns Commercial Mortgage Securities, Series 2006-T24, Class AM, VRN 5.568% 10/12/41		218,573		218,430
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class A4, VRN 5.694% 6/11/50		98,979		101,639
Bear Stearns Commercial Mortgage Securities, Series 2007-PW17, Class AM, VRN 5.915% 6/11/50		425,000		434,715
Commercial Mortgage Pass-Through Certificates, Series 2014-BBG, Class A, 1 mo. LIBOR + ..800%, FRN (a) 1.325% 3/15/29		365,000		362,028
Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class A2 3.147% 2/10/47		290,000		298,923
Commercial Mortgage Pass-Through Certificates, Series 2007-C9, Class A4, VRN 6.007% 12/10/49		353,590		361,500


	Principal Amount		Value
DBRR Trust, Series 2013-EZ3, Class A, VRN (a) 1.636% 12/18/49	$	20,731	$	20,724
DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 (a) 3.742% 11/10/46		4,920		4,959
GCCFC Commercial Mortgage Trust, Series 2006-GG7, Class AM, VRN 5.951% 7/10/38		174,859		175,106
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2006-CB17, Class A4 5.429% 12/12/43		691		691
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class AM, VRN 6.088% 2/12/51		270,000		279,208
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2006-4, Class AM 5.204% 12/12/49		148,733		148,661
Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4 5.700% 9/12/49		419,465		432,267
ML-CFC Commercial Mortgage Trust, Series 2007-9, Class AM, VRN 5.856% 9/12/49		250,000		257,149
Morgan Stanley Capital I, Series 2006-IQ12, Class AM 5.370% 12/15/43		200,000		200,300
Morgan Stanley Capital I, Series 2007-HQ11, Class A4, VRN 5.447% 2/12/44		292,096		292,646
Morgan Stanley Capital I, Series 2007-HQ11, Class AM, VRN 5.478% 2/12/44		300,000		301,395
Morgan Stanley Capital I, Series 2007-HQ11, Class AJ, VRN 5.508% 2/12/44		190,000		186,850
Morgan Stanley Capital I, Series 2007-IQ14, Class A2 5.610% 4/15/49		24,020		23,964
Morgan Stanley Capital I, Series 2008-T29, Class A4, VRN 6.477% 1/11/43		121,419		127,096
STRIPs Ltd., Series 2012-1A, Class A (a) 1.500% 12/25/44		12,153		12,153
TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ, VRN 5.483% 8/15/39		42,273		42,554
Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class AM 5.339% 11/15/48		440,000		441,289


	Principal Amount		Value
Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 5.509% 4/15/47	$	190,343	$	192,241
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33, Class AM, VRN 6.158% 2/15/51		440,000		449,534

				7,007,465

Credit Card ABS — 2.1%
Chase Issuance Trust, Series 2014-A1, Class A1 1.150% 1/15/19		4,460,000		4,461,926

Home Equity ABS — 0.8%
ACE Securities Corp., Series 2005-AG1, Class A1B1, 1 mo. USD LIBOR + .270%, FRN 0.795% 8/25/35		40,400		40,368
ACE Securities Corp., Series 2005-HE7, Class A2D, 1 mo. USD LIBOR + .660%, FRN 1.185% 11/25/35		71,092		70,526
ACE Securities Corp., Series 2005-HE5, Class M2, 1 mo. USD LIBOR + .735%, FRN 1.260% 8/25/35		119,355		119,040
Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE3, Class A2, 1 mo. USD LIBOR + .180%, FRN 0.705% 4/25/36		580		580
Bear Stearns Asset-Backed Securities I Trust, Series 2005-HE12, Class M1, 1 mo. USD LIBOR + .480%, FRN 1.005% 12/25/35		246,018		240,789
Citigroup Mortgage Loan Trust, Series 2005-OPT4, Class M2, 1 mo. USD LIBOR + .430%, FRN 0.955% 7/25/35		18,348		18,257
Countrywide Asset-Backed Certificates, Series 2004-5, Class 3A, 1 mo. USD LIBOR + .460%, FRN 0.985% 9/25/34		34,449		34,058
Countrywide Partnership Trust, Series 2004-EC1, Class M1, 1 mo. USD LIBOR + .900%, FRN 1.425% 2/25/35		102,644		83,508
Credit Suisse Seasoned Loan Trust, Series 2006-1, Class A, 1 mo. USD LIBOR + .240%, FRN (a) 0.765% 10/25/34		164,332		163,473
First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1, 1 mo. USD LIBOR + .630%, FRN 1.155% 5/25/36		55,538		55,319


	Principal Amount		Value
First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.170% 5/25/35	$	9,190	$	9,188
Fremont Home Loan Trust, Series 2005-E, Class 2A3, 1 mo. USD LIBOR + .240%, FRN 0.765% 1/25/36		37,719		37,421
GSAMP Trust, Series 2005-AHL, Class M1, 1 mo. USD LIBOR + .645%, FRN 1.170% 4/25/35		51,013		51,052
Home Equity Asset Trust, Series 2006-4, Class 2A3, 1 mo. USD LIBOR + .170%, FRN 0.695% 8/25/36		24,005		24,006
JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2V2, 1 mo. USD LIBOR + .220%, FRN 0.745% 10/25/35		135,799		135,852
Long Beach Mortgage Loan Trust, Series 2005-WL1, Class M2, 1 mo. USD LIBOR + .825%, FRN 1.350% 6/25/35		169,797		168,316
New Century Home Equity Loan Trust, Series 1997-NC5, Class A6, STEP 6.620% 10/25/28		5		5
NovaStar Mortgage Funding Trust, Series 2005-3, Class A2D, 1 mo. LIBOR + .370%, FRN 0.895% 1/25/36		141,940		141,044
Option One Mortgage Loan Trust, Series 2005-5, Class A3, 1 mo. USD LIBOR + .210%, FRN 0.735% 12/25/35		149,664		149,079
Park Place Securities, Inc., Series 2005-WHQ4, Class A1A, 1 mo. USD LIBOR + .260%, FRN 0.785% 9/25/35		43,970		43,990
Park Place Securities, Inc., Series 2005-WCW3, Class A2C, 1 mo. USD LIBOR + .380%, FRN 0.905% 8/25/35		3,246		3,245
Park Place Securities, Inc., Series 2005-WHQ1, Class M2, 1 mo. USD LIBOR + .750%, FRN 1.275% 3/25/35		12,216		12,222
Residential Asset Securities Corp., Series 2005-EMX4, Class M1, 1 mo. USD LIBOR + .430%, FRN 0.955% 11/25/35		74,350		74,284


	Principal Amount		Value
Structured Asset Investment Loan Trust, Series 2005-7, Class A5, 1 mo. USD LIBOR + .720%, FRN 1.245% 8/25/35	$	1,050	$	1,050

				1,676,672

Other ABS — 15.1%
321 Henderson Receivables I LLC, Series 2006-1A, Class A1, 1 mo. USD LIBOR + .200%, FRN (a) 0.724% 3/15/41		118,553		115,240
321 Henderson Receivables I LLC, Series 2010-3A, Class A (a) 3.820% 12/15/48		326,591		338,737
AIMCO CLO Ltd., Series 2014-AA, Class A, 3 mo. USD LIBOR + 1.540%, FRN (a) 2.236% 7/20/26		350,000		350,335
ALM VII Ltd., Series 2012-7A, Class A1R, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.314% 10/15/28		370,000		370,000
ALM VIII Ltd., Series 2013-8A, Class A1A, 3 mo. LIBOR + 1.450%, FRN (a) 2.146% 1/20/26		250,000		249,998
Alterna Funding I LLC, Series 2014-1A, Class NOTE (a) 1.639% 2/15/21		404,841		394,720
Arbys Funding LLC, Series 2015-1A, Class A2 (a) 4.969% 10/30/45		297,750		310,777
ARL First LLC, Series 2012-1A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.274% 12/15/42		328,688		318,955
AVANT Loans Funding Trust, Series 2016-C, Class A (a) 2.960% 9/16/19		158,775		158,747
AVANT Loans Funding Trust, Series 2016-A, Class A (a) 4.110% 5/15/19		496,415		498,516
BCC Funding VIII LLC, Series 2014-1A, Class A (a) 1.794% 6/20/20		29,869		29,757
BCC Funding X LLC, Series 2015-1, Class A2 (a) 2.224% 10/20/20		305,284		304,328
BCC Funding XIII LLC, Series 2016-1, Class A1 (a) 1.100% 9/20/17		900,000		900,008
Birchwood Park CLO Ltd., Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.440%, FRN (a) 2.120% 7/15/26		340,000		340,028


	Principal Amount		Value
Blue Hill CLO Ltd., Series 2013-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) 2.160% 1/15/26	$	765,000	$	765,229
BlueMountain CLO Ltd., Series 2015-2A, Class A1, 3 mo. USD LIBOR + 1.430%, FRN (a) 2.109% 7/18/27		475,000		475,922
BlueVirgo Trust, Series 2015-1A, Class NOTE (a) 3.000% 12/15/22		624,479		631,092
CAN Capital Funding LLC, Series 2014-1A, Class A (a) 3.117% 4/15/20		250,000		247,824
Carlyle Global Market Strategies, Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.520%, FRN (a) 2.199% 4/17/25		535,000		535,014
Cazenovia Creek Funding I LLC, Series 2015-1A, Class A (a) 2.000% 12/10/23		310,518		308,335
CCG Receivables Trust, Series 2014-1, Class A2 (a) 1.060% 11/15/21		63,997		63,923
Citi Held For Asset Issuance, Series 2015-PM1, Class A (a) 1.850% 12/15/21		22,609		22,567
Citi Held For Asset Issuance, Series 2015-PM2, Class A (a) 2.350% 3/15/22		119,396		119,313
Citi Held For Asset Issuance, Series 2015-PM3, Class A (a) 2.560% 5/16/22		57,373		57,321
CKE Restaurant Holdings, Inc., Series 2013-1A, Class A2 (a) 4.474% 3/20/43		483,225		484,810
Credit-Based Asset Servicing and Securitization LLC, Series 2006-RP2, Class A3, 1 mo. LIBOR + .300%, FRN (a) 0.825% 7/25/36		127,716		127,253
DB Master Finance LLC, Series 2015-1A, Class A2I (a) 3.262% 2/20/45		403,850		407,397
Diamond Resorts Owner Trust, Series 2013-2, Class A (a) 2.270% 5/20/26		153,704		152,811
Diamond Resorts Owner Trust, Series 2014-1, Class A (a) 2.540% 5/20/27		65,804		65,858
Diamond Resorts Owner Trust, Series 2015-1, Class A (a) 2.730% 7/20/27		166,319		167,292
Diamond Resorts Owner Trust, Series 2015-2, Class A (a) 2.990% 5/22/28		216,928		220,968


	Principal Amount		Value
Diamond Resorts Owner Trust, Series 2015-2, Class B (a) 3.540% 5/22/28	$	146,573	$	148,974
Domino’s Pizza Master Issuer LLC, Series 2015-1A, Class A2I (a) 3.484% 10/25/45		426,775		430,376
Domino’s Pizza Master Issuer LLC, Series 2012-1A, Class A2 (a) 5.216% 1/25/42		322,334		331,005
Dong Fang Container Finance II SPV Ltd., Series 2014-1A, Class A1 (a) 1.950% 11/25/39		162,500		159,328
Drug Royalty Corp., Inc., Series 2014-1, Class A1, 3 mo. USD LIBOR + 2.850%, FRN (a) 3.530% 7/15/23		180,537		181,895
Drug Royalty Corp., Inc., Series 2012-1, Class A1, 3 mo. USD LIBOR + 5.250%, FRN (a) 5.930% 7/15/24		94,000		95,653
Eaton Vance CLO, Series 2014-1A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.130% 7/15/26		450,000		449,699
Elara HGV Timeshare Issuer LLC, Series 2016-A, Class A (a) 2.810% 4/25/28		330,396		330,254
Elara HGV Timeshare Issuer LLC, Series 2014-A, Class B (a) 3.020% 2/25/27		156,755		156,406
Element Rail Leasing I LLC, Series 2014-1A, Class A1 (a) 2.299% 4/19/44		165,914		162,639
Element Rail Leasing II LLC, Series 2015-1A, Class A1 (a) 2.707% 2/19/45		77,387		75,621
Element Rail Leasing II LLC, Series 2016-1A, Class A1 (a) 3.968% 3/19/46		194,906		196,344
Entegry New Orleans Storm Recovery Funding I LLC, Series 2015-1, Class A 2.670% 6/01/27		93,932		97,501
FNA Trust, Series 2014-1A, Class A (a) 1.296% 12/10/22		170,802		169,094
FNA Trust, Series 2015-1, Class A (a) 3.240% 12/10/23		166,019		165,576
FRS I LLC, Series 2013-1A, Class A1 (a) 1.800% 4/15/43		68,234		66,869
Galaxy XX CLO Ltd., Series 2015-20A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.146% 7/20/27		475,000		474,806


	Principal Amount		Value
Global SC Finance II SRL, Series 2013-1A, Class A (a) 2.980% 4/17/28	$	194,208	$	187,640
Global SC Funding One Ltd., Series 2015-1, Class B1 (a) 2.740% 1/18/30		81,110		79,903
GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 1.865% 4/25/25		535,000		532,211
Green Tree Agency Advance Funding Trust I, Series 2015-T2, Class AT2 (a) 3.095% 10/15/48		340,000		340,106
Hercules Capital Funding Trust, Series 2014-1A, Class A (a) 3.524% 4/16/21		226,227		225,520
Hilton Grand Vacations Trust, Series 2014-AA, Class A (a) 1.770% 11/25/26		204,097		201,978
Hilton Grand Vacations Trust, Series 2013-A, Class A (a) 2.280% 1/25/26		176,043		176,369
Icon Brand Holdings LLC, Series 2012-1A, Class A (Acquired 11/16/12-7/22/14, Cost $272,883) (a) (c) 4.229% 1/25/43		146,920		133,831
Icon Brand Holdings LLC, Series 2013-1A, Class A (Acquired 6/14/13, Cost $210,000) (a) (c) 4.352% 1/25/43		164,185		152,573
ING Investment Management CLO Ltd., Series 2013-3A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.129% 1/18/26		260,000		259,631
ING Investment Management CLO V Ltd., Series 2007-5A, Class A1A, 3 mo. USD LIBOR + .230%, FRN (a) 0.987% 5/01/22		139,069		138,777
LCM Ltd., Series 10AR, Class AR, 3 mo. USD LIBOR + 1.260%, FRN (a) 1.581% 4/15/22		306,895		306,922
LCM Ltd., Series 16A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.180% 7/15/26		430,000		431,602
LCM XI LP, Series 11A, Class A, 3 mo. USD LIBOR + 1.300%, FRN (a) 1.988% 4/19/22		1,015,286		1,015,295
LCM XIV LP, Series 14A, Class A, 3 mo. USD LIBOR + 1.150%, FRN (a) 1.830% 7/15/25		700,000		699,180
Leaf Receivables Funding LLC, Series 2016-1, Class A1 (a) 1.000% 6/15/17		356,012		356,014


	Principal Amount		Value
Madison Park Funding Ltd., Series 2016-22A, Class A, 3 mo. LIBOR + 1.480%, FRN (a) 1.000% 10/25/29	$	420,000	$	420,000
Madison Park Funding XII Ltd., Series 2014-12A, Class A, 3 mo. USD LIBOR + 1.500%, FRN (a) 2.196% 7/20/26		430,000		430,012
Madison Park Funding XIV Ltd., Series 2014-14A, Class A2, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.146% 7/20/26		290,000		290,008
Magnetite CLO Ltd., Series 2016-18A, Class A, 3 mo. USD LIBOR + 1.400%, FRN (a) 2.263% 11/15/28		390,000		390,000
Marlette Funding Trust, Series 2016-1A, Class A (a) 3.060% 1/17/23		353,866		353,982
Miramax LLC, Series 2014-1A, Class A2 (a) 3.340% 7/20/26		146,696		147,071
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC6, Class M2, 1 mo. USD LIBOR + .750%, FRN 1.275% 7/25/35		56,829		57,221
Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC4, Class M4, 1 mo. USD LIBOR + .945%, FRN 1.470% 4/25/35		227,133		226,734
MVW Owner Trust, Series 2013-1A, Class A (a) 2.150% 4/22/30		149,184		148,541
MVW Owner Trust, Series 2014-2, Class A (a) 2.250% 9/22/31		235,855		235,960
MVW Owner Trust, Series 2016-1A, Class A (a) 2.250% 12/20/33		98,543		98,352
Nations Equipment Finance Funding II LLC, Series 2014-1A, Class A (a) 1.558% 7/20/18		50,459		50,431
Nations Equipment Finance Funding III LLC, Series 2016-1A, Class A (a) 3.610% 2/20/21		304,715		305,146
Navitas Equipment Receivables LLC, Series 2015-1, Class A2 (a) 2.120% 11/15/18		278,923		279,274
OnDeck Asset Securitization Trust II LLC, Series 2016-1A, Class A (a) 4.210% 5/17/20		120,000		119,852
Orange Lake Timeshare Trust, Series 2014-AA, Class A (a) 2.290% 7/09/29		59,268		59,606


	Principal Amount		Value
Oxford Finance Funding Trust, Series 2014-1A, Class A (a) 3.475% 12/15/22	$	100,000	$	98,920
Oxford Finance Funding Trust, Series 2016-1A, Class A (a) 3.968% 6/17/24		200,000		201,005
PFS Financing Corp., Series 2014-AA, Class A, 1 mo. LIBOR + .600%, FRN (a) 1.124% 2/15/19		840,000		839,331
RAAC, Series 2006-RP2, Class A, 1 mo. USD LIBOR + .250%, FRN (a) 0.774% 2/25/37		138,717		137,415
Race Point VIII CLO Ltd., Series 2012-7A, Class A, 3 mo. USD LIBOR + 1.420%, FRN (a) 2.208% 11/08/24		200,000		199,856
SBA Tower Trust, Series 2014-1A, Class C, STEP (a) 2.898% 10/15/44		300,000		304,216
Sierra Receivables Funding Co. LLC, Series 2014-2A, Class A (a) 2.050% 6/20/31		238,241		238,696
Sierra Receivables Funding Co. LLC, Series 2013-2A, Class A (a) 2.280% 11/20/25		47,015		47,135
Sierra Receivables Funding Co. LLC, Series 2014-3A, Class A (a) 2.300% 10/20/31		217,446		217,533
Sierra Receivables Funding Co. LLC, Series 2015-1A, Class A (a) 2.400% 3/22/32		406,015		407,941
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class A (a) 2.580% 9/20/32		149,472		150,056
Sierra Receivables Funding Co. LLC, Series 2012-1A, Class A (a) 2.840% 11/20/28		30,661		30,729
Sierra Receivables Funding Co. LLC, Series 2015-3A, Class B (a) 3.080% 9/20/32		57,489		57,537
Sierra Receivables Funding Co. LLC, Series 2011-3A, Class A (a) 3.370% 7/20/28		23,579		23,628
SoFi Consumer Loan Program LLC, Series 2016-2A, Class A 3.090% 10/27/25		590,000		592,857
SoFi Consumer Loan Program LLC, Series 2016-1A, Class A (a) 3.260% 8/25/25		561,463		564,123
SpringCastle America Funding LLC, Series 2014-AA, Class A (a) 2.700% 5/25/23		453,572		453,713


	Principal Amount		Value
SpringCastle America Funding LLC, Series 2016-AA, Class A (a) 3.050% 4/25/29	$	730,000	$	729,972
SPS Servicer Advance Receivables Trust, Series 2015-T3, Class AT3 (a) 2.920% 7/15/47		180,000		180,414
Structured Asset Securities Corp., Series 2007-BC4, Class A3, 1 mo. USD LIBOR + .250%, FRN 0.775% 11/25/37		10,427		10,422
Symphony CLO XV Ltd., Series 2014-15A, Class A, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.129% 10/17/26		365,000		365,006
Taco Bell Funding LLC, Series 2016-1A, Class A2I (a) 3.832% 5/25/46		380,000		386,149
TAL Advantage LLC, Series 2014-2A, Class A1 (a) 1.700% 5/20/39		141,552		139,649
TCI-Symphony CLO Ltd., Series 2016-1A, Class A, 3 mo. USD LIBOR + 1.480%, FRN (a) (d) 2.399% 10/13/29		300,000		300,000
Trade MAPS 1 Ltd., Series 2013-1A, Class A, 1 mo. LIBOR + .700%, FRN (a) 1.218% 12/10/18		605,000		604,012
Trip Rail Master Funding LLC, Series 2011-1A, Class A1B, 1 mo. LIBOR + 2.500%, FRN (a) 3.024% 7/15/41		217,105		214,346
Trip Rail Master Funding LLC, Series 2011-1A, Class A1A (a) 4.370% 7/15/41		62,030		62,599
Voya CLO Ltd., Series 2014-2A, Class A1, 3 mo. USD LIBOR + 1.450%, FRN (a) 2.129% 7/17/26		345,000		345,002
VSE VOI Mortgage LLC, Series 2016-A, Class A (a) 2.540% 7/20/33		880,000		883,475
Welk Resorts LLC, Series 2015-AA, Class A (a) 2.790% 6/16/31		142,283		143,226
Wendys Funding LLC, Series 2015-1A, Class A2I (a) 3.371% 6/15/45		915,750		919,889
Westgate Resorts LLC, Series 2014-1A, Class A (a) 2.150% 12/20/26		178,127		175,854
Westgate Resorts LLC, Series 2015-2A, Class A (a) 3.200% 7/20/28		344,302		344,729

				32,444,292


	Principal Amount		Value
Student Loans ABS — 5.8%
Access Group, Inc., Series 2004-A, Class A2, 3 mo. USD LIBOR + .260%, FRN 0.975% 4/25/29	$	85,404	$	85,074
Access Group, Inc., Series 2015-1, Class A, 1 mo. USD LIBOR + .700%, FRN (a) 1.225% 7/25/56		356,512		348,655
Access Group, Inc., Series 2003-A, Class A3, 3 mo. Treasury + 1.200%, FRN 1.515% 7/01/38		105,789		96,138
Access Group, Inc., Series 2015-1, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 7/25/58		140,000		122,326
Brazos Student Finance Corp., Series 2003-A, Class A3, 28 day ARS, FRN 1.729% 7/01/38		200,000		189,251
College Loan Corp. Trust I, Series 2005-2, Class B, 3 mo. USD LIBOR + .490%, FRN 1.170% 1/15/37		288,182		247,786
Credit Suisse ABS Repackaging Trust, Series 2013-A, Class B (a) 2.500% 1/25/30		235,097		223,360
DRB Prime Student Loan Trust, Series 2015-D, Class A1, 1 mo. USD LIBOR + 1.700%, FRN (a) 2.225% 1/25/40		374,108		365,291
DRB Prime Student Loan Trust, Series 2015-A, Class A3 2.320% 4/25/30		204,033		203,869
DRB Prime Student Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + 2.000%, FRN (a) 2.524% 4/25/40		359,364		358,364
DRB Prime Student Loan Trust, Series 2015-B, Class A3 (a) 2.540% 4/27/26		163,706		162,636
DRB Prime Student Loan Trust, Series 2016-B, Class A2 (a) 2.890% 6/25/40		305,557		305,052
DRB Prime Student Loan Trust, Series 2015-A, Class A2 (a) 3.060% 7/25/31		190,088		188,613
DRB Prime Student Loan Trust, Series 2015-B, Class A2 (a) 3.170% 7/25/31		163,652		166,902
DRB Prime Student Loan Trust, Series 2015-D, Class A2 (a) 3.200% 1/25/40		394,908		403,454
Earnest Student Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 2.050%, FRN (a) 2.575% 2/26/35		503,967		503,967


	Principal Amount		Value
Earnest Student Loan Program LLC, Series 2016-C, Class A2 (a) 2.680% 7/25/35	$	620,559	$	616,380
ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1 mo. USD LIBOR + 1.350%, FRN (a) 1.864% 7/26/66		670,000		669,989
Education Funding Capital Trust I, Series 2004-1, Class A4, 28 day ARS, FRN 1.934% 6/15/43		250,000		248,884
Education Funding Capital Trust I, Series 2004-1, Class A6, 28 day ARS, FRN 1.943% 6/15/43		200,000		194,359
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L, 3 mo. LIBOR + .070%, FRN (a) 0.895% 5/25/23		20,508		20,456
KeyCorp Student Loan Trust, Series 2004-A, Class 2A2, 3 mo. USD LIBOR + .300%, FRN 1.034% 10/28/41		26,764		26,662
KeyCorp Student Loan Trust, Series 2006-A, Class 2A4, 3 mo. USD LIBOR + .310%, FRN 1.163% 9/27/35		191,810		189,724
National Collegiate Student Loan Trust, Series 2006-3, Class A3, 1 mo. USD LIBOR + .150%, FRN 0.675% 10/25/27		43,467		43,379
National Collegiate Student Loan Trust, Series 2005-1, Class A4, 1 mo. USD LIBOR + .240%, FRN 0.765% 11/27/28		108,935		107,899
Navient Private Education Loan Trust, Series 2015-BA, Class A1, 1 mo. USD LIBOR + .600%, FRN (a) 1.124% 5/15/23		47,969		47,946
Navient Private Education Loan Trust, Series 2014-AA, Class A2A (a) 2.740% 2/15/29		340,000		345,975
Navient Student Loan Trust, Series 2016-5A, Class A, 1 mo. USD LIBOR + 1.250%, FRN (a) 1.775% 6/25/65		888,762		888,765
Nelnet Student Loan Trust, Series 2014-6A, Class A, 1 mo. USD LIBOR + .650%, FRN (a) 1.175% 11/25/47		432,411		418,749
Nelnet Student Loan Trust, Series 2014-1A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 10/25/47		170,000		150,229


	Principal Amount		Value
Nelnet Student Loan Trust, Series 2015-3A, Class B, 1 mo. USD LIBOR + 1.500%, FRN (a) 2.025% 7/27/50	$	130,000	$	112,140
North Carolina State Education Assistance Authority, Series 2011-1, Class A2, 3 mo. USD LIBOR + .900%, FRN 1.615% 1/26/26		129,056		128,917
Northstar Education Finance, Inc., Series 2005-1, Class A5, 3 mo. LIBOR + .750%, FRN 1.493% 10/30/45		269,368		257,667
SLC Private Student Loan Trust, Series 2006-A, Class A5, 3 mo. USD LIBOR + .170%, FRN 0.850% 7/15/36		87,332		87,026
SLM Student Loan Trust, Series 2007-5, Class A6, 3 mo. USD LIBOR + .110%, FRN 0.825% 1/26/43		120,000		103,507
SLM Student Loan Trust, Series 2005-5, Class A4, 3 mo. USD LIBOR + .140%, FRN 0.855% 10/25/28		280,000		264,654
SLM Student Loan Trust, Series 2006-5, Class B, 3 mo. USD LIBOR + .210%, FRN 0.925% 10/25/40		546,753		470,240
SLM Student Loan Trust, Series 2006-10, Class B, 3 mo. USD LIBOR + .220%, FRN 0.934% 3/25/44		154,657		127,351
SLM Student Loan Trust, Series 2003-14, Class A6, 3 mo. USD LIBOR + .300%, FRN 1.015% 7/25/25		150,000		141,685
SLM Student Loan Trust, Series 2005-8, Class B, 3 mo. USD LIBOR + .310%, FRN 1.025% 1/25/40		228,238		194,986
SLM Student Loan Trust, Series 2012-A, Class A1, 1 mo. USD LIBOR + 1.400%, FRN (a) 1.924% 8/15/25		31,394		31,452
SLM Student Loan Trust, Series 2013-4, Class B, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 12/28/43		120,000		103,375
SLM Student Loan Trust, Series 2003-5, Class A7, 28 day ARS, FRN 3.001% 6/17/30		50,000		50,000


	Principal Amount		Value
SMB Private Education Loan Trust, Series 2016-A, Class A1, 1 mo. USD LIBOR + .700%, FRN (a) 1.224% 5/15/23	$	519,549	$	519,549
SMB Private Education Loan Trust, Series 2016-B, Class A2B, 1 mo. USD LIBOR + 1.450%, FRN (a) 1.974% 2/17/32		144,000		144,000
SoFi Professional Loan Program LLC, Series 2016-D, Class A1, 1 mo. USD LIBOR + .950%, FRN (a) 1.600% 1/25/39		220,000		220,000
SoFi Professional Loan Program LLC, Series 2016-B, Class A2A (a) 1.680% 3/25/31		330,931		331,254
SoFi Professional Loan Program LLC, Series 2016-B, Class A1, 1 mo. USD LIBOR + 1.200%, FRN (a) 1.725% 6/25/33		377,526		377,526
SoFi Professional Loan Program LLC, Series 2016-A, Class A1, 1 mo. USD LIBOR + 1.750%, FRN (a) 2.275% 8/25/36		366,374		372,987
SoFi Professional Loan Program LLC, Series 2016-A, Class A2 (a) 2.760% 12/26/36		417,866		424,247

				12,402,697

WL Collateral CMO — 0.9%
Bank of America Mortgage Securities, Series 2004-G, Class 2A7, FRN 3.301% 8/25/34		12,496		12,236
Connecticut Avenue Securities, Series 2015-C02, Class 1M1, 1 mo. USD LIBOR + 1.150%, FRN 1.675% 5/25/25		113,209		113,352
Connecticut Avenue Securities, Series 2015-C03, Class 1M1, 1 mo. USD LIBOR + 1.500%, FRN 2.025% 7/25/25		438,885		439,781
Connecticut Avenue Securities, Series 2015-C04, Class 1M1, 1 mo. USD LIBOR + 1.600%, FRN 2.125% 4/25/28		381,986		382,782
Countrywide Home Loans, Inc., Series 2004-2, Class 1A1, FRN 2.954% 2/25/34		3,562		3,424
Countrywide Home Loans, Inc., Series 2003-42, Class 1A1, FRN 3.294% 9/25/33		1,437		1,354
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C05, Class 2M1, 1 mo. USD LIBOR + 1.350%, FRN 1.875% 1/25/29		296,707		297,877


	Principal Amount		Value
Federal National Mortgage Association Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 1 mo. USD LIBOR + 1.450%, FRN 1.975% 1/25/29	$	336,820	$	338,859
GSR Mortgage Loan Trust, Series 2004-9, Class 2A1, VRN 3.285% 8/25/34		2,217		2,173
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A, VRN 2.786% 8/25/34		11,229		10,026
Merrill Lynch Mortgage Investors, Inc., Series 2005-A8, Class A3A2, 1 mo. USD LIBOR + .250%, FRN 0.775% 8/25/36		1,529		1,524
Merrill Lynch Mortgage Investors, Inc., Series 2004-A1, Class IA, VRN 3.032% 2/25/34		1,399		1,382
Merrill Lynch Mortgage Investors, Inc., Series 2003-A4, Class IA, VRN 3.065% 7/25/33		793		781
Morgan Stanley Mortgage Loan Trust, Series 2004-2AR, Class 1A, FRN 2.875% 2/25/34		46		48
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 2A, VRN 3.056% 3/25/34		7,663		7,693
Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M1, 1 mo. USD LIBOR + .900%, FRN 1.425% 10/25/27		191,430		191,669
Structured Agency Credit Risk Debt Notes, Series 2016-DNA1, Class M1, 1 mo. USD LIBOR + 1.450%, FRN 1.975% 7/25/28		235,881		236,921
WaMu Mortgage Pass-Through Certificates, Series 2004-AR2, Class A, 12 mo. MTA + 1.400%, FRN 1.907% 4/25/44		16,575		16,555

				2,058,437

WL Collateral PAC — 0.0%
Structured Asset Securities Corp., Series 2002-11A, Class 2A1, FRN 3.157% 6/25/32		4,623		4,515


TOTAL NON-U.S. GOVERNMENT AGENCY OBLIGATIONS (Cost $73,777,260)				73,564,064


U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES — 5.6%
Agency Collateral CMO — 5.5%
Federal Home Loan Mortgage Corp. Series 4291, Class K 3.000% 5/15/38		782,073		805,791


	Principal Amount		Value
Series 4447, Class PA 3.000% 12/15/44	$	205,216	$	215,736
Series 3990, Class VA 3.500% 1/15/25		529,345		564,425
Series 4213, Class VE 3.500% 6/15/26		466,478		500,424
Series 4290, Class CA 3.500% 12/15/38		1,085,689		1,129,517
Series 4443, Class BA 3.500% 4/15/41		262,954		273,264
Series 4328, Class DA 4.000% 1/15/36		882,375		927,905
Series 4325, Class MA 4.000% 9/15/39		1,070,152		1,122,587
Series 4336, Class MA 4.000% 1/15/40		1,654,963		1,737,830
Series 4323, Class CA 4.000% 3/15/40		579,436		618,474
Series 2178, Class PB 7.000% 8/15/29		13,998		16,056
Federal National Mortgage Association Series 2016-74, Class GF 1.000% 10/25/46 1 mo. LIBOR + .500%, FRN		850,000		850,000
Series 2016-62, Class FC 1.025% 9/25/46 1 mo. LIBOR + .500%, FRN		548,349		547,608
Series 2015-58, Class JP 2.500% 3/25/37		358,529		367,659
Series 2015-20, Class EV 3.500% 7/25/26		532,566		573,428
Series 2014-14, Class A 3.500% 2/25/37		581,251		599,797
Series 2015-62, Class VA 4.000% 10/25/26		155,487		170,711
Series 2014-48, Class AB 4.000% 10/25/40		489,698		514,672
Government National Mortgage Association, Series 2014-131, Class BW VRN 2.977% 5/20/41		231,658		236,124
U.S. Department of Veteran Affairs, Series 1992-1, Class 2Z 7.750% 5/15/22		13,666		15,209

				11,787,217

Pass-Through Securities — 0.1%
Federal Home Loan Mortgage Corp. Pool #G11431 6.000% 2/01/18		207		209
Pool #C01079 7.500% 10/01/30		456		551
Pool #C01135 7.500% 2/01/31		1,354		1,622


	Principal Amount		Value
Pool #554904 9.000% 3/01/17	$	2	$	2
Federal National Mortgage Association Pool #725692 2.642% 10/01/33 1 year CMT + 2.144%, FRN		38,687		40,708
Pool #888586 2.668% 10/01/34 1 year CMT + 2.212%, FRN		35,573		37,512
Pool #775539 2.821% 5/01/34 12 mo. USD LIBOR + 1.635%, FRN		12,360		12,927
Pool #575667 7.000% 3/01/31		2,546		3,058
Pool #497120 7.500% 8/01/29		60		72
Pool #529453 7.500% 1/01/30		554		672
Pool #531196 7.500% 2/01/30		75		91
Pool #532418 7.500% 2/01/30		853		1,033
Pool #530299 7.500% 3/01/30		79		93
Pool #536386 7.500% 4/01/30		93		112
Pool #535996 7.500% 6/01/31		1,846		2,230
Pool #523499 8.000% 11/01/29		60		73
Pool #252926 8.000% 12/01/29		42		52
Pool #532819 8.000% 3/01/30		48		59
Pool #534703 8.000% 5/01/30		568		694
Pool #253437 8.000% 9/01/30		43		53
Pool #253481 8.000% 10/01/30		21		26
Pool #190317 8.000% 8/01/31		897		1,095
Pool #596656 8.000% 8/01/31		435		477
Pool #602008 8.000% 8/01/31		1,198		1,460
Pool #597220 8.000% 9/01/31		679		832
Government National Mortgage Association Pool #371146 7.000% 9/15/23		354		396
Pool #352022 7.000% 11/15/23		1,764		1,995


	Principal Amount		Value
Pool #491089 7.000% 12/15/28	$	2,076	$	2,404
Pool #478658 7.000% 5/15/29		464		554
Pool #500928 7.000% 5/15/29		894		1,065
Pool #499410 7.000% 7/15/29		268		321
Pool #510083 7.000% 7/15/29		340		403
Pool #493723 7.000% 8/15/29		1,424		1,702
Pool #581417 7.000% 7/15/32		4,944		5,942
Pool #203940 7.500% 4/15/17		106		107
Pool #193870 7.500% 5/15/17		191		194
Pool #226163 7.500% 7/15/17		360		366
Government National Mortgage Association II Pool #008746 2.000% 11/20/25 1 year CMT + 1.500%, FRN		1,164		1,190
Pool #080136 2.000% 11/20/27 1 year CMT + 1.500%, FRN		218		223
Pool #82462 2.000% 1/20/40 1 year CMT + 1.500%, FRN		91,243		94,124
Pool #82488 2.000% 3/20/40 1 year CMT + 1.500%, FRN		114,669		118,447

				335,146


TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS AND INSTRUMENTALITIES (Cost $12,222,542)				12,122,363


U.S. TREASURY OBLIGATIONS — 18.0%
U.S. Treasury Bonds & Notes — 18.0%
U.S. Treasury Note 0.625% 6/30/18		24,410,000		24,357,557
U.S. Treasury Note (e) 0.875% 7/31/19		6,600,000		6,601,031
U.S. Treasury Note 1.750% 10/31/18		7,470,000		7,614,148

				38,572,736


TOTAL U.S. TREASURY OBLIGATIONS (Cost $38,576,815)				38,572,736


	Principal Amount		Value
TOTAL BONDS & NOTES (Cost $210,871,607)			$	211,939,432


TOTAL LONG-TERM INVESTMENTS (Cost $210,871,607)				211,939,432


SHORT-TERM INVESTMENTS — 1.9%
Commercial Paper — 1.9%
Dollar General Corp. (a) 0.600% 10/03/16	$	4,000,000		3,999,737


TOTAL SHORT-TERM INVESTMENTS (Cost $3,999,867)				3,999,737

TOTAL INVESTMENTS — 100.8% (Cost $214,871,474) (f)				215,939,169

Other Assets/(Liabilities) — (0.8)%				(1,771,046	)


NET ASSETS — 100.0%			$	214,168,123

Notes to Portfolio of Investments

Percentages

are stated as a percent of net assets.

ABS	Asset-Backed Security

ARS	Auction Rate Security

CLO	Collateralized Loan Obligation

CMO	Collateralized Mortgage Obligation

CMT	Constant Maturity Treasury Index

FRN	Floating Rate Note

MBS	Mortgage-Backed Security

MTA	Monthly Treasury Average Index

PAC	Planned Amortization Class

STEP	Step Up Bond

VRN	Variable Rate Note

WL	Whole Loan

(a)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, these securities amounted to a value of $75,902,323 or 35.44% of net assets.

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

(c)	Restricted security. Certain securities are restricted as to resale. At September 30, 2016, these securities amounted to a value of $286,404 or 0.13% of net assets. The Fund generally bears the costs, if any, associated with the disposition of restricted securities.

(d)	This security is fair valued in good faith in accordance with procedures approved by the Board of Trustees. At September 30, 2016, these securities amounted to a value of $300,000 or 0.14% of net assets.

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

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


	Number of Shares		Value
EQUITIES — 98.5%

COMMON STOCK — 98.5%
Basic Materials — 4.3%
Chemicals — 0.7%
Ingevity Corp. (a)		14,120	$	650,932

Forest Products & Paper — 2.0%
P.H. Glatfelter Co.		68,610		1,487,465
Schweitzer-Mauduit International, Inc.		15,263		588,541

				2,076,006

Mining — 1.6%
Kaiser Aluminum Corp.		19,360		1,674,447

				4,401,385

Communications — 1.8%
Advertising — 0.5%
MDC Partners, Inc. Class A		41,440		444,237

Internet — 0.9%
Zynga, Inc. Class A (a)		317,550		924,070

Telecommunications — 0.4%
RigNet, Inc. (a)		28,700		433,944

				1,802,251

Consumer, Cyclical — 11.3%
Airlines — 1.1%
Spirit Airlines, Inc. (a)		26,580		1,130,447

Automotive & Parts — 1.0%
Visteon Corp.		14,170		1,015,422

Entertainment — 1.5%
International Speedway Corp. Class A		24,240		810,101
The Madison Square Garden Co. Class A (a)		4,550		770,815

				1,580,916

Retail — 7.0%
Burlington Stores, Inc. (a)		15,910		1,289,028
Group 1 Automotive, Inc.		18,530		1,183,696
Popeyes Louisiana Kitchen, Inc. (a)		19,840		1,054,298
Sally Beauty Holdings, Inc. (a) (b)		36,220		930,130
Sonic Corp.		60,270		1,577,869
Texas Roadhouse, Inc.		29,900		1,166,997

				7,202,018

Storage & Warehousing — 0.7%
Wesco Aircraft Holdings, Inc. (a)		50,600		679,558

				11,608,361

Consumer, Non-cyclical — 30.2%
Agriculture — 1.6%
Universal Corp.		28,480		1,658,106


	Number of Shares		Value
Beverages — 0.5%
The Boston Beer Co., Inc. Class A (a) (b)		2,980	$	462,675

Biotechnology — 0.9%
Sage Therapeutics, Inc. (a) (b)		8,070		371,624
Ultragenyx Pharmaceutical, Inc. (a) (b)		7,910		561,135

				932,759

Commercial Services — 10.9%
Aaron’s, Inc.		27,040		687,357
ABM Industries, Inc.		37,840		1,502,248
Booz Allen Hamilton Holding Corp.		47,080		1,488,199
James River Group Holdings Ltd.		31,660		1,146,092
KAR Auction Services, Inc.		38,840		1,676,334
Korn/Ferry International		78,981		1,658,601
On Assignment, Inc. (a)		43,740		1,587,324
Paylocity Holding Corp. (a) (b)		32,460		1,443,172

				11,189,327

Foods — 2.0%
Pinnacle Foods, Inc.		41,900		2,102,123

Health Care – Products — 3.0%
Intersect ENT, Inc. (a)		29,060		460,310
NuVasive, Inc. (a)		10,990		732,593
NxStage Medical, Inc. (a)		42,510		1,062,325
The Spectranetics Corp. (a)		32,460		814,422

				3,069,650

Health Care – Services — 5.2%
Acadia Healthcare Co., Inc. (a)		13,340		660,997
Addus HomeCare Corp. (a)		10,900		285,144
Amedisys, Inc. (a)		18,710		887,602
HealthSouth Corp.		36,681		1,488,148
WellCare Health Plans, Inc. (a)		16,953		1,985,027

				5,306,918

Household Products — 3.2%
Acco Brands Corp. (a)		114,190		1,100,792
Prestige Brands Holdings, Inc. (a)		45,981		2,219,503

				3,320,295

Pharmaceuticals — 2.9%
Acadia Pharmaceuticals, Inc. (a) (b)		15,730		500,371
Akorn, Inc. (a)		14,120		384,911
Axovant Sciences Ltd. (a) (b)		15,260		213,640
Diplomat Pharmacy, Inc. (a) (b)		17,740		496,897
Impax Laboratories, Inc. (a)		12,870		305,019
TherapeuticsMD, Inc. (a) (b)		46,350		315,644
VWR Corp. (a)		28,480		807,693

				3,024,175

				31,066,028


	Number of Shares		Value
Diversified — 0.5%
Holding Company – Diversified — 0.5%
FCB Financial Holdings, Inc. Class A (a)		14,690	$	564,537

Energy — 4.3%
Energy – Alternate Sources — 0.9%
Renewable Energy Group, Inc. (a) (b)		104,259		883,074

Oil & Gas — 1.4%
Suburban Propane Partners LP		42,735		1,423,075

Oil & Gas Services — 0.7%
HollyFrontier Corp.		31,057		760,897

Pipelines — 1.3%
Cone Midstream Partners LP		55,990		1,013,419
Noble Midstream Partners LP (a)		11,460		319,734

				1,333,153

				4,400,199

Financial — 18.1%
Banks — 4.7%
Chemical Financial Corp.		17,582		775,894
MB Financial, Inc.		55,860		2,124,914
Webster Financial Corp.		50,530		1,920,645

				4,821,453

Diversified Financial — 0.8%
Stifel Financial Corp. (a)		20,380		783,611

Insurance — 2.0%
Endurance Specialty Holdings Ltd.		19,090		1,249,441
Old Republic International Corp.		48,120		847,874

				2,097,315

Real Estate — 1.3%
Four Corners Property Trust, Inc.		64,970		1,385,810

Real Estate Investment Trusts (REITS) — 6.0%
Brandywine Realty Trust		92,910		1,451,254
Chatham Lodging Trust		47,910		922,267
DiamondRock Hospitality Co.		116,030		1,055,873
DuPont Fabros Technology, Inc.		25,480		1,051,050
National Storage Affiliates Trust		55,900		1,170,546
Seritage Growth Properties Class A (b)		10,110		512,375

				6,163,365

Savings & Loans — 3.3%
BankUnited, Inc.		42,959		1,297,362
Beneficial Bancorp, Inc.		37,080		545,447
Berkshire Hills Bancorp, Inc.		19,680		545,333
Oritani Financial Corp.		63,110		992,089

				3,380,231

				18,631,785


	Number of Shares		Value
Industrial — 10.2%
Aerospace & Defense — 1.7%
AAR Corp.		25,260	$	791,143
Curtiss-Wright Corp.		11,040		1,005,855

				1,796,998

Building Materials — 2.6%
Boise Cascade Co. (a)		37,110		942,594
Masonite International Corp. (a)		19,110		1,188,069
Summit Materials, Inc. Class A (a)		31,743		588,832

				2,719,495

Electrical Components & Equipment — 0.9%
Generac Holdings, Inc. (a) (b)		26,790		972,477

Engineering & Construction — 2.0%
AECOM (a)		21,577		641,484
Dycom Industries, Inc. (a)		7,120		582,274
KBR, Inc.		51,940		785,852

				2,009,610

Manufacturing — 1.1%
Matthews International Corp. Class A		18,150		1,102,794

Miscellaneous – Manufacturing — 0.6%
Hexcel Corp.		12,740		564,382

Transportation — 1.3%
Genesee & Wyoming, Inc. Class A (a)		18,870		1,301,086

				10,466,842

Technology — 14.5%
Computers — 4.3%
CACI International, Inc. Class A (a)		19,390		1,956,451
Fortinet, Inc. (a)		25,225		931,559
j2 Global, Inc.		23,771		1,583,386

				4,471,396

Office Equipment/Supplies — 0.9%
Pitney Bowes, Inc.		48,940		888,750

Semiconductors — 3.5%
Cavium, Inc. (a)		17,390		1,012,098
Cypress Semiconductor Corp.		52,813		642,206
MKS Instruments, Inc.		38,260		1,902,670

				3,556,974

Software — 5.8%
Black Knight Financial Services, Inc. Class A (a) (b)		34,190		1,398,371
Guidewire Software, Inc. (a)		16,910		1,014,262
Imperva, Inc. (a)		11,590		622,499
Proofpoint, Inc. (a) (b)		19,230		1,439,366
SYNNEX Corp.		13,540		1,545,049

				6,019,547

				14,936,667


	Number of Shares		Value
Utilities — 3.3%
Electric — 3.3%
Allete, Inc.		28,150	$	1,678,303
Portland General Electric Co.		39,450		1,680,176

				3,358,479


TOTAL COMMON STOCK (Cost $82,975,772)				101,236,534


TOTAL EQUITIES (Cost $82,975,772)				101,236,534


MUTUAL FUNDS — 5.1%
Diversified Financial — 5.1%
State Street Navigator Securities Lending Prime Portfolio (c)		5,179,548		5,179,548


TOTAL MUTUAL FUNDS (Cost $5,179,548)				5,179,548


TOTAL LONG-TERM INVESTMENTS (Cost $88,155,320)				106,416,082


	Principal Amount
SHORT-TERM INVESTMENTS — 1.3%
Repurchase Agreement — 1.3%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (d)	$	1,365,988		1,365,988


TOTAL SHORT-TERM INVESTMENTS (Cost $1,365,988)				1,365,988


TOTAL INVESTMENTS — 104.9% (Cost $89,521,308) (e)				107,782,070

Other Assets/(Liabilities) — (4.9)%				(5,041,930	)


NET ASSETS — 100.0%			$	102,740,140

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, 2016, was $5,061,365 or 4.93% 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 $1,365,989. Collateralized by U.S. Government Agency obligations with a rate of 2.125%, maturity date of 9/30/21, and an aggregate market value, including accrued interest, of $1,398,413.

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


	Number of Shares		Value
EQUITIES — 98.6%

COMMON STOCK — 98.6%
Basic Materials — 6.2%
Chemicals — 6.2%
GCP Applied Technologies, Inc. (a)		20,715	$	586,649
Ingevity Corp. (a)		12,600		580,860

				1,167,509

Communications — 8.7%
Internet — 0.7%
Liberty Ventures Series A (a)		3,400		135,558

Media — 6.7%
Cable One, Inc.		500		292,000
Liberty Broadband Corp. Class A (a)		3,500		245,560
Liberty SiriusXM Group Class A (a)		5,600		190,288
Liberty SiriusXM Group Class C (a)		5,600		187,096
Starz Class A (a)		11,450		357,125

				1,272,069

Telecommunications — 1.3%
Windstream Holdings, Inc.		23,800		239,190

				1,646,817

Consumer, Cyclical — 11.9%
Auto Manufacturers — 2.8%
Oshkosh Corp.		9,500		532,000

Automotive & Parts — 1.2%
Allison Transmission Holdings, Inc.		7,600		217,968

Distribution & Wholesale — 1.5%
WESCO International, Inc. (a)		4,750		292,078

Entertainment — 5.2%
Gaming and Leisure Properties, Inc.		13,900		464,955
The Madison Square Garden Co. Class A (a)		3,010		509,924

				974,879

Retail — 1.2%
Vista Outdoor, Inc. (a)		5,900		235,174

				2,252,099

Consumer, Non-cyclical — 18.8%
Biotechnology — 1.8%
Gilead Sciences, Inc.		3,400		269,008
Theravance Biopharma, Inc. (a)		1,800		65,232

				334,240

Commercial Services — 1.3%
Global Payments, Inc.		3,200		245,632

Foods — 2.1%
ConAgra Foods, Inc.		8,500		400,435

Health Care – Products — 2.3%
Halyard Health, Inc. (a)		6,100		211,426
West Pharmaceutical Services, Inc.		3,100		230,950

				442,376


	Number of Shares		Value
Household Products — 1.0%
Avery Dennison Corp.		2,400	$	186,696

Pharmaceuticals — 10.3%
AbbVie, Inc.		6,300		397,341
Mallinckrodt PLC (a)		7,390		515,674
Zoetis, Inc.		19,700		1,024,597

				1,937,612

				3,546,991

Energy — 4.5%
Oil & Gas — 1.9%
Murphy USA, Inc. (a)		5,000		356,800

Oil & Gas Services — 2.6%
NOW, Inc. (a)		22,400		480,032

				836,832

Financial — 9.3%
Diversified Financial — 1.7%
Synchrony Financial		11,700		327,600

Insurance — 0.4%
The Travelers Cos., Inc.		700		80,185

Real Estate — 1.2%
Four Corners Property Trust, Inc.		10,300		219,699

Real Estate Investment Trusts (REITS) — 3.7%
Colony Starwood Homes		7,600		218,120
Communications Sales & Leasing, Inc. (a)		6,000		188,460
Mack-Cali Realty Corp.		10,600		288,532

				695,112

Savings & Loans — 2.3%
Beneficial Bancorp, Inc.		22,400		329,504
Poage Bankshares, Inc.		5,400		104,490

				433,994

				1,756,590

Industrial — 18.6%
Aerospace & Defense — 1.7%
KLX, Inc. (a)		9,000		316,800

Building Materials — 1.4%
Armstrong Flooring, Inc. (a)		14,080		265,831

Electrical Components & Equipment — 1.5%
Energizer Holdings, Inc.		5,700		284,772

Electronics — 6.9%
Allegion PLC		8,500		585,735
Kimball Electronics, Inc. (a)		30,483		422,494
Knowles Corp. (a)		20,600		289,430

				1,297,659

Machinery – Diversified — 1.4%
AGCO Corp.		5,500		271,260


	Number of Shares		Value
Manufacturing — 5.7%
Danaher Corp.		3,500	$	274,365
Pentair PLC		5,200		334,048
Trinseo SA		8,300		469,448

				1,077,861

				3,514,183

Technology — 18.2%
Computers — 14.9%
Hewlett Packard Enterprise Co.		36,400		828,100
Lumentum Holdings, Inc. (a)		4,500		187,965
NCR Corp. (a)		20,000		643,800
Science Applications International Corp.		16,600		1,151,542

				2,811,407

Software — 3.3%
CDK Global, Inc.		10,750		616,620
CommerceHub, Inc. Series A (a)		245		3,871
CommerceHub, Inc. Series C (a)		491		7,812

				628,303

				3,439,710

Utilities — 2.4%
Gas — 2.4%
ONE Gas, Inc.		7,300		451,432


TOTAL COMMON STOCK (Cost $17,491,077)				18,612,163


TOTAL EQUITIES (Cost $17,491,077)				18,612,163


TOTAL LONG-TERM INVESTMENTS (Cost $17,491,077)				18,612,163


	Principal Amount
SHORT-TERM INVESTMENTS — 1.5%
Repurchase Agreement — 1.5%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (b)	$	282,064		282,064


TOTAL SHORT-TERM INVESTMENTS (Cost $282,064)				282,064


TOTAL INVESTMENTS — 100.1% (Cost $17,773,141) (c)				18,894,227



	Value
Other Assets/(Liabilities) — (0.1)%	$	(23,075	)


NET ASSETS — 100.0%	$	18,871,152

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Non-income producing security.

(b)	Maturity value of $282,064. Collateralized by U.S. Government Agency obligations with a rate of 1.000%, maturity date of 5/15/18, and an aggregate market value, including accrued interest, of $292,401.

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


	Number of Shares		Value
EQUITIES — 95.2%

COMMON STOCK — 92.6%
Bermuda — 1.4%
Jardine Strategic Holdings Ltd.		40,362	$	1,320,621

Brazil — 4.9%
Ambev SA ADR (Brazil)		130,320		793,649
BM&FBovespa SA-Bolsa de Valores Mercadorias e Futuros		255,100		1,318,584
Cielo SA		10,100		100,964
Embraer SA Sponsored ADR (Brazil)		37,940		654,844
Estacio Participacoes SA		143,000		783,122
Kroton Educacional SA		135,019		614,034
Sul America SA		89,100		444,658

				4,709,855

Cayman Islands — 21.4%
3SBio, Inc. (a) (b)		60,500		68,853
Alibaba Group Holding Ltd. Sponsored ADR (Cayman Islands) (a)		46,599		4,929,708
Baidu, Inc. Sponsored ADR (Cayman Islands) (a)		20,990		3,821,649
China Lodging Group Ltd. Sponsored ADR (Cayman Islands)		15,505		699,120
Ctrip.com International Ltd. ADR (Cayman Islands) (a) (c)		44,620		2,077,953
Melco Crown Entertainment Ltd. ADR (Cayman Islands)		56,260		906,349
New Oriental Education & Technology Group, Inc. Sponsored ADR (Cayman Islands) (a)		28,660		1,328,678
SOHO China Ltd.		640,000		346,925
Tencent Holdings Ltd.		189,559		5,252,335
Tingyi Cayman Islands Holding Corp.		490,000		571,334
Want Want China Holdings Ltd.		1,016,000		632,417

				20,635,321

China — 2.4%
China Pacific Insurance Group Co. Ltd. Class H		242,400		900,837
Sinopharm Group Co. Ltd. Class H		292,000		1,416,243

				2,317,080

Colombia — 1.9%
Almacenes Exito SA (b)		19,000		96,980
Grupo Aval Acciones y Valores SA (c)		106,140		937,216
Grupo de Inversiones Suramericana SA		57,705		752,896

				1,787,092

Egypt — 0.7%
Commercial International Bank		123,148		662,202


	Number of Shares		Value
France — 2.7%
Kering		5,565	$	1,121,402
LVMH Moet Hennessy Louis Vuitton SE		8,576		1,462,017

				2,583,419

Hong Kong — 3.8%
AIA Group Ltd.		370,200		2,480,381
Hang Lung Properties Ltd.		130,000		495,946
Hong Kong Exchanges and Clearing Ltd.		26,091		688,266

				3,664,593

India — 15.0%
Apollo Hospitals Enterprise Ltd.		37,915		750,683
Asian Paints Ltd.		13,887		242,864
Dr Reddy’s Laboratories Ltd.		21,953		1,023,535
Glenmark Pharmaceuticals Ltd.		28,426		395,185
Housing Development Finance Corp.		228,172		4,796,142
Infosys Ltd.		148,554		2,312,962
Kotak Mahindra Bank Ltd.		87,198		1,024,655
Sun Pharmaceutical Industries Ltd.		36,599		409,416
Tata Consultancy Services Ltd.		27,416		1,004,335
UltraTech Cement Ltd.		12,808		743,383
Zee Entertainment Enterprises Ltd.		220,909		1,813,320

				14,516,480

Indonesia — 2.2%
Astra International Tbk PT		1,222,000		776,432
Bank Mandiri Persero Tbk PT		750,500		646,869
Indocement Tunggal Prakarsa Tbk PT		361,000		480,866
Semen Indonesia Persero Tbk PT		230,500		179,091

				2,083,258

Italy — 1.4%
Prada SpA		423,900		1,362,122

Japan — 2.1%
Fast Retailing Co., Ltd. (c)		2,700		869,402
Murata Manufacturing Co. Ltd.		8,700		1,134,776

				2,004,178

Malaysia — 1.9%
Genting Bhd		705,200		1,354,764
Genting Malaysia Bhd		432,300		476,267

				1,831,031

Mexico — 4.1%
Fomento Economico Mexicano SAB de CV		94,897		873,465
Fomento Economico Mexicano SAB de CV, Series B Sponsored ADR (Mexico)		3,850		354,354
Grupo Aeroportuario del Sureste SAB de CV Class B		28,148		411,744
Grupo Financiero Banorte SAB de CV Class O		200,884		1,054,577

MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)


	Number of Shares		Value
Grupo Financiero Inbursa SAB de CV Class O		564,410	$	890,726
Kimberly-Clark de Mexico SAB de CV Class A (Mexico)		18,256		41,295
Wal-Mart de Mexico SAB de CV		146,389		320,490

				3,946,651

Nigeria — 0.5%
Nigerian Breweries PLC		636,635		303,782
Zenith Bank PLC		3,850,015		183,584

				487,366

Philippines — 3.1%
Ayala Land, Inc.		182,700		148,128
Jollibee Foods Corp.		137,660		700,563
SM Investments Corp.		85,375		1,190,407
SM Prime Holdings, Inc.		1,660,500		968,460

				3,007,558

Poland — 0.9%
Bank Pekao SA		25,391		824,938

Republic of Korea — 1.3%
LG Household & Health Care Ltd.		133		115,377
NAVER Corp.		1,480		1,188,072

				1,303,449

Russia — 8.1%
Alrosa AO (a)		648,740		893,707
Magnit OJSC (a)		18,822		3,132,542
NovaTek OAO Sponsored GDR (Russia) (d)		23,684		2,607,384
Sberbank of Russia PJSC Sponsored ADR (Russia)		131,370		1,229,757

				7,863,390

Singapore — 0.5%
Global Logistic Properties Ltd.		345,000		475,506

Taiwan — 4.0%
Taiwan Semiconductor Manufacturing Co. Ltd.		664,000		3,894,198

Thailand — 0.7%
Airports of Thailand PCL		16,700		192,303
CP ALL PCL		256,900		455,970

				648,273

Turkey — 1.0%
Anadolu Efes Biracilik Ve Malt Sanayii AS		74,037		447,776
BIM Birlesik Magazalar AS		31,327		522,613

				970,389

United Arab Emirates — 1.4%
DP World Ltd.		71,445		1,353,441

United Kingdom — 2.7%
Glencore PLC (a)		243,751		668,241


	Number of Shares		Value
Old Mutual PLC		411,623	$	1,083,664
SABMiller PLC		15,284		890,642

				2,642,547

United States — 2.5%
Cognizant Technology Solutions Corp. Class A (a)		10,940		521,947
Las Vegas Sands Corp.		20,890		1,202,011
MercadoLibre, Inc.		710		131,329
Tiffany & Co. (c)		7,860		570,872

				2,426,159


TOTAL COMMON STOCK (Cost $84,588,763)				89,321,117


PREFERRED STOCK — 2.6%
Brazil — 2.5%
Lojas Americanas SA 0.670%		386,000		2,396,365

India — 0.1%
Zee Entertainment Enterprises Ltd., 6.000%		503,840		71,588


TOTAL PREFERRED STOCK (Cost $1,844,883)				2,467,953


TOTAL EQUITIES (Cost $86,433,646)				91,789,070


MUTUAL FUNDS — 2.1%
United States — 2.1%
State Street Navigator Securities Lending Prime Portfolio (e)		2,042,407		2,042,407


TOTAL MUTUAL FUNDS (Cost $2,042,407)				2,042,407


RIGHTS — 0.5%
Russia — 0.5%
Moscow Exchange OAO (a)		208,963		422,438


TOTAL RIGHTS (Cost $369,718)				422,438


WARRANTS — 0.0%
Malaysia — 0.0%
Genting BHD, Expires 12/18/18, Strike Price 7.96 (a)		81,500		27,590


TOTAL WARRANTS (Cost $38,401)				27,590


TOTAL LONG-TERM INVESTMENTS (Cost $88,884,172)				94,281,505

MML Strategic Emerging Markets Fund – Portfolio of Investments (Continued)



	Principal Amount		Value
SHORT-TERM INVESTMENTS — 0.9%
Repurchase Agreement — 0.9%
State Street Bank & Trust Co. Repurchase Agreement, dated 9/30/16, 0.010%, due 10/03/16 (f)	$	873,321	$	873,321


TOTAL SHORT-TERM INVESTMENTS (Cost $873,321)				873,321


TOTAL INVESTMENTS — 98.7% (Cost $89,757,493) (g)				95,154,826

Other Assets/(Liabilities) — 1.3%				1,294,935


NET ASSETS — 100.0%			$	96,449,761

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

ADR	American Depositary Receipt

GDR	Global Depositary Receipt

(a)	Non-income producing security.

(b)	Securities exempt from registration under rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2016, these securities amounted to a value of $165,833 or 0.17% of net assets.

(c)

Denotes all or a portion of security on loan. The total value of securities on loan as of September 30, 2016, was $1,973,610 or 2.05% of net assets. Total securities on loan may not correspond with the amounts identified in the Portfolio of Investments because pending sales may be in the process of recall from the brokers. (Note 2).

(d)

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

(f)	Maturity value of $873,322. Collateralized by U.S. Government Agency obligations with a rate of 1.500%, maturity date of 11/30/19, and an aggregate market value, including accrued interest, of $895,781.

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


	Principal Amount		Value
SHORT-TERM INVESTMENTS — 100.0%

Discount Notes — 70.5%
Federal Farm Credit Bank 0.557% 6/29/17	$	5,000,000	$	4,999,990
Federal Farm Credit Bank 0.572% 3/29/17		2,000,000		2,000,265
Federal Farm Credit Discount Notes 0.304% 11/15/16		1,000,000		999,625
Federal Farm Credit Discount Notes 0.315% 11/10/16		4,200,000		4,198,553
Federal Farm Credit Discount Notes 0.425% 1/20/17		1,000,000		998,690
Federal Farm Credit Discount Notes 0.455% 1/31/17		5,000,000		4,992,290
Federal Farm Credit Discount Notes 0.480% 11/01/16		2,000,000		1,999,173
Federal Farm Credit Discount Notes 0.480% 1/13/17		950,000		948,683
Federal Farm Credit Discount Notes 0.500% 1/13/17		1,730,000		1,727,501
Federal Farm Credit Discount Notes 0.520% 2/02/17		900,000		898,388
Federal Farm Credit Discount Notes 0.530% 11/09/16		992,000		991,430
Federal Farm Credit Discount Notes 0.590% 1/13/17		115,000		114,804
Federal Farm Credit Discount Notes 0.650% 2/01/17		950,000		947,890
Federal Home Loan Bank 0.430% 3/16/17		5,000,000		5,000,000
Federal Home Loan Bank 0.505% 2/24/17		2,500,000		2,499,660
Federal Home Loan Bank 0.525% 5/25/17		10,000,000		10,000,000
Federal Home Loan Bank 0.538% 3/10/17		5,000,000		5,000,108
Federal Home Loan Bank 0.563% 9/05/17		4,255,000		4,257,410
Federal Home Loan Bank 0.781% 8/21/17		5,000,000		5,011,016
Federal Home Loan Bank Discount Notes 0.190% 10/20/16		400,000		399,936
Federal Home Loan Bank Discount Notes 0.190% 10/21/16		500,000		499,903
Federal Home Loan Bank Discount Notes 0.220% 11/29/16		2,200,000		2,198,630
Federal Home Loan Bank Discount Notes 0.260% 12/20/16		136,000		135,879


	Principal Amount		Value
Federal Home Loan Bank Discount Notes 0.270% 1/27/17	$	350,000	$	349,495
Federal Home Loan Bank Discount Notes 0.340% 2/24/17		100,000		99,800
Federal Home Loan Bank Discount Notes 0.355% 2/10/17		500,000		499,358
Federal Home Loan Bank Discount Notes 0.370% 10/07/16		1,800,000		1,799,889
Federal Home Loan Bank Discount Notes 0.445% 10/12/16		1,840,000		1,839,750
Federal Home Loan Bank Discount Notes 0.460% 10/18/16		520,000		519,887
Federal Home Loan Bank Discount Notes 0.460% 11/08/16		1,002,000		1,001,513
Federal Home Loan Bank Discount Notes 0.470% 10/12/16		175,000		174,975
Federal Home Loan Bank Discount Notes 0.490% 1/25/17		1,000,000		998,421
Federal Home Loan Bank Discount Notes 0.500% 2/21/17		2,000,000		1,996,028
Federal Home Loan Bank Discount Notes 0.520% 1/31/17		150,000		149,736
Federal Home Loan Bank Discount Notes 0.540% 11/16/16		600,000		599,586
Federal Home Loan Bank Discount Notes 0.640% 2/10/17		2,000,000		1,995,307
Federal Home Loan Bank Discount Notes 0.670% 12/19/16		195,000		194,713
Federal Home Loan Mortgage Corp. 0.190% 10/19/16		1,512,000		1,511,675
Federal Home Loan Mortgage Corp. 0.220% 11/18/16		1,100,000		1,099,633
Federal Home Loan Mortgage Corp. 0.220% 11/28/16		1,500,000		1,499,456
Federal Home Loan Mortgage Corp. 0.284% 10/06/16		700,000		699,973
Federal Home Loan Mortgage Corp. 0.294% 10/06/16		600,000		599,976
Federal Home Loan Mortgage Corp. 0.300% 10/06/16		1,300,000		1,299,946

MML U.S. Government Money Market Fund – Portfolio of Investments (Continued)


	Principal Amount		Value
Federal Home Loan Mortgage Corp. 0.325% 10/06/16	$	900,000	$	899,960
Federal Home Loan Mortgage Corp. 0.335% 10/06/16		800,000		799,963
Federal Home Loan Mortgage Corp. 0.400% 10/17/16		4,000,000		3,999,289
Federal Home Loan Mortgage Corp. 0.400% 3/21/17		170,000		169,596
Federal Home Loan Mortgage Corp. 0.457% 2/21/17		834,000		832,509
Federal Home Loan Mortgage Corp. 0.467% 2/21/17		950,000		948,264
Federal Home Loan Mortgage Corp. 0.470% 1/05/17		2,500,000		2,496,867
Federal Home Loan Mortgage Corp. 0.700% 10/31/16		423,000		422,753
Federal National Mortgage Association 0.190% 10/19/16		1,207,000		1,206,840
Federal National Mortgage Association 0.284% 10/17/16		900,000		899,888
Federal National Mortgage Association 0.293% 12/21/16		1,750,000		1,748,862
Federal National Mortgage Association 0.304% 10/17/16		5,260,000		5,259,299
Federal National Mortgage Association 0.320% 10/11/16		4,600,000		4,599,591
Federal National Mortgage Association 0.420% 10/26/16		300,000		299,913
Federal National Mortgage Association 0.440% 11/23/16		2,500,000		2,498,381
Federal National Mortgage Association 0.450% 11/14/16		3,750,000		3,747,938
Federal National Mortgage Association 0.480% 11/14/16		391,000		390,771
Federal National Mortgage Association 0.570% 10/11/16		1,372,000		1,371,783
Federal National Mortgage Association 0.600% 10/11/16		670,000		669,888
Federal National Mortgage Association 0.736% 12/07/16		176,000		175,759

				113,187,055


	Principal Amount		Value
Repurchase Agreement — 14.7%
HSBC Securities (USA) Inc. Repurchase Agreement, dated 9/30/16, 0.450%, due 10/03/16 (a)	$	23,500,000	$	23,500,000

Time Deposit — 0.1%
Euro Time Deposit 0.010% 10/03/16		228,241		228,241

U.S. Government Obligations — 14.7%
U.S. Treasury Note 0.303% 10/31/16		7,000,000		7,000,034
U.S. Treasury Note 0.324% 4/30/17		7,500,000		7,500,176
U.S. Treasury Note 0.334% 1/31/17		7,450,000		7,450,619
U.S. Treasury Note 3.125% 1/31/17		1,600,000		1,613,948

				23,564,777


TOTAL SHORT-TERM INVESTMENTS (Cost $160,480,073)				160,480,073


TOTAL INVESTMENTS — 100.0% (Cost $160,480,073) (b)				160,480,073

Other Assets/(Liabilities) — 0.0%				2,744


NET ASSETS — 100.0%			$	160,482,817

Notes to Portfolio of Investments

Percentages are stated as a percent of net assets.

(a)	Maturity value of $23,500,881. Collateralized by U.S. Government Agency obligations with rates ranging from 1.250% – 1.875%, maturity dates ranging from 7/15/19 – 7/15/20, and an aggregate market value, including accrued interest, of $23,973,445.

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

MML Series Investment Fund II (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as a no-load, open-end, management investment company. The Trust is organized under the laws of the Commonwealth of Massachusetts as a Massachusetts business trust pursuant to an Agreement and Declaration of Trust dated February 8, 2005, which was amended and restated as of February 28, 2005 and December 15, 2011, as it may be further amended from time to time. The Trust consists of the following series (each individually referred to as a “Fund” or collectively as the “Funds”):

MML Inflation-Protected and Income Fund (“Inflation-Protected and Income Fund”)

MML U.S. Government Money Market Fund (formerly known as MML 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.

U.S. Government Money Market Fund’s name, investment objective, and investment strategy changed on May 1, 2016 when the Fund changed from a money market fund to a government money market fund.

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.

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 their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment.

The Funds may invest in securities that are traded principally in foreign markets and that trade on weekends and other days when the Funds do not price their shares. As a result, the values of the Funds’ portfolio securities may change on days when the prices of the Funds’ shares are not calculated. The prices of the Funds’ shares will reflect any such changes when the prices of the Funds’ shares are next calculated, which is the next business day. The Funds may use fair value pricing more frequently for securities primarily traded in foreign markets because, among other things, most foreign markets close well before the Funds value their securities. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim. The Funds’ investments may be priced based on fair values provided by a third-party

vendor, based on certain factors and methodologies applied by such vendor, in the event that there is movement in the U.S. market, between the close of the foreign market and the time the Funds calculate their net asset values. All assets and liabilities expressed in foreign currencies are converted into U.S. dollars at the mean between the buying and selling rates of such currencies against the U.S. dollar at the end of each business day.

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A three-tier hierarchy is utilized to maximize the use of observable market data inputs and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk, for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability and are developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability and are developed based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below. The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.

Level 1 – quoted prices (unadjusted) in active markets for identical investments that the Funds can access at the measurement date

The types of assets and liabilities categorized in Level 1 generally include actively traded domestic and certain foreign equity securities, derivatives actively traded on a national securities exchange (such as some warrants, rights, futures, and options), and shares of open-end mutual funds.

Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

The types of assets and liabilities categorized in Level 2 generally include debt securities such as U.S. Government and agency securities, mortgage-backed securities, asset-backed securities, municipal obligations, sovereign debt obligations, bank loans, corporate bonds, and those securities valued at amortized cost; OTC derivatives such as swaps, options, swaptions, and forward foreign currency exchange contracts; certain restricted securities; and non-exchange traded equity securities and certain foreign equity securities traded on particular foreign exchanges that close before the Funds determine their net asset values.

Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)

The types of assets and liabilities categorized in Level 3 generally include securities for which prices, spreads, or any of the other aforementioned significant inputs are unobservable. Generally, securities whose trading has been suspended or that have been de-listed from their current primary trading exchange; securities in default or bankruptcy proceedings for which there is no current market quotation; securities and certain derivatives valued by broker quotes which may include brokers’ assumptions; and any illiquid Rule 144A securities or restricted securities issued by non-public entities are categorized in Level 3.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. In addition, in periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.

In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls is determined based on the lowest level input that is significant to the overall fair value measurement.

The High Yield Fund and U.S. Government Money Market Fund characterized all investments at Level 2, as of September 30, 2016. The Equity Fund, Equity Rotation Fund, Small Cap Equity Fund and Special Situations Fund characterized all long-term investments at Level 1, and all short-term investments at Level 2, as of September 30, 2016. 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, 2016, for the remaining Funds’ investments:

The Funds had no transfers between Level 1 and Level 2 of the fair value hierarchy at September 30, 2016. The Funds recognize transfers between the Levels as of the beginning of the year.

Following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining value:

None of the unobservable inputs, individually or collectively, had a material impact on the Fund(s).

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, 2016, the following tables 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, 2016, the Fund(s) had the following derivatives and transactions in derivatives, grouped into the indicated risk categories:

At September 30, 2016, 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, 2016, are discussed below.

A Fund may engage in foreign currency exchange transactions for hedging purposes in order to protect against uncertainty in the level of future foreign currency exchange rates, or for other, non-hedging purposes.

A Fund may enter into foreign currency exchange transactions, including foreign currency forward contracts. These contracts call for the Fund to deliver in the future an amount of one currency in return for an amount of another currency, at an exchange rate determined at the time the contract is entered into. Forward contracts are private contractual arrangements and a Fund is subject to the risk that its counterparty will not, or will not be able to, perform its obligations. This type of arrangement may require the Fund to post margin. A Fund may enter into foreign currency exchange transactions in order to hedge against changes in the values of the assets or liabilities denominated in one or more foreign currencies, or otherwise to increase or reduce a Fund’s exposure to various foreign currencies. The use of foreign currency exchange transactions may create investment leverage.

Whenever a Fund enters into a foreign currency exchange transaction, it is subject to the risk that the value of the transaction will move in a direction unfavorable to it. When the Fund uses the transactions for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part. If a Fund enters into foreign currency exchange transactions other than for hedging purposes (for example, seeking to profit from an anticipated change in the values of currencies by creating directional exposures in the portfolio with respect to one or more currencies), it will generally be subject to the same risks, but is less likely to have assets or liabilities that will offset any losses on the transactions. There can be no assurance that a Fund will be able to terminate any foreign currency exchange transaction prior to its maturity in order to limit its loss on the transaction.

Forward foreign currency contracts are marked to market daily and the change in their value is recorded by the Funds as an unrealized gain or loss. Forward foreign currency contracts are valued at the settlement price established through dealers or other market sources on the day which they are traded. When a forward foreign currency contract is extinguished, through delivery or offset by entering into another forward foreign currency contract, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished or offset. The notional or contractual amounts of these instruments do not necessarily represent the amounts potentially subject to risk. The measurement of the risk associated with these instruments is meaningful only when all related and offsetting transactions and counterparty risks are considered.

The Fund(s) listed in the following table had open forward foreign currency contracts at September 30, 2016. A Fund’s current exposure to a counterparty is the unrealized appreciation on the contract.

RUB	New Russian ruble

THB

Thai Baht

TWD	Taiwan Dollar

A Fund may seek to manage a variety of different risks, such as interest rate risk, equity price risk, and currency risk, through the use of futures contracts. A Fund may use interest rate futures contracts to adjust the interest rate sensitivity (duration) of its portfolio or the credit exposure of the portfolio. Interest rate futures contracts obligate the long or short holder to take or make delivery of a specified quantity of a financial instrument, such as a specific fixed-income security, during a specified future period at a specified price. A Fund may use index futures to hedge against broad market risks to its portfolio or to gain broad market exposure when it holds uninvested cash or as an inexpensive substitute for cash investments directly in securities or other assets. Securities index futures contracts are contracts to buy or sell units of a securities index at a specified future date at a price agreed upon when the contract is made and are settled in cash. Positions in futures may be closed out only on an exchange or board of trade which provides a secondary market for such futures. Because futures contracts are exchange-traded, they typically have minimal exposure to counterparty risk.

Parties to a futures contract are not required to post the entire notional amount of the contract, but rather a small percentage of that amount (by way of margin), both at the time they enter into futures transactions, and then on a daily basis if their positions decline in value; as a result, futures contracts are highly leveraged. Such payments are known as variation margin and are recorded by the Funds as unrealized gains or losses. Because futures markets are highly leveraged, they can be extremely volatile, and there can be no assurance that the pricing of a futures contract will correlate precisely with the pricing of the asset or index underlying it or the

asset or liability of the Fund that is the subject of the hedge. It may not always be possible for a Fund to enter into a closing transaction with respect to a futures contract it has entered into, at a favorable time or price. When a Fund enters into a futures transaction, it is subject to the risk that the value of the futures contract will move in a direction unfavorable to it. When a Fund uses futures contracts for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the transactions, at least in part.

When a futures contract is closed, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they are traded.

Swap agreements are typically two-party contracts entered into primarily by institutional investors. In a standard “swap” transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments, which may be adjusted for an interest factor. The gross returns to be exchanged or “swapped” between the parties are generally calculated with respect to a “notional amount,” (i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate or in a “basket” of securities representing a particular index).

Interest Rate Swaps. When a Fund enters into an interest rate swap, it typically agrees to make payments to its counterparty based on a specified long- or short-term interest rate, and will receive payments from its counterparty based on another interest rate. Other forms of interest rate swap agreements include interest rate caps, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates exceed a specified rate, or “cap”; interest rate floors, under which, in return for a specified payment stream, one party agrees to make payments to the other to the extent that interest rates fall below a specified rate, or “floor”; and interest rate collars, under which a party sells a cap and purchases a floor or vice versa in an attempt to protect itself against interest rate movements exceeding given minimum or maximum levels. A Fund may enter into an interest rate swap in order, for example, to hedge against the effect of interest rate changes on the value of specific securities in its portfolio, or to adjust the interest rate sensitivity (duration) or the credit exposure of its portfolio overall, or otherwise as a substitute for a direct investment in debt securities.

Credit Default Swaps. A Fund also may enter into credit default swap transactions, as a “buyer” or “seller” of credit protection. In a credit default swap, one party provides what is in effect insurance against a default or other adverse credit event affecting an issuer of debt securities (typically referred to as a “reference entity”). In general, the buyer of credit protection is obligated to pay the protection seller an upfront amount or a periodic stream of payments over the term of the swap. If a “credit event” occurs, the buyer has the right to deliver to the seller bonds or other obligations of the reference entity (with a value up to the full notional value of the swap), and to receive a payment equal to the par value of the bonds or other obligations. Credit events that would trigger a request that the seller make payment are specific to each credit default swap agreement, but generally include bankruptcy, failure to pay, restructuring, acceleration, default, or repudiation/moratorium. When a Fund buys protection, it may or may not own securities of the reference entity. If it does own securities of the reference entity, the swap serves as a hedge against a decline in the value of the securities due to the occurrence of a credit event involving the issuer of the securities. If the Fund does not own securities of the reference entity, the credit default swap may be seen to create a short position in the reference entity. If a Fund is a buyer and no credit event occurs, the Fund will typically recover nothing under the swap, but will have had to pay the required upfront payment or stream of continuing payments under the swap. When a Fund sells protection under a credit default swap, the position may have the effect of creating leverage in the Fund’s portfolio through the Fund’s indirect long exposure to the issuer or securities on which the swap is written. When a Fund sells protection, it may do so either to earn additional income or to create a “synthetic” long position.

Whenever a Fund enters into a swap agreement, it takes on counterparty risk — the risk that its counterparty will be unable or unwilling to meet its obligations under the swap agreement. The Fund also takes the risk that the market will move against its position in the swap agreement. In the case of an interest rate swap, the value of the swap may increase or decrease depending on changes in interest rates. In the case of a credit default swap, the swap will become more or less valuable depending on the credit

of the issuer of the underlying security, and, if a credit event occurs under a swap where the Fund is the seller of credit protection, the Fund could be required to purchase the security at par value, resulting in a significant loss to the Fund. When the Fund enters into any type of swap for hedging purposes, it is likely that the Fund will have an asset or liability that will offset any loss (or gain) on the swap, at least in part. Swap agreements may be non-transferable or otherwise highly illiquid, and a Fund may not be able to terminate or transfer a swap agreement at any particular time or at an acceptable price.

Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally certain interest rate swaps, certain index swaps, and credit derivatives. In a cleared derivative transaction, a Fund typically enters into the transaction with a financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of its original counterparty. The Fund will be required to post amounts (“initial margin”) with the clearinghouse or at the instruction of the clearinghouse. The initial margin required by a clearinghouse may be greater than the initial margin the Fund would be required to post in an uncleared transaction. If cash is deposited as the initial margin, it is shown as collateral on a Fund’s Statement of Assets and Liabilities. Swap agreements are marked-to-market daily and subsequent payments (“variation margin”) are made or received by a Fund depending on whether unrealized gains or losses are incurred. These amounts are reflected as receivables or payables on a Fund’s Statement of Assets and Liabilities (“Variation margin on open derivative instruments”) and as a component of net change in unrealized appreciation (depreciation) on a Fund’s Statement of Operations. Only a limited number of transaction types are currently eligible for clearing.

During the term of a swap transaction, changes in the value of the swap are recognized as unrealized gains or losses by marking to market to reflect the market value of the swap. When the swap is terminated, a Fund will record a realized gain or loss equal to the difference, if any, between the proceeds from (or cost of) the closing transaction and a Fund’s basis in the agreement. Upfront swap premium payments paid or received by a Fund, if any, are recorded within the value of the open swap agreement on the Fund’s Statement of Assets and Liabilities and represent payments paid or received upon entering into the swap agreement to compensate for differences between stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, and other relevant factors). These upfront payments are recorded as realized gain or loss on the Fund’s Statement of Operations upon termination or maturity of the swap agreement.

During the term of a swap transaction, the periodic net payments can be made for a set period of time or may be triggered by a predetermined credit event. The net periodic payments may be based on a fixed or variable interest rate, the change in market value of a specified security, basket of securities or index, or the return generated by a security.

The Fund(s) listed in the following table had open swap transactions at September 30, 2016. A Fund’s current exposure to a counterparty is the fair value of the transaction.

A Fund may purchase or hold warrants or rights in order to gain exposure to the underlying security without owning the security, including, for example, cases where the Fund hopes to lock in the price today of a security it may wish to purchase in the future. Warrants generally give the holder the right, but not the obligation, to buy a security at a stated price. In order for a warrant to be profitable, the market price of the underlying security must rise sufficiently above the exercise price to cover any premium and transaction costs. Rights may similarly confer on the holder the right to purchase or acquire securities, including through participation in a so-called rights offering. Bonds may be issued with warrants or other rights attached to purchase or acquire equity or other debt securities, typically of the bond issuer. The market prices of bonds with warrants or rights attached to purchase equity securities or bonds may, to some degree, reflect changes in the values of the underlying securities.

When a Fund purchases or otherwise acquires warrants or other rights, it runs the risk that it will lose its entire investment in the warrants or rights, unless the Fund exercises the warrant or right, acquires the underlying securities, or enters into a closing transaction before expiration. If the price of the underlying security does not rise to an extent sufficient to cover any premium and transaction costs, the Fund will lose part or all of its investment. Any premiums or purchase price paid for warrants or other rights that expire are treated as realized losses. Warrants and similar rights differ from options in that they are typically written by the issuer of the security underlying the warrant or right. Although some warrants and rights may be non-transferable, others may be traded over-the-counter or on an exchange

The Funds may invest in inflation-indexed bonds, which are fixed income securities whose principal value or coupon is periodically adjusted according to the rate of inflation, as measured by the Consumer Price Index for All Urban Consumers (“CPI-U”) (for U.S. Treasury inflation-indexed bonds) or, generally, by a comparable inflation index calculated by the foreign government issuing the inflation-indexed bonds.

If the periodic adjustment rate measuring inflation falls, the principal value of inflation-indexed bonds will be adjusted downward, and consequently the interest payable on these securities (calculated with respect to a smaller principal amount) will be reduced. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. Treasury inflation-indexed bonds, even during a period of deflation. However, the current market value of the bonds is not guaranteed, and will fluctuate. The Funds may also invest in other inflation related bonds which may or may not provide a similar guarantee. If a guarantee of principal is not provided, the adjusted principal value of the bond repaid at maturity may be less than the original principal. Any adjustments to the principal amount of an inflation-indexed bond due to inflation will be reflected as increases or decreases to interest income. Such adjustments may have a significant impact on the Fund’s distributions.

The value of inflation-indexed bonds is generally based on changes in real interest rates, which in turn are tied to the relationship between nominal interest rates and the rate of inflation. Therefore, if nominal interest rates increased at a faster rate than inflation, real interest rates might rise, leading to a decrease in value of inflation-indexed bonds. While the values of these securities are expected to be protected from long-term inflationary trends, short-term increases in inflation may lead to a decline in value. There can be no assurance that the CPI-U or any foreign inflation index will accurately measure the real rate of inflation, or that the rate of inflation in a foreign country will correlate to the rate of inflation in the United States. Additionally, if interest rates rise due to reasons other than inflation, investors in these securities may not be protected to the extent that the increase is not reflected in the bond’s inflation measure.

Certain of the Funds may invest in bank loans including, for example, corporate loans, loan participations, direct debt, bank debt, and bridge debt. A Fund may invest in a loan by lending money to a borrower directly as part of a syndicate of lenders. In a syndicated loan, the agent that originated and structured the loan typically administers and enforces the loan on behalf of the syndicate. Failure by the agent to fulfill its obligations may delay or adversely affect receipt of payment by a Fund. A Fund may also invest in loans through novations, assignments, and participation interests. In a novation, a Fund typically assumes all of the rights of a lending institution in a loan, including the right to receive payments of principal and interest and other amounts directly from the borrower and to enforce its rights as a lender directly against the borrower. When a Fund takes an assignment of a loan, the Fund acquires some or all of the interest of another lender (or assignee) in the loan. In such cases, the Fund may be required generally to rely upon the assignor to demand payment and enforce rights under the loan. If a Fund acquires a participation in the loan, the Fund purchases an indirect interest in a loan held by a third party and the Fund typically will have a contractual relationship only with the third party loan investor, not with the borrower. As a result, a Fund may have the right to receive payments of principal, interest, and any fees to which it is entitled only from the loan investor selling the participation and only upon receipt by such loan investor of such payments from the borrower. In such cases, a Fund assumes the credit risk of both the borrower and the loan investor selling the participation, and the Fund may be unable to realize some or all of the value of its interest in the loan in the event of the insolvency of the third party.

Changes in the financial condition of the borrower or economic conditions or other circumstances may reduce the capacity of the borrower to make principal and interest payments on such instruments and may lead to defaults. The value of any collateral securing a bank loan may decline after the Fund invests, and there is a risk that the value of the collateral may not be sufficient to cover the amount owed to the Fund.

Each Fund may enter into repurchase agreements with certain banks and broker-dealers whereby a Fund acquires a security for cash and obtains a simultaneous commitment from the seller to repurchase the security at an agreed upon price and date. A Fund, through its custodian, takes possession of the securities collateralizing the repurchase agreement in a segregated account. Repurchase agreements must be fully collateralized at all times, but involve some risk to a Fund if the other party should default on its obligation and the Fund is delayed or prevented from recovering the collateral, or if the Fund is required to return collateral to a borrower at a time when it may realize a loss on the investment of that collateral. Collateral for certain tri-party repurchase agreements is held at the Fund’s custodian or sub-custodian in a segregated account for the benefit of the Fund and the counterparty.

Each Fund may enter into reverse repurchase agreements with banks and broker-dealers to enhance return. Reverse repurchase agreements involve sales by a Fund of portfolio securities concurrently with an agreement by the Fund to repurchase the same securities at a later date at a fixed price (typically equal to the original sale price plus interest). During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on the securities and also has the opportunity to earn a return on the purchase price received by it from the counterparty.

Certain agreements have no stated maturity and can be terminated by either party at any time. Interest on the value of the reverse repurchase agreements issued and outstanding is based upon competitive market rates determined at the time of issuance. A Fund may utilize reverse repurchase agreements when it is anticipated that the interest income to be earned from the investment of the proceeds of the transaction is greater than the interest expense of the transaction. Reverse repurchase agreements generally create investment leverage and involve the risk that the market value of the security that a Fund is obligated to repurchase under the agreement may decline below the repurchase price. For financial reporting purposes, cash received in exchange for securities delivered plus accrued interest payments to be made to the counterparty is recorded as a liability in the Statements of Assets and Liabilities at face value including accrued interest. Due to the short term nature of reverse repurchase agreements, face value approximates fair value. Interest payments made by a Fund to the counterparties are recorded as a component of interest expense in the Statements of Operations. In periods of increased demand for a security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund.

Reverse repurchase transactions are entered into by a Fund under a Master Repurchase Agreement (“MRA”), which permits the Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and creates one single net payment due to or from the Fund. With reverse repurchase transactions, typically a Fund and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by the Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, the Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed.

In the event the buyer of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the sale of its securities may be restricted or forfeited, and the counterparty may fail to return/resell the securities in question to the Fund.

The Fund(s) listed in the following table had open reverse repurchase transactions at September 30, 2016:

Average balance outstanding was calculated based on daily balances outstanding during the period that the Fund had entered into reverse repurchase transactions.

When-Issued, Delayed-Delivery, Forward Commitment, and To-Be-Announced Transactions

A Fund may enter into when-issued, delayed-delivery, forward commitment, or to-be-announced (“TBA”) transactions (collectively, the “Forward Transactions”) in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In Forward Transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. In the case of TBA purchase commitments, the unit price and the estimated principal amount are established when the Fund enters into a commitment, with the actual principal amount being within a specified range of the estimate. Although a Fund does not typically pay for the securities in these types of transactions until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. As a result, each of these types of transactions may create investment leverage in a Fund’s portfolio and increase the volatility of the Fund. If a Fund’s counterparty fails to deliver a security purchased in a Forward Transaction, there may be a loss, and the Fund may have missed an opportunity to make an alternative investment.

These securities are valued on the basis of valuations furnished by a pricing service, selected pursuant to procedures approved by the Trustees, which determines valuations taking into account appropriate factors such as institutional-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. Securities for which no market quotation is available are valued at fair value in accordance with procedures approved by the Trustees. The Funds record on a daily basis the unrealized appreciation (depreciation) based upon changes in the values of these securities. When a Forward Transaction is closed, the Funds record a realized gain or loss equal to the difference between the value of the transaction at the time it was opened and the value of the transaction at the time it was closed.

The Asset Momentum Fund, Blend Fund, Dynamic Bond Fund, Equity Fund, Equity Rotation Fund, High Yield Fund, Inflation-Protected and Income Fund, Managed Bond Fund, Short-Duration Bond Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund may lend their securities; however, lending cannot exceed 10% of the total assets of the Managed Bond Fund taken at current value, and 33% of the total assets of the Asset Momentum Fund, Blend Fund, Dynamic Bond

Fund, Equity Fund, Equity Rotation Fund, High Yield Fund, Inflation-Protected and Income Fund, Short-Duration Bond Fund, Small Cap Equity Fund, Special Situations Fund, and Strategic Emerging Markets Fund, respectively, taken at current value. The Funds’ securities lending activities are governed by a Securities Lending Agency Agreement (“Lending Agreement”) between each Fund and the lending agent (“agent”). The Lending Agreement authorizes the agent to lend qualifying U.S. and foreign securities held by a Fund to approved borrowers (each a “Borrower”).

Each Fund expects that in connection with any securities on loan, the loan will be secured continuously by collateral consisting of cash or securities adjusted daily to have market value at least equal to the current market value of the securities loaned. The market value of the loaned securities is determined at the close of business of a Fund and any additional collateral is delivered to the Fund the next business day. As with other extensions of credit, the Funds may bear the risk of delay in recovery or even loss of rights in the collateral should the Borrower of the securities fail financially. 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, 2016, the Funds’ collateral was equal to or greater than 100% of the market value of securities on loan.

Security loans can be terminated at the discretion of either the lending agent or the Fund and the related securities must be returned within the earlier of the standard trade settlement period for such securities or within three business days. For all Funds, all securities on loan are classified as common stock in the Fund’s Portfolio of Investments at September 30, 2016.

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 and the Asset Momentum Fund invests a significant amount 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, 2016, the cost of securities and the unrealized appreciation (depreciation) in the value of investments owned by the Fund(s), as computed on a federal income tax basis, were as follows:

Note: The aggregate cost for investments for the U.S. Government Money Market Fund at September 30, 2016, is the same for financial reporting and federal income tax purposes.

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, 2016, through the date when the Portfolios of Investments were issued, and determined that there are no subsequent events or transactions that would require adjustments to or disclosures in the Funds’ Portfolios of Investments.

(a) The Registrant’s Principal Executive Officer and Principal Financial Officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))), are effective, as of a date within 90 days of the filing date of this Form N-Q, to provide reasonable assurance that the information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized, and reported within the time periods specified in the SEC’s rules and forms, based on their evaluation of these disclosure controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d))) that occurred during the Registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

(a) Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)) are attached hereto as Exhibit 99CERT.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



MML Series Investment Fund II
(Exact name of registrant as specified in charter)

100 Bright Meadow Blvd., Enfield, CT 06082
(Address of principal executive offices) (Zip code)
Brian Haendiges
100 Bright Meadow Blvd., Enfield, CT 06082
(Name and address of agent for service)

MML Series Investment Fund II – ‘N-Q’ for 9/30/16

On: Monday, 11/28/16, at 4:36pm ET · Effective: 11/28/16 · For: 9/30/16 · Accession #: 1193125-16-778162 · File #: 811-21714

Previous ‘N-Q’: ‘N-Q’ on 5/24/16 for 3/31/16 · Next: ‘N-Q’ on 5/25/17 for 3/31/17 · Latest: ‘N-Q’ on 5/29/19 for 3/31/19

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

N-Q — Mml Series Investment Fund Ii

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Dates Referenced Herein and Documents Incorporated by Reference


	Level 1			Level 2			Level 3		Total
Asset Momentum Fund
Asset Investments
Common Stock	$	3,545,097		$	2,545,785	*	$	-	$	6,090,882
Corporate Debt		-			3,008,372			-		3,008,372
U.S. Treasury Obligations		-			1,000,053			-		1,000,053
Mutual Funds		5,896,730			-			-		5,896,730
Short-Term Investments		-			5,024,899			-		5,024,899

Total Investments	$	9,441,827		$	11,579,109		$	-	$	21,020,936

Asset Derivatives
Forward Contracts	$	-		$	37,113		$	-	$	37,113

Liability Derivatives
Forward Contracts	$	-		$	(20,652	)	$	-	$	(20,652	)
Futures Contracts		(106,925	)		-			-		(106,925	)

Total	$	(106,925	)	$	(20,652	)	$	-	$	(127,577	)


Blend Fund
Asset Investments
Common Stock	$	437,816,789		$	-		$	-	$	437,816,789
Preferred Stock		546,200			-			-		546,200
Corporate Debt		-			75,027,436			-		75,027,436
Municipal Obligations		-			2,345,527			-		2,345,527
Non-U.S. Government Agency Obligations		-			52,155,156			607,838		52,762,994
Sovereign Debt Obligations		-			2,084,014			-		2,084,014
U.S. Government Agency Obligations and Instrumentalities		-			51,027,808			-		51,027,808
U.S. Treasury Obligations		-			9,341,345			-		9,341,345
Rights		-			-			19,928		19,928
Short-Term Investments		-			32,921,114			-		32,921,114

Total Investments	$	438,362,989		$	224,902,400		$	627,766	$	663,893,155

Asset Derivatives
Futures Contracts	$	58,405		$	-		$	-	$	58,405

Liability Derivatives
Futures Contracts	$	(2,364	)	$	-		$	-	$	(2,364	)
Swap Agreements		-			(38,112	)		-		(38,112	)

Total	$	(2,364	)	$	(38,112	)	$	-	$	(40,476	)


	Investments in Securities
	Balance as of 12/31/15		Accrued Discounts (Premiums)		Realized Gain (Loss)		Change in Unrealized Appreciation (Depreciation)			Purchases		(Sales)			Transfers into Level 3*			Transfers (out) of Level 3*		Balance as of 9/30/16		Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 9/30/16
Blend Fund
Non-U.S. Government Agency Obligations†	$	83,266	$	-	$	76	$	(24,605	)	$	-	$	(103,214	)	$	312,315	**	$	-	$	267,838	$	(24,543	)
Non-U.S. Government Agency Obligations		-		-		-		-			340,000		-			-			-		340,000		-
Rights		19,928		-		-		-			-		-			-			-		19,928		-

	$	103,194	$	-	$	76	$	(24,605	)	$	340,000	$	(103,214	)	$	312,315		$	-	$	627,766	$	(24,543	)


Inflation-Protected and Income Fund
Non-U.S. Government Agency Obligations†	$	163,521	$	-	$	69	$	(25,315	)	$	-	$	(182,729	)	$	294,958	**	$	-	$	250,504	$	(25,181	)


Managed Bond Fund
Non-U.S. Government Agency Obligations†	$	509,567	$	-	$	920	$	(144,526	)	$	-	$	(627,177	)	$	1,843,807	**	$	-	$	1,582,591	$	(144,129	)
Non-U.S. Government Agency Obligations		-		-		-		-			2,150,000		-			-			-		2,150,000		-

	$	509,567	$	-	$	920	$	(144,526	)	$	2,150,000	$	(627,177	)	$	-		$	-	$	3,732,591	$	(144,129	)


Short-Duration Bond Fund
Non-U.S. Government Agency Obligations†	$	83,266	$	-	$	62	$	(25,965	)	$	-	$	(104,523	)	$	333,564	**	$	-	$	286,404	$	(25,903	)
Non-U.S. Government Agency Obligations		-		-		-		-			300,000		-			-			-		300,000		-

	$	83,266	$	-	$	62	$	(25,965	)	$	300,000	$	(104,523	)	$	333,564		$	-	$	586,404	$	(25,903	)


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

Interest Rate Swaps***
Hedging/Risk Management			A
Duration Management			A
Asset/Liability Management			M
Substitution for Direct Investment			M
Intention to Create Investment Leverage in Portfolio			M

Credit Default Swaps (Protection Buyer)
Hedging/Risk Management		A	A	A	A
Duration/Credit Quality Management		A	A	A	A
Income		A	A	A	A
Substitution for Direct Investment		A	A	A	M
Intention to Create Investment Leverage in Portfolio		M	M	M	M

Credit Default Swaps (Protection Seller)
Hedging/Risk Management		A	A	A	A
Duration/Credit Quality Management		A	A	A	A
Income		A	A	A	A
Substitution for Direct Investment		A	A	A	A
Intention to Create Investment Leverage in Portfolio		M	M	M	M


	Credit Risk			Equity Risk			Foreign Exchange Risk			Interest Rate Risk			Total
Asset Momentum Fund
Asset Derivatives
Forward Contracts	$	-		$	-		$	37,113		$	-		$	37,113

Liability Derivatives
Forward Contracts	$	-		$	-		$	(20,652	)	$	-		$	(20,652	)
Futures Contracts		-			(106,925	)		-			-			(106,925	)

Total Value	$	-		$	(106,925	)	$	(20,652	)	$	-		$	(127,577	)

Blend Fund
Asset Derivatives
Futures Contracts	$	-		$	-		$	-		$	58,405		$	58,405

Liability Derivatives
Futures Contracts	$	-		$	-		$	-		$	(2,364	)	$	(2,364	)
Swap Agreements		(38,112	)		-			-			-			(38,112	)

Total Value	$	(38,112	)	$	-		$	-		$	(2,364	)	$	(40,476	)

Inflation-Protected and Income Fund
Asset Derivatives
Futures Contracts	$	-		$	-		$	-		$	6,342		$	6,342
Swap Agreements		-			-			-			281,497			281,497

Total Value	$	-		$	-		$	-		$	287,839		$	287,839

Liability Derivatives
Futures Contracts	$	-		$	-		$	-		$	(1,006	)	$	(1,006	)
Swap Agreements		(12,648	)		-			-			-			(12,648	)

Total Value	$	(12,648	)	$	-		$	-		$	(1,006	)	$	(13,654	)

Managed Bond Fund
Asset Derivatives
Futures Contracts	$	-		$	-		$	-		$	211,819		$	211,819

Liability Derivatives
Futures Contracts	$	-		$	-		$	-		$	(2,870	)	$	(2,870	)
Swap Agreements		(239,268	)		-			-			-			(239,268	)

Total Value	$	(239,268	)	$	-		$	-		$	(2,870	)	$	(242,138	)

Short-Duration Bond Fund
Asset Derivatives
Futures Contracts	$	-		$	-		$	-		$	8,092		$	8,092

Liability Derivatives
Futures Contracts	$	-		$	-		$	-		$	(7,366	)	$	(7,366	)
Swap Agreements		(28,792	)		-			-			-			(28,792	)

Total Value	$	(28,792	)	$	-		$	-		$	(7,366	)	$	(36,158	)


	Number of Contracts, Notional Amounts or Shares/Units†
Fund Name	Futures Contracts		Forward Contracts		Swap Agreements
Asset Momentum Fund		176	$	2,049,182	$	-
Blend Fund		184		-		3,710,000
Inflation-Protected and Income Fund		205		-		40,480,000
Managed Bond Fund		1,273		-		23,120,000
Short-Duration Bond Fund		470		-		2,940,000


		Counterparty	Settlement Date		In Exchange for		Unrealized Appreciation/ (Depreciation)
Asset Momentum Fund
Contracts to Buy
BRL	764,720	Barclays Bank PLC	06/08/17		$	207,263	$	12,318
NOK	1,633,379	Barclays Bank PLC	01/27/17			200,000		4,386

						407,263		16,704


BRL	1,420,580	HSBC Bank USA	06/08/17			400,000		7,904
CAD	253,819	HSBC Bank USA	01/20/17			200,000		(6,379	)

						600,000		1,525

					$	1,007,263	$	18,229

Cross Currency Forwards
NOK	1,671,393	HSBC Bank USA	10/21/16	EUR		180,000	$	6,715
NOK	1,600,000	HSBC Bank USA	02/16/17	THB		6,956,000		(255	)

								6,460


CAD	254,000	JP Morgan Chase Bank N.A.	02/16/17	TWD		6,489,192		(14,018	)
RUB	14,039,152	JP Morgan Chase Bank N.A.	07/13/17	EUR		180,000		5,082
RUB	13,746,704	JP Morgan Chase Bank N.A.	07/13/17	EUR		180,000		708

								(8,228	)

							$	(1,768	)


	Expiration Date		Number of Contracts		Notional Amount			Net Unrealized Appreciation/ (Depreciation)
Asset Momentum Fund
Futures Contracts — Long
S&P 500 E Mini Index		12/16/16		154	$	16,635,080		$	(62,734	)

Futures Contracts — Short
Nasdaq 100 E Mini Index		12/16/16		22	$	(2,142,910	)	$	(44,191	)


Blend Fund
Futures Contracts — Long
U.S. Long Bond		12/20/16		8	$	1,345,250		$	17,974
U.S. Ultra Bond		12/20/16		16		2,942,000			34,787
U.S. Treasury Note 2 Year		12/30/16		36		7,864,875			202
U.S. Treasury Note 5 Year		12/30/16		122		14,824,906			5,442

								$	58,405

Future Contract — Short
U.S. Treasury Ultra 10 Year		12/20/16		2	$	(288,312	)	$	(2,364	)


Inflation-Protected and Income Fund
Futures Contracts — Long
U.S. Ultra Bond		12/20/16		2	$	367,750		$	(1,006	)
U.S. Treasury Note 2 Year		12/30/16		198		43,256,812			3,754
U.S. Treasury Note 5 Year		12/30/16		1		121,516			60

								$	2,808

Futures Contracts — Short
U.S. Long Bond		12/20/16		1	$	(168,156	)	$	2,185
U.S. Treasury Note 10 Year		12/20/16		3		(393,375	)		343

								$	2,528

Managed Bond Fund
Futures Contracts — Long
U.S. Long Bond		12/20/16		38	$	6,389,938		$	87,751
U.S. Treasury Ultra 10 Year		12/20/16		18		2,594,813			(2,870	)
U.S. Ultra Bond		12/20/16		20		3,677,500			70,684
U.S. Treasury Note 2 Year		12/30/16		206		45,004,562			307
U.S. Treasury Note 5 Year		12/30/16		991		120,421,984			53,077

								$	208,949


Counterparty	Currency	Notional Amount		Expiration Date		Receive (Pay) Fixed Rate	Deliverable on Default	Unrealized Appreciation (Depreciation)			Premium (Received) Paid			Value
Blend Fund*
Credit Default Swaps — Buy Protection
Centrally Cleared Swaps
	USD		2,620,000		6/20/21	(1.000)%	CDX.NA.IG.26	$	(17,985	)	$	(19,148	)	$	(37,133	)


Credit Default Swaps — Sell Protection†
OTC Swaps
Goldman Sachs International	USD		500,000		11/17/45	3.000%	CMBX.NA.BBB-.6†† (Rating: BBB-)	$	(757	)	$	308		$	(449	)
Goldman Sachs International	USD		430,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating: BBB-)		36,852			(37,238	)		(386	)
Goldman Sachs International	USD		160,000		5/11/63	3.000%	CMBX.NA.BBB-.6†† (Rating: BBB-)		12,675			(12,819	)		(144	)

									48,770			(49,749	)		(979	)


Description	Value
Inflation-Protected and Income Fund
Agreement with Banque Paribas Securities Corp., dated 9/02/16, 0.650%, to be repurchased on demand until 10/04/16 at value plus accrued interest.	$	72,543,250
Agreement with Daiwa Bank Securities Inc., dated 8/05/16, 0.650%, to be repurchased on demand until 11/04/16 at value plus accrued interest.		68,793,625
Agreement with Goldman Sachs & Co., dated 7/07/16, 0.630%, to be repurchased on demand until 10/07/16 at value plus accrued interest.		90,323,123
Agreement with HSBC Securities (USA) Inc., dated 9/02/16, 0.670%, to be repurchased on demand until 12/02/16 at value plus accrued interest.		97,381,750
Agreement with Morgan Stanley & Co. LLC, dated 8/02/16, 0.640%, to be repurchased on demand until 11/02/16 at value plus accrued interest.		17,581,525

	$	346,623,273

Average balance outstanding	$	350,164,270
Maximum balance outstanding	$	411,462,198
Average interest rate		0.61%
Weighted average maturity		52 days


	Federal Income Tax Cost		Tax Basis Unrealized Appreciation		Tax Basis Unrealized (Depreciation)			Net Unrealized Appreciation (Depreciation)
Asset Momentum Fund	$	20,824,211	$	409,640	$	(212,915	)	$	196,725
Blend Fund		551,638,714		117,296,693		(5,042,252	)		112,254,441
Dynamic Bond Fund		412,663,430		9,345,157		(4,383,357	)		4,961,800
Equity Fund		633,332,854		160,973,954		(13,490,458	)		147,483,496
Equity Rotation Fund		19,433,547		2,924,977		(510,247	)		2,414,730
High Yield Fund		150,157,484		5,924,407		(4,454,674	)		1,469,733
Inflation-Protected and Income Fund		769,735,441		18,727,609		(2,177,403	)		16,550,206
Managed Bond Fund		1,400,397,381		38,670,958		(8,044,762	)		30,626,196
Short-Duration Bond Fund		214,871,474		2,693,090		(1,625,395	)		1,067,695
Small Cap Equity Fund		89,521,308		21,509,807		(3,249,045	)		18,260,762
Special Situations Fund		17,773,141		1,651,397		(530,311	)		1,121,086
Strategic Emerging Markets Fund		89,757,493		13,970,480		(8,573,147	)		5,397,333



By		/s/ *Brian Haendiges*
		Brian Haendiges, President and Principal Executive Officer
Date		11/22/2016

This ‘N-Q’ Filing	Date	Other Filings

Filed on / Effective on:	11/28/16
For Period End:	9/30/16	N-MFP1
	5/1/16	485BPOS
	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 9/30/16

On: Monday, 11/28/16, at 4:36pm ET · Effective: 11/28/16 · For: 9/30/16 · Accession #: 1193125-16-778162 · File #: 811-21714

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